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2005-05-11
\ MINUTES OF FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE MEETING Orange County Sanitation District Wednesday, May 11, 2005, 5:00 p.m. A meeting of the Finance, Administration and Human Resources Committee of the Orange County Sanitation District was held on May 11, 2005, 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 Bill Dalton Rich Freschi Phil Luebben Darryl Miller James W. Silva DIRECTORS ABSENT: Steve Anderson, Board Chair Jim Ferryman, Vice Board Chair Mike Duvall, Vice Chair Joy Neugebauer OTHERS PRESENT: Brad Hagin, General Counsel Ed Soong, Financial Advisor Randy Fuhrman STAFF PRESENT: Blake P. Anderson, General Manager Gary Streed, Director of Finance/Treasurer Lisa Tomko, Director of Human Resources David Ludwin, Director of Engineering Bob Ooten, Director of Operations & Maintenance Mike White, Controller Jeff Reed, Human Resources Manager Jim Herberg, Engineering Manager Juanita Skillman, Records Management Specialist Sonja Wassgren, Public Information Specialist Penny Kyle, Committee Secretary Lilia Kovac, Assistant Board Secretary FILED lN THE OFFICE OF THE SECRETARY ORANGE COUNTY Cl A ITATION DISTRICT MAY 2 5 2005 (2) APPOINTMENT OF CHAIR PRO TEM BY _-1--/..,:_<;..:..' --==== No appointment was necessary. (3) PUBLIC COMMENTS Randy Fuhrman encouraged the Directors to increase user fees to the maximum allowable for 2005/06 in order to reduce the dollar amount that would need to be borrowed. He reminded the Directors that an increase of 15% would only replace the amount being taken by the State for this year and next year. (4) REPORT OF THE COMMITTEE CHAIR Committee Chair Moore had no report. Minutes of the Finance, Administration and Human Resources Committee Meeting Page 2 March 9, 2005 (5) REPORT OF THE GENERAL MANAGER Blake Anderson, General Manager, reported that SB926 (Florez) has been approved by the California Senate, and the Assembly will now address it. This bill would allow Kern County to ban the use of the District's biosolids. Staff is working towards defeating the bill. Senator Florez has also introduced a new bill, SB120, which would require the State Water Resources Control Board, in coordination with other regulatory agencies, to conduct a study on management options of biosolids, as well as monitoring and indemnification provisions. Staff is in support of SB120. Mr. Anderson advised he had met the prior week with Kern County Supervisor Ray Watson regarding groundwater contamination and Kern County's concerns. A small portion of the groundwater supply lies under a corner of the Tule Ranch property that is used for the District's biosolids. Meetings will continue to be held to discuss possible solutions to this issue. It was also reported that the local Electrical Union has been attempting to contact the Board of Directors regarding allegations against Helix Electric, Inc., a subcontractor for J.F. Shea, the low bidder for the Headworks Replacement at Plant No. 2, Job No. P2-66. The Engineering Department is investigating the allegations and will provide a report of their findings to the Board of Directors at the May 25th board meeting. Dave Ludwin, Director of Engineering and Jim Herberg, Engineering Manager, were then recognized who gave an overview of the Capital Improvement Program (CIP). The CIP includes over 120 projects and is composed of four major components: collections system rehabilitation; treatment plants rehabilitation/upgrades; secondary treatment upgrades; and additional capacity. Directors entered into a brief discussion regarding the pending user rate increase, and the justification to increase the rates to $151 annually. (6) REPORT OF DIRECTOR OF FINANCE/TREASURER Gary Streed, Director of Finance, referred the Directors to three items distributed that evening: Treasurer's report, a spreadsheet regarding the Operations & Maintenance budget items, and a copy of that evening's power point presentation by Ed Soong of Public Resources Advisory Group. (7) REPORT OF DIRECTOR OF HUMAN RESOURCES Lisa Tomko, Director of Human Resources, did not make a report. (8) REPORT OF DIRECTOR OF COMMUNICATIONS & ADMINISTRATIVE SERVICES Carol Beekman, Director of Communications & Administrative Services, was not present. Minutes of the Finance, Administration and Human Resources Committee Meeting Page 3 March 9, 2005 (9) REPORT OF GENERAL COUNSEL Brad Hogin, General Counsel, reported on AB528, which would allow the citizenry to sue for water act violations. CASA is working towards defeating the bill. (10) CONSENT CALENDAR ITEMS Director Miller requested Item 1 0(b) be pulled from the Consent Calendar for consideration separately. a. Approve minutes of the April 13, 2005, Finance, Administration and Human Resources Committee meeting. b. FAHR05-35 Item pulled for discussion. c. FAHR05-36 Receive and file Certificates of Participation (COP) Monthly Report. d. FAHR05-37 Receive and file Employment Status Report as of April 18, 2005. e. FAHR05-38 Receive and file OSHA Incidence Rates and Workers' Compensation Claims and Costs Report. f. FAHR05-39 Receive and file SWAP Report for the quarter ended March 31, 2005. g. FAHR05-40 Recommend to the Board of Directors to receive and file the 2004/05 Third Quarter Financial Report for the period ending March 31, 2005. h. FAHR05-41 Recommend to the Board of Directors to receive and file Quarterly Investment Management Program Report for the period January 1, 2005 through March 31, 2005. i. FAHR05-42 Receive and file report on clarification of the use of a single insurance MOTION: broker of record. It was moved, seconded and duly carried to approve the recommended actions for items specified as 1 0(a), and (c) through (i) under Consent Calendar. END OF CONSENT CALENDAR Minutes of the Finance, Administration and Human Resources Committee Meeting Page 4 March 9, 2005 b. FAHR05-35 Recommend to the Board of Directors to receive and file Treasurer's MOTION: Report for the month of April 2005. Clarification was requested regarding conflicting information between the PIMCO report and that month's Treasurer's Report. Gary Streed, Director of Finance, advised the PIMCO report was based on the last quarter (January, 2005 -March 2005), and the Treasurer's Report included information through April 2005. It was moved, seconded and duly carried to recommend to the Board of Directors to receive and file the Treasurer's Report for the month of April 2005. (11) ACTION ITEMS a. FAHR05-43 Direct staff and Public Resources Financial Group to proceed with plans MOTION: for a 2005/06 COP issue that incorporates the features of both variable and fixed rate borrowing in order to take advantage of the current low rates and the shape of the yield curve and to minimize interest costs and risks. Gary Streed introduced Ed Soong of Public Resources Advisory Group. Mr. Soong reviewed the financing options for fixed and variable rates of issue, and the District's outstanding debt profile. It is currently anticipated the District will issue $200 million in certificates of participation for 2005/06. Mr. Streed responded to Directors' questions and advised he would be bringing this issue back to the Committee in the next few months. It was moved, seconded and duly carried to approve the recommended action. (12) INFORMATION PRESENTATIONS a. FAHR05-44 FY 2005/06 Proposed Material, Supplies & Services Operating & Maintenance Budget Items Mike White, Controller, presented the proposed Material, Supplies & Services Operating & Maintenance budget items. He referred the Directors to a handout that listed line items for this portion of the budget. Directors requested additional information for the increase for postage and reproduction costs be provided to them. (13) CLOSED SESSION There was no closed session. ROLL CALL FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE Meeting Date: May 11, 2005 Time: 5:00 p.m. Adjourn: COMMITTEE MEMBERS Roy Moore (Chair) Mike Duvall (Vice Chair) Bill Dalton Richard Freschi Phil Luebben Darryl Miller Joy Neugebauer James W. Silva Steve Anderson (Board Chair) Jim Ferryman (Board Vice Chair) OTHERS Brad Hogin, General Counsel I Don Hughes I 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 c: Lenora Crane AGENDA REGULAR MEETING OF THE FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE (1) (2) ORANGE COUNTY SANITATION DISTRICT WEDNESDAY, MAY 11, 2005, AT 5:00 P.M. ADMINISTRATIVE OFFICE 10844 Ellis Avenue Fountain Valley, California 92708 www.ocsd.com Agenda Posting: In accordance with the requirements of California Government Code Section 54954.2, this agenda has been posted in the main lobby of the District's Administrative offices not less than 72 hours prior to the meeting date and time above. All written materials relating to each agenda item are available for public inspection in the office of the Board Secretary. Items Not Posted: In the event any matter not listed on this agenda is proposed to be submitted to the Committee for discussion and/or action, it will be done in compliance with Section 54954.2(b) as an emergency item or because there is a need to take immediate action, which need came to the attention of the Committee subsequent to the posting of agenda, or as set forth on a supplemental agenda posted in the manner as above, not less than 72 hours prior to the meeting date. Accommodatior;is f0r,the Disabled: The Board of Directors Meeting Room is wheelchair accessible. If you require any special disability related accommodations, please contact the Orange County Sanitation District Board Secretary's office at (714) 593-7130 at least 72 hours prior to the scheduled meeting. Requests must specify the nature of the disability and the type of accommodation requested. Items Continued: Items may be continued from this meeting without further notice to a Committee meeting held within five (5) days of this meeting per Government Code Section 54954.2(b)(3). Meeting Adjournment: This meeting may be adjourned to a later time and items of business from this agenda may be considered at the later meeting by Order of Adjournment and Notice in accordance with Government Code Section 54955 (posted within 24 hours). ROLL CALL APPOINTMENT OF CHAIR PRO TEM, IF NECESSARY Book Page l May 11, 2005 (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) (5) REPORT OF COMMITTEE CHAIR REPORT OF GENERAL MANAGER a. Capital Improvement Program (CIP) Review (Dave Ludwin -30 minutes) (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) CGNSENT CALENDAR ITEMS Consideration of motion to approve all agenda items appearing on the Consent Calendar not specifically removed from same, as follows: ~·•'"""•i•••• ................... , .................. -•..,•••-•••. ••. •"oun-· .. ••·••••••·• ..... ·•·•·• .. •• .... • .. ••••-•• .. •••• ..... .,_,u .. ,ooHHH<M'••••• .. • .. ••~•••--•• .. •• ...... u._u_,,_ .. ,,__.. ..... ,••••• .. ••uoou••••••• .. •••.....-..-•·•-•••••• .. •·••• .. -•••••••• ........... , .. ,, .. ,, !All matters placed on the consent calenda-r are considered as not requiring discussion or further explanation and ! ! unless any particular item is requested to be removed from the consent calendar by a Director-or staff member, \ I • \there will be no separate discussion of these items. All items on the consent calendar will be enacted by one j )action approving all motions, and casting a unanimous ballot for resolutions included on the consent calendar. All f !items removed from the consent calendar shall be considered in the regular order of business. i ! : !The Chair will determine if any items are to be deleted from the consent calendar. I ; • .., ..... ••-•·••••••••••••~•• • ••• · •~•••-, .............. ••••n•n• .. •••••••••••••• .. ••••••--••••" ·· v,,,,,., ..... •••-•·•·•••••• ............... ..,~,u ,,, .. ,.,,,. .. ,, .. ••~•, ••, •••••••••""""' n •••l"•~••••••••••u•• ,_ ............... ,, ............... ~••~• .... • .. •~••• .... ,•• a. Approve minutes of the April 13, 2005, Finance, Administration and Human Resources Committee meeting. 2 Book Page 2 May 11, 2005 b. FAHR05-35 Recommend to the Board of Directors to receive and file Treasurer's Report for the month of April 2005. The Treasurer's Report will be distributed at the FAHR Committee meeting in accordance with the Board-approved Investment Policy, and in conformance to the Government Code requirement to have monthly reports reviewed within 30 days of month end. c. FAHR05-36 Receive and file Certificates of Participation (COP) Monthly Report. (Book Page 13) d. FAHR05-37 Receive and file Employment Status Report as of April 18, 2005. (Book Page 19) e. FAHR05-38 Receive and file OSHA Incidence Rates and Workers' Compensation Claims and Costs Report. (Book Page 25) f. FAHR05-39 Receive and file SWAP Report for the quarter ended March 31, 2005. (Book Page 31) g. FAHR05-40 Recommend to the Board of Directors to receive and file the 2004/05 Third Quarter Financial Report for the period ending March 31, 2005. (Book Page 35) h. FAHR05-41 Recommend to the Board of Directors to receive and file Quarterly Investment Management Program Report for the period January 1, 2005 through March 31, 2005. (Book Page 37) i. FAHR05-42 Receive and file report on clarification of the use of a single insurance broker of record. (Book Page 73) END OF CONSENT CALENDAR Consideration of items deleted from Consent Calendar, if any. (11) ACTION ITEMS a. FAHR05-43 Direct staff and Public Resources Financial Group to proceed with plans for a 2005/06 COP issue that incorporates the features of both variable and fixed rate borrowing in order to take advantage of the current low rates and the shape of the yield curve and to minimize interest costs and risks. (Book Page 79) (Gary Streed -20 minutes) (12) INFORMATIONALPRESENTATIGNS a. FAHR05-44 FY 2005/06 Proposed Material, Supplies & Services Operating & Maintenance Budget Items (Book Page 93) (Mike White -20 minutes) 3 Book Page 3 May 11, 2005 (13) CLOSED SESSION ! During the course of ~onducting the~ business set forth on this agenda as a regular ~eeting of the ; 1 Committee, the Chair may convene the Committee in closed session to consider matters of pending real l 1 estate negotiations, pending or potential litigation, or personnel matters, pursuant to Government Code I ! Sections 54956.8, 54956.9, 54957 or 54957.6, as noted. j I Rep0rts relatin•g to (a) purchase and sale of real propertY; (b) mattEjlrs of pending or P,Otential litigation; (c) I t employee actions or negotiations with employee representatives; or which are·exempt fmm publie di~closure \ l under the California Public Records Act, may be revie_wed by the Comm1ttee during a permitted elosed I ; session and are not available for public inspection. At such tirne·as final ~ctions are taken by th~ C0mmittee ! : on any of these subjects, the minutes will reflect all required disclosures ot"information. l L ....... •--••-~•u .-.nH••n•••u••••• .... ••·~••••~ .. •·•· .. •-•••n.,_,,,,H..,,,u,u,.,.. ••• ,... ............. ,_,_,,, ,ou•ou••••••••·. ••, .......... •••H-u••·••••••• .. ••noo·o.,.,,_,,_,..,,._u ...... u ,o•uo•ou,,,,..,, .. , ',,.,,.,. '. ,.,,,, .. _ .. ,_, ....................... i a. Convene in closed session. b. Reconvene in regular session. c. Consideration of action, if any, on matters considered in closed session. (14) OTHER BUSINESS, COMMUNICATIONS OR SUPPLEMENTAL AGENDA ITEMS, IF ANY (15) MATTERS WHICH A DIRECTOR MAY WISH TO PLACE ON A FUTURE AGENDA FOR ACTION AND STAFF-REPORT (16) FUTURE MEETING DATES The next Finance, Administration and Human Resources Committee Meeting is scheduled for June 8, 2005, at 5 p.m. (17) ADJOURNMENT r;:::::~~~:::::::;::::da or to:::~~:::::::.:::::nda, Committee membera should contaci ~e l !Committee Chair or Secretary ten days in advance of the Committee meeting. ! I ! !Committee Chair: Roy Moore (714) 990-7703 ! ,committee Secretary: Penny Kyle (714) 593-7130 pkyle@ocsd.com I \General Manager Blake Anderson (714) 593-7110 banderson@ocsd.com f )Director of Finance Gary Streed (714) 593-7550 gstreed@ocsd.com !,. )Director of Human Resources Lisa Tomko (714) 593-7145 ltomko@ocsd.com ~ Director of Communications & Carol Beekman (714) 593-7120 cbeekman@ocsd.com I !'Adml.nistrative Services·-·······-··-··-----······················-··.·······-···-··-··-··-······ .................................. _.,.. ···-.. ······-······························-··-·····-············,· ............... J H:\dept\agenda\FAHR\FAHR2005\0505\01 .3.FAHR Agenda.doc 4 Book Page 4 Book Page 6 MINUTES OF FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE MEETING Orange County Sanitation District Wednesday, April 13, 2005, 5:00 p.m. A meeting of the Finance, Administration and Human Resources Committee of the Orange County Sanitation District was held on April 13, 2005, 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 Bill Dalton Rich Freschi Phil Luebben Darryl Miller Joy Neugebauer James W. Silva DIRECTORS ABSENT: Steve Anderson, Board Chair Jim Ferryman, Vice Board Chair OTHERS PRESENT: Brad Hogin, General Counsel Don Hughes STAFF PRESENT: Blake P. Anderson, General Manager Gary Streed, Director of Finance/Treasurer Carol Beekman, Director of Communications & Administrative Services Lisa Tomko, Director of Human Resources David Ludwin, Director of Engineering Bob Ghirelli, Director of Technical Services Patrick Miles, Director of Information Technology Mike White, Controller Jeff Reed, Human Resources Manager Doug Cook, Operations Manager Penny Kyle, Committee Secretary Anne Marie Feery, Purchasing/Contracts Supervisor Edith Smith, Financial Analyst Juanita Skillman, Records Management Specialist Lilia Kovac, Assistant Board Secretary (2) APPOINTMENT OF CHAIR PRO TEM No appointment was necessary. (3) PUBLIC COMMENTS There were no public comments. (4) REPORT OF THE COMMITTEE CHAIR Committee Chair Moore had no report. (5) REPORTOFTHEGENERALMANAGER Blake Anderson, General Manager, requested that Item 11 (b), Biosolids Update, be considered at this time. Bob Ghirelli, Director of Technical Services, reported that the OMTS Committee approved unanimously to recommend to the Board of Directors at the April board meeting to authorize the BookPage 7 Minutes of the Finance, Administration and Human Resources Committee Meeting Page2 March 9, 2005 General Manager to negotiate final terms and conditions for a contract with EnerTech Environmental, Inc. to manage biosolids at their facility in Rialto, California and to return the contract to the Board of Directors for approval; and to approve Amendment No. 1 to the Memorandum of Understanding with South Orange County Wastewater Authority (SOCWA), authorizing the General Manager to continue participation with Phase II work including the on- going preliminary facility design, permitting, and community relations activities for the development of a composting facility at the Prima Deshecha Landfill in South Orange County, as managed by SOCWA, for an amount not to exceed $150,000. Dr. Ghirelli and Anne Marie Feery, Purchasing/Contracts Supervisor, provided a brief presentation on the current and the long-range biosolids management program, the regulatory, legislative and litigation issues, and the intensive request-for-proposals process undertaken to arrive at staff's recommendation. Dr. Ghirelli responded to Directors' questions regarding the application of technology utilized by EnerTech. Blake Anderson also reported on problems encountered on the Groundwater Replenishment System project. While tunneling underneath the Santa Ana Freeway near the Santa Ana River, large amounts of construction debris have been encountered and have damaged the construction equipment. (6) REPORT OF DIRECTOR OF FINANCE/TREASURER Gary Streed, Director of Finance, reported staff has not heard from Moss Levy, the District's contract internal auditor. He advised he was reluctant to contact the firm since they work for the Directors. After a brief discussion with the Directors, staff was directed to contact Moss Levy and request Moss Levy to attend an upcoming FAHR Committee meeting if they wanted to receive additional direction from the Directors. Mr. Streed advised there were some changes on the fee ordinance that would be introduced at the April board meeting for the first reading that would be covered later in the evening. (7) REPORT OF DIRECTOR OF HUMAN RESOURCES Lisa Tomko, Director of Human Resources, updated the Committee on the recruitments for the Director of Operations and Maintenance and the Director of Finance. Recruitment for the Director of Operations and Maintenance should be concluded within the next two weeks and should allow for some overlapping time for cross-training. Ms. Tomko referred to recruitment packages distributed that evening for the Director of Finance position that will be utilized, and it is hoped the position will be filled prior to Gary Streed's retirement. (8) REPORT OF DIRECTOR OF COMMUNICATIONS & ADMINISTRATIVE SERVICES Carol Beekman, Director of Communications & Administrative Services, updated the Directors on the activities and accomplishments for the past quarter on the Communications and Administrative Services Strategic Plan for FY 2004/05 (Agenda Item No. 12(a)). Ms. Beekman advised the department would be renamed the Public Affairs Office effective July 2005, and the next update and a new Public Affairs Strategic Plan for FY 2005/06 would be provided at the July meeting. BookPage 8 Minutes of the Finance, Administration and Human Resources Committee Meeting Page3 March 9, 2005 (9) REPORT OF GENERAL COUNSEL Brad Hagin, General Counsel, provided an update on the SAWPA dispute. The negotiating team has successfully negotiated a memorandum of understanding that has been approved by SAWPA's board and has authorized dismissal of their lawsuit. (10) CONSENT CALENDAR ITEMS a. Approve minutes of the March 9, 2005, Finance, Administration and Human Resources Committee meeting. b. FAHR05-21 Recommend to the Board of Directors to receive and file Treasurer's Report for the month of March 2005. The Treasurer's Report will be distributed at the FAHR Committee meeting in accordance with the Board- approved Investment Policy, and in conformance to the Government Code requirement to have monthly reports reviewed within 30 days of month end. c. FAHR0S-22 Receive and file Certificates of Participation (COP) Monthly Report. d. FAHR05-23 Receive and file Employment Status Report as of March 23, 2005. e. FAHR0S-24 Receive and file OSHA Incidence Rates and Workers' Compensation Claims and Costs Report. f. FAHR0S-25 Recommend to the Board of Directors to adopt Resolution No. OCSD05- _, Adopting Policies and Procedures for the District's Records Management Program, Records Retention, and Destruction of Obsolete Records, and Repealing Resolution No. OCSD 04-07. g. FAHR05-26 Receive and file update on Health Insurance Benefit Program for FY0S/06 (information only). h. FAHR0S-27 Recommend to the Board of Directors to authorize the General Manager MOTION: to issue a purchase order contract to Dharma Consulting to provide continuing professional services to assist executive and senior staff with ongoing strategic planning, executive management team coaching and team development; and staff team building, for a monthly amount not to exceed $15,000, for up to 12 months, for a total amount not to exceed $180,000. 