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HomeMy WebLinkAbout2004-11-10MINUTES OF FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE MEETING Orange County Sanitation District Wednesday, November 10, 2004, 5:00 p.m. A meeting of the Finance, Administration and Human Resources Committee of the Orange County Sanitation District was held on November 10, 2004, at 5:00 p.m., in the District's Administrative Office. (1) The roll was called and a quorum declared present, as follows: FAHR COMMITTEE MEMBERS: DIRECTORS PRESENT: Roy Moore, Chair Mike Duvall, Vice Chair Patricia Bortle Bill Dalton Shirley McCracken Darryl Miller Joy Neugebauer James W. Silva Steve Anderson, Board Chair DIRECTORS ABSENT: Jim Ferryman, Vice Board Chair (2) APPOINTMENT OF CHAIR PRO TEM No appointment was necessary. (3) PUBLIC COMMENTS There were no public comments. (4) REPORT OF THE COMMITTEE CHAIR The Chair had no report. STAFF PRESENT: Blake P. Anderson, General Manager Gary Streed, Director of Finance/Treasurer Carol Beekman, Director of Communications & Administrative Services Mike White, Controller Lisa Arosteguy, Human Resources Supervisor Ann Sullivan, Human Resources Analyst Dionne Kardos, Public Relations Penny Kyle, Committee Secretary Lilia Kovac, Assistant Committee Secretary OTHERS PRESENT: Donna Carter Robbynn Lystrup Mike Moreland Nepa Shah FILED IN THE OFFICE OF THE SECRETARY ORANGE r.f"I• "'-" •' '"'-•Tl"f'\I DISTRICT NOV 1 7 2004 BY _,__/.~.'/._, -~ (5) REPORTOFTHEGENERALMANAGER Blake Anderson, General Manager, announced a reception would be held for Wes Bannister at 6:30 p.m. prior to the Board Meeting on November 17th . He also encouraged directors to attend the Orange County Leadership Symposium that would be held on January 14-16, 2005. Minutes of the Finance, Administration and Human Resources Committee Meeting Page 2 November 10, 2004 (6) REPORT OF DIRECTOR OF FINANCE/TREASURER Gary Streed, Director of Finance/Treasurer, referred to the Treasurer Report distributed that evening. He reported that rate adjustment hearing notifications have been sent to all permit users. (7) REPORT OF DIRECTOR OF HUMAN RESOURCES The Director of Human Resources representative had no report. (8) REPORT OF DIRECTOR OF COMMUNICATIONS & ADMINISTRATIVE SERVICES Carol Beekman, Director of Communications & Administrative Services, reported on the "Nerissa" christening that was held on November 6th at the Newport Harbor Nautical Museum. 260 people and five Board members attended the event along with 34 employee volunteers who helped with the event. Lilia Kovac, Assistant Board Secretary, was introduced to the Directors. (9) REPORT OF GENERAL COUNSEL General Counsel was not present. (10) CONSENT CALENDAR ITEMS a. Approve minutes of the October 13, 2004, Finance, Administration and Human Resources Committee meeting, as corrected. b. FAHR04-93 Recommend to the Board of Directors to receive and file Treasurer's Report for the month of October 2004. c. FAHR04-94 Receive and file Certificates of Participation (COP) Monthly Report. d. FAHR04-95 Receive and file Employment Status Report as of October 21, 2004. e. FAHR04-96 Receive and file OSHA Incidence Rates and Workers' Compensation Claims and Costs Report. f. FAHR04-97 Recommend to the Board of Directors to receive and file the Quarterly Investment Management Program Report for the period July 1, 2004 through September 30, 2004. g. FAHR04-98 Recommend to the Board of Directors to receive and file the 2004-05 First Quarter Financial Report for the period ending September 30, 2004. h. FAHR04-99 Recommend to the Board of Directors to receive and file the SWAP Report for the quarter ended September 30, 2004. MOTION: It was moved, seconded and duly carried to approve the recommended actions for items specified as 1 0(a) through (h) under Consent Calendar. END OF CONSENT CALENDAR · Minutes of the Finance, Administration and Human Resources Committee Meeting Page 3 November 10, 2004 (11) ACTION ITEMS a. FAHR04-100 Recommend to the Board of Directors to: (1) Approve the reclassification MOTION: of two District employees and one position upgrade; and, (2) Approve the pay range placement of the Director of Communications and Administrative Services. Ann Sullivan, Human Resources Analyst gave a brief report outlining the employee re-classifications and position upgrade. It was moved, seconded and duly carried to recommend approval to the Board of Directors. b. FAHR04-101 Approve a one-time only non-base building payment for the Director of MOTION: Technical Services in an amount not to exceed $7,948 for his service as Acting General Manager. Blake Anderson reported that Bob Ghirelli was the acting General Manager for approximately two months and did an extraordinary job. He was recommending the approval of a one-time only non-base building payment for the additional responsibilities. The Directors discussed the calculation to derive to the amount of the payment and expressed concern that the payment was somewhat excessive. It was moved, seconded and duly carried to recommend approval to the Board of Directors. c. FAHR04-102 Authorize the General Manager to solicit Requests for Proposal and subsequently award a Consultant Services Agreement for Phase 2 of the Corporate Identity and Public Awareness Project, Specification No. CS-2003-162BD, in an amount not to exceed $20,000. Carol Beekman, Director of Communications & Administrative Services introduced Donna Carter and Robbynn Lystrup of Johnson/Ukropina who reviewed the findings for Phase 1 of the Corporate Identity Program. The Directors concluded that the District should not make a change to its name or logo, nor add a tag line, but should develop an identity standards manual at an estimated cost of $5,000-$7,500. It was then moved, seconded and duly carried to recommend approval to the Board of Directors to proceed with no change in name or logo, no added tag line, and develop an identity standards manual at a cost estimated between $5,000 to $7,5000. Directors also requested that should a tag line be considered during the development of the identity standards, that the item be brought back to the FAHR Committee for consideration. Minutes of the Finance, Administration and Human Resources Committee Meeting Page4 November 10, 2004 MOTION: It was moved, seconded and duly carried to recommend approval to the Board of Directors. d. FAHR04-103 Recommend to the Board of Directors to receive and file FY 03/04 MOTION: Comprehensive Annual Financial Report. Mike White, Controller, provided a brief review of the new CAFR. Mike Moreland of Moreland and Associates reported there were no areas of concern discovered during their financial audit. It was moved, seconded and duly carried to recommend approval to the Board of Directors. (12) INFORMATION PRESENTATIONS a. FAHR04-104 Status and Impact of State Property Tax Shift for 2004-05 and 2005-06 Gary Streed, Director of Finance, reported the expected tax shift would be $16 million each year for two years. The FAHR Committee would be having a discussion on 2005-06 cash flows with the budget assumptions in December. (13) CLOSED SESSION The Committee convened in Closed Session at 6:31 p.m. pursuant to Government Code Section 54957.6 to discuss and consider Agenda Item Nos. 13(a) (1) and (2). Confidential Minutes of the Closed Session held by the Finance, Administration and Human Resources Committee have been prepared in accordance with California Government Code Section 54957.2, and are maintained by the Board Secretary in the Official Book of Confidential Minutes of Board and Committee Closed Meetings. A report of the actions taken will be publicly reported at the time the approved action becomes final re Agenda Items Nos. 13(a)(1) and (2). RECONVENE IN REGULAR SESSION: At 7:05 p.m., the Committee reconvened in regular session. (14) OTHER BUSINESS, COMMUNICATIONS OR SUPPLEMENTAL AGENDA ITEMS, IF ANY There were none. (15) CONSIDERATION OF UPCOMING MEETINGS The next FAHR Committee meeting is scheduled for December 8, 2004 at 5 p.m. (16) ADJOURNMENT The Chair declared the meeting adjourned at 7:05 p.m. · Minutes of the Finance, Administration and Human Resources Committee Meeting Page 5 November 10, 2004 Submitted by: cretary H:\dept\agenda\FAHR\FAHR2004\1004\101304 FAHR Minutes.doc STATE OF CALIFORNIA) ) SS. COUNTY OF ORANGE ) Pursuant to California Government Code Section 54954.2, I hereby certify that the Notice and the Agenda for the Finance, Administration, and Human Resources Committee meeting to be held on /2{'!-z,tf 1.._4 / 0 , 200{, was duly posted for public inspection in the main lobby of the District's offices on '7{,1,r])-(:_~ 2ooi . IN WITNESS WHEREOF, I have hereunto set my hand this 3/l<l day of G:\WP.DTA\ADMIN\BS\FORMS\AGENDA CERTIFICATION-FAHR COMMITTEE.DOC phone: [714) 962-2411 fu: (714) 962-0356 -.acad,l:Dffl malling address: P.O. Box 8127 Fountain Valley, CA 92728-8127 atreet address: 10844 Ellis Avenue Fountain Valley, CA 92708-7018 Member Agencies • J:itl'e.s Anaheim Brea Buena Park Cypress Fountain Valley Fullerton Garden Grove Huntington Beach Irvine La Habra La Palma Los Alamitos Newport Beach Orange Placentia Santa Ana Seal Beach Stanton Tustin Villa Park Yorba Linda County of Orange ianltary Districts Costa Mesa Midway City Watar Districts Irvine Ranch •RANGE COUNTY SANITATION DISTRICT November 3, 2004 REVISED NOTICE OF MEETING FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE ORANGE COUNTY SANITATION DISTRICT WEDNESDAY, NOVEMBER 10, 2004--5:00·P.M. DISTRICT'S ADMINISTRATIVE OFFICES 10844 ELLIS AVENUE FOUNTAIN VALLEY, CALIFORNIA 92708 WWW.OCSD.COM A regular meeting of the Finance, Administration and Human Resources Committee of the Board of Directors of the Orange County Sanitation District, will be held at the above location, date and time. To maintain world-class leadership in wastewater and water resource management. FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE MEETING DATES FAHR Committee Meeting Date November 10, 2004 December 8, 2004 January -Dark February 9, 2005 March 9, 2005 April 13, 2005 May 11, 2005 June 8, 2005 July 13, 2005 August -Dark September 14, 2005 October 12, 2005 Board Meeting Dates *November 17, 2004 *December 15, 2004 January 26, 2005 February 23, 2005 March 23, 2005 April 27, 2005 May 25, 2005 June 22, 2005 July 27, 2005 August 24, 2005 September 28, 2005 October 26, 2005 *Meetings being held the third Wednesday of the month. ROLL CALL FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE Meeting Date: November 10, 2004 Time: 5:00 p.m. Adjourn: ___ _ COMMITTEE MEMBERS Roy Moore (Chair) Mike Duvall (Vice Chair) Patricia Bortle Bill Dalton Shirley McCracken Darryl Miller Joy L. Neugebauer James W. Silva Steve Anderson (Board Chair) Jim Ferryman (Board Vice Chair) OTHERS Tom Woodruff, General Counsel Don Hughes STAFF Blake Anderson, General Manager Carol Beekman, Director of Communications & Administrative Services David Ludwin, Director of Engineering Bob Ooten, Director of O & M Lisa Tomko, Director of Human Resources Gary Streed, Director of Finance/Treasurer Patrick Miles, Director of Information Technology Robert Ghirelli, Director of Technical Services Mike White, Controller Penny Kyle, Committee Secretary Lisa Arosteguy, Human Resources Supervisor Ann Sullivan, Human Resources Analyst c: Lenora Crane AGENDA REGULAR MEETING OF THE FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE ORANGE COUNTY SANITATION DISTRICT WEDNESDAY, NOVEMBER 10, 2004, AT 5:00 P.M . ADMINISTRATIVE OFFICE 10844 Ellis Avenue Fountain Valley, California 92708 www.ocsd.com Agenda Postir.ig : In accordance with the requirements of California Government Code Section 54954.2, this agenda has been posted in the main lobby of the District's Administrative offices not less than 72 hours prior to the meeting date and time above. All written materials relating to each agenda item are available for public inspection in the office of the Board Secretary. Items Not Posted: In the event any matter not listed on this agenda is proposed to be submitted to the Committee for discussion and/or action, it will be done in compliance with Section 54954.2(b) as an emergency item or because there is a need to take immediate action, which need came to the attention of the Committee subsequent to the posting of agenda, or as set forth on a supplemental agenda posted in the manner as above, not less than 72 hours prior to the meeting date. Accommodations for the Disabled: The Board of Directors Meeting Room is wheelchair accessible. If you require any special disability related accommodations, please contact the Orange County Sanitation District Board Secretary's office at (714) 593-7130 at least 72 hours prior to the scheduled meeting. Requests must specify the nature of the disability and the type of accommodation requested. Items Continued: Items may be continued from this meeting without further notice to a Committee meeting held within five (5) days of this meeting per Government Code Section 54954.2(b)(3). Meeting Adjournment: This meeting may be adjourned to a later time and items of business from this agenda may be considered at the later meeting by Order of Adjournment and Notice in accordance with Government Code Section 54955 (posted within 24 hours). (1) ROLL CALL (2) APPOINTMENT OF CHAIR PRO TEM. IF NECESSARY Book Page 1 November 10, 2004 (3) PUBLIC COMMENTS All persons wishing to address the Finance, Administration and Human Resources Committee on specific agenda items or matters of general interest should do so at this time. As determined by the Chair, speakers may be deferred until the specific item is taken for discussion and remarks may be limited to three minutes. Matters of interest addressed by a member of the public and not listed on this agenda cannot have action taken by the Committee except as authorized by Section 54954.2(b). (4) REPORT GF COMMITTEE CHAIR (5) REPORT OF GENERAL MANAGER (6) REPORT OF DIRECTOR OF FINANCE (7) REPORT OF DIRECTOR OF HUMAN RESOURCES (8) REPORT OF DIRECTOR OF COMMUNICATIONS & ADMINISTRATIVE SERVICES (9) REPORT OF GENERAL COUNSEL (10) CONSENT CALENDAR ITEMS Consideration of motion to approve all agenda items appearing on the Consent Calendar not specifically removed from same, as follows: )All matters placed on the consent calenda~ are considered as not requiring ·di~cussion or further explanati~n and j [unless any particular item is requested to be removed from the consent calendar by a Director or staff member, i \there will be no separate discussion of these items. All items on the consent calendar will be enacted by one l \action approving all motions, and casting a unanimous ballot for resolutions included on the consent calendar. All j ]items removed from the consent calendar shall be considered in the regular order of business. .\ 1-The Chair will determine if any items are to be deleted from the consent calendar_ ·I ~----~,,, .. ,., .... •n•••-uoo.o,....,.,•o• .. ..,••• .. •• .. ••U-00 ,-~ .... • ... • •••._.• .. •u•~-----~•·• .................. •••••••Htr•••••"" ••••• .. • .. ••••o.,., .......... ,..._._~••• .. ••• .. •••·••~••••~•·•••• .. •••·••• .................. •-•M• uo•oou,uM•oU,,n.,uoouo,...,,, • • ..., ..... ~- a. Approve minutes of the October 13, 2004, Finance, Administration and Human Resources Committee meeting. b. FAHR04-93 Recommend to the Board of Directors to receive and file Treasurer's Report for the month of Octobe.r 2004. The Treasurer's Report will be distributed at the FAHR Committee meetin_g in accordance with the Board-approved Investment Policy, and in Qonforman~e t0 the Government Code requirement to have monthly reports reviewed within 30 days of month end. 2 Book Page 2 November 10, 2004 c. FAHR04-94 Receive and file Certificates of Participation (COP) Monthly Report. d. FAHR04-95 Receive and file Employment Status Report as of October 21, 2004. e. FAHR04-96 Receive and file OSHA Incidence Rates and Workers' Compensation Claims and Costs Report. f. FAHR04-97 Recommend to the Board of Directors to receive and file the Quarterly Investment Management Program Report for the period July 1, 2004 through September 30, 2004. g. FAHR04-98 Recommend to the Board of Directors to receive and file the 2004-05 First Quarter Financial Report for the period ending September 30, 2004. h. FAHR04-99 Recommend to the Board of Directors to receive and file the SWAP Report for the quarter ended September 30, 2004. END OF CONSENT CALENDAR Consideration of items deleted from Consent Calendar, if any. (11) ACTION ITEMS a. FAHR04-100 Recommend to the Board of Directors to: (1) Approve the reclassification of two District employees and one position upgrade; and, (2) Approve the pay range placement of the Director of Communications and Administrative Services. (Ann Sullivan -5 minutes) b. FAHR04-101 Approve a one time only non-base building payment for the Director of Technical Services in an amount not to exceed $7,948 for his service as Acting General Manager. (Blake Anderson -5 minutes) c. FAHR04-102 Authorize the General Manager to solicit Requests for Proposal and subsequently award a Consultant Services Agreement for Phase 2 of the Corporate Identity and Public Awareness Project, Specification No. CS-2003-162BD, in an amount not to exceed $20,000. (Carol Beekman -5 minutes) d. FAHR04-103 Recommend to the Board of Directors to receive and file FY 03/04 Comprehensive Annual Financial Report. (Mike White -15 minutes) 3 Book Page 3 November 10, 2004 (12) INFORMATIONAL PRESENTATIONS a. FAHR04-104 Status and Impact of State Property Tax Shift for 2004-05 and 2005-06 (Gary Streed -25 minutes) (13) CLOSED SESSION r During the course of conducting the busineis set forth on this agenda as ..... a regular meeting of the · 1 ! Committee, the Chair may convene the Committee in closed session to consider matters of pending real i i estate negotiations, pending or potential litigation, or personnel matters, pursuant to Government Code •l i Sections 54956.8, 54956.9, 54957 or 54957.6, as noted. ! i i ! Reports relating to (a) purchase and sale of real property; (b) matters of pending or potential litigation; (c) 1 j employee actions or negotiations with employee representatives; or which are exempt from public disclosure : j under the California Public Records Act, may be reviewed by the Committee during a permitted closed [ 1 session and are not available for public inspection. At such time as final actions are taken by the Committee j l on any of these subjects, the minutes will reflect all required disclosures of information. j L ...... •••••••••••, oPonn,.,-• ... •.•••••·•...,.••••••••o•H•-.... •••••·••"4 ... ••-••• .. •• .. • .... •••-••~•·••--• ............. ••••••• .... • .. ••....,•~-• .. ••••••· .......... ,,.,,u.lu.u•• .. ••••H•• .... • ....... •-, ............... •••••••o;o• .. •• .. •• .. •·••·• .. ••·•----••-•.-.••• .. •• .. • .. • .. •j a. Convene in closed session. 1. Convene in closed session to confer with Blake P. Anderson, General Manager re Executive Management Team Compensation and Benefit Percentage Adjustment (Government Code Section 54957.6). 2. Confer with General Counsel re existing litigation, Orange County Sanitation District v. Santa Ana Watershed Project Authority, Orange County Superior Court Case No. 04CC011345, Government Code Section 54956.9. 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 December 8, 2004, at 5 p.m. (17) ADJOURNMENT 4 Book Page 4 November 10, 2004 • uo,n •••""""""-••• .. •• .. •u', •••-.. •~*•n••-••-•u•o•~• ...... •••--• •••-••-••n• .... ••• .. ••-••.,.•••• •• ••, ........... ~•""*•••u-••-••••• .. •••-••• •-•• • ,,._,., .. _,,,. .. ,, • •••••••.• ""*"'"•-~•, u, • ••on• ,•••••uo,..,,..,,,,_n,·, , .. • •.••• ••• .. ••.,•h•••"""'"*••-• • ! Notice to Committee Members: I !For any questions on the agenda or to place any items on the agenda, Committee members should contact the 'i :committee Chair or Secretary ten days in advance of the Committee meeting. :1 •:; !committee Chair: Roy Moore (714) 990-7703 ·!=,,. [Committee Secretary: Penny Kyle (714) 593-7130 pkyle@ocsd.com ;General Manager Blake Anderson (714) 593-7110 banderson@ocsd.com }Director of Finance Gary Streed (714) 593-7550 gstreed@ocsd.com 1,,· [Director of Human Resources Lisa Tomko (714) 593-7145 ltomko@ocsd.com t~~~~~~~t~~t~~~~~~~~~~i~::. & .............. ~a~~~--~~~~:8~ ............................ ~~.1.~~ .. ~~.~~~.~-~~ .. , .... ~~~~k~::~~.~:~.~~: ---··--······ . I H:\dept\agenda\FAHR\FAHR2004\1104\01.3.111004 FAHR Agenda.doc 5 BookPage 5 November 3, 2004 FAHR COMMITTEE AGENDA CALENDAR Month Item Action December Consider Structure of 2005-06 COP Offering Action December Consider Financing Team for 2005-06 Offering Action December Consider Independent Auditors for FY 2004-05 Action December Consider Preliminary Budget Assumptions for 2005-06 Action December Purchases Authorized by the General Manager Action December Consider Preliminary Budget Assumptions for 2005-06 Action December Purchases Authorized by the General Manager Action December HR Policies & Procedures Action December OCERS ARBA Agreement Action January No meeting scheduled February Consider mid-year budget review for 6 months ended Action 12/31/04 February Consider Quarterly Investment Management Report (2na Action Quarter) February Consider Preliminary Sewer Service User Fees for Information 2005-06 February SWAP Status Report (2nd Quarter) Book Page 7 Book Page 8 FAHR COM MITTEE AGE NDA REPORT Orange County Sanitation District FROM: Gary G. Streed, Director of Finance Originator: Michael D. White, Controller Meelin'g Date 11/10/04 Item Number FAHR04-94 SUBJECT: CERTIFICATES OF PARTICIPATION (COP) MONTHLY REPORT - OCTOBER 2004 GENERAL MANAGER'S RECOMMENDATION To Bq. of Dir. Item Number Receive and file Certificates of Participation (COP) Monthly Report for the month of October 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. BookPage 9 PRIOR COMMITTEE/BOARD ACTIONS NIA 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. ~ 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 Rep0rt," 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 oar chart entitled, 11GOP Rate History, Comparison of Hi.g,hest & Lowest Rates," compares the performance (monthly avercige interest rate) of the District's. Daily Rate C0Ps with the highest and lowest Rilonthly average rates from among six similar variable rate daily reset COPs. The table entitled, "COP Rate History, Comparison of Monthly Averages," shows the monthly variable interest rate performance of the District's Daily Rate COPs as compared to the composite index. Estimated annual interest payments calculated for a standard $100 million par amount, are also shown. Variable rates historically rise at the end of each calendar quarter, and especially at year-end, because of business taxes and liquidity requirements. The rates tend to decline to prior levels immediately in the following month. Staff maintains continuous rate monitoring and ongoing dialog with the remarketing agents to keep the Committee fully informed about developments in the program as they may occur. ATTACHMENTS 1. Graph -OCSD COP Daily Rate History Report 2. Graph -Comparatj'v'.e Daily COP Rate History Report 3. Graph -COP Rate History, Comparison of Highest & Lowest Rates 4. Tabular -COP Rate Hi?tory•, Comparison of Monthly Averages GGS:MW:lc H:ldeptlagenda\FAHRIFAHR200411104104-94 COP doc Revised: 06/04103 Book Page 10 Page 2 ~ m 5-Nov-03 19-Nov-03 3-Dec-03 17-Dec-03 31-Dec-03 ,---------, 14-Jan-04 + + t 121-Jan-04 C/JC/JC/J g_g_g_ 111-Feb-04 CD CD CD Ult/HII uiui~ 126-Feb-04 c.,~o m <c.., :::l Q) a.::!.:!! 110-Mar-04 -mx Co-CD o-a. <:CD 124-Mar-04 o,~ ::::! •. (D ~i I 7-Apr-04 m-<' 0 m I 21-Apr-04 'I I 5-May-04 r + 149-May-04 ),,CJJ I' -o Gln cnGl I 2-Jun-04 ~ (I) m:::i "'i' ~118-Jun-04 C/JCD ~'tl iirb, 130-Jun-04 "'co uj:::::!. 11,,)jl I 14-Jul-04 ~ -a, u:, (D'"' ,-o I 21-Jul-04 '<!!!. '< '-1-Aug-04 26-Aug-04 8-Sep-04 22-Sep-04 0 - 6-0ct-04 20-0ct-04 · II athtJ )f OOH RATE(%) ..A. .... 6,1 ·•• ·•••-•-••1--•~•·•lj,,,~•••• ~"•• --~--~~- ~ en I I. I I. T ~I: l ·1 ,, ;l \. -1: I· l T l I, }: r ,[ J GI •• •·--•••-,,.,I~------- 0 0 UJ C 0 0 0 .,, 0~ -I -I film m :c ;;u en ~ -I oO 0 :::a .r,.~ ;;u m .,, 0 ::0 -I l-a:: 0 a. w a:: ~ 0 1-UJ -:c w~ I-0 ~~ 0.. ai 0 .a 0 0 >o ..J 0 -<C C w > -i 0.. :E 0 0 0 0 ~ 0 0 ~ ('y.)31~ Book Page 12 0 0 vo'i:>e> vo'das vo'unr £0':>8() 0 ~w 0 I-~ ~ 0 z w t-u, 0 a. ~ 0 0 • 0 8 "' ,:, C ID ~ _; iii w a. 0 0 0 w 0 0 m 2 -, - 1.76 - 1.5 = ;;i' = !.. = ~ w 1.26 I-"'Cl ~ ~ IJQ ~ -~ I 1 0.76 0.5 I ..... , HIQH IFWOCSO LOWNEHXI ilBI/IID M•r,04 Jun1 04 COP DAILY RATE HISTORY COMPARISON OF HIGHEST & LOWEST RATES Jul,04 Aug,04 llp,04 l~llil!l\lli i! I lllili :l\I:: ::I l~a~:W 11=~~ IJ:':f~~oo 11:~w 1 t!I Highest rate D OCSD COP Series '00-PW • OCSD COP Series '93-PW • Lowest rate oat, 04 l=a~ Prepared by Finance, 1112/2004, 9:20 AM Nov-03 Deo-03 Jan-04 Feb-04 Mar-04 Apr-04 May-04 Jun-04 Jul-04 Aug-04 Sep-04 Oct-04 AVERAGE DAILY COP RATE HISTORY COMPARISON OF MONTHLY AVERAGES NOV 2003 -OCT 2004 OCSD $218.6M $46M Series2000 Series 93 Ref Composite PaineWebber PaineWebber Index• 1.06 1.06 ,.o5 1.00 1.00 0.99 0.88 0 BB 0.87 0.87 0.87 0.86 0.94 0.94 0.92 1.01 1.01 1.00 1.05 1.05 1 03 1 02 1 02 1.00 0 99 0 99 0.97 1 15 1.15 1 13 1.34 1.34 1.32 1.67 1.67 1 65 1 08% I 1 08% 1.07% 1~STIMATED ANNUAL INTEREST PAYMENTS PER $100M PARAMOUNT $ 1,oe1 ,667 I $ 1,oe1,ae1 I $ 1,065,833 *FOOTNOTE Composite Index consists of the following COP transactions: . I RWD, Serles 86-COP, 88, 95, $1 06.1 M, Solomon Snilth Barney . IRWD, Series C-Rer 93-B, 85-B, $62.1 M, Lehman Bcothers • 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, $26.4M, PaineWebber . Orange Co., Irvine Coast Asst Plst 88-1, $94.5M, J.P. Morgan G:lexcel dtalfin\22201geggi\FinancelCOPdaily$rate comparison Book Page 14 FAHR COMMITTEE Meeting Date 11/10/04 AGENDA REPORT Item Number FAHR04-95 Orange County Sanitation District FROM:-Lisa Tomko, Director of Human Resources Originator: Lisa Arosteguy, Human Resources Supervisor SUBJECT: EMPLOYMENT STATUS REPORT AS OF OCTOBER 21, 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 581.50 as of October 21, 2004. PRIOR COMMITTEE/BOARD ACTIONS N/A PROJECTICONTRACTCOSTSUMMARY 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. [ZJ Not applicable (information item) ADDITIONAL INFORMATION The actual number of employees (headcount) was 592 as of October 21, 2004. To Bd. of Dir. Item Number ·• Matt Eddy was promoted from Lead Facilities Worker to Maintenance Supervisor (Facility Services) • James Burror was promoted from a Senior Mechanic to an Engineering Supervisor (Planning) • Chuck Gober was promoted from a Maintenance Worker to a Mechanic (Mechanical Maintenance and Power Production) • Shane Milligan laterally transferred as a Mechanic (from Regional Assets and Services to Mechanical Maintenance and Power Production) H:ldeptlagenda\FAHRIFAHR2004\1104104-95 Emp Status.doc Revised 06/04/03 Book Page 15 Page 1 • Laura Maravilla was promoted from an Administrative Assistant to an Executive Assistant (Administrative Services) • Joe Vallone laterally transferred from a Maintenance Worker to an Information Technology Technician I (Customer and Network Support) There were four new hires: • Information Technology Analyst I (Customer & Network Support) • Two Maintenance Workers (Regional Assets & Services) • Staff Analyst (Accounting) There was one termination: • Office Assistant (Administrative Services) ALTERNATIVES NIA CEQA FINDINGS NIA ATTACHMENTS 1. October 21 , 2004 Employment Status Report 2. Performance compared ·to budgeted FTE's H:ldeptlagenda\FAHRIFAHR200411104104-95. Emp Status doc Revised: 06/04/03 BookPage 16 Page 2 eo 0 0 ~ "'t:I ~ IJC/ ~ -...._J AUTHORIZED FTE Q!1'. REO !!afil! !/.1! 110 General Management Admin 2.00 . 120 Administrative Services 7.00 1.00 . 130 Communications 7.00 0.50 General Management Totals 16.00 1.50 - 210 Finance Administration 2.00 -- 220 Accounting 20.00 . . 230 Purchasing & Warehousing 22.00 0.50 . Finance Totals 44.00 0.50 510 Human Resources Admin 7.00 . . Interns Intern Program (510) . 9.00 . 520 Employee Development/Training 3.00 . . 530 Safety & Health 7.00 540 Employee Services 6.00 . . 540 Planned Recruitments 2.00 . Human Resources Totals 25.00 9.00 - 610 Technical Services Admin 2.00 . - 620 Environmental Assessment 15.00 . - 630 Environmental Sciences Lab 36.00 1.00 - 640 Source Control 40.00 - 660 Environmental Compliance Svcs 18.00 . - Technical Services Totals 111.00 1.00 710 Engineering Admin 3.00 740 Planning 16.00 -- 750 Project Management Office 17.00 . 0.75 760 Engineering & Construction 58.00 -. Engineering Totals 94.00 -0.75 810 O&M Administration 4.00 - 420 Regional Assets & Services 28.75 0.50 . 430 Facilities Maintenance Svcs 32.00 0.75 . 820 O&M Process Engineering 15.00 0.50 . 830 Operations, Plant No. 1 40.00 . 0.75 840 Operations, Plant No 2 47.00 . . 850 Mech Maint & Power Production 59.00 . . 860 Electrical & Instrumentation Maint 54.00 . . Operations & Maintenance Totals 279.75 1.75 0.75 910 IT Administration 2.00 . 930 IT Customer & Network Support 17.00 940 IT Programming & Database Sys 12.00 -. 950 IT Process Controls Integration 13.00 . . Information Technology Totals 44.00 . . GRAND TOTAL FTEs 613.75 13.75 1.50 = = HEADCOUNT ~ --28---2- TOTAL AUTHORIZED FTE 629.00 H:1540\open\Recruiting_shared\Position Control-FAHR REPORT xis EMPLOYMENT STATUS REPORT I%~•"{ ·+vm~:: y;rt¾r ~ ~- ACTUAL FTE Recruitments VBcsncie& TOTAL. REG Q50 0.75 ~ TOT.AZ:- d/t 2.00 2.00 ---200 . 8.00 5 00 1 00 6.00 2 00 2 00 7.50 6.00 0.50 -6.50 1 00 1.00 17.50 13.00 1.50 --14.fiO 3.00 3.QO 2.00 2 00 . -2 00 . - 20.00 18 00 0 50 . 1850 3.00 1 50 2£50 19 00 0 50 --19.50 4,00 3 00 44.~0 39.00 1.00 .(0.00, 7.00 HO 7.00 5 00 . -500 -2 00 9.00 . 6 50 -.. 650 1.50 HO 3,00 3 00 . -. . 3 00 - 7.00 7 00 --7 00 - 6.00 6 00 . . 6 00 . 2.001 . . . . -2.00 34.00 21.00 6.50 . . 27.50 1.50 uo -:,, 2.00 2 00 ---200 - 15.00 13 00 . . . 13 00 1 00 2 00 37.00 35 00 2 00 --3700 40.00 40 00 ---#J.00 18.00 18 00 ---18 00 112.00 108.00 2.00 --110.00c 1.00 2.00 3.00 3 00 -. -J.00' -- 16.00 14 00 ---1400 1.00 :2.00 17.75 12 00 -0 75 12 75 2 00 5,00 58.00 47 00 . . 1 00 48.00 6.00 10.00 94,.75 76.00 . 0.75 1.00 77.75 9.00 17.011 4.00 4 00 --4.00 - 29.25 24.00 0.50 0.75 -25.25 5.00 4,00 32.75 31 00 0 75 . . il[: ~1J5 -1 00 1S.50 14 00 -. . o/¥T4oo 1 00 1,50 40.75 35 00 0 75 1 00 36 75 2.00 4,00 47.00 46 00 . -. 4600 1.00 1 00 59.00 58 00 --. 58.00 1 00 1 00 S4.00 53 00 . -. 5300 1 00 1 00 282.26 265.00 1.25 1.50 1.00 268.76 11.00 13.Sll 2.00 2 00 . . 200 . 17.00 16 00 -1 00 17 00 . . 12.00 11 00 . . . 11.00 . 1 00 13.00 13 00 . -. 1.'3,00 - 44.00 42.00 . 1.00 43.00 . 1 QI) 564.00 12.25 2.25 3.00 ---------- 564 __ 2_5_ --3---3- ·1 TOTAL 1· Total Totial V~n<:ie!! .. ACTUALFTE Recruitments {ii:,~ recn.;itrr:i,r:tl;I} 581 50 32.50 15.(}!) 10/21/2004 STAFFING REPORT 700 680 660 640 / • • ~ 620 ~ 0 0 ~ 600 -• ~ • • • • • • • ~ (JQ ~ I 580 --QC) n--111.----E 560 II II •-·- 540 520 SOO . NOV I DEC JAN FEB MAR APR MAY JUN JUL AUG SEP OCT --+-AUTHORIZED I 596 I 596 596 596 596 596 596 598 598 628 628 628 FTE ACTUAL I 548.25 I 552.25 I 558.25 I 558.75 I 559.75 I 564.75 I 567.75 I 571.75 I 571.75 I 576.25 I 578.25 I 581.50 FTE FAHR COMMITTEE AGE'N DA 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. 11/10/04 Item Number Item Number FAHR04-96 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 9 DART Cases District-wide for the period of January through September 2004. The industry average is 4.5 for the DART Case Incidence Rate while the District Incident Rate was 2.13 for the period of January through September 2004. There were 13 OSHA Recordable Accidents District-wide for the period of January through September 2004. The industry average is 7.3 for the Total Injury Frequency Rate while the District Incident Rate was 3.08 for the period of January through September 2004. The Division also tracks the District's Workers' Compensation Claims and Costs. The District's claim count for Fiscal Year 2004-2005 is 4. The costs associated with these claims for year-to-date is $4,000.00, 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 PROJECTICONTRACTCOSTSUMMARY 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. [XI Not applicable (information item) Revised: 06/04/03 BookPage 19 Page 1 ADDITIONAL INFORMATION The District had 9 DART cases and 4 other injuries that required only medical treatment for the period of January throughSeptember 2004. The reporting period is for 45 days prior to committee meeting. ALTERNATIVES N/A CEQA FINDINGS N/A ATTACHMENTS 1. OSHA Incidence Rates Reports for DART Cases and Total Injuries 2. Workers' Compensation Claims and Costs Revised: 06/04/03 BookPage 20 Page2 Safety and Health Division DART Cases District-Wide There were 9 DART Cases in January-September 2004 (DART -Days Away, Restricted or Transfer) :fl 25 ~ 20 ti 15 jj 10 E 5 DART Cases ~ 0 +--'--'---'--'--~-'--.-'----'--~-'----'-~ 2000 2001 2002 calendar Year OSHA Incidence Rates District-Wide 2003 2004 The industry average for DART Cases is 4.5 and the District rate was 2.13 for January- September 2004. The OSHA DART Case Incidence 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. 2000 OSHA Incidence Rates DART Cases 2001 2002 calendar Year 2003 2004 BookPage 21 Total Injuries District-Wide There were 13 OSHA Recordable Accidents in January-September 2004 Total OSHA Recordable Accidents 2000 2001 2002 Calendar Year OSHA Incidence Rates District-Wide 2003 2004 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 3.08 for January-September 2004. First Aid cases are not included in the calculation of this rate. 10.00 · .s 8.00 · ~ !'j 6.00 C 4.00 Q) i 2.00 .E 0.00 OSHAlncidence Rate Total Injuries 2000 2001 2002 Calendar Year 2003 2004 Book Page 22 Workers' Compensation Claims and Costs The Workers' Compensation Claims and Costs 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 for July-September 2004 totaled $13,590.49. Medical treatment costs are charged to the fiscal year in which the injury occurred. All open claims have the potential to incur additional costs. After the medical review process, the amount was reduced to $9,700.32, which resulted in savings of $3,890.17 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 $294,817 7 /1 /90 -6/30/91 76 0 $121,978 7/1/91 -6/30/92 58 2 $228,212 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 0 $370,950 7/1/97 -6/30/98 45 1 $1,026.722 7 /1 /98 -6/30/99 38 2 $274,034 7/1/99 -6/30/00 43 2 $351,608 7 /1 /00 -6/30/01 32 3 $445,764 7/1/01 -6/30/02 30 7 $376,467 7/1/02 -6/30/03 18 4 $118,034 7/1/03-6/30/04 15 4 $91,521 7/1/04-6/30/05 4 2 $4,000 "Total Incurred" includes medical bills, temporary disability payments to employees, legal costs, and a claim reserve account. BookPage 23 Book Page 24 FAHR COMMITTEE AGE NDA REPORT Orange County Sanitation District FROM: Gary G. Streed, Director of Finance Originator: Michael D. White, Controller Meeting Date To Bd. of Dir .. 11/10/04 11/17/04 Item Number Item Number FAHR04-97 SUBJECT: QUARTERLY INVESTMENT MANAGEMENT PROGRAM REPORT FOR THE PERIOD JULY 1, 2004 THROUGH SEPTEMBER 30, 2004 GENERAL MANAGER'S RECOMMENDATION Receive and file the Quarterly Investment Management Program Report for the period July 1, 2004 through September 30, 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. PROJECTICONTRACTCOSTSUMMARY N/A BUDGET IMPACT D This item has been budgeted. (Line item: ) D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. ~ Not applicable (information item) H:ldeptlagenda\FAHRIFAHR2004\1104104-97 Qrtly Investment Report.doc Revised: 8120198 BookPage 25 Page 1 ADDITIONAL INFORMATION Performance Reports The Quarterly Stra.tegy Review, prepared by PIMCO, and the Investment Measurement Service Quarterly Review, prepared by Callan Associates, are attached to·r 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 July 1, 2004 and September 30, 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 July 1 through September 30, 2004. Pornolio Perform-ance Summary Quarter Ended S_eptember 30, 2004 Liquid Operating Monies (,%) 'Long-Term Operating Monies·(%) Total Rate Total Rate of of Return Benchmar1<'11 Return Benchmar1<<0 3 Months 0.35 O.~? 1.56 1.69 6 Month·s 0.61 0.'.56' o.~5 -0.05 9 Months o.~7 .0_.80, 1.98 1.61 . 12 Months 113 1.04 2.22 1.75 Since ine:;epti(;!n 30 Sept. 9!? 4.36 3.91 .6.1.9 6.12 Market Value $72d8M $363.1M Av~rage Quallty "AAA'' "AAA" G:.urrerit :field '(%) 1.9 3.5 Es~ma\e_o Yield to,Maturity (%) 1.8 3.1 Quarterly Deposits (With"drawals) $.(40.0)M $(31 .0)r-,1 Estimated Annual Income $1.4M $12.SM (1) Benchmarks: • Liquid Operating Portfolio: 3-Month Treasury Bill Index • Long-Term Operating Portfolio: Merrill Lynch Corp/Govt. 1-5 Year Bond Index Portfolio Market Values Comparative marked-to-market quarter-end portfolio values are shown in the following table, and in the attached bar chart. Liquid Quarter Operating Ending Monies ($M) 31 Dec. 03 91.4 31 Mar. 04 91.6 30 June 04 112.4 30 Sept. 04 72.8 H:ldeptlagenda\FAHRIFAHR2004\1104104-97 Qrtly Investment Report doc Revised: 8/20/98 Book Page 26 Long-Term Operating Monies ($M) 386.8 392.7 388.4 363.1 Page 2 District's Investment Account Balances as of September 30, 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 September 30, 2004 $ 26,710,595 1,739,035 72,521,951 360,837,599 4.000 116H31J 18Q S 62,416 515 3. Quarter End Portfolio Market Value Bar Chart Estimated Yield(%) 1.77 1.47 1.80 2.97 N/A 2.71 3.05 4. Summary of Performance Data and Portfolio Statistics -Liquid Operating Monies 5. Summary of Performance Data and Portfolio Statistics -L-T Operating Monies 6. Investment Transactions and Balances in LAIF 7. Asset Summary by Asset Type -Liquid Operating Portfolio 8. Asset Summary by Asset Type -Long Term Portfolio 9. Investment Listing of Liquid Operating and L-T Portfolios (Yield Analysis Report). 10. Callan Report (separate bound document) 11 . PIMCO Report (separate bound document) H:\dept\agenda\FAHR\FAHR2004\1104\04-97 Qrtly Investment Report doc Revised: 8/20198 BookPage 27 Page 3 jHISTORICAL YIELD CURVEI 5.50 ~----"-......... , ... , .. •·----••-.. -,., ...... ,...... .. , __ ,..,..,.,., .on•--~" 5.25 5.00 4.75 4.50 4.25 4.00 3.75 _, ec ~ 3.50 0 0 0 3.25 ~ "'= ~ 3.00 ~ (JCI • 2.75 ~ N 2.50 QC 2.25 2.00 1.75 1.50 1.25 1.00 0.75 0.50 0 0 E E " co .. .. .. .. .. .. ... ... ... >i >i >i >i >i >i >i >i >i ... N " ..... .,, t-. 0 0 ~ ... N _._...31-Mar-04 .....,_ 30-Jun-04 -30-Sep-04 ) October 27, 2004 Mr. Mike White Controller Orange County Sanitation District 10844 Ellis A venue Administration Building Fountain Valley, CA 92708-7018 Re: 3rd Quarter 2004 Report Dear Mike: PIM C 0 84.0 Newport Center Drive Suite 100 Newport Beach, CA 92660 Tel: 949.720.6000 Fax: 949.720.1376 The following is a description of events in the bond markets during the 3rd quarter of 2004 and an analysis of the strategies undertaken in the Orange County Sanitation District's long-term and liquid portfolios over the period. We have also included a section on strategies to be pursued in your portfolios during the coming months. Bond Market Recap: .Bond Markets Rally As Soft Economy Prompts Fall In Rates Bonds rallied in the third quarter as the economy slowed, hitting what Federal Reserve Chairman Greenspan called a "soft patch." Weak employment growth and expectations of lower inflation prompted a fall in interest rates that boosted all bond market sectors. The third quarter was essentially a reversal of the previous three months, when a stronger labor market and anticipation that the Federal Reserve would begin tightening caused rates to jump. Bond market gains during the third quarter came despite two 25 basis point rate hikes by the Fed that brought the fed funds rate to 1. 7 5 percent by the close of the period. The central bank said it would raise rates in the future at a "measured" pace as it moves toward a neutral policy stance that neither restrains nor stimulates the economy. The Lehman Brothers Aggregate Bond Index, a widely used index for the high-grade bond market, returned 3.20 percent in the third quarter. As shown in the chart above, the yield on the benchmark 10- year Treasury fell 46 basis points during the quarter, ending the period at 4.12 percent. The yield on the 10-year Treasury moved below 4 percent in September before the benchmark note gave back some gains at the end of the period. While all but the very shortest maturity yields fell during the quarter, 10-year yields fell the most, causing the 2-10 year portion of the yield curve to flatten. This flattening suggested that bond markets were not optimistic about the economy's growth prospects. A major reason for bond investors' skepticism about future growth was higher oil prices, which topped $50 a barrel late in the period and rose by more than a third for the full quarter. Consumer confidence slipped in September for the second consecutive month amid concern that surging oil prices would continue to exert a drag on growth, hiring and disposable incomes. BookPage 29 Higher Yielding Bond Sectors Outperform In Third Quarter The following summarizes fixed income sector returns: • .. • • Ill Mortgages outpe-rformed like-dura tion T reasuries during the· third (l\Jarter of 2004. Mortgages benefited from continued strong demand from banks and oilier fi nancial institutions. for "carry' , or the excess yield mortgages provide above borrowmg costs. Declining volatility in financial markets overa11 convinced investors that there was minimal risk of adverse price movements that could offset mortgages' attTactive carry. Investment grade and high yield corporate bonds outpaced Treasuries during the quarter. The trend of improving corporate credit qt1ality proved resilient despite concerns about higher oil prices, Fed tightening and slower growth. Corporate America's profitability and balance sheet liquidity remained solid. Real return bonds remafoed one of the best performing fixed income sectors in the third quarter and for the full year. Although TIPS faced the headwind of reduced inflation expectations, they still outperformed comparable duration nominal bonds as real yields fell. U.S. bonds generally outperformed other major developed markets in Europe and Japan, though rates fell in those markets as well. Emerging market bonds were the best performing fixed income assets during the third quarter, rallymg strongly after their poor performance in the ~lrevious quarter. A more benign Treasury market improving country fundamentals and continued strong commodity prices sparked a tightening of emerging market credit premiums. Performance Attributi-on: Long Term Portfolio The Long-Term portfolio that PIM CO manages on behalf of Orange County Sanitation District turned in a 1.56 percent return over the quarter, lagging the Merrill Lynch 1-5 year Government Corporate Index by l J basi points, This portfolio's performance was due in part to the following factors: .. .. a • • P'IMCO's secular outlook calls fm limited exposure to U.S. rates and diversification beyond core b nd sect-0rs; thus we a.v01ded exposures that could have paid off during the quarter's rail but posed longer term risks Held duration below the index given long tcnn risks of inflation and rate increases; this strategy was negative during the quarter as interest rates fell Yield curve positioning similar to the benchmark was neutral for performance A mortgage emphasis added to returns as low volatility and strong bank demand supported these assets; mortgage security selection was also positive An underweight to corporates detracted from returns as credit premiums narrowed; corporate security selection added value 2 Book Page 30 Liquid Portfolio The Liquid portfolio that PIMCO manages on behalf of Orange County Sanitation District turned in a 0.35 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: al • .. Near-index duration was neutral for performance An corporate emphasis added to returns as credit premiums narrowed; corporate security selection added value Use of higher yielding securities such as commercial paper and short-term notes contributed to performance Economic Outlook: Global Economy To Muddle Along Over Next Few Quarters The globa1 economy wi11 muddle along over the next several quarters, with neither a boom nor a bust likely to emerge. The lJ .S., Japan and China will grow faster than Europe. A global excess of supply over demand in labor and product markets, as we11 as subdued unit labor costs, will restrain inflation. Interest rates in the U.S. will be range-bound within 30-40 basis points on either side of current levels. Important aspects of the outlook are: 11 A Boom Is Not In The Cards ... More business investment will be needed to bolster global demand growth now that fiscal and monetary stimulus is fading. Companies in the U.S. and Japan have ample liquidity to boost investment after repairing their balance sheets over the last several years, but a lack of confidence about future growth and lingering excess capacity will subdue the "animal spirits" of corporate executives. Investment spending and hiring will be more modest than would be expected given such robust corporate profits and cash flow. " ... But Neither Is a Bust -Some growth in investment will be needed just to maintain the capital stock of Corporate America, whose current spending is not keeping pace with depreciation. Growth in consumer spending will remain a net positive, as a modest pickup in hiring will support disposable incomes. Range-bound rates will keep household debt service at manageable levels. • Europe To Lag; Japan a Positive -European exports have responded positively to growth abroad. Still, the Eurozonc will be hampered by a relatively soft consumer sector that is being held back by anemic growth in employment and incomes. Japan's growth wil1 remain balanced between external and internal demand now that Japanese consumers have reemerged after a long donnant period. 11 Higher Oil Prices Will Re.strain Growth -Higher oil prices will also exert inflationary pressure worldwide. Still, the adverse impact of rising oil prices wil1 be more muted than in the past. Oil prices in real terms are nowhere near levels seen in the late l 970s. Moreover, the world's reliance on oil per unit of output has been considerably reduced since then. 3 Book Page 31 Remain Defensive To Guard Against Potential Instability The global economy looks stable. with prospects for modest growth low volatility in finiµ1cial markets and range-bound intere t rates. PIMC remains concerned, however, about a tilt in tbe direction of either deflation or inflation. The uncertain pace of inveslment and hrring could tilt the balance of nsks toward deflation. On the other hand monetary policy remains stimulative desp.ite the beginrung of Fed tightening. Easy money combined with higher commodity pdces and dollaT weakness could swing the economy back in the other direction. A prudent approach in this environment is to stay defens·ive and well d1versified to avoid negative consequences of being on the wrong side of any market dislocation. Key strategies will include: • Tactically Flexible Interest Rate Strategies -Rates are more li.ke'ly to rise than fall over a secular, or three to .five year time frame. We ,¥ill therefore be wary of extending duration beyond benchmark levels. At the low end of our forecasled interest rate range, we will target duration about 0.5 year below the index and then shitl toward a neutral posture should rates move back up . With European growth expected to lag the U.S. and Japan, it makes sense to diversify away from U.S. interest rate risk and take exposure to intermediate maturity Eurozone issues, where permitted. • Structural Yield Curve Exposure -While short/intermediate maturities are close to full valuation, we will retain a modest structural emphasis here. Because the short/i11t-ermewate portion o[ the yield curve remains relatively steep, this "bulleted" posture provides extra yield with less price risk than a "barbell" or mix of short and long term bonds. In addition, longer maturities would be more vulnerable if the economy tilted toward inflation. • Retain Underweight of Core U.S. Sectors -Tight corporate yield premiums offer too little reward to bear the risk of negative credit events if the economy were to slow. Mortgage-backed bonds are fully valued for now as a result of unusually heavy demand from banks, which are taking advantage of mortgages' attractive "cany" in a steep yield curve environment. • Out-of-Index Alternatives -Better risk/reward trade-offs can be found outside of core sectors. At current break-even inflation levels, real return bonds continue to provide an effective hedge against secular inflation risk. Municipal bonds offer attractive yields versus Treasuries on a histmical basis and pose less credit risk than corpo'rates. Jmproving credit fundamentals and relatively generou yields make modest exposures to emerging market bonds a compelling alternaLive to comparably rated corporate issues. • Add Extra Return Via Modest Currency Exposure -PIMCO expects the large U.S. current account deficit to exert downward pressure on the U.S. dollar over a secular time frame. Where permitted, we will express this view via modest exposure to currencies likely to rise because of improving economic fundamentals, such as the yen and select emerging market cunencies. Strategy: The following list highlights the strategies that will be used in the Long Tenn portfolio in the coming months: " Position portfolios defensively; rely on longer-run structural sources of value added to mitigate risks of lillitability 4 BookPage 32 • II • • • Target duration below-index when rates are near the bottom of their range and move toward neutral as they rise Retain emphasis on short-and intermediate-maturity issues as they offer structural advantages given a steep yield curve; these include relatively attractive yields and "roll down," or price gains as bonds are revalued at lower yields over time Exploit other structural strategies, such as buying bonds forward and investing cash backing these positions in short maturity issues with attractive yields Hold mortgages, which offer a yield advantage over Treasuries and strong credit quality; seek value in coupon selection Underweight corporates, as their fu]I valuations present unfavorable risk/reward trade-offs The following list highlights the strategies that will be used in the Liquid portfolio in the coming months: • • • Position portfolios defensively; rely on longer-run structural sources of value added to mitigate risks of instability Given the steep curve, continue to exploit "rol1 down," or price gains as bonds are revaJued at lower yields over time Retain modest exposure to corporates in the face of fu)l valuations in this core bond sector We hope you find this information useful. Please feel free to call us with any questions. Sincerely, Christine Telish, CFA Vice President 5 Book Page 33 John M. Miller, CF A Senior Vice President = 0 0 ::s::- '"'C ~ ~ t.H ,&;;,.. !ocso l;ve~tment Managem--;;;t~P~-;;-gr~; Quarter End Portfolio Values {Marked-to-Market) $450,000,000 ..,.