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 BookPage 9 Minutes of the Finance, Administration and Human Resources Committee Meeting Page4 March 9, 2005 (11) ACTION ITEMS a. FAHR05-28 Recommend to the Board of Directors the approval of new non-residential MOTION: user fee codes for Laundromats and Nightclubs, and set the user fee rates equivalent to 1,800 percent and 200 percent of the Single-Family Residential Rate per 1,000 Square Feet, respectively; and adjust the user fee rate for Motels downward from 97 percent to 70 percent of the Single- Family Residence rate per 1,000 square feet. Mike White, Controller, provided a brief report on new non-residential user fees for Laundromats, Nightclubs and Motels. He also discussed reducing rates to single-family residence owners for low-income or low- usage. Staff believes that the additional costs to implement, monitor and administer a program for low-usage out weighs the positive benefits of the program. A low-income program would be contrary to California law as our fees must be related to use. It was moved, seconded and duly carried to recommend approval to the Board of Directors. b. FAHR05-29 Recommend to the Board of Directors to authorize and implement the Sanitary Sewer Service User Fee Schedule for FY 2005/06, based upon an annual Single-Family Residential user fee of $1 32.00. This fee must be enacted by Ordinance and approved by a 2/3 vote of all Directors Gary Streed, Director of Finance, reviewed briefly the five-year sewer user fee plan that was adopted in 2003, and referred to staff's evaluation on other alternatives contained within the staff report. He briefly reviewed the cash flow projections contained in the report. A motion was made and seconded to authorize and implement the Sanitary Sewer Service User Fee Schedule for FY 2005/06, based upon an annual Single-Family Residential user fee of $132. Directors entered into discussion debating the pros and cons of steeply increasing the rates from 15% to 30% for FY 2005/06, or considering raising the rates more steadily. A substitute motion was made to increase the user fees to $151, approximately 30%, for FY 2005/06, as publicly noticed in 2003. Directors discussed the likeliness of the Board of Directors approving such a steep increase based on actions taken the prior year. The substitute motion failed for lack of a second. Another substitute motion was made to increase the user fees 15% per year for each of the next five years. The substitute motion failed for lack of a second. Book Page 10 Minutes of the Finance, Administration and Human Resources Committee Meeting Pages March 9, 2005 Additional discussion ensued, and Directors were advised that the user fees could not have another five-year plan added to it without a formal public notice. The General Manager also advised that last year a multi- year recommendation was proposed and was not well received by the Board of Directors. There was a call for the question to consider staff's recommendation, to authorize and implement the Sanitary Sewer Service User Fee Schedule for FY 2005/06, based upon an annual Single-Family Residential user fee of $132.00. The motion was approved by a vote of 7 ayes and 1 opposed. c. FAHR05-30 Approve a consulting service agreement for External Financial Auditing MOTION: Services, Specification No. CS-2005-217, with Conrad & Associates for a five-year period beginning with the audit of the financial statements for FY 2004-05, at the following maximum annual fees: FY 2004-05 FY 2005-06 FY 2006-07 FY 2007-08 FY 2008-09 $46,550 47,795 49,040 50,315 51 ,590 Mike White provided a brief report, and requested the recommendation be stated more clearly with regard to the annual costs and payment of said costs, as follows: FY Year FY of Auditing Maximum Being Audited Services Contract Annual Fees FY 2004-05 FY 2005-06 $46,550 FY 2005-06 FY 2006-07 47,795 FY 2006-07 FY 2007-08 49,040 FY 2007-08 FY 2008-09 50,315 FY 2008-09 FY 2009-10 51,590 It was moved, seconded and duly carried to recommend approval to the Board of Directors, as modified. (12) INFORMATION PRESENTATIONS a. FAHR05-31 Communications and Administrative Services Strategic Plan FY 2004-05/Quarterly Update This report was provided under the Director of Communications and Administrative Services Report (Item 8). b. FAHR05-32 Biosolids Update This report was provided under the Report of General Manager (Item 5). c. FAHR0S-33 Staffing and Organizational Proposals for FY 05/06. Book Page 11 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. 05/11/05 Item Number Item Number FAHR05-36 SUBJECT: CERTIFICATES OF PARTICIPATION (COP) MONTHLY REPORT -APRIL 2005 GENERAL MANAGER'S RECOMMENDATION Receive and file Certificates of Participation (COP) Monthly Report for the month of April 2005. SUMMARY The District began issuing Certificates of Participation (COPs) on a variable interest rate basis in 1990. These variable rate COPs were a part of our long-term financing plan which also included some more traditional fixed rate borrowing. In 1992 and 1993, some of the fixed rate COPs were refunded and replaced with synthetic-fixed rate COPs. These are variable interest rate COPs that are also subject to a long-term fixed-rate interest exchange agreement (SWAP). The SWAP provides the maximum interest rate to be paid by the District, and is less costly than traditional fixed rate borrowing. In August 2000, the entire financing program was restructured and modernized to incorporate and take advantage of the consolidation of District books of account and revenue structure. This process has reduced the number of COP issues from five to three; 1992 Refunding COPs, 1993 Refunding COPs and 2000 Refunding COPs. The 2000 COPs can be divided into Series A and Series B, if additional remarketing agents are desired. In August 2003, the District issued $280 million of fixed rate COPs, Series 2003, that have varying coupon rates that are matched against the varying maturity dates. The true interest cost for the entire issue is 5.15 percent. Variable interest rate COPs can be put back on the market by the buyer each day. When this happens, they must be remarketed or sold to another buyer. This process, called remarketing, is generally provided by a municipal bond underwriter. The remarketing agent sets the interest rate they believe is required to sell the COPs. Some issuers believe that having more than one remarketing agent promotes competition and results in lower interest costs. Staff has monitored variable interest rate issues of other agencies since the inception of our program. The attached charts are described in the "Additional Information" section of this agenda report. They are provided monthly to compare our actual interest rates to a composite index, and to other selected issuers of similar credit quality, and with COP issues of similar amounts. Many variables affect interest rates, but staff expects our rates to be among the lowest. PRIOR COMMITTEE/BOARD ACTIONS N/A Book Page 13 PROJECT/CONTRACT COST SUMMARY N/A BUDGET IMPACT D This item has been budgeted. (Line item: ) D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. [gl Not applicable (information item) ADDITIONAL INFORMATION The first graph entitled, "OCSD COP Rate History Report," shows the actual variable interest rates paid on each of the daily rate COPs since the last report, and the effective fixed rate for the two refunding issues which are covered by an interest rate exchange agreement commonly called "swap." The second bar chart entitled, "Comparative Daily COP Rate History Report," shows the performance of the District's Daily Rate COPs as compared to a composite index rate, which represents the average rate of six similar variable rate daily reset borrowings. The third bar chart entitled, "COP Rate History, Comparison of Highest & Lowest Rates," compares the performance (monthly average interest rate) of the District's Daily Rate COPs with the highest and lowest monthly average rates from among six similar variable rate daily reset COPs. The table entitled, "COP Rate History, Comparison of Monthly Averages," shows the monthly variable interest rate performance of the District's Daily Rate COPs as compared to the composite index. Estimated annual interest payments calculated for a standard $100 million par amount, are also shown. Variable rates historically rise at the end of each calendar quarter, and especially at year-end, because of business taxes and liquidity requirements. The rates tend to decline to prior levels immediately in the following month. Staff maintains continuous rate monitoring and ongoing dialog with the remarketing agents to keep the Committee fully informed about developments in the program as they may occur. ATTACHMENTS 1. Graph -OCSD COP Rate History Report 2. Graph -Comparative Daily COP Rate History Report 3. Graph -COP Daily Rate History, Comparison of Highest & Lowest Rates 4. Tabular -COP Rate History, Comparison of Monthly Averages GGS:MW:lc H:\dept\agenda\FAHRIFAHR2005\0505\05-36.COP.doc Revised: 06104103 Book Page 14 Page 2 I I SO 'JdV I I-D:: so 'J&II\I 0 . CL w D:: so'qa.:1 ~ 0 I so'uer I X I-w C u, . :!!!: -w :::c: I I- vo 'oaa uj 0 w I a. :ii I- I 0 U) 0 ~ • 0 I 0 I 170 'AON 0 CL N 0 0 N 0 --a ·-C ... I IQ (.) C") C. vO 'JOO 91 > <C I ., ., ...J Cl) a. -I 8 <C vo 'das I C C Cl) 0 0 w • > I vo '5nv -I I-~ <C vo '1nr CL ~ ~ 0 vo'unr 0 ! I vo ·~e1111 I 0 0 0 0 0 0 0 0 ~ ~ w ..,j, Cf) C'i ..... 0 I- (%)3!V}J ,c C BookPage 16 to 0 ~ '"Cl d'ci (1) ...... 00 DAILY COP RA TE HISTORY COMPARISON OF MONTHLY AVERAGES MAY 2004 -APR 2005 OCSD $218.6M $46M Series 2000 Series 93 Ref PaineWebber PaineWebber May-04 1.05 1.05 Jun-04 1.02 1.02 Jul-04 0.99 0.99 Aug-04 1.15 1.15 Sep-04 1.34 1.34 Oct-04 1.67 1.67 Nov-04 1.52 1.52 Dec-04 1.55 1.55 Jan-05 1.70 1.70 Feb-05 1.76 1.76 Mar-05 1.86 1.86 Apr-05 2.42 2.42 AVERAGE 1.50% I 1.50% ESTIMATED ANNUAL INTEREST PAYMENTS PER $100M PAR AMOUNT $ 1,502,soo I $ 1,502,500 I $ • FOOTNOTE Composite index consists of the following COP transactions: . IRWD, Series 86-COP, 88, 95, $106.1M, Citigroup . I RWD, Series C-Ref 93-B, 85-B, $62.1 M, Lehman Brothers . IRWD, Series 91, 93, 85, $93.0M, PaineWebber . IRWD, Series 89, C-Ref 93-A, C-Ref 95, $70.9M, Merrill Lynch Composite Index• 1.03 1.00 0.97 1.13 1.32 1.65 1.51 1.54 1.69 1.74 1.84 2.40 1.49% 1,485,000 . Western Riverside Co. Reg. Wastewater Auth., Series 96, $25.4M, PaineWebber . Orange Co., lrvineCoastAsst. Dist. 88-1, $94.5M, J.P. Morgan FAHR CO MMI TTEE Meeting Date 05/11/05 AGENDA REPORT Item Number FAHR05-37 Orange County Sanitation District FROM: Lisa L. Tomko, Director of Human Resources Originator: Lisa Arosteguy, Human Resources Supervisor SUBJECT: EMPLOYMENT STATUS REPORT AS OF APRIL 18, 2005 GENERAL MANAGER'S RECOMMENDATION Receive and file the Employment Status Report SUMMARY The number of full-time equivalent (FTE) employees at OCSD is 594.5; actual headcount is 604. PRIOR COMMITTEE/BOARD ACTIONS N/A 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 • Promotions: There were five promotions: To Bd. of Dir: Item Number o David Andrade was promoted from Mechanic to Senior Mechanic (Regional Assets & Services) o Jerry Evangelista was promoted from Senior Engineer to Engineering Supervisor (Source Control) o Phil Peterson was promoted from Cost Estimator to Principal Staff Analyst (Project Management Office) o Peter McGrath was promoted from Senior Plant Operator to Operations Supervisor (Operations, Plant 1) o Kym Forman was promoted from Accounting Assistant II to Administrative Assistant (Project Management Office) H:\deptlagenda\FAHRIFAHR2005\0505\05-37.Employment Status.doc Revised: 06/04/03 Book Page 19 Page 1 • New Hires: There were three new hires: o Construction Inspector (Engineering and Construction) o Electrical Technician II (Instrumentation & Electrical Maintenance) o Associate Engineer Ill (Engineering & Construction) • Terminations: There was one termination: o Intern (Communications) ALTERNATIVES N/A CEQA FINDINGS NIA ATTACHMENTS 1. April 18, 2005 Employment Status Report 2. Performance compared to budgeted FTE's H:ldept\agende\FAHRIFAHR2005\0505105-37.Employment Status.doc Revised: 06/04/03 Book Page 20 Page2 0:, 0 ~ ..,, I» Oq {D N - 700 - - - - - - - - - -+--AUTHORIZED FTE ---ACTUAL FTE / • • JUN JUL* 598 629 571.75 571.75 STAFFING REPORT • • • • • • • • • • • • • • • • AUG SEP OCT NOV FEB MAR APR MAY 629 629 629 629 629 629 629 629 576.25 578.25 581.50 584.00 587.50 588.00 592.00 594.50 • Authorized FTE as of July; actual FTE as of June 0:, 0 0 ;,;-- '"O :,, (JQ CD N vJ AUTHORIZED FTE DIV ft§! 0.60 0.76 110 General Management Admin 2.00 . . 120 Administrative Services 6.00 1.00 . 130 Communications 7.00 0.60 . General Management Totals 16.00 1.60 210 Finance Administration 2.00 . 220 Accounting 20.00 . 230 Purchasing & Warehousing 22.00 0,60 . Finance Totals 44.00 0.60 . 510 Human Resources Admin 7.00 . . Interns Intern Program (510) . 9.00 520 Employee Development/Training 3.00 530 Safely & Health 7.00 . 540 Employee Services 6.00 . . 540 Planned Recruitment& 2.00 . . Huma.n Resources Totals 26.00 9.00 . 610 Technical Services Admin 2.00 . . 620 Environmental Assessment 16.00 . 630 Environmental Sciences Lab 31.00 1.00 . 640 Source Control 40.00 - - 660 Environmental Compliance Svcs 18.00 -. Technlal Services Totals 111 .00 1.00 . 710 Engineering Admln 3.00 . . 740 Planning 16.00 . . 750 Project Management Office 17.00 . 0.7& 760 Engineering & Construction &8.00 . - Engineering Totals 94.00 . 0.76 810 O&M Administration 4.00 . . 420 Regional Asset& & Services 29.76 0.60 - 430 Faclllties Maintenance Svcs 32.00 0.76 . 820 O&M Process Engineering 16.00 0.60 . 830 Operations, Plant No. 1 39.00 0.7& 840 Operations, Plant No. 2 47.00 . 850 Mech Main! & Power Production 69.00 . 860 Electrical & Instrumentation Main! &4.00 . . Operations & Malnlillnance Totals 279.7& 1.76 0.7& 810 IT Administration 3.00 . . 830 IT Customer & Network Support 17.00 . 840 IT Programming & Database Sys 12.00 . . 850 IT Process Controls lntegrallon 13.00 . . lnfonn1tlon Technology Totals 46.00 . . GRAND TOTAL FTEs 613.7& 13.76 1.60 TOTAL ~UTHORIZED FTE 629.00 R:\540\open\Recruiting_shared\Position Control-FAHR REPORT.xis EMPLOYMENT STATU8 REPORT ACTUALFTE Recruitment& Vacancies TOTAL Bfil1. D.50 fU§ LOA TOTAL 2.00 2.DD . . . 2.00 . . 7.00 6.00 D.50 . 0.50 7.00 . - 7.60 7.00 0.50 . -7.50 -. 11.60 1s.oo 1.00 . a.so 1IUO . . 2.00 2.00 . . . 2.00 1.00 . 20.00 19.00 . -. 19.00 1.00 1.00 22.IO 19.00 0.50 -. 19.50 300 3.00 44.IO 40.00 a.so . . 4'1.60 s.oo 4.00 7.00 5.00 . . . 5.00 1.00 2 00 9.00 . 600 . . 8.00 1.50 300 3.00 3.00 . -. 3.00 -. 7.00 7.00 --. 7.00 1.00 . a.oo 6.00 -. . 8.00 . - 2.00 . . . . -. 2.00 34.00 21.00 IJ.00 . . 27.00 3.50 7.00 2.00 2.00 . --2.00 -- 1&.00 14.00 . . 14.00 . 1 00 37.00 35.00 2.00 . . 37.00 - 40.00 40.00 -. . 40.00 -. 11.00 18.00 ---18.0D . . 112.00 109.00 2.00 . . 111.00 -1.00 3.00 3.00 -. . 3.00 -. 11.00 15.00 . . . 16.DO . 1.00 17.7& 14.00 -0.75 -14.76 3.00 3.00 &1.00 SO.OD . -1.DD 61.0D 6.00 7 00 e.u& 82.00 . 0.75 1.00 13.75 9.00 11.00 4.00 4.00 . . . 4.00 1.00 - 311.2& 26.00 0.50 0.75 . 27.25 2.00 300 32.7& 31.00 0.75 . . 31.75 1.00 1 OD 1&.IO 13.00 . -. 13.00 3.50 250 38.75 38.00 -0.75 1.00 39.75 1.00 . 47.00 45.00 -. -45.00 2.00 200 a.oo SB.DO -. -SB.OD 1.00 1 OD 54.00 53.00 -. -BJ.OD 1.00 1.00 282.2& 2U.OO 1.25 1.50 1.00 271.75 12.50 10.60 3.00 3.00 --. 3.00 . - 17.00 18.00 . -1.00 17.00 . - 12.00 11.00 . . . 11.00 1.00 1.00 13.00 13.DD --. 13.00 . . 46.00 43.00 . . 1.00 4,4.00 1.00 1.00 678.00 10.76 2.26 3.60 i TOTAL I+ Total + Total Va!,!!nCles ACTUALFTE (less recrullmenls) 594.50 .......... 3.50 31.00 4/18/2005 Book Page 24 FAH R CO.MMI TTEE AGE NDA REPORT Orange County Sanitation District FROM: Lisa L. Tomko, Director of Human Resources Originator: James Matte, Safety & Health Supervisor Meeting o:ate To' Ba. of Dir. 05/11/05 Item Number Item Number FAHR05-38 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 three DART Cases District-wide for the period of January-March 2005. The industry average is 4.50 for the DART Case Incidence Rate while the District Incident Rate was 2.08 for the period of January-March 2005. There were seven OSHA Recordable Accidents District-wide for the period of January-March 2005. The industry average is 7.30 for the Total Injury Frequency Rate while the District Incident Rate was 4.86 for the period of January-March 2005. The Division also tracks the District's Workers' Compensation Claims and Costs. The District's claim count for Fiscal Year 2004-2005 is 14. The costs associated with these claims for year-to-date is $23,311, which includes medical bills, temporary disability payments, legal costs and a claim reserve account. PRIOR COMMITTEE/BOARD ACTIONS N/A PROJECT/CONTRACT COST SUMMARY N/A BUDGET IMPACT D This item has been budgeted. (Line item: ) D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. ~ Not applicable (information item) Revised: 06/04/03 Book Page 25 Page 1 ADDITIONAL INFORMATION The District had three DART cases and five other injuries that required only medical treatment for the period of January-March 2005. The reporting period is for 45 days prior to committee meeting. ALTERNATIVES NIA CEQA FINDINGS NIA ATTACHMENTS 1. OSHA Incidence Rates Reports for DART Cases and Total Injuries 2. Workers' Compensation Claims and Costs Revised: 06/04/03 Book Page 26 Page2 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 2004 -March 2005 totaled $115,848.88. 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 $61 ,583.96, which resulted in savings of $54,319.92 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 $296,135 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 $370,749 7 /1 /97 -6/30/98 45 1 $821,842 7 /1 /98 -6/30/99 38 2 $274,403 7 /1 /99 -6/30/00 43 2 $351,926 7/1/00-6/30/01 32 2 $402,793 7/1/01 -6/30/02 30 5 $437,382 7/1/02-6/30/03 18 4 $118,034 7/1/03-6/30/04 15 2 $92,885 7 /1 /04 -6/30/05 14 4 YTD $23,311 "Total Incurred" includes medical bills, temporary disability payments to employees, legal costs, and a claim reserve account. B00L Page 29 Book Page 30 FAHR COMMITTEE AGENDA REPORT Orange County Sanitation District FROM: Gary G. Streed, Director of Finance Originator: Michael D. White, Controller Meeting Date 05/11/05 Item Number FAHR05-39 SUBJECT: SWAP REPORT FOR THE QUARTER ENDED MARCH 31, 2005 GENERAL MANAGER'S RECOMMENDATION Receive and file Swap Report for the quarter ended March 31, 2005. SUMMARY To Bd. of Dir. 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 March 31, 2005: 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 Peer'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 December 31, 2004. As stated above, the District utilizes only two hedging product agreements, the AIG Swap agreement entered into in 1992, and the Soc Gen Swap Agreement, entered into in 1993. Book Page 31 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. January Paid by the District to the Swap Provider Paid by the Swap Provider on behalf of the District February 1992 Certificates AIG Swap Paid by the District to the Swap Provider $2,782,631.25 Paid by the Swap Provider on behalf of the District $ (774,635.89) March Paid by the District to the Swap Provider Paid by the Swap Provider on behalf of the District Requirement 1993 Certificates Soc Gen Swap $159,790.00 $ (55,932.25) $159,790.00 $ (56,773.26) $159,790.00 $ (66,404.45) 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 Standby Purchase Agreement Commitment fees for the quarter ended January 31, 2005: $67,964.96 H:ldeptlagenda\FAHRIFAHR2005\0505\05-39.SWAP doc Revised: 06/04/03 Book Page 32 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 six months ended January 31, 2005: $53,841.17 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 January 31, 2005: $71,993.63 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 and termination risk as of March 31, 2005: Counterparty Risk Termination Risk Requirement 1992 Certificates AIG Swap 1993 Certificates Soc Gen Swap $ 554,034 $2,824,875 $9,338,857 $2,125,771 The report shall also include a copy of this Policy in the quarter after it is adopted or subsequently modified. Results: No modifications have been made to the Policy since its adoption. PRIOR COMMITTEE/BOARD ACTIONS N/A H:ldeptlagenda\FAHRIFAHR2005\0505\05-39.SWAP.doc Revised: 06/04/03 Book Page 33 Page 3 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. IX] Not applicable (information item) ADDITIONAL INFORMATION N/A ATTACHMENTS None. H:\deptlagenda\FAHR\FAHR200510505105-39.SWAP doc Revised: 06/04103 Book Page 34 Page4 'f AHR COMMITTEE AGENDA REPORT Orange County Sanitation District FROM: Gary Streed, Director of Finance Originator: Michael D. White, Controller SUBJECT: THIRD QUARTER FINANCIAL REPORT FOR THE PERIOD ENDED MARCH 31, 2005 GENERAL MANAGER'S RECOMMENDATION Meeting Date 05/11/05 Item Number FAHR05-40 Receive and file FY 2004-05 Third Quarter Financial Report for the period ended March 31, 2005. SUMMARY To Bd. of Dir. 05/25/05 Item Number Attached in a separately bound document is the District's Third Quarter Financial Report for the period ended March 31, 2005. This report is a consolidation of the financial accomplishments of the District through the third quarter of fiscal year 2004-05. Contained within the Third 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, 69.35 percent, or $57.98 million of the FY 2004-05 net joint operating budget of $83.61 million has been expended. Net cost increased slightly by $130,000, or 0.22 percent in comparison with the same period last year. The total cost per million-gallons at March 31, 2005, is $866.65 based on flows of 66.91 billion gallons, or 244.18 million gallons per day. This is $49.67, or 5.42 percent below the budgeted cost per million gallons of $916.32. This lower cost is primarily due to net expenses being lower than the proportionate share of the budget through December 31, 2004 by 7.54 percent. This expense savings is somewhat offset by flows being 2.33 percent lower that the budgeted 250 million gallons per day. PROJECT/CONTRACT COST SUMMARY N/A H:\dept\agenda\FAHRIFAHR200510505\05-40.3rd Ort Financial Report.doc Revised: B/20/98 Book Page 35 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 N/A CEQA FINDINGS N/A ATTACHMENTS 1. FY 2004-05 Third Quarter Financial Report for the period Ended March 31, 2005. H:ldepllagenda\FAHRIFAHR2005\0505105-40.3rd Qrt Financial Report.doc Revised: 8/20/98 Book Page 36 Page2 FAHR COMMITTEE AGENDA REPORT Orange County Sanitation District FROM: Gary G. Streed, Director of Finance Originator: Michael D. White, Controller Meeting Date To Bet of Dir. 5/11/05 5/25/05 Item Number Item Number FAHR05-41 SUBJECT: QUARTERLY INVESTMENT MANAGEMENT PROGRAM REPORT FOR THE PERIOD JANUARY 1, 2005 THROUGH MARCH 31, 2005 GENERAL MANAGER'S RECOMMENDATION Receive and file the Quarterly Investment Management Program Report for the period January 1, 2005 through March 31, 2005. 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:ldept\agenda\FAHRIFAHR2005\0505\05-41 3rd Q\r Investment Report.doc Revised: B/20/98 BookPage 37 Page 1 ADDITIONAL INFORMATION Performance Reports The Quarterly Strategy Review, prepared by PIMCO, and the Investment Measurement Service Quarterly Review, prepared by Callan Associates, are attached for reference. Also attached are Long-Term and Liquid Operating Monies Summary of Performance Data and Portfolio Statistics charts that depict the performance results, estimated yield and duration, credit quality, and sector diversification of the District's portfolios, as of December 31, 2004 and March 31, 2005. The Liquid Operating Monies portfolio, with an average maturity of 47 days, consists entirely of cash equivalent investments such as U.S. Treasuries and corporate discount notes. Portfolio Performance Summary The following table presents a performance summary of the District's portfolios as compared to their benchmarks for the period January 1 through March 31, 2005. Portfolio Performance SurT1macy Quarter Ended March 31 , 2005 Liquid Operating Monies(%) Long-Term Operating Monies (%) Total Rate Total Rate of of Return Benchmark(1> Return Benchmark(1> 3 Montns 0.62 0.57 -0.30 -0.64 6 Months 1.07 1.01 0.02 -0.49 9 Months 1.42 1.34 1.58 1.20 12 Months 1.69 1.58 0.47 -0.53 Since inception 30 Sept. 95 4.24 3.81 5.86 5.73 Market Value $73.5M $336.9M Average Quality jlAAA,t "AAA" Current Yield (%) 2.2 3.6 Estimated Yield to Maturity (%) 2.9 4.1 Quarterly Deposits (Withdrawals) $OM $-30.0M Esfimated Annual Income $2.1M $12.2M (1) Benchmarks: Liquid Operating Portfolio: 3-Month Treasury Bill Index • Long-Term Operating Portfolio: Merrill Lynch Corp/Govt. 1-5 Year Bond Index Portfolio Market Values Comparative marked-to-market quarter-end portfolio values are shown in the following table, and in the attached bar chart. Liquid Quarter Operating Ending Monies ($M) 30 June 04 112.4 30 Sept. 04 72.8 31 Dec. 04 73.1 31 Mar. 05 73.5 H:ldept\agenda\FAHRIFAHR2005\0505\05-41 3rd Qtr Investment Report doc Revised: 8/20/98 Book Page 38 Long-Term Operating Monies ($M) 388.4 363.1 368.0 336.9 Page2 District's Investment Account Balances as of March 31, 2005 Investment Accounts State of Calif. LAIF Union Bank Checking Account PIMCO -Short-term Portfolio PIMCO -Long-term Portfolio Petty Cash TOTAL Debt Service Reserves w/Trustees ALTERNATIVES N/A CEQA FINDINGS N/A ATTACHMENTS 1. Historical Yield Curve Graph 2. PIMCO Quarterly Report Book Balances March 31, 2005 $ 22,415,638 358,925 73,196,814 364,982,831 4 ODO $460 958 208 :S 63,639 696 3. Quarter End Portfolio Market Value Bar Chart Estimated Yield(%) 2.54 2.51 2.91 4.09 NIA 3.82 3.67 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:\deptlagenda\FAHRIFAHR2005\0505\05-41 3rd Qtr Investment Report doc Revised: 8/20/98 Book Page 39 Page 3 Book Page 40 April 26, 2005 Mr. Mike White, CPA Controller Orange County Sanitation District Administration Building 10844 Ellis A venue Fountain Valley, CA 92708-7018 Re: 1st Quarter 2005 Report Dear Mike: PIM C 0 840 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 1st quarter of 2005 in addition to 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: Most bond sectors lost ground during the first quarter. The Lehman Brothers Aggregate Bond Index lost 0.48 percent, weighed down by rising short and intermediate maturity interest rates and credit concerns sparked by General Motors' earnings warning. The benchmark 10-year Treasury yield ended the quarter at 4.48 percent, 26 basis points higher than at the end of 2004. Interest rates were volatile amid their general upward movement. During the first half of the quarter, yields on longer maturities fell even as the Federal Reserve pushed up short rates, an unusual occurrence dubbed a "conundrum" by Fed Chairman Greenspan. The 10-year Treasury yield dropped below 4 percent amid strong demand from Asian central banks and bets by speculative investors that U.S. pension funds will eventually step up purchases of longer dated bonds. These bets were based on proposed regulatory changes in the U.S. that would force a closer match between the duration of pension fund assets and their liabilities. Similar pension reform is well advanced in Europe. As short and long rates headed in opposite directions, the U.S. yield curve continued to flatten. The difference between two-year and 10-year Treasury yields narrowed from 1 15 basis points at year-end 2004, to only 70 basis points by the close of the quarter. During the second half of the quarter longer maturity rates reversed course. One spark for this reversal was Greenspan's "conundrum" remark, which cooled speculation in longer maturities. Another was concern about inflation. Even though measures of inflation excluding energy and food remained relatively tame, the Fed still noted inflation pressure when it announced late in the quarter a 25 basis point increase in its federal funds rate target to 2. 75 percent. Oil prices surged toward $60 a barrel during the period and other commodity prices climbed sharply as well. A Fed survey found that companies' ability to pass on these cost increases was growing, though with only limited effect on consumer prices so far. Book Page 43 Non-U.S. Bonds, Munis Fare Relatively Well in First Quarter The following summarizes fixed income sector returns: • Mortgage-backed securities modestly outpaced like-duration Treasuries. Low net issuance and investor demand for mortgages' relatively h.igh yields were positives for the mortgage sector. Heightened interest rate volatility late in the period caused yield premiwns to widen by 10-15 basis points, modestly detracting from the excess perfonnance. • Despite their yield advantage, corporate bonds trailed Treasuries, weighed down by price declines in General Motors and other auto sector bonds. Yield premiums in corporate and other credit markets widened after GM, one of the largest components of corporate credit indi.ces, forecast its biggest quarterly loss in more than IO years. • Municipal bonds were among the best perfonning bond sectors, outpacing Treasuries. With their stable base of "buy ru,d hold" retail investors, munis tend to fare better in rising rate environments than their taxable counterparts. • Real return bonds outperformed like-duration Treasuri.es for the quarter as IO-year Treasury yields rose more than comparable TIPS yields, resulting in wider breakeven inflation levels. • After lead,ing bond markets in 2004, emerging market bonds trailed Treasuries in the first quarter. Credit premiums in the sector widened off of record lows late in the quarter in response to Treasury market volatility. Most of the selling was done by hedge funds and other speculative investors and was not driven by deterioration in the credit fundamentals of emerging market issuers. • Among worldwide government bond markets, European bonds sustained their recent outperformance of Treasuries. Yield curves in Europe flattened along with the U.S. for similar reasons, but the magnitude of interest rate movements was smaller. Eurozone bonds were less volatile because their economies continued to grow more slowly and with. less inflation risk than the U.S. economy. Performa:nce Attribution: Long-Term Portfolio The Long-Term portfolio that PIMCO manages on behalf of Orange County Sanitation District returned -0.30 percent over the quarter, outperforming the Merrill Lynch 1-5 year Government Corporate Index by 34 basis points. The following points summarize returns for the quarter ended March 3 Pt. • Your portfolio outperfonned its benchmark for the quarter • Performance was relatively stable despite a volatile market; defensive interest rate and sector strategies together with broad diversification helped preserve value • Important contributors to performance were: • -Below-index. duration as rates rose -A corporate underweight, as concerns about GM caused historically tight credit premiums to widen -A mortgage emphasis; mortgages' relatively high yields more than offset widening yield premiums -TIPS, as nominal yields rose more than real yields Yield curve positioning similar to that of the benchmark was neutral for performance . Book Page 44 Liquid Portfolio The Liquid portfolio that PIMCO manages on behalf of Orange County Sanitation District generated a total return of 0.62 percent during the quarter, outperforming the 3-month Treasury Bill Index by 5 basis points. The following points summarize returns for the period ending March 31: 11 Your portfolio outperfonned its benchmark for the quarter • Defensive interest rate and sector strategies together with broad diversification helped protect investor capital • Important contributors to performance were: Corporate holdings; by virtue of their higher yields, these bonds enhanced returns despite modest price deterioration from widening yield premiums • Near-benchmark duration was neutral for perfonnance Economic Outlook: Economy To Be Stable, But Shocks Could Disrupt Stability The global economy will be stable through the balance of 2005, led by modestly above-trend U.S. growth. In the U.S., the handoff from stimulative fiscal and monetary policy to a revived corporate sector is occurring. Another critical element of cyclical stability will be c0ntinued funding of the U.S. trade deficit by Asian central banks, which will contribute to relatively range.bound interest rates. The yield on the benchmark J 0-year Treasury will range between 4 percent and 4. 7 5 percent. The risk to our forecast is that any number of shocks could disrupt global economic stability. Such disruption would be especially painful because the U.S. economy is highly leveraged and many financial markets are fully valued. Catalysts that could erode stability include: 1) a pullback of U.S. consumption in response to a Fed policy mistake; 2) upside inflation surprises; 3) unexpected currency revaluations or reduction of U.S. dollar reserves by Asian central banks; 4) oil/commodity price shocks; 5) collapse of a leveraged investor; 6) geopolitical turmoil; and 7) trade protectionism. Important aspects of our outlook are: • U.S. Leads Global Growth -Strong corporate profit growth and cash flow, along with tighter industr:iaJ capacity, has prompted CEOs to boost capital spending and inventory investment. At the same time, payrolls are growing as productivity growth slows. Job growth should support the consumer even as fiscal and monetary stimulus fade. • Housing Risk Mitigated -The ability to monetize housing wealth via mortgage refinancing has supported U.S. consumption. Rich valuations and potentiaUy higher mortgage rates will temper price gains, but a housing crash is unlikely. Affordability should hold up as long as incomes remain stable. Only a small percentage of mortgages are subject to upward rate adjustments in the near term. • U.S. Inflation Pressures Build -Inflation is well contained in much of the world, but the trend upward in U.S. inflation will be sustained. Inflation pressure is emerging in producer prices and durable goods, suggesting that Corporate America is regaining pricing power. A weak dollar, higher commodity prices and rising unit labor costs will add to the pressure. Book Page 45 • Europe and Japan To Grow More Slowly Than U.S. -European and Japanese corporate sectors are showing signs of strength. Companies have delevered balance sheets· and boosted profits via cost cutting and layoffs. While such restructuring bodes weU over a secular time frame, real wages and consumption have not yet recovered in either of these economies. Their contribution to global growth will therefore be modest. • Emerging Markets Su-pply Savings -These economies are now an important buffer for the global economy thanks to their stronger financial profiles and trade surpluses. Along with China and slow•growing Europe and Japan, emerging market countries will contribute to a global glut of savings outside the U.S. • Real Rates Low and Stable -Abundant savings outside America is one reason real rates will remain stable and low. In contrast to 1980-2000, when central banks used high real short-term rates to combat inflation, today's environment is more like 1900•1980~ when monetary authorities kept real rates low to help sustain growth. Seek Safe Yield; Protect Portfolios In Case Stability Erodes Strategy: The following list highlights the strategies that will be used in the Long Term portfolio in the coming months: • Employ defensive strategies that enhance yield but protect investors' capital should global stability erode • Target U.S. duration below index t-o limit risk from higher rates; tactically adjust exposure as rates near the top or bottom of our forecast range • Tactically employ broader-than-index yield curve exposure to exploit value all along the curve • Cautiously increase emphasis on fully valued mortgage sector to enhance yield; add value via coupon selection • Look for similar opportunities in corporates after recent sell off, but the increase in corporate exposure will be smaller • Hold TIPS, which should benefit from low and stable real yields, as well as higher inflation adjustments Book Page 46 The following list highlights the strategies that will be used in the Liquid portfolio in the coming months. • Employ defensive strategies that enhance yield but protect investors• capital should global stability erode • Maintain moderate U.S. interest rate exposure to enhance income as the short term yield curve remains relatively steep; tactically adjust exposure to add value • Hold corporate bonds to enhance portfolio yield; look to add undervalued issues in both sectors as opportunities arise We look forward to discussing these and other topics with you in the near future. Best regards, Christine Telish, CF A Vice President John M. Miller, CF A Senior Vice President Book Page 47 Book Page 48 Book Page 50 Book Page 52 Book Page 54 LIQ_U1D OP.ER-Pill'CO -OCSF07511102 Description CASH & CASH EQUIVALENTS U.S. DOLLAR INTEREST CERTIFICATES OF DEPOSIT -DOMESTIC FED HM LOAN BNK -LESS THAN lYR FEDERAL HOME LOAN MORTGAGE -LESS THAN 1 FNMA ISSUES -LESS THAN lYR MUTUAL FUNDS OTHER U.S. GOVT OBLIGATIONS REPURCHASE AGREEMENTS TREASURY BILLS -LESS THAN 1 YR t;o U.S. DOLLAR 0 0 :,,;-CASH & CASH EQUIVALENTS ...._, I» ~ FIXED lliCOKE SECURITIES V, v.. U.S. DOLLAR BANKING & FINANCE TOTAL ASSETS -BASE: Asset Summary by Asset Type with Sectors Report ID: GL8251 Bue Currency: USD Alternate Bue Currency: E:irchangc Rate: ~L~!.L~OOS -----------------~S~ta~tua:FIR~AL _____ . Shares Par 1,600,000.000 5,000,000.000 12,087,000.000 14,100,000.000 941,252.740 2,000,000.000 8,000,000.000 23,100,000.000 66,828,252.740 66,828,252.740 6,800,000.000 Cost Base 325,299.50 1,600,000.00 4,970,738.83 11,993,285.35 14,002,237.66 941,252.74 1,986,748.89 8,000,000.00 22,882,652.76 66,702,215.73 66,702,215.73 6,919,026.70 Market Value Base 325,299.50 1,600,000.00 4,970,738.83 11,993,285.35 14,002,237.66 941,252.74 1,986,748.89 8,000,000.00 22,882,652.76 66,702,215.73 66,702,215.73 6,819,897.50 73,628,252.740 73,621,242.43 73,522,113.23 1 %of Total 0.44% 2.18% 6.76% 16.31% 19.04% 1.28% 2.70% 10.88% 31.12% 90.72% 90.72% 9.28% 100.00% Net Unrealized Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -99,129.20 -99,129.20 Workbench Book Page 56 Asset Summary Report ID: GL82S 1 Baae Currency: USD by Asset Type with Sectors Alternate Baae Currency: Exchange Rate: I.ONO T£Rlf OPBR-PlMCO -OCSF07S22202 3[31[2005 ____ ~Status: FINAL --- Net Unrealized Cost Market Value %of Gain/Loss Description Shares Par Base Bue Total Base CASH 61 CASH EQUWALEIITS U.S. DOLLAR CASH 10,390.63 10,390.63 0.00% 0.00 PENDING TRADES -15,056,273.14 -15,056,273.14 -4.47% 0.00 INTEREST 1,894,684.52 1,894,684.52 0.56% 0.00 CERTIFICATES OF DEPOSIT -DOMESTIC 10,000,000.000 9,995,500.00 9,995,500.00 2.97% 0.00 MUTUAL FUNDS 1,035,758.470 1,035,758.47 1,035,758.47 0.31% 0.00 U.S. DOLLAR 11,035,758.470 -2, 119,939.52 -2,119,939.52 -0.63% o.oo CASH 61 CASH EQUWALEIITS 11,035,758.470 -2,119,939.52 -2, 119,939.52 -0.63% 0.00 FIXED IIICOIIIE SECURITIES to U.S. DOLLAR 0 0 :;,;" ABS-AIRPLANE RECEIVABLES 1,600,000.000 1,600,000.00 203,152.00 0.06% -1,396,848.00 'i:i I>' ABS -HOME EQUI'IY 544,154.260 544,154.26 545,024.91 0.16% 870.65 (Jq (1) BANKING & FINANCE 23,400,000.000 23,334,519.50 23,335,399.00 6.93% 879.50 Vl -.J COLLATERALIZED MORTGAGE OBLIGATION 1,782,321.970 1,782,321.97 1,872,061.88 0.56% 89,739.91 FHLMC MULTICLASS 773,028.640 773,852.17 767,393.26 0.23% -6,458.91 FHLMCPOOLS 52,774.710 51,488.32 54,622.88 0.02% 3,134.56 FNMA POOLS 59,100,569.820 59,840,956.28 59,141,090.86 17.56% -699,865.42 GNMA MULTI FAMILY POOLS 3,308,866.450 3,297,824.93 3,305,718.81 0.98% 7,893.88 GNMA SINGLE FAMILY POOLS 535,371.220 561,320.99 559,566.47 0.17% -1,754.52 INDUSTRIAL 2,000,000.000 1,998,188.00 1,999,360.00 0.59% 1,172.00 INFLATION INDEXED SECURITIES 35,506,290.000 35,523,139.00 38,176,467.41 11.33% 2,653,328.41 INSURANCE 1,600,000.000 1,594,032.00 1,605,488.00 0.48% 11,456.00 PVT PLACEMENTS -MORE THN lYR 752,000.000 826,199.84 826,199.84 0.25% 0.00 U.S. AGENCIES 15,846,013.750 15,784,429.22 15,808,800.86 4.69% 24,371.64 U.S. GOVERNMENTS 190,174,342.070 192,592,991.26 189,028,257.07 56.11% -3,564,734.19 UTILI'IY -ELECTRIC 1,750,000.000 1,743,840.00 1,779,242.50 0.53% 35,402.50 U.S. DOLLAR 338,725,732.890 341,849,257.74 339,007,845.75 100.63% -2,841,411.99 FIXED IIICOIIIE SECURITIES 338,725, 73::1.890 341,849,::157. 74 339,007,845.75 100.63% -2,841,411.99 1 Workbench t:l:l 0 0 :,;"' '"ti ~ (I) V, 00 LONG T.ERII OP.ER-P.IIIOO -OCSP07522202 ---- Description TOTAL ASSETS -BASE: Asset Summary by Asset Type with Sectors Report m: OL8251 Baae Currency: UBD Alternate Bue Currency: Ewichaqe Rate: 3/31~0~0=5 ____________ _ Statua:FINAL Cost Shares Par Base Market Value Base 349,761,491.360 339,'729,318.22 336,887,906.23 2 %of Total Net Unrealized Gain/Lou Bue 100.00% -2,841,411.99 Workbench YLDANAL YIELD ANALYSIS PAGE : 1 OCSF07511102 2005/03/31 RUN DATE : 04/06/05 DISTRICT: LIQUID OPERATING RUN TIME : 09.38.00 =-====~--====-=---=========--===--=====~====================================---====~:=====-----------------------==--=== PAR VALUE YTK AT CURRENT MOODY MARitET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE .MARlCET VALUE % TOTAL -----------------________________________ , _______ --~-------------------------------------------- CASH & CASH EQUIVALENTS 3,000,000.00 FEDERAL HOME LN BK CONS SYSTEM .ooo .ooo P-1 99,352 2,980,556.33 4,49 313385EW2 MAT 04/27/2005 A-1+ 2,980,556.33 4.07 2,000,000.00 FEDERAL HOME LN BKS CONS DISC .ooo .ooo P-1 99.509 1,990,182.50 2.99 313385FV3 MAT 05/20/2005 A-1+ 1,990,182.50 2.72 2,500,000.00 FEDERAL BONE LN MTG CORP DISC .ooo .ooo P-1 99.120 2,478,000,00 3.73 313397DY4 MAT 04/05/2005 A-1+ 2,478,000,00 3.39 2,000,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .ooo P-1 99,356 1,987,117.78 2,99 313397FX2 MAT 05/10/2005 A-1+ 1,987,117.78 2. 