-~---·---------~-~---------,-----------"-----------~-------- $400,000,000 +------------------- $350,000,000 . 1/.,½ $300,000,000 -1------• $250,000,000 1-·------C, $200,000,000 --1---- $150,000,000 ,,. ___ _ $100,000,000 ------0 $50,000,000 ,. I •== ,. == Jiiilt '=·· ---·1·:. [, ... ~ '•_L'·l 30 Jun 03 30 Sep 03 30 Dec 03 31 Mar 04 I• Liquid Operating Monies 121 Long-Tenn Operating Monies I ··------------------------ 30 Jun 04 , __ l!. --•-· l l i .11·1..~ · ; ;•• vravr, ~ .. } 30 Sep 04 cc 0 0 ~ "'O i::,:> ~ ~ VI Summary of Performance Data and Portfolio Statistics Orange County Sanitation District Liquid Operating Portfolio Perfotmance Periods Ended 9/30/2004 i:otan~oi:tft>,Uo:.1 · ,, ,. <-I-· ---~-1}:::;"? ri:~; ::: >~-,~ , ~/-· 0~5 .l_. • • '.· ·-; -•.• ~---~ ' ' eefore Fee!i \(°I,'~ . ids... ,; -. a.46 f.sr •J' ••• ' After Fe0$·(%) 4.2~, ~ .. 33 : j.53 - Citigroup 3 Morith'T•Bill liidex (%f . '3,91 2i96 1.;41 . Summary lnfom1at1on ·Ttita'i~ketV~lu~JSMM(·· Quarterly Contributions ($MM) '. .· -.: . Estimated Annual :income ($MM) . . . ' . Estimated Yield to Mati:i~. (%) Estirnated Duratiori.(yrs) Average'Mato)'tty(yrst . . . Average. Quality : . Avira9~G9UP,J;>~J1¼J ,., •· -4 ,-. .Net C.urr~ncy E~ureJ%J. . • . .• -. • 1' ·, •• Tracking Error(3 yrs., ·%1,. lnforma.~an Ratio (3 yrs.)4' lfi•ti•ledi WiiMki•li 112.4 .... \·1,ii 20.s ~-D: 1.3 1~ 1.4 1\8 0.1 0:2 0.1 .o~ AAA ;, AM •• •,T - 1.2 . , . --~-9 o.o .... ,.. 'OaO 0.2 I• ~o•;t 2.0 1,7 • See example of tracklng error/ Information ratio on footnote page of the ~pendlx. See footnotes in Appendix. 1:02. .. 0,7-9" :o.ss '0;~'1. I ~-.-~;"• .,,.-,: i.04 o;sp ·o:-s~ Sector Allocahon cs·6v81Timefll I:• ~~~;~~1-. ' •\ .;.,;;.. Co"P9iate~ : . , High:~teld:a. ':. •· .. ,~·. Q:32 . •,•_ . . . '\ 'Norfl.J,S::'.$;0evef6ped ~LteS ~ ,).{ r' .•. , ... .-;.~ :•::: :~,::; l~ \.::. -~!•: •: E1t1W-gjoq'~t~tsJ~u~~ •. ~~< c'. : ~·<.': {_<; :" Nifoes~ne );,firfteisi.'-,,, -~··>·~'C'.';:'::-;.;,l._., __ -.!-._._ ... ~ ·.... . 'lU>mi'ner'cial ea'per'.t·Sl;IF .-:r -.. •.:i ~•: .:. ,, .l..,_ :A(,.(:',·-~•,, •";_ . ··.s:,: ,9av~~mer1~~). . Cei:t)tr~e-at O.~s.it ~rk~~i ~~f)-~- Mo:n!3t:Mkt F.ufu~ -· -~ ~ss~ Liabirrfles io~ 2 5,Year Retiltn vs. Standard OeViallon 12 .--~------- 11 w 9 .,,., . ... X .· ~ a > 't,J~=-~-- 57 (. :t -i }Jj;J~,'.~~~: '' .; 0:: 6 al 5 ,;, ML 1·31Yr. -• >r~iey .t! m ::, C: ~ 3 •• . ; . 2 ' .• J~ .,.: ,, ,, . . ., . 1 .. ''. •. , ~ ::, • .., ... •'• .. J.-'. '• . ~-4 l'~ ff~ ··:·· :,.. . .. , .... 0 --I--=-~u.-"..":....:L-' -'--'-'-~_,.__.__.___, 0 1 2 3 4 5 6 7 8 9 10 11 12 Standard Deviafon o1 Retum2 (%) % of Mamet Value Duration in Yrs. Ui•tH•i•!•MmM•iitl@,.m,!IMtil•tH•1e!i 27 . . . -'24 0.0 :. -0,0, 0 0 0.0 o.o 1 =10. 0.0 0,0 0 0 o.o .Q!()' D O 0.0 · o;o , j ~ 0 · . O· 0.0 -· , •:::. O.;p: -~ ' ., D , ll 0.0 O'.O 72 66 0.1 0.1 . :;..~• ~ •. .i . ,., /' 56 . ,;; 'i . 58 0.1 · -. ••,•. .ci.1 1 •• :· · , •:·• 1•· 0 .• .t _ 0 0.0 !l,O 2 ,. • 8 0.0 :o,o o --~ o.o . o~o 0 ': 0 0.0 · 0,0 14 ~· 0 99.9 99~9 100 10:Q 0.1 02 0:, 0 0 :;:- ""C :.; (J~ ~ w a-- Summary of Performance Data and Portfolio Statistics Orange County Sanitation District Long Term Portfolio Performance Periods Ended 9/30/2004 :Tofal ,Portfoll.o 1 ·Be~~~·F~elil (o/o) After. fees (%) ··~. Ill 'i:· - .6,1'9°~ . . ·6,0~· :;. : -~·:.. .:, ' ·1 -.-... ~ ;. . : .;6~08 . ··· . ? :\ -'" .-4,-45 . •i ;.~ 5:!t3'.' :"'", ... 4:29 '2i07- Merrill 1-5 Yet,ir G9V't.Cqrp. (%)2 6 .. 12-6,118. ·; . 4.37 1_,n; Summary lnfonnation Total &!arket::V:aiue ( $Mr.ir' :i; Q~~rterty·<:;ontribµ_uon~:($MM) - Esti~al~~:~~~V~.1:1ttcon:,ic$~~)·. E.s~mated'.Yield to.Matur:io/\{~J · · Es~mated Duration (yrs) B~m:;hmatk DuraUon ~) · Avera.9,E!Matlirity (yr$} Av~rage·'ciualify . . Av:e~fi! ~up~n("/4) · ·•: ·~-. ' ,/' . NetCurrency ~p6$ure:{%)• Tracltjng.Error (i yrs., 01ai· Information, Ratlo (3 yrs.)a:~. IIJ•ta•I-Hitit•t4•11 388.4 · )GM ·, ·::, o.o .:a,M 15.2 12;5 3.6 .--~;t 2.3 ,Z.O 2.5 : --2~5 2.6 2.3 -.; MA • ,,AAA 4,0 ~--;:!,311: . ' ~ .,,, o.o ·•:•: o~o '..,1, 0.7 -0.3 o.~ o:, • See example of tracking error/ information ratio on footnote page of the Appendix. See footnotes in Appendix. ---. ·-.•. . ... ~--:;:•_~ · .. ~:-~ ':'.·; ~-.·\ ,.:~ ,,.:.-~: 1.98 . i~.~•.: · ,. 1$.(. ', :_ 1-.8-7" •,• 0.3-7 · ·f.-52·:'· ). 1_,~.1 . · ,.,..Q,!1~~ • 1.EiS 9 8 5-Year Return vs. Standard Deviation 7 I' -••,"'· ~ l!JAlf ~6 E -ai5 rr: 'fil4 N ia E3 ~2 • P<irtto!lo r# '.in-dex : :;.~.. ., : ? :.~ .. . . . -'Ciµgmup,;3,'--'">"~.9-/:~·-.J I :;._,; ,, ..... .-: ~ 1 ••• ~-:-: •. ":\:.:·:·-.·.:· 1 fl 0 0123456789 Standard De11iation of Return2 (%) % of Market Value % of Duration Sector Allocat1on ~ _ . _ l@Mf.t❖ii 9!30.'2004 G/30i2004 MiMt-M•il ,Goi.iemtneot "'' •·· "' 'l.': ~ ~;··~ :,: ,. 79 ., .. , .. '1:Z 68 . . 69 . . ,-.. -: ... -Mortgages. . . ..:, . ,Q.)rp~~--: : i. ::;~,'.:;:. :;,_~-.:::·_/. Higf:l: Y:\~.l.d:. '-·• ,, . . ·riton O.S::$·0eveioped-.bisues: .; • -•· R: ',• ,; ; -~-•" • ", ,Emernlrii:r:MmRefs.-tssJes: ··• . . . .ct~i: ··.::~ ·:,:... ·,;: .,~ .-.., (. _,.,._, . ' NeHia'sffl;QtJivalen'.t.s";;-' ·.:, ·,; '. ,. QQriu1~;1a1 ~~ei:fst-1P·:·; ·. ·: ;f_ ~;[¢~: t:• • .c\; '-•_'' : • ., $J ¢~~~E!~-- sr: eo:~er:oment .dth~r: · · "· L~~(~6Jlitles 1'o.tai 2 , .. ! 1 B ·' • , ,; -~16 4 . :--;: ·. _· 3, 0 :'' ·-/~ ::.;:-J 0 \• :: :. 0 0 } . :'.~·; :•;~ 0 ,.· .-~ -1 :9 3 <:'·;-.:-6 -:· 1 2 :·· _ :3 5 . ·HI 1 1 -13 . :-12 100 10Q ~-~ 4 :· ·. . -_5: 0 _, 0 0 0 0 2 . ::0 -· .. : -; ·,-o '.,-;" i·:· :)::0 3 0 .:o 0 ;• :: ;:. ·, ' 0 0 · :.o 2 3 0 . ... 0 0 0 100 100 Orange County Sanitation District Investment Transactions and Balances in the State of California Local Agency Investment Fund September 30, 2004 Par Value Book Value Market Value Balance September 1, 2004 $~0,710,595 $20,710,595 $20,710,595 Deposits: 9/15/2004 25,500,000 25,500,000 25,500,000 9/21/2004 2,100,000 2,100,000 2,100,000 Total Deposits 27,600,000 27,600,000 27,600,000 Withdrawals: 9/1/2004 (5,000,000) (5,000,000) (5,000,000) 9/9/2004 (4,200,000) (4,200,000) (4,200,000) 9/23/2004 (1,000,000) (1,000,000) (1,000,000) 9/24/2004 (8,500,000) (8,500,000) (8,500,000) 9/29/2004 (2,900 ,000) (2,900,000) {2 ,900,000) Total Withdrawels (21 ,600,000) (21 ,600,000) (21 ,600,000) Balance September 30, 2004 $2ij,710,595 $26,710,595 $26,710,595 Book Page 37 Rate Yield 1.771 1.771 1.771 1.771 1.771 1.771 1.77 1 1.771 1.771 1.771 1.771 1.771 1.771 1.771 1.771 1.771 1.771 1.771 1.771 1.771 1.771 1.771 e,:, 0 0 ~ -= ~ ~ ~ ~ 00 LIQUID OPER-PIMCO-OCSF07511102 Description CASH & CASH EQUIVALENTS U.S. DOLLAR INTEREST CERTfFICATES OF DEPOSIT -DOJ\IBSTIC FED HM LOAN BNK -LESS THAN 1 YR FEDERAL HOME LOAN MORTGAGE -LESS THAN 1 FNMA ISSUES -LESS THAN I YR MUTUAL FUNDS TREASURY BILLS -LESS THAN 1 YR U.S. DOLLAR CASH & CASH EQUIVALENTS FIXED INCOME SECURITIES U.S. DOLLAR BANKING & FINANCE INDUSTRIAL U.S. DOLLAR FlXED INCOME SECURITIES TOTAL ASSETS . BASE: Asset Summary by Asset Type with Sectors 9/30/2004 Cost Shares Par Base 217,442.04 5,500,000.000 5,500,000.00 13,400,000.000 13,353,723.00 14,400,000.000 14,338.956.39 14,600,000.000 14,538,655.50 94,358.050 94,358.05 17,600,000.000 17,534,153.29 65,594,358.050 65,577,288.27 65,594,358.050 65,577,288.27 5,500,000.000 5,614,810.00 1,575,000.000 1,589,663.25 7,075,000.000 7,204,473.25 7,075,000.000 7,204,473.25 72,669,358,050 72,78.1,761.52 Report ID: GLS25 l Base Currency: USD Alternate Base Currency: Exchange Rate: Status: FINAL Market Value Base 217,442.04 5,500,000.00 13,353,723.00 14,338,956.39 14,538,655.50 94,358.05 17,534,153.29 65,577,288.27 65,577,288.27 5,584,900.00 1,577,205.00 7,162,105.00 7,162,105.00 72,739,393.27 % of Total 0.30% 7.56% 18.36% 19.71% 19.99% 0 .13% 24.11% 90.15% 90.15% 7.68% 2.17% 9.85% 9.85% 100.00% Net Unrealized Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0;00 o.oo -29,910.00 -12,458.25 -42,368.25 •42,368,25 -42,368.25 t::o 0 0 ~ --= ~ tJei ~ (H \0 LONG TERM OPER-PlMCO • OCSF07522202 Description CASH & CASH EQUIVALENTS U.S. DOLLAR PENDING TRADES INTEREST COMMERCIAL PAPER • DISCOUNT FED HM LOAN BNK -LESS THAN 1 YR FEDERAL HOME LOAN MORTGAGE -LESS THAN 1 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 FHLMC MULTICLASS FHLMCPOOLS FNMA POOLS FNMAREMIC 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 Asset Summary by Asset Type with Sectors 9/30/2004 Cost Shares Par Base -42.254,518.95 2,322,987.65 700,000.000 696,370.47 4,300,000.000 4,281,279.28 400,000.000 397,784.56 16,200,000.000 16,134,122.02 1,138,604.420 1,138,604.42 16,000,000,000 15,843,937.78 38,738,604.420 -1,439,432.77 38,738,604.420 -1,439,432. 77 1,600,000.000 1,600,000.00 779,923.690 779,923.69 11,000,000.000 11,008,798.00 1,920,261.520 1,920,261.52 873,311.340 874,241.70 63,273.510 61,731.20 53,460,150.680 54,387,072.00 719,440.970 733,829.79 4,163,708.170 4,140,720.58 598,735.870 627,749.36 3,000,000.000 2,999,910.00 35,318,880.000 35,335,799.79 1,600,000.000 1,594,032.00 752,000.000 826,199.84 33,930,387.380 34,898,038.45 203,685,923.500 206,319,287.64 4,750,000,000 4,694,370.00 1 Report ID: GL8251 Base Cun-ency: USO Alternate Base Currency: Exchange Rate: Status: FINAL Market Value Base -42,254,518.95 2,322,987.65 696,370.47 4,281,279.28 397,784.56 16,134,122.02 I, 138,604.42 15,843,937.78 -1,439,432.77 -1,439,432.77 139,392.00 778,705.45 11,244,680.00 2,081,947.54 875,896.34 64,871.04 54,376,328.71 721,674.11 4,194,366.03 634,804.51 2,999,520.00 38,706,006.82 1,649,248.00 826,199.84 35,050,733.53 205,427,602.92 4,828,042.50 % of Total -11.64% 0.64% 0.19% 1.18% 0.11% 4.44% 0.31% 4.36% -0.40% -0.40% 0.04% 0.21% 3.10% 0.57~{) 0.24% 0.02% 14.97% 0.20~·'<> 1.15% 0.17% 0.83% 10.66% 0.45% 0.23%, 9.65% 56.57% 1.33% Net Unrealized Gain/Loss 1 Base 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -1,460,608.00 -1,218.24 235,882.00 161,686.02 1,654.64 3,139.84 -10,743.29 -12, 155.68 53,645.45 7,055.15 -390.00 3,370,207.03 55,216.00 0.00 152,695.08 -891,684.72 133,672.50 ----- Workbench cc 0 0 ::i::- ~ ~ ~ -,:.. Q LONG TERM OPER-PIMCO -OCSF07522202 Description U.S. DOLLAR FIXED INCOME SECURITIES TOTAL ASSETS -BASE: Asset Summary by Asset Type with Sectors . ~/30/2004 Cost Shares Par Base 358,215,996.630 362,801,965.56 358,215,996.630 362,801,965.56 Report ID: GL825 l Base Currency: USD Alternate Base Currency: Exchange Rate: Status: FINAL Market Value Base 364,600,019.34 364,600,019.34 %of Total 100.40% 100.40% Net Unrealized I Gain/Loss Base 1 1,798,053.78 1,798,053.78 396,954,601.050 361,362,532.79 363,160,586.57 100.00% 1,798,053.78 2 Workbench YLDANAL YIELD ANALYSIS PAGE 1 OCSF07511102 2004/09/30 RUN DATE : 10/04/04 DISTRICT: LIQUID OPERATING RUN TIME : 09.21.54 -------------~--- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL --------------------------------------------------------------~-------------------------- CASH & CASH EQUIVALENTS 2,200,000.00 BANK OF AMERICA NA INSTL C/D .ooo 1.620 100.000 2,200,000.00 3.36 06050GEM8 1,620% 11/02/2004 DD 08/06/04 2,200,000.00 3.03 8,400,000.00 FEDERAL HOME LN BKS CONS DISC .ooo .coo P-1 99. 716 8,376,181.33 12.81 313384Q28 MAT 11/19/2004 A-1+ 8,376,181.33 11.55 s,000,000.00 FEDERAL aoME LN BK CONS DISC N .000 .000 P-1 99.551 4,977,541.67 7.61 313384S59 MAT 12/08/2004 A-1+ 4,977,541.67 6.86 7,300,000.00 FEDERAL HOME LN MTG CORP DISC .000 .ooo P-1 99.601 7,270,844.61 11.12 313396N82 MAT 11/09/2004 A-1+ 7,270,844,61 10.03 = 1,000,000.00 FEDERAL HOME LN MTG CORP DISC .coo .000 P-1 99.586 995,860.00 1.52 0 0 313396P72 MAT 11/16/2004 ~ A-1+ 995,860.00 1.37 "'ti 6,100,000.00 FEDEAAt HOME LN MTG CORP DISC .ooo ,ODO P-1 99.545 6,072,251.78 9.29 ~ ~ 313396T37 MAT 12/14/2004 A-1+ 6,072,251.78 8.37 ('I) ~ 1,soo,000.00 FEDERAL NATL MTG ASSN DISC NT .000 .000 P-1 99.597 1,792,755.00 2.74 .... 313588N27 MAT 11/3/2004 A-1+ 1,792,755.00 2.47 2,800,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo .000 P-1 99.592 2,788,569.39 4.26 313588P82 MAT 11/17/2004 A-1+ 2,7881569,39 3.85 4,000,000.00 FEDERAL NATL MTG ASSN DISCOUNT .000 .000 P-1 99.578 3,983,114.44 6.09 313588Q73 MAT 11/24/2004 A-1+ 3,983,114.44 5.49 6,000,000.00 FEDERAL NATL MTG ASSN DISCOUNT .000 .ooo P-1 H.570 5,974,216.67 9.14 313588R64 MAT 12/01/2004 A-1+ 5,974,216.67 8,24 5,600,000.00 US TREASURY BILL .ooo .000 P-1 99.630 5,579,262.11 8.53 912795RK9 DUE 11/04/2004 DD 05/06/2004 A-1+ s,s19,262.11 7.69 2,000,000.00 US TREASURY BILL .ooo .ooo P-1 99.600 1,991,997.50 3.04 912795RL7 DUE 11/12/2004 DD 05/13/2004 A-1+ 1,991,997.50 2,75 s,000 1 000.00 US TREASURY BILL .000 .000 P-1 99.644 4,982,207.29 7,62 912795RM5 DUE 11/18/2004 DD 05/20/2004 A-1+ 4,982,207.29 6.87 s,000,000.00 US TREASURY BILL .000 .ooo P-1 99. 614 4,980,686.39 7.62 912795RN3 DUE 11/26/2004 DD 05/27/2004 A-1+ 4,980,686.39 6.87 = Q Q ::s::"' ~ ~ ~ ,I:,,. N YLDANAL OCSF075lll02 DISTRICT: LIQUID OPERATING YIELD ANALYSIS 2004/09/30 PAGE RUN DATE RUN TIME 2 10/04/04 09.21.54 ==============~==~~=~==~======================~=================================~=======~======~=====~~================~==~~ PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD $-P PRICE MARXET VALUE % TOTAL -------------------~--------------------------------------------------------------------------- 1,100,000.00 WELLS FARGO BANK NA INSTL C/D .000 1. 650 100.000 1,100,000.00 1.68 9497PlBU2 1.650% 10/07/2004 DD 09/09/04 1,100,000.00 1.52 2,200,000.00 WELLS FARGO BANK NA INSTL C/D .000 1.600 100.000 2,200,000.00 3.36 9497PlCL1 1.600% 10/04/2004 DD 08/30/04 2,200,000.00 3.03 94,358.05 DREYFUS TREASURY CASH MGMT .ooo 1.459 AAA 100.000 94,358.05 .-14 996085247 AAA 94,358.05 .13 -------------------------------------- TOTAL CASH & CASH EQUIVALENTS .000 .110 65,359 I 846. 23 100,00 65,359,846.23 90.12 FIXED INCOME SECURITIES 3,000,000.00 ASSOCIATES CORP NORTH AMER SR .ooo 6.447 AAl 102,765 3,112,350.00 43,04 046003FF1 6.625% 06/15/2005 DD 06/09/95 AA-3,082,950.00 4.25 1,575,000,00 DU PONT EI DE NEMOURS b CO NT .ooo 6.741 AA3 100.140 1,58.9,663.25 22.02 263534BH1 6.750% 10/15/2004 DD 10/20/99 AA-1,577,205.00 2.17 2,soo,000.00 GENERAL ELEC CAP MTN #TR 00526 .ooo 2.003 AAA 100.078 2,502,460,00 34.93 36962GXX7 VAR RT 03/15/2005 DD 03/20/02 AAA 2,501,950,00 3.45 -------------------------~----·-~------- TOTAL FIXED INCOME SECURITIES .ooo 5.763 7,204,473.25 100.00 7,162,105.00 9,87 ----·-------------------- TOTAL • 000 .233 72,564,319.48 100.00 72,521,951.23 100.00 ================= --------- YLDANAL YIELD ANALYSIS PAGE 3 OCSF07522202 2004/09/30 RUN DATE 10/04/04 DISTRICT: LONG-TERM OPERATING RUN TIME 09. 21. 54 =================~=========---~~~====~~ PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARI<ET VALUE % TOTAL -------------------------------~-----------------------------------~--------------------------- CASH & CASH EQUIVALENTS 700,000.00 FEDERAL HOME LN BK CONS DISC .ooo .000 P-l 99,601 697,~04,28 1.81 313384P37 A-1+ 697,204.28 .17 3,600,000.00 FEDERAL HOME LN BK CONS DISC N .ooo .ooo P-1 99,558 3,584,075.00 9.31 313384559 MAT 12/08/2004 A-1+ 3,594,075.00 .89 400,000.00 FEDERAL HOME LN MTG CORP DISC .000 .ooo P-1 99.446 397,784.56 1.03 313396Q71 MAT 11/24/2004 A-1+ 397,784.56 .10 100,000.00 FEDERAL NATL MTG ASSN DISCOUNT .000 .000 P-1 99.766 698,364.14 1.81 = 313588P66 MAT 11/15/2004 A-1+ 698,364.14 ,17 0 0 5,400,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo .ooo P-1 99.604 5,378,617.50 13.97 ::=:-313588P82 MAT 11/17/2004 A-1+ 5,378,617.50 1.33 --= ~ ~ 800,000.00 FEDERAL NATL MTG ASSN DISCOUNT .000 .ooo P-1 99.580 796,643.11 2,06 ~ 313588Q73 MAT 11/24/2004 A-1+ 796,643.11 .20 ... tH 1,100,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo .000 P-1 99.665 1,096,315.00 2.84 313588R49 MAT 11/29/2004 A-1+ 1,096,315.00 .27 4,000,000.00 FEDERAL NATL MTG ASSN DISCOUNT .000 .000 P-1 99. 591 3,983,636.61 10.34 313588R64 MAT 12/01/2004 A-1+ 3,983,636,61 .99 200,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo .ooo P-1 99.555 199,110.22 .51 313588S55 MAT 12/08/2004 A-1+ 199,110.22 .05 400,000.00 FEDERAL NATL MTG ASSN DISC NTS .ooo .ooo P-1 99.568 398,270.44 1.03 313588T47 MAT 12/15/2004 A-1+ 398,270.44 .10 3,600,000.00 FEDERAL NATL MTG ASSN DISCOUNT ,000 .ooo P-1 99,532 3,583,165.00 9.30 313588U37 MAT 12/22/2004 A-1+ 3,583,165.00 ,89 soo,000.00 GENERAL ELEC CAP DISC .000 .000 P-1 99,450 497,249,58 1.29 36959HLGO 11/16/2004 497,249.58 .12 200,000.00 GENERAL ELEC CAP DISC .ooo .000 P-1 99.560 199,120.89 .51 36959HM20 12/02/2004 199,120.89 .os 16,000,000.00 US TREASURY BILL .000 .ooo P-1 99.025 15,843,937.78 41.16 912795SG7 DUE 03/31/2005 DD 09/30/2004 A-1+ 15,843,937.78 3.93 YLDANAL YIELD ANALYSIS PAGE 4 OCSF07522 202 2004/09/30 RUN DATE 10/04/04 DISTRICT: LONG-TERM OPERATING RUN TIME 09.21 .54 ======~====~===========~===========~===~=~======~=~==--~==--====--=---------------=--------==--=----------------------------- PAR VALUE YTM AT CURRENT MOODY MARJCET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL -----------------------------------------------·-------·----------·-------------------------------- 1,138,604.42 DREYFUS TREASURY CASH MGMT .000 1.459 AAA 100.000 1,138,604,42 2. 95 996085247 AAA 1,138,604.42 ,28 --------·-------------------------------- TOTAL CASH & CASH EQUIVALENTS .ooo ,007 38,492,098.53 100.00 38,492,098.53 9,54 FIXED INCOME SECURITIES 752,000,00 AIG SUNAMERICA GLOBAL REGS ,000 5.325 109,867 826,199.84 ,22 0::, tJ00907AAO 5.850% 08/01/2008 DD 08/08/01 826,199.84 .20 0 0 22,000,000.00 COMMIT TO PUR FNMA SF MTG .ooo 4.923 AAA 101.563 22,381,562.50 6 .12 ::i::-01F0504Al 5.000% 10/01/2019 DD 10/01/04 AAA 22,343,750.00 5.54 ~ ~ 4,000,000.00 COMMIT TO PUR FNMA SF MTG .000 5.430 AAA 101.297 4,055,859.37 1.11 (JCI ~ 01F0526A5 5,500% 10/01/2034 DD 10/01/04 AAA 4,051,875.20 1.01 ,&:,.. ,&:,.. 3,500,000.00 FEDERAL HOME LN BK CONS BDS .ooo 6,992 AAA 101.895 3,732,225.00 .97 3133MAUN7 7.125% 02/15/2005 DD 02/08/00 AAA 3,566,338.65 .88 63,273.51 FHLMC GROUP #78-6064 .ooo 3.304 AAA 102,525 61,731.20 .01 31348SW,',3 6.384% 01/01/2028 DD 12/01/97 AAA 64,871.04 .02 11,350,000.00 FEDERAL NATL MTG ASSN DEBS .000 5.037 AAA 104.219 11,521,271.50 3.24 31359MJX2 5,250% 06/15/2006 DD 06/22/01 AAA 11,828,822.45 2.93 694,374,27 FNMA POOL l!0254510 .ooo 4,905 AAA 101.941 715,205.49 ,19 31371KVB4 5.000% ll/01/2017 DD 10/01/02 AAA 707,854.92 .18 149,427.46 FNMA POOL #0254631 .000 4.905 AAA 101.941 153,910.29 . 04 31371KY47 5.000% 02/01/2018 DD Ol/01/03 AAA 152,328.46 .04 132,882.67 FNMA POOL #0254760 .ooo 4.906 AAA 101.910 136,869.14 .03 31371KSV9 5.000% 06/01/2018 DD 05/01/03 AAA 135,420.94 .03 60,193.59 FNMA POOL 10254866 .000 4,906 AAA 101.910 61,999.40 .01 31371LCB3 5,000% 09/01/2018 DD 08/01/03 AAA 61,343.38 .02 318,282,21 FNMA POOL l!0254953 .ooo 4,909 AAA 101.848 322,360.21 .08 31371LE21 5.000% 11/01/2018 DD 10/01/03 AAA 324,162.98 .08 YLDANAL YIELD ANALYSIS PAGE 5 OCSF07522202 2004/09/30 RUN DATE 10/04/04 DISTRICT: LONG-TERM OPERATING RUN TIME 09.21.54 ==================================~====================================~================================================= PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ------------------------------------------~ ~-------------·----------------------------------- 864,896.51 FNMA POOL t0254987 .ooo 4,915 AAA 101. 731 875,977.99 ,24 31371LF46 5.000% 12/01/2018 DD 11/01/03 AAA 879,867.83 .22 156,322.37 FNMA POOL t0323980 .ooo 5,706 AAA 105.145 163,210.32 ,04 3l374T2MO 6.000% 04/01/2014 DD 09/01/99 AAA 164,364.42 .04 25,354.45 FNMA POOL 40357328 .000 4,912 AAA 101. 790 26,115.08 .oo 31376J4M8 5.000% 01/01/2018 DD 01/01/03 AAA 25,808.25 ,01 1,333,703.06 FNMA POOL -i0357430 ,000 4.906 AAA 101.910 1,348,707.22 .37 31376KA71 5.000% 09/01/2018 DD 09/01/03 AAA 1,359,178.92 .34 t::c 45,096.97 FNMA POOL 10456482 .ooo 5.706 AAA 105.145 47,084.04 .01 0 31381CCT2 6.000% 02/01/2014 DD 02/01/99 AAA 47,417.00 .01 0 ~ 125,792.21 FNMA POOL 1l0509649 ,000 5.706 AAA 105.145 131,334.93 .03 "'ti 31383QEWO 6.000% 09/01/2014 DD 09/01/99 AAA 132,263.63 .03 ~ (JCl 122,183.34 FNMA POOL #0535451 .ooo s. 713 AAA 105.020 127,567.04 .03 ~ ~ 31384VZQ8 6,000% 06/01/2015 DD 07/01/00 AAA 128,316.37 ,03 Ul 318,503.77 FNMA POOL #0555363 .ooo 4,905 AAA 101.941 328,058.87 ,08 31385W5Yl 5.000% 04/01/2018 PD 03/01/03 AAA 324,687.23 .08 33,019.78 FNMA POOL -i0555453 .000 4,905 AAA 101.941 33,442.85 .oo 31385XBW6 5.000% 05/01/2018 DD 04/01/03 AAA 33,660.83 .01 263,865.95 FNMA POOL t0555545 .ooo 4.905 AAA 101. 941 271,781.94 ,07 31385XES2 5.000% 06/01/2018 DD 05/01/03 AAA 268,988.67 ,07 914,587.42 FNMA POOL •D555621 ,000 4,915 AAA 101,731 924,876,53 .25 31385XG68 5,000% 07/01/2018 DD 06/01/03 AAA 930,418.89 .23 492,259.84 FNMA POOL #0681309 .ooo 4.905 AAA 101. 941 507,027.63 .13 31391Y3S4 5.000% 02/01/2018 DD 02/01/03 AAA 501,816.62 .12 59,940.63 FNMA POOL #0681334 .ooo 4.905 AAA 101.941 61,738.85 .01 31391Y4Tl 5.000% 02/01/2018 DD 01/01/03 AAA 61,104,32 .02 719,440.97 FNMA GTD REMIC P/T 02-76 PD .ooo 4,985 MA 100. 310 733,829.79 ,19 31392FKF3 5.000% 08/25/2022 DD 10/01/02 MA 721,674.11 .18 314,850.30 FNMA POOL J0684908 .ooo 4.905 AAA 101.941 318,884,33 .08 31400D3Rl 5.000% 06/01/2018 DD 05/01/03 AAA 320,962.84 .08 YLDANAL YIELD ANALYSIS PAGE 6 OCSF07522202 2004/09/30 RUN DATE 10/04/04 DISTRICT: LONG-TERM OPERATING RUN TIME 09.21.54 ==~====~================================================================~========-==-==-~==================~===-======~====-= PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL -----------------------------~----------------------------------------------------------------- 176,817.75 FNMA POOL #-0685200 .000 4.905 AAA 101. 941 179,083.24 .04 31400EGH7 5.000% 03/01/2018 DD 03/01/03 AAA 180,250.51 .04 30,581.20 FNMA POOL J0685665 .000 4.905 AAA 101,941 31,498.64 .oo 31400EW22 5.000% 02/01/2018 DD 02/01/03 AAA 31,174.91 .01 262,419.21 FNMA POOL #0686318 .ooo 4.905 AAA 101. 941 270,291.79 ,07 31400FPB7 5,000% 03/01/2018 DD 03/01/03 AAA 267,513.84 .07 104,370.76 FNMA POOL #-0688739 .ooo 4,906 AAA 101.910 107,501.88 .02 31400JEL9 5.000% 06/01/2018 DD 06/01/03 AAA 106,364.41 ,03 84,537.99 FNMA POOL 10689859 .000 4.906 AAA 101.910 85,621.14 .02 = 31400KMG8 5.000% 05/01/2018 DD 05/01/03 0 AAA 86,152,80 .02 0 594,812.63 FNMA POOL 10693834 .ooo 4,90S AAA 101. .941 612,657.00 .16 ~ "'t1 31400PY74 5.000% 03/01/2018 DD 03/01/03 AAA 606,360.38 ,15 = (JQ 212,146.76 FNMA POOL 10695852 .ooo 4.906 AAA 101.910 218,511.16 .05 ~ 31400SBVO 5.000% 05/01/2018 DD 05/01/03 AAA 216,1.99,10 .05 ~ 0'-1 703,743.63 FNMA POOL 10695889 .coo 4.906 AAA 101.910 724,855,95 .19 314005C23 5.000% 05/01/2018 DD 05/01/03 AAA 717,186,26 .10 22,092.44 FNMA POOL #0697026 .ooo 4,905 AAA 101.941 22,755.23 .oo 31400TLF2 5,000% 05/01/2018 DD 04/01/03 AAA 22,521.34 .01 210,296,98 FNMA POOL #0702210 .ooo 4.915 AAA 101. 731 216,605,88 .OS 31401ADP9 5.000% 05/01/2018 DD 05/01/03 AAA 213,937.21 .OS 129,939.53 FNMA POOL '#0702328 .ooo 4.905 AAA 101.941 131,604,38 .03 31401Ali02 5.000% 05/01/2018 DD 04/01/03 AAA 132,462,19 .03 264,680.93 FNMA POOL f0709148 .ooo 4.906 AAA 101.910 272,621,36 ,07 31401HZM7 5.000% 06/01/2018 DD 06/01/03 AAA 269,736.76 .07 620,273.85 FNMA :POOL #0709360 .ooo 4.906 AAA 101. 910 628,221.12 .17 31401JB56 5,000% 07/01/2018 DD 06/01/03 AAA 632,122,07 . 16 103,722,22 FNMA POOL #-0709826 .000 4.906 AAA 101,910 105,051.16 ,02 31401JSP4 5.000% 06/01/2018 DD 06/01/03 AAA 105,703.48 .03 219,226,92 FNMA POOL #0709917 .000 4.906 AAA 101.910 222,035.76 .06 31401JVJ4 5,000% -06/01/2018 DD 06/01/03 AAA 223,414,50 .06 YLDANAL YIELD ANALYSIS PAGE 7 OCSF07522202 2004/0!J/30 RUN DATE 10/04/04 DISTRICT1 LONG-TERM OPERATING RUN TIME 09.21.54 ========:===================================~===========~====================~=======~==-===========~=======;=============-- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ----------------·-·---------------·----------·-----"----·---------------------·---------------~---- 18,201.79 FNMA POOL #0709963 .ooo 4.915 AAA 101. 731 18,435.01 .oo 31401.JWYO 5,000% 06/01/2018 DD 06/01/03 AAA 18,516.86 .oo 582,815.86 FNMA POOL jt0710235 .000 4.906 AAA 101.910 600,300.35 .16 31401KBC8 5.000% 06/01/2018 OD 06/01/03 AAA 593,948.58 .15 15,893.50 FNMA POOL #0713344 .000 4.906 AAA 101.910 16,370.30 .oo 31401NPS2 5.000% 06/01/2018 OD 06/01/03 AAA 16,197.09 .00 256,335.02 FNMA POOL 4/0713365 .000 4,906 AAA 101.910 259,619.31 ,07 31401NQS1 5,000% 07/01/2018 DD 07/01/03 AAA 261,231.43 .06 ~ 709,543.42 FNMA POOL #0720319 .ooo 4.906 AAA 101.910 71B, 634. 44 .19 0 31401WG45 5.000% 07/01/2018 DD 07/01/03 AAA 723,096.83 .18 0 ,::- --= 2,058,931.59 FNMA POOL ,fl0720369 ,000 4.915 AAA 101. 731 2,120,699.54 .57 ~ 31401WJNO 5.000% 06/01/2018 DD 06/01/03 AAA 2,094,571.61 .52 (J'Q ~ 2B6,237,62 FNMA POOL #0721629 .000 4 • .906 AAA 101.910 294,824.77 .OB ~ 31401XVW4 5,000% 07/01/2018 DD 06/01/03 AAA 291,705.22 ,07 -.J 233,241.84 FNMA POOL #0723487 .ooo 4.906 AM 101,910 235,865.81 ,06 31402AXQ4 5.000% 06/01/2018 DD 06/01/03 AAA 237,697.13 ,06 391,186.70 FNMA POOL 10729601 .ooo 4,906 AAA 101.910 396,19B.78 .10 31402HRW3 5.000% 07/01/2018 DD 07/01/03 AAA 398,658.99 .10 33,344.72 FNMA POOL #0732873 .ooo 4.907 AAA. 101.891 33,771.93 .oo 314D2MFN5 5.000% 11/01/2018 DD 10/01/03 AAA 33,975.41 .01 648,278.50 FNMA POOL f0737130 • 000 4.906 AAA 101.910 656,584,57 .18 3H02S4P9 5.000% 10/01/2018 DD 10/01/03 AAA 660,661.66 .16 517,728.23 FNMA POOL J0738211 .ODO 4.915 AAA 101. 731 524,361.64 .14 31402UDQ2 5.000% 10/01/2018 DD 10/01/03 AAA 526,690.08 .13 186,832.71 FNMA POOL 410738487 .000 4 .909 AAA 101.848 189,226.50 .05 31402UNC2 5,000% 10/01/2018 DD 10/01/03 AAA 190,284,74 .OS 673,747.59 FNMA POOL #0740471 ,ODO 4.915 AAA 101. 7 31 682,379.96 .18 31402WT40 5.000% 10/01/2018 DD 10/01/03 AAA 685,410.13 .17 745,479.74 FNMA POOL #0740748 . 000 4.906 AAA 101.910 755,031.19 .20 31402WSH7 5,000% 10/0l/ZOlB DD 11/01/03 AAA 759,719.60 ,19 YLDANAL YIELD ANALYSIS PAGE B OCSF07522202 2004/09/30 RUN DATE 10/04/04 DISTRICT: LONG-TERM OPERATING RUN TIME 09.21.54 ===~==;============:==========~===================================~=============-==-====-~=-~====~-~========-====--==-------~ PAR VALUE YTM AT CURRENT MOODY MARl<ET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL --------------------------~-----~-------------------------------------------·-------------- 37,509.11 FNMA POOL #0743868 .ooo 4,915 AAA 101.731 37,989.69 .01 31403BMR1 5.000% 11/01/2018 OD 10/01/03 AAA 38,158.39 .01 976,392.39 FNMA POOL f0744008 , 000 4.906 AAA 101.910 988,902.41 .27 31403BR54 5.000% 07/01/2018 DD 09/01/03 AAA 995,043.05 .25 153,543,48 FNMA POOL 10744316 .ooo 4 .915 AAA 101. 7 31 155,510.76 .04 31403B3Z4 5,000% 09/01/2018 DD 09/01/03 AAA 156,201.31 . 04 340,171,47 FNMA POOL #0747914 .ooo 4.909 AAA 101.848 344,529.92 .09 3l403F3XO 5.000% 11/01/2018 OD 11/01/03 AAA 346,456.68 .09 203,586.21 FNMA POOL l/0748400 .ooo 4.915 AAA 101. 731 206,194.66 .05 = 31403GNR9 5.000% 08/01/2018 DD 09/01/03 AAA 207,110.28 .05 0 0 910,874.30 FNMA POOL #0748899 .000 4,911 AAA 101. 810 930,647,37 .25 ~ '""=' 31403G7LO 5.000% 12/01/2018 DD 11/01/03 AAA 935,505.06 .23 ~ ()Cl 2,114,955.59 FNMA POOL #0750377 .000 4. 911 AAA 101.810 2,142,053.46 .59 ~ 31403JUA2 5.000% 11/01/2018 DD 11/01/03 AAA 2,153,234.30 .53 ,I:,,. QC 1,884,100,47 FNMA POOL #0750380 .ooo 4.911 AAA 101,810 1,908,240.53 .52 31403J\JD6 5.000% 11/01/2018 DD 11/01/03 AAA 1,918,200.92 .48 168,149.99 FNMA POOL f0750445 .000 4.911 AAA 101.810 170,304.42 .04 31403JWE2 5,000% ll/01/2018 DD 11/01/03 AAA 171,193.35 .04 795,318.64 FNMA POOL f0751960 .ooo 4.915 AAA 101. 731 805,508.67 .22 31403LMH1 5,000% 12/01/2018 DD 11/01/03 AAA 809,085.57 .20 839,403.29 FNMA POOL t0753425 .ooo 4.914 AAA 101. 754 849,108.88 .23 31403NA23 5.000% 11/01/2018 DD 11/01/03 AAA 854,125.67 . 21 589,478.11 FNMA POOL 10755165 .ooo 4.909 AAA 101.848 597,030.80 .16 31403Q6A3 5.000% 12/01/2018 DD 11/01/03 AAA 600,369.66 ,15 915,669.20 FNMA POOL 10756372 .000 4.909 AAA 101.848 926,256.62 .25 31403SJR8 5,000% 11/01/2018 DD 11/01/03 AAA 932,587.65 • 23 10,880.44 GNMA POOL #0421389 .ooo 6.124 AAA 106,133 11,419.37 .oo 36206UC23 6.500% 04/15/2026 DD 04/01/96 AAA 11,547.72 .oo 19,939.53 GNMA POOL f0449851 .ooo 6.157 AAA 105.566 20,927.17 .oo 36208FWLO 6.500% 01/15/2028 OD 01/01/98 AAA 21,049.37 .01 YLDANAL YIELD ANALYSIS PAGE 9 OCSF07522202 2004/09/30 RUN DATE : 10/04/04 DISTRICT: LONG-TERM OPERATING RUN TIME 09.21.54 ===~====~==================~==-=--====================-=================~===-=-==--=============-----~-----=-==--=---------- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALIJE % TOTAL ---------------------------------------------------------------------------------------------- 36,672.86 GNMA POOL i0466845 .000 6,130 AAA 106.039 38,489.31 .01 36209BTA6 6.500% 06/15/2028 DD 06/01/98 AAA 38,887.56 .01 111,518.20 GNMA POOL !0468052 .000 .6.130 AAA 106.039 117,041.83 .03 36209C5M4 6.500% 07/15/2028 DD 07/01/98 AAA 118,252.85 .03 154,360.22 GNHA POOL 10476041 • 000 6 .130 AAA 106.039 161,764.70 .04 36209MZE7 6.500% 06/15/2028 DD 06/01/98 AAA 163,682.13 .04 121,178.19 GNMA POOL i0478626 .ooo 6.130 AAA 106.039 126,990.96 ,03 36209QVT9 6.500% Ol/15/2029 DD 01/01/99 AAA 128,496.21 .03 28,890.97 GNMA POOL 10480598 .ooo 6.130 AAA 106,039 30,276.82 .oo ~ 36209S3F6 6.500% 10/15/2028 DD 10/01/98 AAA 30,635.71 .01 0 0 ~ 8,429.36 GNMA .POOL '#0512235 .ooo 6.133 AAA 105.977 8,846.87 .00 -= 36211GBC6 6.500% 11/15/2029 DD 11/01/99 AAA 8,933.15 .00 ~ (JQ 106,866.10 GNMA POOL !0514326 .ooo 6.130 AAA 106.039 111,992.33 .03 ~ 36211JLF2 6.500% 07/15/2029 DD 07/01/99 AAA 113,319.81 .03 """ ~ 197,873.22 GNMA II POOL f0080395 .000 3.342 AAA 100.996 196,080.00 .05 36225CNM4 VAR RT 04/20/2030 DD 04/01/00 AAA 199,843.48 .05 1,781,830.04 GNMA II POOL f080408X .000 3.342 AAA 100.995 1,763,733.32 .49 36225CN28 6.500% 05/20/2030 DD 05/01/00 AAA 1,799,561.57 .45 379,619.49 GNMA II POOL t0080900 .000 3.020 AAA 99.352 369,357,89 .10 36225DAA2 VAR RT 05/20/2034 DD 05/01/04 AAA 377,160.50 .09 1,394,813.52 GNMA II POOL f0080965 .000 3.481 AAA 100.542 1,393,941.75 .38 36225DCB8 VAR RT 07/20/2034 DD 07/01/04 AAA 1,402,373.69 .35 3,000,000.00 GENERAL MTRS ACCEP CORP SR NT .ooo 5,813 A3 105.359 3,064,350.00 ,86 370425SD3 6.125% 08/28/2007 OD 08/29/02 BBB 3,160,770.00 .78 000,000.00 GOLDMAN SACHS GRP MTN tTR00207 .000 1.977 AA3 100 .140 800,000.00 .21 38141EJQ3 VAR RT 07/23/2009 DD 07/23/04 A+ 801,120.00 .20 3,000,000.00 GOLDMAN SACHS GROUP INC SR NT .ooo 4.047 AA3 101.921 3,030,030.00 .83 38141GCS1 4.125% 01/15/2008 DD 01/13/03 A+ 3,057,630.00 .76 3,000,000.00 KRAFT FOODS INC NT .ooo 1.960 A3 99,984 2,999,910.00 ,82 50075NAJ3 VAR RT 11/26/2004 DD 11/26/02 BBB+ 2,9,9,520,00 .74 YLDANAL YIELD ANALYSIS PAGE 10 OCSF07522202 2004/09/30 RUN DATE 10/04/04 DISTRICT: LONG-TERM OPERATING RUN TIME 09,21.54 ====~=============~~~===~==~=~=========~==================~~===----======================~=========: PAR VALUE YTM AT CURRENT MOODY MARI<ET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ---------------------------------------------·------~----------------------------------------- 3,200,000.00 MORGAN STANLEY NT ,ODO 3.874 AAJ 100,015 3,149,248.00 .87 61746BALO 3,875% 01/15/2009 DD 01/13/04 A+ 3,200,480.00 .79 779,923.69 RESIDENTIAL ASSET 03-RSll AIIB .ooo 2,173 AAA 99. 844 779,923.69 .21 760985K83 VAR RT 12/25/2033 DD 12/30/03 AAA 778,705.45 .19 2,985,923.50 SBA GTD DEV PAR.TN 2001-20C 1 .ooo 5.852 AAA 108.345 2,985,923.50 ,88 83162CLJO 6.340% 03/01/2021 AAA 3,235,098, 82 .so 1,920,261.52 SBA GTD PARTN CTFS SBIC-PS 01 .ooo 6.124 AAA 108.420 1,920,261.52 ,57 831641DD4 6.640% 02/10/2011 DD 02/21/01 NR 2,081,947,54 .52 c:, 1,600,000.00 UNITED AIRLS PASSTHRU 01-1 C .000 78.409 WR 8. 712 1,600,000.00 .03 0 909317BC2 6,831% 03/01/2010 DD 08/22/01 A-139,392.00 .03 0 ~ 20,000,000.00 US TREASURY NOTES .ooo 5.782 AAA 10B,094 22,620,312,50 5,92 --= ~ 912B272JO 06.250% 02/15/2007 DD 02/15/97 AAA 21,618,800.00 5.36 (JCI 3,522,270,00 US TREASURY INFLATION INDEX NT .ooo 3.305 AAA 109.688 3,831,771.35 1.05 ~ !'JI 9128273T7 3.625% Ol/15/2008 DD 01/15/98 AAA 3,863,489.91 .96 = 15,035,670.00 US TREASURY INFLATION INDEX NT .000 3,442 AAA 112,594 16,661,030.11 4.64 9128274Y5 3.875% 01/15/2009 DD 01/15/99 AAA 16,929,262.28 4.20 3,900,000.00 US TREASURY NOTES .ooo 5.535 AAA 103.890 4,288,149 .14 1.11 9128276N7 05.750% 11/15/2005 DD 11/15/00 AAA 4,051,729.50 1.01 17,600,000.00 US TREASURY NOTES .ooo 3,353 AAA 100.660 17,405,000.00 4.85 91282BBT6 3.375% 12/15/200B DD 12/15/03 AAA 17,716,160.00 4.40 61,000,000.00 US TREASURY NOTES .ooo 1.886 AAA 99,440 60,967,721.21 16.63 912B28BX7 1.875% 01/31/2006 DD 01/31/04 AAA 60,658,400,00 15.05 11,000,000.00 US TREASIJRY NOTES .ooo 1.642 AAA 98,984 17,045,156.25 4,61 912828CB4 1.625% 02/28/2006 DD 02/29/04 AAA 16,827,344.60 4.17 33,000,000,00 US TREASURY NOTES .ooo 2,256 AAA 99.740 32,835,000.00 9.02 912828CF5 2,250% 04/30/2006 DD 04/30/04 AAA 32,914,200.00 8.17 21,soo,000.00 US TREASURY NOTES ,ODO 2.738 AAA 100,440 27,463,468.63 7.57 912828CMO 2,750% 06/30/2006 DD 06/30/04 AAA 27,621,000.00 6,85 20,700,000.00 US TREASURY NOTES .ooo 2.73.9 AAA 100,410 20,708,556,41 5.70 912828CQ1 2,750% 07/31/2006 DD 07/31/04 AAA 20,784,870.00 5.16 YLDANAL YIELD ANALYSIS PAGE 11 OCSF07522202 2004/09/30 RUN DATE 10/04/04 DISTRICT: LONG-TERM OPERATING RUN 'J:lf,Q;: 09,:21.54 ============~===========================-~=~-----~=---------------------------------------------- .PAR VALIJE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL --------------~----~---------------------------... ---------~------------------------- 1,750,000.00 VIRGINIA ELEC & PWR 01 SER A .ooo 5.527 A3 104.031 1,743,840.00 .49 927804END 5.750% 03/31/2006 DD 03/27/01 BBB-+-1,820,542.50 ,45 16,760,940,00 US TREASURY INFLATION INDEX NT 3,817 3,158 AAA 106.875 14,842,998.33 4.91 9128272M3 3.375% 01/15/2007 DD 01/15/97 AAA 17,913,254.63 4,44 1s,soo,ooo.oo FEDERAL NATL MTG ASSN DEBS 5.967 6.991 AAA 101. 911 16,154,410.00 4,33 31359MFH1 7,125% 02/15/2005 DD 02/14/00 AAA 15,796,195.70 3,92 873,311.34 FHLMC MULTICLASS MTG SER E3 A 6.316 3.621 AAA 100. 296 874,241.70 ,24 3133TCE95 VAR RT 08/15/2032 DD 12/01/97 AAA 875,896.34 ,22 = 541,639,63 GNMA GTD REMIC TR 2000-9 FH 6.320 2-263 AAA 100,706 541,639.63 ,14 0 0 3837H4NX9 VAR RT 02/16/2030 AAA 545,463.61 .14 ,:- --= 235,705.78 Gl~MA II POOL i080088M 6,705 3,340 AAA 101.038 240,861.85 .06 ~ 36225CC20 7.375% 06/20/2027 DD 06/01/97 AAA 238,153.42 .06 ~ r0 UI 173,866.12 GNMA II POOL #0080023 6.992 4.536 AAA 101.960 176,745.77 .04 ,... 36225CAZ9 VAR RT 12/20/2026 DD 12/01/96 AAA 177,273.37 .04 2,100,000.00 FEDERAL NATL MTG ASSN DEBS 7 .113 s. 873 AAA 112. 802 2,030,133.00 .64 31359MEYS 6.625% 09/15/2009 DD 09/01/99 AAA 2,368,840.74 .59 1,000,000.00 FORD MOTOR CR CO NT 7.582 6.587 A3 102.468 965,170.00 .28 345397GV9 6.750% 05/15/2005 DD 05/24/93 BBB-1,024,680,00 ,25 938,747.75 WMP/HUNTOON PAIGE #000-11150 7.684 7.450 AAA 100.674 918,359.32 .25 302998GE3 7.500% 12/01/2030 DD 10/21/99 AAA 945,072.38 .23 3,000,000.00 PACIFICORP SECD MTN #TR 00115 7.709 7.282 A3 100.250 2,950,530.00 ,82 69512EEU5 7.300% 10/22/2004 DD 10/22/92 A 3,007,500.00 .75 = Q Q ::s::"' ~ ~ ~ (.II N YLDANAL OCSF07522202 DISTRICT: LONG-TERM OPERATING YIELD ANALYSIS 2004/09/30 PAGE RUN DATE RUN TIME 12 10/04/04 I 09,21.54 ===~================:~==~================~============~============================~=================~===~==~=============~= PAR VALUE SECURITY ID SECURITY DESCRIPTION 1,600,000.00 ALLSTATE CORP SR NT 020002AL5 7.875% 05/01/2005 DD 05/01/00 TOTAL FIXED INCOME SECURITIES TOTAL YTM AT BOOK 7.967 .172 ,168 CURRENT MOODY MARKET YIELD S-P PRICE 7,640 Al 103,078 A+ 4.365 4.276 TOTAL COST/ MARKET VALUE 1,594,032.00 1, 6 4 9, 2 4B • 00 362,801,965.56 364,600,019.34 401,294,064.09 403,092,117.B7 =-==-=~=~= % 'l'YPE % TOTAL ,45 ,41 100.00 90,46 100.00 100.00 FAHR COM-MITTEE AGENDA REPORT Orange County Sanitation District FROM: Gary Streed, Director of Finance Originator: Michael D. White, Controller SUBJECT: FINANCIAL REPORT FOR THE QUARTER ENDED SEPTEMBER 30, 2004 GENERAL MANAGER'S RECOMMENDATION Meeting Date 11/10/04 Item Number FAHR04-98 Receive and file the FY 2004-05 Financial Report for the First Quarter ended September 30, 2004. SUMMARY To Bd. of Dir. 11/17/04 Item Number Attached in a separately bound document is the District's First Quarter Financial Report for the period ended September 30, 2004. This report is a consolidation of the financial accomplishments of the District through the through the first quarter of the FY 2004-05. Contained within the First Quarter 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, 22.01 percent, or $18.41 million of the FY 2004-05 net joint operating budget of $83.61 million has been expended. Net cost has decreased $403,000 in comparison with the same period last year. The total cost per million gallons at September 30, 2003 is $844.60 based on flows of 21.79 billion gallons, or 236.88 million gallons per day. This is $71.72, or 7.83 percent below the budgeted cost per million gallons of $916.32. This shortfall is primarily due to expenditures being lower than budget by 11.95 percent, or $2.5 million. This expenditure shortfall is somewhat offset by the fact that flows are 5.25 percent lower than the budget estimate of 250 million gallons per day. PROJECT/CONTRACT COST SUMMARY N/A H:\depl\agenda\F AH RIFAHR200411104104-98-Financial Report.doc Revised: 8/20/98 BookPage 53 Page 1 BUDGET IMPACT D This item has been budgeted. D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. ~ Not applicable (information item) ADDITIONAL INFORMATION None. ALTERNATIVES NIA CEQA FINDINGS N/A ATTACHMENTS 1. FY 2004-05 Financial Report for the Quarter Ended September 30, 2004. H:ldeptlagenda\FAHRIFAH R200411104104-98. Financial Report.doc Revised: B/20/98 BookPage 54 Page2 FAHR COMM'ITTEE AGENDA REPORT Orange County Sanitation District FROM: Gary G. Streed, Director of Finance Originator: Michael D. White, Controller Meeting Date 11/10/04 Item Number , FAHR04-99 SUBJECT: SWAP REPORT FOR THE QUARTER ENDED SEPTEMBER 30, 2004 GENERAL MANAGER'S RECOMMENDATION Receive and file Swap Report for the quarter ended September 30, 2004. SUMMARY To Bd. of Dir. 11/17/04 Item Number In August 2003, the Committee approved an Interest Rate Exchange Agreement Policy that provides guidelines for the use of hedging products including swaps, caps, floors, collars, options, and other similar financial instruments (collectively, "hedging products") in connection with the financial exposure of the District, including interest rate exposure. As required by this policy, following are the quarterly monitoring and reporting requirements and status at September 30,2004: Requirement Highlight all material changes to hedging product agreements including counterparty downgrades and/or terminations. Results: The District currently utilizes two hedging product agreements, the AIG Swap agreement and the Soc Gen Swap Agreement. The AIG Swap agreement was originally entered into in October 1, 1992, in order to convert the Refunding Certificates of Participation, 1992 Series (the "1992 Certificates") to a fixed rate obligation. There have been no material changes to the agreement. American International Group, lnc.'s current ratings are AAA and Aaa from Standard and Poor's and Moody's, respectively. The Soc Gen Swap Agreement was originally entered into in September 1, 1993, in order to convert the Refunding Certificates of Participation, 1993 Series (the "1993 Certificates) to a fixed rate obligation. There have been no material changes to the agreement. Soc Gen's current ratings are AA-and Aa3 from Standard and Poor's and Moody's, respectively. Requirement Summarize any new hedging products entered into by the District since the last report. Results: No new hedging products have been entered into by the District since the last report covering the period ended September 30, 2003. As stated above, the District utilizes only two hedging product agreements, the AIG Swap agreement entered into in 1992, and the Soc Gen Swap Agreement, entered into in 1993. BookPage 55 Requirement Summarize any planned hedging product transactions and the impact of such transactions on the District; a description of each outstanding Hedging Product agreement, including a summary of its terms and conditions, the notional amount, volume, rates, maturity, the estimated market value of each agreement, the method of procurement (competitive or negotiated), and the full name, description and credit ratings of the agreement's counterparty and if necessary, its applicable guarantor. Results: The District currently is not planning any additional hedging product transactions at this time. Requirement List any amounts which were required to be paid and received, and any amounts which actually were paid and received under each outstanding hedging product over the last quarter; Results: Following are the amounts that were actually paid and received under the District's two swap agreements. All amounts required to be paid and received were actually paid and received. July Paid by the District to the Swap Provider Paid by the Swap Provider on behalf of the District August Paid by the District to the Swap Provider Paid by the Swap Provider on behalf of the District September Paid by the District to the Swap Provider Paid by the Swap Provider on behalf of the District Requirement 1992 Certificates AIG Swap $2,968,278.75 $ (529,798.21) 1993 Certificates Soc Gen Swap $161,500.00 $ (36,786.89) $159,790.00 $ (39,821.12) $159,790.00 $ (46,151.59) List any credit enhancement, liquidity facility or reserves associated therewith including an accounting of all costs and expenses incurred, whether or not in conjunction with the procurement of credit enhancement or liquidity facilities under each outstanding Hedging Product. Results: Credit Enhancements, liquidity facility or reserves associated with the 1992 Certificates AIG Swap: -Lloyds Bank Letter of Credit cost for the quarter ended September 30, 2004: $72,485.42 H:ldept\agenda1FAHRIFAHR2004\1104I04-99 SWAP doc Revised: 06/04/03 Book Page 56 Page 2 Credit Enhancements, liquidity facility or reserves associated with the 1993 Certificates Soc Gen Swap: -Soc Gen Irrevocable Letter of Credit Fee for the quarter ended September 30, 2004: $53,833.41 Credit Enhancements, liquidity facility or reserves associated with the 2000 Certificates: -Dexia Public Finance Bank Standby Certificate Purchase Agreement Commitment Fee for the quarter ended September 30, 2004: $73,766.34 Requirement An assessment of the counterparty risk, termination risk, and other risks associated therewith, which shall include the value of the collateral posted by counterparties and the District, the aggregate marked-to-market value for each counterparty and relative exposure compared to other counterparties, and a calculation of the District's Value at Risk for each counterparty. Results: The counter party risk and termination risk has been calculated by Public Resources Advisory Group (PRAG). PRAG used the value at risk methodology in determining the county party risk at maximum exposure over the term of the Swap Agreements. Counterparty exposure limits are important because they create diversification, so if any one counterparty goes bankrupt, the District's total loss would be limited to only one counterparty. The termination risk is what the District would have to pay the counterparty upon a termination of the Swap Agreement. Following are the counterparty risk an termination risk as of September 30, 2004: Counterparty Risk Termination Risk Requirement 1992 Certificates AIG Swap $3,220,915 $13,053,258 1993 Certificates Soc Gen Swap $4,321,854 $3,005,376 The report shall also include a copy of this Policy in the quarter after it is adopted or subsequently modified. Results: No modifications have been made to the Policy since its adoption. PRIOR COMMITTEE/BOARD ACTIONS NIA PROJECT/CONTRACT COST SUMMARY NIA H:ldeptlagenda\F AH RIF AHR2004\ 1104I04-99.SWAP .doc Revised: 06/04/03 BookPage 57 Page 3 BUDGET IMPACT D This item has been budgeted. (Line item: ) D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. ~ Not applicable (information item) ADDITIONAL INFORMATION N/A ATTACHMENTS N/A H:ldeptlagenda\FAHRIFAHR200411104104-99.SWAP.doc Revised: 06/04/03 BookPage 58 Page4 FAHR CO M_MITTEE Meeting Date To Bd. of Dir. 11/10/04 11/17/04 AGE NDA REPO RT Item Number Item Number FAHR04-100 Orange County Sanitation District FROM: Lisa L. Tomko, Director of Human Resources Originator: Ann Sullivan, Principal Human Resources Analyst SUBJECT: 1. 2004 NOVEMBER RECLASSIFICATIONS 2. DIRECTOR OF COMMUNICATIONS AND ADMINISTRATIVE SERVICES PAY RANGE PLACEMENT GENERAL MANAGER'S RECOMMENDATION 1. Approve the reclassification of two District employees and one position upgrade 2. Approve the pay range placement of the Director of Communications and Administrative Services SUMMARY 1. Approve the reclassification of two District employees and one position upgrade • According to Human Resources Policy and Procedure Number C10.10, reclassification requests are considered twice a year, during the annual budget process and again in November. • Reclassification paperwork was submitted on a total four positions; three of these positions have incumbents and one position upgrade will be posted for promotional opportunities. • Of the three positions having incumbents, two employees have met the four criteria outlined in the following Reclassification Guidelines: i. The incumbent has been in the position being reclassified for at least 6 months ii. Incumbent has been performing the duties of the reclassified position for at least 6 months iii. The incumbent is qualified for the reclassified position iv. The incumbent's reclassified position is not being reclassified from a non-supervisory to a supervisory classification • The two reclassification requests with incumbents that have met all four reclassification guideline criteria above will result in classification changes for current employees effective upon Board approval. • The one position upgrade that has no current incumbent will be posted for promotional opportunities adhering to Human Resources Policy 8150.00, Recruitment. Reclassify Public Information Specialist position to Senior Public Information Specialist. See Attachment 1 . Reclassify Associate Engineer Ill to Engineer. See Attachment 1. Page 1 BookPage 59 Upgrade Senior Engineer position in Division 640 -Source Control, to Engineering Supervisor position. Upgraded position will be posted as a promotional opportunity. See Attachment 1. 2. Approve the pay range placement of the Director of Communications & Administrative Services • A customized market survey was conducted in October 2003 containing only the Executive Management Team class titles. Purpose of the market survey was to adjust pay grades for EMT classifications. • Surveyed were the 13 comparable agencies gathering information on job titles, pay range minimum and maximum, and car allowance amount if applicable. Car allowance amounts were then added to the market survey range maximum. • Adjusted pay grades for the EMT classifications were then determined by looking at the EMT pay range maximum that was closest to the 75th percentile of the market survey data. • For the Communications Services Manager the 75th percentile of the market amounted to $118, 548. The closest pay range maximum to that amount was Pay Grade (PG) 94 with a range maximum of $120,012. Based on this data, the position was adjusted to PG 94 having a 25% range spread. • In April 2004 Administrative Services responsibilities was added to the position of Communications Services Manager. With these additional responsibilities, the position title changed to Director of Communications & Administrative Services. • An assessment of the additional responsibilities was conducted through a job analysis. Based on that job analysis assessment, an internal comparative approach was utilized in determining the most appropriate pay range placement. • With the internal comparative approach, it was important to recognize the additional responsibilities of the Administrative Services Division. The most appropriate pay range placement was accomplished by placing the position at Pay Grade (PG) 101 ($7,557 -$11,336) having a 50% range spread as all other Executive Management positions. See Attachment 2. PRIOR COMMITTEE/BOARD ACTIONS N/A PROJECTICONTRACTCOSTSUMMARY The additional cost for the salary increases as a result of the reclassifications having incumbents, and range placement movement of the Director position for the remainder of FY04/05 (November 26 to June 30) is $9, 180. Annualized cost of the salary increases as a result of the reclassifications having incumbents, and range placement movement of the Director position is $15,912. Page 2 Book Page 60 BUDGET IMPACT [:gl 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 N/A ALTERNATIVES Maintain current classifications, and adjust duties to be consistent within current classifications. Vacant positions to remain the same. Director of Communications & Administrative Services remains in current pay range. CEQA FINDINGS N/A ATTACHMENTS 1. November 2004 Reclassification Cycle Summary 2. Executive Pay Schedule -Pay Range for Pay Grade 101 BookPage 61 Page 3 Book Page 62 Attachment 1 November 2004 Reclassification Cycle Summary Reclassifications Employee Division Current Classification Proposed Classrtication Supporting Data Senior Public Information Reclassification Recommended. Cabral, Jennifer 130 Public Information Specialist Specialist Performing duties of recommended classification for at least 6 months. Reclassification Recommended. Sohanaki, Roya 640 Associate Engineer Ill Engineer Performing duties of recommended classification for at least 6 months. Position Upgrade Division Current Classification Upgraded Classification 640 Senior Engineer Engineering Supervisor BookPage 63 ATTACHMENT 2 Pay Grade 1st Quartile 101 $90,688 -$102,024 EXECUTIVE PAY SCHEDULE as of 07/09/04 2nd Quartile Midpoint 3rd Quartile $102,025 -$113,360 $113,361 $113,361-$124,696 COMPONENTS OF PAY GRADE RANGE 4th Quartile $124,697 -$136,033 1. The Executive Pay Schedule has a 50% range spread from the minimum of the range to the maximum of the range. 