71 2,000,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .ooo P-1 99.337 1,986,748,89 2.99 313397FS5 MAT 02/17/2005 A-1+ 1,986,748.89 2.71 t:11 0 1,587,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .ooo P-1 99,292 1,575,767.57 2.37 0 ;,:;-313397GGO MAT 05/31/2005 A-1+ 1,575,767.57 2.15 "O ll:> (IQ 2,000,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .ooo P-1 99.323 1,986,466.67 2.99 (l) V, 313397GW5 MAT 06/14/2005 A-1+ 1,986,466.67 2,71 '° 4,000,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .ooo P-1 99,148 3,965,933,33 5,97 313397BN4 MAT 06/30/2005 A-1+ 3,965,933.33 5,42 10,100,000.00 FEDERAL NATL MTG ASSN DISC HTS .ooo .ooo P-1 99,350 10,630,444.17 16.01 313589EW9 MAT 004/27/2005 A-1+ 10,630,444,17 14.52 1,400,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo .ooo P-1 99,344 1,390,814.04 2.09 313589FL2 MAT 05/11/2005 A-1+ 1,390,814,04 1.90 1,000,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo .ooo P-1 99,252 992,517,78 1.49 313599HMB MAT 06/29/2005 A-1+ 992,517,78 1.36 1,000,000.00 FEDERAL NATL MTG ASSN DISC .ooo ,000 P-1 98.846 988,461.67 1.48 3l3589JW4 08/01/2005 A-1+ 988,461.67 1.35 3,eoo,000.00 US TREASURY BILL .ooo .ooo P-1 99.796 3,792,241.67 5,71 912795SJ1 DUE 04/14/2005 DO 10/14/2004 A-1+ 3,792,241,67 5.18 9,000,000.00 US TREASURY BILL .ooo .ooo P-1 98.959 8,906,337.09 13,41 912795SL6 DUE 04/28/2005 DO 10/28/04 A-1+ 8,906,337.09 12,17 YLDANAL YIJ!LD ANALYSIS PAGE : 2 OCSF075lll02 2005/03/31 RUN DATE I 04/06/05 DISTRICT: LIQUID OPERATING RUN TIME : 09.38.00 =---------=----==:,-=-=----=--·--== -------- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL -----------------------------------------------·-------------------------------... --------------------- 3,300,000.00 US TREASURY BILL .ooo .ooo AAA 98.820 3,261,060.00 4,91 912795SS1 0.0001 06/09/2005 DO 12/09/04 AAA 3,261,060.00 4.46 1,000,000.00 US TREASURY BILL .ooo .ooo P-1 98,900 6,923,014.00 10.42 912795VH1 DUE 07/21/2005 DD 01/20/2005 A-1+ 6,923,014.00 9.46 1,600,000.00 WELLS FARGO BANK NA INSTL C/D .ooo 2,790 100.000 1,600,000.00 2.41 9497P2FT9 2.7901 04/13/2005 DD 03/31/05 1,600,000.00 2.19 e,000,000.00 LEHMAN CAT 1 REPO REPO .000 2.630 100.000 e,000,000.00 12.05 99433L698 02.6301 04/01/2005 DD 03/31/05 8,000,000.00 10,93 941,252,74 DREYFUS TREASURY CASH MGMT .ooo 2.461 MA 100.000 941,252.74 1.41 996085247 AAA 941,252.74 1.29 -------------------------·---------------------t:c TOTAL CASH & CASH EQUIVALENTS .ooo .099 66,376,916.23 100.00 0 0 66,376,916.23 90.69 :,:;- "'O I>) (IQ FIXED INCOME SECURITIES (1) 0\ 0 3,000,000.00 ASSOCIATES CORP NORTH AMER SR .ooo 6.584 AAl 100.625 3,112,350.00 44.26 046003FF1 6,6251 06/15/2005 OD 06/09/95 AA-3,018,750.00 4.12 3,500,000.00 J3ANR AMER NA TRANCHE tTR00255 ,000 2.800 MIGl 100.000 3,499,940.20 51.32 060SOVLQ8 VAR RT 08/08/2005 DD 02/07/05 3,500,000.00 4.78 1so,ooo.oo BANICAMERICA CORP MTN SR 00150 .ooo 7.096 AA2 100.406 153,652.50 2.20 06605LGFO 7.125% 05/12/2005 DD 05/12/95 AA-150,609.00 .21 1so,ooo.oo NORWEST FINL INC NT ,000 7.573 AAl 100,359 153,084.00 2.20 669383DX6 7.600% 05/03/2005 DD 05/03/00 AA-150,538.50 .21 --·-~-·-·---·--------------------------------- TOTAL FIXED INCOME SECURITIES .ooo 4,872 6,919,026.70 100.00 6,819,897.50 9.32 --------------------------------------- TOTAL .ooo .280 73,295,942.93 100.00 73,196 I 813, 73 100.00 ===~-= ========== YLDANAL YIF:LD ANALYSIS PAGE 3 OCSF07522202 2005/03/31 RUN DATE I 04/06/05 DISTRICT: LONG-TERM OPERATING RUN TIME 09.38.00 === =======-=-nn.....-~-----==== PAR VALUE YTM AT CURRENT MOODY KARUT TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOR YIELD s-P PRICE MAJU{ET VALUE % TOTAL -------------------------·-----·----------·---·----------------------------------·-----------------··- CASH & CASH EQUIVALENTS 10,000,000.00 UBS AG STAMFORD BRH INSTL C/D .ooo 3,031 99.955 9,995,500.00 90,61 90261GE47 VAR RT 07/05/2005 DD 07/02/04 9,995,500.00 2,86 1,035,758.47 DREYFUS TREASURY CASB MGMT .ooo 2,461 AAA 100.000 1,035,758.47 9.38 996085247 AAA 1,035,758.47 .30 .oo BSDT-LATE MONEY DEPOSIT ACCT .000 .ooo .ooo .oo .oo 996087094 .oo .oo ---------·--------------------------------TOTAL CASH & CASH EQUIVALENTS .ooo 2,994 11,031,258.47 100.00 11,031,258,47 3.16 t,::l FIXED INCOME SECURITIES 0 0 :,;--752,000.00 AIG SUNAMERICA GLOBAL REGS .ooo 5,325 109,867 826,199.84 ,24 "'d U00907AAO 5.850% 08/01/2008 DD 08/08/01 826,199.84 ,24 ~ (JQ (l) 5,400,000.00 COMMIT TOPOR FNMA SF MTG .ooo 5,005 AAA 99.910 5,400,000.00 1.59 °' 01F050445 5.000% 04/01/202D DD 04/01/05 AAA 5,395,140.00 1.54 3,000,000.00 COMMIT TO PUR FNMA SF MTG .ooo S.016 AAA 99.690 2,996,718,75 .88 OlF050452 s.oooi os101/2019 DD os/01/04 AAA 2,990,700.00 .85 4,000,000.00 COMMIT TO PUR FNMA SF MTG .ooo 5,493 AAA 100,130 4,003,828.12 1.18 OlF052649 5,500\ 04/01/2035 DD 04/01/05 AAA 4,oos,200.00 1.14 1,soo,000.00 CIT GROUP INC NEW SR NT .ooo 3.435 A2 100.437 1,507,005,00 .44 125581AF5 VAR RT 09/22/2006 DD 09/23/03 A 1,506,555.00 ,43 10,000,000.00 FEDERAL HOME LN M'l'G CORP MTN .ooo 4,108 AAA 97,370 9,993,100.00 2,B7 3128X3WYS 4.000% 09/22/2009 DD 09/22/04 AAA 9,737,000.00 2,78 52,774.71 FBLMC GROUP '7B-6064 .ooo 4.150 AAA 103.502 51,488.32 .01 ll348SWZ3 6,3841 01/01/2028 DD 12/01/97 AAA 54,622.88 .02 2,350,000,00 FEDERAL NATL M1'G ASSN DEBS .ooo 5.176 AAA 101,425 2,385,461.50 ,7D 313S9MJX2 5.250% 06/15/2006 DD 06/22/01 AAA 2,383,487.50 ,68 623,968,65 FNMA POOL f0254510 .ooo 4.991 AAA 100.178 642,687.70 .19 313711CVB4 5,000% 11/01/2017 DD 10/01/02 AAA 625,079.31 ,18 '!LDANAL YIELD ANALYSIS PAGE I 4 OCSF07522202 200S/03/31 RUN DATE I 04/06/0S DISTRICT: LONG-TERM OPERATING RUN TIME I 09.38,00 =-=·c:::=.=:.:e.:::. -= ___ ..;:. ·---=== --= PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL --·-------------------------------------------------------------------------------------------------- 134,087.95 FNMA POOL 10254631 .ooo 4,992 AAA 100.158 138,110.59 .03 31371KY47 5.000% 02/01/2018 DD 01/01/03 AAA 134,299.81 .04 120,356.76 FNMA POOL f0254760 .ooo 4.993 AAA 100.131 123,967.45 .03 31371Ji:5V9 5.000% 06/01/2018 DD 05/01/03 AAA 120,514.43 .03 54,648.80 FNMA POOL 10254866 .000 4.995 AAA 100.110 56,288,27 .01 31371LCB3 5,000% 09/01/2018 DD 08/01/03 AAA 54,708,91 .02 289,613.33 FNMA POOL 10254953 .ooo 4.995 AAA 100.097 293,324,01 .oe 31371LE21 5.000% 11/01/2018 DD 10/01/03 AAA 289,894.25 .08 783,139.75 FNMA POOL 10254987 .ooo 4,995 AAA 100.103 793,173.73 ,23 3l371LF46 5.000% 12/01/2018 DD 11/01/03 AAA 783,942.69 .22 133,456.98 FNMA POOL 10323980 .ooo 5,804 AAA 103.373 139,337.42 .04 to 31374T2MO 6.0001 04/01/2014 DD 09/01/99 0 AAA 137,958.48 .04 0 :;,;-22,605,05 FNMA POOL 10357328 ,000 4,992 AAA 100.164 23,283.20 .oo "d 31376J4M8 5.0001 01/01/2018 DD 01/01/03 AAA 22,642,07 .01 ~ (1) 1,199,375.03 FNMA POOL 10357430 .ooo 4,993 AAA 100.131 1,212,868,00 ,35 °' 31376I<.A71 5.000% 09/01/2018 DD 09/01/03 AAA 1,200,946.21 .34 N 36,506.48 FNMA POOL 10456482 .ooo 5.804 AAA 103.376 38,115.03 .01 31381CCT2 6.000% 02/01/2014 DD 02/01/99 AAA 37,738.94 .01 97,201.98 FNMA POOL 10509649 ,ODD 5,805 AAA 103,360 101,484.94 .02 3l383QEWO 6.000% 09/01/2014 DD 09/01/99 AAA 100,467.97 .03 103,887.50 FNMA POOL 10535451 .ooo s.eos AAA 103.365 108,465.04 .03 31384VZQ8 6.000% 06/01/2015 DD 07/01/00 AAA 107,383.31 ,03 287,340.57 FNMA POOL f0555363 .ooo 4,992 AAA 100.151 295,960.77 .OB 31385W5Yl 5,000% 04/01/2018 DD 03/01/03 AAA 287,774.45 .08 29,870,71 FNMA POOL 10555453 .ooo 4.993 AAA 100.144 30,253.43 .oo 31385XBW6 5.000% 05/01/2018 DD 04/01/03 AAA 29,913.72 .01 239, 163,54 FNMA POOL 10555545 .ooo 4,993 AAA 100.144 246,338.45 .07 31385XES2 5.000% 06/01/2018 DD 05/01/03 AAA 239,507.94 .07 824,410.52 FNMA POOL 10555621 .ooo 4.995 AAA 100,103 833,685,14 .24 31385XG68 5.000% 07/01/2018 DD 06/01/03 AAA 825,255,77 .24 YLDANAL YIELD ANALYSIS PAGE ; 5 OCSF07522202 2005/03/31 RUN DATE 1 04/06/0S DISTRICT: LONG-TERM OPERATING RUN TIME : 09.38.00 =::::::i-;-:==== ---==-----... --==i:=-== PAR VALUE YTM AT CURRENT MOODY MARXET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION eooir; YIELD s-P PRICE MARKET VALUE % TOTAL ----------------------------------------------------------------------------------------------- 448,975,11 FNMA POOL 10681309 ,D00 4,992 AAA 100,158 462,444,36 ,13 31391Y3S4 5.000% 02/01/2018 DD 02/01/03 AAA 449,684,49 .13 53,933.58 FNMA POOL 10681334 .000 4,992 AAA 100.158 55,551.59 .01 31391Y4Tl 5.000% 02/01/2018 DD 01/01/03 AAA 54,018.80 .02 294,251.63 FNMA POOL f0684908 .ooo 4 ,993 AAA 100.131 298,021-75 .08 31400D3Rl 5,0001 06/01/2018 DD 05/01/03 AAA 294,637.10 .00 161,003.96 FNMA POOL J0685200 ,000 4.993 AAA 100,144 163,066,85 .04 31400EGB7 5,00D% 03/01/2018 OD 03/01/03 AAA 161,235.81 .05 27,378.04 FNMA POOL 10685665 .ooo 4 ,992 AAA 100,158 28,199,38 .oo 31400EW22 5,000% 02/01/2018 DD 02/01/03 AAA 27,421.30 .01 243,376.64 FNMA POOL 10686318 .000 4.992 AAA 100.151 250,677.93 .07 to 31400FPB7 5,000% 03/01/2018 DD 03/01/03 AAA 243,744 .14 ,07 0 0 ;;,;--91,690.39 FNMA POOL f0688739 ,ODO 4,993 AAA 100.131 94,441.10 .02 '"O 31400JEL9 5.000% 06/01/2018 DD 06/01/03 AAA 91,810.50 .03 p) (JQ ~ 82,235.01 FNMA POOL f0689859 .ooo 4.993 AAA 100.131 83,288.65 .02 0--31400KMG8 5.000% 05/01/2018 DD 05/01/03 AAA 82,342.74 ,02 v-l 519,982.39 FNMA POOL f0693834 ,000 4.992 AAA 100.151 535,581.85 .15 31400PY74 5,000% 03/01/2018 DD 03/01/03 AAA 520,767,56 ,15 189,125,12 FNMA POOL t0695852 .ooo 4.!193 AAA 100,137 194,798.87 .05 31400SBVO S,000\ OS/01/2018 OD 05/01/03 AAA 189,384.22 .OS 648,202.05 FNMA POOL 10695889 .ooo 4.993 AAA 100.137 667,648.12 ,19 31400SC23 5.0001 05/01/2018 DD 05/01/03 AAA 649,090.09 .19 19,724.09 FNMA POOL 106!17026 .ooo 4,993 AAA 100.137 20,315.83 .oo 31400TLF2 5.000% 05/01/2018 DD 04/01/03 AAA 19,751.11 ,01 200,728.84 FNMA POOL t0702210 ,000 4,995 AAA 100,103 206,750.70 ,OS 31401ADP9 S.0001 05/01/2018 DD 05/01/03 AAA 200,934.64 .06 115,453.40 FNMA POOL 10702328 ,000 4.993 AAA 100,137 116,932.64 .03 31401ABD2 5,0001 05/01/2018 DD 04/01/03 AAA 115,611.57 .03 246,918.59 FNMA POOL 10709148 .000 4.994 AAA 100.124 254,326.16 .07 31401HZM7 5.000% 06/01/2018 DD 06/01/03 AAA 247,224.77 ,07 YLDANAL YIELD ANALYSIS PAGE I 6 OCSF07522202 2005/03/31 RUN DATE 04/06/05 DISTRICT! LONG-TERM OPERATING RUN TIME I 09,38,00 =======:==--=-=-===--=----=====~ ---====::-:--:=:=--~====' - PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL -----~------------------------------------------------------------------------------------------- 5401 393,B8 FNMA POOL f0709360 .ooo 4.994 AAA 100.124 547,317.68 .15 31401JB56 5.000% 07/01/201B DD 06/01/03 AAA 541,063,97 ,15 95,705.50 FNMA POOL 10709826 .ooo 4,993 AAA 100.131 96,931.72 .02 31401JSP4 5,000% 06/01/2018 DD 06/01/03 AAA 95,830.87 .03 1981 221.Bl FNMA POOL 10709917 .ooo 4,993 AAA 100,131 200,761.52 ,05 31401JVJ4 5,0001 06/01/2018 DD 06/01/03 AAA 198,481,48 .06 17,738.16 FNMA POOL 10709963 .ooo 4,995 AAA 100.103 17,965.44 .oo 31401JWYO 5.000% 06/01/2018 DD 06/01/03 AAA 17,756.35 .01 510,lU,73 FNMA POOL f0710235 .000 4,994 AAA 100,124 525,449.09 .15 31401KBC8 5.0001 06/01/2018 DD 06/01/03 AAA 510,777.31 ,15 13,156.57 FNMA POOL 10713344 .ooo 4,993 AAA 100,131 13,551.26 .oo t,:i 31401NP52 5,000% 06/01/2018 DD 06/01/03 AAA 13,173.81 .oo 0 0 :;,,;-221,823,94 FNMA POOL f0713365 .ooo 4,994 AAA 100,124 224,666.05 ,06 "Q 31401NQS1 5,0001 07/01/2018 DD 07/01/03 AAA 222,099.00 .06 I):> (IQ (1) 627,230.67 FNMA POOL f0720319 .ooo 4.994 AAA 100.124 635,267.07 .18 °' 3140lffG45 5.000% 07/01/2018 DD 07/01/03 AAA 629,008.44 .18 ~ 1,924,542.54 FNMA POOL 10720369 .ooo 4,995 AAA 100,103 1,982,278.82 .56 31401WJNO 5,0001 06/01/2018 DD 06/01/03 AAA 1,926,515.73 .ss 266,978.17 FNMA POOL 10721629 .ooo 4.994 AAA 100.124 274,987.53 ,07 31401XVW4 5,0001 07/01/2018 DD 06/01/03 AAA 267,309.22 .oe 187,956.35 FNMA POOL 10723487 .000 4,994 AAA 100,124 190,070.87 .os 31402AXQ4 5,0001 06/01/2018 DD 06/01/03 AAA 188,189.42 .05 3,057,543,62 FNMA POOL 10725530 .ooo 5.001 AAA 99.980 3,099,107.09 .90 31402DA75 5,0001 06/01/2019 DD 05/01/04 AAA 3,056,938.93 .B7 361,647.73 FNMA POOL f0729601 .ooo 4.994 AAA 100,117 366,281.35 ,10 3H02BRW3 5,000, 0110112019 DD 01/01/03 AAA 362,070,86 .10 32,074.95 FNMA POOL 10732873 .ooo 4,995 AAA 100,097 32,485.99 .oo 31402MFNS 5 .0001 11/01/2018 DD 10/01/03 AAA 32,106.06 .01 571,535.51 FNMA POOL f0737130 .ooo 4,995 AAA 100.110 578,858.31 ,16 31402S4P9 5,000% 10/01/2018 DD 10/01/03 AAA 572,164.20 ,16 YLDANAL YIELD ANALYSIS PAGE 1 OCSF07522202 2005/03/31 RUN DATE 04/06/05 DISTRICT! LONG-TERM OPERATING RUH TIME 09,38,00 ==--==.;.:::::=:::t::.====-==--==-·==-=-=-~===-===·-·--=---===-·= :==: -------------=- PAR VALUE YTM AT CURRENT MOODY MARltET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL -------------------------------------------------------------------------------------------------------- 478,755.63 FNMA POOL f07382ll .ooo 4.995 AAA 100,103 484,889.71 .14 31402UDQ2 5,0001 10/01/2018 DD 10/01/03 AAA 479,246,49 .14 166,945,53 FNMA POOL t0738487 .000 4.995 AAA 100.097 169,084.52 .04 31402lJNC2 5,0001 10/01/2018 DO 10/01/03 AAA 167,107,47 .OS 1,978,332.52 FNMA POOL f0740457 ,000 4,995 AAA 100,103 2,oos,225,40 ,58 31402WTN8 5.000% 10/01/2018 DD 10/01/03 AAA 1,980,360.86 .57 656,429.54 FNMA POOL 10740471 .ooo 4,995 AAA 100.103 664,840.03 ,19 31402WT40 5.0001 10/01/2018 DD 10/01/03 AAA 657,102.56 .19 698,655.80 FNMA POOL f0740748 .000 4,995 AAA 100.110 707,607.32 ,20 31402W5H7 5,0001 10/01/2018 DD 11/01/03 AAA 699,424.32 .20 33,484,57 FNMA POOL f0743868 .ooo 4,995 AAA 100,103 33,913,59 .oo tp 31403BMR1 5,0001 11/01/2018 DO 10/01/03 AAA 33,518.90 .01 0 0 :,<;" 907,255.30 FNMA POOL t0744008 .ooo 4,993 AAA 100.131 918,879.51 ,26 -0 31403BR54 5,0001 07/01/2018 DD 09/01/03 AAA 908,443.80 ,26 p, (1Q (1) 141,148,37 FNMA POOL t0744316 .ooo 4.995 AAA 100.103 142,956,84 .04 °' 31403B3Z4 5,0001 09/01/2018 DD 09/01/03 AAA 141,293.09 .04 Vt 290,752,08 FNMA POOL 10747914 .ooo 4,995 AAA 100.097 294,477.35 .08 31403FlXO 5,0001 11/01/2018 DO 11/01/03 AAA 291,034.11 .08 176,314.00 FNMA POOL t0748400 ,000 4,995 AAA 100.103 178,573.03 .05 31403GNR9 5.000% 08/01/2018 DD 09/01/03 AAA 176,494,77 ,05 860 1 14!L 72 FNMA POOL t0748899 .ooo 4.995 AAA 100,103 871,170,39 ,25 31403G7LO 5,000% 12/01/2018 OD 11/01/03 AAA 861,031.61 ,25 1,907,568.79 FNMA POOL 10750377 .ooo 4 ,995 AAA 100 .103 1,932,009.51 .56 ll403JUA2 5,0001 11/01/2018 DD 11/01/03 AAA 1,909,524,58 .ss 1,659,587.84 FNMA POOL t0750380 .ooo 4,995 AAA 100.103 1,680,951.33 ,49 31403JOD6 5,0001 11/01/2018 DD 11/01/03 AAA 1,661,289.38 ,47 163,927,98 FNMA POOL 10750445 .ooo 4.995 AAA 100,103 166,028,31 .04 31403JWE2 5,0001 11/01/2019 DD 11/01/03 AAA 164,096.05 .05 719,958.44 FNMA POOL 10751960 .ooo 4.995 AAA 100,103 729,182.92 ,21 31403LMB1 5,0001 12/01/2018 DD 11/01/03 AAA 720,696,60 .21 YLDANAL YIELD ANALYSIS PAGE 8 OCSF07522202 2005/03/31 Rl]N DATE 04/06/05 DISTRICT: LONG-TERM OPERATING RUN TIME 09,38.00 ------==·==== -== PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ \ TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ---------------------------------------------------------------------------------------------------- 758,838.08 FNMA POOL #0753425 .ooo 4.996 AAA 100.090 767,612.13 ,22 31403NA23 5,000% 11/01/2018 DD 11/01/03 AAA 759,521.03 ,22 565,501.46 FNMA POOL 10755165 .ooo 4.996 AAA 100.090 572,746.95 ,16 31403Q6A3 5.000% 12/01/2018 DD 11/01/03 AAA 566,010,41 .16 860,535.16 FNMA POOL 10756372 .ooo 4,996 AAA 100.090 870,485.09 ,25 31403SJR8 5,000% 11/01/2018 DD 11/01/03 AAA 861,309.64 .2s l,114,906,2B FNMA POOL 10784251 .ooo 4.998 AAA 100,044 3,157,249,54 ,91 31405BH46 5,000% 11/01/2019 DD 11/01/04 AAA 3,116,276.84 .89 880,684.06 FNMA POOL 10789670 .ooo 4,998 AAA 100,043 892,655.86 ,25 31405BJP4 5,000% 12/01/2019 DD 12/01/04 AAA 881,062,75 ,25 860,564.11 FNMA POOL 10792432 .ooo 4.998 AAA 100.045 872,262.41 ,25 to 31405LLM9 5.000% 10/01/2019 DD 10/01/04 AAA 860,951.36 ,25 0 0 :,;-899,324,48 FNMA POOL #0794195 .ooo 4,998 AAA 100,044 911,549,6B .26 ""O 31405NlCG9 5,0001 11/01/2019 DO 11/01/04 AAA 899,720.18 ,26 II> (Jq (1) 3,149,450.47 FNMA POOL 10797160 .ooo 4,998 AAA 100.043 3,192,263.30 .92 °' Jl405RTR7 5.0001 12/01/2019 DD 12/01/04 AAA 3,150,804.73 .90 °' 803,655.39 FNMA POOL 10797408 .ooo 4.998 AAA 100.043 814,580.08 .23 31405RJR5 5.0001 12/01/2019 DD 12/01/04 AAA 804,000.96 .23 896,087.90 FNMA POOL 40797414 .ooo 4,998 AAA 100,043 908,269.09 ,26 3140SR3X2 S.0001 12/01/2019 DD 12/01/04 AAA 896,473.22 .26 3,067,537,95 FNMA POOL #0803923 .ooo 4.998 AAA 100.043 3,109,237.30 .90 31406AD41 5.000% 12/01/2019 OD 12/01/04 AAA 3,068,856.99 .88 3,054,911.80 FNMA POOL tosonu .ooo 4.998 AAA 100,043 3,096,439,50 .90 31406E:KY9 5.0001 01/01/2020 DD 01/01/05 AAA 3 1 0561 22S,41 ,87 8,749.86 GNMA POOL #0421389 .ooo 6,212 AAA 104.634 9,183.26 .oo 36206UC23 6,5001 04/15/2026 DD 04/01/96 AAA 9,155.33 .oo 12,045.94 GNMA POOL 10449851 .ooo 6.222 AAA 104,469 12,642,59 .oo 36208:FWLO 6,5001 01/15/2028 DD 01/01/98 AAA 12,584.31 .oo 32,571.84 GNMA POOL 10466845 .ooo 6.218 AAA 104,540 34,185.17 .01 36209BTA6 6,5001 06/15/2028 DD 06/01/98 AAA 34,050.60 .01 YLDANAL YIELD ANALYSIS PAGJ:: 9 OCSF07522202 2005/03/31 RUN DATE 04/06/05 DISTRICT: LONG-TERM OPERATING RUN TIME 09.38.00 - ---= --== PAR VALUE YTK AT CURRENT MOODY MARKET TOTAL COST/ % TYl'E SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ---------------------~----------------------------------------------·---------------·------------- 110,228,53 GNMA POOL f0468052 .ooo 6,218 AAA 104.535 115,688.28 .03 36209CSM4 6,500% 07/15/2028 DD 07/01/98 AAA 115,227,39 .03 136,512.32 GNMA POOL 10476041 .000 6,218 AAA 104,540 143,060,66 .04 36209MZE7 6.500% 06/15/2028 DD 06/01/98 AAA 142,709.98 .04 120,067,15 GNMA POOL 10478626 .000 6,220 AAA 104.507 125,826.62 .03 36209QVT9 6.500% 01/15/2029 DD 01/01/99 AAA 125,478.58 .04 28,656.20 GNMA POOL 10480598 .ooo 6.219 AAA 104.518 30,030.80 .oo 36209S3F6 6,500% 10/15/2028 DD 10/01/98 AAA 29,950.89 ,01 8,354.03 GNMA POOL f0512235 .ooo 6.223 AAA 104.453 8,767.81 .oo 36211GBC6 6.500% 11/15/2029 DD 11/01/99 AAA 8,726,03 .oo 78,185.35 GNMA POOL 10514326 .ooo 6,222 AAA 104. 474 81,935,80 .02 t::t) 36211JLF2 6,5001 07/15/2029 DD 07/01/99 AAA 81,683.36 .02 0 0 ~ 164,622,12 GNMA II POOL 10080395 .ooo 3,376 AAA 99,959 163,130,23 ,04 "C 36225CNM4 VAR RT 04/20/2030 DD 04/01/00 AAA 164,554.62 .OS I>) (JQ (1) 0\ 1,499,543,17 GNMA II POOL l080408X .ooo 3.377 AAA 99,949 1,484,313.43 .44 --.I 36225CN28 VAR RT 05/20/2030 DD 05/01/00 AAA 1,498,778.40 .43 1,311,244,05 GNMA II POOL 10080965 .ooo 3,514 AAA 99.594 1,310,424.51 ,38 36225DCB8 VAR RT 07/20/2034 DD 07/01/04 AAA 1,305,920.40 .37 3,500,000.00 GOLDMAN SACHS GRP MTN fTR00194 ,000 2,865 AA3 100.187 3,507,850.50 1.03 3814lEJB6 VAR RT 10/27/2006 DD 10/29/03 A+ 3,506,545.00 1.00 2,000,000.00 GOLDMAN SACHS GRP MTN tTR00203 .000 3,187 AA3 100.093 2,001,900.00 .59 38141EJL4 VAR RT 03/30/2007 DD 04/01/04 A+ 2,001,860.00 .57 soo,000.00 GOLDMAN SACHS GRP MTN tTR00207 .ooo 3,007 AA3 100.500 soo,000.00 ,23 3814lEJQ3 VAR RT 07/23/2009 DD 07/23/04 A+ 804,000.00 .23 s,soo,000.00 GOLDMAN SACHS MTN t TR 00216 .ooo 2,900 AA3 99,984 s,soo,196,00 1.62 38141EJZ3 VAR RT 08/01/2006 DD 02/01/0S A+ 5,499,120.00 1.57 2so,ooo.oo HSBC BK USA MTN fSR00012 .ooo 3,118 AA2 100,078 250,170,00 .07 4042QOAMl VAR RT 09/21/2007 DD 09/21/04 AA-250,195,00 .07 3,000,000.00 HSBC FIN CORP MTN f TR 00002 .ooo 3.131 Al 99,968 3,000,000.00 .es 40429JA83 VAR RT 02/28/2007 DD 03/29/05 2,999,040.00 .86 YLDANAL YIELD ANALYSIS PAGE I 10 OCSF07522202 2005/03/31 RUN DATE : 04/06/05 DISTRICTt LONG-TERM OPERATING RUN TIME l 09,38,00 ===-==--===~= =· =---=~-~--= PAR VALUE YTM AT CURRENT MOODY MARKET TOT.!U. COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARXET VALUE I TOTAL --------------- ----------------------------------------- ------------------------------------ 2,000,000.00 MORGAN STANLEY .ooo 2,755 AA3 100,187 2,002,980.00 .59 61746BAI<2 VAR RT 01/12/2007 DD 01/13/04 A+ 2,003,740.00 ,57 3,200,000.00 MORGAN STANLEY NT .ooo 3.985 AA3 97.234 3,149,248.00 ,91 61746BALO 3.8751 01/15/2009 DD 01/13/04 A+ 3,111,488,00 .89 650,000.00 MORGAN STANLEY NT .ooo 2,830 AA3 99,984 650,000.00 .19 61746SAZ2 VAR RT 11/09/2006 DD 11/12/04 A+ 649,896.00 .u 544,154.26 RESIDENTIAL ASSET 03-RSll AIIB .ooo 3,175 AAA 100.160 544,154,26 • 16 7609851(83 VAR RT 12/25/2033 DD 12/30/03 AAA 545,024.91 .16 2,774,342.07 SBA GTD DEV PARTN 2001-20C l .ooo 5,998 AAA 105,700 2,774,342.07 .86 83162CLJO 6.3401 03/01/2021 AAA 2,932,479.57 .84 1,782,321.97 SBA GTD PARTN CTFS SBIC-PS 01 .ooo 6,322 AAA 105.035 1,782,321.97 .55 to 831641DD4 6,6401 02/10/2011 DD 02/21/01 0 RR 1,872,061,88 ,53 0 :,;--2,000,000 .00 TOYOTA MTR CR MTN tTR00413 .ooo 2,761 AAA 99,968 1,998,188,00 .58 "'O 89233PTE6 VAR RT 09/18/2006 DD 03/16/05 1,999,360.00 ,57 I» 00 (I) 1,600,000.00 UNITED AIRLS PASSTHRU 01-1 C .000 53 ,800 WR 12,697 1,600,000.00 .OS 0\ 9093178C2 6,8311 03/01/2010 DD 08/22/01 A-203,152.00 ,06 00 20,000,000.00 U S TREASURY NOTES .000 5,977 AAA 104.563 22,620,312.50 6.16 9128272JO 06,2501 02/15/2007 DD 02/15/97 AAA 20,912,500.00 5.97 3,540,960.00 US TREASURY INFLATION INDEX NT .ooo 3,369 AAA 107,594 3,848,936.96 1.12 9128273T7 3,6251 01/15/2008 DD 01/15/98 AAA 3,809,860.50 1.09 1s,11s,oo.oo US TREASURY INFLATION INDEX NT .ooo 3,513 AAA 110,313 16,732,849,02 4,91 9128274YS 3,8751 01/15/2009 DD 01/15/99 AAA 16,674,274.91 4,76 3,900,000.00 US TREASURY NOTES .ooo 5,662 AAA 101. 563 4,288,149.14 1.16 9128276N7 05.7501 11/15/2005 DD 11/15/00 AAA 3,960,937.50 1.13 10,900,000.00 US TREASURY NOTES .ooo 3,455 AAA 97,690 10,684,196.02 3.14 912828BT6 3,3751 12/15/2008 DD 12/15/03 AAA 10,648,210.00 3.04 21,soo,000.00 US TREASURY NOTES .ooo 2. 777 AAA 99,020 27,463,468.63 8.03 912828CHO 2,7501 06/30/2006 DD 06/30/04 AAA 27,230,500,00 7,78 49,000,000,00 US TREASURY NOTES .000 2,780 AAA 98,910 49,103,927.41 14,29 912828CQ1 2,7501 07/31/2006 DD 07/31/04 AAA 48,465,900.00 13,85 YLDANAL YIELD ANALYSIS PAGE : 11 OCSF07522202 2005/03/31 RUN DATE 04/06/05 DISTRICT: LONG-TERM OPERATING RUN TIME 09.38.00 =-=~==------:: PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY IO SECURITY DESCRIPTION BOOK YIELD 5..,p PRICE MARJtET VALUE % TOTAL ----------------_______________ , ___________ . ____ ---------·---------------------------------- 55,300,000.00 US TREASURY NOTES .000 2.416 AAA 98,290 55,018,326.59 16.03 912828CU2 2,375% 08/31/2006 DD 08/31/04 AAA 54,354,370.00 15.53 20,eoo,000.00 US TREASURY NOTES .ooo 2.914 AAA 98.670 20,640,268.90 6 .05 912828DD9 2,875% 11/30/2006 OD 11/30/04 AAA 20,523,360.00 5.86 1,750,000.00 VIRGINIA ELEC & PWR 01 SER A .ooo 5.655 A3 101.671 1,743,840.00 ,52 927804ENO 5,750% 03/31/2006 DD 03/27/01 BBB+ 1,779,242.50 .51 16,849,840.00 US TREASURY INFLATION INDEX NT 3,817 3,214 AAA 105,000 14,941,353,02 5,21 9128272M3 3,375% 01/15/2007 DD 01/15/97 AAA 17,692,332, DO 5.05 773,028.64 FHLMC MULTICLASS MTG SER E3 A 6.316 3.825 AAA 99,271 773,852.17 .22 3133TCE95 VAR RT 08/15/2032 DD 12/01/97 AAA 767,393.26 .22 462,303,27 GNMA GTD REMIC TR 2000-9 FH 6.320 3,293 AAA 100.811 462,303.27 ,13 t:o 3837114NX9 VAR RT 02/16/2030 AAA 466,052 ,55 .13 0 0 ;,;--183,863.49 GNMA II POOL f080088M 6,705 3.371 AAA 100,109 187,885.50 .05 ""O 36225CC20 7,375% 06/20/2027 DD 06/01/97 AAA 184,063.90 .os I» (JQ (1) °' 149,593,62 GNMA II POOL t0080023 6.992 4.049 AAA 101.877 152,071.26 .04 I.O 3622SCAZ9 VAR RT 12/20/2026 DD 12/01/96 AAA 152,401.49 .04 2,100,000.00 FEDERAL NATL MTG ASSN DEBS 7 .113 6,099 AAA 108.625 2,030,133.00 .67 31359MEY5 6.625% 09/15/2009 DD 09/01/99 AAA 2,281,125.00 .65 1,000,000.00 FORD MOTOR CR CO NT 7.582 6,730 A3 100,296 965,170.00 ,29 345397GV9 6,750% 05/15/2005 DD 05/24/93 BBB-1,002,960.00 .29 933,710.48 WMP/HUNTOON PAIGE t000-111S0 7,684 7,441 AAA 100,795 913,431.45 ,27 302998GE3 7,500% 12/01/2030 DD 10/21/99 AAA 941,135.81 .27 to 0 0 ?," '"d i -.J 0 YLDANAL OCSF07522202 DISTRICT: LONG-TERM OPERATING ~--=-==:..--==--=-=-~=---:.::::::::==··-== PAR VALUE SECURITY ID SECURITY DESCRIPTION 11600,000,00 ALLSTATE CORP SR NT 020002AL5 7.8751 05/01/2005 DD 05/01/00 TOTAL FIXED INCOME SECURITIES TOTAL YIELD ANALYSIS 2005/03/31 PAGE RUN DATE RUN TIME 12 04/06/05 09.38.00 ·-=~=-===-~ ---=====---·--=·=™=-::;====---~-= YTM AT CURRENT MOODY MARllT BOOK YIELD S-P PRICE 7.967 7.848 .076 4,321 .076 4,317 Al A+ 100.343 TOTAL COST/ MARKET VALUE 1,594,032.00 1,605,488,00 341,80,257,74 339,007,845.75 352,880,516,21 350,039,104.22 \ TYPE I TOTAL .47 .46 100.00 96.87 100.00 100,00 ========:= Orange County Sanitation District Investment Transactions and Balances in the State of California Local Agency Investment Fund March 31, 2005 Par Value Book Value Market Value Balance March 1, 2005 $5,115,638 $5,115,638 $5,115,638 Deposits: 3/11/2005 22,700,000 22,700,000 22,700,000 3/22/2005 8,000,000 8,000,000 8,000,000 Total Deposits 30,700,000 30,700,000 30,700,000 Withdrawals: 3/2/2005 (2,200,000) (2,200,000) (2,200,000) 3/16/2005 (1,600,000) (1,600,000) (1,600,000) 3/24/2005 (6,500,000) (6,500,000) (6,500,000) 3/30/2005 (3,100,000) (3,100,000) (3,100,000) Total Withdrawels (13,400,000) {13,400,000) (13,400,000) Balance March 31, 2005 $22,415,638 $22,415,638 $22,415,638 Book Page 71 Rate Yield 2.54 2.54 2.54 2.54 2.54 2.54 2.54 2.54 2.54 2.54 2.54 2.54 2.54 2.54 2.54 2.54 2.54 2.54 2.54 2.54 Book Page 72 FAHR COMMITTEE AGENDA REPORT Orange County Sanitation District FROM: Gary G. Streed, Director of Finance Originator: Michael D. White, Controller Meeting Date To Bd. of Dir. 5/11/05 5/23/05 Item Number Item Number FAHR05-42 SUBJECT: CLARIFICATION OF THE USE OF A SINGLE INSURANCE BROKER OF RECORD GENERAL MANAGER'S RECOMMENDATION Receive and file report on clarification of the use of a single insurance broker of record. SUMMARY Staff researched the question as to whether the District would be better served by the use of multiple insurance brokers or through the continued use of a single insurance broker of record in the annual renewal of its insurance programs. Staff has concluded that the public entity practice and the most preferred alternative is to utilize a single insurance broker based on the following: • It is very difficult for other brokers to compete with the District's Liability and Property Insurance Programs offered by the District's Broker of Record, Driver Alliant, because these programs already utilize the majority of domestic and foreign markets for public entity insurance in filling out the program. • It is not considered to be generally accepted in public insurance for an entity to secure multiple coverage and premium quotations from one insurance company through multiple brokers and many companies will not offer multiple quotes. • One broker gives the insured one point of overall accountability and responsibility. PRIOR COMMITTEE/BOARD ACTIONS None. PROJECT/CONTRACT COST SUMMARY N/A H:\deptlagenda\FAHRIFAHR2005\0505\05-42.lnsurance Broker of Record doc Revised: 06104103 Book Page 73 Page 1 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 During the FY 2004-05 renewal of the District's insurance programs, the FAHR Committee asked whether the District would better be served by having more than one insurance broker of record and whether the District was actually obtaining the most competitive insurance proposals available. Staff researched these questions with Thomas Vance, Risk Manager from the City of Anaheim and with the District's Broker of Record, Dri ver Alliant. Mr. Vance is a distinguished graduate award recipient as an Associate in Risk Management by the Insurance Institute of America and has received the following awards: • Public Risk Management Association's National Public Risk Manager of the Year for 1998. • Best Public Risk Manager and City of Anaheim named as the Best Public Risk Management Program in North America by the University of North Carolina, Department of Public Administration, Survey, 1999-2000. • Distinguished Service Award from the Public Risk Management Association, May 2002 (PRIMA's highest honor, conferred only seven times in PRIMA's 24-year history). Mr. Vance has been a faculty member of the Foundation's course of the Public Risk Management Association's Governmental Risk Management Seminar since the 1980's. The Foundation's program is considered to be the premier training in the country for people new, or fairly new, to the field of public sector risk management. The sessions he has presented include (i) how to market and buy insurance, (ii) how to manage your broker, and (iii) standard insurance coverages. In Mr. Vances' courses, a part of his presentation is a discussion on how many brokers should one use. Mr. Vance feels strongly, and believes it is well established in the risk management community, that an insured should only use one broker on a line of coverage. To do otherwise just invites holes or gaps in coverage and finger pointing between the brokers when a loss occurs. One broker gives the insured one point of overall accountability and responsibility. H:\dept\agenda\FAHRIFAHR200510505\05-42.lnsurance Broker of Record.doc Revised: 06104103 BookPage 74 Page 2 Property Coverage In regards to the District's property coverage, the City of Anaheim utilizes the Public Entity Property Insurance Program (PEPIP), a broker-driven insurance program offered by Driver Alliant, as does the District. Mr. Vance has recent experience upon which to compare a stand-alone program versus being a PEPIP member. According to Mr. Vance, there is no question that PEPIP has provided the City with higher all-risk limits, broader coverage, and lower cost. Mr. Vance believes that Driver Alliant aggressively markets this program to underwriters every year, and believes it to be the best placement for property coverage for agencies the size of the City of Anaheim and the District. The advantages of a broker-driven insurance program is that the insured has almost all of the advantages of being in a risk purchasing group or joint powers authority without the disadvantages. While the insurers/markets may change, the basic program continues year after year. It is very difficult for other brokers to complete with PEPIP on a renewal because PEPIP already utilizes the majority of domestic and foreign markets, with any real capacity, to fill out its program. Liability Coverage In regards to liability coverage, the City of Anaheim is a member of a joint powers insurance authority that pools assets, liabilities, and future loss exposure, while the District participates in the California Municipal Excess Liability Program (CAMEL). However, Mr. Vance believes that there are very few insurers willing to write public entities in California and that with the District's liability limit being $25 million, we would have considerable difficulty filling out the program outside of CAMEL. In addition, Mr. Vance suspects that most of the markets, or at least the markets with good forms and pricing, are already providing coverage through the CAMEL program, which means that it would be very difficult, if not impossible, for another broker to get a quote from these carriers for the District. Again, as with Property Coverage, the advantage of a broker-driven liability insurance prograf'!l is that the insured has almost all of the advantages of being in a risk purchasing group or joint powers authority without the disadvantages. This is even more pertinent to broker-driven liability insurance programs due to the somewhat limited spread of risk in most liability pools, coupled with additional assessment exposure to the members of risk-sharing pools. Perspective from District's Broker of Record Driver Alliant reports that any broker may approach a given insurance company with whom they are authorized to transact business on behalf of any potential buyer of insurance; however, that insurance company will not simultaneously negotiate with any other broker or agent (there can be rare exceptions but that is usually a mistake on the part of the insurer). Generally, the broker who first contacts an insurer by submitting an application and underwriting information will be the representative of the buyer that the insurance company will recognize. A buyer may authorize another broker to negotiate with the insurer but this requires a formal, written authorization from the buyer. H:\deptlagenda\FAHRIFAHR2005\0505105-42 Insurance Broker of Record doc Revised: 06/04/03 BookPage 75 Page 3 Accordingly, it is not possible for one agency to secure multiple coverage and premium quotations from one insurance company through multiple brokers. Driver Alliant believes that there is an obvious broker obligation to provide the necessary underwriting information that an insurer requires for analysis and evaluation in their determination of insurability and premium development. Perhaps less obvious, not all brokers possess the skills, expertise, and experience necessary to effectively negotiate appropriate coverage terms and conditions to properly protect a client's resources at competitive costs. Consequently, Driver believes that they are in an enviable position as the largest public agency broker in California with a demonstrable reputation as an aggressive and innovative force in this highly specialized sector and the fact that they do actively negotiate on behalf of all clients with various insurers. Driver Alliant also provided a listing of the liability insurance carriers that they surveyed in an attempt to explore competitive insurance markets during the FY 2004-05 renewal process (see attachment). In addition, Driver Alliant believes that because a number of insurers, thirteen currently and more than twenty previously, provide coverage in PEPIP, assures that the broad marketplace of viable insurers is vigorously approached in the four month marketing and underwriting process. This process assures Driver Alliant that premiums and coverages will be superior to those developed under any individual placement. ALTERNATIVES N/A CEQA FINDINGS NIA ATTACHMENTS 1. Letter from Driver Alliant dated December 15, 2004. GGS/MW H:\deptlagenda\FAHR\FAHR200510505\05-42 Insurance Broker of Record.doc Revised: 06/04/03 BookPage 76 Page4 driver+alliant I INSURANCE SERVICES INTEGRAfED INSURANCE & F!NANC!AL SERVICES December 15, 2004 Mr. Michael White Controller ORANGE COUNTY SANITATION DISTRICT 10844 Ellis A venue P.O. Box 8127 Fountain Valley, CA 92728-8127 Re: California Municipal Excess Liability (CAMEL) Marketing Survey Dear Mike: Following our discussion several weeks ago, we have Iesearched our files in order to provide you an overview of our marketplace activities for the iuly 2004 renewal of the program. As discussed during the May conference, the-liability insurance marketplace remained restrictive, particularly so for public agencies. Consequently, there were very few viable alternatives to explore as noted in the attached survey. We discussed the fact that the "program" approach generates lower premiums than are generally available on an individual entity placement basis due to "economies of scale" and our greater marketing leverage. It is further interesting to note that AIG's (.Insurance Company Of The State Of Pennsylvania) original allocation of the OCSD premium within the overall CAMEL group was almost $400,000 which we were able to negotiate to $265,000. While not a precise measurement, that comparison may serve as a benchmark for what the District might pay for an individual policy. We also hasten to add that in our recent experience no other liability insurer bas been as competitive in pricing or has offered as broad a coverage form as has AIG. Similarly, many of these same factors prevail in the property and earthquake insurance marketplace. Although conditions continue to improve, the Public Entity Property Insurance Program (PEPIP) "program" approach has generated lower premiums and broad manuscripted policy coverage through the same principles of economies of scale and greater marketing leverage. The fact that a number of insurers -thirteen currently, more than twenty previously -provide coverage in PEPIP assures that the broad marketplace of viable insurers is vigorously approached in the four month marketing and underwriting process. We believe that such a process assures us that preml•ms and coverages will be superior to those developed Wlder any indivi.dual placement. We briefly discussed the fact that Zurich is not an active insurer in either property or liability coverages for California public agencies, and our further research bas verified that point. For example, Zurich cannot offer earthquake or a11 risk property insurance at rates comparable to those of other insurers nor can they offer coverages on a manuscripted policy form. Zurich is unable or unwilling to insure lar-ge or small public agency general liability exposures. The company will sometimes provide very specific specialty -insurance, such as employment practices liability or builders risk insurance, each of which our program insurers typically afford. In short, Zurich is simply not a viable insurer (nor for that matter are many standard carriers) of public agencies. Mike, we hope this brief overview will provide you further detail of the marketplace environment and our process. Sincerely, DRIVER ALLIA.i'iT INSURANCE SERVICES, INC. ~~/(¥o--J Donald H. McLean, Jr. Senior Vice President Driver Alliant Insurance Services, Inc. an Ai/rant Resources Group con1pany 1301 Dove St. Suite 200, Newport Beach CA 92660-2436 + 949-756-0271 Lie #0C3686, • www.driveralliant.com Book Page 77 Following is the marketing summary referenced above: American Re (Am Re): American Re was the reinsurer for the CAMEL program from the program inception until 2003. Am Re's indication for this renewal was approximately 10% higher than the amount quoted by AIG, the cuuent CAMEL carrier. In addition, they would require the use of their restrictive municipal coverage fonn, without any of the revisions/extensions we negotiated for the '02-'03 year. Evanston (Markel Group): Evanston has provided excess limits for a number of the CAMEL members for the '03-'04 years and was again contacted about talcing over the primary on the program this year. Unfortunately, on a "primary'' layer basis (first layer over member SIR's), Evanston was unable to meet current tenns provided by AIG. Evanston will continue lo work with us to provide excess limits for those members that wish to purchase limits above those quoted by AIG. Genesis (Gen Re): Genesis declined to quote the program due to the size of the program and the exposures of its members. PAUSE/Clarendon Insurance Company: PAUSE, a fonner paiticipant in the CAMEL program as underwriter for Specialty National was unable to offer more than $5,000,000 in limits through Clarendon, whose form is more restrictive than that offered by AIG. Bermuda and London Markets We again had our Bennuda broker contact various markets in Bermuda and London on our behalf and were unable to obtain viable quotations. These markets like to have much higher retentions and were unwilling to cover Employment Practices and Public Officials Liability on an occurrence basis along with the General and Automobile liability. St. Paul Insurance Company St. Paul is not a market for accounts as large as CA.tv.!EL with its complexity of exposures. In addition, they do not cover Employment Practices, Public Officials and Law Enforcement on an occurrence basis, but issue separate policies on a claims-made form. Book Page 78 FAHR COMMITTEE Meeting Date To Bd. of Dir. 05/11/05 N/A AGENDA REPORT Item Number Item Number FAHR05-43 Orange County Sanitation District FROM: Gary G. Streed, Director of Finance SUBJECT: CONSIDERATION OF STRUCTURE FOR FUTURE CERTIFICATE OF PARTICIPATION (COP) ISSUES GENERAL MANAGER'S RECOMMENDATION That the FAHR Committee direct staff and Public Resources Financial Group (PRAG) to proceed with plans for a 2005-06 COP issue that incorporates the features of both variable and fixed rate borrowing in order to take advantage of the current low rates and the shape of the yield curve and to minimize interest costs and risks. SUMMARY The District financial plan includes borrowing up to $1.9 billion over the next 9 years. We have hired Public Resources Advisory Group (PRAG) as independent financial advisors to help staff and the Directors to better understand the alternatives, complexities and benefits of various borrowing alternatives. Because any borrowing plan is sensitive to interest rate changes, the Districts' plan must be flexible and must provide options for differing circumstances in the economy and the financial marketplace. Staff and PRAG have developed a presentation for the Committee that will explain the proposed plan and alternatives. PRIOR COMMITTEE/BOARD ACTIONS N/A PROJECT/CONTRACT COST SUMMARY The potential costs of a $1.9 billion borrowing program are based upon a multitude of variables. The most easily understood variable, the interest rate, is also the most difficult to predict. The costs will be reviewed each year as each COP issue is evaluated and prepared. For sake of discussion, the most basic example, that of borrowing the entire $1.9 billion at one time and borrowing all of it at either a fixed or variable rate is presented here. Of course, even this example assumes that the current variable rate remains constant over the term of the borrowing. This example is presented only to show the potential significance of the choice. BookPage 79 A 30-year fixed rate issue at the 50-year average fixed rate would incur interest costs of approximately $2.2 billion. A 30-year variable rate issue at the 25-year average variable rate would incur interest costs of $1.0 billion providing the rate did not increase or decrease, which it would. BUDGET IMPACT ~ This item has been budgeted. (Line item: 2004-05 Cash Flow Projections) D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. (See Additional Information below) D Not applicable (information item) ADDITIONAL INFORMATION Since 1986 the District has borrowed $705,200,000 through various COP issues. At June 30, 2005, there will be $422,325,000 of outstanding fixed rate debt and $199,000,000 of outstanding variable rate debt, for a total of $621,325,000. The Directors can find a complete description of the District's COP program in the Directors' Handbooks that were distributed at the Orientation in February. That has not been included in this package, but is available to any Director who would like another copy. Please call Gary Streed at 714-593-7550 or email your request to gstreed@ocsd.com. ALTERNATIVES 1. Issue all fixed rate debt 2. Issue all variable rate debt 3. Issue no debt, but increase user fees for all requirements 4. Some combination of the above CEQA FINDINGS NIA ATTACHMENTS 1. PowerPoint presentation GGS H:\dept\fin\21 0\CRANE\FAHR\FAHR2005\MAY\Agenda Report_COP Structure 5-2005.doc Revised: 06/04/03 Book Page 80 Page 2 Variable Rate COPs Considerations (cont.) - • How asset/liability hedges work • Variable rate exposure can reduce interest rate risk $200 mllllon Variable Rate Debt and $200 mllllon Asllets Tu-Exempt Annual Incremental Interest Rate Variable Rate Debt Taxable lnveatment Annual Incremental Net Annual Chango Cost Rate Change lnvatment Income Benefit/ (Coet) + 100 bps S(2,000,000) + 150 bps S3,000,000 s1,ooo,ooo -100 bps s2,ooo,ooo -150 bps S(3,000,000) $(1,000,000) S300 mllllon Variable Rate Debt and $200 mllllon Aslletl TU-Exllfflpt Annual Incremental lntereat Rate Variable Rate Debt Taxable lnvn1ment Annual Incremental Net Annual Chango Coet Rate Change Investment Income Benefit / (COllt) + 100 bps S(3,000,000) + 150 bps S3,000,000 so -100 bps S3,000,000 -150 bps S(3,000,000) so $400 mllllon V11ri11ble Rate Debt and S200 mllllon Asset& Tu-Exempt Annual Incremental Interest Rate Variable Rate Debt Taxable lnvutment Annual Incremental Net Annual Ctlango C091 Rate Change Investment Income Benefit/ (Cost) + 100 bps $(4,000,000) + 150 bps S:,,000,000 $(1,000,000) -100 bps $4,000,000 -150 bps $(3,000,000) $1,000,000 10 mwmra ®!Jmlwi ~~rnn\JlOOl lTh~u - Variable Rate COPs Considerations (cont.) - • Reserves are $370 million today and projected to be $657 million In 2020 • Assuming relatively short-term taxable investments and ratio between taxable and tax-exempt rates is 1.5 • Current reserves hedge $468 million of variable rate debt (an additional $269 million) • Future projected reserves hedge $695 million of variable rate debt • Incur unhedged exposure when expecting variable rates to be lower than fixed rates • Unhedged exposure of 30% equals $580 million assuming the District issues an additional $1.9 billion of COPs Synthetic: Unhedged Fixed Fixed Variable Varlable Current $280,000,000 $142,300,000 $188,000,000 $0 4&% 23% 32% 0% After Serlea 2005 $280,000,000 $142,300,000 $399,000,000 $0 (aoumed varlable) 34% 17% 48% 0% After last Hrlea In 2020 $658,000,000 so $895,000,000 $580,000,000 34% 0% 31% 30% 11 ©WJm~ra ~[OO}ITl\m ~mmmwn ~room~ Book Page 86 Summary • Fixed rate decision has advantages and disadvantages • Variable rate decision has advantages and disadvantages • Interest rates are difficult to predict • Hybrid fixed/variable rate financing • ARM program 20 mm~ralli~~~m ~O®iTJl Book Page 91 FAHR COMMITTEE AGENDA REPORT Orange County Sanitation District FROM: Gary G. Streed, Director of Finance Originator: Michael D. White, Controller Meeting Date 5/11/05 Item Number FAHR05-44 SUBJECT: FY 2005-06 Proposed Material, Supplies & Services Operating & Maintenance Budget Items GENERAL MANAGER'S RECOMMENDATION This is an informational item only. SUMMARY To Bd. of Dir. Item Number This is an informational status report on the FY 2005-06 Material, Supplies & Services Operating & Maintenance (O&M) line items that staff will be submitting next month to the Committee for approval as part of the overall FY 2005-06 Proposed Budget. The purpose of this report is to provide the Committee with a better understanding of the proposed changes to the contractual and professional services, utility, chemical, and other materials and services costs for FY 2005-06 PRIOR COMMITTEE/BOARD ACTIONS Last month, staff provided a report on the District's FY 2005-06 proposed personnel changes and budget, and an overview of the employee benefits program along with the employee and employer premium contributions for FY 2005-06. 