2. The 50% range spread is broken into 4 sections called Quartiles. 3. Each Quartile has an associated percentile and range spread. 4. The Midpoint or 50th percentile is considered the middle value of average salary data that companies report. 5. The maximum of the range labeled the 4th Quartile, is equivalent to the 75th percentile of the market at whicl all District pay range maximums are set. 6. The 62nd percentile of the market 75th is equivalent to the top of the 3rd Quartile. SAMPLE PAY GRADE RANGE 25th Percentile 50th 75th Percentile Percentile 0 [;] I 0 EJ PAY Quartile Quartile Quartile Quartile GRADE MINIMUM MIDPOINT MAXIMUM 20 $24,500 -$28,174 $28,175 -$31,849 $31,850 $31,850 • $35,524 $35,525 -$39,200 21 $26,950 -$30,992 $30,993 -$35,034 $35,035 $35,035 -$39,079 $39,080 -$43,120 BookPage 64 FAHR CO MMITTEE Meeting Date To Bd. of Dir. 11/10/04 11/17/04 AGE NDA REPORT Item Number Item Number FAHR04-101 Orange County Sanitation District FROM: Blake Anderson, General Manager SUBJECT: NON-BASE BUILDING PAYMENT GENERAL MANAGER'S RECOMMENDATION Approve a one time only non-base building payment for the Director of Technical Services in an amount not to exceed $7,948 for his service as Acting General Manager. SUMMARY Approve a one time only non-base building payment for the Director of Technical Services in an amount not to exceed $7,948 for his service as Acting General Manager. • The General Manager began a medical leave of absence on September 1, 2004. The medical leave of absence is ending on October 18, 2004 for a total of eight work weeks. • During this time period, the Director of Technical Services has assumed the duties of the General Manager, while at the same time continuing to handle his normal duties as Director of Technical Services. • Current policy is silent at the Executive Management and Manager level regarding additional compensation for Directors and Managers who assume the responsibilities of an Executive Management position for an extended period of time. • As an Executive Management employee, awarding the incumbent a one-time only non-base building payment will recognize the employee for assuming the additional duties of the higher level position. The assumption of these additional duties has been critical in ensuring the District's operations continued without interruption. PRIOR COMMITTEE/BOARD ACTIONS N/A PROJECT/CONTRACT COST SUMMARY Applying a one time only non-base building payment is based on an amount equal to 4.567% of base salary resulting in a payment of $7,948. Page 1 Book Page 65 BUDGET IMPACT This item has been budgeted ~ • B This item has been budgeted, but there are insufficient funds. This item has not been budgeted Not applicable (information item) ADDITIONAL INFORMATION N/A ALTERNATIVES Do not approve the recommended non-base building payment. CEQA FINDINGS N/A ATTACHMENTS None BookPage 66 Page 2 f'.AH R COMM I TTEE Meeting Date To Bd. of Dir. 11/10/04 11/17/04 AGENDA REPORT Item Number Item Number FAHR04-102 Orange County Sanitation District FROM: Carol Beekman, Director of Communications & Administrative Services Originator: Dionne Kardos, Public Information Specialist SUBJECT: CORPORATE IDENTITY AND PUBLIC AWARENESS PROJECT GENERAL MANAGER'S RECOMMENDATION Authorize the General Manager to solicit Requests for Proposal and subsequently award a Consultant Services Agreement for Phase 2 of the Corporate Identity and Public Awareness Project, Specification No. CS-2003-162BD, in the amount not to exceed $20,000, as discussed in project summary below. SUMMARY OCSD researched the need for and the potential merits of updating its corporate identity (agency name and logo). The completed Phase 1 research work included interviews with Board members and employees, examination of peer agencies, news media review, and both qualitative and quantitative research, focus groups and telephone surveys among residential customers. The consultant who conducted Phase 1, JohnsonlUkropina, will present the research findings. Their final report is attached. Based on this baseline information, staff recommends no change in OCSD's name or logo, but to add a tag line to clarify our organization's services/products. Research findings conclude that our current company name does not deliver additional messaging to our customers. The goal of adding the tagline is to promote a positive agency image and identity to the public and other target audiences. This research was specifically conducted to obtain perceptions on the OCSD identity. However, the study has uses beyond this project-providing valuable insights into what our stakeholders think about OCSD, when they think of us, what they believe we do, and what they want from us. It provides input into our communications and outreach efforts-telling us how stakeholders perceive us and what their priorities are when it comes to water. PRIOR COMMITTEE/BOARD ACTIONS In December 2003 the FAHR Committee recommended and at the February 25, 2004 Board Meeting it was approved to award a contract for $50,000 for Phase 1 research. PROJECT/CONTRACT COST SUMMARY Funding for recommended Phase 2 work, not to exceed $20,000, would include outside professional consulting services to research and develop a tagline, which includes conducting an audit of OCSD's current identity (compiling and reviewing all logos and name applications, project associations, and branded collateral materials/items that are under OCSD's jurisdiction), and developing an internal/external corporate identity standards manual. H:\deptlagenda\FAHRIFAHR2004\1104\04-102 Corporate ID.doc Revised: 06104103 BookPage 67 Page 1 BUDGET IMPACT If approved, $20,000 will come from general manager's contingency fund. ALTERNATIVES (and estimated consultant costs) 1.) No change in name or logo, no tag line, develop identity standards manual only. With this option nothing is changed and subsequent phases of this program would entail the building of a brand identity manual that includes the brand personality of the agency as well as the graphic standards for use of the existing name and the existing logo. Cost implication for building the manual is estimated from $5,000 to $7,500. 2.) Keep the name and change the logo. Under this scenario only the logo would be changed with the aim of bringing clarity of mission/scope to agency communication. Estimate for an organization the size of OCSD is $25,000-$50,000, plus the cost for developing an identity standards manual. As with Alternative 1, implementation costs could not be estimated with the data available. 3.) Change the name and change the logo. This implies and entails a massive effort, not just in developing a new name and logo to satisfy all the requirements of the agency's mission, strategies and positioning, but also the myriad of stakeholders in the process. As with Alternative 2, this can be a costly project. Estimates are in the $35,000 to $75,000 range, plus the cost for developing an identity standards manual with implementation costs unknown. CEQA FINDINGS N/A ATTACHMENT OCSD Corporate Identity Program Phase 1 Final Report, dated 10/04/04 submitted by JohnsonlUkropina. CB:dk H:\depllagenda\FAHRIFAHR2004\1104104-102 Corporate ID.doc Revised: 06/04/03 Page 2 Book Page 68 FAHR COMMITTEE AGENDA REPORT Orange County Sanitation District FROM: Gary Streed, Director of Finance Originator: Michael White, Controller Meeting Date To Bel. of Dir. 11/10/2004 11/17/2004 Item Number Item Number FAHR04-103 SUBJECT: ORANGE COUNTY SANITATION DISTRICT COMPREHENSIVE ANNUAL FINANCIAL REPORT (CAFR) FOR THE YEAR ENDED JUNE 30, 2004 GENERAL MANAGER'S RECOMMENDATION Receive, file and approve the District's Comprehensive Annual Financial Report (CAFR) for the year ended June 30, 2004, prepared by staff and audited by Moreland and Associates, Certified Public Accountants. SUMMARY The District's independent auditors, Moreland & Associates, have completed their examination of the District's financial statements for the year ended June 30, 2004 and have again issued an unqualified opinion. Each year, the FAHR Committee reviews the results of the audit and the corresponding Auditor's report to the Committee. Michael Moreland, Partner, will attend the meeting to respond to any questions of Directors. This year, staff has again prepared the Comprehensive Annual Financial Report that includes the audited financial statements. For the last ten years, the District has earned the Certificate of Achievement for Excellence in Financial Reporting from the Government Finance Officers Association (GFOA). This year's report will again be submitted to GFOA for their review in anticipation of another award. The Comprehensive Annual Financial Report, including the Auditor's opinion letter, the Auditor's Report to the Committee, the Auditor's Report on Compliance and on Internal Control Over Financial Reporting, and the Auditor's Appropriations Limit Report are attached. 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. 1Z! Not applicable (information item) H:\dept\agenda\FAHRIFAHR2004\1104104-103.CAFR doc Revised: B/20/98 Book Page 69 Page 1 ADDITIONAL INFORMATION None. ALTERNATIVES N/A CEQA FINDINGS N/A ATTACHMENTS 1. Comprehensive Annual Financial Report for the year ended June 30, 2004. 2. Report on Compliance and on Internal Control Over Financial Reporting. 3. Auditors' Report to the FAHR Committee. 4. Independent Accountants' Report on Agreed-Upon Procedures Applied to Appropriations Limit Worksheets. H:\dept\agenda\FAHRIFAHR200411104104-103.CAFR doc Revised: 8/20198 BookPage 70 Page2 September 3, 2004 The Board ofDirectors of the Orange County Sanitation District 1201 DOVE STREET, SUiTE 680 NEWPORT BEACH, CAUFORNIA, 92660 (949) 221-0025 570 RANCHEROS DRIVE, SUITE 260 SAN MARCOS. CA 92069 (760) 752-3390 Report on Compliance and on Internal Control Over Financial Reporting Based on an Audit of Basic Financial Statements Performed in Accordance With Government Auditini! Standards We have audited the basic financial statements of the Orange County Sanitation District (District) as of and for the year ended June 30, 2004, and have issued our report thereon dated September 3, 2004. We conducted our audit in accordance with auditing standards generally accepted in the United States of America and the standards applicable to financial audits contained in Government Auditin12: Standards issued by the Comptroller General of the United States. Compliance As part of obtaining reasonable assurance about whether the District's basic financial statements are free of material misstatement, we performed tests of its compliance with certain provisions of laws, regulations, contracts and grants, noncompliance with which could have a direct and material effect on the determination of financial statement amounts. However, providing an opinion on compliance with those provisions was not an objective of our audit and, accordingly, we do not express such an opinion. The results of our tests disclosed no instances of noncompliance that are required to be reported under Government Auditin2. Standards. lntemal Control Over Financial Reporting In planning and performing our audit, we considered the District's internal control over financial reporting in order to detemrine our auditing procedures for the purpose of expressing our opinion on the financial statements and not to provide assurance on the internal control over financial reporting. Our consideration of the internal control over financial reporting would not necessarily disclose all matters in the internal control over financial reporting that might be material weaknesses. A material weakness is a condition in which the design or operation of one or more of the internal control components does not reduce to a relatively low level the risk that misstatements in amounts that would be material in relation to the basic financial statements being audited may occur and not be detected within a timely period by employees in the normal course of performing their assigned functions. We noted no matters involving the internal control over financial reporting and its operation that we consider to be material weaknesses. This report is intended solely for the information and use of the Board of Directors and management of the District and is not intended to be and should not be used by anyone other than these specified parties. Book Page 71 BookPage 72 September 3, 2004 The Finance, Administration and Human Resources Committee of the Orange Cowity Sanitation District 1201 DOVE STREET SUITE 680 NEWPORT BEACH. CAUFORNIA 92660 {949) 221-0025 570 RANCHEROS DRIVE, SUITE 260 SAN MARCOS CA 92069 (760) 752-3390 We have audited the basic financial statements of the Orange County Sanitation District (District) for the year ended Jwie 30, 2004, and have issued our report thereon dated September 3, 2004. Professional standards require that we provide you with the following information related to our audit. Our Responsibility under Generally Accepted Auditing Standards and Government Auditing Standards Our responsibility as described by professional standards is to plan and perf onn our audit to obtain reasonable, but not absolute, assurance that the financial statements are free of material misstatement and are fairly presented in accordance with accounting principles generally accepted in the United States of America. Because of the concept of reasonable assurance and because we did not perform a detailed examination of all transactions, there is a risk that material errors, irregularities, or illegal acts, including fraud and defalcations, may exist and not be detected by us. As part of our audit, we considered the internal control of the District. Such consideraiions were solely for the purpose of determining our audit procedures and not to provide any assurance concerning such internal control. As part of obtaining reasonable assurance about whether the financial statements are free of material misstatement, we performed tests of the District's compliance with certain provisions of laws, regulations, contracts and grants. However, the objective of our tests was not to provide an opinion on compliance with such provisions. Other Information in Documents Containing Audited Financial Statements Our responsibility for other information in documents containing the District's basic financial statements and our report thereon does not extend beyond financial information identified in our report, and we have no obligation to perform any procedures to corroborate other information contained in these documents. We have, however, read the other information included in the District's comprehensive annual financial report; and no matters came to our attention that cause us to believe that such information, or its manner of presentation, is materially inconsistent with the information, or its manner of presentation, appearing in the financial statements. BookPage 73 The Finance, Administration and Human Resources Comnrittee of the Orange County Sanitation District September 3, 2004 Page2 Significant Accounting Policies Management has the responsibility for selection and use of appropriate accounting policies. We will advise management about the appropriateness of accounting policies and their application. The significant accounting policies of the District are described in Note 1 to the basic financial statements. No new accounting policies were adopted and the application of existing policies was not changed during the year. We noted no transactions during the year that were both significant and unusual, or transactions for which there is a lack of authoritative guidance or consensus. Management Judgments and Accounting Estimates Accounting estimates are an integral part of the financial statements prepared by management and are based upon management's knowledge and experience about past and current events and assumptions about future events. Certain accounting estimates are particularly sensitive because of their significance to the financial statements and because of the possibility that future events affecting them may differ significantly from those expected. The most sensitive estimates affecting the financial statements were the liabilities associated with general liability and workers' compensation claims. Management's estimate of the claims payable liabilities related to general liability and workers' compensation claims is based on reports prepared by third party administrators summarizing the estimated liability for workers' compensation and the reports prepared by District staff summarizing historical loss levels for general liability claims against the District. We evaluated the key factors and assumptions used to develop liabilities associated with general liability and workers' compensation claims recorded in detennining that they are reasonable in relation to the financial statements taken as a whole. Audit Adjustments For purposes of thjs letter, professional standards define an audit adjustment as a proposed con-ection of the .financial statements that, in our judgment, may not have been detected except through our auditing procedures. An audit adjustment may or may not indicate matters that could have a significant effect on the District's financial reporting process (that is, cause future financial statements to be materially misstated). We proposed no adjustments that indicate matters that could have a significant effect on the District's financial reporting process. 2 Book Page 74 The Finance, Administration and Human Resources Committee of the Orange County Sanitation District September 3, 2004 Page 3 DisaQTeernents With Management There were no disagreements with management on financial accounting, reporting or auditing matters that, if not satisfactorily resolved, would have caused a modification to our auditors' report on the District's financial statements. Consultation With Other Accountants In some cases, management may decide to consult with other accountants about auditing and accounting matters, similar to obtaining a "second opinion" on certain situations. If a consultation involves application of an accounting principle to the governmental tmit's financial statements or a detennination of the type of auditors' opinion that may be expressed on those statements, our professional standards require the consulting accountant to check with us to detemrine that the consultant has all the relevant facts. To our knowledge, there were no such consultations with other accountants. Major Issues Discussed With Management Prior to Retention We generally discuss a variety of matters, including the application of accounting principles and auditing standards, with management each year prior to retention as the District's auditors. These discussions occurred in the normal course of our professional relationship, and our responses were not a condition to our retention. This information is intended solely for the information and use of the Committee, Board of Directors and management of the District and is not intended to be and should not be used by anyone other than these specified parties. 3 Book Page 75 BookPage 76 Moreland &~ #n-<½ CERTIFIED PUBLIC ACCOUNTANTS September 3, 2004 The Finance, Administration and Human Resources Committee of the Orange County Sanitation District 1201 DOVE STREET. SUITE 680 NEWPORT BEACH. CALIFORNIA 92660 (949) 221-0025 570 RANCHEROS DRIVE, SUITE 260 SAN MARCOS. CA 92069 (760) 752-3390 Independent Accountants• Report on A greed-Upon Procedures Applied to Appropriations Limit Worksheets We have performed the procedures enumerated below to the accompanying Appropriations Limit worksheet No. 6 (or other alternative computation) of the Orange County Sanitation District (District) for the year ended June 30, 2004. These procedures, which were agreed to by the District and the League of California Cities (as presented in the League publication entitledArticleXIIIB Appropriations Limitation Uniform Guidelines), were perlonned solely to assist the District in meeting the requirements of Section 1.5 of Article XIIIB of the California Constitution. The District's management is responsible for the Appropriations Limit worksheet No. 6 (or other alternative computation). This agreed-upon procedures engagement was performed in accordance with attestation standards established by the American Institute of Certified Public Accountants. The sufficiency of the procedures is solely the responsibility of those parties specified in this report. Consequently, we make no representation regarding the sufficiency of the procedures described below either for the purpose for which this report has been requested or for any other purpose. The procedures performed and our findings were as follows: L We obtained the completed worksheets No. 1 through No. 7 (or other alternative computations) and compared the limit and annual adjustment factors included in those worksheets to the limit and annual adjustment factors that were adopted by resolution of the Board of Directors. We also compared the population and inflation options included in the aforementioned worksheets to those that were selected by a recorded vote of the Board of Directors. Finding: No exceptions were noted as a result of these procedures. BookPage 77 The Finance, Administration and Human Resources Committee of the Orange County Sanitation District September 3, 2004 Page2 2. For the accompanying Appropriations Limit worksheet No. 6, we added line A, last year's limit, to line E, total adjustments, and compared the resulting amount to line F, this year's limit. Finding: No exceptions were noted as a result of these procedures. 3. We compared the current year information presented in the accompanying Appropriations Limit worksheet No. 6 to the other worksheets described in No. 1 above. Finding: No exceptions were noted as a result ofthis procedure. 4. We compared the prior year appropriations limit presented in the accompanying Appropriations Limit worksheet No. 6 to the prior year appropriations limit adopted by the Board of Directors during the prior year. Finding: No exceptions were noted as a result of this procedure. We were not engaged to and did not conduct an examination, the objective of which would be the expression of an opinion on the accompanying Appropriations Limit worksheet No. 6 ( or other alternative computation). Accordingly, we do not express such an opinion. Had we performed additional procedures, other matters might have come to our attention that would have been reported to you. No procedures have been performed with respect to the determination of the appropriation limit for the base year, as defined by Article XIII-B of the California Constitution. This report is intended solely for the information and use of the Board of Directors and management of the District and is not intended to be and should not be used by anyone other than these specified parties. Book Page 78 A. B. C. D. E. F. ORANGE COUNTY SANITATION DISTRICT APPROPRIATIONS LIMIT WORKSHEET #6 FY 2003 -2004 BUDGET LAST YEAR'S LIMIT, as adopted ADJUSTMENT FACTORS 1. Population % 2. Inflation% Total Adju~tmt!nt % ANNUAL ADJUSTMENT$ OTHER ADJUSTMENTS: Assumed Responsibility -Booking Fees Property Tax Collections (Lost Responsibility) (Transfer to Private) (Transfer to Fees) Sub-total TOTAL ADJUSTMENTS CURRENT YEAR LIMIT Book Page 79 AMOUNT 1 $59,660,0001 2.02% 0.59% 2.62%1 $1,ss9,0001 I $61,219,oool Book Page 80 FAHR COMMITTEE Meeting Date To Bd. of Dir. 11/10/04 AGENDA REPORT Item Number Item Number FAHR04-104 Orange County Sanitation District FROM: Gary Streed, Director of Finance/Treasurer SUBJECT: STATUS AND IMPACT OF STATE PROPERTY TAX SHIFT-2004-05 GENERAL MANAGER'S RECOMMENDATION This is an informational status report. No action is necessary. SUMMARY While preparing for the November 2004 Committee meeting, Director Miller asked that the Directors be updated on the status and the impact of the State property tax shift for 2004-05. The Committee agreed that this could be useful information for them. Our most recent information is that the property tax shift from enterprise special districts like OCSD has three parameters. The total to be shifted from all enterprise special districts grew to $300 million as exemptions and limits on the amount to be shifted from non-enterprise special districts resulted in another $50 million falling to enterprise districts. The other two parameters are 40% of property taxes not to exceed 10% of "total revenues for the 2001-02 fiscal year, from whatever source." For OCSD, this is exactly what we had planned for during the 2004-05 budget cycle. Our total property taxes for 2001-02 were $40,584,454 and our total revenues were $161,198,044. The 40% of property taxes that we anticipated losing was $16,233,782. The 10% maximum shift actually reduces our tax reduction by $113,978. This property tax reduction was expected and included in the 2004-05 budget. A similar reduction is included in the projected cash flows for 2005-06. While the amount is significant, the Directors agreed that OCSD could weather a two-year diversion by use of reserves, unfilled positions and unanticipated delays in the capital improvement program. No changes to the previously considered and noticed user fee program are anticipated, so long as property tax allocations return to normal in 2006-07. PRIOR COMMITTEE/BOARD ACTIONS 1. The Committee and the Board heard numerous updates on this topic during the OCSD and State budget adoption cycles for 2004-05. 2. In June, the Board adopted the 2004-05 budget which included the property tax shift and projected a similar shift in 2005-06. H:ldept\agenda\FAHRIFAHR2004\1104104-104 State Tax Shift doc Revised: 06/04/03 BookPage 81 Page 1 PROJECTICONTRACTCOSTSUMMARY The projected loss of property tax revenues for 2004-05 and 2005-06 was budgeted to be about $17 million for each year. This loss will be absorbed by the District without raising user fees above the annual increases previously considered and scheduled for review each year. BUDGET IMPACT lZ! This item has been budgeted. (Line item: ) D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. D Not applicable (information item) ADDITIONAL INFORMATION None. ALTERNATIVES Alternatives could include raising user fees, deferring capital projects, deferring operations and maintenance projects. None of these seem to be necessary at this time. CEQA FINDINGS NIA ATTACHMENTS None GGS H:\deptlagenda\FAHRIFAHR2004\1104\04-104.State Tax Shift doc Revised: 06104103 Page 2 Book Page 82 ORANGE COUNlY SANITATION DISTRICT (714) 962-2411 www.ocsd.com Mailing Address: P.O. Box 812 7 Fountain Valley, California 92728-8127 Street Address: 10844 Ellis Avenue Fountain Valley, California 92708-7018 r r r r r r r I L [_ L L L L L L L Callan Associates Inc. Investment Measurement Service Quarterly Review Orange County Sanitation District September 30, 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 r l l f L 1i L ! L L L L L Ill ,.-1, rn1,c1,lo CHI( -\GO DE,\ ER CAllAN ASSOQATFB~.•~ November 1, 2004 Mr. Michael D. White Controller Orange County Sanitation Districts 10844 Ellis A venue Fountain Valley, California 92728 RE: September 30, 2004 Quarterly Performance Report Dear Mike, The September 30, 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 Geopolitical risks, oil prices hovering near $50 a barrel, and a tightening monetary policy contributed to the downturn in equity markets over the quarter. The Dow and the S&P 500 fell -2.90 percent and -1.87 percent, respectively, which represents their worst quarterly performances since the first quarter of 2003. Investors shunned technology stocks, sinking the NASDAQ -7.24 percent. In a dramatic reversal from the prior three months, the Lehman Aggregate defied skeptics in the third quarter, gaining 3.20 percent --its best quarterly return in two years. Fixed rate bonds benefited from a decline in long-term interest rates. Despite the Fed raising short-term rates twice in the third quarter to I. 75 percent, investors started buying bonds again, pushing yields lower. The strength in U.S. Treasurys followed Fed Chairman Alan Greenspan's pronouncement that the economy had hit a "soft patch." Corporate bonds (+4.21 %) topped all other sectors within the fixed income market. Returns in the defensive portion of the bond market, where the District invests, also were positive. The Merrill Lynch 1-5 Year Gov/Credit index was up 1.7 percent for the quarter. External Manager Results The return for the Liquid Operating Money account, managed by PIMCO, was 0.32 percent for the quarter, which is in line with the return on the 90-day Treasury bill (0.3 7% ). While very low on an absolute basis, the returns are competitive with any institutional money market fund available. The increase in rates since June 30 is already being reflected in higher yeilds on this portfolio. The Long Term Operating fund managed by PIMCO had a return for the quarter of 1.55 percent, which slightly lags the Merrill 1-5 Year Gov/Corp benchmark return of 1. 70 percent. You may recall that the manager performance was significantly better than the benchmark for the prior quarter. The same factors are responsible for both quarters: a shorter duration than L L L L L L L L Mr. Michael White November 1, 2004 Page2 the benchmark was a disadvantage as interest rates fell; lower corporate exposure was a negative influence as corporate spreads tightened. The portfolio remains 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. Mortgages are also being used to gain some additional yield, without sacrificing quality. The overall sector allocation combined with a shorter duration means that the portfolio is somewhat defensively positioned. Over the past 9 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, 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 now in default and is unrated. 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. Please do not hesitate to call me if you have any questions. Yours truly, Ruthann C. Moomy, Ph.D., CFA Senior Vice President L L L L L L L L Capital Markets Review . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 Active Management Overview Market Overview . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 13 Domestic Fixed-Income ...................................................... 14 Asset Class Risk and Return ................................................... 15 Investment Manager Asset Allocation ........................................... 16 Investment Manager Returns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 Manager Analysis PIMCO-Liquid Operating Monies PIMCO-Liquid Operating Fund Bond Portfolio Characteristics Portfolio Characteristics Detail .............................................. 18 19 20 21 Disclosures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 22 Bl : UAPITAL MARKET rev· r [ L l L L I L L L a publication of CALLAN J-\SSOCii'>:[[S . Slowing Down? But We Just Got To Cruising Speed ... Third quarter GDP came in at 3.7%, fueled in part by a revival in consumer spending over the summer and perhaps a last fling for the housing market. Corporate profits have remained strong. Inflation is still not a big problem, in spite of oil prices north of $50. On the minus side, the job market has disap- pointed once again. Overall economic growth will peak in 2004 and subside somewhat over the next year, but the expan- sion will not likely be derailed. see p,itw I 1 Deja Vu All Over Again The year's trend of low volatility continued for stocks of all sizes. Hurt by poor returns in Technology and Health Care, coupled with surging oil prices, the S&P SuperComposite 1500 (-1.87%) suffered its first quarterly loss in over a year. Small capitalization stocks maintained their leadership role, as the S&P Small Cap 600 (-1.37%) fell the least. Based upon the S&P/Barra style indices, value outperformed growth. .,ce JJU!J,L' ~ Bonds Rebound From Second Quarter Loss ' The bond market rebounded from its second quarter loss with the Lehman Aggregate advancing 3.20% during the third quarter. Evidence of slowing economic growth inspired the rally and trumped both Fed tightening and concerns about $50 barrels of oil. .see p:ig<' J And the Beat Goes On Last quarter, real estate in the public markets rebounded strongly, as measured by the NAREIT Equity Index (+8.23%). Private real estate continued to fare well relative to other asset classes as measured by NCREIF (+3.42%). The unexpected fall in long-term Treasury yields gave confidence to the public real estate market. .,,,_~• 1npe 9 International Markets Remain Choppy International equity markets were choppy but virtually unchanged once again in the third quarter. MSCI EAFE slipped 0.3% for U.S. investors. Japan suffered a setback once again, coming in last among all developed markets with a drop of7.5%. Emerging markets reversed their second quarter decline with a sharp 8.3% rally in the third quarter. s1.~· JJJ!c;e 6 Rising Rates Take a Breather In the third quarter, the Citigroup World Government Bond Index ex-U.S. rose 3.28% in dollar terms and 2.37% in hedged terms. Slowing economic growth dampened expecta- tions of rising rates in most parts of the world, pushing bond markets higher. JPMorgan EMBI+ Index returned to its winning ways, rocketing ahead 9.43%. .sn• p;:,g,· 8 Private Equity Market Fundraising continues to rebound from last year's low when the total raised through the third quarter was just over $20 billion. Buyouts have attracted more than half of all the new capital commitments year-to-date. Overall, corporate finance commitments represent well over 70% of capital raised for 2004. Venture capital fundraising has risen from last year's slump as well. ,m.· pa/5<' Io Trendless Markets Foil Hedge Funds Capital markets in the third quarter left the hedge fund community with little conviction. The median manager in the Callan Hedge Fund-of-Fund Database carved out a 0.53% gain after all fees. Among the best performers, Short Bias funds jumped 7.40%. In this unusual environment, Fixed- IncomeArbitrage fell 0.50%. ,,•:) p:,ge 10 Oil Prices Clog the Markets With the equity markets both at home and abroad declining in the third quarter, those fund sponsors with more conservative asset allocations performed better. The median Taft-Hartley plan fared the best, up 0.23% for the quarter. Public and corporate plans weren't far behind, gaining 0.13% and 0.10% in the median case, respectively. With the most aggressive equity allocation, the median endowment/foundation lost 0.02% in the third quarter. s1'l: 11a_f;e i ':.' Broad Market Returns -Third Quarter 2004 4'7o 3.20% 3% 2'lo = .. :, l'lo l: ~ 0.37% O'lo -0.28% -l'lo -2'7o -1.87% U.S Equity Non-U.S Equity U,S, Fixed Non-U.S. Fixed Real Estate Cash (Super Composite 1500) (MSCI EAFE) (LB Aggregate) (Citi Non-U.S.) (Callan Real Estate) (90-Day T-Bills) ,I, I I Iii \rl \. I 11 II Ii I ( \i i I l I .! \ .t r1i \,,(!1 1 \ l ~ \. ,( ! t l JIJ1li''l ,'iill I ;, ( q 'fl I ,;;11 r r L L L L L L L L L Deja Vu All Over Again Continuing its year-long pattern, the U.S. equity markets failed to show a discernable direction and maintained a tight trading range. Rising interest rates, surging energy prices, and the Iraq war continued to plague the markets this quarter. On the positive side, non-farm payroll added over 300,000 new jobs during the quarter and mortgage rates, despite two 25-basis point interest rate increases, fell to 5.7%. The counter-punch came in the form of higher oil prices, which hit a record high of nearly $50 per barrel in September. Hurt by poor returns in Technology, Health Care, coupled with surging oil prices, the S&P SuperComposite 1500 (-1.87%) suffered its first quarterly loss in over a year. The year's trend of low volatility continued for stocks of all sizes. Small capitalization stocks maintained their leadership role, as the S&P Small Cap 600 (-1.37%) fell the least. The S&P MidCap 400 dropped 2.10%, while the S&P 500 was in the middle with a loss of 1.87%. Energy ( + 10.97% ), helped by the strong upward trend in energy prices, was the strongest performer among the S&P 1500's 10 economic sectors as ExxonMobil (+9.78%), ChevronTexaco (+14.96%), and Occidental (+16.14%) provided leadership in the sector. Telecommunications ( +6.45%) was the No. 2 sector with strong results from the two former Baby Bells: Verizon (+9.98%) and SBC (+8.41 %). Basic Materials (+4.18%) rose on higher raw material prices, led by Newmont ( + 17 .66% ), Dow ( + 11.86% ), and Weyerhaeuser ( +6.0% ). Financials (+0.72%) were mostly flat. Positive momentum from commercial banks-Wells Fargo (+5.07%) and Bank of America- (+3.47%) was offset by investment banks, such as Morgan Stanley (-6.11 % ) and Merrill Lynch (-7.59% ). Industrials (-0.68%) declined despite strong returns from GE (+4.26%) and UPS (+1.4%), the two leading companies in the sector. Consumer Discretionary (-1.17%) fell on weak results from media and entertainment companies, such as Disney (-11.53% ), Viacom (-5.88%), and Time Warner (-8.19%). Consumer Staples (-5.78%) were hurt by falling profits at Coca-Cola (-20.2%) and Pepsi (-9.29%). Health Care (-5.38%) declined when Merck (-29.93%) withdrew Vioxx from the market. Pfizer (-10.26%) and Eli Lilly (-13.62%) were also down. Technology (-10.17%) came in last, as Cisco (-23.63%) noted that customers continue to be cautious. Hewlett-Packard (-10.76%), hurt by disappointing results, also dampened the sector's return. Based upon the S&P/Barra style indices, value-oriented stocks outperformed growth-oriented stocks this quarter. To compare value and growth, S&P and Barra divide the capitalization indices evenly by price-to-book, creating subsectors of growth and value-oriented stocks. Among smaller stocks, the S&P/Barra SmallCap Growth Index fell 3.04%, compared to an increase of 0.26% for its value counterpart. In the large stock arena, the division of performance was even wider with the S&P/Barra Growth Index falling 4.78% while the value counterpart rose 1.04%. Callan Style Group Returns -Third Quarter 2004 n 0%1------t--':c !----t------~·,---.-- ·--·•··· -6% -80:. -10% -12% Large Cap-Growth Largt Cap-Value Style Style 10th Percentile -2.95 1.77 25th Pcn:entile •3 95 0.86 Median -4 I 9 -0.30 75th Percentile -4 97 • I .00 90th Percentile -6,D -1.73 S&P Growth S&P Value Benchmarks • -4 78 I 04 • Small Cap-Growth Style -368 -5 OS -606 -777 -10.51 S&P 600 Growth -3.04 Small Cap-Value Styl• I 50 0.52 -0.56 ·l.90 -2.90 S&P 600 Value 026 Capitalization Sector Performance -Third Quarter 2004 0.0% -0.5% C !;-1.0% ~ l1.s% e" Economic Sector Performance -S&P 1500 Third Quarter 2004 Energy Telecommunications Utilities Materials Financials Industrials Consumer Discretionary Health Care Consumer S1aples Information Technology L-.:.:IO'.:.i.1..:...7%:.:...k=====::!!!!!!!l!!!!!-------'---L--'-----'--L-....J -14%-12%-10% -8% -6% -4% -2% 0% 2% 4% 6% 8% 10% 12% Return 30% 25% 20% g ~ 15% ~ "'l0% t :!1 5% ,.. ~ 0% ~ .; -5% "' .l-l0% ~ -15% -20% Rolling One-Year Relative Returns vs. S&P 500 -S&P500 -S&PValue -S&PGrowth 2 CAUAN ASSOCIATES -1l1i1.J 1111,1,r,1 ...:.·001 CAPITJQ ~lJ\RKET ,,.1fr11 lri" U.S.EQUITY Style Median and Index Returns• for Periods ended September 30, 2004 r Last Last3 Last Last3 Last5 Quarter Quarters Year Years Years Large Cap-Broad Style -1.94 1.48 13.40 3.83 0.17 Large Cap-Growth Style -4.19 -1.84 7.70 1.64 -4.25 Large Cap-Value Style -0.30 4.11 18.56 6.38 4.15 Aggressive Growth Style -6.22 -2.05 7.43 4.82 0.10 Contrarian Style -0.65 4.12 18.25 8.55 6.58 Core Style -2.00 0.60 12.37 3.82 -0.50 Yield Style 0.78 5.44 19.53 7.38 5.12 I S&P Super Composite 1500 -1.87 1.97 14.57 5.05 -0.13 S&P500 -1.87 1.51 13.87 4.05 -1.31 NYSE -0.18 3.48 18.60 6.46 2.73 Dow Jones Industrials -2.90 -2.14 10.94 6.70 1.44 r- Mid Cap-Broad Style -2.20 4.02 17.57 10.94 9.11 Mid Cap-Growth Style -5.41 -0.62 11.12 5.05 0.47 I Mid Cap-Value Style -0.44 6.66 22.08 13.44 12.85 S&P Mid Cap 400 -2.10 3.86 17.55 12.42 10.51 [ Small Cap-Broad Style -2.99 4.37 19.36 13.90 11.15 Small Cap-Growth Style -6.06 -1.68 9.59 7.39 4.05 Small Cap-Value Style -0.56 8.59 25.06 18.97 16.90 S&P Small Cap 600 -1.37 8.54 24.58 15.78 11.49 Russell 2000 -2.86 3.71 18.77 13.71 7.41 NASDAQ -7.24 -4.98 6.69 8.66 -6.78 Consumer Staples -5.78 0.47 8.62 2.85 1.32 Consumer Discretionary -1.17 0.55 15.22 12.02 3.28 L Industrials -0.68 7.18 22.99 7.14 2.25 Energy 10.97 26.60 46.09 16.32 10.79 Materials 4.18 6.76 31.30 14.62 7.15 Information Technology -10.17 -10.06 1.62 3.70 -13.07 Utilities 6.26 10.57 19.81 1.02 3.19 Financials 0.72 3.35 15.80 9.04 9.28 Telecommunications 6.45 10.79 25.46 -11.18 -14.16 L HealthCare -5.38 -2.44 5.94 -1.95 2.78 U.S. Equity Index Characteristics as of September 30, 2004 S&P 1500 S&P500 S&P400 S&P600 Cap Range 42-354.546 413-354.546 255-8,802 42-3.520 Number of Issues 1,500 500 400 600 L % of S&P SuperComposite 1500 100% 88% 8% 4% WtdAvgMktCap $78.6B $89.2B $3.2B $1.18 Price/Book Ratio 2.9 3.0 2.4 2.3 PIE Ratio (forecasted) 15.7 15.7 16.2 16.0 Dividend Yield 1.7% 1.7% 1.2% 0.9% 5-Yr Earnings (forecasted) 12.1% 12.0% 13.8% 12.8% '' Returns less than one year are not annualized. I L., ** Returns prior to I Q03 are based upon Callan Broad Market's sector returns. CALLAN _:_\ C:;:'Q.("'~L;\Tf=i ,;: :. i·-~I '-' • ···-·----'__., Last 10 Years 11.66 10.74 12.11 10.59 12.61 11.80 12.14 11.22 11.08 11.41 12.33 13.36 10.94 13.87 14.48 13.30 11.16 15.77 12.62 9.87 10.00 10.11 10.05 11.61 14.49 6.84 9.58 8.80 16.90 Russell 3000 5-354,415 2,960 $73.28 2.9 16.l 1.7% 12.2% ,, ,, ( [ l L 1 L L L L I L Bonds Rebound From Second Quarter Loss The bond market rebounded from its second quarter loss with the Lehman Aggregate advancing 3.20% during the third quarter. Almost two percent of the market's gain was produced by price appre- ciation, created by falling interest rates, while coupon clipping gener- ated 1.25% of the market's return. Evidence of slowing economic growth inspired the rally and trumped both Fed tightening and concerns about $50 barrels of oil. Keeping true to its well-publicized intention to remove policy accom- modation at a measured pace, the Federal Open Market Committee increased the federal funds rate twice by 25 bps each time during the quarter. The Fed funds target ended the quarter at 1.75% and was predicted, through futures contracts, to end the year at 2.0%. With two FOMC meetings scheduled before the start of 2005, the market antici- pated the Fed will keep rates unchanged during one meeting. During the quarter, GDP and job growth rates were positive but below expectations. Second quarter real GDP growth was initially reported at 2.8%, and later revised upward to 3.3%. Following first quarter's growth rate of 4.5%, the market viewed the drop in growth as evidence of a softening economy. The yield on the 10-year Treasury fell 46 bps, to end the quarter at 4.12%. With short rates rising (due to fed tightening) and long rates dropping (due to lowered growth expec- tations) the yield curve flattened over the quarter. The difference between two-year and 10-year rates decreased by 39 bps. Rising oil prices, and their assumed inflationary influences, have traditionally not boded well for the bond market. The bond market ignored the inflationary implication of $50 per barrel oil, in light of relatively low current inflation. Rather, citing a potential 0.4% reduc- tion in GDP for every $10 increase in oil, the market interpreted the surge in the price of oil as a tax on real GDP. Between June and September, the real yield on the 10-year TIP fell almost 30 bps, while break-even inflation dropped 17 bps, from 2.54% to 2.37%. Spreads continued to tighten during the quarter and most spread prod- ucts outperformed Treasurys. Once again, government-sponsored entities grabbed headlines when Fannie Mae's accounting policies were scrutinized by its government regulator. Even with the bad publicity, Agency spreads ended the quarter where they began. Due to their yield advantage, Agencys had a positive excess return of 25 bps. Technical factors and a low level of interest rate volatility supported the mortgage market during the third quarter. Even as rates fell, prepayment risk was not a major concern, as mortgage rates were still above their recent lows. For the quarter, mortgages produced an excess return of 18 bps. Issuance of fixed rate mortgages (the type of mortgages within the Lehman Aggregate) has declined relative to adjustable rate mortgages. As homeowners increase their use of float- ing rate debt, which are priced off the short end of the curve, a short- age of fixed rate mortgages has developed. Corporate bonds outpaced Treasurys of the same duration by 0.73% during the quarter. Spreads on investment grade credit continued to tighten due to improvements in credit fundamentals, record high corporate cash balances, and low equity market volatility. The Lehman High Yield Index rose 4.85% for the quarter, recovering from last quarter's 1 % loss. The higher quality and more interest rate sensitive BB and B rated components of the high yield market outpaced the CCC rated component. One factor was the heavy supply of CCC rated debt, which represented 20% of all new issuance. Callan Style Group Returns -Third Quarter 2004 8\l 7% 5\l 4% 101.h ~rccnlilc 25th Pcrccnlilc Median 75th Percentile 90lh Pcrccnti le Intermediate Style 2.75 2.69 2.57 2.42 2.23 LB lnlerAll!l Benchmark• :? 69 Core Bond Style 3,40 3.27 3,18 3.03 2.82 LBAgg 3 20 Core Plus Ext Maturity High Yield Stile Style Style 3,99 6,86 505 3.54 6.66 4 78 3,36 6.47 4 39 3,2H 5,33 408 3,11 4.48 3.63 LBAgg LB G/CLong LB High Yield 3 20 6.75 4.85 Sector Performance -Third Quarter 2004 5% 4% E 3% .3 .. ~ s ~ 2% 1% 0% LB Universal Index= 3.46% LB Aggregate Index= 3.20% LB Gov Bd LB Credit LB MllS LB ABS LB CMBS LB High Yield 6% 5% 4% .,. ]!3% ;,. 2% 1% ,, ___ ..... -·· ... .. .. •···· U.S.TreasuryYield Curves ----• .... --------.. -----~· ,,•···· -End 3rd Quarter 2004 -.. -Beginning 3rd Quarter 2004 .. ....... End 3rd Quarter 2003 0%1-----+----+-----+-----t----+----i 0 5 10 15 20 25 Maturity (Years) Effective Yield Over Treasurys IO'lo ,--------------1~---------, /\_/\ I ~ 8% ,_ i;l ~ .. 6% ~j '\; " ;. 0 .,. "ii ;;:49o ~ ---LB High Yield -LB Credit Baa Bonds LB Credit A Bonds -LB Credit Aaa Bonds 30 -1 CALLAN ASSOCIATES ,;,;, ,/ ,,,. '" ' -"" I C\PITAL ~IARKET '' ';," U.S. FIXED INCOME Style Median and Index Returns* for Periods ended September 30, 2004 Last Last3 Last Last3 Last5 Last 10 Quarter Quarters Year Years Years Years Core Bond Style 3.18 3.47 3.91 5.97 7.59 7.80 Core Bond Plus Style 3.36 3.76 4.92 6.54 7.76 8.23 LB Aggregate 3.20 3.35 3.68 5.88 7.48 7.66 LB Govt/Credit 3.56 3.36 3.33 6.32 7.74 7.76 LB Govt 3.11 2.97 2.52 5.32 7.23 7.44 LB Credit 4.21 3.93 4.44 7.67 8.36 8.31 Citi Broad Investment Grade 3.26 3.44 3.82 5.88 7.49 7.67 r Extended Maturity Style 6.47 6.18 5.83 8.91 9.93 9.84 LB Gov/Credit Long 6.75 6.25 5.95 8.87 9.65 9.67 r-LB Gov Long 6.42 6.28 5.06 7.78 9.42 9.65 LB Credit Long 7.19 6.23 7.12 10.44 9.87 9.54 Intermediate Style 2.57 2.64 2.84 5.48 7.13 7.16 LB Intermediate Aggregate 2.69 2.94 3.38 5.40 7.11 7.25 LB Gov/Credit Intermediate 2.71 2.59 2.65 5.56 7.13 7.10 r LB Gov Intermediate 2.26 2.11 1.90 4.57 6.52 6.72 LB Credit Intermediate 3.37 3.29 3.69 6 .. 87 7.94 7.81 Defensive Style 1.18 1.40 1.76 3.54 5.50 6.07 Active Cash Style 0.62 1.02 1.33 2.55 4.22 5.11 Money Market Funds (net of fees) 0.21 0.46 0.58 0.98 2.65 3.86 ML Treasury 1-3 Year 0.97 0.89 1.04 3.09 5.05 5.71 90-day Treasury Bills 0.37 0.84 1.10 1.47 3.11 4.19 High Yield Style 4.39 6.13 12.57 12.65 7.30 9.01 (_ LB High Yield 4.85 6.27 12.55 12.65 6.36 7.62 ML High Yield Master 4.64 6.03 12.23 12.07 6.61 8.04 L Mortgages Style 2.70 3.49 4.45 5.35 7.25 7.81 LBMBS 2.61 3.40 4.36 5.06 6.95 7.47 LBABS 2.16 2.62 2.95 5.02 7.17 7.05 L LBCMBS 3.72 3.46 3.53 7.48 9.20 LB Muni 3.89 3.19 4.60 5.79 6.77 6.77 LB Muni 1-l0Year 2.97 2.28 2.94 4.90 5.80 5.90 LB Muni 3 Year 1.91 1.60 1.43 3.72 4.80 4.96 l U.S. Fixed-Income Index Characteristics as of September 30, 2004 Yield Modified Adj. Average %of %of Lehman Brothers Indices toWorst Duration Maturity LBG/C LB Aggregate LB Aggregate 4.27 4.45 7.24 100.00% 100.00% LB Govt/Credit 3.90 5.27 7.84 100.00% 60.10% .. Intermediate 3.52 3.70 4.41 78.50% 47.18% Long-Term 5.28 11.02 20.40 21.50% 12.92% L LB Govt 3.50 4.93 6.91 59.11% 35.53% LB Credit 4.47 5.77 9.19 40.89% 24.57% LBMBS 4.95 3.12 6.52 35.49% LBABS 3.46 2.60 2.98 1.45% LBCMBS 4.19 4.66 5.54 2.96% LB Corp High Yield 7.36 4.73 8.28 '' Returns less than one year are not annualized. ,:. ,!,: ,1; _: -; CAPIT!\L 1\i./VUUTI', \. CAilAN ,\ c,r.r~·IATH'-::: _r.1_.,__)1.._J'....__.1\..._,•! _ 1 !.