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. fZ] Not applicable (information item) ADDITIONAL INFORMATION Attached is a draft summary of the FY 2005-06 O&M proposed materials, supplies, and services line item budget. Staff will provide a more detailed presentation at the meeting. H:ldeptlagenda\FAHRIFAHR200510505\05-44.O&M Budget doc Revised: 06104103 Book Page 93 Page 1 ALTERNATIVES N/A CEQA FINDINGS N/A ATTACHMENTS Draft Proposal of FY 2005-06 Operations and Maintenance Materials, Supplies and Services Budget. H:ldepl\agende\FAHRIFAHR2005\0505\0S-44,O&M Budgel,di,c Revised• ~/03 Book Page 94 Page2 Orange County Sanitation District Draft Proposal of Operations and Maintenance Materials, Supplies & Services FY 2005-06 Adjusted Budget 2003-04 Budget 2004-05 2005-06 Change Description Actual 2004-05 Projected Proposed As A% Materials, Sui;mlies, & Services Administrative ExQenses Memberships $ 288,603 $ 295,010 $ 280,440 $ 253,520 -14.06% Office Exp -Supplies 138,580 154,250 151,700 149,500 -3.08% Postage 40,331 45,000 50,550 73,530 63.40% Books & Publications 30,506 60,150 56,660 51,650 -14.13% Forms 1,121 5,050 3,810 3,350 -33.66% Small Computer Items 244,024 574,000 574,000 592,800 3.28% Minor Furniture & Fixtures 136,676 164,800 109.430 127,700 -22.51% Administrative Expenses Total 879,841 1,298,260 1,226,590 1,252,050 -3.56% Printing & Publication Repro-ln-House 326,532 305,800 301,440 395,750 29.41% Printing-Outside 44,347 72,350 51,380 85,350 17.97% Notices & Ads 26,058 39,750 35,900 42,800 7.67% Photo Processing 17,924 6,090 3,810 2,060 -66.17% Printing & Publication Total 414,861 423,990 392,530 525,960 24.05% Training & Meetings Meetings 288,175 304,460 262,040 327,250 7.49% Training 691,630 715,300 715,000 1,000,500 39.87% Training & Meetings Total 979,805 1,019,760 977,040 1,327,750 30.20% 0 Qerating ExQenses Chemical Coagulants 4,839,590 4,935,200 4,854,000 5,677,400 15.04% Odor Control 1,606,414 5,299,000 4,142,000 6,059,000 14.34% Disinfection 5,352,840 5,737,500 6,153,600 6,771,000 18.01% Chemicals-Cogeneration Operations 20,343 15,000 20,000 20,000 33.33% Miscellaneous Chemicals 24,181 29,000 15,500 21,000 -27.59% Odor & Corrosion Control 221,816 20,000 10,000 -100.00% Gasoline, Diesel & Oil 266,864 325,900 346,080 460,330 41 .25% Tools 130,310 287,290 271,890 300,030 4.43% Safety Equipment/tools 185,294 280,650 247,170 269,000 -4.15% Solv, Paints, & Jan. Supplies 81,327 88,380 94,420 72,350 -18.14% Lab Chemicals & Supplies 686,508 512,250 690,180 648,600 26.62% Miscellaneous Operating Supplies 193,259 202,100 168,610 171,960 -14.91% Property Tax Fees 22,790 24,000 34,000 30,000 25.00% Operating Expenses Total 13,631,536 17,756,270 17,047,450 20,500,670 15.46% Contractual Services Solids Removal 9,301 ,808 9,686,000 9,440,000 10,023,840 3.49% Other Waste Disposal 596,390 617,000 759,900 799,950 29.65% Groundskeeping 187,416 290,000 218,000 220,860 -23.84% Janitorial 337,378 350,000 350,000 407,900 16.54% Outside Lab Services 153,627 238,000 234,000 192,600 -19.08% Oxygen Plant Oper 315,529 342,000 320,000 302,000 -11 .70% County Service Fee 450,624 450,000 450,000 450,000 0.00% Temporary Services 758,035 265,500 657,000 320,300 20.64% Security Services 241 ,838 245,000 245,000 245,000 0.00% Other 745,382 660,000 571,000 1,318,600 99.79% Contractual Services Total 13,088,027 13,143,500 13,244,900 14,281,050 8.65% Book Page 95 Adjusted 'Budget 2003-04 Budget 2004-05 2005-06 Change Description Actual 2004-05 Projected Proposed As A% Professional Services Legal 659,659 632,000 872,580 638,000 0.95% Audit & Accounting 72,574 109,700 85,000 180,000 64.08% Engineering 239,394 584,900 401,500 335,000 -42.73% Enviro Scientific Consult 472,082 535,000 470,000 605,800 13.23% ERP Support 235,341 237,540 237,540 237,540 0.00% Software Prgm Consult 60,837 140,000 86,800 126,800 -9.43% Advocacy Efforts 358,691 368,400 349,000 276,000 -25.08% Industrial Hygiene Svcs 14,235 55,000 40,000 50,000 -9.09% Labor Negotiation Svc 27,948 10,000 10,000 10,000 0.00% Other 1,200,378 2,056,200 1,098,470 1,617,650 -21 .33% Professional Services Total 3,341 ,139 4,728,740 3,650,890 4,076,790 -13.79% Research & Monitoring Environmental Monitoring 823,891 552,900 633,000 727,400 31.56% Air Quality Monitoring 77,519 145,000 140,000 168,000 15.86% Research 558,745 526,000 414,000 516,210 -1 .86% Research & Monitoring Total 1,460,155 1,223,900 1,187,000 1,411,610 15.34% Regalrs & Maintenance Materials & Services 6,507,372 6,367,550 6,171,540 6,677,750 4.87% Service Maintenance Agreements 1,307,922 1,591,700 1,561 ,030 1,584,500 -0.45% Repairs & Maintenance Total 7,815,294 7,959,250 7,732,570 8,262,250 3.81% Utilities Telephone 267,057 270,600 207,860 189,000 -30.16% Diesel For Generators 15,455 18,000 22,000 25,000 38.89% Natural Gas 1,790,772 1,922,100 2,212,100 2,447,100 27.31% Electricity 2,148,181 2,417,200 2,318,400 2,132,000 -11 .80% Water 1,186,756 1,399,250 1,338,370 1,279,000 -8.59% Utilities Total 5,408,221 6,027,150 6,098,730 6,072,100 0.75% Other Ogerating Costs Outside Equip Rental 35,229 88,350 79,400 30,280 -65.73% Insurance Premiums 810,401 23,240 25,000 N/A In-Lieu Insurance Premium Exp 2,700,000 1,100,000 1,100,000 2,160,000 96.36% Freight 106,104 98,500 106,550 107,330 8.96% Misc. Operating Expense 389,516 179,610 169,650 119,950 -33.22% Uncollectible Accounts 6,507 5,000 5,000 5,000 0.00% Regulatory Operating Fees 409,206 557,680 577,000 426,700 -23.49% Contingency 99,010 646,500 552.96% Prior year reappropriation 323,200 N/A Other Interest Expense 38,061 118,400 40,000 N/A Loss on obsolete inventory 273,155 355,000 2,119,170 150,000 -57.75% Other Non-Oper Expense 17,668 78,650 62,120 64,850 -17.55% Capital Grants to Cities 3,050,918 4,000,000 2,500,000 2,500,000 -37.50% Other Operating Costs Total 7,836,765 6,561,800 6,860,530 6,598,810 0.56% Grand Total $ 54,855,644 $ 60,142,620 $ 58,418,230 $ 64,309,040 6.93% Book Page 96 ORANGE COUNTY 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 [ L L L L L L L L L Callan Associates Inc. Investment Measurement Service Quarterly Review Orange County Sanitation District March 31, 2005 The follow ing report was prepared by Callan Associates Inc. ("CAI") L1 ing information from sources that include the following: fund trustee(s)· fund custodian s); investment manager s)· CAI computer software· CAI investment manager and furrd pon. or database· third party data vendor ; and other out ide source a directed by the client. CAI assumes no re ·ponsibility for the accuracy or completeness of the informatio• provided, or metbodologie employed, by any information provider external to CAI. Rea onable care ha been taken to assure the accuracy of the CAI database and computer oftware. In prepari ng the following report, CAI bas not reviewed the ri ks of individual ecurity holdings or the compliance/non-compliance of individual secmity holding with investrne•t policies and guideli•e of a fund ponsor nor has it as urned any responsibility to do so. Copyright 2005 by Callan Associates Inc. L L L L L L L L L Capital Markets Review . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 Active Management Overview Market Overview . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14 Domestic Fixed-Income ...................................................... 15 Asset Class Risk and Return . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16 Investment Manager Asset Allocation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 Investment Manager Returns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18 Manager Analysis PIMCO-Liquid Operating Monies PIMCO-Liquid Operating Fund Bond Portfolio Characteristics Portfolio Characteristics Detail .............................................. 20 21 22 23 Disclosures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24 Ill r 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 March 31, 2005. 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 manager 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 CII ICG ABN AMRO Asset Management (USA) LLC y y Acadian Asset Management, Inc. y Affiliated Managers Group, Inc. y y AIG Global Investment Group y y Alliance Bernstein y y Allstate Investments LLC y American Century Investment Management y American Express Asset Management y y AmSouth/Investment Management Group y Ariel Capital Management, Inc. y Ark Asset Management Co., Inc. y y Artisan Partners Limited Partnership y Atalanta Sosnoff Capital, LLC y y Atlanta Capital Management Co., L.L.C. y y AXA Rosenberg Investment Management y y Babson Capital Management, LLC y y Baillie Gifford Overseas Ltd. y Baird Advisors y Baird Investment Management y y Banc One Investment Advisors y Bank of Ireland Asset Management (U.S.) Limited y Barclays Global Investors y Barrow, Hanley, Mawhinney & Strauss, Inc. y Batterymarch Financial Management, Inc. y Bay Isle Financial LLC y Bear Stearns Asset Management y y BL-SH Investment Counsel, LLC y BNY Asset Management y Boston Company Asset Management, LLC (The) y y Brandes Investment Partners, L.P. y y Brandywine Asset Management, Inc. y y Brazos Capital Management, L.P. y Brown Brothers Harriman & Company y Cadence Capital Management y Capital Guardian Trust Company y y Carl Domino Inc. y CastleArk Management, LLC y Causeway Capital Management y Chartwell Investment Partners y y Chicago Equity Partners, LLC y Citigroup Asset Management y y CitiStreet-Citigroup Asset Management y Clover Capital Management, Inc. y Columbia Management Group Inc. y y Columbus Circle Investors y y Cornerstone Real Estate Advisers y Cramer Rosenthal McGlynn, LLC y Credit Suisse Asset Management y y Davis Advisors y Davis Hamilton Jackson & Associates y Dean Investment Associates y Delaware Investment Advisers y y Page 1 of 4 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 March 31, 2005. 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 manager 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 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 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. Froley, Revy Investment Company, Inc. GAM USA Inc. Gartmore Global Partners GE Asset Management GlobeFlex Capital, L.P. GoldenTree Asset Management, LP Goldman Sachs Asset Management Grantham, Mayo, Van Otterloo & Co., LLC Great Lakes Advisors, Inc. Harris Investment Management, Inc. Hartford Investment Management Co./The Hartford Independence Investment LLC ING Clarion ING Investment Management Institutional Capital Corporation INVESCO lridian Asset Management, LLC IXIS Asset Managem_e_n_t __ Janus Capital Corporation Jensen Investment Management John A. Levin & Co., Inc. John Hancock Advisers 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 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 [ 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 March 31, 2005. 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 manager 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 JPMorgan Asset Management Julius Baer Investment Management Kayne Anderson Rudnick Inv. Mgmt. LLC Keefe, Bruyette & Woods, Inc. Kelly Capital Management, LLC Knightsbridge Asset Management, LLC Lazard Asset Management Lehman Brothers Inc. Loomis, Sayles & Company, L.P. Lord Abbett & Company LSV Asset Management MacKay-Shields LLC Marvin & Palmer Associates, Inc. McMorgan & Company LLC Mellon Global Securities Services Mellon Institutional Asset Management Mellon Private Wealth Management Merrill Lynch Investment Managers Metropolitan Life Insurance Company Metropolitan West Capital Management, LLC MFS Investment Management Mondrian Investment Partners Limited Montag & Caldwell, Inc. Morgan Stanley Munder Capital Management National City Investment Management Company Neuberger Berman, LLC 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. Pioneer Investment Management, Inc. Post Advisory Group Principal Financial Group, The Principal Global Investors Provident Investment Counsel Prudential Investment Management Prudential Retirement Putnam Investments Ranger Investments Management, L.P. Page 3 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 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 y y y y ( [ l L L L 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 March 31, 2005. 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 manager 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 Company Rice Hall James& Ass~1ales<1 LLC Robeco USA Rorer Asset Management Rothschild Asset Management, Inc. RRE'.~F Funds (The), Sawgress Asset Ma!}~gement, LLC Schroder Investment Management North America Inc. Sectoral Asset Management S_EI Investments Seix Investment Advisors, Inc. Seligman (J. & W.) & Company, Inc. Seneca Capital Management LLC Sentinel Real Estate Corporation Sit Investment Associates, Inc. Southeastern Asset Management, Inc. Standish Mellon Asset Management Company stale street .Global Advl&drs Slone Ridge investmerif·Partners Stratton Management Systematic Financial Management T. Rowe Price-Associates, Inc. TAL Slebal Advisors Ltd, TAMRO Capital Partners, LLC Taplin, Canida & Habacht Thompson, Siegel & WalmsleY1 Inc. TIAA-CREF TimesSquare Capital Management, LLC Todd Investment Advisors, Inc. Trusce Capital M.;ina_gement, Inc. TCW Asset Management Co_[lli:,any Turner Investment Partners UBS Global Asset Man;;igement USAlllanz Investor Serviees, LLC U.S. Trust Asset Management. Utendahl Capital Management, L.P. Vanguard Group (The) Vlctor;y Capitc1I Management lnc. WEDGE Capltal Management Wellington Management Company, LLP Wells Capital Management Wentworth, Hauser and Vlolfch WestAM Western Asset Management Company Westfield Capital Management Westwood Manag~ment Corporation Wlllli\lm Blair & 80., lhc, William D. Witter, Inc. Page 4 of4 CII y y y y 'i'· y y y y y y y y y V y y V y y y y y y y y y y y ICG y y y y y y y y 'I( y y y V y y y y y y V y V y y y y y y y y y y y y CALLAN ASSOCIATES"~ Atlanta Consulting Office Six Concourse Parkway, Suite 2900 Atlanta, Georgia 30328 Phone: (770) 804-5585 Chicago Consulting Office 120 North LaSalle Street, Suite 2100 Chicago, Illinois 60602 Phone: (312) 346-3536 Denver Consulting Office 1660 Wynkoop Street, Suite 950 Denver, Colorado 80202 Phone: (303) 861-1900 New York Consulting Office 163 Madison Avenue, 6th Floor Morristown, New Jersey 07960 Phone: (973) 993-9595 San Francisco Consulting Office 101 California Street, Suite 3500 San Francisco, California 94111 Phone: (415) 974-5060 • 'I t I • t r t Investment Management Program Orange County Sanitation District Strategy Review for the Period December 31, 2004 -March 31, 2005 l r r ~ r f r l Agenda I. Performance & Market Review 11. Economic Outlook & Strategy Ill. Organizational Update PIM C 0 Portfolio Strategy: Preserve Value in Asymmetric Environment Potential Sources of Instability Pockets of Value r • Global financial imbalances Strategy • Inflation pressure • Tl PS should benefit from low and stable real yields • Low rates supported by global • Tactically manage interest rate trade partners • Longer maturity European exposure near the index bonds are supported by • Corporate spreads too narrow pension fund demand • Favor TIPS, which should benefit from low and stable real yields, as • Emerging markets offer high well as higher inflation yields and continue to display adjustments [ improving fundamentals • Limit mortgage exposure while • Yen and select emerging continuing to emphasize coupon markets currencies remain selection attractive • Selectively add short maturity corporates as opportunities arise 8 PIM C 0 L l f r PIMCO Update Focused on Managing Client Assets Positioned to Meet Client Needs Committed to Client Education Assets and staffing as of March 31 , 2005. • Assets under management: $463.9 B -Process and philosophy unchanged -Majority of growth coming from non-U.S. offices and new market strategies • Staff update -230 investment professionals and 652 total employees • Allianz rebranded non-PIMCO subsidiaries as Allianz Global Investors • Develop strategies to provide solutions for our clients: -Long duration -Real assets -Asset allocation -Absolute return assets • 2005 PIMCO Institute -Newport Beach sessions scheduled: -US Pensions Symposium: May 23rd -24th -CFO/ Treasurer: July 25th -27th -Fundamentals of Fixed Income: September 29th -30th -Focus on the Investment Professional: October 3rd -7th -Focus on the Investment Professional/ Practitioner: October 17th -21 st -Visiting client seminars -Introduction to Derivatives and Managing Risk in a Portfolio -Custom client education opportunities • Issues and Answers Conference Calls -Secular Outlook presented by Bill Gross: May 24th • Ongoing and special publications available at PIMCO.com 9 PIM C 0 l r f [ r f r l f Building on Fixed Income Expertise to Meet Client Needs Strategy Description Assets Traditional: Total Return Long Duration Moderate Duration Low Duration Enhanced Cash Money Market Stable Value Sector-Specific: Credit: Investment Grade Corporates High Yield Diversified Income CBO/CLO Mortgages Global Emerging Markets Municipals Real Return: Real Return CommodityRealReturn All Asset, All Asset All Authority Real Estate Real Return 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 and LIBOR-based strategies 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 Emphasis on management of mortgage pass-th roughs 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 $186.9 15.9 7.7 21.1 22.0 0.8 17.5 8.9 21.0 2.1 5.2 8.9 55.1 9.0 7.6 29.1 8.2 5.9* 0.1 29.5 0.2 Total Assets Under Management: $463.9 B Assets as of March 31, 2005. Potential differences in asset totals are due to rounding. * All Asset strategies are invested in PIMCO Funds; these assets are not included in the individual strategies. 10 PIM C 0 Descrip_tion Materials, Supplies, & Services Administrative Expenses Total Operating Expenses Chemical Coagulants Odor Control Disinfection Chemicals-Cogeneration Operations Miscellaneous Chemicals Odor & Corrosion Control Gasoline, Diesel & Oil Tools Safety Equipment/tools Solv, Paints, & Jan. Supplies Lab Chemicals & Supplies Miscellaneous Operating Supplies Property Tax Fees Operating Expenses Total Contractual Services Solids Removal Other Waste Disposal Groundskeeping Janitorial Outside Lab Services Oxygen Plant Oper County Service Fee Temporary Services Security Services Other Contractual Services Total Professional Services Legal Audit & Accounting Engineering Enviro Scientific Consult ERP Support Software Prgm Consult Adjusted Budget 2004-05 2,742,010 4,935,200 5,299,000 5,737,500 15,000 29,000 20,000 325,900 287,290 280,650 88,380 512,250 202,100 24,000 17,756,270 9,686,000 617,000 290,000 350,000 238,000 342,000 450,000 265,500 245,000 660,000 13,143,500 632,000 109,700 584,900 535,000 237,540 140,000 Orange County Sanitation District Draft Proposal of Operations and Maintenance Materials, Supplies & Services FY 2005-06 Budget 2005-06 Change Proposed As A % Description --~------------------- 3,105,760 13.27% The total proposed training budget of $1.0 mil. is equal to 2% of salaries, up 0.25% from the 5,677,400 6,059,000 6,771,000 20,000 21,000 - 460,330 300,030 269,000 72,350 648,600 171,960 30,000 20,500,670 10,023,840 799,950 220,860 407,900 192,600 302,000 450,000 320,300 245,000 1,318,600 14,281,050 638,000 180,000 335,000 605,800 237,540 126,800 15.04% 14.34% 18.01% 33.33% -27.59% -100.00% 41.25% 4.43% -4.15% -18.14% 26.62% -14.91% 25.00% 15.46% 3.49% 29.65% -23.84% 16.54% -19.08% -11.70% 0.00% 20.64% 0.00% 99.79% 8.65% 0.95% 64.08% -42.73% 13.23% 0.00% -9.43% prior year. This amounts to an increase of $285,200, or 39.9% Purchasing estimates a 10% increase in chemical costs. Additional usage is projected as well. Purchasing estimates a 10% increase in chemical costs. Additional usage is projected as well. Purchasing research estimated a 15% increase in bleach costs plus additional usage. Increase of costs in the Oil Markets. Projected cost of replacement and purchase of new hand tools. Increase due to the rising cost of specialty chemicals. Up to 200% increase in petroleum derived products. Consolidation of operating supply requests between collections and treatment & disposal activities. Increase due to a 4.5% increase in biosolids production and a small increase in rates. Increased efficiency in screenings and in the capture of grit. Reduction in tree trimming services due to the removal of Eucalyptus trees along West Perimeter Rd. Increase buildings to maintain plus cost of living. Outside lab costs for the bioassay program will be brought in-house for 05/06. Also, contract lab costs for metals testing will be brought back in house with completion of lab remodel. A new contract was negotiated at a lower annual cost beginning in February 2005. No change in service fee. No price increase in fixed price contract. Increases in CCTV, Manhole structure coating, and line cleaning contracted services. In addition to the annual finanical and internal audits, this line item now includes EMS audits, annual ocean monitoring audits, and the database integrity audit. Several odor control evaluation projects are expected to be completed in FY 04-05. Increase due to autoshop UST groundwater investigation and clean up, grant program support, permit required monitoring, and for biosolids management review. No change in fixed price contract. (Continued on Backside) Adjusted Budget Budget 2005-06 Change Description 2004-05 _Proposed As A_½_ Description Advocacy Efforts 368,400 276,000 -25.08% Reductions of $60,000 with ENS Resources, $15,000 in grant writing, $17,400 in biosolids outreach. Industrial Hygiene Svcs 55,000 50,000 -9.09% Labor Negr;tiation Svc 10,000 10,000 0.00% Other 2,056,200 1,617,650 -21.33% Decreases mainly due to the completion of the 12kv procedure and training program. Professional Services Total 4,728,740 4,076,790 -13.79% Research & Monitoring Environmental Monitoring 552,900 727,400 31 .56% Last year's focus was on the Regional study, updated every 4-5 years, and done mostly in-house. Next year's focus is on the normal Strategic Process Studies that requires greater contractual help. Air Quality Monitoring 145,000 168,000 15.86% Increase associated with air toxic testing to support permitting for new or modified equipment. Research 526,000 516,210 -1 .86% Research & Monitoring Total _1,2_23, 900_ 1,411,610 15.34% Re~airs & Maintenance Materials & Services 6,367,550 6,677,750 4.87% Increases related additional spot sewer repair, traffic control sevices; weed abatement, Upper SARI maintenance, and for small projects at Plants 1 and 2. Service Maintenance Agreements 1,591 ,700 1,584,500 -0.45% The District paid for a three-year service agreement in FY 04-05 for all multi-function copy machines. Repairs & Maintenance Total 7,959,250 8,262,250 3.81% Utilities Telephone 270,600 189,000 -30.16% Reduction due to participation in the State's CAL-Net Agreement and switching providers from AT&TNerizon to SBC. Diesel For Generators 18,000 25,000 38.89% Increase pricing in the Oil Markets. Natural Gas 1,922,100 2,447,100 27.31% Reflects forecast increase in unit price and increased usage with more plant electrical load Electricity 2,417,200 2,132,000 -11.80% Reflects decreases in unit costs as old Calif. power contracts are closed out. Water 1,399,250 1,279,000 -8.59% Reflects usage reduction because new polymer type does not need dilution Utilities Total 6,027,150 6,072,100 0.75% Other O~erating Costs Outside Equip Rental 88,350 30,280 -65.73% Insurance Premiums 25,000 NIA Provision of liability and property insurance for the new ocean monitoring vessel. In-Lieu Insurance Premium Exp 1,100,000 2,160,000 96.36% Increase in charges to divisions is required to maintain insurance reserves in accordance with reserve policy. Actual FY 5-06 insurance premiums are expected to be 5% less than the current year. Freight 98,500 107,330 8.96% Misc. Operating Expense 179,610 119,950 -33.22% Uncollectible Accounts 5,000 5,000 0.00% Regulatory Operating Fees 557,680 426,700 -23.49% Regulatory fees (principally AQMD fees) have been increasing in recent past years, and are now believed to have reached a high point in FY 04-05, and are projected to be less in FY 05-06. Contingency 99,010 646,500 552.96% An amount equal to 1 % of the operating materials and services budget is included as the GM's contingency. This amount is reallocated throughout the year by the GM's approval to address unforeseen events. As for FY 04-05, $99,000 currently remains unallocated. Prior year reappropriation 323,200 NIA An amount equal to 112% of the operating materials and services budget is included for the re- appropriation of funds to pay for goods or services ordered by 6130105 but not received before 711105. Other Interest Expense 40,000 NIA Loss on obsolete inventory 355,000 150,000 -57.75% Prior year write-offs were higher due to implementation of the re-invention program and the concentrated effort made on eliminating obsolete inventory. Other Non-Oper Expense 78,650 64,850 -1 7.55% Capital Grants to Cities 4,000,000 2,500,000 -37.50% Approximately $2.5 mil. worth of co-op projects is in the pipeline for reimbursement in FY 05-06. Other Operating Costs Total 6,561,800 6,598,810 0.56% Grand Total $ 60,142,620 $ 64,309,040 6.93% FAHR COMMITTEE AGENDA REPORT Orange County Sanitation District FROM: Gary Streed, Director of Financeffreasurer Originator: Michael White, Controller Meeting Date 5/11/05 Item Number FAHR05-35 SUBJECT: TREASURER'S REPORT FOR THE MONTH OF APRIL 2005 GENERAL MANAGER'S RECOMMENDATION Receive and file Treasurer's Report for the month of April 2005. SUMMARY To Bel. of Dir. 5/25/05 Item Number Pacific Investment Management Co. (PIMCO), serves as the District's professional external money manager, and Mellon Trust serves as the District's third-party custodian bank for the investment program. Some funds are also deposited in the State of California Local Agency Investment Fund for liquidity. The District's Investment Policy, adopted by the Board, includes reporting requirements as listed down the left most column of the attached PIMCO Monthly Report for the "Liquid Operating Monies" and for the "Long-Term Operating Monies" portfolios. The District's external money manager is operating in compliance with the requirements of the Investment Policy. The portfolio contains no reverse repurchase agreements. As shown on page 2 of the attached PIMCO's Performance Monitoring and Reporting Report for the Long-Term Operating Monies, there is one investment policy compliance exception. It 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 0.47 percent of the portfolio holdings, whose rating from Moody's has fallen several times, from A3 to BA 1, then to BA3, 83, B, and finally to CA. Likewise, the rating from Standard & Poor's has also fallen several times, first from A-to BBB, then to BB, then to B+, 8-, and finally to CCC+. Both rating agencies have since withdrawn their ratings, Moody's in February 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. H:ldept\6n\220\geggie\FAHRITREASRPT051105.doc Page 1 Historical cost and current market values are shown as estimated by both PIMCO and Mellon Trust. The District's portfolios are priced to market ("mark-to-market") as of the last day of each reporting period. The slight differences in value are related to minor variations in pricing assumptions by the valuation sources at the estimate date. BUDGET IMPACT D This item has been budgeted. (Line item: ) D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. [8J Not applicable (information item) ADDITIONAL INFORMATION Schedules are attached summarizing the detail for both the short-term and long-term investment portfolios for the reporting period. In addition, a consolidated report of posted investment portfolio transactions for the month is attached. The attached yield analysis report is presented as a monitoring and reporting enhancement. In this report, yield calculations based on book values and market values are shown for individual holdings, as well as for each portfolio. Mellon Trust, the District's custodian bank, is the source for these reports. Transactions that were pending settlement at month end may not be reflected. Also provided is a summary of monthly investment balances and transactions within the State of California Local Agency Investment Fund (LAIF). These reports accurately reflect all District investments and are in compliance with the District's Investment Policy and previous requirements of California Government Code Section 53646. Government Code Section 53646 mandated that annual investment policies and quarterly reports be rendered to the legislative body. AB2853, which was signed on September 29, 2004, amends Government Code Section 53646 to remove the requirements; the rendering of these documents is optional. Although the Annual Investment Policy and Monthly and/or Quarterly Reports are no longer required, we believe it prudent to continue providing the legislative bodies with these documents. In addition, Government Code Section 53607 has not been repealed that requires an annual delegation of investment authority to the Treasurer and the submission of reports that include investment transactions by month. 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:ldepllfin\220\geggie\FAHRITREASRPT051105.doc Page2 Book Balances Estimated Investment Accounts April 30, 2005 Yield(%) State of Calif. LAIF $ 31,232,936 2.72 Union Bank Checking Account 1,570,423 2.51 (1) Union Bank Overnight Sweep Account 714,000 2.09 PIMCO -Short-term Portfolio 73,462,858 3.07 PIMCO -Long-term Portfolio 337,094,094 3.87 Petty Cash 4.000 N/A TOTAL $444 QZB 3:1:l 3.65 Debt Service Reserves w/Trustees $63 aao aa3 3.78 (1) This ,s the annuahzed yield for the month of March. The April annualized rate was not available as of the date of this report. ALTERNATIVES N/A CEQA FINDINGS N/A 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:\depllfinl220\geggie\FAHRITREASRPT051105.doc Page 3 Orange County Sanitation District Investment Transactions and Balances in the State of California Local Agency Investment Fund April 30, 2005 Par Value Book Value Market Value Balance April 1, 2005 $22,415,638 $22,415,638 $22,415,638 Deposits: 4/21/2005 22,000,000 22,000,000 22,000,000 Total Deposits 22,000,000 22,000,000 22,000,000 Quarterly Interest Distribution 117,298 117,298 117,298 Withdrawals: 4/4/2005 (400,000) (400,000) (400,000) 4/5/2005 (900,000) (900,000) (900,000) 4/7/2005 (7,300,000) (7,300,000) (7,300,000) 4/13/2005 (500,000) (500,000) (500,000) 4/26/2005 (1,800,000) (1,800,000) (1,800,000) 4/27/2005 (2,400,000) (2,400,000) (2,400,000) Total Withdrawals (13,300,000} (13 ,300,000) (13,300,000) Balance April 30, 2005 $31,232,936 $31,232,936 $31,232,936 Rate Yield 2.72 2.72 2.72 2.72 2.72 2.72 2.72 2.72 2.72 2.72 2.72 2.72 2.72 2.72 2.72 2.72 2.72 2.72 2.72 2.72 2.72 2.72 2.72 2.72 PIM C 0 May 9, 2005 Mr. Mike White, CPA Controller Orange County Sanitation District 10844 Ellis A venue Fountain Valley, CA 92708-7018 Dear Mike: The following is a description of events in the bond markets during the month of April in addition to an analysis of the strategies undertaken in the Orange County Sanitation District's Long-Term 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 April on disappointing economic data such as weaker than expected employment growth, declining consumer confidence, and slowing GDP growth. The yield on the benchmark 10-year Treasury note finished the month at 4.20 percent, 28 basis points lower than last month; Treasuries returned 1. 76 percent. Short and intermediate TIPS outperformed their nominal counterparts while long maturity TIPS underperformed. Lehman Brothers Global Real U.S. TIPS index returned 1.91 percent for the month. Mortgage-backed securities returned 1.11 percent, trailing Treasuries by 10 basis points after adjusting for duration. The credit sector, represented by the Lehman Credit Index, returned 1.34 percent, underperforming Treasuries for the month by 58 basis points. Within the sector, lower quality investment grade corporates underperformed higher quality issues. April began with a weaker than expected employment report, indicating that the economy created only 110,000 new jobs in March, only half of the consensus expectation. The Conference Board Index of Consumer Confidence also fell more than expected. Both components of the index fell compared to March -present situation and future expectations -though the latter more severely to its lowest level in over two years in April. With hiring and consumer confidence relatively weak, it was a surprise that inflation growth accelerated. The Fed's preferred inflation measure, the personal consumption expenditures deflator excluding food and energy (the core PCE deflator), gained 1.7 percent in March from 1.6 percent in February. The Bureau of Economic Analysis reported first quarter GDP growth number at only 3.1 percent. This rate was well below the 3.8% growth rate in the fourth quarter of last year and well below consensus expectations. Consumer spending growth slowed, down from the fourth quarter of 2004, and was not fully offset by faster growth in other categories. Mr. Mike White, CPA Orange County Sanitation District Treasury yield changes during the month of April are summarized as follows: • 3-month bills: + 12 basis points to 2.89% • 6-month bills: +5 basis points to 3.17% • 2-year notes: -13 basis points to 3.65% • 5-year notes: -27 basis points to 3.90% • 10-year notes: -28 basis points to 4.20% • 30-year notes: -24 basis points to 4.51% Performance Attribution: Long-Term Portfolio May 6, 2005 Page2 The Long-Term portfolio that PIMCO manages on behalf of Orange County Sanitation District returned 0.84% on a total return basis for the month of April, outperforming the Merrill Lynch 1-5 year Government Corporate Index by 5 basis points. The following points summarize returns for the month ended April 30: • The Long-Term portfolio outperformed the benchmark by 5 basis points for the month. • For the twelve-month period, the Long-Term portfolio returned 2.54%, outperforming the benchmark by 69 basis points. • Portfolio duration, near the benchmark, was neutral for monthly performance as the yield curve continued to flatten. • Yield curve positioning similar to that of the index was neutral for performance. • An underweight exposure to corporates was positive for performance, as corporates underperformed Treasuries on a duration-adjusted basis. • Exposure to mortgage-backed securities was slightly negative for performance as the sector lagged Treasuries on a duration-adjusted basis. • Substituting Treasury Inflation Protected Securities for nominal Treasuries was positive for performance as short and intermediate maturity TIPS outperformed their nominal counterparts during the month. Liquid Portfolio The Liquid portfolio that PIMCO manages on behalf of Orange County Sanitation District generated a total return of 0.22% during the month of April, performing in line with the 3-month Treasury Bill Index. The following points summarize returns for the period ending April 30: • The Liquid portfolio performed in line with the benchmark for the month. • For the twelve-month period, the Liquid portfolio returned 1.83%, outperforming the benchmark by 11 basis points. • Use of higher yielding securities such as commercial paper and short-term notes contributed to performance. Mr. Mike White, CPA Orange County Sanitation District Outlook a11d Strategy: May 6, 2005 Page3 The global economy will be stable through the balance of 2005, led by modestly above-trend U.S. growth. In the U.S., the handoff from stimulative fiscal and monetary policy to a revived corporate sector has occurred. Another critical element of cyclical stability will be continued funding of the U.S. trade deficit by Asian central banks, though trade and financial imbalances threaten to erode this mutually beneficial arrangement over the long run. The yield on the benchmark 10-year Treasury will range between 4.25 and 4. 75 percent with the risk of a 25 basis point breakout on the high side. Important aspects of our outlook include: • U.S. Housing Risk Mitigated -The ability to monetize housing wealth via mortgage refinancing has helped sustain U.S. consumption. While rich valuations and the potential for higher mortgage rates will temper future housing price gains, a crash is unlikely. Affordability should hold up so long as incomes remain stable. Only a small percentage of mortgages are subject to upward rate adjustments in the near term. • U.S. Inflation Pressures Build -While inflation is well contained in much of the world, the recent trend upward in U.S. inflation will be sustained. Inflation pressure is emerging in producer prices and durable goods, suggesting that Corporate America is regaining pricing power. A weak dollar, higher commodity prices and rising unit labor costs will add to the pressure. • Europe and Japan To Grow More Slowly Than U.S. -In Europe and Japan, the corporate sector is showing signs of strength. Companies have de-levered balance sheets and boosted profits via cost cutting and layoffs. While such restructuring bodes well over a secular time frame, real wages and consumption have not yet recovered in either of these economies. Their contribution to global growth will therefore be modest. • Emerging Markets Supply Savings -These economies are now an important buffer for the global economy thanks to their stronger financial profiles and trade surpluses. Along with China and slow-growing Europe and Japan, emerging market countries will contribute to a global glut of savings outside the U.S. that will help keep real interest rates low. • Potential Shocks To Stability -Some catalysts that could disrupt global economic stability include: I) a pullback of U.S. consumption in response to a Fed policy mistake; 2) upside inflation surprises; 3) unexpected currency revaluations or reduction of U.S. dollar reserves by Asian central banks; 4) oil/commodity price shocks; 5) collapse of a leveraged investor or institution; 6) geopolitical turmoil; and 7) trade protectionism. To the extent that guidelines allow, PIMCO will employ a diverse range of strategies to enhance portfolio yield while still protecting investors' capital if macroeconomic stability unravels. Key strategies will include: • Duration and Yield Curve -We will look to add value and control risk via tactical flexibility. The duration target will be about neutral to the index when rates are near the top of our forecast range, but we will shorten it to about 0.50 year below the index when rates approach the bottom of our range. We will maintain an overall curve position close to that of the benchmark. Mr. Mike White, CPA Orange County Sanitation District May 6, 2005 Page4 • Selectively Trim Underweight Of Core U.S. Sectors -Rich valuations in core bond sectors such as mortgages and corporates dictate caution in employing these bonds to enhance yield. In the mortgage sector, PIMCO will add value via coupon and security selection, and cautiously look for opportunities to add exposure to boost income. Similar opportunities may also be available in the corporate market, though any reduction in our corporate underweight will likely be smaller. • TIPS as an Out-of-Index Alternative -Better risk/reward trade-offs can be found outside of core sectors. Real return bonds should benefit from relatively low and stable real yields, as well as larger inflation adjustments over the next several months. 