___.,,_, ,) International Markets Remain Choppy International equity markets were choppy but virtually unchanged once again in the third quarter. MSCI EAFE slipped 0.3% for U.S. investors, as the dollar weakened by 0.8%. Sector selection was the main theme, as investors reacted to slowing economic growth by exiting technology (-9.2%) and consumer discretionary (-4.4%). However, not all defensive sectors benefited, with consumer staples also selling off (-6.9% ). Strong oil and other commodity prices moti- vated many investors to look for upside in energy (6.9%) and materi- als (5.6% ). Emerging markets (8.3%) strongly outperformed developed markets, given their commodity-oriented nature, while global slowdown fears crept into Japan (-7.4%) once again. Europe Investors were selective within European sectors, as well as within countries in the third quarter. Consistent with the broad global trends, economic growth concerns led investors out of technology and consumer stocks and into the materials and energy sectors. Oil-rich Norway rallied 12.0%, while the more diversified German and French markets were down 1.8% and unchanged, respectively. Germany was held back by the auto and technology companies. The European Central Bank once again declined to raise interest rates, given the lackluster domestic demand picture. However, the Bank of England continued its hiking campaign even though the economy began to offer the first hint of a slowdown. The Swiss National Bank raised rates by a quarter point as well. The euro advanced 2.1 % versus the dollar in the third quarter, while the British pound slipped 0.2%. Asia Japan suffered a setback once again in the third quarter, coming in last among all developed markets, down 7.5%. Investors were concerned about the effect that surging oil prices would have on the energy- importing economy. In the export sector, fears of a global slowdown hurt technology companies, as well as the financials, with semicon- ductors (-22.6%) particularly hit hard. In the banking sector, fears mounted that recent optimism was overdone, and the sector sold-off 12.1 %. The yen drifted 1.0% lower versus the dollar during the quarter. Elsewhere in Asia, results were considerably better. Australia soared 8.7%, as investors anticipated that rising commodity prices would be a boon for the resource-exporting economy. Both Hong Kong and Singapore rose 10.4% amid investor enthusiasm over continued strength in China and other emerging Asian economies. Emerging Markets Propelled by raw materials prices, emerging markets reversed their second quarter decline with a sharp 8.3% rally in the third quarter. Latin America ( + 17.1 % ) was the biggest regional winner, led by strong economic news from Brazil (+26.3%). This boosted investor confidence, despite the rise in interest rates. Elsewhere, natural resource exporter, South Africa, benefited from rising prices with a 13.5% gain. Emerging Asia lagged other emerging markets, as posi- tive demand from China was offset by declining worldwide demand for technology equipment and services. Callan Style Group Returns -Third Quarter 2004 10'1 6'.t 4•; O•i; 1------.-.~-.--+----.::::!'_:=l----+--------I -2'3 Global Equily Stile 101h l'.:ro:nrilt.:: -11,44 :?5111 Pi.:ro.:nlili.:: -0 76 MLdiJ.n -I.fr:?. 75111 Pi.::ro..:nlih:: -2,()~ rx111i Pcrccnlilc -\31 MSCIWurM Ucm.:hmJrk e -1,IK) Nun-U.S. E4uit1 Style 1.% 1)_81 -0 ,1 -0,9• -2,05 MSCIEAFE .() 2.S Emcri::,in~ l\farkcts F.:q Dh II lK) 9•6 ~ ~+ 7,81 6 • .'-12 MSCI Emcrg Markets Free 815 Regional Performance (based on US$) Third Quarter 2004 IOS'c 6% 4% -2% -4% -6QC -8':-4: -?A7'7c MSC! Europe MSCI Japan 9.347c MSC! ACWI /-ice (c, U.S.)= 1,01'! MSC! h\FE = -U.2W,, MSCI Pac MSC! Emerg Ex Japan Markets Free Rolling One-Year Relative Returns vs.MSCI EAFE US$ 40% "' E 30% ---= .; ~ ~0% "' -~ ~ I Qr;0 ---\_--- ct: i---------QL'=c:,-~ "" ~.::!O¼ 0 c;:-30'k ---- MSC! Pacific -MSC! Europe -----1 --MSCIEAFE --+O~~ >-+-~....+~....--t~~t--,--~+-r-~ ....... -...,_~ ........ ~-.-+~.....-<i-.-,....., 94 95 96 97 98 99 00 Of 02 03 04 Major Currencies vs. US$ Cumulative Returns over Last 25Years 200Sf ,-----------------------, ~ l50'7c er, ;:::, t E IOO'iC .: ~ .~ 50t;b "' ,; a 8 Ot'Jc -Japanese Yen German Mark/Euro +-------tt---------t UK Sterling CALLAN ,-~· -c(),"--[L\ 'T'[j'C ·--) -,·\JCJ INTERNATIONAL EQUITY Style Median and Index Returns• for Periods ended September 30, 2004 ,-Last Last3 Last Last3 Last5 Last 10 Quarter Quarters Year Years Years Years Global Style -1.62 2.55 17.54 6.18 1.88 8.33 Non-U.S. Style -0.31 3.84 21.13 10.13 1.02 6.83 Core Style -0.17 3.84 21.37 9.76 1.53 6.54 Top Down Style -0.25 4.61 22.04 10.80 0.63 6.00 Bottom Up Style 0.44 5.72 23.48 11.90 4.92 8.80 Small Cap Style -0.38 12.93 28.55 20.IJ 10.42 9.89 MSC! EAFE-Unhedged -0.28 4.27 22.08 9.12 -0.85 4.02 i MSCI EAFE-Local -1.03 5.47 15.26 1.18 -2.79 4.14 MSC! EAFE Growth Index -1.59 0.85 16.66 7.12 -4.37 1.65 MSCI EAFE Value Index 0.96 7.66 27.54 11.10 2.48 6.26 MSCI World-Unhedged -1.00 2.48 17.10 5.87 -1.60 6.80 MSCI World-Local -1.48 2.96 14.17 2.44 -2.30 7.05 MSCI AC World Free ex-U.S.-Unhedged 1.01 5.15 23.15 11.38 0.49 4.25 MSC! AC World Free-Unhedged -0.49 3.07 18.03 7.15 -0.92 6.78 r Pacific Basin Style -1.80 4.34 14.61 10.41 -2.36 0.52 Japan Style -7.21 5.61 16.65 7.77 -3.29 1.49 Pacific Rim Style 6.25 4.20 18.03 21.42 5.75 0.87 MSC! Pacific-Unhedged -3.50 4.40 14.60 9.22 -3.35 -2.20 MSCI Pacific-Local -3.51 7.20 11.94 4.78 -3.53 -1.51 MSCI Japan-Unhedged -7.47 2.46 11.04 5.53 -6.05 -3.66 MSC! Japan-Local -6.54 5.37 9.55 2.83 -5.40 -2.61 [ Europe Style 0.92 3.41 23.85 9.13 2.70 10.86 MSCI Europe-Unhedged 1.21 4.28 25.52 9.08 0.31 9.02 MSC! Europe-Local 0.12 4.84 16.95 -0.23 -2.22 8.62 [ Emerging Markets Database 8.34 7.22 27.04 27.52 9.88 3.65 MSCI Emerging Markets Free-Unhedged 8.25 7.41 26.53 25.94 6.04 0.10 MSCI Emerging Markets Free-Local 7.89 6.59 25.37 23 .09 7.76 6.04 CountryWeights-EAFE Return Attribution for EAFE Countries I Third Quarter 2004 New Zealand 0.2'7c As of September 30, 2004 Austria 0.3'7c Country Total local Currency Portugal 0.4% UK Australia 8.73% 4.56% 3.98% Greece 0.5% Austria 6.46% 4.29% 2.08% Norway 0.6% Ireland O.S'h Belgium 11.15% 8.88'7o 2.08% Denmark 0.8%· Denmark 6.14% 4.09% I 96% Singapore 0.9% Finland -l 77% -3.78% 2.08% Belgium 1.3% France 0.02% -2,02% 2.08% Finland I .J.<;t,- Germany -1.77% -3,77% 2.08% Hong Kong I 7'7o Greece 2.50% 0.41% 2.08% Sweden 2.5% C Hong Kong 10.42% 10,40% 0.02% Spain Ireland 5.30% 3 15% 2.08% 3,6% L Italy 2 10% 0.02% 2.08% Japan .7 47% -6.54% -1.00% Italy Netherlands -2.91 % -4.89% 2.08% 3 9% New Zealand 11.58% 4.85% 6.42% Norway 11.99% 8.76% 2.97% PortUgal 2.l 1'7o 0.02% 2.08% 4,7'7c Singapore 10.43% 7.95% 2.31 % Spain 1.66% -0.42% 2.08% Sweden 4.75% 1.24% 3.47% 5,3% Switzerland -2.16% -2.45% 030% UK 2,78% 3.00% -0.22% Switzerland 6,9<;'< * Returns less than one year are not annualized. Ill •,, 1 : C\PfI\L ~\i}JU\FT J I i T L L L Rising Rates Take a Breather In the third quarter, the Citigroup World Government Bond Index ex-U.S. rose 3.28% in dollar terms and 2.37% in hedged terms. Slowing economic growth dampened expectations of rising rates in most parts of the world, pushing bond markets higher. The U.S. currency was nearly unchanged, weakening 0.80% versus other currencies in the index. Europe The European bond market rallied in the third quarter, with the Citigroup EMU Government Bond Index rising 4.85% in U.S. dollar terms. The yield curve flattened slightly in the EU, as the European Central Bank once again decided not to lower interest rates, while slowing global growth led many to believe that rates would not have to rise until early 2005. The dollar dropped 2.1 % versus the euro. The United Kingdom was once again a different story, as the Bank of England tightened yet again. Signs of a slowdown emerged in the UK during the quarter, taking the bond market up 2.80% in dollar terms, with sterling dropping 0.2%. Japan The Japanese government bond market drifted 0.66% higher in dollar terms and rose 1.68% in local terms, as the dollar strengthened by Callan Style Group Returns -Third Quarter 2004 Clnbal F"'ixed Style J01h Pl'.TCl'nlilc 4.37 :'5th Pi:rn:milc 3,72 t,,kdian 3 ~() 75th Pi:n:cntilc 3 02 911th Pcrccntilc 2.95 Citi World Gov Unhel11-:cd lk ncllm:irk • 3 28 Non-l1.S. Fixed Slylc 4...19 3,1>-I l,17 2,X!, :!JO Citi Non-U.S. \Vurlcl Gov Unhcdgcd 3,:!X 1.0% versus the Japanese yen. The yield curve flattened on investor concerns that high oil prices would slow the economic recovery. Emerging Markets The JPMorgan EMBI+ Index returned to its winning ways in the third quarter, rocketing ahead 9.43% as investors believed that many of these commodity-exporting countries would benefit from rising energy and materials prices. INTERNATIONAL FIXED INCOME Style Median and Index Returns* for Periods ended September 30,2004 Global Style Citi World Govt-Unhedged Citi World Govt-Local Non-U.S. Style Citi Non-U.S. World Govt-Unhedged Citi Non-U.S. World Govt-Local Citi Euro Govt Bond Index-Unhedged Citi Euro Govt Bond Index-Local JPM Emerg Mkts Bond Index Plus Last Last 3 Last Last 3 Last 5 Quarter 3.30 3.28 2.54 3.17 3.28 2.35 4.85 4.89 9.43 Quarters 2.08 1.70 3.13 1.74 1.36 3.13 3.30 6.94 6.34 Year 7.48 7.00 3.10 8.50 8.16 3.23 11.48 6.56 11.96 Years Years /l.68 7.34 10.58 6.74 4.56 5.26 12.99 6.82 12.06 6.26 4.33 4.59 18.06 9.61 7.15 6.71 15.77 15.12 Last 10 Years 7.65 6.77 6.86 7.42 6.31 6.72 13.34 Return Attribution for Non-U.S. Govt Indices Third Quarter 2004 Country Weights -Citigroup Non-U.S. Govt As of September 30, 2004 Country Total Australia 7,23'7e Austria 4.82% Belgium 4,77'7o Canada 8.98'7o Denmark 4.49% Finland 4.50'7o France 4.80'7c Germany 4.76'7o Greece 4.78% Ireland 5,33'7c Italy 5.05'7c Japan 0.66% Netherlands 4.69'7o Norway 5.88% Poland 8.66'7o Portugal 4.55'7c. Spain 4.93% Sweden 6,ll 'lc Switzerland 3,1 l'lc UK 2.S0'lc ''' Returns less than one year are not annualized. ,,,,, Derived from MSC! EAFEdata. Local 3.l3'7o 2.68% 2.63% 2.87'7o 2.48% 2.37% 2.67'7o 2.62% 2.64'7c 3.18% 2.90'7c l.68'7c 2.56% 2.82% 3.30'7o 2.41% 2.79'7, 2.55% 2.81 '7e 3.03% Currency .. 398% 2.08% 2.08% 5.94% 1.96% 2.08% 208'7o 2.08% 2.08'7o 2.08% 2.08% -100% 2.08% 2.97'7c 5.l9'7o 2.08% 208% 3.47'7o 0.30% -0.22% Norway O Yk · Australi::i 0.4t;t Poland O 5%· Ireland 0.5%'-...-...,__ Finland 0.8'k ~ Switzerland 1.0%~ Portugal 1.0% Sweden 1.1 % Denmark J2 <;f,/ Austria J .8% Greece 2.3'7c Canada 25 % Netherlnnds 2.8% Belgium 3,4'l, CALLAN \SSOCT JES France J0.6% f/U I I ,, G\Pl]\L \l-t!OO:T L L And the Beat Goes On Last quarter, real estate in the public markets rebounded strongly, as measured by the NAREIT Equity Index ( +8.23% ). Despite increases in short-term interest rates by the Federal Reserve, private real estate continued to fare well relative to other asset classes as measured by NCREIF (+3.42%). The unexpected fall in long-term Treasury yields strengthened confidence in the public real estate market. The retail property type continued to be this quarter's darling sector with strong fundamentals and strong capital market demand. The Regional Mall sector of NAREIT rose 13.5% for the third quarter, bringing the year-to-date return to 23.3%. On the private side, the retail sector jumped 5.08% for the quarter, as measured by NCREIF. Improvements in the overall economy have been helpful to the non- retail sector fundamentals, yet at a slower pace. According to Torto Wheaton, the national office vacancy rate has improved by more than 50 basis points since its peak last year. However, industrial vacancy rates have remained unchanged, and current apartment development is exceeding new demand. The office sector's NAREIT advanced 6.8% for the quarter and industrials gained 7.4%. The NCREIF returns were not as strong, but still positive with a 3.17% return for office and 2.74% for industrials. Apartments could benefit from a decrease in new home ownership growth as interest rates rise; however, continued new development will erode occupancy gains. When compared to the other sectors, weaker fundamentals in the apartment sector are apparent in the NAREIT quarterly return of 6.58% compared to the overall index return of8.23%. Investor interest is holding strong for all property types, as evidenced by increasingly lower overall capitalization rates. The short-term effect of decreased capitalization rates is higher returns. However, the long-term effect is lower expected returns, unless real estate funda- mentals increase; that will translate into increased cash flow at the property level. Overall Capitalization Rates Sector [ndustrial Apartment CBD Office Suburban Office Strip Shopping Center 3rd Quarter 2004 One Year Ago 8.27% 8.71% 7.05% 7.61% 8.48% 9.20% 8.91% 8.39% 9.60% 9.06% Source: Korpac: Real Estate Investor Survey® Rates based on unleveraged, all-cash transactions, Callan Style Group Returns -Third Quarter 2004 10'.! 6'.; 2't ()',; ~--------~---------~ 101h Pcm:nlilc 25th Pl.'n.:cntilc Ml'di:m 75111 PcrccnUlc ~lh Pcrccntili.! Dcnchmark • Real Est.ile Database 4 X9 3 sx 2~90 t 70 I JK NCREIF Total Index 3.42 REIT Oat:.ihase 9.:n 9.03 8.36 1.~r:i 7,60 NA REIT Equily R,:?3 NAREIT Equity Sector Performance - Third Quarter 2004 Retail Health Care Diversified Self Sto1 age Residential Industrial/Office Lodging/Rcso11s 0% 6'ic sq IOC/c Return Rolling One-Year Returns 127c 60% ,-------------------------, c: 50% " .. ~ 40C/c .,, E ::s 30~0 ~ Ct: ~ 20% -;. .:, C: IOC/c 0 OJl ;.§ OC/o 0 0: -10% -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 September 30, 2004 Last Last 3 Last Last 3 Last 5 Quarter Quarters Year Years Years Real Estate Database (net of fees) 2.90 7 65 9.75 8.03 8.56 NCREIFTotal Index 3.42 9.39 12.41 8.61 9.53 REIT Database 8.36 /5.95 27.40 20.43 /9.93 NAREIT Equity 8.23 14.19 25.57 19.51 18.30 "' Returns less than one year are not annualized. Last 10 Years //.04 10.57 15.55 13.20 Private Equity Market Concerns by limited partners that too much money in private equity is chasing too few deals appears to be subsiding. Fundraising continues to rebound from last year's low when the total raised through the third quarter was just over $20 billion. Buyouts have attracted more than half of all the new capital commitments year-to-date. Overall, corpo- rate finance commitments represent well over 70% of capital raised for 2004. Through the third quarter of 2004, buyout funds have raised new commitments totaling just under $22 billion. Deal flow has been robust as well. Leveraged buyout transaction volume is on pace to surpass last year's record of $94 billion, with a year-to-date value of $89 billion. Venture capital fundraising has also risen from last year's slump. The $7 billion in new capital is more than triple the $2.1 billion committed through the third quarter last year, but still looks quite manageable from a historical perspective. Comparatively, through the third quarter of 1997 and 1998, venture funds raised $5.6 and $11.4 billion, respec- tively. A current limiting factor is the dearth of high quality opportuni- ties, with the market split between the "haves" of tenured groups and the "have nots" ofless developed managers. Please see our upcoming issue of Private Markets Trends for more in-depth coverage. Funds Closed January 1 through September 30, 2004 Strategy # of Funds $ Amt (mil) % Venture Capital 46 7,080 18.4 Acquisition/Buyouts 36 21.665 56.2 Subordinated Debt 8 2.647 6.9 Distressed Debt 3 1,750 4.5 Other JO 1,973 5.0 Fund-of-funds 16 3.456 9.0 Totals 119 38,570 100.0 Source: The Privute Equity Analyst Trendless Markets Foil Hedge Funds Equivocating capital markets in the third quarter left the hedge fund community with little conviction. Furthermore, equity volatility fell closer to eight-year lows, as measured by the VIX Index, leaving many hedge funds with poor absolute or relative opportunities. Representing broadly diversified programs of hedge fund strategies, the median manager in the Callan Hedge Fund-of-Fund Database carved out a 0.53% gain last quarter, after all fees. For the year-to-date, the median manager advanced 2.73%, trailing a bench- mark ofT-bills + 5% by 3.37%. Representing an unmanaged composite of underlying hedge fund strategies, the CSFB/Tremont Hedge Fund Index rose 0.84% last quarter, net of fees. Among the best-performing strategies, Short Bias funds jumped 7 .40%, as poor-quality stocks suffered the most. Market Neutral Equity advanced 3.00%, while typically long-biased Long/Short Equity edged up 1.00%. When the Fed raised rates last quarter amid a "soft patch" in the economic recovery, the bond market quickly recovered the prior quarter's losses. In this unusual environment, Fixed-Income Arbitrage fell 0.50%. However, lower long-term rates in a still stable economy supported marginally tighter credit spreads, helping Distressed to rise 2.33%. Despite falling rates and improving credit spreads, Convertible Arbitrage ( +0.01 % ) was still dead in the water. Monthly Net Returns: CAI Hedge FoF Database 0,9'.'t -1,2',¾ 101.h l\~ri.:cntile 2.51h Pcn.:cntilc Mcdi:in 751h I\.T..:l..'ntilc 91.Mh l'..:n:cnlilc I~Bilh • July 2004 O.:!J 0.01 -o.:w -0.~5 -I IJ 0.1) August 200.J September 200-t 0.5+ l•N 0,36 ID (~14 0 fl.~ -005 0.3S -1}_~6 1101! O IJ n IJ ALTERNATIVE INVESTMENTS Style Median and Index Returns• for Periods ended September 30, 2004 Convertibles Database CSFB Convertible Securities Hedge Fund-of-F11nds Database Market Neutral Eq11ity Style CSFBffremont Equity Market Neutral CSFBffremont Long/Short Equity CSFBffremont Event-Driven CSFBffremont Convertible Arb CSFBffremont Fixed-Income Arb 90-Day T-Bills VE Post Venture Cap Index GS Commodity Index MLM Managed Futures Index '' Returns less than one year are not annuali zed. I(} Last Last 3 Last Last 3 Last 5 Quarter -0.95 -0.95 0.53 1.09 3.00 1.00 1.73 0.01 -0.50 0.37 -5.92 16.63 2.92 Quarters 1.11 1.47 2.73 2.57 5.29 3.87 7.03 0.49 3.84 0.84 -0.56 31.46 4.21 Year 10.43 10.14 6.21 2.32 7.33 10.83 11.62 4.17 5.70 1.10 13.56 46.38 11.96 CALLAN \ C .,-, f "T']]C::. ,.) __ lJ L· U . .l Years Years 7.46 7.25 8.71 5.71 5.78 9.18 2.36 3.55 7.11 9.49 6.77 8.54 9.95 10.18 6.43 11.83 6.36 6.92 1.47 3.11 8.89 -9.58 22.95 17.05 2.33 4.93 1,1111 ' Last 10 Years 11.28 9.66 11.22 6.19 11 .52 13.20 11.78 11.09 7.40 4.19 6.91 12.16 7.48 ( \P l]\L L \l tlili 1 r ! r l L L L L L L Slowing Down? But We Just GotTo Cruising Speed ... Some observers are worried that the current economic expansion is being undermined, slowly but surely, by a combination of higher oil prices, rising interest rates, the end of a series of strong fiscal stimuli, and weak growth overseas. Is the expansion unraveling, just as we got to cruising speed? Or is it just another phase in what has proven to be one of the more unusual expansion cycles in the U.S. economy? The concern is that a number of convergent forces will push U.S. GDP growth below trend (roughly 3 to 3.5%), which will in tum widen the gap between actual output and potential output (what the economy is capable of producing). As the output gap widens, unemployment will rise again, and weaken growth further. The "soft patch" we suffered through in the second quarter of 2004 will be here to stay. The princi- pal culprit will be the high price of oil-prices remaining above $50 per barrel will shave anywhere from one-half to three-quarters of a percentage point off of GDP growth this year and next. In addition to high oil prices, the Federal Reserve has raised interest rates three times since spring, and will likely continue to raise them gradually. The big tax cuts have passed, the personal savings rate is below 1 %, and consumer finances are stretched thin. If the employment situation deteriorates, after taking so long to recuperate, then consumer spend- ing will decelerate sharply. Business confidence has become shaky once again in the face of uncertainty-high oil prices, worries about the sustainability of the expansion and profit growth (we're getting circular in our logic here), fears of terrorist attacks, the situation in Iraq and jitters about the presidential election. Finally, growth outside of the U.S. appears to be slowing. The weak recovery in Europe may already be faltering, and the promise of sustained growth in Japan has been tempered by a weak second quarter ( 1.3% growth). As a result, export-led growth in the U.S. is now at risk, and the current account deficit is in danger of getting even larger. What do the recent data say about the state of the economy? First, the much-fretted-over soft patch in the second quarter was not so soft after all-the final revision to GDP put growth at 3.3%, up from the 2.8% preliminary estimate. Third quarter GDP came in at 3.7%, a bit weaker than consensus estimates, but still above trend, fueled in part by a revival in consumer spending over the summer and perhaps a last fling for the housing market. Second, corporate profits have remained strong through the first three quarters, and are likely to record a third straight year of double-digit growth. Third, consumer spending grew by an estimated 4.5% in the third quarter, up from the anemic 1.6% gain in the second quarter. On the minus side, the job market has disappointed once again, with payrolls posting a meager 96,000 new jobs in September. After adding over a million jobs during the four- month period starting in March, the economy has struggled to add just 100,000 new jobs per month since June. The hurricanes that swept the Inflation -Year Over Year 20% ,----------------------- -PP! (All Commodities) 15% -CPI (All Urban Consumers) 5% -5% southeast may have reduced Bureau of Labor Statistics' employment measures by up to 50,000, but even after accounting for this special factor, the job gains are still substantially below expectations for this stage in the economic expansion. The Report on Business, published by the Institute for Supply Management, tracks purchasing activity for both manufacturing and non-manufacturing activity, and is often a reliable leading indicator. While the index for manufacturing has been above 50--the dividing line between expansion and contraction-for 16 months, the measure fell back from 62 in July to 58.5 in September. The index for non-manufacturing saw a similar decline. Both indexes suggest continued economic growth, but at a slower rate. Inflation is still not a big problem, in spite of oil prices north of $50. Robust economic growth and the higher oil prices have not resulted in a sustained increase in core inflation, thanks to strong productivity growth and continuing excess capacity in the U.S. and around the world. Capacity utilization has inched up by almost three percentage points between September 2003 and 2004, even after accounting for a 1.5% rise in manufacturing capacity, but at 76.3%, the utilization rate remains well below 80%. With inflation in check and the realization that the rate of growth may be easing, the Fed can take its time raising interest rates. The bond market expects another 25 basis points rate hike before the end of 2004, and believes the Fed's ultimate target for the Federal Funds rate lies between 3.5% and 4%. A gradually slowing rate of growth in the U.S. economy may extend the timeline for reach- ing this interest rate target out into 2006. One more piece of good news is the record level of corporate cash flow, both in absolute terms and as a percentage of GDP. Hiring and spending should continue to improve in response, if at a cautious rate. Overall economic growth will peak in 2004 and subside somewhat over the next year, but the expansion will not likely be derailed. There is certainly the risk that we may encounter a second "soft patch," particularly since oil prices have surged above $50. U.S. ECONOMY Recent Quarterly Indicators 4Q02 1Q03 2Q03 3Q03 4Q03 1Q04 2Q04 3Q04 CPI-All Urban Consumers (year over year) 2.4% 3.0% 2.1% 2.3% 1.9% 1.7% 3.3% 2.5% PPI-All Commodities (year over year) 3.8% 8.8% 5.4% 4.7% 4.9% 1.1% 6.6% 6.6% Employment Cost-Total Compensation Growth 3.0% 5.5% 3.4% 4.2% 3.1% 4.3% 4.0% 3.7% Non-Farm Business-Productivity Growth 2.3% 3.7% 6.7% 9.0% 3.1% 3.7% 2.5% 2.3% GDP Growth 0.7% 1.9% 4.1% 7.4% 4.2% 4.5% 3.3% 3.7% Manufacturing Capacity Utilization (level%) 73.0 73.3 72.7 73.6 74.3 75.5 76.0 76.3 Consumer Sentiment Index (1966=1.000) 0.838 0.800 0.893 0.893 0.920 0.980 0.933 0.956 1/,.uf ,, '_,. I] l'c\PITt\L ~Lt\RKET' " CAILAN ASSOCIATES lJ r. Oil Prices Clog the Markets The uncertain state of world affairs, record oil prices, and Fed tighten- ing contributed to poor U.S. equity performance in the third quarter. Median fund sponsor returns were generally flat during this time. The surprisingly positive results from the bond market came on the heels of its worst quarter in more than a decade, but were not enough to offset weaknesses in the equity markets. Callan estimates the recent total returns of the institutional investor community using the median manager returns from the latest quarter and the ending asset allocations from the prior quarter. The adjacent graph illustrates the range of returns showing modest losses across the board for public, corporate, and Taft-Hartley pension plans, as well as endowments/foundations. The table below compares the returns of the four institutional fund sponsor types to several benchmarks over longer periods. Choices in asset allocation explain much of the difference in performance. With the equity markets both at home and abroad declining in the third quarter, those fund sponsors with more conservative asset allocations (i.e., less equity exposure) performed better. With an average public equity allocation of 57%, the median Taft-Hartley plan fared the best, up 0.23% for the quarter. Despite their more aggressive equity alloca- tions, public (59%) and corporate (63%) plans were not far behind, gaining 0.13% and 0.10% in the median case, respectively. With the most aggressive equity allocation (65%), the median endowment/ foundation lost 0.02% in the third quarter. Callan's balanced manager groups generally maintain well-diversified portfolios and attempt to add value by underweighting or overweight- ing asset classes, as well as through stock selection. In the recent quarter, both global and domestic balanced managers Jagged their static 60% equity and 40% fixed income benchmarks. 30% 10% - - Callan Style Group Returns -Third Quarter 2004 15'.i 1:!'.; 09'.i 06'.; OJ•; 00'( -0,3'.i -IJ.{1'.; -0.9'.\ I01h Pcn..:l'nlile 25th Pcn:cnLiie t-.kdian 751h Percentile 90111 Pcn:cnLilc Puhlic Plan Dalaha5e I 08 0.52 0,1) -11,15 -047 Corporate Plan Endow/Found Tafl-Hmtle) Database Datuba.sc Database 111 0 R9 1.2R (UU IJ JI 0.67 [) 10 -lU)2 02.J -U,IY -11-1-1 -006 -0.57 -I 17 -0.67 Average Asset Allocation as of June 30, 2004 - Ill ,.. Ill I I ,. • Public Corpo • EndO\ Taft-H rate vmcnt/Foundation artlcy ,• ----,. I , ____ _I US. Equity Non-U.S Equity U.S. Fixed Non-U.S Fixed Real Estate Alt. Inv Cash DIVERSIFIED ACCOUNT DATABASE Style Median and Index Returns• for Periods ended September 30, 2004 Last Last 3 Last Last 3 Last 5 Last 10 Years Quarter Quarters Year Years Years Public Database 0.13 3.05 Co171orate Database 0./0 2.84 E11do11ment/Fo11ndation Database -0.02 2.91 Taft-Hartley Database 0.23 2.86 Asset Allocator Style 0.29 3.21 Domestic Balanced Database 0.05 2.49 Global Balanced Database 0.39 3.54 60% S&P 500 + 40% LB Aggregate 0.16 2.30 60% MSCI World+ 40% Citi World Govt 0.71 2.21 ,:, Returns less than one year are not annualized. The Capital Market Reviell' 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. Real Estate 11.83 6.74 11.76 6.77 12.36 7.03 11.21 6.34 JJ.21 5.09 10.38 5.41 12.86 8.69 9.90 5.35 13.09 8.37 Gary Robertson/Craig White. Private Equity Jim McKee. Hedge Funds 4.48 4.50 4.83 4.63 2.72 3.89 4.87 2.72 2.28 Julia Moriarty. Diversified Accounts. CMR Performance Data Mary Schaefer. Editor in Chief Tanja Eisenhardt. Publication Layout 9.10 9.99 9.95 9.36 9.95 10.03 W.19 10.18 7.28 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. J.! CAUAN .'\SSOCJ TE , " I l 'ITUJ \Rl(fil r r- r- r t f l l l L L L L MARKET OVERVIEW m 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% 6% - 4% - t/l 2% - i::: .... :::l 0% ... -- (l) i:::i:: (2%) -(49) (4%) - (6%) - (8%) 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Index A 30% 25% - 20% - t/l i::: .... Range of Separate Account l\'Ianager Returns by Asset Class One Quarter Ended September 30, 2004 (44)~ (33)§ (37)~ 1761 \'tU/ ~ Domestic N11n-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 1.17 1.96 4.50 4.49 4.89 (0.38) 0.81 3.49 3.64 3.88 (1.91) (0 31) 3.09 3.17 2.90 (4.14) (094) 2.46 2.83 1.70 (6.13) (2 05) 1.23 2.30 1.38 (1.87) (0.28) 3.20 3.28 3.42 Range of Separate Account Manager Returns by Asset Class One Year Ended September 30, 2004 0.75 0.56 0.43 0.37 0.33 0.37 3 15% (l) (43)~ ((7)CJ -(62) A i:::i:: 10% - 5% - 0% 10th Percentile 25th Percentile Median 75th Percentile 90th Percentile Index A Orange County Sanitation District Domestic Non-US Equity Equity vs vs S&PSOO MSCIEAFE 25.67 26.14 20.92 23.96 15.91 21.13 11.32 17.77 6.92 14.94 13.87 22.08 (50)~ Domestic Fixed-Income vs LBAggrBd 10.52 4.95 3.67 2.70 1.79 3.68 (66;1.. I (85) Non-US Real Cash Fixed-Income Estate Equivalents VS VS VS Citi Non-USG NCREIF Index 3 Mon T-Bills 9.96 8.81 8.50 7.91 7.06 8.16 16.12 11.66 9.75 5.76 3.50 12.41 1.62 1.44 1.28 1.17 1.05 1.10 [ L L L L L L L L Active vs the Index DOMESTIC FIXED-INCOME Active Management Overview After a poor showing in the second quarter, the Domestic Fixed-Income market rebounded, posting positive returns in all style groups. The Lehman Aggregate showed strength, as did the Lehman Govt/Credit Index, with returns of 3.20% and 3.56%, respectively. The Extended Maturity style group led the charge, returning 6.47%, a stark contrast to last quarter, where it was the worst performer. Although still positive, the Active Cash group performed the worst, reporting a 0.62% return for the quarter, 25 basis points above the 90-Day Treasury Bill rate. For the year ended September 30, 2004, the High Yield group continued to benefit from a strong credit environment with a return of 12.57%. All other groups fell around the Lehman Aggregate Index's 12-month return of 3.68%. Short vs Long Duration As investor continue to focus on long duration strategies, fixed-income products with those characteristics prevailed with higher returns for both the quarter and the year ended September 30, 2004. The Defensive and Intermediate style groups both lagged the Lehman Aggregate index, reporting returns for the quarter of 1.18% and 2.57%, respectively. Extended Maturity posted a strong third-quarter gain of 6.47%, as compared to last quarter's loss of 4.77%. For the year, Extended Maturity outperformed all groups, except High Yield, with a 5.83% return, while Intermediate followed with 2.84%, and Defensive lagged at 1.76%. Mortgages and High Yield Both Mortgages and High Yield moved back into positive territory this quarter, with High Yield gaining 4.39%, almost double that of the Mortgage style group. Continuing to outperform the entire Domestic Fixed-Income group for the year, High Yield saw a return of 12.57%. Mortgage Backed securities as a whole reported lackluster returns for both the quarter and the year, with returns of 2.70% and 4.45%, respectively. "' C: .... ::I ~ i:i::: <I) E: ::I ~ i:i::: Separate Account Style Group Median Returns for Quarter Ended September 30, 2004 Lehman Universal: Lehman Aggregate: Lehman Govt/Credit: Lehman Mortgage: 8% r---------------------------4 '---------------' Lehman High Yield: 3.46% 3.20% 3.56% 2.61% 4.85% 7% 6% 5% 4% 3% 2% 1% 0% i------------------------·------6-;4?%---- ----.62%- Active Cash Defensive Intermed Core Bond Core Plus Extended Active Maturity Duration Mortgnge Backed Lehman Universal: S t A t St I G M d• R t Lehman Aggregate: epara e CCOUn y e roup e Ian e urns Lehman Govt/Credit: 4.43% 3.68% 3.33% 4.36% for One Year Ended September 30, 2004 Lehman Mortgage: 15% r---------------------------4 Lehman High Yield: 12.55% 10% 5% 0% 1.33% Active Cash 2.84% Defensive Intermed =l • ' I I I. ~--., Core Bond 492% --- Core Plus 5.83% Extended Maturity '---------------' Active Duration Mortgage Backed 12.57% High Yield Orange County Sanitation District r [ Asset Class Risk and Return The charts below show the nine 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% VJ c:: .... ::l 5.0% ..... <1) ~ 4.5% 4.0% - 3.5% Nine Year Annualized Risk vs Return Asset Classes vs Benchmark Indices I ML Govl./Corp 1-5 A+ I : Sani District : I ML 1-5 Govt I ML 1-3 Yr Gov/Cor Idx ~ I LB Govt/Cred 1-5 Year Idx e--f 3-month Treasury Bill I ' ~ ~orp I 0.6% 0.8% 1.0% 1.2% 1.4% 1.6% 1.8% 2.0% 2.2% 2.4% 2.6% 2.8% VJ c:: .... ::l ..... 2J 6.5% 6.0% 5.5% 5.0% 4.5% 4.0% 3.5% 3.0% 0.8% Orange County Sanitation District Standard Deviation Nine Year Annualized Risk vs Return Asset Classes vs Asset Class Median '" ! CAI Defensive F-I Style J--e I Sani District I e--f Money Market Fds DB I ' ' I 1.0% 1.2% 1.4% 1.6% 1.8% 2.0% 2.2% Standard Deviation 2.4% L L l L L L L L /I Investment Manager Asset Allocation The table below contrasts the distribution of assets across the Fund's investment managers as of September 30, 2004, with the distribution as of June 30, 2004. 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 September 30, 2004 June 30, 2004 Market Value Percent Net New Inv. Inv.Return Market Value Percent Domestic Fixed Income Long Term Operating Fund 363,160,587 83.31% (31,000,000) 5,713,979 388,446,608 77.56% Liquid Operating Monies 72,739.393 16.69% ( 40.000.000) 350.285 112,389,108 22.44% Total Fund $435,899,980 100.0% $(71,000,000) $6,064,264 $500,835,716 100.0% Orange County Sanitation District [ L Investment Manager Returns The table below details the rates of return for the Sponsor's investment managers over various time periods ended September 30, 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 September 30, 2004 Last Last Last Last Last 3 5 9 Ouarter Year Years Years Years Domestic Fixed Income Long Term Operating Fund 1.55% 2.21% 4.47% 6.10% 6.17% Liquid Operating Monies 0.32% 1.11% 1.65% 3.42% 4.34% Net of Fees 0.29% 0.96% 1.50% 3.27% 4.19% Market Indicators LB 1-5yr Govt/Credit 1.73% 1.80% 4.49% 6.25% 6.09% ML l-3yr Govt/Corp 1.13% 1.37% 3.57% 5.45% 5.68% ML l-5yr Govt/Corp 1.70% 1.75% 4.37% 6.18% 6.12% ML 1-5yr G/C excl. BBBs 1.64% 1.55% 4.19% 6.09% 6.06% Treasury Bills 0.37% 1.10% 1.47% 3.11% 4.03% TotalFund 1.26% 1.92% 4.09% 5.77% 5.98% Orange County Sanitation District 17 00 c:: ... ::l ~ Cl) .t ~ al ~ PIMCO-LIQUID OPERATING MONEY PERIOD ENDED SEPTEMBER 30, 2004 /I Investment Philosophy The Money Market Funds Database consists of actively managed short term funds. These funds invest in low-risk, highly liquid, short-term financial instruments. Quarterly Summary and Highlights • PIMCO-Liquid Operating Money's portfolio posted a 0.32% return for the quarter placing it in the 6 percentile of the MF -Money Market Funds Database group for the quarter and in the 1 percentile for the last year. • PIMCO-Liquid Operating Money's portfolio underperformed the 3-month Treasury Bill by 0.04% for the quarter and outperformed the 3-month Treasury Bill for the year by 0.01 %. Quarterly Asset Growth Beginning Market Value $112,389,108 Net New Investment $-40,000,000 Investment Gains/(Losses) $350,285 Ending Market Value $72,739,393 Performance vs MF -Money Market Funds Database - - - - - - - 5.0% 4.5% 4.0% 3.5% 3.0% 2.5% 2.0% 1.5% 1.0% 0.5% 0.0% - -(l)~~f1 (1)1§ A(I (l)~~!l ) 8(4 ~) Last Quarter Last ear 10th Percentile 0.31 0.99 25th Percentile O 27 0.82 Median 0.21 0.58 75th Percentile 0.15 0.36 90th Percentile 0.07 0.15 !'LMCO-Liquid Operating Money • 0.32 1.11 Net of Fees • B 0.29 0.96 3-month Treasury Bill J. 0.37 1.10 Last2 Years 1.06 0.90 0.68 0.45 0.22 1.29 1.14 1.21 Relative Return vs 3-month Treasury Bill 0.25 % • 0.20% 0.15% 0.10% · 0.05% • 0.00% (0.05%) • -- (0.10%)-I I 95 1996 1997 1998 1999 2000 I I I I 2002 2003 2004 J • PIMCO-Liquid Operating Money J I Afll 10)~B I Last3 Years 1.34 1.19 0.98 0.74 0.48 1.65 1.50 1.47 5.0% 4.5% 4.0% 00 c:: ... ::l 3.5% .... Cl) ~ 3.0% 2.5% I (I (3)1~:i°" Lasts Years 2.99 2.85 2.65 2.41 2.19 3.42 3.27 3.11 ,(7)@ tli Last7 Years 3.63 3.49 3.29 3.09 2.88 4.00 3.85 3.67 I A(I (9)8811 Last9 Years 4.02 3.89 3.69 3.49 3.30 4.34 4.19 4.03 MF -Money Market Funds Database Annualized Nine Year Risk vs Return 2.0% -+,--......,..---,--~-,----,---------I 0.85 0.90 0.95 1.00 1.05 Standard Deviation I.JO 1.15 Orange County Sanitation District r [ L L L L PIM CO-LONG TERM OPERA TING FUND PERIOD ENDED SEPTEMBER 30, 2004 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 1.55% return for the quarter placing it in the 4 percentile of the CAI Defensive Fixed-Inc Style group for the quarter and in the 21 percentile for the last year. • PIMCO-Long Term Operating Fund's portfolio underperformed the ML 1-5 Govt/Corp by 0.14% for the quarter and outperformed the ML 1-5 Govt/Corp for the year by 0.46%. Quarterly Asset Growth Beginning Market Value $388,446,608 Net New Investment $-31,000,000 Investment Gains/(Losses) $5,713,979 Ending Market Value $363,160,587 Performance vs CAI Defensive Fixed-Inc Style - - - 7% 6% 5% 4% 3% 2% 1% 0% - -(2)~8 2 ~Ao 50) B 5 (17)~A(I Bl3 I) - I 0th Percentile 25th Percentile Median 75th Percentile 90th Percentile PIMCO-Long Tenn Operali1]$. Fund e A MLu/C 1-5 excl. BBBs •B ML 1-5 Govt/Corp A A~ Last Quarter 1.45 1.26 1.18 1.09 0.94 1.55 1.64 1.70 5) Last Last2 Year Years 2.57 3.94 2.09 2.87 1.76 2.53 1.40 2.27 1.21 2.05 2.21 3.15 1.55 2.65 1.75 3.14 Relative Return vs ML 1-5 Govt/Corp 1.0%-~-~---.--~-~-~-~--,---,----, 0.5% --------+----+---• -------------- (1.0%)-----+---+---+---------------+ (1.5%) -~-----r-+--,-r-+--.--f-T---1~--+-,,--+-,---r-{ 95 1996 1997 1998 1999 2000 2001 2002 2003 2004 I • PIMCO-Long Term Operating Fund J Orange County Sanitation District (S)§~H /}sJ[3~H H3 ~~ftl (!2)9~1111 ~} ~) Last3 Years 4.48 3.83 3.54 3.25 3.12 4.47 4.19 4.37 7.0% 6.8% 6.6% 6.4% Cl) 6.2% i:: ... Last 5 Last 7 Last9 Years Years Years 6.12 6.00 6.16 5.74 5.74 5.96 5.50 5.51 5.76 5.29 5.36 5.58 4.95 5.15 5.50 6.10 6.04 6.17 6.09 5.96 6.06 6.18 6.02 6.12 CAI Defensive Fixed-Inc Style Annualized Nine Year Risk vs Return D I ML G/C 1-5 excl. BBBs I • /"' .., -It a 6.0% <1.l I PIMCO-Lon_g Tenn Operating Fund I i:i::: 5.8% 5.6% 5.4% - 5.2% 5.0% 0.5 1.0 ML 1-5 Goyl/Corp .,, otl • O D !l "1::, De D 1.5 2.0 2.5 Standard Deviation 3.0 r t p i ' f r l L ! L L L L L L Orange County Sanitation District Corporate Identity Program Phase 1 -Final Report October 10, 2004 r r r r r r r I r [ L L L L L L L L L Orange County Sanitation District Corporate Identity Program Phase 1 -Final Report 10/4/04 Johnson I Ukropina f' r I r· l r I l ( L L L Orange County Sanitation District Corporate Identity Program Phase 1 -Final Report 10/4/04 Executive Summary JohnsonlUkropina (JIU) was selected to perform an assessment of OCSD's current identity and determine if it needed to be changed. The assessment included the following: • Service area demographic review • Media audit • Peer review of similar agencies • Focus groups of ratepayers • Quantitative survey of ratepayers • Employee interviews • Executive Management Team (EMT} interviews • Board member interviews Based on the above activities, we conclude the following: • Orange County Sanitation District (OCSD) is confusing for the general public, who ascribe trash and solid waste management rather than wastewater treatment to the term "sanitation." • "Orange County" is thought to encompass the entire county, but this is a much less important issue. • There is general agreement that the current name does not encompass the mission and scope of the agency, primarily because the correct use of the term "sanitation" is widely unknown. Does the name need to change? • While the public would like to know what the agency does, they do not engage directly with OCSD. • Employees want a more descriptive name but lack the will to change. • EMT members want a new name • The Board appears to lack the political will to take on the issue of a name change. JIU recommendation: Do not change the name or logo. It is too costly for the benefit received. Instead, consider adding a more descriptive tagline that becomes integrated with the name and logo. Taglines are used by many companies to clarify their name and deliver additional messaging about themselves. (See page 17 and 18 for examples.) A tagline can be phased in as new materials are printed, vehicles are acquired or refurbished and supplies are restocked. 24 Executive Park, Suite 250, Irvine, CA 92614-6738 phone fax e -ma i l 949.852.5960 949.852.2090 mail@j-u.com r (. I f r 1 r . r { L ( I. I L L L L L L' Orange County Sanitation District Corporate Identity Program Phase 1 Final Report 10/4/04 Background and Scope of Project On March 11 , 2004, OCSD issued an RFP to find a qualified firm or consultant team to conduct customer awareness and perception surveys to gather baseline information and report on findings. This was deemed Phase 1. Phase 2 is planned to be a review of the current Corporate Identify System and assessment of all data from Phase 1, resulting in a recommendation for change or no change. Phase 3 would then be educational marketing campaign to promote a positive agency image and identity to the general public and target audiences in OCSD's service area. Phases 2 and 3 were scoped to be handled under a separate procurement from Phase 1 . RFPs were due on April 20, 2004 and JohnsonlUkropina received notice to proceed on May 21 , 2004. The kickoff meeting with OCSD Communications Staff and JIU project team was held on June 3, 2004. The team collectively determined that research must be completed for the October cycle of EMT, FAHR and Board meetings. The goal of this identity project is to establish a corporate identity system that clearly communicates the Orange County Sanitation District's function and vision. Overall corporate identity objectives include: • Increase public awareness of who OCSD is and what the District does • Have the public perceive OCSD as the essential service it is • Position OCSD within the community • Reinforce positive messages • Determine the needs and expectations of the Community • Increase stakeholder involvement Phase 1 consists of qualitative and quantitative research analysis. The tasks and deliverables are as follows: Tasks 1. Conduct research studies of: a. OCSD's service area demographics and ethnic groups b. OCSD as referenced in the media, including past and current events from news articles, technical journals, broadcasts and OCSD press releases c. Peer review of OCSD to similar wastewater treatment agencies or publicly-owned treatment works I L L {_ L L l L L. L Orange County Sanitation District Page 4 Corporate Identity Program -Final Report 2. Establish customer and stakeholder baseline information: a. Conduct four focus groups and 500 random telephone surveys with general public to explore identity, image and awareness of OCSD b. Conduct representative random telephone surveys with 50 OCSD employees, board members and Executive Management Team to evaluate their opinion of OCSD's image and identity and what they perceive customer's opinions to be Deliverables 1. Report, including an executive summary and separate review of findings for each element of the statement of work tasks, and appendices with raw or supporting documentation. Project Methodology Because of the need to collect a vast amount of information in a compressed timeframe, the JIU project team elected to conduct external residential ratepayer research concurrently with internal interviews with employees, EMT and board members. Simultaneously, the team collected market information about the service area, press relations and conducted peer reviews. External residential ratepayer research was conducted by FLEXO HINER & Partners and the balance of the research was conducted by JIU. The analysis contained in this report was performed by JIU. Task 1 a -Service Area Demographics OCSD service area demographic/ethnicity tables can be found in Appendix 1. Demographics were used to ensure an appropriate balance of participants were solicited for the focus groups and quantitative telephone survey. Task 1 b -Media Review JIU undertook a media review to see how the agency and the media characterize the name of the agency. OCSD Internally Prepared Documents Internally, OCSD refers to itself as: • Orange County Sanitation District • Orange County Sanitation District (OCSD) • Orange County Sanitation District (District) • OCSD r r r l I i i L L Orange County Sanitation District Corporate Identity Program -Final Report Press releases found at ocsd.com sometimes use the full name in the title and sometimes the acronym OCSD. Page 5 The full name always appears somewhere in the release albeit one was found where it only appeared as the "where" for a public meeting and OCSD was used otherwise. Some releases use the full name and the acronym and some use only the full name in the headline or leading copy line. If the acronym is not in the lead, it may still be used in the body of the release without explanation. Two fact sheets found on the site refer only to OCSD although the logo is also on the page; and the assumption is that people can determine the authoring agency. Two other fact sheets used the full name and the acronym Some technical documents found on the site use "District" after the full name instead of the acronym. Search Engines Popular internet search engines Google, Go2, Lycos, MSN and Yahoo were utilized to search keywords OCSD, sanitation, sanitation district, wastewater, wastewater treatment and sewage. All searches for OCSD returned Orange County Sanitation District in the first or second position. The second position (google) does not alphabetize through the URL so Sheriff Department (.org) places before Sanitation District (.com). These searches all also returned Sheriff in 1st or 2nd position with Oswego School District, Oxford Learning Center and OCSD Interactive Games rounding out the top 5. The following table shows the relative position of OSCO for each search term: OCSD Sanitation Sanitation Wastewater Wastewater Sewage District Treatment Google 2 2 Not in top 5 Not in top 5 Not in top 5 Not in top 5 go2 1 3 Not in top 5 Not in top 5 Not in top 5 Not in top 5 Lycos 1 2 Not in top 5 Not in top 5 Not in top 5 Not in top 5 msn 1 2 Not in top 5 Not in top 5 Not in top 5 Not in top 5 Yahoo 1 2 Not in top 5 Not in top 5 Not in top 5 Not in top 5 Orange County Sanitation District Corporate Identity Program -Final Report Page 6 Note that the city of Austin was in the top 5 for "wastewater" under Google. King County was in the top 5 for "wastewater treatment" under Google, MSN and Yahoo. The following table shows the number of returns against each search term: OCSD Sanitation Sanitation Wastewater Wastewater District Treatment Google 15,400 332,000 2,200,000 1,200,000 2,700,000 go2 Lycos 3,000 8,600 484,000 293,000 492,000 msn 3,000 8,300 473,000 299,000 472,000 Yahoo 16,000 417,000 2,300,000 1,500,000 2,400,000 Note that go2 does not provide volume of results for searches. Newspapers Sewage 2,200,000 545,000 552,000 2,620,000 Two hundred forty-two (242) items were found for OCSD in a search of Orange County Register (includes Irvine World News, Fountain Valley View, Huntington Beach Wave and Laguna News Post) archives (2002 to present). At least half were classified/employment ads. Twenty-eight (28) articles were read. One was not about OCSD (it was about other sanitation district rates) and might have been a sidecar to a story about OCSD run the same day. None of the articles used the full name in the title (most frequently "sanitation district" appeared in headline) although most used the full name the first mention and moved to "sanitation district" or "district" or "agency" in subsequent mentions. One article used only "O.C. Sanitation District" in the story. Four of the 27 articles also used the acronym OCSD. Forty-two (42) items were found in the Los Angeles Times (includes Huntington Beach Independent, Daily Pilot and Coastline Pilot) archives (2002 to present). All were articles -there were no classifieds. Fifteen of the sixteen ( 16) articles read made first mention of "Orange County Sanitation District." One article was about Orange County pension payments in general and referenced " ... Orange County Transportation Authority, the Sanitation District and the Fire Authority." Orange County Sanitation District Corporate Identity Program -Final Report Page 7 Roughly equal percentages of the articles had positive and negative slants regarding the agency (32% and 34% respectively). A significant percentage were simply factual reports (23%) and the remainder were not specific to any event or issue at OCSD (11 %). Articles long enough to reference more than one time generally followed first mention with "the district," "sanitation district," or "the Agency." Technical Journals In the timeframe of the research compilation, only online sources could be checked. Articles were found in Water & Wastes Digest, U.S. Water News and Water Environment Research. All references in Water & Wastes included full name albeit one story abbreviated California as "Calif." U.S. Water News, in a 1998 article, referred to the organization as "County Sanitation Districts of Orange County." Summary Task 1 b There are varying degrees of inconsistency with which the organization is named in the media yet most often the communication is clear that OCSD/Orange County Sanitation District is the subject. Writers apparently carefully consider the audience and use appropriate names, acronyms and abbreviations to ensure clarity of communication. Task 1 c -Peer Review JIU conducted interviews with four agencies: Metro Wastewater Reclamation District (Denver) Steve Frank, Public Information Officer, (303)286-3000 Sanitation Districts of Lost Angeles County Joe Haworth, Information Officer, (562)699-7411 Central Contra Costa Sanitary District Harriette Heibel, Community Affairs Manager, (925)229-7310 Irvine Ranch Water District. Pat Brackley, Purchasing Manager, Susan Gallagher, Purchasing Coordinator, (949)453-5300 JohnsonlUkropina was unable, after multiple attempts, to make contact with King County Department of Natural Resources and Parks of Washington, East Bay Municipal Utility District, and Sacramento Regional County Sanitation District. L l l Orange County Sanitation District Corporate Identity Program -Final Report Page 8 It was difficult to establish contact with the person at the above agencies who could provide information about agency identities, experiences with name recognition, name confusion or name changes and branding strategies and programs. For the most part, the agencies contacted could identify the mission or vision of their agency but either did not have knowledge of a branding/identify strategy or advised that it was not a priority or concerted effort at their agency. Reviews of their websites and collateral material demonstrate varying levels of brand implementation. Target markets are universally acknowledged to be "anyone who flushes a toilet" and to some extent additional stakeholders such as local government were also acknowledged as a target audience. Overall, the agencies interviewed acknowledged that the public has little interest in their services and little involvement unless impacted personally by a particular issue. A higher emphasis was placed on public outreach and education. Outreach efforts discussed include: • Newsletters (up to two per year) • Public Meetings (town hall type where public is invited in to ask questions) • Participation in events/shows with booths (e.g. Home & Garden) • Alignment with environmental groups • Alliances with diverse groups from Girl Scouts to local farmer associations • Partnerships with water district if not the same agency • Regular contact with news reporters/agencies • Web support (e.g. customer service and FAQs) • Visits to schools from brief presentation/videos to week long simulated treatment plant on school site • Tours for public, interested groups and particularly schools (including provision of bus transportation for students) Effectiveness, if measured, was often based only on quantity of people contacted. One agency tests students before and after class visits or tours. Of the agencies contacted, Metro Wastewater Reclamation District undertook a name change in 1990 from the Metropolitan Denver Sewage Disposal District No. 1. r r \ ( r • l { l L L L I L L Orange County Sanitation District Corporate Identity Program -Final Report Summary Task 1 c Page 9 When the activities of peer agencies are compared against OCSD's corporate identity objectives, it becomes clear that their focus is mostly about outreach and in increasing public awareness of who the agency is and what it does. To a lesser degree is the attempt to increase stakeholder involvement. Brand efforts such as positioning the agency as delivering the essential service it provides as well as positioning within the community is assumed to come as a result of outreach activities. Most peer agencies are not engaging in true branding as a strategized priority. The belief is that outreach brings education and awareness, which translates to branding. The missing link is branding that leads to "investment" -stakeholder knowledge and understanding at a level that satisfaction, kinship and even ownership is present. "I know them." "They understand me and take care of my needs." "They do things the way I would." "I prefer to do business with them." "I trust them." These are the stakeholder investments that can be missed when outreach is substituted for branding. Outreach can certainly educate the public about what you do and who you are but it does not build the bond that branding solidifies. Task 2a -Qualitative (Focus Groups) Survey Methodology Four focus group discussions were hosted by Flexo Hiner June 29-30, 2004 - two each in Irvine and Orange. The primary purpose of the focus groups was to collect information in preparation for the telephone survey and to "take the pulse" of the public regarding OCSD. Participants were screened to include only registered voters, with the rationale that registered voters would generally be more informed about issues impacting the county. Roughly equal numbers of participants were: • Homeowners and renters • Married and Single • Clusters of ages 18-35, 36-55 & 56+ years of age • Caucasian and other ethnicities • Male and female • With and without children at home r i ,- , { L [ L. .. Orange County Sanitation District Corporate Identity Program -Final Report Participants by community were as follows: City Anaheim Costa Mesa Fountain Valley Fullerton Garden Grove Huntington Beach Irvine Newport Beach Orange Placentia Santa Ana Tustin Villa Park Yorba Linda Summary of Focus Group Findings Number of Participants 2 1 2 1 2 4 3 1 1 2 8 5 3 3 Page 10 OCSD is, for residents, a blank page. There is virtually no awareness of the name or acronym OCSD and little is known about the agency's functions. The current name communicates the wrong identity. The individual words of the name imply functions that are very different from reality. And, when the functions that it does handle are outlined for residents, they do not include all that residents would expect. • Recognition of the name "Orange County Sanitation District" was virtually zero. • When asked to speculate about its functions the most often mentioned were ''trash collection" and "sewage" (not "treatment"). Other functions are attributed to OCSD -no doubt based on the confusion about trash collection -such as recycling and landfills. Residents did not appear overly concerned that "Orange County" within the District's name doesn't encompass the entire county. • This part of the name does imply coverage of the entire county. There is, however, little concern that the coverage is not the entire county • There is little concern that the name implies that the district is overseen by the Board of Supervisors versus a Board composed of city council officials r-· r f , - I r- L l L L L L Orange County Sanitation District Corporate Identity Program -Final Report Task 2a -Quantitative (Telephone) Survey Page 11 The qualitative phase of the residential research was designed to fuel development of the questionnaire that was used in the quantitative phase that is reported here. The quantitative study has sought to determine quantitatively: • The incidence of confusion among OCSD served households about its identity (role and responsibilities) • Strategic and tactical priorities that residential households would like to see in the conduct of those agencies of government who manage water. Methodology Randomly selected households in the OCSD service territory were contacted by telephone by Flexo Hiner. 501 interviews, averaging 8 minutes in length were completed. The specific respondent in each household was either the utility bill-payer (renters) or the person who typically pays the property taxes (homeowners). The portion of all respondents from the following communities in this survey: Anaheim 12% Huntington Beach 11% Irvine 9% Fullerton 8% Garden Grove 8% Orange 8% Santa Ana 7% Newport Beach 6% Yorba Linda 5% Fountain Valley 4% Costa Mesa 4% Tustin 4% La Habra 3% Placentia 3% Brea 2% Seal Beach 1% Westminster 1% Los Alamitos 1% Cypress <0.5% Stanton <0.5% Villa Park <0.5% Midway City <0.5% Other 3% r r I Orange County Sanitation District Corporate Identity Program -Final Report Study participants included: Findings Renters Homeowners Married Not Married With children at home No children at home Caucasian Hispanic Asian-American or a Pacific Islander Native American African American Other Refused/ Don't Know 18-35 36-55 56+ 27% 73% 60% 40% 45% 55% 66% 12% 8% 2% 2% 7% 3% 20% 43% 37% OCSD has very low (4%) unaided awareness, which rises to 74% when added with aided awareness. Page 12 On an unaided basis ("who is responsible for ... "), respondents were virtually unable to name OCSD's service functions. On an aided basis, 30% of the respondents ascribed garbage collection and 27% sewage treatment and disposal functions to OCSD. By far, city governments are perceived most often to be responsible for the task of water treatment (28%), garbage collection (31 %), supplying water to homes (42%), water reclamation (11 %) and storm drainage system (16%). The survey also delved into the priorities for agencies of government who have responsibility for managing water to help understand what the public perceives as important. The number one social value is "protecting public health" (71 %) followed by "being proactive" [in decision making] (65%). The respondents were then asked about tactical priorities and forced to make tradeoffs. The top tactical priority was "protection of the groundwater from industrial pollution" (67%), which is a reflection of the protection of public health priority mentioned above. Clustered in the next set was "assurance of a reliable water supply" (58%) and "safe disposal of treated sewage water" (56%). r r r ( - f r~ r ' t [ [ L 1 L l L L L ( L Orange County Sanitation District Corporate Identity Program -Final Report Telephone Survey Conclusions Page 13 In the final report for the quantitative report, Flexo Hiner emphatically states that the OCSD identity must be changed. It is clear that the public is confused about who is OCSD and what it does. The current name gives the public no clues about its scope or mission. The priorities of residents in the context of an agency that has water management responsibilities are clear. They want to know OCSD is an agency that: • Proactively protects public health • Helps assure future water supply • Does so in an honest and trustworthy manner Flexo Hiner concludes with a possible positioning to resonate with the general public: build the reputation as the water agency that Proactively Protects Public Health. Task 2b -Employee, Board and Executive Management Team Interviews Concurrent with the focus groups and quantitative survey, JIU conducted interviews from June 16 to September 8, 2004 with the following groups of stakeholders within the OCSD organization: • Employees: 46 telephone interviews completed. (Over 300 calls were placed in attempt to interview 50 employees.) • Executive Management Team (EMT): 8 in-person interviews completed. (Only the GM was included in scope of work. Scope was expanded, with no change order, to include entire team.) • Board Members: 11 interviews completed. (1 O in-person, 1 telephone.) The subject of the interviews was to gather respondent perceptions of the OCSD name and how they refer to the agency when speaking with members of the public, what confusion may exist, and if they were going to rename the agency, what that name would be. As a baseline, it is interesting to note that almost every single employee voluntarily expressed pride in the agency. They were able to express the mission of the agency and believe that they personally, and the agency as a whole, are fulfilling that mission every day. With EMT members, each was cognizant of the mission and of the existing and under-development unifying strategies of the organization. L Orange County Sanitation District Corporate Identity Program -Final Report Page 14 In general, most employees, EMT and board members acknowledge that the public is confused by the term "sanitation." While it is a technically accurate term, it is often confused with trash and solid waste. The term also does not encompass what many see as the expanded mission of the agency: management of wastewater, pollution control and watershed protection. Most respondents prefer incorporating terms within the name that are more descriptive of the agency's activities, such as (in alphabetical order): • Pollution control • Wastewater management • Wastewater treatment • Water protection • Water quality management • Water resource management • Water treatment • Watershed management Respondents indicated, to a much lesser degree, that the name "Orange County" causes some confusion with the County of Orange and because the District does not cover the entire county. Several respondents recalled the District's previous name (Consolidated Sanitation Districts of Orange County) as being more descriptive of the geography and not implying total blanket saturation of the county. Yet, when asked if the agency needs a new name, the results were clearly mixed: employees and the board were less in favor of changing the name, whereas the EMT was more strongly in favor of a name change. Employees who did not want to change the name generally felt there was not a better name. Those who wanted to change felt a new name would cause less confusion. EMT members felt that the current name doesn't capture the essence and mission of the agency and a new name could be more descriptive. Board members not in favor of the name change were either satisfied with the current name or were concerned about the cost of the name change and uncertain whether the confusion justified such expenditure. There does not appear, from the sample pulled, to be sufficient political will to undertake a name and identity change. Summary Task 2b While it is generally felt that the current name does not encompass the scope or mission of the agency and, in fact, causes confusion in the public, there is r r f ! l L L Orange County Sanitation District Corporate Identity Program -Final Report Page 15 no strong conviction that the name could or should be changed. Employees do not see that a name change would result in an improvement, in other words, they do not see a benefit of changing the name of the organization. This is not surprising because most people tend to resist change. EMT members are more inclined to look favorably at a change. While the board was clearly mixed, this does not appear to be the issue to arouse passion and cause a groundswell of support to override the concerns of those members who feel it is imprudent to change. Conclusion From OCSD's Communication Service Strategic Plan FY 03-04, OCSD has a wide list of audiences. In the following table, we've broken down those audiences based on the communication they receive about OCSD: Name & Logo Board of Directors County of Orange, Board of Supervisors Employees Media -local, regional, state and national Name Only Community leaders Elected officials -local, state and federal Environmental Groups Opinion leaders Orange County Grand Jury Regional, state and national regulatory agencies Special interest groups Trade organizations (e.g., AMSA, CASA, CWEA, WEF Water districts and producers (e.g., OCWD, MWDOC) Possibly Not Even Name Business and industry Chambers of Commerce within the service area General public and the community Ratepayers Schools/students Stakeholders Taxpayergroups(Orange County Taxpayers Association) Note that audiences are categorized in the table based on direct contact with OCSD -not based on what they may hear/read in media reports, which would typically be a name or abbreviation only. r r f r , r f r - r f L L L L I L. r L Orange County Sanitation District Corporate Identity Program -Final Report Page 16 Research conducted through this contract reveals much confusion about the identity of OCSD. This is not surprising in light of the fact that OCSD as an agency is virtually transparent to the general public; there is no monthly or quarterly bill aside from a possible line on a city utilities billing (see sample in Appendix 3) to tie the agency to the public's consciousness and the line item on the property tax bill (OCSD Sewer Use Fee -see sample in Appendix 3) is not enough to raise public consciousness. Unless there are issues "in the public" eye being reported by the media, there is little contact, and little desire for contact, between the public and the agency. The quantitative survey does indicate that confusion over the identity of OCSD can lead to public perception that the agency's total mission is not being fulfilled. However, this must be weighted against the potentially monumental task of clarifying the agency identity -with no guarantee of success with an audience that admittedly isn't that interested on a daily basis -and the cost of such an attempt. There is also a factor that the public will not accept the clarifying communication unless it is relevant to them at the time and, again, the audience has expressed some disinterest in learning more as it relates to wastewater. This research (quantitative and all the qualitative tasks) tells us that there is interest from the public that the "job gets done" and even more interest in securing a safe and plentiful water supply and protecting the environment. While the present name of the agency doesn't help clarify the agency's services, mission or scope, it also does not apparently do damage to the agency either. Although not in the scope of this contract (Phase 2 is planned for review and assessment of the current identity and recommendation for possible change), research under this contract does not indicate sufficient political will to make a name change viable at this time. JIU would suggest the following options for OCSD when it comes to an identity change: 1) No change. With this option nothing is changed and subsequent phases of this program would entail the building of a brand identity manual that includes the brand personality of the agency as well as the graphic standards for use of the existing name and the existing logo. Cost implication for building the manual is estimated from $5,000 to $7,500. Distribution and implementation of the manual is unknown. This option is not recommended since there is opportunity for improved communication and because the existing name and logo do not convey the current business strategy, scope, mission or position of the agency. r r~ I [ r ~ I r I l I [ L L L I L L f L f L Orange County Sanitation District Corporate Identity Program -Final Report Page 17 2) Keep the name and change the logo. Under this scenario only the logo would be changed with the aim of bringing clarity of mission/scope to agency communication. Logo changes can range from $5,000 to as much as you could possibly budget with costs dependent on the firm selected for the project, the number of explorations and the number of revisions. Estimate for an organization the size of OCSD is $25,000-$50,000. As with Option 1, implementation costs could not be estimated with the data available. This option is not recommended based on the fact that the logo is often not part of the communication and therefore would be an expensive but oft unused adjunct. Additionally, there is considerable debate and derision over the current Los Angeles City logo situation and OCSD would undoubtedly be associated with it in some way. 3) Change the name and the logo. This implies and entails a massive effort, not just in developing a new name and logo to satisfy all the requirements of the agency's mission, strategies and positioning but also the myriad of stakeholders in the process. As with Option 2, this can be a costly project. Estimates are in the $35,000 to $75,000 range with implementation unknown. This option is not recommended based on the extensive cost involved and the fact that there is apparently not support from the board to make such a change. 4) Add a tag line to the existing name and logo. This allows the agency to clarify the communicated confusion of the name and logo with a brief statement that becomes permanently associated with the name and logo. Delivery of a tagline could be in the $5,000 to $15,000 range. As with the other options, implementation costs are unknown. This tagline could be phased in as new materials are printed, added to vehicles with decals, etc. A tagline can be used to clarify an organization's services/products and deliver additional messaging that the organization wants their customer to have -even when the company name might be meaningless. As an outgrowth of a company's positioning, it can be the underpinning on which communication is built. Examples include: • People Soft "We work in your world" • Lincoln "What a luxury car should be" • Timken: "Leader in bearings and steel" • PK Ware "The data compression experts" r r ! r r r r- L. L L L L Orange County Sanitation District Corporate Identity Program -Final Report • Netcom "We put the Net to work for you" • Microway 'Technology you can count on" • Anderson Consulting "Business performance improvement" • Dell Computer "Be direct" • The United States Post Office "We deliver" • Ameritech "In a world of technology, people make the difference" • Citibank "The Citi never sleeps" • Jazz Jamaica "The world's favorite dance band" • General Electric: "We Bring Good Things To Life" "Imagination at Work" • Hyatt Hotels: "We've Thought of Everything" • Lexus: "The Relentless Pursuit of Perfection" • British Airways: "The World's Favorite Airline" • King County Department of Natural Resources "Clean Water -A Sound Investment'' • Metro St. Louis Sanitation "Your Clean Water People" • Inland Empire Utilities Agency "Clean, inexpensive, plentiful water" • Monterey Regional Water Pollution Control Agency "Turning Wastewater into Safe Water" Page 18 • Union Sanitary District "Protecting human health and the environment" • Mt. View Sanitary District "A Friend to the Environment" • Ontario Water Agency "The Clean Water Experts" • Tacoma Water "Pure. Reliable. Precious Water. • Fox Metro Water Reclamation District "Giving Water a Second Chance" • D.C. Water & Sewer Authority "Serving the Public. Protecting the Environment." • Sacramento Regional Sanitation District "Technology in Balance with Nature" Based on the research from Phase 1, the option of adding a tagline to the existing name and logo would be JohnsonlUkropina's recommendation for OCSD. Such a tagline can clarify the confusion engendered by the word "sanitation" in OCSD's name. We do not believe that the tagline needs to clarify confusion about OCSD's service area, which is not a relevant issue to most people. It should communicate the agency's mission, to some degree its scope and solidify in the consumer's minds that the agency is working for them, on issues important to them. FAHR COMMITTEE AGENDA REPORT Orange County Sanitation District FROM: Gary Streed, Director of Finance/Treasurer Originator: Michael White, Controller Meeting Date 11/10/04 Item Number FAHR 04-93 SUBJECT: TREASURER'S REPORT FOR THE MONTH OF OCTOBER 2004 GENERAL MANAGER'S RECOMMENDATION Receive and file Treasurer's Report for the month of October 2004. SUMMARY To Bd. of Dir. 11/17/04 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 are two investment policy compliance exceptions. The first exception pertains to the duration of the Long-Term Operating Monies portfolio. The District's investment policy states that the duration shall be between 80% and 120% of the benchmark duration. The actual duration was at 1.91 years, or 78% of the benchmark of 2.45 years as of October 31, 2004. PIMCO will seek opportunities to slightly increase the account's duration while maintaining a conservative posture given the expectation of a rising rate environment. The second exception pertains 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 0.44 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+. Both rating agencies have since withdrawn their ratings, Moody's in February H:ldeptlfin\21 0ICRANEIFAHRIFAHR2004\DECIAgendaReport_ TREASRPT111004.doc Page 1 2004 and Standard & Poor's in June 2004. Although these ratings are less than what is required at the time of purchase, PIMCO believes, based on the financial strength of UAL and the underlying collateral of the security, that the District would suffer an unwarranted loss if the security was sold at this time. The 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 priced to market ("mark-to-market") as of the last day of each reporting period. The slight differences in val.ue are related to minor variations in pricing assumptions by the valuation sources at the estimate date. BUDGET IMPACT D This item has been budgeted. (Line item: 1::8] Not applicable (information item) ADDITIONAL INFORMATION Schedules are attached summarizing the detail for both the short-term and long-term investment portfolios for the reporting period. In addition, a consolidated report of posted investment portfolio transactions for the month is attached. The attached yield analysis report is presented as a monitoring and reporting enhancement. In this report, yield calculations based on book values and market values are shown for individual holdings, as well as for each portfolio. Mellon Trust, the District's custodian bank, is the source for these reports. Transactions that were pending settlement at month end may not be reflected. Also provided is a summary of mo11thly investment balances and transactions within the State of California Local Agency Investment Fund (LAIF). These reports accurately reflect all District investments and are in compliance with California Government Code Section 53646 and the District's Investment Policy. Sufficient liquidity and anticipated revenues are available to meet budgeted expenditures for the next six months. The table on the following page details the book balances of the District's investment accounts at month-end. A graphical representation of month-end balances is shown on the attached bar chart. H:ldept\agenda\Board Agenda Reports\2004 Board Agenda Reports\1104\ltem 14(b).Treasurer Report.doc Page2 Book Balances Estimated Investment Accounts October 31, 2004 Yield(%) State of Calif. LAIF $ 9,908,111 1.89 Union Bank Checking Account 853,721 1.47(1) PIMCO -Short-term Portfolio 72,571,967 1.79 PIMCO -Long-term Portfolio 361,949,681 2.93 Petty Cash 4.000 N/A TOTAL $445 28Z 48Q 2.71 Debt Service Reserves w/Trustees $62 6Z5 686 3.18 (1) This is the annualized yield for the month of September. The October 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 H:ldeptlagenda\Board Agenda Reports\2004 Board Agenda Reports\1104\ltem 14(b).Treasurer Report.doc Page3 Prepared by Finance, 11/9/2004, 9: 17 AM Monthly Investment Balances by Type- Last Six Months $700,000,000 -.-----------------------------------, $600,000,000 - $500,000,000 -l- $400,000,000 -t-- $300, 0001 000 I ,P';X $200,000,000 -+-~~~---188W38a $100,000,000 $0 May 2004 June 2004 July 2004 August 2004 3 PIMCO -Long-term 0 PIMCO -Short-term l.l1 COP Debt Reserves mJ LAIF rn Bank Accts •Petty Cash H:\dept\fin\EXCEL.dta\220\geggie\mo treas rpt\Monthly Investment Balances Graph1 .xis September 2004 October 2004 Orange County Sanitation District Investment Transactions and Balances in the State of California Local Agency Investment Fund October 31, 2004 Par Value Book Value Market Value Rate Yield Balance October 1, 2004 $26,710,595 $26,710,595 $26,710,595 1.89 1.89 Deposits: Total Deposits 0 0 0 0 0 Quarterly Interest Distribution 97,516 97,516 97,516 1.89 1.89 Withdrawals: 10/7/2004 (4,600,000) (4,600,000) (4,600,000) 1.89 1.89 10/13/2004 (2,600,000) (2,600,000) (2,600,000) 1.89 1.89 10/21/2004 (1,200,000) (1,200,000) (1,200,000) 1.89 1.89 10/22/2004 (6,800,000) (6,800,000) (6,800,000) 1.89 1.89 10/27/2004 (1,700,000) (1,700,000) {1,700,000) 1.89 1.89 Total Withdrawels {16,900,000) (16,900,000) (16,900,000) 1.89 1.89 Balance October 31, 2004 $9,908,111 $9,908,111 $9,908,111 1.89 1.89 PIM C 0 November 8, 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 October in addition to an analysis of the strategies undertaken in the Orange County Sanitation District's Long-Term and Liquid portfolios over the period. Also included is a section on our outlook and preferred strategies to be pursued in your portfolios during the coming months. Bond Market Recap: U.S. bond sectors gained in October, as continued slow employment growth and higher oil prices strengthened the market's view that the U.S. economy is slowing and that the pace of interest rate increases by the Fed would be tempered. The yield on the benchmark 10-year Treasury note finished the month at 4.12 percent, 10 basis points lower than last month; and Treasuries returned 0. 79 percent. On a duration-adjusted basis, short and intermediate maturity TIPS outperformed their nominal counterparts, while longer maturity TIPS underperformed. The Lehman Brothers Global Real U.S. TIPS index returned 1.00 percent for the month. Mortgage-backed securities returned 0.81 percent, exceeding Treasuries by 32 basis points after adjusting for duration. The credit sector, represented by the Lehman Credit Index, returned 0.97 percent, outperforming Treasuries for the month by 14 basis points. Within the sector, lower quality investment grade corporates outperformed higher quality issues. BBB-rated corporate bonds generated 13 basis points of excess return versus Treasuries, while AAA-rated corporate bonds produced 8 basis points of excess returns, respectively. October began with a weaker than expected Employment Situation Report (issued by the Bureau of Labor Statistics), indicating that the economy created only 96,000 new jobs in September, below consensus estimates of 158,000. The unemployment rate was unchanged at 5.4 percent as the number of unemployed and the labor force contracted. The inflation rate for personal consumption expenditures, the largest component of gross domestic product (GDP) was 1. 1 percent in the third quarter, down from 3.1 percent in the second quarter. Excluding food and Mr. Mike White, CPA Orange County Sanitation District November 8, 2004 Page2 energy prices, personal consumption expenmtures rose at a 0.7 percent rate, the lowest since the fourth quarter of 1962. Influenced by rising energy prices and slowing job growth, the consumer confidence index. fell for a third straight month. The Commerce Department announced that gross domestic product expanded at a 3.7 pe_rcent annual pace though the third quarter. Although this was higher than the 3.3 percent in the second quarter, it fell short of the 4.3 percent forecasted by 80 economists in a Bloomberg News survey. Treasury yield changes during the month of October are summarized as follows: • 3-month bills: + 19 basis points to 1.89% • 6-month bills: +13 basis points to 2.12% • 2-year notes: -6 basis points to 2.55% • 5-year notes: -9 basis points to 3.28% • 10-year notes: -10 basis points to 4.02% • 30-year notes: -10 basis points to 4.79% Performance Attribution: Long-Term Portfolio The Long-Term portfolio that P™-CO manages on behalf of Orange County Sanitation District returned 0.45% on a total return basis for the month of October, performing in line with the Merrill Lynch 1-5 year Government Corporate Index. The following points summarize returns for the month ended October 31: • The Long-Tenn portfolio underperformed the benchmark by 1 basis point for the month. • For the twelve-month period, the Long-Term portfolio returned 3.17%, outperforming the benchmarlc by 32 basis points. • Portfolio duration, below the index, was negative for monthly performance as rates generally fell during the month (for all but the very shortest maturities). • Yield curve positioning similar to that of the index was neutral for performance. • An underweight exposure to corporates was negative for performance, as corporates outperformed Treasuries on a duration-adjusted basis. • Exposure to mortgage-backed securities was positive for relative performance as the sector outperformed Treasuries on a duration-adjusted basis. • Substituting Treasury Inflation Protected Securities for nominal Treasuries was positive for perfonnance as short and intermediate TIPS outperformed their nominal counterparts during the month. Mr. Mike White, CPA Orange County Sanitation District Liquid Portfolio November 8, 2004 Page3 The Liquid portfolio that PIMCO manages on behalf of Orange County Sanitation District generated a total return of 0.11% during the month of October, performing in line with the 3- month Treasury Bill Index. The following points summarize returns for the period ending October 31: • The Liquid portfolio lagged the benchmark by 2 basis points for the month. • For the twelve-month period, the Liquid portfolio returned 1.17%, outperforming the benchmark by 8 basis points. • Use of higher yielding securities such as commercial paper and short-term notes contributed to performance. Outlook and Strategy: The global economy will muddle along over the next several quarters, with neither a boom nor a bust likely to emerge. The U.S., Japan and China will grow faster than Europe. A global excess of supply over demand in labor and product markets, as well as subdued unit labor costs, will restrain inflation. Interest rates in the U.S. will be range-bound within 30-40 basis points, with a bias toward slightly higher rates, given the very low absolute yields. Important aspects of the outlook are: • A Boom Is Not In The Cards... More business investment will be needed to bolster global demand growth now that fiscal and monetary stimulus is fading. Companies in the U.S. and Japan have ample liquidity to boost investment after repairing their balance sheets over the last several years, but a lack of confidence about future growth and lingering excess capacity will subdue the "animal spirits" of corporate executives. Investment spending and hiring will be more modest than would be expected given such robust corporate profits and cash flow. • ... But Neither Is a Bust -Some growth in investment will be needed just to maintain the capital stock of Corporate America, whose current spending is not keeping pace with depreciation. Growth in consumer spending will remain a net positive, as a modest pickup in hiring will support disposable incomes. Range-bound rates will keep household debt service at manageable levels. • Higher Oil Prices Will Restrain Growth -Higher oil prices will also exert inflationary pressure worldwide. Still, the adverse impact of rising oil prices will be more muted than in the past. Oil prices in real terms are nowhere near levels seen in the late 1970s. Moreover, the world's reliance on oil per unit of output has been considerably reduced since then. The global economy looks stable, with prospects for modest growth, low volatility in financial markets and range-bound interest rates. PIMCO remains concerned, however, about a tilt in the direction of either deflation or inflation. The uncertain pace of investment and hiring could tilt the balance of risks toward deflation. On the other hand, monetary policy remains simulative despite the beginning of Fed tightening. Easy money combined with higher commodity prices and dollar weakness could swing the economy back in the other direction. A prudent approach in Mr. Mike White, CPA Orange County Sanitation District November 8, 2004 Page4 this environment is to stay defensive and well diversified to avoid negative consequences of being on the wrong side of any market dislocation. Key strategies will include: • Tactically Flexible Interest Rate Strategies -Rates are more likely to rise than fall over a seouJar, or three to five year time frame. We will therefore be wary of extending duration beyond benchmark levels. At the low end of our forecasted interest rate range, we will target duration about 0.5 year below the index and then shift toward a neutral posture should rates move back up. • Structural Yield Curve Exposure -While short/intermediate maturities are close to full valuation, we will retain a modest structural emphasis here. Because the short/intermediate portion of the yield curve remains relatively steep, this "bulleted" posture can provide extra yield with less price risk than a "barbell," or mix of short and long term bonds. In addition, longer maturities would be more vulnerable if the economy tilted toward inflation. • Retain Current Exposure to Core U.S. Sectors but Do Not Increase Allocations -Tight corporate yield premiums offer too little reward to bear the risk of negative credit events if the economy were to slow. While mortg;age-backed bonds offer structural yield advantage and high credit quality, they are fully valued for now as a result of unusually heavy demand from banks, which are talcing advantage of mortgages' attractive "carry" in a steep yield curve environment. • TIPS as an Out-of-Index Alternative-Better risk/reward trade-offs can be found outside of core sectors. At current break-even inflation levels, real return bonds continue to provide an effective hedge against secular inflation risk. They are also less volatile than nominal bonds in a rising rate environment. We look forward to discussing these and other topics with you in the near future. Best regards, Christine Telish, CF A Vice President ~~~ -\'Y.\c· ,, -- John M. Miller, CF A Senior Vice President Orange County Sanitation District for the month ending October 31, 2004 Total Return Account -203 Market Value Book Value Yleld to Maturity Short Term Account -603 Market Value Book Value Yield to Maturity With Accrued interest 364,759,272 360,139,775 2.93 WJlh Accrued lolerest 72,648,328 72,833,972 1.79 ',Mthout Accrued Interest 361,957,298 357,337,800 2.95 Without Acgyed Interest 72,634,748 72,620,391 1.80 MONTHLY REPORT ORANGE COUNTY SANITATION DISTRICT INVESTMENT MANAGEMENT PROGRAM PIMCO'S PERFORMANCE MONITORING & REPORTING (for the month ended 31 October 2004) Liquid Operating Monies (603) 15.1.1 PORTFOLIO COST AND MARKET V ALOE Current Market Value Estimate: • PillCO • Mellon Historical Cost: • PIMCO • Mellon 15.1.2 MODIFIED DURATION Of Portfolio: Oflndex: 15.1.3 1 % INTEREST RATE CHANGE Dollar Imoact (gain/loss) of 1 % Change: 15.1.4 REVERSE REPOS % of Portfolio in Reverse Repos: ( see attached schedule) 15.1.5 PORTFOLIO MATURITY % of Portfolio Maturing within 90 davs: 15.1.6 PORTFOLIO QUALITY Average Portfolio Credit Oualitv: 15.1.7 SECURITIES BELOW "A" RATING % of Portfolio Below "A": 15.1.8 INVESTMENT POLICY COMPLIANCE "In Comnliance" 15.1.9 PORTFOLIO PERFORMANCE Total Rate of Return(%) by Period: 1 Month: 3 Months: 12 Months: Fiscal Year-to-Date: Commentary • The Liquid portfolio lagged the benchmark by 2 basis points for the month, but performed in line with the benchmark fiscal year-to-<late. • PIMCO's emphasis on higher yielding securities such as commercial paper and short-term notes contributed to performance. H:\deptllln\220\geggte\FAHR\LIQ0800-04-10.RPT.doc Page 1 of 1 $72,848,328 $72,843,803 $72,833,972 $72,884,833 0.09 0.20 $65,563 0% 96% ''AAA'' 0% Yes Portfolio Index 0.11 0.13 0.36 0.36 1.17 1.09 0.46 0.46 MONTHLY REPORT ORANGE COUNTY SANITATION DISTRICT INVESTMENT MANAGEMENT PROGRAM PIMCO'S PERFORMANCE MONITORING & REPORTING (for the month ended 31 October 2004) Long-Term Operating Monies (203) 15.1.1 PORTFOLIO COST AND MARKET V ALOE 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 Inmact (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 Comnliance" 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 underperformed the benchmark by 1 basis point for the month, and by 14 basis points fi scal year-to-date. • Portfolio duration, below the index, was negative for monthly performance as rates generally fell during the month (for all but the very shortest maturities). • Yield curve positioning similar to that of the index was neutral for performance. • An underweight exposure to corporates was negative for performance, as corporates outperformed Treasuries on a duration-adjusted basis. • Exposure to mortgage-backed securities was positive for relative performance as the sector outperformed Treasuries on a duration-adjusted basis. Page 1 o/2 $364,759,272 $364,856,959 $360,139,775 $362,062,473 1.91 2.41 $6,966,902 0% 9% AAA 0% No* Portfolio Index 0.45 0.46 1.41 1.58 3.17 2.85 2.02 2.16 • Substib.Jting Treasury Inflation Protected Securities for nominal Treasuries was positive for performance as short and intermediate TIPS outperfoll11ed their nominal cnunterparts during the month. *Compliance Issues: MONTHLY REPORT ORANGE COUNTY SANITATION DISTRICT INVESTMENT MANAGEMENT PROGRAM PIMCO'S PERFORMANCE MONITORING & REPORTING (for the month ended 31 October 2004) (1) As of month-end, the account's duration was 78% of the benchmark (the account's duration was at 1.91 years against the benchmark's duration of2.45 years). Page 2 of2 PIMCO will seek opportunities to slightly increase the account's duration while maintaining a conservative posture given the expectation of a rising rate environment. (2) $1,600,000 par of United Airlines (UAL) Pass-Through 2001-1-C (Enhanced Equipment Trust Certificate (EETC) -909317BC2), 6.831 % coupon, 3/01/2024 maturity, representing 0.44% of the portfolio holdings on a par basis was purchased on 8/10/2001; and subsequently downgraded by Moody's from A3 to BAI (on 9/18/2001) and S&P from A-to BBB (on 9/20/2001). The security was further downgraded by Moody's fromBAl to BA3 (on 12/21/2001) and by S&P from BBB to BB (on 6/28/02). Following news of the possible bankruptcy filing, the security was further downgraded in August (B3 Moody's, B+ by S&P). On November 29, 2002, S&P further downgraded this issue to B, and shortly thereafter on December 9, 2002, downgraded the issue one notch further to B-. On August 7, 2003, S&P downgraded the issue to CCC+, while Moody's followed suit on August 28, 2003 with a downgrade to CA. Both rating agencies have since withdrawn their ratings (Moody's withdrew in February 2004 and S & P withdrew in June 2004). 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. Record fuel costs and low air fares contributed to a $274 million third-quarter loss for UAL, which warned again that labor costs must be slashed again soon in order for it to emerge from bankruptcy. The airline, which filed for Chapter 11 bankruptcy protection in December 2002, said operating revenue rose 7%. Looking ahead, the company said it expects fourth-quarter mainline capacity to rise about 3%, though capacity for 2005 is expected to be about 3% lower than 2004. The company also stated that fuel expense for the year is expected to be $1.2 billion higher than planned. PIMCO continues to negotiate with United on our holdings 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 therefore sharing them results in parties becoming restricted. In light of this extremely complicated bankruptcy, PIMCO continues to strive to act in the most prudent manner to obtain maximum 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. • $1,000,000 par ofFord Motor Credit securities (cusip 345397GV9 maturing 5/15/05), representing 0.27% of the portfolio holdings on a par basis (exposure was reduced in July 2004 as $2.5 million par matured). The securities were downgraded on 10/16/2001 by S&P from A to BBB+, then to BBB on 10/25/02, and then to BBB-on 11/13/03. Moody's downgraded the securities on 1/16/02 from A2 to A3. • $3,000,000 par of General Motors Acceptance Corp securities (cusip 370425SD3) maturing on August 28, 2007, representing 0.82% of the portfolio holdings on a par basis. The securities were downgraded on 10/16/2001 by S&P from A to BBB+, and a further downgrade to BBB occurring on 10/16/2002. The securities now carry a Moody's rating of A3 after a further downgrade from A2 on 6/14/03. • $1,750,000 par of Virginia Electric Power NT securities ( cusip 927804EN0), maturing on March 31, 2006, represents 0.48% 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\F AHR\L-T0B00-04-1 0.RPT.doc @ Mellon LIQUID OPER-PlMCO -OCSF07511102 Description CASH & CASH EQUIVALENTS U.S. DOLLAR INTEREST CERTIFICATES OF DEPOSIT -DOMESTIC FED HM LOAN BNK -LESS THAN 1 YR FEDERAL HOME LOAN MORTGAGE -LESS THAN 1 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 BANKING & FINANCE TOTAL ASSETS -BASE: 11/8/2004 2:0l:57PM PST Asset Summary by Asset Type with Sectors 10/31/2004 Shares ·Par 3,600,000.000 14,400,000.000 14,400,000.000 14,600,000.000 2,637,483.860 17,600,000.000 67,237,483.860 67,237,483.860 5,500,000.000 72,737,483.860 1 CQst Base 271,835.79 3,600,000.00 14,348,938.00 14,338,956.39 14,538,655.50 2,637,483.86 17,534,153.29 67,270,022.83 67,270,022.83 5,614,810.00 72,884,832.83 Report ID: GL8251 Base Currency: USD Alternate Base Currency: Market Value Base 271,835.79 3,600,000.00 14,348,938.00 14,338,956.39 14,538,655.50 2,637,483.86 17,534,153.29 67,270,022.83 67,270,022.83 5,573,780.00 72,843,802.83 Exchange Rate: S.tatus: Fll'lAL I ~lo of' '. T,o ta1 0.37% 4.94% 19.70% 19.68% 19.96% 3.62% 24.07% 92.35% 92.35% 7.65% 100.00% Net U~eaUze'il Gain/.Loss Bas_e 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -41,030.00 -41,030.00 Workbench @ Mellon LONG TERM OPER-PIMCO -OCSF07522202 Description CASH & CASH EQUIVALENTS U.S. DOLLAR PENDING TRADES INTEREST COMMERCIAL PAPER -DISCOUNT FED HM LOAN BNK -LESS THAN 1 YR FEDERAL HOME LOAN MORTGAGE -LESS THAN 1 YR FNMA ISSUES -LESS THAN 1 YR MUTUAL FUNDS TREASURY BILLS -LESS THAN 1 YR U.S. DOLLAR CASH & CASH EQUIVALENTS FIXED INCOME SECURITIES U.S. DOLLAR ABS -AIRPLANE RECEIVABLES ABS -HOME EQUITY BANKING & FINANCE COLLATERALIZED MORTGAGE OBLIGATION COMM/< FHLMC MULTICLASS FHLMC POOLS FNMA POOLS FNMAREMIC 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 11/8/2004 2:07:S0PM PST U.S. DOLLAR Asset Summary by Asset Type with Sectors 10/3112004 Shares Par 10,600,000.000 3,200,000.000 7,600,000.000 10,600,000.000 1,153,726.320 16,000,000.000 49,153,726.320 49,153,726.320 1,600,000.000 744,359.220 16,000,000.000 1,920,261.520 856,962.940 63,092.270 53,041,197.740 584,096.120 4,080,954.310 589,541.860 3,000,000.000 35,335,090.000 1,600,000.000 752,000.000 33,916,053.030 176,285,923.500 1,750,000.000 332,119,532.510 1 Cost Base -26,448,470.36 2,907,278.20 10,529,050.47 3,183,943.56 7,563,959.11 10,547,456.11 1,153,726.32 15,843,937.78 25,280,881.19 25,280,881.19 1,600,000.00 744,359.22 16,023,653.50 1,920,261.52 857,875.88 61,554.38 53,987,102.80 595,778.04 4,058,366.65 618,113.29 2,999,910.00 35,352,009.79 1,594,032.00 826,199.84 34,883,722.02 178,914,812.43 1,743,840.00 336,781,591.36 Report ID: GL8251 Base Currency: USD Alternate Base Currency: Market Value Base -26,448,470.36 2,907,278.20 10,529,050.47 3,183,943.56 7,563,959.11 10,547,456.11 1,153,726.32 15,843,937.78 25,280,881.19 25,280,881.19 127,904.00 742,963.55 16,249,758.00 2,090,396.69 862,061.87 65,332.36 54,190,250.19 585,346.32 4,125,847.28 626,594.29 2,999,520.00 38,935,592.78 1,642,000.00 826,199.84 34,948,023.66 178,738,566.96 1,819,720.00 339,576,077.79 Exchange Rate: Status:_f'INAL %of Total -7.25% 0.80% 2.89% 0.87% 2.07% 2.89% 0.32% 4.34% 6.93% 6.93% 0.04% 0.20% 4.45% 0.57% 0.24% 0.02% 14.85% 0.16% 1.13% 0.17% 0.82% 10.67% 0.45% 0.23% 9.58% 48.99% 0.50% 93.07% 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 -1,472,096.00 -1,395.67 226,104.50 170,135.17 4,185.99 3,777.98 203,147.39 -10,431.72 67,480.63 8,481.00 -390.00 3,583,582.99 47,968.00 0.00 64,301.64 -176,245.47 75,880.00 2,794,486.43 Workbench @ Mellon Asset Summary by Asset Type with Sectors LONG TERM OPER-PIMCO • OCSF07522202 10/31/2004 Coat Description ,_ -· ...;, i1 l!"}.:I ·Shares Par L ' ... . -Bue FIXED INCOME SECURITIES 332,119,532.510 336,781,591.36 TOTAL ASSETS -BASE: 381,273,258.830 362,062,472.55 11/8/2004 2:07:S0PM PST 2 Report ID: GL8251 Base Currency: USD Alternate Base Currency: Exchange Rate: Status: FINAL . Net Unrealized Mar~et Value 9/o.of Gam~Loss Base ~otal -" Base 339,576,077.79 93.07% 2,794,486.43 364,856,958.98 100.00% 2,794,486.43 Workbench YLDANAL YIELD ANALYSIS PAGE 1 OCSF07511102 2004/10/31 RUN DATE I 11/04/04 DISTRICT: LIQUID OPERATING RUN TIME : 15.34.10 -- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL --------·-·-----------~--------------------------------------------------------------------------------- CASH & CASH EQUIVALENTS 2,200,000.00 BANK OF AMERICA NA INSTL C/D .000 1.620 100.000 2,200,000.00 3.28 06050GEM8 1.6201 11/02/2004 DD 08/06/04 2,200,000.00 3 .03 8,400,000.00 FEDERAL HOME LN BKS CONS DISC .ooo .ooo P-1 99.716 8,376,181.33 12.50 313384Q28 MAT 11/19/2004 A-1+ 8,376,181.33 11.54 5,ooo,ooo.oo FEDERAL HOME LN BK CONS DISC N .ooo .000 P-1 99.551 4,977,541.67 7.42 313384S59 MAT 12/08/2004 A-1+ 4,977,541.67 6.86 1,000,000.00 FEDERAL HOME LN BK CONS DISC N .ooo .ooo P-1 99.S.21 995,215.00 1.48 313385AW6 MAT 01/21/2005 A-1+ 995,215.00 1.37 7,300,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .ooo P-1 99,601 7,270,844.61 10.85 313396N82 MAT 11/09/2004 A-1+ 7,270,844.61 10.02 1,000,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .000 P-1 99.586 995,860.00 1.48 313396P72 MAT 11/16/2004 A-1+ 995,860.00 1.37 6,100,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .ooo P-1 99.545 6,072,251.78 9 .06 313396T37 MAT 12/14/2004 A-1+ 6,072,251.78 8 .37 1,000,000.00 FEDERAL NATL MTG ASSN DISC NT .ooo .ooo P-1 99,597 1,792,755.00 2.67 313588N27 MAT 11/3/2004 A-1+ 1,792,755.00 2.47 2,000,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo .ooo P-1 99.592 2,788,569.39 4 ,16 313588P82 MAT 11/17/2004 A-1+ 2,788,569.39 3.84 4,000,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo .000 P-1 99.578 3,983,114.44 5.94 313588Q73 MAT ll/24/2004 A-l+ 3,983,114.44 5.49 6,000,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo .ooo P-1 99.570 5,974,216.67 8.91 313588R64 MAT 12/01/2004 A-1+ 51974,216.67 8.23 5,6001 000.00 US TREASURY BILL .ooo .ooo P-1 99,630 5,579,262.11 8.32 912795RK9 DUE 11/04/2004 DD 05/06/2004 A-1+ 5,579,262.11 7.69 2,000,000.00 US TREASURY BILL .ooo .000 P-1 99.600 1,991,997.50 2.97 912795RL7 DUE 11/12/2004 DD 05/13/2004 A-1+ 1,991,997.50 2.74 5,ooo,ooo.oo US TREASURY BILL .ooo .ooo P-1 99.644 4,982,207.29 7.43 912795RM5 DUE 11/18/2004 DD 05/20/2004 A-1+ 4,982,207,29 6.87 YLDANAL OCSF07 511102 DISTRICT: LIQUID OPERATING PAR VALUE SECURITY ID SECURITY DESCRIPTION 5,000,000.00 US TREASURY BILL 912795RN3 DUE 11/26/2004 DD 05/27/2004 1,100,000.00 WELLS FARGO BK NA INSTL C/D 9497PlJEO 1.900% 12/15/2004 DD 10/14/04 300,000.00 WELLS FARGO BANK NA INSTL C/D 9497PlLQO 1.860% 12/06/2004 DD 10/08/04 2,637,483.86 DREYFUS TREASURY CASH MGMT 996085247 TOTAL CASH & CASH EQUIVALENTS FIXED INCOME SECURITIES 3,000,000,00 ASSOCIATES CORP NORTH AMER SR 046003FF1 6.625% 06/15/2005 DD 06/09/95 2,500,000.00 GENERAL ELEC CAP MTN fTR 00526 36962GXX7 VAR RT 03/15/2005 DD 03/20/02 TOTAL FIXED INCOME SECURITIES TOTAL YIELD ANALYSIS 2004/10/31 YTM AT CURRENT MOODY MARKET BOOK YIELD S-P PRICE .000 .000 P-1 99.614 A-1+ .ooo 1.900 .ooo 1.860 .ooo 1.545 .ooo .108 .ooo 6.468 .ooo 2,004 .ooo 5,177 .000 .170 AAA AAA AAl AA- AAA AAA 100.000 100.000 100.000 102.421 100.046 PAGE RUN DATE RUN TIME TOTAL COST/ MARKET VALUE 4,980,686.39 4,980,686.39 1,100,000.00 1,100,000.00 300,000.00 300,000.00 2,637,483.86 2,637,483.86 66,998,187,04 66,998,187.04 3,112,350.00 3,072,630,00 2,502,460.00 2,501,150.00 5,614,s10.oo 5,573,780.00 72,612,997.04 72,571,967.04 2 11/04/04 15.34.10 % TYPE % TOTAL 7 .43 6.86 1.64 1.52 .44 .41 3.93 3.63 100.00 92.31 55.12 4.23 44,87 3,45 100.00 7.68 100.00 100.00 YLDANAL OCSF07522202 DISTRICT: LONG-TERM OPERATING YIELD ANALYSIS 2004/10/31 PAGE RUN DATE RUN TIME 3 11/04/04 15.34.10 ==============================================================================================================*============== PAR VALUE SECURITY ID SECURITY DESCRIPTION CASH & CASH EQUIVALENTS 3,200,000.00 FEDERAL HOME LN BK CONS DISC N 313385AW6 MAT 01/21/2005 7,600,000.00 FEDERAL HOME LN MTG CORP DISC 313397AD3 MAT 01/04/2005 9,900,000.00 FEDERAL NATL MTG ASSN DISCOUNT 313589AE3 MAT 01/05/2005 700,000.00 FEDERAL NATL MTG ASSN DISC NT 313589BB8 MAT 01/26/2005 500,000.00 GENERAL ELEC CAP DISC 36959HLGO 11/16/2004 2001000.00 GENERAL ELEC CAP DISC 36959HM20 12/02/2004 9,9001000.00 GENERAL ELEC CAP DISC 36959HP43 02/04/2005 16,000,000.00 US TREASURY BILL 912795SG7 DUE 03/31/2005 DD 09/30/2004 1,1531 726.32 DREYFUS TREASURY CASH MGMT 996085247 TOTAL CASH & CASH EQUIVALENTS FIXED INCOME SECURITIES 7521 000.00 AIG SUNAMERICA GLOBAL REGS U00907AAO 5.8501 08/01/2008 DD 08/08/01 221000,000.00 COMMIT TO PUR FNMA SF MTG 01F0504B9 5.0001 11/01/2019 DD 11/01/04 4,000,000,00 COMMIT TO PUR FNMA SF MTG 01F0526B3 5.5001 11/01/2034 DD 11/01/04 YTM AT CURRENT MOODY MARKET BOOK YIELD S-P PRICE .ooo .ooo .000 .000 .ooo .ooo .000 .000 .000 .000 .000 .ooo .000 2,054 .ooo .000 .ooo 1.545 .ooo .274 .ooo 5,325 .ooo 4.900 .ooo 5.402 P-1 A-1+ P-1 A-1+ P-1 A-1+ P-1 A-1+ P-1 P-1 P-1 P-1 A-1+ AAA AAA AAA AAA AAA AAA 99.498 99.526 99.505 99.494 99.450 99,560 99.320 99.025 100.000 109.867 102.031 101.810 TOTAL COST/ MARKET VALUE 3,183,943.56 3,183,943.56 7,563,959.11 7,563,959.11 9,850,995.00 9,850,995.00 696,461.11 696,461.11 497,249.58 497,249.58 199,120.89 199 I 120 • 89 9,832,680.00 9,832,680.00 15,843,937.78 15,843,937.78 1,153,726.32 1,153,726.32 48,822,073.35 48,822,073.35 826,199.84 826,199.84 22,405,625.00 22,446,875.00 4,059,375.00 4,072,400.00 I TYPE % TOTAL 6.52 .82 15.49 1.95 20.17 2.54 1.42 .18 1.01 .13 .40 .05 20.13 2.53 32.45 4,08 2.36 .30 100.00 12.58 .24 .21 6,61 5,78 1.19 1.05 YLDANAL YIELD ANALYSIS PAGE 4 OCSF07522202 2004/10/31 RUN DATE 11/04/04 DISTRICT: LONG-TERM OPERATING RUN TIME 15.34.10 ~= 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 .ooo 2.309 A2 100.421 1,501,005.oo .44 125581AF5 VAR RT 09/22/2006 DD 09/23/03 A 1,506,315.00 .39 3,500,000.00 FEDERAL HOME LN BK CONS BDS .ooo 7.027 AAA 101.392 3,732,225.00 1.04 3133MAUN7 7.1251 02/15/2005 DD 02/08/00 AAA 3,548,714.05 .91 63,092.27 FBLMC GROUP 178-6064 .ooo 3.271 AAA 103.550 61,554.38 .01 31348SWZ3 6.3841 01/01/2028 DD 12/01/97 AAA 65,332.36 .02 11,350,000.00 FEDERAL NATL MTG ASSN DEBS .000 5.043 AAA 104.105 11,521,271.50 3.47 31359MJX2 5.2501 06/15/2006 DD 06/22/01 AAA 11,815,922.04 3.04 683,657.83 FNMA POOL 10254510 .ooo 4.883 AAA 102.402 704,167.56 .20 31371KVB4 5.0001 11/01/2017 DD 10/01/02 AAA 700,081.62 ,18 146,850.74 FNMA POOL 10254631 .000 4.883 AAA 102.402 151,256.27 .04 31371KY47 5.0001 02/01/2018 DD 01/01/03 AAA 150,378.59 .04 130,626.67 FNMA POOL 10254760 .ooo 4.884 AAA 102.371 134,545.46 .03 31371K5V9 5.0001 06/01/2018 DD 05/01/03 AAA 133,723.95 .03 59,334.15 FNMA POOL 10254866 .ooo 4.884 AAA 102.371 61,114.18 .01 31371LCB3 5.0001 09/01/2018 DD 08/01/03 AAA 60,741.02 .02 314,272.03 FNMA POOL 10254953 .ooo 4.887 AAA 102.309 318,298.65 .09 31371LE21 5.0001 11/01/2018 DD 10/01/03 AAA 321,527.28 .00 851,201.21 FNMA POOL 10254987 .ooo 4.894 AAA 102.168 862,107.22 .25 31371LF46 5.0001 12/01/2018 DD 11/01/03 AAA 869,652.91 .22 152,478.22 FNMA POOL 10323980 .ooo 5.698 AAA 105.305 159,196.79 .04 31374T2MO 6.0001 04/01/2014 DD 09/01/99 AAA 160,566.72 .04 24,876.09 FNMA POOL 10357328 .ooo 4.891 AAA 102.226 25,622.37 .oo 31376J4M8 5.0001 01/01/2018 DD 01/01/03 AAA 25,429.91 .01 1,308,920.17 FNMA POOL 10357430 .ooo 4.884 AAA 102.371 1,323,645.52 .39 31376KA71 5.0001 09/01/2018 DD 09/01/03 AAA 1,339,955.85 .34 42,249.23 FNMA POOL 10456482 .ooo 5.698 AAA 105.305 44,110.82 .01 31381CCT2 6.0001 02/01/2014 DD 02/01/99 AAA 44,490.42 .01 101,291.49 FNMA POOL 10509649 .000 5.698 AAA 105.305 105,754.65 .03 31383QEWO 6.0001 09/01/2014 DD 09/01/99 AAA 106,664.69 .03 YLDANAL YIELD ANALYSIS PAGE 5 OCSF07522202 2004/10/31 RUN DATE 11/04/04 DISTRICT: LONG-TERM OPERATING RUN TIME 15.34.10 ------------------==-----------------------===--=--==---==---=-==--========================================================== PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL ------------------·------------------------------------------·----------------·--------------------------- 119,126.76 FNMA POOL 10535451 .ooo 5.705 AAA 105.180 124,375.78 .03 31384VZQ8 6.0001 06/01/2015 DD 07/01/00 AAA 125,297.16 .03 313,444.13 FNMA POOL 10555363 .ooo 4.883 AAA 102.402 322,847.44 .09 31385W5Yl 5.0001 04/01/2018 DD 03/01/03 AAA 320,974.12 .08 32,483.46 FNMA POOL 10555453 .ooo 4.883 AAA 102.402 32,899.66 .oo 31385XBW6 5.0001 05/01/2018 DD 04/01/03 AAA 33,263.82 .01 259,992.24 FNMA POOL 10555545 .ooo 4.883 AAA 102.402 267,792.02 .07 31385XES2 5.0001 06/01/2018 DD 05/01/03 AAA 266,238.14 .07 899,158.16 FNMA POOL 10555621 .ooo 4.894 AAA 102.168 909,273.69 .27 31385XG68 5.0001 07/01/2018 DD 06/01/03 AAA 918,649.44 .24 481,874.83 FNMA POOL 10681309 .000 4.883 AAA 102.402 496,331.07 .14 31391Y3S4 5.0001 02/01/2018 DD 02/01/03 AAA 493,451.10 .13 59,126.41 FNMA POOL 10681334 .ooo 4.883 AAA 102.402 60,900.20 .01 31391Y4Tl 5.0001 02/01/2018 DD 01/01/03 AAA 60,546.83 .02 584,096.12 FNMA GTD REMIC P/T 02-76 PD .ooo 4.989 AAA 100.214 595,778.04 .17 31392FKF3 5.0001 08/25/2022 DD 10/01/02 AAA 585,346.32 .15 310,705.97 FNMA POOL 10684908 .ooo 4.883 AAA 102.402 314,686.90 .09 31400D3Rl 5.0001 06/01/2018 DD 05/01/03 AAA 318,170.18 .08 173,555.81 FNMA POOL 10685200 .ooo 4.883 AAA 102.402 175,779.51 .05 31400EGH7 5.0001 03/01/2018 DD 03/01/03 AAA 177,725.21 .05 30,117.96 FNMA POOL 10685665 .000 4.883 AAA 102.402 31,021.50 .oo 31400EW22 5.0001 02/01/2018 DD 02/01/03 AAA 30,841.50 .01 260,544.38 FNMA POOL 10686318 .000 4.883 AAA 102.402 268,360.72 .07 31400FPB7 5.0001 03/01/2018 DD 03/01/03 AAA 266,803.54 .07 103,870.15 FNMA POOL 10688739 .ooo 4.884 AAA 102.371 106,986.25 .03 31400JEL9 5.000% 06/01/2018 DD 06/01/03 AAA 106,333.00 .03 84,158.25 FNMA POOL 10689859 .000 4.884 AAA 102.371 85,236.53 .02 31400KMG8 5.0001 05/01/2018 DD 05/01/03 AAA 86,153.72 .02 586,958.61 FNMA POOL 10693834 .ooo 4.883 AAA 102.402 604,567.36 ,17 31400PY74 5.0001 03/01/2018 DD 03/01/03 AAA 601,059.35 .15 YLDANAL YIELD ANALYSIS PAGE 6 OCSF07522202 2004/10/31 RUN DATE 11/04/04 DISTRICT: LONG-TERM OPERATING RUN TIME 15.34.10 ======------= --= --= PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ----------------------··--------------·-----------------------------------------------·--------------- 207,045,39 FNMA POOL 10695852 .ooo 4.883 AAA 102.402 213,256.75 .06 31400SBVO 5.000% 05/01/2018 DD 05/01/03 AAA 212,019.32 .os 686,691.23 FNMA POOL 10695889 .ooo 4.884 AAA 102,371 707,291.98 .20 31400SC23 5.000% 05/01/2018 DD 05/01/03 AAA 702,973.30 ,18 21,608.43 FNMA POOL 10697026 .ooo 4.883 AAA 102.402 22,256.70 .oo 31400TLF2 5.0001 05/01/2018 DD 04/01/03 AAA 22,127.54 .01 208,822,66 FNMA POOL 10702210 .ooo 4,894 AAA 102.168 215,087.33 .06 31401ADP9 5,0001 05/01/2018 DD 05/01/03 AAA 213,349.36 .OS 127,983,77 FNMA POOL 10702328 .ooo 4,883 AAA 102.402 129,623.56 .03 31401AHD2 5.000% 05/01/2018 DD 04/01/03 AAA 131,058.38 .03 262,789.83 FNMA POOL 10709148 .ooo 4,884 AAA 102.371 270,673.53 .01 31401BZM7 5,000% 06/01/2018 DD 06/01/03 AAA 269,020.81 .07 603,892,76 FNMA POOL 10709360 .ooo 4,884 AAA 102.371 611,630,15 ,18 31401JB56 5.000% 07/01/2018 DO 06/01/03 AAA 618,211.60 .16 102,163,10 FNMA POOL 10709826 .ooo 4,884 AAA 102,371 103,472.06 .03 31401JSP4 5,000% 06/01/2018 DD 06/01/03 AAA 104,585.48 .03 215,631.94 FNMA POOL 10709917 .ooo 4,884 AAA 102.371 218,394,72 ,06 31401JVJ4 5.000% 06/01/2018 DO 06/01/03 AAA 220,744,77 .06 18,126.34 FNMA POOL 10709963 .ooo 4,894 AAA 102,168 18,358.59 .oo 31401JWYO 5.000% 06/01/2018 DD 06/01/03 AAA 18,519,27 .oo 578,352,94 FNMA POOL 10710235 .ooo 4.884 AAA 102.371 595,703.54 .17 31401KBC8 5,000% 06/01/2018 DO 06/01/03 AAA 592,066,21 ,15 15,822.29 FNMA POOL 10713344 .ooo 4.884 AAA 102.371 16,296,95 .oo 31401NP52 5.000% 06/01/2018 DD 06/01/03 AAA 16,197,45 .oo 251,455.78 FNMA POOL 10713365 .ooo 4.884 AAA 102.371 254,677.55 .07 31401NQS1 5,0001 07/01/2018 DD 07/01/03 AAA 257,418.02 .01 706,096.92 FNMA POOL 10720319 .ooo 4.884 AAA 102,371 715,143,78 .21 31401WG45 5,0001 07/01/2018 OD 07/01/03 AAA 722,839.11 .19 2,009,634.03 FNMA POOL f0720369 .ooo 4.894 AAA 102.168 2,069,923,05 .60 31401WJNO 5.000% 06/01/2018 DD 06/01/03 AAA 2,053,197.37 .53 YLDANAL YIELD ANALYSIS PAGE 7 OCSF07522202 2004/10/31 RUN DATE 11/04/04 DISTRICT: LONG-TERM OPERATING RUN TIME 15.34.10 ====================================================-======================================================================== PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL --·--------·----·--·-------·--·--------------------------------------------------------------------- 283,631.39 FNMA POOL 10721629 .000 4.884 AAA 102.371 292,140.35 .08 31401XVW4 5.000% 07/01/2018 DD 06/01/03 AAA 290,356.55 .01 232,288.66 FNMA POOL 10723487 .ooo 4.884 AAA 102.371 234,901.91 .07 31402AXQ4 5.000% 06/01/2018 DD 06/01/03 AAA 237,796.43 .06 384,203.96 FNMA POOL 10729601 .ooo 4.884 AAA 102.371 389,126.57 .11 31402HRW3 5.0001 07/01/2018 DD 07/01/03 AAA 393,313.78 .10 33,209.64 FNMA POOL 10732873 .ooo 4.884 AAA 102.371 33,635.12 .01 31402MFN5 5.0001 11/01/2018 DD 10/01/03 AAA 33,997.07 .01 603,842.23 FNMA POOL 10737130 .ooo 4.884 AAA 102.371 611,578.96 .18 31402S4P9 5.000% 10/01/2018 DD 10/01/03 AAA 618,159 .87 .16 515,276.73 FNMA POOL 10738211 .ooo 4.894 AAA 102.168 521,878.73 .15 31402UDQ2 5.000% 10/01/2018 DD 10/01/03 AAA 526,446.51 .14 183,857.54 FNMA POOL f0738487 .000 4.887 AAA 102.309 186,213.21 .os 31402UNC2 5.000% 10/01/2018 DD 10/01/03 AAA 188,102.06 .os 670,846.16 FNMA POOL f0740471 .ooo 4.894 AAA 102.168 679,441.36 ,20 31402WT40 5.000% 10/01/2018 DD 10/01/03 AAA 685,388,26 .18 742,040,26 FNMA POOL f0740748 .ooo 4.884 AAA 102.371 751,547.64 .22 31402WSH7 5.0001 10/01/2018 DD 11/01/03 AAA 759,634.70 .20 36,658.67 FNMA POOL f0743868 .ooo 4 .894 AAA 102,168 37,128.35 .01 31403BMR1 5,0001 11/01/2018 DD 10/01/03 AAA 37,453.33 .01 971,313.42 FNMA POOL f0744008 .ooo 4.884 AAA 102.371 983,758.37 .29 31403BR54 5,0001 07/01/2018 DD 09/01/03 AAA 994,344.14 .26 150,132.10 FNMA POOL 10744316 .ooo 4,894 AAA 102.168 152,055.67 .04 31403B3Z4 5,0001 09/01/2018 DD 09/01/03 AAA 153,386.55 .04 338,292.42 FNMA POOL 10747914 .ooo 4,887 AAA 102,309 342,626.79 .10 31403F3XO 5,000% 11/01/2018 DD 11/01/03 AAA 346,102.20 .09 199,856,29 FNMA POOL 10748400 .ooo 4.894 AAA 102.168 202,416.95 .06 31403GNR9 5.0001 08/01/2018 DD 09/01/03 AAA 204,188,62 .OS 914,728.18 FNMA POOL 10748899 .ooo 4,893 AAA 102,195 926,448.13 .27 31403G7LO 5,0001 12/01/2018 DD 11/01/03 AAA 934,804.58 .24 YLDANAL YIELD ANALYSIS PAGE 8 OCSF07522202 2004/10/31 RUN DATE 11/04/04 DISTRICT: LONG-TERM OPERATING RUN TIME 15.34.10 :==-----= PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL ---------------·----~---------,-------------------------------------------------------------·------ 2,072,795.57 FNMA POOL 10750377 .000 4.893 AAA 102.195 2,099,353.26 .62 31403JUA2 5.000% 11/01/2018 DD 11/01/03 AAA 2,118,289.16 .55 1,875,560.76 FNMA POOL 10750380 .ooo 4.893 AAA 102.195 1,899,591.40 .56 31403JUD6 5.000% 11/01/2018 DD 11/01/03 AAA 1,916,725.46 .49 167,449.83 FNMA POOL 10750445 .ooo 4.893 AAA 102,195 169,595.29 ,05 31403JWE2 5.000% 11/01/2018 DD 11/01/03 AAA 171,125.01 .04 789,422.21 FNMA POOL 10751960 .ooo 4.894 AAA 102.168 799,536.69 .23 31403LMH1 5.000% 12/01/2018 DD 11/01/03 AAA 806,534.71 .21 835,894.05 FNMA POOL 10753425 .ooo 4.892 AAA 102,215 845,559.06 .25 31403NA23 5,0001 11/01/2018 DD 11/01/03 AAA 854,407.77 .22 586,885.03 FNMA POOL 10755165 .ooo 4.887 AAA 102.309 594,404.50 .17 31403Q6A3 5.000% 12/01/2018 DD 11/01/03 AAA 600,433.80 .15 906,020.28 FNMA POOL 10756372 .ooo 4.887 AAA 102,309 916,496.13 .27 31403SJR8 5.000% 11/01/2018 DD 11/01/03 AAA 926,936.57 .24 10,531,10 GNMA POOL 10421389 .ooo 6.109 AAA 106,395 11,052.73 .oo 36206UC23 6.500% 04/15/2026 DD 04/01/96 AAA 11,204.51 .oo 19,900.03 GNMA POOL 10449851 .ooo 6,143 AAA 105.809 20,885.71 .oo 36208FWLO 6.500% 01/15/2028 DD 01/01/98 AAA 21,055.97 .01 36,621.99 GNMA POOL 10466845 .ooo 6.115 AAA 106.301 38,435.92 .01 36209BTA6 6.500% 06/15/2028 DD 06/01/98 AAA 38,929.46 .01 111,306.73 GNMA POOL 10468052 .000 6.115 AAA 106.301 116,819.89 .03 36209C5M4 6.500% 07/15/2028 DD 07/01/98 AAA 118,319.92 .03 146,405.50 GNMA POOL 10476041 .ooo 6.115 AAA 106.301 153,428.40 .04 36209MZE7 6.500% 06/15/2028 DD 06/01/98 AAA 155,630.19 ,04 120,991.97 GNMA POOL 10478626 .ooo 6.115 AAA 106.301 126,795.81 .03 36209QVT9 6.500% 01/15/2029 DD 01/01/99 AAA 128,615.41 .03 28,852.41 GNMA POOL 10480598 .000 6.115 AAA 106.301 30,236.41 .oo 36209S3F6 6.500% 10/15/2028 DD 10/01/98 AAA 30,670.34 .01 8,416.99 GNMA POOL 10512235 .ooo 6.118 AAA 106.238 8,833.89 .oo 36211GBC6 6.500% 11/15/2029 DD 11/01/99 AAA 8,942.07 .oo YLDANAL YIELD ANALYSIS PAGE 9 OCSF07522202 2004/10/31 RUN DATE 11/04/04 DISTRICT: LONG-TERM OPERATING RUN TIME 15.34.10 ======---==-------=====---==--=------------==========-===-==============================================================----- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL -------·-------------------------------·------·-------------------------------------------------------- 106,515.14 GNMA POOL 10514326 .ooo 6.115 AAA 106.301 111,624.53 .03 36211.1LF2 6,5001 07/15/2029 DD 07/01/99 AAA 113,226,42 .03 189,490,94 GNMA II POOL 10080395 .ooo 3,329 AAA 101.380 187, 773,68 ,05 36225CNM4 VAR RT 04/20/2030 DD 04/01/00 AAA 192,105.35 .os 1,732,824,36 GNMA II POOL IOB040BX ,000 3,331 AAA 101.327 1,715,225.35 .51 36225CN28 6.5001 05/20/2030 DD 05/01/00 AAA 1,755,820.67 .45 376,688.63 GNMA II POOL 10080900 .000 3,000 AAA 99.986 366,506.25 ,11 36225DAA2 VAR RT 05/20/2034 DD 05/01/04 AAA 376,636.84 .10 1,385,231.01 GNMA II POOL 10080965 .ooo 3,468 AAA 100.924 1,384,365.23 ,41 36225DCBB VAR RT 07/20/2034 DD 07/01/04 AAA 1,398,034.70 .36 3,000,000,00 GENERAL MTRS ACCEP CORP SR NT .ooo 5,872 A3 104.312 3,064,350.00 ,92 370425SD3 6,1251 08/28/2007 DD 08/29/02 BBB-3,129,360,00 ,Bl 3,S00,000,00 GOLDMAN SACHS GRP MTN ITR00194 .000 2.276 AA3 100,187 3,507,850.50 1.03 38141EJB6 VAR RT 10/27/2006 DD 10/29/03 A+ 3,506,545.00 .90 900,ooo.oo GOLDMAN SACHS GRP MTN ITR00207 .000 2,426 AA3 100,156 800,ooo.oo .23 38141EJQ3 VAR RT 07/23/2009 DD 07/23/04 A+ 801,248.00 .21 3,000,000.00 GOLDMAN SACHS GROUP INC SR NT .ooo 4,032 AA3 102 ,296 3,030,030.00 .90 38141GCS1 4,1251 01/15/2008 DD 01/13/03 A+ 3,068,880,00 ,79 3,000,000.00 KRAFT FOODS INC NT .ooo 1.960 A3 99.984 2,999,910.00 .88 50075NAJ3 VAR RT 11/26/2004 DD 11/26/02 BBB+ 2,999,520,00 ,77 3,200,000.00 MORGAN STANLEY NT .ooo 3,855 AA3 100.515 3,149,248.00 ,94 61746BALO 3.8751 01/15/2009 DD 01/13/04 A+ 3,216,480.00 .83 744,359.22 RESIDENTIAL ASSET 03-RSll AIIB .000 2,267 AAA 99.813 744,359,22 ,21 760985K83 VAR RT 12/25/2033 DD 12/30/03 AAA 742,963,55 ,19 2,985,923,50 SBA GTD DEV PARTN 2001-20C 1 .ooo 5,833 AAA 108.685 2,985,923.50 .95 83162CLJO 6,3401 03/01/2021 AAA 3,245,250.96 ,84 1,920,261,52 SBA GTD PARTN CTFS SBIC-PS 01 .ooo 6,100 AAA 108.860 1,920,261.52 .61 831641DD4 6.6401 02/10/2011 DD 02/21/01 NR 2,090,396,69 ,54 l,600,000.00 UNITED AIRLS PASSTBRU 01-1 C .000 85,452 WR 7,994 1,600,000,00 .03 909317BC2 6.8311 03/01/2010 DD 08/22/01 A-127,904,00 .03 YLDANAL YIELD ANALYSIS PAGE 10 OCSF07522202 2004/10/31 RUN DATE 11/04/04 DISTRICT: LONG-TERM OPERATING RUN TIME 15.34.10 --- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL -----------------------------------------·--·--------------------------------------------------- 20,000,000.00 US TREASURY NOTES .ooo 5.787 AAA 108.000 22,620,312,50 6.36 9128272JO 06.250% 02/15/2007 DD 02/15/97 AAA 21,600,000.00 5,56 3,523,890.00 US TREASURY INFLATION INDEX NT .ooo 3,285 AAA 110.344 3,833,391.35 1.14 9128273T7 3.625% 01/15/2008 DD 01/15/98 AAA 3,888,401.18 1.00 15,042,560.00 US TREASURY INFLATION INDEX NT .ooo 3,414 AAA 113,500 16,667,920.11 5.02 9128274Y5 3.875% 01/15/2009 DD 01/15/99 AAA 17,073,305.60 4.40 3,900,000.00 US TREASURY NOTES .ooo 5,551 AAA 103.594 4,288,149,14 1.18 9128276N7 05,750% 11/15/2005 DD 11/15/00 AAA 4,040,166.00 1.04 17,600,000.00 US TREASURY NOTES .ooo 3,341 AAA 101.030 17,405,000.00 5.23 912828BT6 3.375% 12/15/2008 DD 12/15/03 AAA 17,781,280.00 4.58 27,500,000.00 US TREASURY NOTES .ooo 2. 736 AAA 100.520 27,463,468.63 8.14 912828CMO 2,750% 06/30/2006 DD 06/30/04 AAA 27,643,000.00 7.12 49,000,000.00 US TREASURY NOTES .ooo 2.736 AAA 100,500 49,103,927,41 14.50 912828CQ1 2.750% 07/31/2006 DD 07/31/04 AAA 49,245,000.00 12.68 55,300,000.00 US TREASURY NOTES .ooo 2,380 AAA 99.790 55,048,031.25 16.25 912828CU2 2,375% 08/31/2006 DD 08/31/04 AAA 55,183,870.00 14.21 1,750,000.00 VIRGINIA ELEC & PWR 01 SER A .ooo 5.530 A3 103.984 1,743,840.00 .53 927804ENO 5,750% 03/31/2006 DD 03/27/01 BBB+ 1,819,720.00 ,47 16,768,640.00 US TREASURY INFLATION INDEX NT 3.817 3.149 AAA 107.188 14,850,698.33 5.29 9128272M3 3.375% 01/15/2007 DD 01/15/97 AAA 17,973,886.00 4.63 15,500,000.00 FEDERAL NATL MTG ASSN DEBS 5.967 7,026 AAA 101.404 16,154,410.00 4.62 31359MFH1 7,125% 02/15/2005 DD 02/14/00 AAA 15,717,637.05 4.05 856,962.94 FBLMC MULTICLASS MTG SER E3 A 6,316 3.632 AAA 100.595 857,875.88 .25 3133TCE95 VAR RT 08/15/2032 DD 12/01/97 AAA 862,061.87 .22 528,130.19 GNMA GTD REMIC TR 2000-9 FH 6.320 2,373 AAA 100.662 528,130.19 .15 3837H4NX9 VAR RT 02/16/2030 AAA 531,626,41 ,14 227,031.75 GNMA II POOL f080088M 6.705 3,330 AAA 101.362 231,998.08 ,06 36225CC20 7,375% 06/20/2027 DD 06/01/97 AAA 230,123,01 .06 169,687.62 GNMA II POOL f0080023 6.992 4,533 AAA 102,027 172,498.06 .05 36225CAZ9 VAR RT 12/20/2026 DD 12/01/96 AAA 173,126.71 .04 YLDANAL YIELD ANALYSIS PAGE 11 OCSF07522202 2004/10/31 RUN DATE 11/04/04 DISTRICT: LONG-TERM OPERATING RUN TIME 15.34.10 = PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL -----------------·-----·----·-----------------·-------------------- 2,100,000.00 FEDERAL NATL MTG ASSN DEBS 7 .113 5.852 AAA 113.204 2,030,133.00 .70 31359MEY5 6.6251 09/15/2009 DD 09/01/99 AAA 2,377,293.03 .61 1,000,000.00 FORD MOTOR CR CO NT 7.582 6.612 A3 102.093 965,170.00 .30 345397GV9 6.7501 05/15/2005 DD 05/24/93 BBB-1,020,930.00 .26 937,922.84 WNP/HUNTOON PAIGE f000-11150 7.684 7.352 AAA 102.016 917,552.33 .28 302998GE3 7.5001 12/01/2030 DD 10/21/99 AAA 956,831.08 .25 1,600,000.00 ALLSTATE CORP SR NT 7.967 7 .674 Al 102.625 1,594,032.00 .48 020002AL5 7.8751 05/01/2005 DD 05/01/00 A+ 1,642,000.00 .42 --------------------------------·-----------TOTAL FIXED INCOME SECURITIES .163 4.517 336,781,591.36 100.00 339,576,077.79 87.45 --------------------------------------- TOTAL .159 4.428 385,603,664.71 100.00 388,398,151.14 100.00 ========= @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCS~CONSOUDATED-OCSGOOOlOOOO 10/31/2004 Status: FINAL Net Unrealized Price f ,_ ·,.i, . 1t tir:.;/l!~, Cost ~""\.,,, Market Value .:-,, . %of Gain/Loss Description . ~ ~fl Shares Par ,, ..... -:t Total •· Base .1, l'-~ I] -·.-, 1(i·• Base •I. ·1' .a-"/ Base ' Base U.S. DOLLAR CASH & CASH EQUIVALENTS PAYABLE FOR INVESTMENTS -26,465,000.00 -26,465,000.00 -6.05% 0.00 PURCHASED INTEREST RECEIVABLE 3,179,113.99 3,179,113.99 0.73% 0.00 RECEIVABLE FOR INVESTMENTS 16,529.64 16,529.64 0.00% 0.00 SOLD BANK OF AMERICA NA INSTL C/D 100.0000 2,200,000.000 2,200,000.00 2,200,000.00 0.50% 0.00 1.620% 11/02/2004 DD 08/06/04 SEC ID: 06050GEM8 FEDERAL HOME LN BKS CONS DISC 99.7164 8,400,000.000 8,376,181.33 8,376,181.33 1.91% 0.00 MAT 11/19/2004 SEC ID: 313384Q28 FEDERAL HOME LN BK CONS DISC N 99.5508 5,000,000.000 4,977,541.67 4,977,541.67 1.14% 0.00 MAT 12/08/2004 SEC ID: 313384S59 FEDERAL HOME LN BK CONS DISC N 99.5215 4,200,000.000 4,179,158.56 4,179,158.56 0.95% 0.00 MAT 01/21/2005 SEC ID: 313385AW6 FEDERAL HOME LN MTG CORP DISC 99.6006 7,300,000.000 7,270,844.61 7,270,844.61 1.66% 0.00 MAT 11/09/2004 SEC ID: 313396N82 FEDERAL HOME LN MTG CORP DISC 99.5860 1,000,000.000 995,860.00 995,860.00 0.23% 0.00 MAT 11/16/2004 SEC ID: 313396P72 FEDERAL HOME LN MTG CORP DISC 99.5451 6,100,000.000 6,072,251.78 6,072,251.78 1.39% 0.00 MAT 12/14/2004 SEC ID: 313396T37 FEDERAL HOME LN MTG CORP DISC 99.5258 7,600,000.000 7,563,959.11 7,563,959.11 1.73% 0.00 MAT 01/04/2005 SEC ID: 313397AD3 FEDERAL NATL MTG ASSN DISC NT 99.5975 1,800,000.000 1,792,755.00 1,792,755.00 0.41% 0.00 MAT 11/3/2004 SEC ID: 313588N27 FEDERAL NATL MTG ASSN DISCOUNT 99.5918 2,800,000.000 2,788,569.39 2,788,569.39 0.64% 0.00 MAT 11/17/2004 SEC ID: 313588P82 FEDERAL NATL MTG ASSN DISCOUNT 99.5779 4,000,000.000 3,983,114.44 3,983,114.44 0.91% 0.00 MAT 11/24/2004 SEC ID: 313588Q73 11/8/2004 2:10:llPM PST 1 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED -OCSGOOO 10000 10/31/2004 Status: FINAL Net,un:reaHzed Price .. : ~ 'p,; '.;;~. --~-," ,.ti! • ci<\.,t Cost I'· Market Value %of Gain/Loss ' _,( "'-''('L Description :.-~ -- Base' Shares Par ' · .,_ ~·:: · · Base. '_"j Base ,._, Total .(, Base -· ,(- FEDERAL NATL MTG ASSN DISCOUNT 99.5703 6,000,000.000 5,974,216.67 5,974,216.67 1.36% 0.00 MAT 12/01/2004 SEC ID: 313588R64 FEDERAL NATL MTG ASSN DISCOUNT 99.5050 9,900,000.000 9,850,995.00 9,850,995.00 2.25% 0.00 MAT 01/05/2005 SEC ID: 313589AE3 FEDERAL NATL MTG ASSN DISC NT 99.4944 700,000.000 696,461.11 696,461.11 0.16% 0.00 MAT 01/26/2005 SEC ID: 313589BB8 GENERAL ELEC CAP DISC 99.4499 500,000.000 497,249.58 497,249.58 0.11% 0.00 11/16/2004 SEC ID: 36959HLG0 GENERAL ELEC CAP DISC 99.5604 200,000.000 199,120.89 199,120.89 0.05% 0.00 12/02/2004 SEC ID: 36959HM20 GENERAL ELEC CAP DISC 99.3200 9,900,000.000 9,832,680.00 9,832,680.00 2.25% 0.00 02/04/2005 SEC ID: 36959HP43 U S TREASURY BILL 99.6297 5,600,000.000 5,579,262.11 5,579,262.11 1.27% 0.00 DUE 11/04/2004 DD 05/06/2004 SEC ID: 912795RK9 U S TREASURY BILL 99.5999 2,000,000.000 1,991,997.50 1,991,997.50 0.46% 0.00 DUE 11/12/2004 DD 05/13/2004 SEC ID: 912795RL7 U S TREASURY BILL 99.6441 5,000,000.000 4,982,207.29 4,982,207.29 1.14% 0.00 DUE 11/18/2004 DD 05/20/2004 SEC ID: 912795RM5 U S TREASURY BILL 99.6137 5,000,000.000 4,980,686.39 4,980,686.39 1.14% 0.00 DUE 11/26/2004 DD 05/27/2004 SEC ID: 912795RN3 U S TREASURY BILL 99.0246 16,000,000.000 15,843,937.78 15,843,937.78 3.62% 0.00 DUE 03/31/2005 DD 09/30/2004 SEC ID: 912795SG7 WELLS FARGO BK NA INSTL C/D 100.0000 1,100,000.000 1,100,000.00 1,100,000.00 0.25% 0.00 1.900% 12/15/2004 DD 10/14/04 SEC ID: 9497P1JE0 WELLS FARGO BANK NA INSTL C/D 100.0000 300,000.000 300,000.00 300,000.00 0.07% 0.00 1.860% 12/06/2004 DD 10/08/04 SEC ID: 9497P1LQ0 DREYFUS TREASURY CASH MGMT 100.0000 3,791,210.180 3,791,210.18 3,791,210.18 0.87% 0.00 SEC ID: 996085247 TOTAL CASH & CASH EQUIVALENTS 116,391,210.180 92,550,904.02 92,550,904.02 21.14% 0.00 11/8/2004 2:10:llPM PST 2 Workbench @ Asset Detail Report ID: GL8013. Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDATED -OCSGOOO 10000 10/31/2004 Status: FINAL Net Unrealized Price ·,-i... ... ,.r;-•T ,~ 1 f;~·f r:'·:::n Cost Market Value .,.;-• %of Gain/Loss Description r:~-"o'.. ~r. Shares Par ·~---~ • ~ tl_,c p Base '. .. 1 Total u LI , Base I.. t, '-JJ.. n.. 1 Base -' Base ~-.;,..~} ... " FIXED INCOME SECURITIES AIG SUNAMERICA GLOBAL REG S 109.8670 752,000.000 826,199.84 826,199.84 0.19% 0.00 5.850% 08/01/2008 DD 08/08/01 SEC ID: U00907 AAO COMMIT TO PUR FNMA SF MTG 102.0313 22,000,000.000 22,405,625.00 22,446,875.00 5.13% 41,250.00 5.000% 11/01/2019 DD 11/01/04 SEC ID: 01F0504B9 COMMIT TO PUR FNMA SF MTG 101.8100 4,000,000.000 4,059,375.00 4,072,400.00 0.93% 13,025.00 5.500% 11/01/2034 DD 11/01/04 SEC ID: 01F0526B3 ALLSTATE CORP SR NT 102.6250 1,600,000.000 1,594,032.00 1,642,000.00 0.38% 47,968.00 7.875% 05/01/2005 DD 05/01/00 SEC ID: 020002AL5 ASSOCIATES CORP NORTH AMER SR 102.4210 3,000,000.000 3,112,350.00 3,072,630.00 0.70% -39,720.00 6.625% 06/15/2005 DD 06/09/95 SEC ID: 046003FF1 CIT GROUP INC NEW SR NT 100.4210 1,500,000.000 1,507,005.00 1,506,315.00 0.34% -690.00 VAR RT 09/22/2006 DD 09/23/03 SEC ID: 125581AF5 WMP/HUNTOON PAIGE #000-11150 102.0160 937,922.840 917,552.33 956,831.08 0.22% 39,278.75 7.500% 12/01/2030 DD 10/21/99 SEC ID: 302998GE3 FEDERAL HOME LN BK CONS BDS 101.3918 3,500,000.000 3,732,225.00 3,548,714.05 0.81% -183,510.95 7.125% 02/15/2005 DD 02/08/00 SEC ID: 3133MAUN7 FHLMC MULTICLASS MTG SER E3 A 100.5950 856,962.940 857,875.88 862,061.87 0.20% 4,185.99 VAR RT 08/15/2032 DD 12/01/97 SEC ID: 3133TCE95 FHLMC GROUP #78-6064 103.5505 63,092.270 61,554.38 65,332.36 0.01% 3,777.98 6.384% 01/01/2028 DD 12/01/97 SEC ID: 31348SWZ3 FEDERAL NATL MTG ASSN DEBS 113.2044 2,100,000.000 2,030,133.00 2,377,293.03 0.54% 347,160.03 6.625% 09/15/2009 DD 09/01/99 SEC ID: 31359MEY5 FEDERAL NATL MTG ASSN DEBS 101.4041 15,500,000.000 16,154,410.00 15,717,637.05 3.59% -436,772.95 7.125% 02/15/2005 DD 02/14/00 SEC ID: 31359MFH1 FEDERAL NATL MTG ASSN DEBS 104.1050 11,350,000.000 11,521,271.50 11,815,922.04 2.70% 294,650.54 5.250% 06/15/2006 DD 06/22/01 SEC ID: 31359MJX2 FNMA POOL #0254510 102.4023 683,657.830 704,167.56 700,081.62 0.16% -4,085.94 5.000% 11/01/2017 DD 10/01/02 SEC ID: 31371KVB4 11/8/2004 2:10:llPM PST 3 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDATED-OCSGOO0I00OO 10/31/2004 Status: FINAL Net: ·unrealized Market Value %of · 0:, -. .,, Price ~ ~ '.-~-~-; •/-i _';,;~ Cost ~ Gain/Loss .•'~ r-.• Deac.rlption ~~-· ~ .:.~ ;:, -· . Base ., Shares Par Base 'Base • Total I -::.4f' Base .. , .... ~ FNMA POOL #0254631 102.4023 146,850.740 151,256.27 150,378.59 0.03% -877.68 5.000% 02/01/2018 DD 01/01/03 SEC ID: 31371KY47 FNMA POOL #0254760 102.3711 130,626.670 134,545.46 133,723.95 0.03% -821.51 5.000% 06/01/2018 DD 05/01/03 SEC ID: 31371K5V9 FNMA POOL #0254866 102.3711 59,334.150 61,114.18 60,741.02 0.01% -373.16 5.000% 09/01/2018 DD 08/01/03 SEC ID: 31371LCB3 FNMA POOL #0254953 102.3086 314,272.030 318,298.65 321,527.28 0.07% 3,228.63 5.000% 11/01/2018 DD 10/01/03 SEC ID: 31371LE21 FNMA POOL #0254987 102.1677 851,201.210 862,107.22 869,652.91 0.20% 7,545.69 5.000% 12/01/2018 DD 11/01/03 SEC ID: 31371LF46 FNMA POOL #0323980 105.3047 152,478.220 159,196.79 160,566.72 0.04% 1,369.93 6.000% 04/01/2014 DD 09/01/99 SEC ID: 31374T2M0 FNMA POOL #0357328 102.2263 24,876.090 25,622.37 25,429.91 0.01% -192.46 5.000% 01/01/2018 DD 01/01/03 SEC ID: 31376J4M8 FNMA POOL #0357430 102.3711 1,308,920.170 1,323,645.52 1,339,955.85 0.31% 16,310.33 5.000% 09/01/2018 DD 09/01/03 SEC ID: 31376KA71 FNMA POOL #0456482 105.3047 42,249.230 44,110.82 44,490.42 0.01% 379.60 6.000% 02/01/2014 DD 02/01/99 SEC ID: 31381CCT2 FNMA POOL #0509649 105.3047 101,291.490 105,754.65 106,664.69 0 .02% 910.04 6.000% 09/01/2014 DD 09/01/99 SEC ID: 31383QEW0 FNMA POOL #0535451 105.1797 119,126.760 124,375.78 125,297.16 0.03% 921.38 6.000% 06/01/2015 DD 07 /01/00 SEC ID: 31384VZQ8 FNMA POOL #0555363 102.4023 313,444.130 322,847.44 320,974.12 0.07% -1,873.32 5.000% 04/01/2018 DD 03/01/03 SEC ID: 31385W5Yl FNMA POOL #0555453 102.4023 32,483.460 32,899.66 33,263.82 0.01% 364.16 5.000% 05/01/2018 DD 04/01/03 SEC ID: 31385XBW6 FNMA POOL #0555545 102.4023 259,992.240 267,792.02 266,238.14 0.06% -1,553.88 5.000% 06/01/2018 DD 05/01/03 SEC ID: 31385XES2 11/8/2004 2:10:llPM PST 4 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDATED -OCSGOO0 10000 10/31/2004 Status: FINAL Net Unrealized Price (•:? •. f"r' '" ,. :·.-!~LI'-·~~ . Cost Market Value %of Gain/Loss Description .. ·/\._,_/: -.-= Base 1--·~· Shares Par .. ~ -,;._Ji _::f ~;re. -. Base Base '"" Total . __...~, .~' Base ·-:::--.... - FNMA POOL #0555621 102.1677 899,158.160 909,273.69 918,649.44 0.21% 9,375.75 5.000% 07/01/2018 DD 06/01/03 SEC ID: 31385XG68 FNMA POOL #0681309 102.4023 481,874.830 496,331.07 493,451.10 0.11% -2,879.97 5.000% 02/01/2018 DD 02/01/03 SEC ID: 31391Y3S4 FNMA POOL #0681334 102.4023 59,126.410 60,900.20 60,546.83 0.01% -353.37 5.000% 02/01/2018 DD 01/01/03 SEC ID: 31391Y4Tl FNMA GTD REMIC P /T 02-76 PD 100.2140 584,096.120 595,778.04 585,346.32 0.13% -10,431.72 5.000% 08/25/2022 DD 10/01/02 SEC ID: 31392FKF3 FNMA POOL #0684908 102.4023 310,705.970 314,686.90 318,170.18 0.07% 3,483.28 5.000% 06/01/2018 DD 05/01/03 SEC ID: 31400D3Rl FNMA POOL #0685200 102.4023 173,555.810 175,779.51 177,725.21 0.04% 1,945.70 5.000% 03/01/2018 DD 03/01/03 SEC ID: 31400EGH7 FNMA POOL #0685665 102.4023 30,117.960 31,021.50 30,841.50 0.01% -180.00 5.000% 02/01/2018 DD 02/01/03 SEC ID: 31400EW22 FNMA POOL #0686318 102.4023 260,544.380 268,360.72 266,803.54 0.06% -1,557.18 5.000% 03/01/2018 DD 03/01/03 SEC ID: 31400FPB7 FNMA POOL #0688739 102.3711 103,870.150 106,986.25 106,333.00 0.02% -653.25 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31400JEL9 FNMA POOL #0689859 102.3711 84,158.250 85,236.53 86,153.72 0.02% 917.19 5.000% 05/01/2018 DD 05/01/03 SEC ID: 31400KMG8 FNMA POOL #0693834 102.4023 586,958.610 604,567.36 601,059.35 0.14% -3,508.01 5.000% 03/01/2018 DD 03/01/03 SEC ID: 31400PY74 FNMA POOL #0695852 102.4023 207,045.390 213,256.75 212,019.32 0.05% -1,237.43 5.000% 05/01/2018 DD 05/01/03 SEC ID: 31400SBV0 FNMA POOL #0695889 102.3711 686,691.230 707,291.98 702,973.30 0.16% -4,318.68 5.000% 05/01/2018 DD 05/01/03 SEC ID: 31400SC23 FNMA POOL #0697026 102.4023 21,608.430 22,256.70 22,127.54 0.01% -129.16 5.000% 05/01/2018 DD 04/01/03 SEC ID: 31400TLF2 11/8/2004 2:10:llPM PST 5 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCS~CONSOUDATED-OCSGOO0I00OO 10/31/2004 Status: FINAL Net Unrealized Market Value %of -l, Price ~• 'l -:..c::;:; f •. •t. -, ·: l" t,;:n .·. Cost l ., Gain/Loss .~ Deacripti9n u .,,. ~I ~1 .. Base :"' :1:11 • Shares Par 11:. Base Total :-.... ·~ Base -'i.!.I ····,Bae .. '.!· FNMA POOL #0702210 102.1677 208,822.660 215,087.33 213,349.36 0.05% -1,737.97 5.000% 05/01/2018 DD 05/01/03 SEC ID: 31401ADP9 FNMA POOL #0702328 102.4023 127,983.770 129,623.56 131,058.38 0.03% 1,434.82 5.000% 05/01/2018 DD 04/01/03 SEC ID: 31401AHD2 FNMA POOL #0709148 102.3711 262,789.830 270,673.53 269,020.81 0 .06% -1,652.72 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401HZM7 FNMA POOL #0709360 102.3711 603,892.760 611,630.15 618,211.60 0.14% 6,581.45 5.000% 07/01/2018 DD 06/01/03 SEC ID: 31401JB56 FNMA POOL #0709826 102.3711 102,163.100 103,472.06 104,585.48 0.02% 1,113.42 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401JSP4 FNMA POOL #070991 7 102.3711 215,631.940 218,394.72 220,744.77 0.05% 2,350.05 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401JVJ4 FNMA POOL #0709963 102.1677 18,126.340 18,358.59 18,519.27 0.00% 160.68 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401JWY0 FNMA POOL #0710235 102.3711 578,352.940 595,703.54 592,066.21 0.14% -3,637.33 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401KBC8 FNMA POOL #0713344 102.3711 15,822.290 16,296.95 16,197.45 0.00% -99.50 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401NP52 FNMA POOL #0713365 102.3711 251,455.780 254,677.55 257,418.02 0.06% 2,740.47 5.000% 07/01/2018 DD 07 /01/03 SEC ID: 31401NQS1 FNMA POOL #0720319 102.3711 706,096.920 715,143.78 722,839.11 0.17% 7,695.33 5.000% 07/01/2018 DD 07 /01/03 SEC ID: 31401WG45 FNMA POOL #0720369 102.1677 2,009,634.030 2,069,923.05 2,053,197.37 0.47% -16,725.68 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401WJN0 FNMA POOL #0721629 102.3711 283,631.390 292,140.35 290,356.55 0.07% -1,783.80 5.000% 07/01/2018 DD 06/01/03 SEC ID: 31401XVW4 FNMA POOL #0723487 102.3711 232,288.660 234,901.91 237,796.43 0.05% 2,894.52 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31402AXQ4 11/8/2004 2:10:llPM PST 6 Workbench @ Asset Detail Report ID: GL8013" Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDATED -OCSGOO0 10000 10/31/2004 Status: FINAL Net Unrealized Price 1r ~r ' ., :'-:i1 -1 "l'~ 1 • .. ~ · Cost :--~ Market Value %of Gain/Loss Description C ~ .. -~ ' Shares Par ,~ · I,, •· .,_rfi.!.';,-1J :.!t•t m; · s· -'I'. ~-.. Total Base ,I ..... '~..;,•':.,_-,;-1.._•. Base -· --.-.· ..• ,.,1 •"· as.e-Base FNMA POOL #0729601 102.3711 384,203.960 389,126.57 393,313.78 0.09% 4,187.21 5.000% 07/01/2018 DD 07 /01/03 SEC ID: 31402HRW3 FNMA POOL #0732873 102.3711 33,209.640 33,635.12 33,997.07 0.01% 361.95 5.000% 11/01/2018 DD 10/01/03 SEC ID: 31402MFN5 FNMA POOL #0737130 102.3711 603,842.230 611,578.96 618,159.87 0.14% 6,580.91 5.000% 10/01/2018 DD 10/01/03 SEC ID: 31402S4P9 FNMA POOL #0738211 102.1677 515,276.730 521,878.73 526,446.51 0.12% 4,567.78 5.000% 10/01/2018 DD 10/01/03 SEC ID: 31402UDQ2 FNMA POOL #0738487 102.3086 183,857.540 186,213.21 188,102.06 0.04% 1,888.85 5.000% 10/01/2018 DD 10/01/03 SEC ID: 31402UNC2 FNMA POOL #0740471 102.1677 670,846.160 679,441.36 685,388.26 0.16% 5,946.90 5.000% 10/01/2018 DD 10/01/03 SEC ID: 31402WT40 FNMA POOL #0740748 102.3711 742,040.260 751,547.64 759,634.70 0.17% 8,087.06 5.000% 10/01/2018 DD 11/01/03 SEC ID: 31402WSH7 FNMA POOL #0743868 102.1677 36,658.670 37,128.35 37,453.33 0.01% 324.98 5.000% 11/01/2018 DD 10/01/03 SEC ID: 31403BMR1 FNMA POOL #0744008 102.3711 971,313.420 983,758.37 994,344.14 0.23% 10,585.77 5.000% 07/01/2018 DD 09/01/03 SEC ID: 31403BR54 FNMA POOL #0744316 102.1677 150,132.100 152,055.67 153,386.55 0.04% 1,330.88 5.000% 09/01/2018 DD 09/01/03 SEC ID: 31403B324 FNMA POOL #0747914 102.3086 338,292.420 342,626.79 346,102.20 0.08% 3,475.41 5.000% 11/01/2018 DD 11/01/03 SEC ID: 31403F3X0 FNMA POOL #0748400 102.1677 199,856.290 202,416.95 204,188.62 0.05% 1,771.67 5.000% 08/01/2018 DD 09/01/03 SEC ID: 31403GNR9 FNMA POOL #0748899 102.1948 914,728.180 926,448.13 934,804.58 0.21% 8,356.45 5.000% 12/01/2018 DD 11/01/03 SEC ID: 31403G7L0 FNMA POOL #0750377 102.1948 2,072,795.570 2,099,353.26 2,118,289.16 0.48% 18,935.90 5.000% 11/01/2018 DD 11/01/03 SEC ID: 31403JUA2 11/8/2004 2:10:llPM PST 7 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDATED -OCSGOO0 10000 10/31/2004 Status: FINAL Net Uilrealized Price .:-J· ,.. .......... '!.,--· . Cost ·p~ Market Value -. %of Gain/Loss I w~• ~ ' ;:,• Shares Par ;.··:_ ·-· '·;1 • • Description -,,,:-_ . Base ') ~ Base Base Total ~tr~~-~I~~ ,Base ,_ .. r •" .--• •1---.:~-. FNMA POOL #0750380 102.1948 1,875,560.760 1,899,591.40 1,916,725.46 0.44% 17,134.06 5.000% 11/01/2018 DD 11/01/03 SEC ID: 31403JUD6 FNMA POOL #0750445 102.1948 167,449.830 169,595.29 171,125.01 0.04% 1,529.72 5.000% 11/01/2018 DD 11/01/03 SEC ID: 31403JWE2 FNMA POOL #0751960 102.1677 789,422.210 799,536.69 806,534.71 0.18% 6,998.02 5.000% 12/01/2018 DD 11/01/03 SEC ID: 31403LMH1 FNMA POOL #0753425 102.2148 835,894.050 845,559.06 854,407.77 0.20% 8,848.71 5.000% 11/01/2018 DD 11/01/03 SEC ID: 31403NA23 FNMA POOL #0755165 102.3086 586,885.030 594,404.50 600,433.80 0.14% 6,029.30 5.000% 12/01/2018 DD 11/01/03 SEC ID: 31403Q6A3 FNMA POOL #0756372 102.3086 906,020.280 916,496.13 926,936.57 0 .21% 10,440.44 5.000% 11/01/2018 DD 11/01/03 SEC ID: 31403SJR8 FORD MOTOR CR CO NT 102.0930 1,000,000.000 965,170.00 1,020,930.00 0.23% 55,760.00 6.750% 05/15/2005 DD 05/24/93 SEC ID: 345397GV9 GNMA POOL #0421389 106.3945 10,531.100 11,052.73 11,204.51 0.00% 151.78 6.500% 04/15/2026 DD 04/01/96 SEC ID: 36206UC23 GNMA POOL #0449851 105.8087 19,900.030 20,885.71 21,055.97 0.00% 170.26 6.500% 01/15/2028 DD 01/01/98 SEC ID: 36208FWL0 GNMA POOL #0466845 106.3008 36,621.990 38,435.92 38,929.46 0.01% 493.54 6.500% 06/15/2028 DD 06/01/98 SEC ID : 36209BTA6 GNMA POOL #0468052 106.3008 111,306.730 116,819.89 118,319.92 0.03% 1,500.03 6.500% 07/15/2028 DD 07 /01/98 SEC ID: 36209C5M4 GNMA POOL #0476041 106.3008 146,405.500 153,428.40 155,630.19 0.04% 2,201.79 6.500% 06/15/2028 DD 06/01/98 SEC ID: 36209MZE7 GNMA POOL #0478626 106.3008 120,991.970 126,795.81 128,615.41 0.03% 1,819.60 6.500% 01/15/2029 DD 01/01/99 SEC ID: 36209QVT9 GNMA POOL #0480598 106.3008 28,852.410 30,236.41 30,670.34 0.01% 433.93 6.500% 10/15/2028 DD 10/01/98 SEC ID: 36209S3F6 11/8/2004 2:10:llPM PST 8 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCS~CONSOUDATED -OCSGOO0 10000 10/31/2004 Status: FINAL Net Unrealized Price .. 'I', 1i.J _! t-:·1f Cost Market Value ·.,::; %of w Gain/Loss Description , I ' Shares Par [ . Total ... v Base .:._ Base !....,:w-Base .. Base ~ . - GNMA POOL #0512235 106.2383 8,416.990 8,833.89 8,942.07 0.00% 108.18 6.500% 11/15/2029 DD 11/01/99 SEC ID: 36211 GBC6 GNMA POOL #0514326 106.3008 106,515.140 111,624.53 113,226.42 0.03% 1,601.89 6.500% 07/15/2029 DD 07 /01/99 SEC ID: 362 l 1JLF2 GNMA II POOL #0080023 102.0267 169,687.620 172,498.06 173,126.71 0.04% 628.65 VAR RT 12/20/2026 DD 12/01/96 SEC ID: 36225CAZ9 GNMA II POOL #080088M 101.3616 227,031.750 231,998.08 230,123.01 0.05% -1,875.07 7.375% 06/20/2027 DD 06/01/97 SEC ID: 36225CC20 GNMA II POOL #0080395 101.3797 189,490.940 187,773.68 192,105.35 0.04% 4,331.67 VAR RT 04/20/2030 DD 04/01/00 SEC ID: 36225CNM4 GNMA II POOL #080408X 101.3271 1,732,824.360 1,715,225.35 1,755,820.67 0.40% 40,595.32 6.500% 05/20/2030 DD 05/01/00 SEC ID: 36225CN28 GNMA II POOL #0080900 99.9863 376,688.630 366,506.25 376,636.84 0.09% 10,130.59 VAR RT 05/20/2034 DD 05/01/04 SEC ID: 36225DAA2 GNMA II POOL #0080965 100.9243 1,385,231.010 1,384,365.23 1,398,034.70 0.32% 13,669.47 VAR RT 07/20/2034 DD 07 /01/04 SEC ID: 36225DCB8 GENERAL ELEC CAP MTN #TR 00526 100.0460 2,500,000.000 2,502,460.00 2,501,150.00 0.57% -1,310.00 VAR RT 03/15/2005 DD 03/20/02 SEC ID: 36962GXX7 GENERAL MTRS ACCEP CORP SR NT 104.3120 3,000,000.000 3,064,350.00 3,129,360.00 0.71% 65,010.00 6.125% 08/28/2007 DD 08/29/02 SEC ID: 370425SD3 GOLDMAN SACHS GRP MTN 100.1870 3,500,000.000 3,507,850.50 3,506,545.00 0.80% -1,305.50 #TR00194 VAR RT 10/27/2006 DD 10/29/03 SEC ID: 38141EJB6 GOLDMAN SACHS GRP MTN 100.1560 800,000.000 800,000.00 801,248.00 0.18% 1,248.00 #TR00207 VAR RT 07/23/2009 DD 07 /23/04 SEC ID: 38141EJQ3 GOLDMAN SACHS GROUP INC SR NT 102.2960 3,000,000.000 3,030,030.00 3,068,880.00 0.70% 38,850.00 4.125% 01/15/2008 DD 01/13/03 SEC ID: 38141GCS1 11/8/2004 2:10:llPM PST 9 Workbench @ Asset Detail Report ID: GL8013 Mello.n Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDATED-OCSGOO0l00OO 10/31/2004 Status: FINAL Net Unrealized Price i l;, °'i: -'"I • ..;·~.,..~ .. ~1 L !l . -~ .{:' Cost -:,,. Market Value ~~ %of Gain/Loss Descrlp1:ion .~ · · Base >l"'i·c• -Shares Par " 'i!L_ · .'.'.: Base ·11: 1Base ,., Total • ::... 't -~·· Base ·-:-1 -- GNMA GTD REMIC TR 2000-9 FH 100.6620 528,130.190 528,130.19 531,626.41 0.12% 3,496.22 VAR RT 02/16/2030 SEC ID: 3837H4NX9 KRAFT FOODS INC NT 99.9840 3,000,000.000 2,999,910.00 2,999,520.00 0.69% -390.00 VAR RT 11/26/2004 DD 11/26/02 SEC ID: 50075NAJ3 MORGAN STANLEY NT 100.5150 3,200,000.000 3,149,248.00 3,216,480.00 0.73% 67,232.00 3.875% 01/15/2009 DD 01/13/04 SEC ID: 61746BALO RESIDENTIAL ASSET 03-RSl 1 AIIB 99.8125 744,359.220 744,359.22 742,963.55 0.17% -1,395.67 VAR RT 12/25/2033 DD 12/30/03 SEC ID: 760985K83 SBA GTD DEV PARTN 2001-20C 1 108.6850 2,985,923.500 2,985,923.50 3,245,250.96 0.74% 259,327.46 6.340% 03/01/2021 SEC ID: 83162CW0 SBA GTD PARTN CTFS SBIC-PS 01 108.8600 1,920,261.520 1,920,261.52 2,090,396.69 0.48% 170,135.17 6.640% 02/10/2011 DD 02/21/01 SEC ID: 831641DD4 UNITED AIRLS PASSTHRU 01-1 C 7.9940 1,600,000.000 1,600,000.00 127,904.00 0.03% -1,472,096.00 6.831% 03/01/2010 DD 08/22/01 SEC ID: 9093 l 7BC2 U S TREASURY NOTES 108.0000 20,000,000.000 22,620,312.50 21,600,000.00 4.93% -1,020,312.50 06.250% 02/15/2007 DD 02/ 15/97 SEC ID: 9128272J0 US TREASURY INFLATION INDEX NT 107.1875 16,768,640.000 14,850,698.33 17,973,886.00 4.11% 3,123,187.67 3.375% 01/15/2007 DD 01/ 15/97 SEC ID: 9128272M3 US TREASURY INFLATION INDEX NT 110.3440 3,523,890.000 3,833,391.35 3,888,401.18 0.89% 55,009.83 3.625% 01/15/2008 DD 01/15/98 SEC ID: 9128273T7 US TREASURY INFLATION INDEX NT 113.5000 15,042,560.000 16,667,920.11 17,073,305.60 3.90% 405,385.49 3.875% 01/15/2009 DD 01/15/99 SEC ID: 9128274Y5 U S TREASURY NOTES 103.5940 3,900,000.000 4,288,149.14 4,040,166.00 0.92% -247,983.14 05.750% 11/15/2005 DD 11/15/00 SEC ID: 9128276N7 U S TREASURY NOTES 101.0300 17,600,000.000 17,405,000.00 17,781,280.00 4.06% 376,280.00 3.375% 12/15/2008 DD 12/ 15/03 SEC ID: 912828BT6 U S TREASURY NOTES 100.5200 27,500,000.000 27,463,468.63 27,643,000.00 6.32% 179,531.37 2.750% 06/30/2006 DD 06/30/04 SEC ID: 912828CM0 11/8/2004 2:10:llPM PST 10 Workbench @ Mellon 0CSOC0NS0UDATED -OCSGOOO 10000 Description U S TREASURY NOTES 2.750% 07/31/2006 DD 07 /31/04 SEC ID: 912828CQ1 US TREASURY NOTES 2.375% 08/31/2006 DD 08/31/04 SEC ID: 912828CU2 VIRGINIA ELEC & PWR 0 1 SER A 5.750% 03/31/2006 DD 03/27 /01 SEC ID: 927804EN0 TOTAL FIXED INCOME SECURITIES TOTAL ASSETS U.S. DOLLAR Price Base 100.5000 99.7900 103.9840 TOTAL ASSETS -BASE: 11/8/2004 2:10:llPM PST Asset Detail by Currency 10/31/2004 €oat Shares Par -,,,, Bue 49,000,000.000 49,103,927.41 55,300,000.000 55,048,031.25 1,750,000.000 1,743,840.00 337,619,532.510 342,396,401.36 454,010,742.690 434,947,305.38 454,010,742.690 434,947,305.38 11 Report ID: GLS01a· Base Currency: USD Alternate Base Currency: Market. Valu_~ Base ' -:,: . 49,245,000.00 55,183,870.00 1,819,720.00 345,149,857.79 437,700,761.81 437,700,761.81 Exchange Rate: Status: FINAL .. %1.of Total 11.25% 12.61% 0.42% 78.86% 100.00% 100.00% Net·Unrealized Gain/Loss Base 141,072.59 135,838.75 75,880.00 2,753,456.43 2,753,456.43 2,753,456.43 Workbench @ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD 0CSOC0NS0LIDATED -OCSGOOOlOOOO 10/1/2004-10/29/2004 Status: FINAL ... !• ,. !--F :.. : -,'~! ~;,; . Trade Date ~ . · ~. 1:_ ::; ,. e . , .. :.Ji'··'. · 1 "", , ., "• •; -, ... " ••-f'c • rl •·.t ii.. -... -;, ,,, Settle Date , th 1 " Price '· I-,; ~ I ""' • . ,; ;:i,.ll ._ -r' Cost " ... , . .,, Amount · Net Gain/Loss Tran • I~ ;;,;,t - Type Description ·.:,: __ -· ,_: JJI,_.,,.,,.;, •.. "•" -Reported Date ' ... j. "--Base· Shares/Par ".,t: .. Base ,·,, -Base ~ Base j' ..... .,.,.~ " PURCHASES CASH & CASH EQUIVALENTS U.S. DOLLAR B FEDERAL HOME LN BK CONS DISC N MAT 10/22/2004 99.4982 3,200,000.000 3,183,943.56 -3, 183,943.56 0.00 01/21/2005 10/22/2004 SEC ID: 313385AW6 BROKER: CHASE SECURITIES, NEW YORK 10/22/2004 OCSF07522202: WNG TERM OPER-PIMCO B FEDERAL HOME LN BK CONS DISC N MAT 10/26/2004 99.5215 1,000,000.000 995,215.00 -995,215.00 0.00 01/21/2005 10/26/2004 SEC ID: 313385AW6 10/26/2004 BROKER: MERRILL LYNCH PIERCE FENNER SMITH INC NY OCSF07511102: LIQUID OPER-PIMCO B FEDERAL HOME LN MTG CORP DISC MAT 10/8/2004 99.5258 7,600,000.000 7,563,959.11 -7,563,959.11 0.00 01/04/2005 10/8/2004 SEC ID: 313397AD3 10/8/2004 BROKER: CHASE SECURITIES, NEW YORK OCSF07522202 : LONG TERM OPER-PIMCO B FEDERAL NATL MTG ASSN DISCOUNT MAT 10/7/2004 99.5050 9,900,000.000 9,850,995.00 -9,850,995.00 0.00 01/05/2005 10/7/2004 SEC ID: 313589AE3 10/7/2004 BROKER: GOLDMAN SACHS & CO, NY OCSF07522202: WNG TERM OPER-PIMCO B FEDERAL NATL MTG ASSN DISC NT MAT 10/27/2004 99.4944 700,000.000 696,461.11 -696, 461. 11 0.00 01/26/2005 10/27/2004 SEC ID: 313589BB8 10/27/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07522202: LONG TERM OPER-PIMCO B GENERAL ELEC CAP DISC 02/04/2005 10/7/2004 99.3200 9,900,000.000 9,832,680.00 -9,832,680.00 0.00 SEC ID: 36959HP43 10/7/2004 BROKER: CITIBANK CP IPA, NEW YORK 10/7/2004 OCSF07522202: LONG TERM OPER-PIMCO 11/8/2004 2:12:30PM PST Workbench 1 fii'A. Transaction Detail Report ID: EWB009 "!!/ M,ellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED[J]][][2••••••••••• 10/1/2004 -10/29/2004 Status: FINAL Trade Date Tr , -~ .. , .~ ··, •· •· Sett! D ·t· · -Price ·· "'--=-~• :r--: ~ .·;,; • -· Cost , : ~ . : _ Aiaoun:t'· Net Gain/Loss an -.. ~ i:a , • 1 e a e "1 , ~ • ., , .. 1• ,, _ _ . . . ... _t~~~~ ' , . r'. ~ JJ:i ... ~..it'.,, ... :--,, Type Description .~.t ~~' • Reported Date . 2• Base Shares/Par , ·,, ·~-,,· d'1'. Base ·-~;,~ ·1 . "' •••• Base-. .. .,.f'. ·Base- s WELLS FARGO BKNAINSTLC/D 1.900% 10/12/2004 100.0000 1,100,000.000 1,100,000.00 -1,100,000.00 0.00 12/15/2004 DD 10/14/04 10/14/2004 SEC ID: 9497P1JEO BROKER: BANC OF AMERICA SEC LLC, SAN l0/l2/2004 FRANCISCO OCSF07511102: LIQUID OPER-PIMCO B WELLS FARGO BANK NA INSTL C/D 1.860% 10/6/2004 100.0000 300,000.000 300,000.00 -300,000.00 0.00 12/06/2004 DD 10/08/04 10/8/2004 SEC ID: 9497PlLQO BROKER: BANC OF AMERICA SEC LLC, SAN l0/6/2004 FRANCISCO OCSF07511102: LIQUID OPER-PIMCO B LEHMAN CAT2 REPO 01.710% 10/05/2004 DD 10/4/2004 100.0000 2,100,000.000 2,100,000.00 -2,100,000.00 0.00 10/04/04 10/4/2004 SEC ID: 99426D349 BROKER: LEHMAN GOVT SECS INC, NY l0/4 /2004 OCSF07511102: LIQUID OPER-PIMCO B LEHMAN BROTHERS REPO 01.700% 10/5/2004 100.0000 2,100,000.000 2,100,000.00 -2,100,000.00 0.00 10/06/2004 DD 10/05/04 10/5/2004 SEC ID: 99426E438 BROKER: LEHMAN GOVT SECS INC, NY l0/5/2004 OCSF07511102: LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO O 1.710% 10/07/2004 DD 10/6/2004 100.0000 2,100,000.000 2,100,000.00 -2, 100,000.00 0.00 10/06/04 10/6/2004 SEC ID: 99426F963 BROKER: LEHMAN GOVT SECS INC, NY 10/6/2004 OCSF07511102: LIQUID OPER-PIMCO B CREDIT SU1SSE FB REPO O 1.700% 10/07/2004 10/6/2004 100.0000 18,200,000.000 18,200,000.00 -18,200,000.00 0.00 DD 10/06/04 10/6/2004 SEC ID: 99426F971 BROKER: CREDIT SUISSE FIRST BOSTON l0/6/2004 CORP, NY OCSF07522202: LONG TERM OPER-PIMCO B CREDIT SUlSSE FB REPO O 1.700% 10/08/2004 10/7/2004 100.0000 2,800,000.000 2,800,000.00 -2,800,000.00 0.00 DDl0/07/04 10/7/2004 SEC ID: 99426H258 BROKER: CREDIT-SUISSE FIRSTBOS'l'ON 10/7 /2004 CORP, NY OCSF07522202: LONG TERM OPER-PIMCO 11/8/2004 2:12:30PM PST Workbench 2 @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLI DATE DJ[][][2 0 OD ODD DD••• 10/1/2004-10/29/2004 Status: FINAL Trade-Date ;: -Price ~ Yo ~ "'fl " ••., • i{~ -;.~ Cost il ' -=i,t-Amount J et ,G.a1q/Los15 Tran ~ -•-L~ ~~ ~~-::t t Settle Date , ·.,;.... •< ,. .-(~ ~ fl1' . '~ ·c ' <, :.11' _1 ' . ·-Type Description --ll~ ' .,_ Reported Date Base Sharea/:Par ,;~---~· -1r,(:.._f Base d' ~ c-:.i ~-._ Base Base > ~:, ..:· ,IJ:·1to"•L" ,'. ~· , ';JI .,,i, . "L'""'l'.I. • B LEHMAN CAT 2 REPO 01.730% 10/08/2004 DD 10/7/2004 100.0000 3,300,000.000 3,300,000.00 -3,300,000.00 0.00 10/07/04 10/7/2004 SEC ID: 99426H282 10/7/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102 : LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO O 1.680% 10/12/2004 DD 10/8/2004 100.0000 3,000,000.000 3,000,000.00 -3,000,000.00 0.00 10/08/04 10/8/2004 SEC ID: 99426J684 10/8/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO B CREDIT SUISSE FB REPO 01.700% 10/13/2004 10/12/2004 100.0000 3,000,000.000 3,000,000.00 -3,000,000.00 0.00 DD 10/12/04 10/12/2004 SEC ID: 994261143 10/12/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP,NY OCSF07511102 : LIQUID OPER-PIMCO B LEHMAN CAT2 REPO 01.720% 10/14/2004 DD 10/13/2004 100.0000 1,900,000.000 1,900,000.00 -1,900,000.00 0.00 10/ 13/04 10/13/2004 SEC ID: 99426M489 10/13/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102 : LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 01.730% 10/15/2004 DD 10/14/2004 100.0000 1,900,000.000 1,900,000.00 -1,900,000.00 0.00 10/ 14/04 10/14/2004 SEC ID: 99426N784 10/14/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO B LEHMAN CAT2 REPO 01.770% 10/18/2004 DD 10/15/2004 100.0000 3,400,000.000 3,400,000.00 -3,400,000.00 0.00 10/ 15/04 10/15/2004 SEC ID: 99426Q316 10/15/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102 : LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 01.720% 10/19/2004 DD 10/18/2004 100.0000 3,400,000.000 3 ,400,000.00 -3,400,000.00 0.00 10/18/04 10/18/2004 SEC ID: 99426R595 10/18/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102 : LIQUID OPER-PIMCO 11/8/2004 2: 12:30PM PST Workbench 3 @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATE DO!lfil2 0 OD ••ODD O•• 10/1/2004-10/29/2004 Status: FINAL Trade ,,Date Price .,,•~-q.11 r~~~.""' ::i·-' u Cost ~ , '· ,,. ' Am.omit ··" , Net Gain/Loss Tran -j i....; •. ~r-.'•LJ Settle Date -T r .... c . Jl" Type Description -~•--= ~port~d"· Date '' •· N . ., ... Base Shares/Par ~Base ' Ba~ · ... Base ,.., --···-· ,. B LEHMAN CAT 2 REPO 01.710% 10/20/2004 DD 10/19/2004 100.0000 3,500,000.000 3,500,000.00 -3,500,000.00 0.00 10/ 19/04 10/19/2004 SEC ID: 99426T096 BROKER: LEHMAN GOVT SECS INC, NY 10/19/2004 OCSF07511102: LIQUID OPER-PIMCO B LEHMAN CAT 2REPO 01.680% 10/21/2004 DD 10/20/2004 100.0000 3,500,000.000 3,500,000.00 -3,500,000.00 0.00 10/20/04 10/20/2004 SEC ID: 99426U523 10/20/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO B LEHMAN CAT'2 REPO 01.710% 10/22/2004 DD 10/21/2004 100.0000 3,500,000.000 3,500,000.00 -3,500,000.00 0.00 10/21/04 10/21/2004 SEC ID: 99426V885 10/21/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO B LEHMAN BROTHERS REPO O 1.700% 10/22/2004 100.0000 3,500,000.000 3,500,000.00 -3,500,000.00 0.00 10/25/2004 DD 10/22/04 10/22/2004 SEC ID: 99426X287 10/22/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO B CREDIT SUISSE FB REPO 01.700% 10/26/2004 10/25/2004 100.0000 3,500,000.000 3,500,000.00 -3,500,000.00 0.00 DD 10/25/04 10/25/2004 SEC ID: 99426Y814 10/25/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP,NY OCSF07511102: LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 01.680% 10/27/2004 DD 10/26/2004 100.0000 2,500,000.000 2,500,000.00 -2,500,000.00 0.00 10/26/04 10/26/2004 SEC ID: 99427 Al 12 10/26/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 01.710% 10/28/2004 DD 10/27/2004 100.0000 2,500,000.000 2,500,000.00 -2,500,000.00 0.00 10/ 27 /04 10/27/2004 SEC ID: 994278888 10/27/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO 11/8/2004 2: 12:30PM PST Workbench 4 @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATEDDilDI2• •• •••••••• 10/1/2004-10/29/2004 Status: FINAL Trade Date -, .. :1r-I?:.,, Price fi:_,1,:. ~ ~ -.r L .-. ,.L ·~ ~l. ~::7""~1\~ ~"'.,,.~, Cost Amount Net Gain/Loss Tran -1· ;:i -:;_ •• ,-., ;1 , • , · ·" • Settle Date 'h. '1 -~_,.l "!"" l "•-'} _.,JI-I fl Type Description·· "',~.:.:: '~ f..{_ .:_,:•·--S Reported Date ' Shares/Par . . t Base ., .. ..,,_ Base Base .-. Base --- B LEHMAN CAT 2 REPO 01.740% 10/29/2004 DD 10/28/2004 100.0000 2,500,000.000 2,500,000.00 -2,500,000.00 0.00 10/28/04 10/28/2004 SEC ID: 994270009 10/28/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO B DREYFUS TREASURY CASH MGMT 10/1/2004 1.0000 19,997.580 19,997.58 -19,997.58 0.00 SEC ID: 996085247 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO 10/1/2004 B DREYFUS TREASURY CASH MGMT 10/4/2004 1.0000 103,422.220 103,422.22 -103,422.22 0.00 SEC ID: 996085247 10/4/2004 OCSF07511102: LIQUID OPER-PIMCO 10/4/2004 B DREYFUS TREASURY CASH MGMT 10/5/2004 1.0000 1,252.030 1,252.03 -1,252.03 0.00 SEC ID: 996085247 10/5/2004 OCSF07522202: LONG TERM OPER-PIMCO 10/5/2004 B DREYFUS TREASURY CASH MGMT 10/5/2004 1.0000 3,002.280 3,002.28 -3,002.28 0.00 SEC ID: 996085247 10/5/2004 OCSF07511102: LIQUID OPER-PIMCO 10/5/2004 B DREYFUS TREASURY CASH MGMT 10/6/2004 1.0000 99.170 99.17 -99.17 0.00 SEC ID: 996085247 10/6/2004 OCSF07511102: LIQUID OPER-PIMCO 10/6/2004 B DREYFUS TREASURY CASH MGMT 10/7/2004 1.0000 89,138.860 89,138.86 -89,138.86 0.00 SEC ID: 996085247 10/7/2004 OCSF07522202: LONG TERM OPER-PIMCO 10/7/2004 B DREYFUS TREASURY CASH MGMT 10/8/2004 1.0000 3,000,158.580 3,000,158.58 -3,000,158.58 0.00 SEC ID: 996085247 10/8/2004 OCSF07511102: LIQUID OPER-PIMCO 10/8/2004 B DREYFUS TREASURY CASH MGMT 10/13/2004 1.0000 1,100,141.670 1,100,141.67 -1,100,141.67 0.00 SEC ID: 996085247 10/13/2004 OCSF07511102: LIQUID OPER-PIMCO 10/13/2004 11/8/2004 2:12:30PM PST Workbench 5 @ Transaction Detail ReportlD: EWB009 Mellon Reported by Transaction Category Base Currency: USO OCSD-CONSOLIDATE D[J[][][2 •OD •••••••• 10/1/2004-10/29/2004 Status: FINAL Trade Date • Price -. ' . . -~l' -· Cost } ,;1····:: Amount Net Gain/Loss Tran #.f! •• Settle Date ·~;.~ -· ,Jfij:....-... •.••,j-'"1 . ••~a· .. , .. -? u J ' .. no! ' , .. Ii -·-i ..i. 1 ,-• a . Type ~eacnpt1on . ~ -~ Reported Date , Base Base B.a.se-Base ,..;-r.i ri.--;...._ ,~ Shai:e9/~ ~--~ ~·_, .. ~ , };t:_ IJ _ • ' -' ., " '" B DREYFUS TREASURY CASH MGMT 10/14/2004 1.0000 15,703.120 15,703.12 -15,703.12 0.00 SEC ID: 996085247 10/14/2004 OCSF07522202: LONG TERM OPER-PIMCO 10/14/2004 B DREYFUS TREASURY CASH MGMT 10/15/2004 1.0000 128,247.560 128,247.56 -128,247.56 0.00 SEC ID: 996085247 10/15/2004 OCSF07511102: LIQUID OPER-PIMCO 10/15/2004 B DREYFUS TREASURY CASH MGMT 10/18/2004 1.0000 14,537.990 14,537.99 -14,537.99 0.00 SEC ID: 996085247 10/18/2004 OCSF07522202: LONG TERM OPER-PIMCO 10/18/2004 B DREYFUS TREASURY CASH MGMT 10/18/2004 1.0000 501.500 501.50 -501.50 0.00 SEC ID: 996085247 10/18/2004 OCSF07511102: LIQUID OPER-PIMCO 10/18/2004 B DREYFUS TREASURY CASH MGMT 10/19/2004 1.0000 76,484.360 76,484.36 -76,484.36 0.00 SEC ID: 996085247 10/19/2004 OCSF07522202: LONG TERM OPER-PIMCO 10/19/2004 B DREYFUS TREASURY CASH MGMT 10/20/2004 1.0000 166.250 166.25 -166.25 0.00 SEC ID: 996085247 10/20/2004 OCSF07511102: LIQUID OPER-PIMCO 10/20/2004 B DREYFUS TREASURY CASH MGMT 10/20/2004 1.0000 94,672.060 94,672.06 -94,672.06 0.00 SEC ID: 996085247 10/20/2004 OCSF07522202: LONG TERM OPER-PIMCO 10/20/2004 B DREYFUS TREASURY CASH MGMT 10/21/2004 1.0000 163.330 163.33 -163.33 0.00 SEC ID: 996085247 10/21/2004 OCSF07511102: LIQUID OPER-PIMCO 10/21/2004 B DREYFUS TREASURY CASH MGMT 10/22/2004 1.0000 166.250 166.25 -166.25 0.00 SEC ID: 996085247 10/22/2004 OCSF07511102: LIQUID OPER-PIMCO 10/22/2004 B DREYFUS TREASURY CASH MGMT 10/25/2004 1.0000 495.830 495.83 -495.83 0.00 SEC ID: 996085247 10/25/2004 OCSF07511102 : LIQUID OPER-PIMCO 10/25/2004 11/8/2004 2:12:30PM PST Workbench 6 @ Transaction Detail ReportlD: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATEDDIJ[][2 D DD DDDDDDDD 10/1/2004-10/29/2004 Status: FINAL -Trade Date . ' Tran -.. :: .1i~: '. ) !1 . lj' I. <11 I Settle Date f;, Price .. _, --· _.-·ii,,·;• Cost ;, Amount :•Ne.t Gain/'Los's 1J ~-. '!',. ... r.' , . Type Description _u ...:r. :· \:, Reported Date Base Shares/Par •:,_~~ ~ . L" Base Base '4e/.1.._ •r I ,Base .. - B DREYFUS TREASURY CASH MGMT 10/25/2004 1.0000 713,111.330 713,111.33 -713,111.33 0.00 SEC ID: 996085247 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO 10/25/2004 B DREYFUS TREASURY CASH MGMT 10/26/2004 1.0000 4,950.280 4,950.28 -4,950.28 0.00 SEC ID: 996085247 10/26/2004 OCSF07511102: LIQUID OPER-PIMCO 10/26/2004 B DREYFUS TREASURY CASH MGMT 10/27/2004 1.0000 116.670 116.67 -116.67 0.00 SEC ID: 996085247 10/27/2004 OCSF07511102: LIQUID OPER-PIMCO 10/27/2004 B DREYFUS TREASURY CASH MGMT 10/28/2004 1.0000 6,692.080 6,692.08 -6,692.08 0.00 SEC ID: 996085247 10/28/2004 OCSF07522202: LONG TERM OPER-PIMCO 10/28/2004 B DREYFUS TREASURY CASH MGMT 10/28/2004 1.0000 118.750 118.75 -118.75 0.00 SEC ID: 996085247 10/28/2004 OCSF07511102: LIQUID OPER-PIMCO 10/28/2004 B DREYFUS TREASURY CASH MGMT 10/29/2004 1.0000 2,499,050.830 2,499,050.83 -2,499,050.83 0.00 SEC ID: 996085247 10/29/2004 OCSF07511102: LIQUID OPER-PIMCO 10/29/2004 TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: 113,772,390.580 113,595,644.36 -113,595,644.36 0.00 TOTAL CASH & CASH EQUIVALENTS BASE: 113,772,390.580 113,595,644.36 -113,595,644.36 0.00 FIXED INCOME SECURITIES U.S. DOLLAR B COMMIT TO PUR FNMA SF MTG 5.000% 10/15/2004 101.8438 22,000,000.000 22,405,625.00 -22,405,625.00 0.00 11/01/2019 DD 11/01 /04 11/18/2004 SEC ID: 01F0504B9 10/15/2004 BROKER: UBS SECURITIES LLC, NEW YORK OCSF07522202: LONG TERM OPER-PIMCO 11/8/2004 2:12:30PM PST Workbench 7 @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATE Dcmrn CJ CJD 00000000 10/1/2004-10/29/2004 Status: FINAL Tra)le -~t,e : ~. ~, 1Prio_e, -Cost ,. .;.Amount Net Gain/Loss Tran ... .J'." ~ n ,. . -Settle Date l! -, -JL~.._::.,~ " .,_ 7~'} I .... l.l •- 'I " •. 1: ... ~,,,.;<t: :;-~. -r;: Type Description .•t~pf, :t.: . ---~ ~--R~por:ted Date "·-·-· Base Shares/Par ·~-',::i;· ,/.,'li Base i;: ·: ., r. ~. ";; .'; "'·ease "' ;_ ii ~~ ~ ·Base B COMMIT TO PUR FNMA SF MTG 5.500% 10/12/2004 101.5000 3,000,000.000 3,045,000.00 -3,045,000.00 0.00 11/01/2034 DD 11/01 /04 11/15/2004 SEC ID: 01F0526B3 BROKER: GOLDMAN SACHS & CO, NY 10/12/2004 OCSF07522202: LONG TERM OPER-PIM:CO B COMMIT TO PUR FNMA SF MTG 5.500% 10/12/2004 101.4375 1,000,000.000 1,014,375.00 -1,014,375.00 0.00 11/01/2034 DD 11/01 /04 11/15/2004 SEC ID: 01F0526B3 10/12/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07522202: LONG TERM OPER-PIM:CO B CIT GROUP INC NEW SR NT VAR RT 10/12/2004 100.4670 1,500,000.000 1,507,005.00 -1,507,005.00 0.00 09/22/2006 DD 09/23 /03 10/15/2004 SEC ID: 12558 lAFS 10/12/2004 BROKER: BARCLAYS CAPITAL INC, NEW YORK OCSF07522202: LONG TERM OPER-PIM:CO IB CIT GROUP INC NEW SR NT VAR RT 10/12/2004 100.4670 0.000 0.00 -2,222.14 0.00 09/22/2006 DD 09/23 /03 10/15/2004 SEC ID: 12558 lAFS 10/12/2004 BROKER: BARCLAYS CAPITAL INC, NEW YORK OCSF07522202: LONG TERM OPER-PIM:CO B GOLDMAN SACHS GRP MTN #TR00194 VAR RT 10/12/2004 100.2243 3,500,000.000 3,507,850.50 -3,507,850.50 0.00 10/27/2006 DD 10/29/03 10/15/2004 SEC ID: 38141EJB6 10/12/2004 BROKER: BANC OF AMERICA SEC LLC, SAN FRANCISCO OCSF07522202: LONG TERM OPER-PIM:CO 1B GOLDMAN SACHS GRP MTN #TR00194 VAR RT 10/12/2004 100.2243 0.000 0.00 -14,233.33 0.00 10/27/2006 DD 10/29/03 10/15/2004 SEC ID: 38141EJB6 10/12/2004 BROKER: BANC OF AMERICA SEC LLC, SAN FRANCISCO OCSF07522202 : LONG TERM OPER-PIM:CO B US TREASURY NOTES 2.750% 07/31/2006 DD 10/6/2004 100.3370 28,300,000.000 28,395,371.00 -28,395,371.00 0.00 07/31/04 10/8/2004 SEC lD: 912828CQ1 10/6/2004 BROKER: BEAR STEARNS & CO INC, NY OCSF07522202: LONG TERM OPER-PlMCO 11/8/2004 2: 12:30PM PST Workbench 8 @ Mellon OCSD-CONSOLIDATE D[][][][2 •DD •••••••• Transaction Detail Reported by Transaction Category 10/1/2004-10/29/2004 Tran Type Description Trade Date Settle Date Reported Date IB US TREA'3URY NOTES 2.750%07/31/2006 DD 10/6/2004 07/31/04 10/8/2004 SEC ID: 912828CQ1 B IB B IB BROKER: BEAR STEARNS & CO INC, NY l0/6/2004 OCSF07522202: LONG TERM OPER-PIMCO US TREASURY NOTES 2.375%08/31/2006 DD 08/31/04 SEC ID: 912828CU2 BROKER: LEHMAN GOVT SECS INC, NY OCSF07522202: LONG TERM OPER-PIMCO US TREASURY NOTES 2.375%08/31/2006 DD 08/31/04 SEC ID: 912828CU2 BROKER: LEHMAN GOVT SECS INC, NY OCSF07522202: LONG TERM OPER-PIMCO US TREASURY NOTES 2.375%08/31/2006 DD 08/ 31/04 SEC ID: 912828CU2 BROKER: BEAR STEARNS & CO INC, NY OCSF07522202: LONG TERM OPER-PIMCO US TREASURY NOTES 2.375%08/31/2006 DD 08/ 31/04 SEC ID: 91282 8CU2 BROKER: BEAR STEARNS & CO INC, NY OCSF07522202: LONG TERM OPER-PIMCO 10/5/2004 10/6/2004 10/5/2004 10/5/2004 10/6/2004 10/5/2004 10/6/2004 10/7/2004 10/6/2004 10/6/2004 10/7/2004 10/6/2004 TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: TOTAL FIXED INCOME SECURITIES BASE: TOTAL PURCHASES BASE: PAY UPS FIXED INCOME SECURITIES U.S. DOLLAR 11/8/2004 2:12:30PM PST Price Base 100.3370 99.5391 99.5391 99.5625 0.000 42,800,000.000 0.000 12,500,000.000 99.5625 0.000 114,600,000.000 114,600,000.000 228,372,390.580 9 Cost i Base 0.00 42,602,718.75 0.00 12,445,312.50 0.00 114,923,257.75 114,923,257.75 228,518,902.11 ReportID: EWB009 Base Currency: USD Status: FINAL Net Gain/Loss Base -145,921.88 0.00 -42,602, 718. 75 0.00 -101,088.40 0.00 -12,445,312.50 0.00 -30,343.58 0.00 -115,217,067.08 0.00 -115,217,067.08 0.00 -228,812,711.44 0.00 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Cw-rency: USD OCSD-CONSOLI DATE DOIIIIl? 0 00 •••mom 10/1/2004-10/29/2004 Status: FINAL ,Trad~.Date •· . ~-.••· ·Price ~--· x ., .• :i;•_ i~f~=· Cost . -.. :· I Amount ~ Net Gain/Loss Tran ., ~ ~D Settle Date ,, 'fype Descrtpttpn "fl! Reported Date · Base Shares/Par ~rl a Base ·, .. ~' -r ·Base Ba:se PU US TREASURY INFLATION INDEX NT 3.375% 7/15/2004 100.0000 7,700.000 7,700.00 -7,700.00 0.00 01/15/2007 DD 01/15/97 7/15/2004 SEC ID: 9128272M3 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PU US TREASURY INFLATION INDEX NT 3.625% 7/15/2004 100.0000 1,620.000 1,620.00 -1,620.00 0.00 01/15/2008 DD 01/15/98 7/15/2004 SEC ID: 9128273T7 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PU US TREASURY INFLATION INDEX NT 3.875% 7/15/2004 100.0000 6,890.000 6,890.00 -6,890.00 0.00 01/15/2009 DD O 1/ 15 /99 7/15/2004 SEC ID: 9128274Y5 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: 16,210.000 16,210.00 -16,210.00 0.00 TOTAL FIXED INCOME SECURITIES BASE: 16,210.000 16,210.00 -16,210.00 0.00 TOTAL PAY UPS BASE: 16,210.000 16,210.00 -16,210.00 0.00 SALES CASH & CASH EQUIVALENTS U.S. DOLLAR s FEDERAL HOME LN BK CONS DISC 10/1/2004 99.6006 -700,000.000 -697 ,204.28 697,204.28 0.00 SEC ID: 313384P37 10/1/2004 BROKER: LEHMAN GOVT SECS INC, NY 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO IS FEDERAL HOME LN BK CONS DISC 10/1/2004 99.6006 0.000 0.00 1,407.39 0.00 SEC ID: 313384P37 10/1/2004 BROKER: LEHMAN GOVT SECS INC, NY 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO 11/8/2004 2:12:30PM PST Workbench 10 @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED'.llllllJ?OOO OOOOOOOO 10/1/2004-10/29/2004 Status: FINAL Trad~ Date ~'. rr, -~;; .. -' ---•·n:1 • '!°L i/ b, i,.' I 4'f, ~ .:.._,f ti :f•-· :'.!.J . Tran -;.r-1~:' ::J ~-;;,,;;::~ ,... Settle Date · i'.,1!.:i, Price • '·-" ~;·· "c ~;t; Cost ti!~ ~~ :~~ Amount"' Net Gain/Loss l.: J' ' '. '::!" j !, ~". \ t!f,r-: :/" I ~ .... ,l :)!•1:{ Type DeacrlP,~~D ti~~ .• J ' !I ,11 l .f: Reported Date c'' ~.: Base Shares/Par •'~ I 'j,. Base Base r : • '"9, ..o, l __ .'-:. •'h' c._',· ~·· r_ c, 11,a•e·· s FEDERAL HOME LN BK CONS DISC N MAT 10/1/2004 99.5576 -2,800,000.000 -2,787,613.89 2,787,613.89 0.00 12/08/2004 10/1/2004 SEC ID: 313384S59 BROKER: MERRILL LYNCH PIERCE FENNER 10/1/2004 SMITH INC NY OCSF07522202: LONG TERM OPER-PIMCO IS FEDERAL HOME LN BK CONS DISC N MAT 10/1/2004 99.5576 0.000 0.00 3,024.78 0.00 12/08/2004 10/1/2004 SEC ID: 313384S59 BROKER: MERRILL LYNCH PIERCE FENNER 10/1/2004 SMITH INC NY OCSF07522202: LONG TERM OPER-PIMCO s FEDERAL HOME LN BK CONS DISC N MAT 10/15/2004 99.5576 -800,000.000 -796,461.11 796,461.11 0.00 12/08/2004 10/15/2004 SEC ID: 313384S59 10/15/2004 BROKER: MERRILL LYNCH PIERCE FENNER SMITH INC NY OCSF07522202: LONG TERM OPER-PIMCO IS FEDERAL HOME LN BK CONS DISC N MAT 10/15/2004 99.5576 0.000 0.00 1,510.89 0.00 12/08/2004 10/15/2004 SEC ID: 313384S59 10/15/2004 BROKER: MERRILL LYNCH PIERCE FENNER SMITH INC NY OCSF07522202: LONG TERM OPER-PIMCO s FEDERAL HOME LN MTG CORP DISC MAT 10/1/2004 99.4461 -400,000.000 -397,784.56 397,784.56 0.00 11/24/2004 10/1/2004 SEC ID: 313396Q71 10/1/2004 BROKER: MORGAN STANLEY & CO INC, NY OCSF07522202: LONG TERM OPER-PIMCO IS FEDERAL HOME LN MTG CORP DISC MAT 10/1/2004 99.4461 0.000 0.00 1,219.44 0.00 11/24/2004 10/1/2004 SEC ID: 313396Q71 10/1/2004 BROKER: MORGAN STANLEY & CO INC, NY OCSF07522202: LONG TERM OPER-PIMCO s FEDERAL NATL MTG ASSN DISCOUNT MAT 10/1/2004 99.7663 -700,000.000 -698,364.14 698,364.14 0.00 11/15/2004 10/1/2004 SEC ID: 313588?66 10/1/2004 BROKER: CHASE SECURITIES, NEW YORK OCSF07522202: LONG TERM OPER-PIMCO 11/8/2004 2:12:30PM PST Workbench 11 @ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCS D-CONSOLIDATE DDl]J[2 D DD ••DD•••• 10/1/2004-10/29/2004 Status: FINAL Trade Date I ·' Price :_j.!I _.. ~~\'II.II Net Gain/Loss Tran ... ~· · __ q;;~· -:~\1 ;.:: ~~-!:_. -Settle Date • !11' ... :tr-r• "t ,.-iru•;~": Cost . ·_;:..., _; ..... Amount .., " -~ ~1,~ _Pf;._ -'Base Type Description Rep~rted Date Base SharesJPar ,,ll';,.,;fr. --=·" . .! Base Base i ,t:.,·,. -,1.;., IS FEDERAL NATL MTG ASSN DISCOUNT MAT 10/1/2004 99.7663 0.000 0.00 135.23 0.00 11/15/2004 10/1/2004 SEC ID: 313588P66 10/1/2004 BROKER: CHASE SECURITIES, NEW YORK OCSF07522202: LONG TERM OPER-PIMCO s FEDERAL NATL MTG ASSN DISCOUNT MAT 10/1/2004 99.6040 -5,400,000.000 -5,378,617 .50 5,378,617.50 0.00 11/17/2004 10/1/2004 SEC ID: 313588P82 10/1/2004 BROKER: CHASE SECURITIES, NEW YORK OCSF07522202: LONG TERM OPER-PIMCO IS FEDERAL NATL MTG ASSN DISCOUNT MAT 10/1/2004 99.6040 0.000 0.00 9,186.00 0.00 11/17/2004 10/1/2004 SEC ID: 313588P82 10/1/2004 BROKER: CHASE SECURITIES, NEW YORK OCSF07522202: LONG TERM OPER-PIMCO s FEDERAL NATL MTG ASSN DISCOUNT MAT 10/1/2004 99.5804 -800,000.000 -796,643.11 796,643.11 0.00 11/24/2004 10/1/2004 SEC ID: 313588Q73 10/1/2004 BROKER: CHASE SECURITIES, NEW YORK OCSF07522202: LONG TERM OPER-PIMCO IS FEDERAL NATL MTG ASSN DISCOUNT MAT 10/1/2004 99.5804 0.000 0.00 1,280.89 0.00 11/24/2004 10/1/2004 SEC JD: 313588Q73 10/1/2004 BROKER: CHASE SECURITIES, NEW YORK OCSF07522202: LONG TERM OPER-PIMCO s FEDERAL NATL MTG ASSN DISCOUNT MAT 10/1/2004 99.6650 -1,100,000.000 -1,096,315.00 1,096,315.00 0.00 11/29/2004 10/1/2004 SEC ID: 313588R49 10/1/2004 BROKER: CHASE SECURITIES, NEW YORK OCSF07522202: LONG TERM OPER-PIMCO IS FEDERAL NATL MTG ASSN DISCOUNT MAT 10/1/2004 99.6650 0.000 0.00 512.11 0.00 11/29/2004 10/1/2004 SEC ID: 313588R49 10/1/2004 BROKER: CHASE SECURITIES, NEW YORK OCSF07522202: LONG TERM OPER-PIMCO 11 /8/2004 2:12:30PM PST Workbench 12 @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATE Dom:J2 0 OD •••••••• 10/1/2004-10/29/2004 Status: FINAL Trade Date -~ -Price r-~ ~ T• Cost ., ... _ . ii . Amc:nmt · Net • Gain/Loss Tran .. 1 , .. ~ ; L. !} ~ Settle Date '"•l~,...._ •' -••~.-... J, 'T ~ £ .1~:i j1-"~I ~ . .,_... ,. ,.. . .. .... ,._ti••~ . .. •'Iii -~ Type Description ~-· ~i!~-l~~-~-~~-~ Reported Date Base Shares/Par;-_. -.Q Base ,Jiu~, ~•·.J -.,-Boe s FEDERAL NATL MTG ASSN DISCOUNT MAT 10/1/2004 99.5909 -4,000,000.000 -3,983,636.61 3,983,636.61 0.00 12/01/2004 10/1/2004 SEC ID: 313588R64 10/1/2004 BROKER: CHASE SECURITIES, NEW YORK OCSF07522202: LONG TERM OPER-PIMCO IS FEDERAL NATL MTG ASSN DISCOUNT MAT 10/1/2004 99.5909 0.000 0.00 4,298.95 0.00 12/01/2004 10/1/2004 SEC ID: 313588R64 10/1/2004 BROKER: CHASE SECURITIES, NEW YORK OCSF07522202: LONG TERM OPER-PIMCO s FEDERAL NATL MTG ASSN DISCOUNT MAT 10/15/2004 99.5551 -200,000.000 -199,110.22 199,110.22 0.00 12/08/2004 10/15/2004 SEC ID: 313588S55 10/15/2004 BROKER: MERRILL LYNCH PIERCE FENNER SMITH INC NY OCSF07522202: LONGTERM OPER-PIMCO IS FEDERAL NATL MTG ASSN DISCOUNT MAT 10/15/2004 99.5551 0.000 0.00 382.78 0.00 12/08/2004 10/15/2004 SEC ID: 313588S55 10/15/2004 BROKER: MERRILL LYNCH PIERCE FENNER SMITH INC NY OCSF07522202: LONG TERM OPER-PIMCO s FEDERAL NATL MTG ASSN DISC NTS MAT 10/15/2004 99.5676 -400,000.000 -398,270.44 398,270.44 0.00 12/15/2004 10/15/2004 SEC ID: 313588T47 10/15/2004 BROKER: CHASE SECURITIES, NEW YORK OCSF07522202: LONG TERM OPER-PIMCO IS FEDERAL NATL MTG ASSN DISC NTS MAT 10/15/2004 99.5676 0.000 0.00 509.56 0.00 12/15/2004 10/15/2004 SEC ID: 313588T47 10/15/2004 BROKER: CHASE SECURITIES, NEW YORK OCSF07522202: LONG TERM OPER-PIMCO s FEDERAL NATL MTG ASSN DISCOUNT MAT 10/15/2004 99.5324 -3,600,000.000 -3,583, 165.00 3,583,165.00 0.00 12/22/2004 10/15/2004 SEC ID: 313588037 10/15/2004 BROKER: CHASE SECURITIES, NEW YORK OCSF07522202: LONG TERM OPER-PIMCO 11/8/2004 2:12:30PM PST Workbench 13 @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCS D-CONS O LI DATE Dornrn ODO 00000000 10/1/2004-10/29/2004 Status: FINAL Tratf.e Date Pri 'i ~ . Cost ...~ .. -; ... , Amount '! Net Gain/Loss Tran -,_ ~ -":.-'· ··J ,-s:.::. ·' --Settle Date 1 ce .-:-Y.. ,.:· c.:~, ,:-'\ -~ ;. .. _ ~-~ 1 .P • :-r ~ : :. 1 ••, l . -~-. l~ -.j Type. Description _·_-;,_J-r.z-:i-.'~ ~~,. ~0 1 Reported Date ~ ~ -Jr, "' "'1 Base 'I.! ... li_aae Base Base Shares/Par --.:-" !;•·} ~ IS FEDERAL NATL MTG ASSN DISCOUNT MAT 10/15/2004 99.5324 0.000 0.00 4,459.00 0.00 12/22/2004 10/15/2004 SEC ID: 313588U37 BROKER: CHASE SECURITIES, NEW YORK 10/15/2004 OCSF07522202 : LONG TERM OPER-PIMCO s LEHMAN CA'I' 2 REPO 01.710% 10/05/2004 DD 10/5/2004 100.0000 -2,100,000.000 -2, 100,000.00 2,100,000.00 0.00 10/04/04 10/5/2004 SEC ID: 994260349 10/5/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102 : LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 01.710% 10/05/2004 DD 10/5/2004 100.0000 0.000 0.00 99.75 0.00 10/04/04 10/5/2004 SEC ID: 99426D349 10/5/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN BROTHERS REPO O 1.700% 10/6/2004 100.0000 -2,100,000.000 -2, 100,000.00 2,100,000.00 0.00 10/06/2004DD 10/05/04 10/6/2004 SEC ID: 99426E438 10/6/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN BROTHERS REPO O 1.700% 10/6/2004 100.0000 0.000 0.00 99.17 0.00 10/06/2004 DD 10/05 /04 10/6/2004 SEC ID: 99426E438 10/6/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT2 REPO 0 1.710% 10/07/2004 DD 10/7/2004 100.0000 -2, 100,000.000 -2, 100,000.00 2,100,000.00 0.00 10/06/04 10/7/2004 SEC ID: 99426F963 10/7/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF075l 1102: LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO O 1.710% 10/07/2004 DD 10/7/2004 100.0000 0.000 0.00 99.75 0.00 10/06/04 10/7/2004 SEC ID: 99426F963 10/7/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO 11/8/2004 2:12:30PM PST Workbench 14 @ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATEDODIJ[QO CJO•••••••• 10/1/2004-10/29/2004 Status: FINAL Tra~ D!l,te . ~ -,, Price •i:• 1'1 ~' r· '; ~i .;t,..,r· Cost ::....." r· ~ :Amount: N~t Gain/Losa Tran •r---:. 1r1~ ;., Settle Date :., 'II-~ • 1i ii ~": . ~-•: ., .. ,-,~·- Type Description -,-,:", Reported Date ,.,,l Base Shares/Par I Base ~" Base-_ Base ,r'·.,. --'-,..J~.I,.. L (~-• "'c •.. ·.-:t:·' s CREDIT SUISSE FB REPO O 1.700% 10/07/2004 10/7/2004 100.0000 -18,200,000.000 -18,200,000.00 18,200,000.00 0.00 DD 10/06/04 10/7/2004 SEC ID: 99426F971 BROKER: CREDIT SUISSE FIRST BOSTON 10/7/2004 CORP,NY OCSF07522202: LONG TERM OPER-PIMCO TS CREDIT SUISSE FB REPO 01.700% 10/07/2004 10/7/2004 100.0000 0.000 0.00 859.44 0.00 DD 10/06/04 10/7/2004 SEC ID: 99426F971 10/7/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07522202: LONG TERM OPER-PIMCO s CREDIT SUISSE FB REPO 01.700% 10/08/2004 10/8/2004 100.0000 -2,800,000.000 -2,800,000.00 2,800,000.00 0.00 DD 10/07/04 10/8/2004 SEC ID: 99426H258 10/8/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07522202: LONG TERM OPER-PIMCO IS CREDIT SUISSE FB REPO O 1.700% 10/08/2004 10/8/2004 100.0000 0.000 0.00 132.22 0.00 DD 10/07/04 10/8/2004 SEC ID: 99426H258 10/8/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07522202: LONG TERM OPER-PIMCO s LEHMAN CAT 2 REPO 01.730% 10/08/2004 DD 10/8/2004 100.0000 -3,300,000.000 -3,300,000.00 3,300,000.00 0.00 10/07/04 10/8/2004 SEC ID: 99426H282 10/8/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 01.730% 10/08/2004 DD 10/8/2004 100.0000 0.000 0.00 158.58 0.00 10/07/04 10/8/2004 SEC ID: 99426H282 10/8/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO 11/8/2004 2: 12:30PM PST Workbench 15 @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATEDOOill2000•••••••• 10/1/2004-10/29/2004 Status: FINAL Trade Date - ~ " ,, •..:.r Price _,:, ~~.: ?-}J: • L; ..l • • -i.:, ).. Net Gain/Loss Tran ":, • .·-, • -~ • :1, ·~":" • ·-• Settle Date., , .. ,.__ ~ ~ . J!!"i'-......... _ • ._' Cost Amount I ,., r;, ...• H~ ! •:- S~es/Par ir"' :~~ · Type Description .-~ · .. :\, .. ,_;; '. :Reported Date ·. -' Base Base Base Base . _,_. . s LEHMAN CAT2 REPO O 1.680% 10/12/2004 DD 10/12/2004 100.0000 -3,000,000.000 -3,000,000.00 3,000,000.00 0.00 10/08/04 10/12/2004 SEC ID: 99426J684 10/12/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 01.680% 10/12/2004 DD 10/12/2004 100.0000 0.000 0.00 560.00 0.00 10/08/04 10/12/2004 SEC ID: 99426J684 10/12/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s CREDIT SUISSE FB REPO 01.700% 10/13/2004 10/13/2004 100.0000 -3,000,000.000 -3,000,000.00 3,000,000.00 0.00 DD 10/12/04 10/13/2004 SEC ID: 99426Ll43 10/13/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP,NY OCSF07511102 : LIQUID OPER-PIMCO IS CREDIT SUISSE FB REPO 01.700% 10/13/2004 10/13/2004 100.0000 0.000 0.00 141.67 0.00 DD 10/12/04 10/13/2004 SEC ID: 99426Ll43 10/13/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO O 1.720% 10/14/2004 DD 10/14/2004 100.0000 -1,900,000.000 -1,900,000.00 1,900,000.00 0.00 10/ 13/04 10/14/2004 SEC ID: 99426M489 10/14/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT2 REPO 01.720% 10/14/2004 DD 10/14/2004 100.0000 0.000 0.00 90.78 0.00 10/ 13/04 10/14/2004 SEC ID: 99426M489 10/14/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT2 REPO 01.730% 10/15/2004 DD 10/15/2004 100.0000 -1,900,000.000 -1,900,000.00 1,900,000.00 0.00 10/ 14/04 10/15/2004 SEC ID: 99426N784 10/15/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO 11/8/2004 2: 12:30PM PST Workbench 16 @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCS D-CONSOLIDATE DOl]][Q O OD •••••••• 10/1/2004-10/29/2004 Status: FINAL T,rade Dateai 1 .. . Settle Date 1 r;t-~-! Price f --·t,i· ·t:f~" Cost . ,· ;-;--.. , " Amount " Net Gain/Losa Tran :.., "\-~ ~-• -1_ll">!'· --I.I J.~ r••• ' 1--r' ' ' 1. ... .' ,. Shares/Par :., · "t . ~ Type Description• r·.: -~--{:-' • ' _Report~d.' Date :. t.~.~~: Base Base~ >J,j Base Base-·-lo 4-., . 1-~ ., IS LEHMAN CAT 2 REPO O 1.730% 10/15/2004 DD 10/15/2004 100.0000 0.000 0.00 91.31 0.00 10/ 14/04 10/15/2004 SEC ID: 99426N784 10/15/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO O 1.770% 10/18/2004 DD 10/18/2004 100.0000 -3,400,000.000 -3,400,000.00 3,400,000.00 0.00 10/ 15/04 10/18/2004 SEC ID: 99426Q316 10/18/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO O 1.770% 10/18/2004 DD 10/18/2004 100.0000 0.000 0.00 501.50 0.00 10/15/04 10/18/2004 SEC ID: 99426Q316 10/18/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO O 1.720% 10/19/2004 DD 10/19/2004 100.0000 -3,400,000.000 -3,400,000.00 3,400,000.00 0.00 10/18/04 10/19/2004 SEC ID: 99426R595 10/19/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 01.720% 10/19/2004 DD 10/19/2004 100.0000 0.000 0.00 162.44 0.00 10/ 18/04 10/19/2004 SEC ID: 99426R595 10/19/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 01.710% 10/20/2004 DD 10/20/2004 100.0000 -3,500,000.000 -3,500,000.00 3,500,000.00 0.00 10/ 19/04 10/20/2004 SEC ID: 99426T096 10/20/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO O 1.710% 10/20/2004 DD 10/20/2004 100.0000 0.000 0.00 166.25 0.00 10/19/04 10/20/2004 SEC ID: 99426T096 10/20/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO 11/8/2004 2:12:30PM PST Workbench 17 @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCS D-CONSOLIDATE D Dill][2 0 OD ••ODDO•• 10/1/2004-10/29/2004 Status: FINAL Ti'ade.Da,t.e -. ,;J; "T •• ---Tran ·.• er,:_,··., ,uq-, ' ~-Settle Date ,1.] Pric~ .... -.. ,, ,~" ~-·:";~-·~··.1.:;ft, Cost _,. ! 1<.Am.OIUlt ~ _ \,Net, Gain/Losa ' .. , .' .. __ , 'r!l ""~.'":. -.. _;r: Type Description · ' ~ '1,'f'·: . ~ ,1Repc:,_it~d Date :\., i-~•e Shares/Par -~ ., __ , .. .Base 'ii :it Base :.., Baae --:"' I lr •. l s LEHMAN CAT 2 REPO 01.680% 10/21/2004 DD 10/21/2004 100.0000 -3, 500,000.000 -3,500,000.00 3,500,000.00 0.00 10/20/04 10/21/2004 SEC ID: 99426U523 BROKER: LEHMAN GOVT SECS INC, NY 10/21/2004 OCSF07511102 : LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 01.680% 10/21/2004 DD 10/21/2004 100.0000 0.000 0.00 163.33 0.00 10/20/04 10/21/2004 SEC ID: 99426 U523 10/21/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 01.710% 10/22/2004 DD 10/22/2004 100.0000 -3,500,000.000 -3,500,000.00 3,500,000.00 0.00 10/ 21/04 10/22/2004 SEC ID: 99426V885 10/22/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF0751 l 102: LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO O 1.710% 10/22/2004 DD 10/22/2004 100.0000 0.000 0.00 166.25 0.00 10/ 21/04 10/22/2004 SEC ID: 99426V885 10/22/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN BROTHERS REPO O 1.700% 10/25/2004 100.0000 -3,500,000.000 -3,500,000.00 3,500,000.00 0.00 10/25/2004 DD 10/22/04 10/25/2004 SEC ID: 99426X287 10/25/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN BROTHERS REPO O 1.700% 10/25/2004 100.0000 0.000 0.00 495.83 0.00 10/25/2004DD 10/22/04 10/25/2004 SEC ID: 99426X287 10/25/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s CREDIT StJJSSE FB REPO 01.700% 10/26/2004 10/26/2004 100.0000 -3,500,000.000 -3,500,000.00 3,500,000.00 0.00 DD 10/25/04 10/26/2004 SEC ID: 99~26Y814 10/26/2004 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO 11/8/2004 2: 12:30PM PST Workbench 18 @ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATEDDIIIlJ2 • •• •••••••• 10/1/2004-10/29/2004 Status: FINAL '1)-ad,e D~\e T,..;:. ' . l I~ ,]".:,"' ·'· --·. F" . ' " 1, . , -.. ,,. -., I Settle Date Prlc:j .. , u .. -, . 1 -~ • Cost u • J, M Amount• Net Gain/Loss Tran ~ ! :. ., _I,, •· ~~~ .. t":t.~ --· t11 ·, -. ; ,j ~ I ' ' Type Descri.ptlo_n -· Reported Date ~ ' Base Shares/Par u. Base -Base · Base -:., •·... /':-'! .... ;,,.. . T'•· • ., .r •' .. IS CREDIT SUISSE FB REPO 01.700% 10/26/2004 10/26/2004 100.0000 0.000 0.00 165.28 0.00 DD 10/25/04 10/26/2004 SEC ID: 99426Y814 BROKER: CREDIT SUISSE FIRST BOSTON 10/26/2004 CORP,NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 01.680% 10/27/2004 DD 10/27/2004 100.0000 -2,500,000.000 -2,500,000.00 2,500,000.00 0.00 10/26/04 10/27/2004 SEC ID: 99427 Al 12 10/27/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 01.680% 10/27/2004 DD 10/27/2004 100.0000 0.000 0.00 116.67 0.00 10/26/04 10/27/2004 SEC ID: 99427 Al 12 10/27/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 01.710% 10/28/2004 DD 10/28/2004 100.0000 -2,500,000.000 -2,500,000.00 2,500,000.00 0.00 10/27/04 10/28/2004 SEC ID: 99427B888 10/28/2004 BROKER: LEHMAN'GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 01.710% 10/28/2004 DD 10/28/2004 100.0000 0.000 0.00 118.75 0.00 10/27/04 10/28/2004 SEC ID: 994278888 10/28/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102 : LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 01.740% 10/29/2004 DD 10/29/2004 100.0000 -2,500,000.000 -2,500,000.00 2,500,000.00 0.00 10/ 28/04 10/29/2004 SEC ID: 99427D009 10/29/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 01.740% 10/29/2004 DD 10/29/2004 100.0000 0.000 0.00 120.83 0.00 10/28/04 10/29/2004 SEC ID: 99427 D009 10/29/2004 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO 11/8/2004 2: 12:30PM PST Workbench 19 @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATE DDlllll2 ~ DO 00000000 10/1/2004-10/29/2004 Status: FINAL Trade Date -.... -:-t T" 'I Tran ·••·.-=i r~j~~ Settle Date LI•_-Price . , • .'.h , . ,ir Cost ,nil .. ~' ' . Amount Net galn{Lou I Type De~ptlon , • .-_, t, ,I ~ .. Repor:ted Da~e · Base Shares/Par Base y ' '. Base Base -n -..... _ .... s DREYFUS TREASURY CASH.MGMT 10/6/2004 1.0000 -93,499.750 -93,499.75 93,499.75 0.00 SEC ID: 996085247 10/6/2004 OCSF'07522202: LONG TERM OPER-PIN!CO 10/6/2004 s DREYFUS TREASURY CASH MGMT 10/7/2004 1.0000 -98,488.580 -98,488.58 98,488.58 0.00 SEC ID: 996085247 10/7/2004 OCSF07511102: LIQUID OPER-PIMCO 10/7/2004 s DREYFUS TREASURY CASH MGMT 10/8/2004 1.0000 -83,863.020 -83,863.02 83,863.02 0.00 SEC ID: 996085247 10/8/2004 OCSF07522202: LONG TERM OPER-PIN!CO 10/8/2004 s DREYFUS TREASURY CASH MGMT 10/12/2004 1.0000 -2,999,440.000 -2,999,440.00 2,999,440.00 0.00 SEC ID: 996085247 10/12/2004 OCSF075l 1102:LIQUID OPER-PIMCO 10/12/2004 s DREYFUS TREASURY CASH MGMT 10/14/2004 1.0000 -1,099,909.220 -1,099,909.22 1,099,909.22 0.00 SEC ID: 996085247 10/14/2004 OCSF0751 l 102: LIQUID OPER-PIMCO 10/14/2004 s DREYFUS TREASURY CASH MGMT 10/15/2004 1.0000 -6,093.400 -6,093.40 6,093.40 0.00 SEC lD: 996085247 10/15/2004 OCSl!07522202: LONG TERM OPER-PIN!CO 10/15/2004 s DREYFUS TREASURY CASH MGMT 10/19/2004 1.0000 -99,837.560 -99,837.56 99,837.56 0.00 SEC ID: 996085247 10/19/2004 OCSF07511102: LIQUID OPER-PIMC O 10/19/2004 s DREYFUS TREASURY CASH MGMT 10/22/2004 1.0000 -152,918.560 -152,918.56 152,918.56 0.00 SEC ID: 996085247 10/22/2004 OCSF07522202: LONGTERM OPER-PIMCO 10/22/2004 s DREYFUS TREASURY CASH MGMT 10/27/2004 1.0000 -680,092.780 -680,092.78 680,092.78 0.00 SEC ID: 996085247 10/27/2004 OCSF07522202: LONG TERM OPER-PIMCO 10/27/2004 TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: -98,414,142.870 -98,327,328.73 98,359,765.55 0.00 11/8/2004 2:12:30PM PST Workbench 20 @ Mellon OCSD-CONSOLIDATE DCl[][]ill O 00 ODO••••• Transaction Detail Reported by Transaction Category 10/1/2004-10/29/2004 s s s s Tran Type Description Trade Date Settle Date Reported Date TOTAL CASH & CASH EQUIVALENTS BASE: FIXED INCOME SECURITIES U.S. DOLLAR COMMIT TO PUR FNMA SF MTG 5.000% 10/01/2019 DD 10/01/04 SEC ID: 01F0504Al BROKER: UBS SECURITIES LLC, NEW YORK OCSF07522202: LONG TERM OPER-PIMCO COMMIT TO PUR FNMA SF MTG 5.500% 10/01/2034 DD 10/01 /04 SEC ID: 01F0526A5 BROKER: GOLDMAN SACHS & CO, NY OCSF07522202: LONG TERM OPER-PIMCO COMMIT TO PUR FNMA SF MTG 5.500% 10/01/2034 DD 10/01 /04 SEC ID: 01F0526A5 BROKER: LEHMAN GOVT SECS INC, NY OCSF07522202: LONG TERM OPER-PIMCO 10/15/2004 10/19/2004 10/15/2004 10/12/2004 10/14/2004 10/12/2004 10/12/2004 10/14/2004 10/12/2004 US TREASURY NOTES 1.875% 01/31/2006 DD 10/5/2004 01/31/04 _ 10/6/2004 SEC ID: 91282-8BX7 BROKER: LEHMAN GOVT SECS INC, NY 10/5/2004 OCSF07522202: LONGTERM OPER-PIMCO IS USTREASURYNOTES 1.875%01/31/2006DD 10/5/2004 01/3i/o4 10/6/2004 SEC ID: 912828BX7 s BROKER: LEHMAN GOVT SECS INC, NY 10/5/2oo4 OCSF07522202: LONG TERM OPER-PIMCO US TREASURY NOTES 1.875%01/31/2006 DD 10/5/2004 01/31/04 10/6/2004 SEC ID: 912828BX7 BROKER: LEHMAN GOVT SECS INC, NY 10/5 /2004 OCSF07522202: LONG TERM OPER-PIMCO 11/8/2004 2:12:30PM PST Price Base Shares/Par -98,414, 142.870 102.0820 -22,000,000.000 101.8047 -3,000,000.000 101.7422 -1,000,000.000 99.3477 -50,000,000.000 99.3477 0.000 99.3477 -11,000,000.000 21 -98,327,328. 73 -22,381,562.50 -3,041,894.53 -1,013,964.84 -49,973,541. 98 0.00 -10,994,179.23 ReportID: EWB009 Base Currency: USD Status: FINAL ~ount • Base 98,359,765.55 22,458,046.86 3,054,140.62 1,017,421.87 49,673,828.12 170,686.14 10,928,242.19 • Net Gain/Loss Base 0.00 76,484.36 12,246.09 3,457.03 -299,713.86 0.00 -65,937.04 Workbench @ Mellon OCSD-CONSOLIDATE Dom:2 0 OD •••••••• Transaction Detail Reported by Transaction Category 10/1/2004-10/29/2004 Tran Type De,~crlptlon Trade Dat~ Settle Date Reported Date IS U S TREASURY NOTES 01/31/04 l.875%01/31/2006 DD 10/5/2004 10/6/2004 s IS s IS SEC ID: 912828BX7 BROKER: LEHMAN GOVT SECS INC, NY OCSF07522202: LONG TERM OPER-PIMCO 10/5/2004 U S TREASURYNOTES l.625%02/28/2006DD 10/6/2004 02/29/04 10/7/2004 SEC ID: 912828CB4 BROKER: BEAR STEARNS & CO INC, NY l0/6 /2004 OCSF07522202: LONG TERM OPER-PIMCO US TREA'SURY NOTES 1.625% 02/28/2006 DD 10/6/2004 02/29/04 10/7/2004 SEC ID: 9 12828CB4 BROKER: BEAR STEARNS & CO INC, NY 10/6/2004 OCSF07522202: LONG TERM OPER-PIMCO US TREASURY NOTES 2.250% 04/30/2006 DD 10/6/2004 04/30/04 10/8/2004 SEC ID: 912828CF5 BROKER: BEAR STEARNS & CO INC, NY l0/6/2004 OCSF07522202 : LONG TERM OPER-PIMCO U S TREASURY NOTES 2.250% 04/30/2006 DD 10/6/2004 04/30/04 10/8/2004 SEC ID: 912828CF5 BROKER: BEAR STEARNS & CO INC, NY l0/6/2004 OCSF07522202 : LONG TERM OPER-PIMCO TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: TOTAL FIXED INCOME SECURITIES BASE: TOTAL SALES BASE: PRINCIPAL PAYMENTS FIXED INCOME SECURITIES U.S. DOLLAR 11/8/2004 2: 12:30PM PST Price Base Shares/Par_ 99.3477 0.000 98.9375 -17,000,000.000 98.9375 0.000 99.6861 -33,000,000.000 99.6861 0.000 -137,000,000.000 -137,000,000.000 -235,414, 142.870 22 Cost Base 0.00 -17,045,156.25 0.00 -32,835,000.00 0.00 -137,285,299.33 -137,285,299.33 -235,612,628.06 Report ID: EWB009 Base Currency: USD Status: FINAL ~01.µ1~ ,. Net Gain/Loss Base _ Base 37,550.95 0.00 16,819,375.00 -225, 781.25 28,235.50 0.00 32,896,413.00 61,413.00 324,843.75 0.00 137,408,784.00 -437,831.67 137,408,784.00 -437,831.67 235,768,549.55 -437,831.67 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATE DOilllill D DD •••••••• 10/1/2004-10/29/2004 Status: FINAL Trade Date ·;: h -.,~~. I" .. 1?~,,, "• .:•.~j· <::-.. -· ... :1 Tran ,.. .. 1"11 .··~~.;t Settle Date Price ' ' . -=-~1.• { -f;;,..-.. ,,. •. i•.}~ rt:-. Cost .,.. Amount Net Gain/Loss . ,r ... f~r-r!=,j -:J.-tt .... Type~ Description ••~ Li,,; ]~~~:~ r't' "!," ,,_ Base ill II Reported Date Base Shares/Par 1., ·•I ;1~ Base -.. · Base rr!!~t_'lr•j_?' ~-,.::;;; ~ --.r --, PD WMP/HUNTOON PAIGE #000-11150 7.500% 10/1/2004 100.0000 -824.910 -806.99 824.91 17.92 12/01/2030DD 10/21/99 10/1/2004 SEC ID: 302998GE3 OCSF07522202: LONG TERM OPER-PIMCO 10/1/2004 PD FHLMCMULTICLASS MTG SERE3 A VAR RT 10/1/2004 100.0000 -16,348.400 -16,365.82 16,348.40 -17.42 08/15/2032 DD 12/01 /97 10/1/2004 SEC ID: 3133TCE95 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FHLMC GROUP#78-6064 6.384% 01/01/2028 10/1/2004 100.0000 -181.240 -176.82 181.24 4.42 DD 12/01/97 10/1/2004 SEC ID: 31348SWZ3 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0254510 5.000% 11/01/2017 10/1/2004 100.0000 -10,716.440 -11,037.93 10,716.44 -321.49 DD 10/01/02 10/1/2004 SEC ID: 31371KVB4 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL#0254631 5.000%02/01/2018 10/1/2004 100.0000 -2,576.720 -2,654.02 2,576.72 -77.30 DD 01/01/03 10/1/2004 SEC ID: 31371KY47 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0254760 5.000% 06/01/2018 10/1/2004 100.0000 -2,256.000 -2,323.68 2,256.00 -67.68 DD 05/01/03 10/1/2004 SEC ID: 31371KSV9 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0254866 5.000% 09 /01/2018 10/1/2004 100.0000 -859.440 -885.22 859.44 -25.78 DD 08/01/03 10/1/2004 SEC ID: 31371LCB3 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0254953 5.000% 11/01/2018 10/1/2004 100.0000 -4,010.180 -4,061.56 4,010.18 -51.38 DD 10/01/03 10/1/2004 SEC ID: 31371LE21 10/1/2004 OCSF07522202 : LONG TERM OPER-PIMCO PD FNMA POOL#0254987 5.000% 12/01/2018 10/1/2004 100.0000 -13,695.300 -13,870.77 13,695.30 -175.47 DD 11/01/03 10/1/2004 SEC ID: 31371LF46 10/1/2004 OCSF07522202 : LONG TERM OPER-PIMCO 11 /8/2004 2:12:30PM PST Workbench 23 @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATE DO[]J][2 0 00 ••::moo•• 10/1/2004-10/29/2004 Status: FINAL Trad~ 'Date _Tran Settle Date -="' Price .. ·o~ ... }.~~::~--•-~~-Cost -,. .,, Amount -i: ,, ,tf.;~ ~=: .'¼,·' ~f"' ... 1 ., C. -~ Type Des~r;lptlon Repo}'ted Date ~ ~ease Sharesl!'at" ·. ·. · , ;·"":: Base 4 -··"-~-Base PD FNMA POOL #0323980 6.000% 04/01/2014 10/1/2004 100.0000 -3,844.150 -4,013.53 3,844.15 -169.38 DD 09/01/99 10/1/2004 SEC ID: 31374T2MO 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #03573 28 5.000% 01/01/2018 10/1/2004 100.0000 -478.360 -492.71 478.36 -14.35 DD 01/01/03 10/1/2004 SEC ID: 31376J4M8 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0357430 5.000% 09/01/2018 10/1/2004 100.0000 -24,782.890 -25,061.70 24,782.89 -278.81 DD 09/01/03 10/1/2004 SEC ID: 31376KA71 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0456482 6.000% 02/01/2014 10/1/2004 100.0000 -2,847.740 -2,973.22 2,847.74 -125.48 DD 02/01/99 10/1/2004 SEC ID: 31381 CCT2 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL#0509649 6.000%09/01/2014 10/1/2004 100.0000 -24,500.720 -25,580.28 24,500.72 -1,079.56 DD 09/01/99 10/1/2004 SEC ID: 31383QEWO 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0535451 6.000% 06/01/2015 10/1/2004 100.0000 -3,056.580 -3,191.26 3,056.58 -134.68 DD 07 /01/00 10/1/2004 SEC ID: 31384 VZQ8 10/1/2004 OCSF0752 2202: LONG TERM OPER-PIMCO PD FNMA POOL #0555363 5.000% 04/01/2018 10/1/2004 100.0000 -5,059.640 -5,211.43 5,059.64 -151. 79 DD 03/01/03 10/1/2004 SEC ID: 31385WSY1 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0555453 5.000% 05/01/2018 10/1/2004 100.0000 -536.320 -543.19 536.32 -6.87 DD 04/01/03 10/1/2004 SEC ID: 31385XBW6 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0555545 5.000% 06/01/2018 10/1/2004 100.0000 -3,873.710 -3,989.92 3,873.71 -116.21 DD 05/01/03 10/1/2004 SEC ID: 31385XES2 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO 11/8/2004 2:12:30PM PST Workbench 24 @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED[][][[2 D DD •••••••• 10/1/2004-10/29/2004 Status: FINAL -~de Date _,.~/! ,: j 0 _ ~-: f-::~ . .-~ -i~•,,=. Settle Date Price r ... .r, r ~--. -.. ~-.~ -:·1, :;~: __ , :.'" \': .• ~.~~t Cost 'I:~-~• IJ;•' -Amou»t Net Gain/Loss Tran '' IJeportJii Date .1 ; _:J,i, ~ t: Type Description t.i'•_.,'\ct--:1? .. _i'-.,1 I' 'Ir:~,, Base Shares/Par J'j__:iJ,•• ~~~• L Base ,:._ L ~t'-t~ ·Baae--e!h ... Base PD FNMA POOL #0555621 5.000% 07/01/2018 10/1/2004 100.0000 -15,429.260 -15,602.84 15,429.26 -173.58 DD 06/01/03 10/1/2004 SEC ID: 31385XG68 OCSF07522202: LONG TERM OPER-PIMCO 10/1/2004 PD FNMA POOL #0681309 5.000% 02/01/2018 10/1/2004 100.0000 -10,385.010 -10,696.56 10,385.01 -311.55 DD 02/01/03 10/1/2004 SEC ID: 31391 Y3S4 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0681334 5.000% 02/01/2018 10/1/2004 100.0000 -814.220 -838.65 814.22 -24.43 DD 01/01/03 10/1/2004 SEC ID: 31391 Y4Tl OCSF07522202: LONG TERM OPER-PIMCO 10/1/2004 PD FNMA GTD REMIC P /T 02-76 PD 5.000% 10/1/2004 100.0000 -135,344.850 -138,051.75 135,344.85 -2,706.90 08/25/2022 DD 10/01 /02 10/1/2004 SEC ID: 31392FKF3 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0684908 5.000% 06/01/2018 10/1/2004 100.0000 -4,144.330 -4,197.43 4,144.33 -53.10 DD 05/01/03 10/1/2004 SEC ID: 31400D3Rl 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0685200 5.000% 03/01/2018 10/1/2004 100.0000 -3,261.940 -3,303.73 3,261.94 -41.79 DD 03/01/03 10/1/2004 SEC ID: 31400EGH7 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0685665 5.000% 02/01/2018 10/1/2004 100.0000 -463.240 -477.14 463.24 -13.90 DD 02/01/03 10/1/2004 SEC ID: 31400EW22 10/1/2004 OCSF07522202: LONGTERM OPER-PIMCO PD FNMA POOL#0686318 5.000%03/01/2018 10/1/2004 100.0000 -1,874.830 -1,931.07 1,874.83 -56.24 DD 03/01/03 10/1/2004 SEC ID: 31400FPB7 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0688739 5.000% 06/01/2018 10/1/2004 100.0000 -500.610 -515.63 500.61 -15.02 DD 06/01/03 10/1/2004 SEC ID: 31400JEL9 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO 11/8/2004 2:12:30PM PST Workbench 25 @ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLI DATE DOllllD2 DOD 00000000 10/1/2004-10/29/2004 Status: FINAL TraJle, Date '~~-~.i -, .. ~' I\~~-'. ."i.,n~--Amounti.>~:: Net Gain/Loss Tran . -· 'f-.... , ,,.. :,• · 1. • t.. Settle Date = ,~_. Price .1.lt.tt Cost ·it-_·1 f; ~...,f, .;Jb ;---' "';-t '•TO~ ~·' Type Description .. h;.~ j~~,i .' Base ,, r , •. ~-~ ,, ,. -, Reported Da~e Base Shares/Par Base ~ · Base PD FNMA POOL #0689859 5.000% OS /01/2018 10/1/2004 100.0000 -379.740 -384.61 379.74 -4.87 DD 05/01/03 10/1/2004 SEC ID: 31400KMG8 OCSF07522202: LONG TERM OPER-PIMCO 10/1/2004 PD FNMA POOL#0693834 5.000%03/01/2018 10/1/2004 100.0000 -7,854.020 -8,089.64 7,854.02 -235.62 DD 03/01/03 10/1/2004 SEC ID: 31400PY74 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0695852 5.000% 05 /01/2018 10/1/2004 100.0000 -5,101.370 -5,254.41 5,101.37 -153.04 DD 05/01/03 10/1/2004 SEC ID: 31400SBVO 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0695889 5.000% 05/01/2018 10/1/2004 100.0000 -17,052.400 -17,563.97 17,052.40 -511.57 DD 05/01/03 10/1/2004 SEC ID: 31400SC23 10/1/2004 OCSF07522202: LONGTERM OPER-PIMCO PD FNMA POOL #0697026 5.000% 05/01/2018 10/1/2004 100.0000 -484.010 -498.53 484.01 -14.52 DD 04/01/03 10/1/2004 SEC ID: 31400TLF2 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL#0702210 5.000%05/01/2018 10/1/2004 100.0000 -1,474.320 -1,518.55 1,474.32 -44.23 DD 05/01/03 10/1/2004 SEC ID: 31401ADP9 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0702328 5.000% 05/01/2018 10/1/2004 100.0000 -1,955.760 -1,980.82 1,955.76 -25.06 DD 04/01/03 10/1/2004 SEC ID: 31401AHD2 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0709148 5.000% 06/01/2018 10/1/2004 100.0000 -1,891.100 -1,947.83 1,891.10 -56.73 DD 06/01/03 10/1/2004 SEC ID: 31401HZM7 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0709360 5.000% 07/01/2018 10/1/2004 100.0000 -16,381.090 -16,590.97 16,381.09 -209.88 DD 06/01/03 10/1/2004 SEC ID: 3 l401JB56 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO 11/8/2004 2:12:30PM PST Workbench 26 @ Transaction Detail ReportlD: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCS D-CONSOLIDATE DOin:2 •OD •••••••• 10/1/2004-10/29/2004 Status: FINAL Trade Date ~ Settle Date h n-0 :.:-· Price ;; "" '.;..:ur-, ' . Cost :.t <.,." •< Amount 1 Net Gain/Loss Tran , . I'. L --. : . ' ... \ .... ' ,L' -. .. l·f Type Descripti~n _-J 'll" Reported Date , : ··"Base Shares/Par rt,-~t1!"·( Base 'r: ' • Base 'Base ,·• ;._ ,, ~~~-~ .. J ••• •1 _ • .,. ... ...i.L ·- PD FNMA POOL #0709826 5.000% 06 /01/2018 10/1/2004 100.0000 -1,559.120 -1,579.10 1,559.12 -19.98 DD 06/01/03 10/1/2004 SEC ID: 31401JSP4 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL#0709917 5.000%06/01/2018 10/1/2004 100.0000 -3,594.980 -3,641.04 3,594.98 -46.06 DD 06/01/03 10/1/2004 SEC ID: 31401JVJ4 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0709963 5.000% 06/01/2018 10/1/2004 100.0000 -75.450 -76.42 75.45 -0.97 DD 06/01/03 10/1/2004 SEC ID: 31401JWYO 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0710235 5.000% 06/01/2018 10/1/2004 100.0000 -4,462.920 -4,596.81 4,462.92 -133.89 DD 06/01/03 10/1/2004 SEC ID: 31401KBC8 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0713344 5.000% 06/01/2018 10/1/2004 100.0000 -71.210 -73.35 71.21 -2.14 DD 06/01/03 10/1/2004 SEC ID: 31401NP52 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0713365 5.000% 07/01/2018 10/1/2004 100.0000 -4,879.240 -4,941.76 4,879.24 -62.52 DD 07 /01/03 10/1/2004 SEC ID: 31401NQS1 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0720319 5.000% 07/01/2018 10/1/2004 100.0000 -3,446.500 -3,490.66 3,446.50 -44.16 DD 07 /01/03 10/1/2004 SEC ID: 31401WG45 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0720369 5.000% 06/01/2018 10/1/2004 100.0000 -49,297.560 -50,776.49 49,297.56 -1,478.93 DD 06/01/03 10/1/2004 SEC ID: 31401 WJNO 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0721629 5.000% 07/01/2018 10/1/2004 100.0000 -2,606.230 -2,684.42 2,606.23 -78.19 DD 06/01/03 10/1/2004 SECID:31401XVW4 10/1/2004 OCSF0752 2202: LONG TERM OPER-PIMCO 11/8/2004 2:12:30PM PST Workbench 27 @ Transaction Detail ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATE DDill]J2 0 OD orn:moooo 10/1/2004-10/29/2004 Status: FINAL Trade Date,, I• ,,J C -; Price .l1",• ·'· • ~·· '".1 "T.'1?}i .rl ~ _'-.. ,:'' ~~ f Cost !I", d' . . Amount·· -Net Gain/Loss Tran .. r'tt ,P . --·,,:,~ -,,uL ~;"-" Settle Date w ·~ I.,.,.) LJI ... ,.., '~ Type Descriltion. ~ ~I~ _ l.-~ _ ~ Shares/Par ·a.; · ~ ,: •=-co,;; ,; • .~· Rep,ort~~ Date ~ Base 1-Base " ' .: l Base Base PD FNMA POOL #0723487 5.000% 06/01/2018 10/1/2004 100.0000 -953.180 -963.90 953.18 -10.72 DD 06/01/03 10/1/2004 SEC ID: 31402AXQ4 OCSF07522202: LONGTERM OPER-PIMCO 10/1/2004 PD FNMA POOL #0729601 5.000% 07/01/2018 10/1/2004 100,0000 -6,982.740 -7,072.21 6,982.74 -89.47 DD 07 /01/03 10/1/2004 SEC ID: 31402HRW3 OCSF07522202: LONG TERM OPER-PIMCO 10/1/2004 PD FNMA POOL#0732873 5.000% 11/01/2018 10/1/2004 100.0000 -135.080 -136.81 135.08 -1.73 DD 10/01/03 10/1/2004 SEC ID: 31402MFN5 OCSF07522202: LONG TERM OPER-PIMCO 10/1/2004 PD FNMA POOL#0737130 5.000% 10/01/2018 10/1/2004 100.0000 -44,436.270 -45,005.61 44,436.27 -569.34 DD 10/01/03 10/1/2004 SEC ID: 31402S4P9 10/1/2004 OCSF07522202: LONGTERM OPER-PIMCO PD FNMA POOL #0738211 5.000% 10 /01/2018 10/1/2004 100.0000 -2,451.500 -2,482.91 2,451.50 -31.41 DD 10/01/03 10/1/2004 SEC ID: 31402UDQ2 10/1/2004 OCSF07522202 : LONG TERM OPER-PIMCO PD FNMA POOL #0738487 5.000% 10/01/2018 10/1/2004 100.0000 -2,975.170 -3,013.29 2,975.17 -38.12 DD 10/01/03 10/1/2004 SEC ID: 31402UNC2 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #07404 71 5.000% 10/01/2018 10/1/2004 100.0000 -2,901.430 -2,938.60 2,901.43 -37.17 DD 10/01/03 10/1/2004 SEC ID: 31402Wf40 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL#0740748 5.000% 10/01/2018 10/1/2004 100.0000 -3,439.480 -3,483.55 3,439.48 -44.07 DD 11/01/03 10/1/2004 SEC ID: 31402W5H7 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0743868 5.000% 11/01/2018 10/1/2004 100.0000 -850.440 -861.34 850.44 -10.90 DD 10/01/03 10/1/2004 SEC ID: 31403BMR1 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO 11/8/2004 2:12:30PM PST Workbench 28 @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATEDDillll1? •DD •••••••• 10/1/2004-10/29/2004 Status: FINAL Tl!ld¢ Dai, . Price t:;--;..:• ~~r ~ Tran . . , I• •-~J~J/'l ~,, . . .: Settle Date Cost ~ •i'':-\ , . ~ Amount Net Gain/Loss ' ' -'. ~-• '=--'!. .t 1. •·n,lq°~j ~{d. Type Description ~•..:,.,J;! '!!Ji,:.,.~J-~ , -'·';• Repo~ed Date ""' Base Shares/Par \ "'c,~'r.:.~; ·,::I. Base r . I ~ Base Base ~l'l"'I PD FNMA POOL #0744008 5.000% 07/01/2018 10/1/2004 100.0000 -5,078.970 -5,144.04 5,078.97 -65.07 DD 09/01/03 10/1/2004 SEC ID: 31403BR54 OCSF07522202: LONG TERM OPER-PIMCO 10/1/2004 PD FNMA POOL #0744316 5.000% 09/01/2018 10/1/2004 100.0000 -3,411.380 -3,455.09 3,411.38 -43.71 DD 09/01/03 10/1/2004 SEC ID: 31403B3Z4 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL#0747914 5.000% 11/01/2018 10/1/2004 100.0000 -1,879.050 -1,903.13 1,879.05 -24.08 DD 11/01/03 10/1/2004 SEC ID: 31403F3XO 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0748400 5.000% 08/01/2018 10/1/2004 100.0000 -3,729.920 -3,777.71 3,729.92 -47.79 DD 09/01/03 10/1/2004 SEC ID: 31403GNR9 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL#0748899 5.000% 12/01/2018 10/1/2004 100.0000 -4,146.120 -4,199.24 4,146.12 -53.12 DD 11/01/03 10/1/2004 SEC ID: 31403G7LO 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL#0750377 5.000% 11/01/2018 10/1/2004 100.0000 -42, 160.020 -42,700.20 42,160.02 -540.18 DD 11/01/03 10/1/2004 SEC ID: 31403JUA2 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0750380 5.000% 11/01/2018 10/1/2004 100.0000 -8,539.710 -8,649.13 8,539.71 -109.42 DD 11/01/03 10/1/2004 SEC ID: 31403JUD6 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0750445 5.000% 11/01/2018 10/1/2004 100.0000 -700.160 -709.13 700.16 -8.97 DD 11 /01/03 10/1/2004 SEC ID: 31403JWE2 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0751960 5.000% 12/01/2018 10/1/2004 100.0000 -5,896.430 -5,971.98 5,896.43 -75.55 DD 11 /01/03 10/1/2004 SEC ID: 31403LMH1 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO 11/8/2004 2:12:30PM PST Workbench 29 @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATE DOllllffi D •• •••••••• 10/1/2004-10/29/2004 Status: FINAL ~de Date ·,.;_1· t;~ Tran ·· · -~ · -·i:4·_::.;:,:ij'.; i•.+•· Settle Date Price o; ~•'.,_ ,, -_. Z• ']". ; ... ~l '"r'J l~~i-'f~• Cost • .. ,:? ... Amount. r Net aa,n/Loss , .. ..l j• ·'-, "i ~· \t: lf Type D_eacrip_tion , ;:¥ n~~, · Reported Date ,., Base Shares/Par ·.;4;_, ';.,, ... Base .Ba•~ ,... Base PD FNMA POOL #0753425 5.000% 11/01/2018 10/1/2004 100.0000 -3,509.240 -3,549.82 3,509.24 -40.58 DD 11/01/03 10/1/2004 SEC ID: 31403NA23 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0755165 5.000% 12/01/2018 10/1/2004 100.0000 -2,593.080 -2,626.30 2,593.08 -33.22 DD 11/01/03 10/1/2004 SEC ID: 31403Q6A3 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD FNMA POOL #0756372 5.000% 11/01/2018 10/1/2004 100.0000 -9,648.920 -9,760.49 9,648.92 -111.57 DD 11/01/03 10/1/2004 SEC ID: 31403SJR8 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL #0421389 6.500% 04/15/2026 10/1/2004 100.0000 -349.340 -366.64 349.34 -17.30 DD 04/01/96 10/1/2004 SEC ID: 36206UC23 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0449851 6.500%01/15/2028 10/1/2004 100.0000 -39.500 -41.46 39.50 -1.96 DD 01 /01/98 10/1/2004 SEC ID: 36208FWLO 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0466845 6.500% 06/15/2028 10/1/2004 100.0000 -50.870 -53.39 50.87 -2.52 DD 06/01/98 10/1/2004 SEC ID: 36209BTA6 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL #0468052 6. 500% 07/15/2028 10/1/2004 100.0000 -211.470 -221.94 211.47 -10.47 DD 07 /01/98 10/1/2004 SEC ID: 36209C5M4 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL#0476041 6.500% 06/15/2028 10/1/2004 100.0000 -7,954.720 -8,336.30 7,954.72 -381.58 DD 06/01/98 10/1/2004 SEC ID: 36209MZE7 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA POOL #0478626 6.500% 01/15/2029 10/1/2004 100.0000 -186.220 -195.15 186.22 -8.93 DD 01/01/99 10/1/2004 SEC ID: 36209QVI'9 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO 11/8/2004 2:12:30PM PST Workbench 30 @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED[]J[][2 D DD DDDDDDDD 10/1/2004-10/29/2004 Status: FINAL Trade.Date ~~· Settle Date Price ,. : . .ll l-1 ;. ..~ .• .i -•. ' .... ·,-.. Cost ·J"·· • ·.,,. ,:;.Am t -"e't:, ~/-tots& Tr . -m,, .-_. r.,.-.,,,r,..', OUD . ..,. an ~f -l'fta..;._ ,, ·..-.; 'I ,-f•·. ,:--tr-a~~:,. .;:t. -r,'..lr1 1t~ Type f!eacrlptton ;'.;_t_ ~~~;:-. ,;: :.,.'. Reportecl Date . ,_ Base Shares/Par •Jl.,5f~--Base ,,,. 1-l!F ;, Base ; '!"' =:::t...-'-'+r.l'-. ,Base PD GNMA POOL#0480598 6.500% 10/15/2028 10/1/2004 100.0000 -38.560 -40.41 38.56 -1.85 DD 10/01/98 10/1/2004 SEC ID: 36209S3F6 OCSF07522202: LONG TERM OPER-PIMCO 10/1/2004 PD GNMA POOL #051223 5 6. 500% 11/15/2029 10/1/2004 100.0000 -12.370 -12.98 12.37 -0.61 DD 11/01/99 10/1/2004 SEC ID: 36211GBC6 OCSF07522202: LONG TERM OPER-PIMCO 10/1/2004 PD GNMA POOL#0514326 6.500%07/15/2029 10/1/2004 100.0000 -350.960 -367.80 350.96 -16.84 DD 07 /01/99 10/1/2004 SEC ID: 36211JLF2 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA II POOL #0080023 VAR RT 12/20/2026 10/1/2004 100.0000 -4,178.500 -4,247.71 4,178.50 -69.21 DD 12/01/96 10/1/2004 SEC ID: 36225CAZ9 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA II POOL #080088M 7.375% 06/20/2027 10/1/2004 100.0000 -8,674.030 -8,863.77 8,674.03 -189.74 DD 06/01/97 10/1/2004 SEC ID: 36225CC20 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA II POOL #0080395 VAR RT 04/20/2030 10/1/2004 100.0000 -8,382.280 -8,306.32 8,382.28 75.96 DD 04/01/00 10/1/2004 SEC ID: 36225CNM4 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA II POOL #080408X 6.500% 05/20/2030 10/1/2004 100.0000 -49,005.680 -48,507.97 49,005.68 497.71 DD 05/01/00 10/1/2004 SEC ID: 36225CN28 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA II POOL #0080900 VAR RT 05/20/2034 10/1/2004 100.0000 -2,930.860 -2,851.64 2,930.86 79.22 DD 05/01/04 10/1/2004 SEC ID: 36225DM2 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO PD GNMA II POOL #0080965 VAR RT 07/20/2034 10/1/2004 100.0000 -9,582.510 -9,576.52 9,582.51 5.99 DD 07 /01/04 10/1/2004 SEC ID: 36225DCB8 10/1/2004 OCSF07522202: LONG TERM OPER-PIMCO 11/8/2004 2:12:30PM PST Workbench 31 @ Mellon OCSD-CONSOLIDATED[Il][[2 CJ DD•••••••• Transaction Detail Reported by Transaction Category 10/1/2004-10/29/2004 Tran Type Description PD PD GNMA GTD REMIC TR 2000-9 FH VAR RT 02/16/2030 SEC ID: 3837H4NX9 OCSF07522202 : LONG TERM OPER-PIMCO RESIDENTLAL ASSET 03-RSl 1 AIIB VAR RT 12/25/2033 DD 12/30/03 SEC ID: 760985KB3 OCSF07522202: LONG TERM OPER-PIMCO ~de Date Settle Date Reported Date, 10/16/2004 10/16/2004 10/16/2004 10/25/2004 10/25/2004 10/25/2004 TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: TOTAL FIXED INCOME SECURITIES BASE: TOTAL PRINCIPAL PAYMENTS BASE: MATURITIES CASH & CASH EQUIVALENTS U.S. DOLLAR MT WELLS FARGO BANK NA INSTL C/D 1.650% 10/07/2004 DD 09/09 /04 SEC ID: 9497P 1BU2 OCSF07511102: LIQUID OPER-PIMCO 10/7/2004 10/7/2004 10/7/2004 MT WELLS FARGO BANK NA INSTL C/D 1.600% 10/4/2004 10/04/2004 DD 08/30/04 10/4/2004 SEC ID: 9497P lCLl OCSF07511102: LIQUID OPER-PIMCO 10/4/2004 TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: ,. Price I(': · Base· 100.0000 100.0000 100.0000 100.0000 Shares/Par -13,509.440 -35,564.470 -712,674.120 -712,674.120 -712,674.120 -1,100,000.000 -2,200,000.000 -3,300,000.000 Cost Base -13,509.44 -35,564.47 -724,012.62 -724,012.62 -724,012.62 -1,100,000.00 -2,200,000.00 -3,300,000.00 TOTAL CASH & CASH EQUIVALENTS BASE: -3,300,000.000 -3,300,000.00 FIXED INCOME SECURITIES U.S. DOLLAR 11/8/2004 2: 12:30PM PST 32 Report lD: EWB009 Base Currency: USD Status: FINAL Amount ·:• Base 13,509.44 35,564.47 712,674.12 712,674.12 712,674.12 1,100,000.00 2,200,000.00 3,300,000.00 3,300,000.00 Ne.t Gain/,Losa ,, Base 0.00 0.00 -11,338.50 -11,338.50 -11,338.50 0.00 0.00 0.00 0.00 Workbench @ Mellon OCSD-CONSOLIDATED[][]]][Q ••••mm•••• Tran Type :µ_eicrip_tion MT DU PONT EI DE NEMOURS & CO NT 6. 750% 10/15/2004 DD 10/20/99 SEC ID: 263534BH1 OCSF07511102: LIQUID OPER-PIMCO MT PACIFICORP SECD MTN #TR 00115 7.300% 10/22/2004 DD 10/22/92 SEC ID-: 69512EEJU5 OCSF07522202 : L01':IG TERM OPER-PIMCO Transaction Detail Reported by Transaction Category 10/1/2004-10/29/2004 Trade,,.J)ate Settle Date Reported Date 10/15/2004 10/15/2004 10/15/2004 10/22/2004 10/22/2004 10/22/2004 Price Base .., Shares/Par 100.0000 -1,575,000.000 100.0000 -3,000,000.000 TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: -4,575,000.000 TOTAL FIXED INCOME SECURITIES BASE: TOTAL MATURITIES BASE: INTEREST CASH & CASH EQUIVALENTS U.S. DOLLAR IT WELLS FARGO BANK NA INSTL C/D 1.650% 10/07/2004 DD 09/09/04 SEC ID: 9497P1BU2 OCSF07511102: LIQUID OPER-PIMCO IT WELLS FARGO BANK NA INSTL C/D 1.600% 10/04/2004 DD 08/30/04 SEC ID: 9497PlCL1 OCSF07511102: LIQUID OPER-PIMCO CW SHORT TERM FDS INT ADJ NET OF OVERNIGHT INTEREST SEC ID: 990000PJ4 OCSF07511102: LIQUID OPER-PIMCO IT DREYFUS TREASURY CASH MGMT SEC ID: 996085247 OCSF07522202: LONG TERM OPER-PIMCO 11/8/2004 2:12:30PM PST 10/7/2004 10/7/2004 10/7/2004 10/4/2004 10/4/2004 10/4/2004 10/29/2004 10/29/2004 10/29/2004 10/5/2004 10/1/2004 10/5/2004 -4,575,000.000 -7,875,000.000 1,100,000.000 2,200,000.000 0.000 0.000 33 Cost Base -1,589,663.25 -2,950,530.00 -4,540, 193.25 -4,540,193.25 -7,840,193.25 1,411.67 3,422.22 -1,070.00 1,252.03 ReportID: EWB009 Base Currency: USD Status: FINAL Am.Qll-Dt-,L Base 1,575,000.00 3,000,000.00 4,575,000.00 4,575,000.00 7,875,000.00 1,411.67 3,422.22 -1,070.00 1,252.03 Net Gain/Loss Base -14,663.25 49,470.00 34,806.75 34,806.75 34,806.75 0.00 0.00 0.00 0.00 Workbench @ Mellon OCS D-CONSOLIDATE DO[][[Q • •• •••••••• Tran Transaction Detail Reported by Transaction Category 10/1/2004-10/29/2004 Trade Date •.r..~, Settle Date Type Description Reported Date Price Base IT DREYFUS TREASURY CASH MGMT SEC ID: 996085247 OCSl<'07511102: LIQUID OPER-PIMCO 10/5/2004 10/1/2004 10/5/2004 TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: TOTAL CASH & CASH EQUIVALENTS BASE: FIXED INCOME SECURITIES U.S. DOLLAR IT IT IT IT IT IT DU PONT El DE NEMOURS & CO NT 6. 750% 10/15/2004 DD 10/20 /99 SEC ID: 263534BH1 OCSF07511102: LIQUID OPER-PIMCO WMP/HUNTOON PAIGE #000-11150 7.500% 12/01/2030 DD 10/21/99 SEC ID: 302998GE3 OCSF07522202: LONG TERM OPER-PIMCO WMP/HUNTOON PAIGE #000-11150 7.500% 12/01/2030 DD 10/21 /99 SEC ID: 302998GE3 OCSF07522202: LONG TERM OPER-PIMCO FHLMCMULTICLASS MTG SERE3 A VAR RT 08/15/2032 DD 12/01/97 SEC ID: 3133TCE95 OCSF07522202: LONG TERM OPER-PIMCO FHLMC GROUP #78-6064 6.384% 01/01/2028 DD 12/01/97 SEC ID: 31348SWZ3 OCSF07522202: LONG TERM OPER-PIMCO FNMA POOL #0254510 5.000% 11/01/2017 DD 10/01/02 SEC ID: 31371KVB4 OCSF07522202: LONG TERM OPER-PIMCO 11/8/2004 2:12:30PM PST 10/15/2004 10/15/2004 10/15/2004 10/1/2004 9/1/2004 10/1/2004 10/28/2004 10/1/2004 10/28/2004 10/15/2004 9/1/2004 10/15/2004 10/15/2004 9/1/2004 10/15/2004 10/25/2004 10/1/2004 10/25/2004 0.000 3,300,000.000 3,300,000.000 1,575,000.000 819.190 824.910 23,472.900 2,548.610 10,716.440 34 2,902.53 7,918.45 7,918.45 53,156.25 5,872.29 5,867.17 2,704.11 185.78 2,893.23 Report ID: EWB009 Base Currency: USD Status: FINAL Amount ~. · Baile 2,902.53 7,918.45 7,918.45 53,156.25 5,872.29 5,867.17 2,704.11 185.78 2,893.23 Ne't ·Gabi/Loa, Base 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Workbench @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATE D[][][ffi • DD ••DD•••• 10/1/2004-10/29/2004 Status: FINAL Tiade,Date Tran . -.. -r ~1~: •lt ' , '\It-· · • -;~~-i -· Settle Date ,.. ,'( li Pri~tr . -•-t --~..,-• -.~ni~. ~-;; '~r~~:-~ .• ~ ,r.;.::.., Cost ":·i'-,• ',.,;,~'.i: Amount·· 1": . Net Gain/Loss .· •: :"-•.J~•J.. t ... _J ;' •· ' l,i.U ' ' - Type Dea~ptlon ·~~t11.tf· ,.:,. ., -.. ,,._. Reported Date _Bli_ae\J ~-' t--... ,. ... ':· !'"~.-.'-Base -~"f 1:,n -1!,i_~ _. _ ,Baa: • ~ "'-~" -;~ -~ Base Sliareit/Par :i:.·,. · 31 • __ IT FNMA POOL #0254631 5.000%02/01/2018 10/25/2004 2,576.720 622.61 622.61 0.00 DD 01/01/03 10/1/2004 SEC ID: 31371 KY47 10/25/2004 OCSF07522202: LONGTERM OPER-PIMCO IT FNMA POOL #0254760 5.000%06/01/2018 10/25/2004 2,256.000 553.68 553.68 0.00 DD 05/01/03 10/1/2004 SEC ID: 31371K5V9 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0254866 5.000% 09/01/2018 10/25/2004 859.440 250.81 250.81 0.00 DD 08/01/03 10/1/2004 SEC ID: 31371LCB3 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0254953 5.000% 11/01/2018 10/25/2004 4,010.180 1,326.18 1,326.18 0.00 DD 10/01/03 10/1/2004 SEC ID: 31371LE21 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0254987 5.000% 12/01/2018 10/25/2004 13,695.300 3,603.73 3,603.73 0.00 DD 11/01/03 10/1/2004 SEC ID: 31371LF46 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0323980 6.000% 04/01/2014 10/25/2004 3,844.150 781.61 781.61 0.00 DD 09/01/99 10/1/2004 SEC ID: 31374T2MO 10/25/2004 OCSF0752 2202: LONG TERM OPER-PIMCO IT FNMA POOL #0357328 5.000% 01 /01/2018 10/25/2004 478.360 105.64 105.64 0.00 DD 01/01/03 10/1/2004 SEC ID: 31376J4M8 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0357430 5.000% 09/01/2018 10/25/2004 24,782.890 5,557.10 5,557.10 0.00 DD 09/01/03 10/1/2004 SEC ID: 31376KA71 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0456482 6.000% 02/01/2014 10/25/2004 2,847.740 225.48 225.48 0.00 DD 02/01/99 10/1/2004 SEC ID: 31381CCT2 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO 11/8/2004 2:12:30PM PST Workbench 35 @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATE D!]][][2 0 00 0•000000 10/1/2004-10/29/2004 Status: FINAL Trade Dat~ . ~ !!:''r;t · ~ -_. ~:: ·,b};· ·o, .•. ~ -",-~"'Price, ~ Cost ,. Amount 'jj Net Gain/Loss Tran ·,,f.-_._.::J:~ ; ".:c, '. -·,;1 • " Settle Date ' ... ~ . ' -• ~n, ~: Type De~ptlon ~ ~ ·,;t_r; 11~:~::.'1 Re~rted Date ~ Base Shares/Par. ~-~i/il; I 1:~ .~ Base '" 'Base >I Base ,, -;--. ., ·~ i.3" IT FNMA POOL#0509649 6.000%09/01/2014 10/25/2004 24,500.720 628.96 628.96 0.00 DD 09/01/99 10/1/2004 SEC ID: 31383QEWO 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0535451 6.000% 06 /01/2015 10/25/2004 3,056.580 610.91 610.91 0.00 DD 07 /01/00 10/1/2004 SECID:31384VZQ8 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0555363 5.000%04/01/2018 10/25/2004 5,059.640 1,327.10 1,327.10 0.00 DD 03/01/03 10/1/2004 SEC ID: 31385W5Yl 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0555453 5.000%05/01/2018 10/25/2004 536.320 137.58 137.58 0.00 DD 04/01/03 10/1/2004 SEC ID: 31385XBW6 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0555545 5.000% 06 /01/2018 10/25/2004 3,873.710 1,099.44 1,099.44 0.00 DD 05/01/03 10/1/2004 SEC ID: 31385XES2 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0555621 5.000% 07/01/2018 10/25/2004 15,429.260 3,810.78 3,810.78 0.00 DD 06/01/03 10/1/2004 SEC ID: 31385XG68 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0681309 5.000% 02/01/2018 10/25/2004 10,385.010 2,051.08 2,051.08 0.00 DD 02/01/03 10/1/2004 SEC ID: 31391 Y3S4 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0681334 5.000% 02/01/2018 10/25/2004 814.220 249.75 249.75 0.00 DD 01/01/03 10/1/2004 SEC ID: 31391 Y4Tl 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA GTD REMIC P /T 02-76 PD 5.000% 10/25/2004 135,344.850 2,997.67 2,997.67 0.00 08/25/2022 DD 10/01 /02 10/1/2004 SEC ID: 31392FKF3 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO 11/8/2004 2:12:30PM PST Workbench 36 Transaction Detail . @ ReportID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATE D[]]IIl? • OD ••000000 10/1/2004-10/29/2004 Status: FINAL Tra~de D4_te1 Settle Date ,Price ,, " ~ -·I.-' jf ,..,,if"'' ' Cost .:J-i-:.:~\ Amount " ~et Gain/Loss Tran r.r·,,• • .., ""•' . -•~··-·~. 'J:~ • ~ , ..... ', •• • i ~ft-1'--,. O l , •. , t f Type Description Repo~ed Date Ba~~ Shares/Par , •II':. t •·· ~'. ; Base t.1_'· o/.J ~, Base Base 1!(tt~ 4 I, ~J: ' '"'·· ~-_,J-'r j• ••--~I!."":.:!•.:_ IT FNMA POOL #0684908 5.000% 06/01/2018 10/25/2004 4,144.330 1,311.87 1,311.87 0.00 DD 05/01/03 10/1/2004 SEC ID: 31400D3Rl 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0685200 5.000% 03/01/2018 10/25/2004 3,261.940 736.74 736.74 0.00 DD 03/01/03 10/1/2004 SEC ID: 31400EGH7 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0685665 5.000% 02/01/2018 10/25/2004 463.240 127.42 127.42 0.00 DD 02/01/03 10/1/2004 SEC ID: 31400EW22 10/25/2004 OCSF07522202: LONGTERM OPER-PIMCO IT FNMA POOL #0686318 5.000% 03/01/2018 10/25/2004 1,874.830 1,093.41 1,093.41 0.00 DD 03/01/03 10/1/2004 SEC ID: 31400FP87 10/25/2004 OCSF07522202 : LONG TERM OPER-PIMCO IT FNMA POOL #0688739 5.000% 06/01/2018 10/25/2004 500.610 434.88 434.88 0.00 DD 06/01/03 10/1/2004 SEC ID: 31400JEL9 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0689859 5.000% 05/01/2018 10/25/2004 379.740 352.24 352.24 0.00 DD 05/01/03 10/1/2004 SEC ID: 31400KMG8 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0693834 5.000% 03/01/2018 10/25/2004 7,854.020 2,478.39 2,478.39 0.00 DD 03/01/03 10/1/2004 SEC ID: 31400PY74 10/25/2004 OCSF07522202 : LONG TERM OPER-PIMCO IT FNMA POOL #0695852 5.000%05/01/2018 10/25/2004 5,101.370 883.94 883.94 0.00 DD 05/01/03 10/1/2004 SEC ID: 31400SBVO 10/25/2004 OCSF07522202 : LONG TERM OPER-PIMCO IT FNMA POOL #0695889 5.000% 05/01/2018 10/25/2004 17,052.400 2,932.26 2,932.26 0.00 DD 05/01/03 10/1/2004 SEC ID: 31400SC23 10/25/2004 OCSF07522202 : LONG TERM OPER-PIMCO 11/8/2004 2:12:30PM PST Workbench 37 @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATE DilllllIJ2 DOD ••••DODD 10/1/2004-10/29/2004 Status: FINAL Trade0 Date Tran ~; u rf_ '1,..-4.,b•,, ;~ !i,~:~~ ~-,, Sei J-J~!' P.a!!" i, '"" Price ~ -l"r'..r'-1: ,.., • "':-"i.:i;-:,·~~tJ' .~~>~ "';1-\.r. 11 Cost ·li.:,1.',,t," Amount · . rP-Net Gain/Loss > ~-: /_; :';. ~ ", ,Ii .. "'"' '-_ "!"' ,. ... • ~!' . ", 'fy~ i>eacqptlon &port~~ Date I /( J' .·" -1,'· Base =~ It:• ·. '~. ·-.• Base Shares/Par i:ti : ~ ' • 'i' ,, ~ Base IT FNMA POOL #0697026 5.000% 05/01/2018 10/25/2004 484.010 92.05 92.05 0.00 DD 04/01/03 10/1/2004 SEC ID: 31400TLF2 OCSF07522202: LONG TERM OPER-PIMCO 10/25/2004 IT FNMA POOL #0702210 5.000% 05/01/2018 10/25/2004 1,474.320 876.24 876.24 0.00 DD 05/01/03 10/1/2004 SEC ID: 31401ADP9 OCSF07522202: LONG TERM OPER-PIMCO 10/25/2004 IT FNMA POOL#0702328 5.000%05/01/2018 10/25/2004 1,955.760 541.41 541.41 0.00 DD 04/01/03 10/1/2004 SEC ID: 31401AHD2 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0709148 5.000%06/01/2018 10/25/2004 1,891.100 1,102.84 1,102.84 0.00 DD 06/01/03 10/1/2004 SEC ID: 31401HZM7 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0709360 5.000% 07/01/2018 10/25/2004 16,381.090 2,584.47 2,584.47 0.00 DD 06/01/03 10/1/2004 SEC ID: 31401JB56 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0709826 5.000% 06/01/2018 10/25/2004 1,559.120 432.18 432.18 0.00 DD 06/01/03 10/1/2004 SEC ID: 31401JSP4 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0709917 5.000% 06/01/2018 10/25/2004 3,594.980 913.45 913.45 0.00 DD 06/01/03 10/1/2004 SEC ID: 31401JVJ4 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0709963 5.000% 06/01/2018 10/25/2004 75.450 75.84 75.84 0.00 DD 06/01/03 10/1/2004 SEC ID: 31401JWYO 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0710235 5.000% 06/01/2018 10/25/2004 4,462.920 2,428.40 2,428.40 0.00 DD 06/01/03 10/1/2004 SEC ID: 31401 KBC8 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO 11/8/2004 2:12:30PM PST Workbench 38 ~ Transaction Detail -Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONS OLIDATE 0 (]][[2 DOD DDDD•••• 10/1/2004-10/29/2004 Status: FINAL Trade Date I ~,i ,Price • ... ,.----.., .,I, _r, .. ,,1 _. •,• .A Ta { ' :11., Amount' ... · Net Gain/Loss Tran .~:--·.-':? • •. • , ..... ,. -Settle Date -· .•.• ~• ·n,ti,' C l ~ Cost • I -"": ., ~ .. • '1· ,, ~ -fJ~ " ~ ~ :.,• ~ Ty .. -J. # ,I A,r;..,_, .... .:.f ',i ;• .. !, Bue hu t :' fi!f;;< ' ' "!-;t, ! .....•. --.. , Base · Base pe Descrlptlon •, ::!_ ""-·},•,... ·, .. 1,,: __ i Reported Date' t .. ,S . . ~• ,Par ,. ..,._. ,, .-. __ Base --- IT FNMA POOL #0713344 5.000% 06/01/2018 10/25/2004 71.210 66.22 66.22 0.00 DD 06/01/03 10/1/2004 SEC ID: 31401NP52 OCSF07522202: LONG TERM OPER-PIMCO 10/25/2004 IT FNMA POOL #0713365 5.000% 07/01/2018 10/25/2004 4,879.240 1,068.06 1,068.06 0.00 DD 07 /01/03 10/1/2004 SEC ID: 31401NQS1 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0720319 5.000% 07/01/2018 10/25/2004 3,446.500 2,956.43 2,956.43 0.00 DD 07 /01/03 10/1/2004 SEC ID: 31401 WG45 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0720369 5.000% 06/01/2018 10/25/2004 49,297.560 8,578.88 8,578.88 0.00 DD 06/01/03 10/1/2004 SEC ID: 31401 WJNO OCSF07522202: LONG TERM OPER-PIMCO 10/25/2004 IT FNMA POOL #0721629 5.000% 07/01/2018 10/25/2004 2,606.230 1,192.66 1,192.66 0.00 DD 06/01/03 10/1/2004 SECID:31401XVW4 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0723487 5.000% 06/01/2018 10/25/2004 953.180 971.84 971.84 0.00 DD 06/01/03 10/1/2004 SEC ID: 31402AXQ4 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0729601 5.000% 07/01/2018 10/25/2004 6,982.740 1,629.95 1,629.95 0.00 DD 07 /01/03 10/1/2004 SEC ID: 31402HRW3 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0732873 5.000% 11/01/2018 10/25/2004 135.080 138.94 138.94 0.00 DD 10/01/03 10/1/2004 SEC ID: 31402MFN5 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0737130 5.000% 10/01/2018 10/25/2004 44,436.270 2,701.16 2,701.16 0.00 DD 10/01/03 10/1/2004 SEC ID: 31402S4P9 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO 11/8/2004 2:12:30PM PST Workbench 39 @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATE D[l][][2 D DD•••••••• 10/1/2004-10/29/2004 Status: FINAL Ttade'Date~ !"'~.'t:..f Tran -C".11,, =:. ~r ,..: J" .:.,.;1 Settle ·Date ' ":'",: Price · r,, ·.,: 's-l t.. ~ • .-.;• Cost I ~rj r ]-• (~-.. '. Amount · ~et Ga.tn/,Lo8-~ JI ,,: CI: ~ "-~~'-:·-; s~·-Type Description =ii ..ii,., (t ReportedcDate J,, Base Shares/Par ' Base , . " Base, ~ , ~ .:i " . . IT FNMA r'OOL#0738211 5.000% 10/01/2018 10/25/2004 2,451.500 2,157.20 2,157.20 0.00 DD 10/01/03 10/1/2004 SEC ID: 31402UDQ2 10/25/2004 OCSF07522202: LONG TERM OPER-PI:MCO IT FNMA POOL #0738487 5.000% 10/01/2018 10/25/2004 2,975.170 778.47 778.47 0.00 DD 10/01/03 10/1/2004 SEC ID: 31402UNC2 OCSF07522202: LONGTERM OPER-PI:MCO 10/25/2004 IT FNMA POOL#0740471 5.000% 10/01/2018 10/25/2004 2,901.430 2,807.28 2,807.28 0.00 DD 10/01/03 10/1/2004 SEC ID: 31402Wf40 10/25/2004 OCSF07522202: LONG TERM OPER-PI:MCO IT FNMA POOL#0740748 5.000% 10/01/2018 10/25/2004 3,439.480 3,106.17 3,106.17 0.00 DD 11/01/03 10/1/2004 SEC ID: 31402W5H7 10/25/2004 OCSF07522202: LONG TERM OPER-PI:MCO IT FNMA POOL #0743868 5.000% 11/01/2018 10/25/2004 850.440 156.29 156.29 0.00 DD 10/01/03 10/1/2004 SEC ID: 31403BMR1 10/25/2004 OCSF07522202: LONG TERM OPER-PI:MCO IT FNMA POOL #0744008 5.000% 07/01/2018 10/25/2004 5,078.970 4,068.30 4,068.30 0.00 DD 09/01/03 10/1/2004 SEC ID: 31403BR54 10/25/2004 OCSF07522202: LONG TERM OPER-PI:MCO IT FNMA POOL #0744316 5.000% 09/01/2018 10/25/2004 3,411.380 639.76 639.76 0.00 DD 09/01/03 10/1/2004 SEC ID: 31403B324 10/25/2004 OCSF07522202: LONG TERM OPER-PI:MCO IT FNMA POOL #0747914 5.000% 11/01/2018 10/25/2004 1,879.050 1,417.38 1,417.38 0.00 DD 11 /01/03 10/1/2004 SEC ID: 31403F3XO 10/25/2004 OCSF07522202: LONG TERM OPER-PI:MCO IT FNMA POOL #0748400 5.000% 08/01/2018 10/25/2004 3,729.920 848.28 848.28 0.00 DD 09/01/03 10/1/2004 SEC ID: 31403GNR9 10/25/2004 OCSF07522202: LONG TERM OPER-PI:MCO 11/8/2004 2:12:30PM PST Workbench 40 @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATEDOITI20DDDDOD••OD 10/1/2004-10/29/2004 Status: FINAL Trade Date Pric-e ··~ ,. '.' . CQ_it .. ,:; : Amount .. , Net Gain/Loss Tran l 1 1-i.;'f~ "'" •,. ~-· Settle Date ••• "!'. ~!..."r ~ Type be_acnp_gQn /. 1 .. ~·~•.;... ' :· .. ' ~ .. i•J'-' Reported Date Base Shares/Par ';! ·'i/..'i-,!if.1t",, ·Base, ·~. . .. Base Base ' -, .. _ .. ~ IT FNMA POOL#0748899 5.000% 12/01/2018 10/25/2004 4,146.120 3,828.64 3,828.64 0.00 DD 11/01/03 10/1/2004 SEC ID: 31403G7LO 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL#0750377 5.000% 11/01/2018 10/25/2004 42,160.020 8,812.31 8,812.31 0.00 DD 11/01/03 10/1/2004 SEC ID: 31403JUA2 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0750380 5.000% 11/01/2018 10/25/2004 8,539.710 7,850.42 7,850.42 0.00 DD 11/01/03 10/1/2004 SEC ID: 31403JUD6 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0750445 5.000% 11 /01/2018 10/25/2004 700.160 700.63 700.63 0.00 DD 11/01/03 10/1/2004 SEC ID: 31403JWE2 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0751960 5.000% 12/01/2018 10/25/2004 5,896.430 3,313.83 3,313.83 0.00 DD 11/01/03 10/1/2004 SEC ID: 31403LMH1 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0753425 5.000% 11/01/2018 10/25/2004 3,509.240 3,497.52 3,497.52 0.00 DD 11/01/03 10/1/2004 SEC ID: 31403NA23 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #0755165 5.000% 12/01/2018 10/25/2004 2,593.080 2,456.16 2,456.16 0.00 DD 11 /01/03 10/1/2004 SEC ID: 31403Q6A3 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT FNMA POOL #07563 72 5.000% 11 /01/2018 10/25/2004 9,648.920 3,815.29 3,815.29 0.00 DD 11 /01/03 10/1/2004 SEC ID: 31403SJR8 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0421389 6.500% 04/15/2026 10/15/2004 349.340 58.94 58.94 0.00 DD 04/01/96 10/1/2004 SEC ID: 36206 UC23 10/15/2004 OCSF07522202: LONG TERM OPER-PIMCO 11/8/2004 2:12:30PM PST Workbench 41 @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATE DODirn O OD •••••••• 10/1/2004-10/29/2004 Status: FINAL Tf&de Date ( ·,i: : ;:{-~~~.,, :~: 7 ";;F-·· ./.": .· ' Price ..... I Cost ~··,~ ~~ Net'Galn/Loss Tran -.._. I '. j 1 ~' ,..... . -~ ,j_\·,, Settle Date :.tl Amount ~ -":"" .~ ''. ,,_ ~-1,,, t -~,:~ t· Type DesCt'.fptiqn . 'Repoz:ted.Date ,, Base Shares/Par ~-~ Base Base·,_ Base .. .::.! -.·'r.:1 • . ..,Id IT GNMA POOL #0449851 6.500% 01/15/2028 10/15/2004 39.500 108.01 108.01 0.00 DD 01/01/98 10/1/2004 SEC ID: 36208FWLO OCSF07522202: LONG TERM OPER-PIMCO 10/15/2004 IT GNMA POOL #0466845 6.500% 06/15/2028 10/15/2004 50.870 198.64 198.64 0.00 DD 06/01/98 10/1/2004 SEC ID: 36209BTA6 OCSF07522202: LONGTERM OPER-PIMCO 10/15/2004 IT GNMA POOL #0468052 6. 500% 07/15/2028 10/15/2004 211.470 604.06 604.06 0.00 DD 07 /01/98 10/1/2004 SEC ID: 36209C5M4 10/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #04 76041 6. 500% 06/15/2028 10/15/2004 7,954.720 836.12 836.12 0.00 DD 06/01/98 10/1/2004 SEC ID: 36209MZE7 10/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0478626 6.500% 01/15/2029 10/15/2004 186.220 656.38 656.38 0.00 DD 01/01/99 10/1/2004 SEC ID: 36209QVT9 10/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0480598 6.500% 10/15/2028 10/15/2004 38.560 156.49 156.49 0.00 DD 10/01/98 10/1/2004 SEC ID: 36209S3F6 10/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL#0512235 6.500% 11/15/2029 10/15/2004 12.370 45.66 45.66 0.00 DD 11 /01/99 10/1/2004 SEC ID: 36211GBC6 10/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA POOL #0514326 6.500% 07/15/2029 10/15/2004 350.960 578.86 578.86 0.00 DD 07 /01/99 10/1/2004 SEC ID: 36211JLF2 10/15/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA II POOL#0080023 VAR RT 12/20/2026 10/20/2004 4,178.500 670.11 670.11 0.00 DD 12/01/96 10/1/2004 SEC ID: 36225CAZ9 10/20/2004 OCSF07522202: LONG TERM OPER-PIMCO 11/8/2004 2:12:30PM PST Workbench 42 ~ @ Transaction Detail Report ID: EWB009 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLI DATE DOllll2 D DD •••••••• 10/1/2004-10/29/2004 Status: FINAL Trade Date , ~ J,•~ ~-;,_ .. / •~t . .,. :. ':',_\ ,,(~•·,. •• ;f t~~ ~ .... ~~ I - •-1.·. ·.1 -I" . ·~ ', Price_ i': :;ii{: Amount ~ Net Gain/Los• Tran ,-•• ,-~,i•'>t ;,I~-;~ : Settle Date ' " ""·,i ~---· ~ ,.. Cost • -' a. •,-'•T· · r_, • • 1( tl;lJ l.,,~;·; ~~ . r -1\ Reported Date L'i .1 Base Shares/Par Base ~ . Base Base Type Descrlptton ,"'. .. r,:,~ .. '!_i, ,ii ' . -L -, '" ... IT GNMA II POOL #080088M 7.375% 06/20/2027 10/20/2004 8,674.030 662.92 662.92 0,00 DD 06/01/97 10/1/2004 SEC ID: 36225CC20 OCSF07522202 : LONG TERM OPER-PIMCO 10/20/2004 IT GNMA II POOL#0080395 VAR RT 04/20/2030 10/20/2004 8,382.280 556.52 556.52 0.00 DD 04/01/00 10/1/2004 SEC ID: 36225CNM4 10/20/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA II POOL #080408X 6.500% 05/20/2030 10/20/2004 49,005.680 5,011.39 5,011.39 0.00 DD 05/01/00 10/1/2004 SEC ID: 36225CN28 10/20/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA II POOL #0080900 VAR RT 05/20/2034 10/20/2004 2,930.860 949.05 949.05 0.00 DD 05/01/04 10/1/2004 SEC ID: 36225DM2 10/20/2004 OCSF07522202: LONGTERM OPER-PIMCO IT GNMA II POOL #0080965 VAR RT 07/20/2034 10/20/2004 9,582.510 4,068.21 4,068.21 0.00 DD 07 /01/04 10/1/2004 SEC ID: 36225DCB8 10/20/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GOLDMAN SACHS GRP MTN #TR00194 VAR RT 10/27/2004 3,500,000.000 16,368.33 16,368.33 0.00 10/27/2006 DD 10/29 /03 10/27/2004 SEC ID: 38141&186 10/27/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GOLDMAN SACHS GRP MTN #TR00207 VAR RT 10/25/2004 0.000 4,136.00 4,136.00 0.00 07/23/2009 DD 07 /23 /04 10/23/2004 SEC ID: 3814l&JQ3 10/25/2004 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA GTD REMIC TR 2000-9 FH VAR RT 10/18/2004 13,509.440 1,028.55 1,028.55 0.00 02/16/2030 10/16/2004 SEC ID: 3837H4NX9 10/18/2004 OCSF07522202: LONG TERM OPER-PIMCO IT PACIFICORP SECD MTN #TR 00115 7.300% 10/22/2004 3,000,000.000 31,025.00 31,025.00 0.00 10/22/2004DD 10/22/92 10/22/2004 SEC ID: 69512EEUS 10/22/2004 OCSF07522202: LONG TERM OPER-PIMCO 11/8/2004 2:12:30PM PST Workbench 43 @ Mellon OCSD-CONSOLIDATEDOilII2 0 OD •••••••• Tran Type-Deacrl1.tto~ IT CD CD CD RESIDENTIAL ASSET 03-RSl 1 AIIB VAR RT 12/25/2033 DD 12/30/03 SEC ID: 760985K83 OCSF07522202: LONG TERM OPER-PIMCO US TREASURY INFLATION INDEX NT 3.375% 01/15/2007 DD 01/15/97 SEC ID: 9128272M3 OCSF07522202: LONG TERM OPER-PIMCO US TREASURY INFLATION INDEX NT 3.625% 01/15/2008 DD O 1/ 15 /98 SEC ID: 9128273T7 OCSF07522202: LONG TERM OPER-PIMCO US TREASURY INFLATION INDEX NT 3.875% 01/15/2009 DD 01/15/99 SEC ID: 9128274Y5 OCSF07522202: LONG TERM OPER-PIMCO Transaction Detail Reported by Transaction Category 10/1/2004-10/29/2004 ~de Date $ettle D~~e· Repo!1:ef :Date 10/25/2004 10/25/2004 10/25/2004 10/29/2004 10/29/2004 10/29/2004 10/29/2004 10/29/2004 10/29/2004 PriQe . Base, ShateaJPar 35,564.470 0.000 0.000 0.000 TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: 8,797,985.180 TOTAL FIXED INCOME SECURITIES BASE: 8,797,985.180 TOTAL INTEREST BASE: 12,097,985.180 €oat Base 1,323.63 7,700.00 1,620.00 6,890.00 270,827.91 270,827.91 278,746.36 Report m: EWB009 Base Currency: USD Status: FINAL Amount B•~ Net Gatn/Lpsa Base 1,323.63 0.00 7,700.00 0.00 1,620.00 0.00 6,890.00 0.00 270,827.91 o.oo 270,827.91 0.00 278,746.36 0;00 TOTAL TRANSACTIONS: -3,515,2~1.230 -.15,362,975.46 15,806,048.59 -414,363.42 11/8/2004 2:12:30PM PST Workbench 44 ' - I L L L LONG TERM OPERATING FUND PORTFOLIO CHARACTERISTICS SUMMARY SEPTEMBER 30, 2004 Portfolio Structure Comparison El 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 61% Cash Credit 10% CMOs 5% 0% Sector Allocation Treasuries 43% Long Term Operating Fund Lehman Government/Credit 1-5 35% .S; 30% ;g 25% loo 0 20% ~ '8 15% .... = QJ 10% ~ loo QJ 5% ~ 0% 90% .S; 80% :s 70% -60% loo 0 50% ~ .... 40% 0 .... = 30% QJ ~ 20% loo QJ ~ 10% 0% Duration Distribution by Sector Weighted Average: Duration Dispersion Bar #I :Long Tenn Operating Fund: 1.73 1.19 Bar #2:Lehman Government/Credit 1-5: 2.50 1.04 0.0-0.5 0.5-1.0 Weighted Average: 1.0-1.5 1.5-2.0 2.0-2.5 2.5-3.0 3.0-3.5 Years Duration Quality Distribution by Sector Bar #1 :Long Tenn Operating Fund: Quality Agcy Aal Bar #2:Lehman Government/Credit 1-5: 3.5-4.0 4.0-4.5 4.5+ --+---+---+-----<f------·--------------+-- I-----+---+----+-----+---+------------ Trsy Agcy Aaa Aal-Aa3 Al-A3Baal-Baa33al-Ba3 Bl-B3 Caal-Can3 Ca C D NIA Moody's Rating • Agencies • Asset Backed • CMOs 0 Cash • Credit D Mortgages D Treasuries • Agencies • Asset Backed • CMOs D Cash • Credit D Mortgages D Treasuries * All Statistics shown on the page are dependent on the securities in the portfolio being recognized (by their Cusip) and priced. In this case 100% of the securities in the portfolio (by market value) were recogmzed and priced. Orange County Sanitation District f r [ l [ r L L L I L L L L LONG TERM OPERATING FUND II PORTFOLIO CHARACTERISTICS DETAIL SEPTEMBER 30, 2004 Weighted Average Portfolio Characteristics Total Fund, By Asset Class and By Sector Ending Percent Market of Effective Effective OA OA Sector Value Portfolio Coupon Maturitv Yield Duration Convexitv Oualitv Total Fund $396,416,267 100.0% 3.54 2.20 2.62 1.73 (0.19) Agcy Asset Backed $1,608,896 0.4% 3.98 10.20 2.60 2.11 0.11 Aaa A~ncies $38,863,995 9.8% 6.44 2.63 2.82 1.58 0.04 Agcy C Os $1,264,181 0.3% 3.75 0.99 2.80 0.15 0.00 Agi~ Credit $20,893,584 5.3% 5.14 2.04 3.67 1.85 0.06 Mortgag;es $54,455,677 13.7% 4.92 3.69 4.41 3.42 (1.59) '¥ccy Treasunes $240,837,836 60.8% 2.89 2.07 2.21 1.60 0.04 rsy Non-Convertible Bonds $357,924,169 90.3% 3.73 2.41 2.70 1.89 (0.21) Agcy Cash Equivalents $38,492,099 9.7% 1.86 0.25 1.86 0.25 0.00 Aaa 5 Largest Holdings Ending Percent Market of Effective OA OA Name Sector Value Portfolio Yield Duration Convexit1 Qualitv HS. Treas Nts 00046 Treasuries $60,851.097 15,4% 2.33 1.30 O.D2 Trsy U.S. Treas Nts Treasuries $033,224,920 8.4% 2.44 1.53 om Trsy U.S. Treas Nts Treasuries S27.812,118 7.0% 2.51 1.69 0.04 Trsy Fnma Tba Fnm 5.0% 15yr Mortgages $22,343,750 5.6% 4.69 3.93 (169) '¥ccy U.S. Treas Nts 2/15107 02/15/1997 Trensune.$ S21.778.447 5.5% 2.71 2.20 0.06 rsy 5 Lowest Rated Holdings (Moody's Rating) Ending Percent Market of Effective OA OA Name Sector Value Portfolio Yield Dornlion Convcxi!J'. Qualit}: Smr.ill Business Admin Gtd Pnrtn Ctfs 6.64% 2/1/11 Ser Sb~ncics $2,103,257 0.5% 4.99 5.13 0.32 NIA United Airl Ps\hru Tes 6.831%911/082001-1 Ctf Cl C redi1 $203,148 0.1 o/o 8056 1.69 0.05 NIA General Mtrs Accep Cori> 6.125% 8/28/2007 Credit $3,177,614 0.8% 4.19 2.65 0.09 A3 Vi~1nia Elec & Pwc Co 5.75% 3/3 1/06 2001 Sr Nt Ser A CrediL $1,820,822 0.5% 2.87 1.44 0.03 A3 Fo MtrCr Co 6.75% 5/15/05 Nt 03/14/1993 Credit $1,050,180 0.3% 267 0.58 0.01 A3 5 Longest Duration Holdings Ending Percent Market of Effective OA OA Name Sector Value Portfolio Yield Duration Convcxi(! QuaHt): Small Business Admin Gtd Partn Ctfs 6.6-1% 2/1111 Ser Sbim:cle~ $2,103,257 0.5% 4.99 5.13 0.32 NIA Small Business Admin Gtd Dev Partn Ctf 3/1121 Deb Ser 20 cies $3,250,874 0.8% 5.85 4.50 0.00 Aaa Goldman Sachs Grouf Inc Med Term Nts-Be Trane.be 00207 d.lV $804,_00 0.2% 2.30 4.49 (0.03) Aa3 Fnma 6.625% 911510 09101/1999 Agencies $1.375,024 0.6% 3 79 4.26 0.22 Agcy Fnma Toa Fnm 5.0% 15yr Mort·gages $22.343,750 5 6% 469 3.93 ( 1.69) Agcy 5 Holdings with Highest Effective Yield Ending Percent Market of Effective OA OA Name Sector Value Portfolio Yield Durnlion Convexity Quali!:}• United Aids Psthru Trs 6.831 %9/1/082001-1 Ctf Cl C Credit $203,148 0.1 % 80.56 L69 0.05 NIA Small Business Admin Gtd Dev Partn Ctf 3/1/2 1 Deb Ser 10~cies $3,250,874 0.8% 5 85 450 0.00 Aaa Small Business Admin Gtd Partn Ctfs 6.64% 2/1/11 Ser Sbic ncies $2,103,257 0.5% 499 5 13 0.32 NIA Fnma Tba Fnm 5.0% 15yr Mortgages $22,343,750 5.6% 4.69 3.93 (1.69) '¥ccy Gnma Pool # 480598 Mpt Mongages $30,792 0.0% 4.42 2.09 (2.41) 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 100% of the securities in the portfolio (by market value) were recognized and priced. Orange County Sanitation District 21 - [ [ l l Confidential -For Callan Client Use Only The list below represents those investment management organizations who are clients of Callan Associates' Institutional Consulting Group (ICG) and/or the Callan Investments Institute (CII) as of September 30, 2004. In no way do these relationships affect the outcome or process by which any of Calla n's services are conducted. Because Callan's client list of investment managers changes periodically, the information below may not reflect very recent changes that are not yet updated in our database. You are welcome to request a list of Callan's investment manager clients at any time. Manager Name 40J86 Advisors, Inc. ABN AMRO Asset Management (USA) LLC Acadlan Asset Management, Inc. Affiliated Managers Group, lmt AIG Global Investment Group AllianceBernstein American Century lm(estrnent Management P.ni~rican Express Asset Management AmSouth/Investment Management Group AMVESCAP Retirement Ariel Capital Manag!lment, Inc. Ark P.sset Management Co~ Inc. Artisan Partners Limited Partnership Atalanta Sosnoff Capital, LLC Atlanta C~plt!ll ~n~ermer_,,t Co., LLC. AXA Rosenf>E:rg Investment Management Babson Capital Management, LLC Baillie Gifford Overseas Ltd. Baird Advisors Baird Investment Management Banc One Investment Advisors Bank of America Bank of New Yor11 (The) Barcf-a_ys Global lnveslor,s. Baring Asset Management Barrow, Hanley, Mewhinney & Strauss, Inc. Balterymarch Financial Management Inc. Bay Isle Financial LbC Bear Stearns Asset Management Boston Company Asset Management. LLC (The) Baston Partners Asset Management, LP. Brandes lnvestn]ent Partners, LP. Brandywine Asset Management, Inc. Bridgewater Associates, Inc. Brown B~cithers f:lacriman & Campany Caderice Capital Managemenl Capital Guardian Trust Company Capri/Capital Advisors CaslleArk Managem~rtt, LLC Ga4s~~ Gapl\al Managemeot CDC-IXIS Asset Management Associates Centrix Financial Ohartwell Investment Partners 0hlcago Equlty Partners, LLC Citigroup Asset Management CIIISt.reet-Citigroup Asset Management Colui:nbla Management Group Inc. CollJ(Tlous Circle Investors Cornerstone Real Estate Advisers Cramer Rosenthal McGlynn, LLC Credit Suisse l\sset Management Page 1 of4 CII y y y y, y y y y y y y, y y y y y y 'I( y y y y y y y y y y y y y y y y y y y y y y y y ICG y y y y y y y y y y ~ y y y y V y y y y y y y y V y y y y 'I( y y y l L Confidential -For Calf an Client Use Only The list below represents those investment management organizations who are clients of Callan Associates' Institutional Consulting Group (ICG) and/or the Callan Investments Institute (CII) as of September 30, 2004. In no way do these relationships affect the outcome or process by which any of Callan's services are conducted. Because Callan's client list of investment managers changes periodically, the information below may not reflect very recent changes that are not yet updated in our database. You are welcome to request a list of Callan's investment manager clients at any time. Manager Name Davis Hamilton Jackson & Associates Delaware Investment Advisers Delta Asset Management Denali Advisors LLC DePrince, Race & Zollo, Inc. Deutsche Asset Management/Deutsche Bank Dimensional Fund Advisors Inc. Dreyfus Investment Advisors, Inc. DSM Capital Partners Duncan-Hurst Capital Management Inc. DuPont Capital Management Dwight Asset Management Eagle Asset Management, Inc. EARNEST Partners, LLC Eaton Vance Management Edgar Lomax Company (The) Enhanced Inv. Technologies, LLC (INTECH) Equinox Capital Management, LLC Evercore Partners Evergreen Investments Fayez Sarofim & Company Federated Investors Fidelity Investments Fiduciary Asset Management Fiduciary Management Associates Fifth Third Asset Management, Inc. First Quadrant L.P. Forstmann-Leff Associates, LLC Fortis Investments Fox Asset Management Franklin Portfolio Associates Franklin Templeton Institutional Fred Alger Management Co., Inc. Fraley, Revy Investment Company, Inc. Gartmore Global Partners GE Asset Management GlobeFlex Capital, L.P. GoldenTree Asset Management, LP Goldman, Sachs & Co. Grantham, Mayo, Van Otter1oo & Co., LLC Great Lakes Advisors, Inc. Gries Financial LLC Harris Investment Management, Inc. Hartford Investment Management Co./The Hartford Independence Investment LLC ING Clarion ING Investment Management Institutional Capital Corporation INVESCO Janus Capital Corporation Jensen Investment Management Page 2 of4 CII y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y ICG y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y L .L L L Confidential -For Callan Client Use Only The list below represents those investment management organizations who are clients of Callan Associates' Institutional Consulting Group (ICG) and/or the Callan Investments Institute (CII) as of September 30, 2004. In no way do these relationships affect the outcome or process by which any of Callan's services are conducted. Because Callan's client list of investment managers changes periodically, the information below may not reflect very recent changes that are not yet updated in our database. You are welcome to request a list of Callan's investment manager clients at any lime. Manager Name John A. Levin & Co., Inc. John Hancock Advisers John Mcstay Investment Counsel JPMorgan Fleming Asset Management Julius Baer Investment Management Kayne Anderson Rudnick Inv. Mgmt. LLC Knightsbridge Asset Management, LLC Lazard Asset Management Lehman Brothers Inc. Loomis, Sayles & Company, LP. Lord, Abbett & Company LSV Asset Management MacKay-Shields LLC Marvin & Palmer Associates, Inc. Mellon Equity Associates, LLP Mellon Global Securities Services Mellon Institutional Asset Management Merrill Lynch Investment Managers Metropolitan Life Insurance Company Metropolitan West Capital Management, LLC MFS Investment Management, Inc. Mondrian Investment Partners limited Montag & Caldwell, Inc. Morgan Stanley Neuberger Berman, LLC New England Association Ltd./BL-SH Nicholas-Applegate Capital Management Northern Trust Global Investment Services Northern Trust Value Investors NorthPointe Capital Nuveen Asset Management/Nuveen Investments NWQ Investment Management Company OFI Institutional Asset Management Old Mutual Asset Management Oppenheimer Capital Pacific Financial Research, Inc. Pacific Investment Management Company Paradigm Asset Management Co., LLC Pareto Partners PBHG Funds Inc. Penn Capital Management Peregrine Capital Management, Inc. Phoenix Investment Partners, lid. Pioneer Investment Management, Inc. Post Advisory Group Principal Financial Group, The Principal Global Investors Provident Investment Counsel Prudential Investment Management Prudential Retirement Putnam Investments Page 3 of 4 Cit y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y ICG y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y I l L Confidential -For Callan Client Use Only The list below represents those investment management organizations who are clients of Callan Associates' Institutional Consulting Group (ICG) and/or the Callan Investments Institute (CII) as of September 30, 2004. In no way do these relationships affect the outcome or process by which any of Callan's services are conducted. Because Calla n's client list of investment managers changes periodically, the information below may not reflect very recent changes that are not yet updated in our database. You are welcome to request a list of Callan's investment manager clients at any time. Manager Name RCM Reams Asset Management Gompany Relational Investors LLC Rice, Hall, James & Associates Robeco USA RQrer Asset Management Roths_chlld Asset Management, Inc. Sawgrass Asset Management, LLC Schroder Investment Management North America Inc. SEI Investments Seix Investment Advisors, Inc. Seligman (J. & W.) & Company, Inc. Seneca Capital Management LLC s~nllneJ Rear Estate Corporation Sit lnvesln1erit ~soclates, Inc, Southeastern Asset Management, Inc. Standish Mellon Asset Management Company State Street Global Advisors State Street Research & Management Co. Stratton Management Strong Capital Management Systematic_ Financial Man·agement T Rowe, P/ice Associates, Inc. TAMRO Capital Partners, LLC Taplin, Canida & Habacht Thomas Weiser Asset Management LLC ThOffiJ?SOn, Siege! & Walmsley, Inc. TIAA-CREF TimesSquare Capital Management, Inc. Todd lhvestrnentAdvlsors, Inc. Transamerlea lnvestmep,t:Management Trusco Capital Management, Inc. TCW Asset Management Company Turner Investment Partners UBS Global Asset Management USAllianz Investor Services, LLC U.S. Trust Asset Management Uten,dahl Capital Management, LP. Van·guard Group (Th,e) Victory Capital Management Inc. Walnut Asset Management, LLC WEDGE Capital Management Weiss, Peck & Gr:eer Investments Wellington Management Company, LLP Wells Capital Management WestAM Western Asset Manai;iemeht ComRany Westwood Management Corporation William Blair & Co., Inc. William D. Witter, Inc. Page 4 of 4 Cll y y y y y y y y y y y y y: y 'I( y y y y y y y y y y y y y y y y ICG y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y " ! Investment Management Program Orange County Sanitation District Strategy Review for the Period June 30, 2004 -September 30, 2004 Agenda I. Performance & Market Review II. Economic Outlook & Strategy Ill. Organizational Update PIM C 0 Performance Review 12 Performance Annual • OCSD Long Term Operating Portfolio YTD 10 • ML Corp/Govt 1-5 Yr Bond Index Asset Growth Market Value as of Sep. 2003 $ 385,932,865 ,...., 8 ~ 0 -----Contributions / Withdrawals (31,000,000) <n 6 C ... Net Investment Earnings* 8,202,519 ::J ..., Ql a: 4 Market Value as of Sep. 2004 $363,135,384 2 0 96 97 98 99 00 01 02 03 04 Orange County Sanitation District Long Term Operating Portfolio (periods ending September 30 , 2004) Since Inception 09/30/95 5 Yrs. 3 Yrs. 2 Yrs. 1 Yr. 9 Mos. 3 Mos. Before Fees(%) 6.2 6.1 4.4 3.1 2.2 2.0 1.6 Merrill Lynch Corporate/Govt 1-5 Year Bond Index (%) 6.1 6.2 4.4 3.1 1.8 1.6 1.7 • Includes income and realized/unrealized gains and losses, less management fees; all periods longer than one year are annualized. 2 PIM C 0 Performance Review Asset Growth Market Value as of Sep. 2003 Contributions / Withdrawals Net Investment Earnings* Market Value as of Sep. 2004 $ 37,953,938 33,800,100 1,013,397 $ 72,767,435 8 7 6 •-----js ---~ 4 ,._ ::J ...., ~ 3 2 1 0 96 97 Orange County Sanitation District Liquid Operating Portfolio (periods ending September 30, 2004) Since Inception 09/30/95 5 Yrs. 3 Yrs. 2 Yrs. Before Fees(%) 4.4 3.5 1.7 1.3 Citigroup 3 Month Treasury Bill Index(%) 3.9 3.0 1.4 1.1 Performance Annual • OCSD Liquid I YTD L Operating Portfolio • Citigroup 3 Month T-Bill Index --- 98 99 00 01 02 03 04 1 Yr. 9 Mos. 3 Mos. 1.1 0.9 0.3 1.0 0.8 0.3 * Includes income and realized/unrealized gains and losses, less management fees; all periods longer than one year are annualized. 3 PIM C 0 See-Sawing Economic Data Drives Market Volatility 5.5 5.0 December & February nonfarm payroll data disappoints ~ , . . 1~n a • VI r ~ ' I 3.5 FOMC replaces "considerable period" language with "patient" Fed raises target to 1.25%, first time since May 2000 Fed Funds 1.50% May CPI data shows 0.6% increase, 3.1% yoy FOMC: Policy accommodation can be removed at a pace that can be measured Weak employment and tame inflation reports 1800 1750 1700 1650 1600 1550 3.0 L__ ____________________________________________ ___, 1500 Dec-03 Jan-04 Feb-04 Mar-04 Apr-04 May-04 Jun-04 Jul-04 Aug-04 Sep-04 -10-Year Treasury Yield (lhs) -S&P 500 (rhs) SOURCE: Bloomberg Financial Markets " ::::!. n ro r ro < ~ 4 PIM C 0 125 100 lJ 75 C: ·0 so Cl. Vl 'iii 25 <IJ '° Alternating Rallies and Reversals Define Market This Year As of September 30, 2004 U.S. Treasury Rates 6 .---------------------, 1Q 2004 2Q 2004 3Q 2004 Year-to-Date 5 ~4 0 qi: --12/31/2003 --09/30/2004 5.1 4.9 0 o L I 100 -75 -25 •Yield Changes YTD 2004 (bps) --so 3m 2Y SY lOY 30Y 3m 2Y SY 10Y 30Y 3m 2Y SY 10Y 30Y 3m 2Y SY l0Y 30Y Sector Index Returns 10 10 81 lQ 2004 I 2Q 2004 ' 3Q 2004 8 Year-to-Date ........ 6 c;J ~ ~-uJ_I_._.__I _ ~ ~ 4 C: ... 2 :, ..., (LJ 0 a:'. 2 -2 2 -2 0 f-0 -4 f--4 -6 -6 -8 .__ _______ __._ ________ _._ _______ __. -8 .__ _________________ __, ,<,,<"~; &-? ~0 "C:J· ~~ ,<,,<"\...._<I c§.<t -<..~0 "Cp· ~~ ,<,,<"~~" d-~ -<..~0 .:::,Cp· ~~ ,· () ,! ~o, ,· () ,! ,$-0, ,· () ,! ,$-0, ~c ~ ~c ~ ~c ~ SOURCE: PIMCO, Bloomberg Financial Markets, Lehman Brothers Trsy Mtgs* Corp* TIPS HY Muni Non-Emg U.S. Mkt * Returns for mortgages and corporates have been duration adjusted utilizing Lehman Brothers reported excess returns relative to Treasuries. Treasury performance is the Lehman Brothers Treasury Index; TIPS performance is the Lehman Brothers Global Real: U.S. TIPS Index; High Yield performance is the Lehman Brothers High Yield Composite Index; Non-U.S. performance is the J.P. Morgan Non-U.S. Government Bond Index (hedged); Emerging Markets performance is the J.P. Morgan Emerging Markets Bond Index+; Municipal performance is the Lehman Brothers Municipal Bond Index. so 25 0 -25 5 PIM C 0 Market Revised Estimated Magnitude of Fed Tightening As of September 30, 2004 • In June, Eurodollar futures market priced in 275 bps by June 2006 • By end of September, June 2006 Eurodollar futures rate had fallen 81 basis points from June 2004 levels • Volatile short curve provided opportunity to add value through Eurodollar strategy SOURCE: Bloomberg Financial Markets 5 '2 4 0 ..c ::::i .c ..... C: ~ 3 I M '--' 2 ro 0:: 2 1 Eurodollar Futures Curve ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ , r: ,, ~ , r: ~, ~ , ~ ~ ~ ~ ~ ~ ~ ~ ~ ~ 6 <;:i<o 0 <)fl) ~ ~~, PIM C 0 Diversified Strategies Enhanced Return While Limiting Risk Orange County Sanitation District Long Term Operating Portfolio Interest Rate Strategies 3Q '04 Duration: Below index Curve: Pursued roll-down 0 Sector Strategies 3Q '04 Treasuries: Emphasized TIPS Mortgages: Focused on security selection + Corporates: Underweight exposure OCSD Long Term Operating Portfolio 1 12131 /03 I 06/30/04 I 09/30/04 vs . ML Corp/Govt 1-5 Yr Bond Index Duration (yrs .) Portfolio Index 2.2 2.4 2.3 2.5 2.0 2.5 09/30/04 Market Value < 1 yr 1-3 yrs + 3 yrs Duration(%) Portfolio Index 8 3 75 64 Sector Allocations -Duration Weighted 17 33 80 ,----------------------------, ,-.. ~ 0 ......, ..., 60 ~ 40 u L. QJ a.. 20 0 7 Trsy/ Agy 72 Average Portfolio Quality: AAA 25 28 4 5 0 Mortgage Backed Corp 12/31/03 • 06/30/04 • 09/30/04 • ML Corp/Govt 3 2 3 0 Cash & Equivalents PIM C 0 Global Economy's High Wire Act -Conditions for Instability Accelerating U.S. consumer slowdown Risks Slowdown:..:--------1., ___ 7 sh?ck in I Geopol_iticiJ Asia instability I Central Bank I Deflation interest rate hikes Goals Continued Stable Climb in China, Japan Risks Steady Economic Growth in U.S. Twin deficits Increased Growth in Europe Secular Implications • GDP Growth: -U.S. stabilizes around 2% (financed by Asian central banks) -Europe, Japan move toward 2% • Inflation peaks near 4% • Reactive Fed 8 ~~---~ Highly lev::..e.:..:re....::.d....1, ___ 7 private I High ~ro~ I sector in China I Increased restrains Fed g~em~~ oontrol ~1-C-he_a_p7 i money Inflation PIM C 0 Modest Growth As Stimulus Fades, Corporate Sector Proceeds Cautiously Neither Boom Nor Bust as Global Economy Muddles Along + • Fiscal and monetary stimulus waning • Corporate sector has ample liquidity for investment • Lack of confidence, lingering excess capacity • Modest growth in capital spending to maintain capital stock • Euroland growth dependent on external demand • U.S. consumer spending remains net positive; signs of domestic demand growth in Asia • Higher oil prices drag on growth • Risk of Chinese hard landing has abated 0 Cyclical Implications • Global growth will slow relative to recent robust pace • Central bankers will remain accommodative given benign inflationary pressures • Higher volatility given leverage in the system • U.S. interest rates rangebound near current levels 9 PIM C 0 Outcome of Election Not Significant For Bondholders • Neither candidate for U.S. President is likely to implement significant reduction in budget deficit • Distribution of spending, not magnitude, differs between candidates • Therefore, outcome of election will not have significant impact on interest rates SOURCE: Bloomberg Financial Markets 300 200 100 ~ 0 ~ ~ -100 .2 iii -200 -300 -400 -500 Federal Budget Balance 60 64 68 72 76 80 84 88 92 96 00 04 10 PIM C 0 Oil Prices Will Act as a Modest Drag • Inflation adjusted oil prices are well below 1970s levels • U.S. demand is near historical lows • Fed model: a permanent $10 increase in oil would result in a 0.2% drop in GDP and a 0.5% increase in inflation SOURCE: Wall Street Journal, Office of Management and Budget 100 80 60 :0 .0 ........ * 40 20 0 so 10 8 ~ ~ !:., 6 ..., C Q) u 4 I... Q) a.. 2 0 73 11 Historical Price of West Texas Crude in 2004 Dollars 53 56 59 62 65 68 71 74 77 80 83 86 89 92 95 98 01 04 U.S. Nominal Oil Demand as a Percent of GDP 74 76 78 80 81 83 85 87 88 90 92 94 95 97 99 01 02 04 PIM C 0 Flexibility Key When Seeking Value in Volatile Market Interest Rate Strategies • Duration: Below-in'de~ with tac.tical adju.stments • Maturity Mix: Sh0rt to interhiediate focus has structural benefits Core Strategies • U.S. Treasuries: Seek value when market overestimates rate rise; retain current exposure to TIPS Tactical Strategies • lllloi1gages: Currently fully-valued; focus on coupon selection • Corporates: Diminished risk-adjusted value du.e to narrow spreads • Non-U.S.: Shift emphasis to intermediate portion of European yield curve • Emerging Markets: Seek opportunity to boost allocation as issuers prefund future obligations • Municipals: Less volatile than Treasuries 12 PIM C 0 PIMCO Update -Continuing to Improve to Meet Client Needs Focused on Managing Client Assets Committed to Client Education via PIMCO Institute Positioned to Develop Strategies to Meet Client Needs Assets and staffing as of September 30, 2004. • Assets under management: $415 B -Process and philosophy unchanged -Introduced strategies building on fixed income and derivative expertise • Staff update -228 investment professionals • Pending regulatory issues resolved • Completed Fall educational seminars in Newport Beach • Visiting client seminars -"Derivatives and Risk Management" • Opportunities for custom client education • All Asset Fund • StocksPLUS Total Return • CommodityRealReturn • International StocksPLUS 13 PIM C 0 ~ Building on Fixed Income Expertise to Meet Client Needs Strategy Description Assets Traditional: Total Return Long Duration Moderate Duration Low Duration Short-Term Money Market Stable Value Sector-Specific: Credit: ln\estment Grade Corporates High Yield Di\ersified Income CBO/CLO Mortgages Global Emerging Markets Municipals Real Return: Real Return Commodity Real Return All Asset, All Asset All Authority RealEstateRealReturn Equity PLUS: StocksPLUS and StocksPLUS Total Return Other PIMCO's flagship style: Core/ 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 Combines passive equity index exposure with active bond management Includes private placement investments and convertibles $174.6 12.6 7.3 21.2 15.9 0.8 17.7 7.4 18.3 1.6 5.5 9.7 48.0 6.5 7.7 24.2 5.6 3.3 0.0* 25.5 0.3 Total Assets Under Management: $415.0 B Assets as of September 30, 2004; Growth year-to-date since Deceml)er 31, 2003. Potential differences in asset totals are due to rounding. * RealEstateRealReturn total assets are $248 M, of which $187 M are accounted for by All Asset strategies. YTD Growth $2.4 2.8 0.0 (0.2) 5.4 0.1 1.0 2.3 (0 .2) 1.1 (1 .0) 0.6 11 .2 1.2 (0.4) 7.6 4.0 2.3 0.0 1.7 (0.1) $42.4 B 14 PIM C 0