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 John M. Miller, CF A Senior Vice President Mr. Mike White, CPA Orange County Sanitation District Orange County Sanitation District for the month ending April 30, 2005 Total Return Account -203 With Accrued Interest Market Value 339,726,979 Book Value 340,732,378 Yield to Maturity 3.87 Short Term Account -603 With Accrued Interest Market Value 73,704,553 Book Value 73,773,389 Yield to Maturity 3.07 May 6, 2005 Page8 Without Accrued Interest 337,124,255 338,129,654 3.90 Without Accrued Interest 73,509,201 73,578,037 3.08 MONTHLY REPORT ORANGE COUNTY SANITATION DISTRICT INVESTMENT MANAGEMENT PROGRAM PIMCO'S PERFORMANCE MONITORING & REPORTING (for the month ended 30 April 2005) Liquid Operating Monies (603) 15.1.1 PORTFOLIO COST AND MARKET VALUE Current Market Value Estimate: • PIMCO • Mellon Historical Cost: • PIMCO • Mellon 15.1.2 MODIFIED DURATION Of Portfolio: Oflndex: 15.1.3 1 % INTEREST RATE CHANGE Dollar hnpact (gain/loss) of 1% Change: 15.1.4 REVERSE REPOS % of Portfolio in Reverse Repos: ( see attached schedule) 15.1.5 PORTFOLIO MATURITY % of Portfolio Maturing within 90 days: 15.1.6 PORTFOLIO QUALITY Average Portfolio Credit Oualitv: 15.1.7 SECURITIES BELOW "A" RATING % of Portfolio Below "A": 15.1.8 INVESTMENT POLICY COMPLIANCE "In Compliance" 15.1.9 PORTFOLIO PERFORMANCE Total Rate of Return(%) by Period: 1 Month: 3 Months: 12 Months: Fiscal Year-to-Date: Commentary • The Liquid portfolio performed in line with the benchmark for the mantb, ·and by 8 basis points fiscal year-to-date. • PIMCO's emphasis on higher yielding securities such as commercial paper and short-term notes contributed to performance. H:ldeptlfln\2101geggle\FAHRILIQ0800-05-04.RPT.doc Page 1 of 1 $73,704,553 $73,696,267 $73,773,389 $73,804,407 0.13 0.20 $95,816 0% 83% ''AAA'' 0% Yes Portfolio Index 0.22 0.22 0.65 0.61 1.83 1.72 1.64 1.56 MONTHLY REPORT ORANGE COUNTY SANITATION DISTRICT INVESTMENT MANAGEMENT PROGRAM PIMCO'S PERFORMANCE MONITORING & REPORTING (for the month ended 30 April 2005) Long-Term Operating Monies (203) 15.1.1 PORTFOLIO COST AND MARKET VALUE Current Market Value Estimate: • PTh1CO • Mellon Historical Cost: • PTh1CO • Mellon 15.1.2 MODIFIED DURATION Of Portfolio: Of Index: 15.1.3 1 % INTEREST RATE CHANGE Dollar Imoact (gain/loss) of 1 % Change: 15.1.4 REVERSE REPOS % of Portfolio in Reverse Repos: (see attached schedule) 15.1.5 PORTFOLIO MATURITY % of Portfolio 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 CoIIllJliance" 15.1.9 PORTFOLIO PERFORMANCE Total Rate of Return(%) by Period: 1 Month: 3 Months: 12 Months: Fiscal Year-to-Date: • The Long-Term portfolio outperformed the benchmark by 5 basis points for the month, and outperformed the benchmark by 44 basis points fiscal year-to-date. • Portfolio duration, near the index, was neutral for monthly performance as the yield curve continued to flatten. • Yield curve positioning similar to that of the index was neutral for performance. • An underweight exposure to corporates was positive for performance, as corporates underperformed Treasuries on a duration-adjusted basis. • Exposure to mortgage-backed securities was slightly negative for performance as the sector lagged Treasuries on a duration-adjusted basis. Page 1 of 2 $339,726,979 $339,719,630 $340,732,378 $342,170,763 2.33 2.40 $7,915 639 0% 12% AAA 0% No* Portfolio Index 0.84 0.79 0.53 0.19 2.54 1.85 2.44 2.00 • Substituting Treasury Inflation Protected Securities for nominal Treasuries was positive for performance as short and intermediate maturity TIPS outperformed their nominal counterparts during the month. *Compliance Issues: MONTHLY REPORT ORANGE COUNTY SANITATION DISTRICT INVESTMENT MANAGEMENT PROGRAM PIMCO'S PERFORMANCE MONITORING & REPORTING (for the month ended 30 April 2005) Page2 of2 $1,600,000 par of United Airlines (UAL) Pass-Through 2001-1-C (Enhanced Eq_uipment Trust Certificate (EETC) -909317BC2), 6.831 % coupon, 3/01/2010 maturity, representing 0.47% of the portfolio holcllngs on a par basis was purchased on 8/10/2001; and subsequently downgraded by Moody's from A3 to BA1 ( on 9/18/2001) and S&P from.A-to BBB ( on 9/20/2001). The security was further downgraded by Moody's from BA 1 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, 20'03, 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. In late April, UAL reached an agreement with the Pension Benefit Guaranty Corporation whereby the agency would assume control ofUAL's four pension plans, which are severely underfunded. In Exchange, UAL will grant the federal pension insurers up to $15 billion in securities to settle bankruptcy claims. UAL has been in bankruptcy since December 2002 and says by terminating the plans it would not have to make up to $4.4 billion in minimum cash contributions over the next six years, including $1.3 billion in 2005 alone. The deal must be approved by a U.S. Bankruptcy Court and a ruling is expected in early May. Under the agreement, the Pension Benefit Guaranty Corporation said it would drop its primary claims against the company to make minimum pension contributions in exchange for up to$ 1.5 billion in notes and convertible stock that the government would receive on UAL's exit from bankruptcy. The proceeds would be used by the agency to help pay benefits. 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 security (cusip 345397GV9 maturing 5/15/05), representing 0.29% of the portfolio holdings on a par basis (exposure was reduced in July 2004 as $2.5 million par matured). The security was 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. • $1,750,000 par of Virginia Electric Power NT securities (cusip 927804ENO), maturing on March 31, 2006, represents 0.52% 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\geggielF AHR\L-T0B00-05-04.RPT.doc YLDAHAL YIELD ANALYSIS PAGE 1 OCSF07511102 2005/04/30 RUN DATE 05/05/05 DISTRICT! LIQUID OPERATING RUN TIME 09.09.39 ========== m.c:.=..:: -----=====-= -- PAR VALUE YTM AT CURRENT MOODY MARllT TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL ---------------___________________ , __________ ------------------------------------------------------ CASH & CASH EQUIVALENTS soo,000.00 FEDERAL HOME LR BK CONS DISC .ooo .ooo P-1 99,978 799,823,33 1. 19 313385FB7 MAT 05/02/2005 A-1+ 799,823,33 1.09 2,ooo,000.00 FEDERAL HOME LR BKS CONS DISC .ooo .ooo P-1 99,509 1,990,182,50 2,98 313385FV3 MAT 05/20/2005 A-1+ 1,990,182,50 2,71 6,ooo,000.00 FEDERAL HOME LR BK CONS DISC N .ooo .ooo P-1 99,776 5,986,536,67 8.98 313385GA8 MAT 05/25/2005 A-1+ 5,986,536,67 8,15 2,ooo,000.00 FEDERAL HOME LR MTG CORP DISC .ooo .ooo P-1 99,356 1,987,117.78 2.98 313397FK2 MAT 05/10/2005 A-1+ 1,987,117.78 2.10 2,000,000.00 FEDERAL HOME LR MTG CORP DISC .ooo .ooo P-1 99,337 1,986,748,89 2,98 313397FS5 MAT 05/17/2005 A-1+ 1,986,748.89 2,70 1,501,000.00 FEDERAL HOME LR MTG CORP DISC .ooo .ooo P-1 99,292 1,575,767,57 2.36 313397GGO MAT 05/31/2005 A-1+ 1,575,767,57 2.14 2,ooo,000.00 FEDERAL HOME LR MTG CORP DISC .ooo .ooo P-1 99,323 1,986,466.67 2,98 313397GW5 MAT 06/14/2005 A-1+ 1,986,466.67 2.70 4,ooo,000.00 FEDERAL HOME LR MTG CORP DISC .ooo .ooo P-1 99,148 3,965,933.33 5,95 313397BN4 MAT 06/30/2005 A-1+ 3,965,933.33 5.40 3,000,000.00 FEDERAL HOME LR MTG ASSN DISC .ooo .ooo P-1 99,236 2,977,080,00 4.46 313397JAO MAT 07/12/2005 A-1+ 2,977,080.00 4.05 7,400,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo .ooo P-1 99,977 7,398,273.33 11.09 313589FB4 MAT 05/02/2005 A-1+ 7,398,273.33 10.07 1,400,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo .ooo P-1 99,344 1,390,814,04 2.08 313589FL2 MAT 05/11/2005 A-1+ 1,390,814,04 1.89 1,ooo,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo .ooo P-1 99,252 992,517,78 1.48 313589BH8 MAT 06/29/2005 A-1+ 992,517.78 1.35 1,ooo,000.00 FEDERAL NATL MTG ASSN DISC .ooo .ooo P-1 98,846 988,461,67 1.48 313589JW4 08/01/2005 A-1+ 988,461,67 1.35 4,ooo,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo .ooo P-1 98,367 3,934,682.22 5.90 313589NL3 MAT 10/26/2005 A-1+ 3,934,682.22 5.36 YLDANAL YIELD ANALYSIS PAGE I 2 OCSF07511102 2005/04/30 RUN DATE 05/05/05 DISTRICT! LIQUID OPERATING RUN TIME : 09.09.39 --------=--===== -----== = == PAR VALUE YTM AT CURRENT MOODY MARRET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL ---------·----·----------·------·--------------------------------------------------------------------------- 2,000,000.00 GENERAL ELEC CAP DISC .ooo .ooo P-1 99.240 1,984,800.00 2.97 36959BUB1 07/11/2005 1,984,800.00 2.70 1,000,000.00 GENERAL BLEC CAP DISC .ooo .ooo P-1 99.227 992,275.00 1.48 36959BUR6 07/25/2005 992,275.00 1.35 1,000,000.00 US TREASURY BILL .ooo .ooo P-1 98.900 6,923,014,00 10.38 912795VB1 DUE 07/21/2005 DD 01/20/2005 A-1+ 6,923,014.00 9.42 2,000,000.00 US TREASURY BILL .ooo .ooo P-1 99.118 1,982,359,44 2.97 912795VK4 0.0001 08/04/2005 DD 02/03/05 A-1+ 1,982,35!:l.44 2.70 2,000,000.00 US TREASURY BILL .000 .ooo P-1 98.516 1,970,327.92 2.95 912795VVO 10/13/2005 DD 04/14/2005 A-1+ 1,970,327.92 2,68 14,100,000.00 CREDIT SUISSE FD REPO .ooo 2.000 100.000 14,700,000.00 22.05 99434T575 02,8001 05/02/2005 DD 04/29/05 14,700,000.00 20.01 138,788,97 DREYFUS TREASURY CASH MGMT .ooo 2,686 AAA 100.000 138,788.97 .20 996085247 AAA 138,788.97 .19 ----------------------------------------------- TOTAL CASH & CASH EQUIVALENTS .ooo .129 66,651,971.11 100,00 66,651,971.11 90.71 FIXED INCOME SECURITIES 3,000,000.00 ASSOCIATES CORP NORTH AMER SR .ooo 6,601 AAl 100,359 3,112,350.00 44.20 046003FF1 6,6251 06/15/2005 DD 06/09/95 AA-3,010,770.00 4.10 3,500,000.00 BANK AMER NA TRANCHE ITR00255 .ooo 3.050 MIGl 100.000 3,499,940.20 51.38 06050VLQ8 VAR RT 08/08/2005 DD 02/07/05 3,500,000.00 4.76 150,000.00 BANKAMERICA CORP MTR SR 00150 .ooo 7,119 AA2 100.078 153,652.50 2.20 06605LGFO 7,1251 05/12/2005 DD 05/12/95 AA-150,117,00 .20 YLDAHAL OCSF07511102 DISTRICTS LIQUID OPERATING YIELD ANALYSIS 2005/04/30 -============ PAR VALUE SECURITY ID SECURITY DESCRIPTION , __ , ________________ ,_, ____ _ 150,000.00 HORWEST FINL INC HT 669383DX6 7.6001 05/03/2005 DD 05/03/00 TOTAL FIXED INCOME SECURITIES TOTAL YTM AT CURRENT MOODY BOOK YIELD S-P .ooo .ooo .ooo 7.600 4.993 ,297 AAl AA- MARKET PRICE 100.000 PAGE RUN DATE RUH TIME TOTAL COST/ MARKET VALUE 153,084.00 150,000.00 6,919,026 .70 6,810,887.00 73,570,997.81 73,462,858.11 3 05/05/05 : 09.09.39 I TYPE I TOTAL 2.20 ,20 100.00 9.26 100.00 100.00 YLDAHAL YIELD ANALYSIS PAGE 4 OCSF07522202 2005/04/30 RUN DATE 05/05/05 DISTRICT: LOHG-TERM OPERATING RUN TIME 09.09.39 =--===-==--== PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOJt YIELD S-P PRICE MARKET VALUE I TOTAL ---·------------------------------------------------------------------------------------------------- CASH & CASH EQUIVALENTS 200,000.00 FEDERAL BONE LH Bit COHS DISC .ooo .ooo P-1 99 .977 199,953.33 .41 3l3385FB7 MAT 05/02/2005 A-1+ 199,953.33 .OS 9,300,000.00 FEDERAL BM LH MTG CORP DISC HT .ooo .ooo P-1 99.233 9,228,700.00 19.06 313397JQ5 MAT 07/26/2005 A-1+ 9,228,700.00 2.20 9,300,000.00 FEDERAL HOME LH MTG CORP DISC .ooo .ooo P-1 99,122 9,218,325.33 19.04 313397:KEO MAT 08/09/2005 A-1+ 9,218,325.33 2.20 1,300,000.00 FEDERAL NATL MTG ASSH DISCOUNT .ooo .ooo P-1 99.252 1,290,273.11 2.66 313589JB0 MAT 07/13/2005 A-1+ 1,290,273,11 ,31 200,000.00 FEDERAL HATL MTG ASSH DISCOUNT .ooo .ooo P-1 99.262 198,524,08 .41 31358!)JJ3 MAT 07/20/2005 A-1+ 198,524.08 .OS 8,100,000.00 FEDERAL NATL MTG ASSH DISCOUNT .ooo .ooo P-1 99.239 8,038,370.25 16.60 313589JR5 MAT 07/27/2005 A-1+ 8,038,370.25 1.92 ,,300,000.00 GBHBRAL ELBC CAP DISC .ooo .ooo P-1 99.227 9,228,157.50 19.06 36959RUR6 07/25/2005 9,228,157.50 2.20 10,000,000.00 UBS AG STAMFORD BRB IHSTL C/D .ooo 3.031 99.955 9,995,500.00 20.64 !J0261GE47 VAR RT 07/05/2005 DD 07/02/04 9,995,500.00 2.38 1,009,401,95 DREYFUS TREASURY CASH MGMT .ooo 2,686 AAA 100.000 1,009,401.95 2.08 996085247 AAA 1,009,401.95 .24 ------•-------------------------------------- TOTAL CASH & CASH EQUIVALENTS .ooo ,276 48,407,205.55 100.00 48,407,205.55 11.55 FIXED INCOME SECURITIES 752,000,00 AIG SUHAMERICA GLOBAL RBG S .ooo 5,325 109.867 826,199.84 .22 U00907AAO 5.8501 08/01/2008 DD 08/08/01 826,199.84 .20 3,000,000.00 COMMIT TO PUR FHMA SF MTG .000 4.966 AAA 100,690 2,996,718.75 .81 01FOS0452 5,0001 05/01/2020 DD 05/01/05 AAA 3,020,700.00 .72 4,000,000.00 COMMIT TO PUR FHMA SF MTG .ooo 5,449 AAA 100.940 3,996,445.30 1.08 01F052656 5.5001 05/01/2035 DD 05/01/05 AAA 4,037,600.00 .96 YLDAHAL YIELD ANALYSIS PAGE 5 OCSF07522202 2005/04/30 RUN DATE 05/05/05 DISTRICT! LONG-TERM OPERATING RUN TIME 09.09.39 ===--========= -=------ PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ------------------·-----·----·------------------------- -------------------------------------- 1,500,000.00 CIT GROUP INC HEW SR NT .ooo 3.436 A2 100,421 1,501,005.00 .40 125581AF5 VAR RT 09/22/2006 DD 09/23/03 A 1,506,315.00 ,36 1,600,000.00 CITIGROUP INC GLOBAL SR NT .ooo 3.262 99,937 1,600,000.00 .43 172967CW9 VAR RT 05/02/2008 DD 05/02/05 1,598,992.00 .38 10,000,000.00 FEDERAL BONE LR MTG CORP MTR .ooo 4.062 AAA 98.480 9,993,100.00 2.65 3128X3WY5 4.000% 09/22/2009 DD 09/22/04 AAA 9,848,000.00 2.35 52,632.13 FBLMC GROUP 178-6064 .ooo 4.152 AAA 103.456 51,349.22 .01 31348SWZ3 6.384% 01/01/2028 DD 12/01/97 AAA 54,451.10 .01 2,350,000.00 FEDERAL NATL MTG ASSN DEBS .ooo 5.173 AAA 101. 494 2,385,461.50 .64 31359MJX2 5,2501 06/15/2006 DD 06/22/01 AAA 2,385,109.00 .57 611,831.50 FNMA POOL 10254510 .ooo 4.955 AAA 100.904 630,186.44 .16 31371KVB4 5.0001 11/01/2017 DD 10/01/02 AAA 617,362.46 ,15 131,307.07 FRMA POOL 10254631 .ooo 4,956 AAA 100.884 135,246.28 .03 31371KY47 5.0001 02/01/2018 DD 01/01/03 AAA 132,467.82 .03 117,924.73 FNMA POOL 10254760 .ooo 4.958 AAA 100.856 121,462.46 .03 31371K5V9 5,0001 06/01/2018 DD 05/01/03 AAA 118,934.17 .03 53,539.79 FNMA POOL 10254866 .ooo 4.959 AAA 100.836 55,145.99 .01 31371LCB3 5.0001 09/01/2018 DD 08/01/03 AAA 53,987.38 .01 399,960.50 FNMA POOL 1025007 .ooo 4.959 AAA 100.829 399,960.50 .10 31371LDLO 5.0001 10/01/2018 DD 09/01/03 AAA 403,276.17 .10 284,666.25 FNMA POOL 10254953 .ooo 4.959 AAA 100.822 288,313.55 .01 31371LE21 5,0001 11/01/2018 DD 10/01/03 AAA 287,006.21 .07 767,401.53 FNMA POOL 10254987 .ooo 4.962 AAA 100.759 777,233.86 .20 31371LF46 S.0001 12/01/2018 DD 11/01/03 AAA 773,224,12 .18 129,713.16 FNMA POOL 10323980 .ooo S.776 AAA 103.874 135,428.64 .03 31374T2MO 6.0001 04/01/2014 DD 09/01/99 AAA 134,738.25 .03 22,060.92 FNMA POOL 10357328 .ooo 4,959 AAA 100.819 22,722.75 .oo 31376J4M8 5.0001 01/01/2018 DD 01/01/03 AAA 22,241,69 .01 1,167,571.68 FNMA POOL 10357430 .ooo 4.958 AAA 100,856 1,180,706.86 .31 31376ll71 5.0001 09/01/2018 DD 09/01/03 AAA 1,177,566.09 .28 YLDANAL YIELD ANALYSIS PAGE 6 OCSF07522202 2005/04/30 RUN DATE 05/05/05 DISTRICT1 LONG-TERM OPERATING RUN TIME 09.09.39 =--------= --==.::a--:zma_am..a:i=a:~::e-- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOI YIELD S-P PRICE MARKET VALUE I TOTAL -·-·--·--------------------------------------------------------- ------- ---------------------------------·--·------ 36,127.62 FNMA POOL #0456482 .ooo 5. 776 AAA 103.878 37,719.48 .01 31381CCT2 6.0001 02/01/2014 DD 02/01/99 AAA 37,528.65 .01 96,378.37 FNMA POOL 10509649 .ooo 5. 777 AAA 103.865 100,625.04 ,02 31383QEWO 6.0001 09/01/2014 DD 09/01/99 AAA 100,103.39 ,02 100,762.77 FNMA POOL 10535451 .ooo 5. 777 AAA 103.869 105,202.63 ,02 31384VZQ8 6.0001 06/01/2015 DD 07/01/00 AAA 104,661.28 ,02 281,583.11 FNMA POOL 10555363 .ooo 4.957 AAA 100.877 290,030.59 .07 31385W5Yl 5.0001 04/01/2018 DD 03/01/03 AAA 284,052,59 ,07 29,292.84 FNMA POOL 10555453 .ooo 4,957 AAA 100,870 29,668.16 .oo 31385XBW6 5.0001 05/01/2018 DD 04/01/03 AAA 29,547.69 ,01 234,883.13 FNMA POOL 10555545 .ooo 4.957 AAA 100.870 241,929.63 .06 31385XES2 5.0001 06/01/2018 DD 05/01/03 AAA 236,926.61 .06 808,030.28 FNMA POOL 10555621 .ooo 4.962 AAA 100.759 817,120.62 .21 31385XG68 5.0001 07/01/2018 DD 06/01/03 AAA 814,161,14 ,19 440,332.28 FNMA POOL 10681309 .ooo 4,956 AAA 100,884 453,542.25 ,11 31391Y3S4 5.0001 02/01/2018 DD 02/01/03 AAA 444,224,82 ,11 52,868.47 FNMA POOL 10681334 .ooo 4.956 AAA 100.884 54,454.53 ,01 31391Y4Tl 5.0001 02/01/2018 DD 01/01/03 AAA 53,335.83 .01 291,584.69 FNMA POOL 10684908 .ooo 4,958 AAA 100,856 295,320.64 .07 31400D3Rl 5.0001 06/01/2018 DD 05/01/03 AAA 294,080.65 ,07 158,622,05 FNMA POOL 10685200 .ooo 4,957 AAA 100.870 160,654.42 ,04 31400EGB7 5.0001 03/01/2018 DD 03/01/03 AAA 160,002.06 .04 26,786.30 FNMA POOL 10685665 .ooo 4.956 AAA 100.884 27,589.89 ,00 31400EW22 5.0001 02/01/2018 DD 02/01/03 AAA 27,023.09 .01 239,332.27 FNMA POOL 10686318 .ooo 4.957 AAA 100.877 246,512.23 .06 31400FPB7 5.0001 03/01/2018 DD 03/01/03 AAA 241,431.21 ,06 91,221.97 FNMA POOL 10688739 .ooo 4.958 AAA 100,856 93,958.63 ,02 31400JBL9 5.0001 06/01/2018 DD 06/01/03 AAA 92,002,83 .02 81,844.31 FNMA POOL 10689859 .ooo 4.958 AAA 100,856 82,8!n.94 ,02 31400KMG8 5.0001 05/01/2018 DD 05/01/03 AAA 82,544.90 ,02 YLDAHAL YIELD ANALYSIS PAGE 7 OCSF07522202 2005/04/30 RUH DATE 05/05/05 DISTRICT! LONG-TERM OPERATING RUH TIME 09.09.39 ========= --------=~= --=""!:e- PAR VALUE YTM AT CURRENT MOODY MA!UraT TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL -------------------·-·-----·------------------------------ ------- ----------------·-------------------------- soo, 139, 13 FNMA POOL 10693834 .ooo 4,957 AAA 100,877 515,143,29 .13 31400PY74 5.0001 03/01/2018 DD 03/01/03 AAA 504,525,35 .12 185,534,24 FNMA POOL 10695852 .ooo 4.957 AAA 100.863 191,100,26 .OS 31400SBVO 5,0001 05/01/2018 DD 05/01/03 AAA 187,135,40 .04 643,364.25 FNMA POOL 10695889 .ooo 4,957 AAA 100.863 662,665.19 ,17 31400SC23 5.0001 05/01/2018 DD 05/01/03 AAA 648,916.48 .15 19,405,47 FNMA POOL 10697026 .ooo 4,957 AAA 100.863 19,987.65 .oo 31400TLF2 5,0001 05/01/2018 DD 04/01/03 AAA 19,572,94 .oo 196,980,72 FNMA POOL 10702210 .ooo 4.962 AAA 100.759 202,890,14 .OS 31401ADP9 5,0001 05/01/2018 DD 05/01/03 AAA 198,475,29 .os 113,509,71 FNMA POOL 10702328 .ooo 4,957 AAA 100,863 114,964.05 .03 31401ABD2 5,0001 05/01/2018 DD 04/01/03 AAA 114,489.30 .03 242,921,29 FNMA POOL 10709148 .ooo 4.958 AAA 100,850 250,208.94 ,06 31401BZM7 5.0001 06/01/2018 DD 06/01/03 AAA 244,986,12 .06 534,123.07 FNMA POOL 10709360 .ooo 4,958 AAA 100.850 540,966,53 .14 31401JB56 5.0001 07/01/2018 DD 06/01/03 AAA 538,663,12 .13 95,227.84 FNMA POOL 10709826 .ooo 4,958 AAA 100.856 96,447.94 .02 31401JSP4 5,0001 06/01/2018 DD 06/01/03 AAA 96,042.99 .02 195,166.64 FNMA POOL 10709917 .ooo 4.958 AAA 100.856 197,667.21 .05 31401JVJ4 5,0001 06/01/2018 DD 06/01/03 AAA 196,837,27 .OS 17,660.27 FNMA POOL 10709963 .ooo 4.962 AAA 100.759 17,886,55 .oo 31401JWYO 5,0001 06/01/2018 DD 06/01/03 AAA 17,794,27 .oo 497,720,93 FNMA POOL 10710235 .ooo 4,958 AAA 100.850 512,652.58 ,13 31401KBC8 5,0001 06/01/2018 DD 06/01/03 AAA 501,951.56 .12 13,093,28 FNMA POOL 10713344 .ooo 4,958 AAA 100.856 13,486.07 .oo 31401HP52 5,0001 06/01/2018 DD 06/01/03 AAA 13,205.36 .oo 216,962.46 FNMA POOL 10713365 .000 4,958 AAA 100,850 219,742.28 .05 31401HQS1 5,0001 07/01/2018 DD 07/01/03 AAA 218,806.64 .OS 616,390.55 FNMA POOL 10720319 .ooo 4,958 AAA 100.850 624,288.06 .16 31401WG45 5,0001 07/01/2018 DD 07/01/03 AAA 621,629,87 .15 YLDANAL YIELD ANALYSIS PAGE 8 OCSF07522202 2005/04/30 RUN DATE 05/05/05 DISTRICTS LONG-TERM OPBRATIRG RUN TIME 09.09.39 =-==-== ==------·-----,------- PAR VALUE YTN AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE HAR.UT VALUE I TOTAL -------------------------------------------------------------------------------------------------------- 1,914,744.82 FNMA POOL #0720369 .ooo 4.962 AAA 100.759 1,972,187.17 .52 31401WJH0 5.0001 06/01/2018 DD 06/01/03 AAA 1,929,272.77 ,46 261,926.37 FNMA POOL #0721629 .ooo 4,958 AAA 100,850 269,784.18 .01 31401XVW4 5.0001 07/01/2018 DD 06/01/03 AAA 264,152,74 .06 187,133,28 FNMA POOL #0723487 .ooo 4.958 AAA 100.850 189,238.54 .05 31402AXQ4 5.0001 06/01/2018 DD 06/01/03 AAA 188,723,91 .05 2,993,927.87 FNMA POOL #0725530 ,000 4.964 AAA 100.732 3,034,626.56 .81 31402DA75 5.0001 06/01/2019 DD 05/01/04 AAA 3,015,850.46 ,72 357,659.60 FNMA POOL 10729601 .ooo 4,958 AAA 100.843 362,242,12 ,09 31402BR1f3 5,0001 07/01/2018 DD 07/01/03 AAA 360,674.67 .09 31,938.86 FNMA POOL 10732873 .ooo 4,959 AAA 100.822 32,348.06 .oo 31402HF1'15 5,0001 11/01/2018 DD 10/01/03 AAA 32,201.40 .01 568,909,42 FNMA POOL 10737130 .ooo 4.959 AAA 100.836 576,198.57 .15 31402S4P9 5.0001 10/01/2018 DD 10/01/03 AAA 573,665.50 .14 467,455,40 FNMA POOL 10738211 .ooo 4.962 AAA 100,759 473,444.70 .12 31402UDQ2 5,0001 10/01/2018 DD 10/01/03 AAA 471,002,18 .11 161,300.77 FNMA POOL 10738487 .ooo 4.959 AAA 100.822 163,367.44 .04 31402UNC2 5.0001 10/01/2018 DD 10/01/03 AAA 162,626.66 .04 1,948,641,91 FNMA POOL 10740457 .ooo 4,962 AAA 100,759 1,975,131.26 ,52 314021fTH8 5,0001 10/01/2018 DD 10/01/03 AAA 1,963,427.06 ,47 653,387.27 FNMA POOL 10740471 .ooo 4,962 AAA 100.759 661,758.78 ,17 314021fT40 5.0001 10/01/2018 DD 10/01/03 AAA 658,344.79 ,16 679,935,27 FNMA POOL 10740748 .ooo 4,959 AAA 100.836 688,646.93 ,18 314021'587 5,0001 10/01/2018 DD 11/01/03 AAA 685,619.53 ,16 33,094.73 FNMA POOL 10743868 ,000 4,962 AAA 100,759 33,518.76 ,00 31403BNR1 5,0001 11/01/2018 DD 10/01/03 AAA 33,345.83 ,01 881,091,63 FNMA POOL 10744008 .ooo 4,958 AAA 100.856 892,380.62 ,23 31403BR54 5,0001 07/01/2018 DD 09/01/03 AAA 888,633.77 .21 138,825.81 FNMA POOL 10744316 .ooo 4.962 AAA 100.759 140,604.52 .03 31403B3Z4 5,0001 09/01/2018 DD 09/01/03 AAA 139,879.14 ,03 YLDANAL YIELD ANALYSIS PAGE 9 OCSF07522202 2005/04/30 RUN DATE 05/05/05 DISTRICT! LONG-TERM OPERATING RUN TIME 09.09.39 -=-==---·---,-·=·=-=---·----•m~•mnsm::a~--:!==- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION 8001( YIELD S-P PRICE MAR.UT VALUE I TOTAL -~------------------------------------------------------------------- ---------------------------------- 289,144.09 FNMA POOL 10747914 .ooo 4.959 AAA 100.822 292,848.76 .01 31403F3XO 5.0001 11/01/2018 DD 11/01/03 AAA 291,520.85 ,07 169,800.89 FNMA POOL 10748400 .ooo 4.962 AAA 100.759 171,976,47 ,04 31403GNR9 5,0001 08/01/2018 DD 09/01/03 AAA 171,089.24 .04 849,279.20 FNMA POOL 10748899 .ooo 4,962 AAA 100.759 860,160,59 .23 31403G7LO 5.0001 12/01/2018 DD 11/01/03 AAA 855,723.03 .20 1,884,917.48 FNMA POOL 10750377 .ooo 4.962 AAA 100,759 1,909,067.98 .51 31403JUA2 S.0001 11/01/2018 DD 11/01/03 AAA 1,899,219.12 .45 1,608,474,85 FNMA POOL 10750380 .000 4,962 AAA 100.759 1,629,083.45 .43 31403JUD6 5,0001 11/01/2018 DD 11/01/03 AAA 1,620,679.01 .39 163,134.22 FNMA POOL 10750445 .ooo 4.962 AAA 100.759 165,224,38 .04 31403JWE2 5,0001 11/01/2018 DD 11/01/03 AAA 164,371,99 .04 701,787,88 FNMA POOL 10751960 .ooo 4,962 AAA 100.759 710,779.55 ,19 31403LMB1 5,0001 12/01/2018 DD 11/01/03 AAA 707,112.63 ,17 746,909.15 FNMA POOL 10753425 .ooo 4,960 AAA 100,816 755,545,27 .20 31403NA23 5,0001 11/01/2018 DD 11/01/03 AAA 753,003,93 .18 542,274.05 FNMA POOL 10755165 .ooo 4.960 AAA 100.816 549,221.94 .14 31403Q6A3 5,0001 12/01/2018 DD 11/01/03 AAA 546,699.01 .13 856,782,23 FNMA POOL 10756372 .000 4.960 AAA 100.816 866,688.77 .23 31403SJR8 5.0001 11/01/2018 DD 11/01/03 AAA 863,773,57 ,21 3,100,687.69 FNMA POOL 10784251 .ooo 4.962 AAA 100.764 3,142,837.67 ,84 314059846 5,0001 11/01/2019 DD 11/01/04 AAA 3,124,376.94 ,75 870,147.79 FNMA POOL 10789670 .ooo 4,962 AAA 100,763 881,976.36 ,23 31405BJP4 5.0001 12/01/2019 DD 12/01/04 AAA 876,787.02 ,21 856,631.27 FNMA POOL 10792432 .ooo 4,962 AAA 100,765 868,276.11 ,23 31405LLM9 5.0001 10/01/2019 DD 10/01/04 AAA 863,184.50 .21 4,999,503.20 FNMA POOL 10792437 .ooo 4,962 AAA 100,765 4,999,503.20 1.35 31405LLS6 5.0001 10/01/2019 DD 10/01/04 AAA 5,037,749.40 1.20 894,566.42 FNMA POOL 10794195 .ooo 4.962 AAA 100.764 906,726.94 .24 31405nG9 5.0001 11/01/2019 DD 11/01/04 AAA 901,400.91 .22 YLDANAL YIELD ANALYSIS PAGE 10 OCSF07522202 2005/04/30 RUN DATE 05/05/05 DISTRICTS LOHG-TBllM OPERA'rING RUH TIME 09.09.39 =====·==-= =~==- PAR VALUE YTM AT CURRENT MOODY MARXET 'rOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL ----------------------·-------------------------------------------------------------------------- 3,135,225.87 FNMA POOL 10797160 .ooo 4.962 AAA 100.762 3,177,845,33 .es 31405RTR7 5.0001 12/01/2019 DD 12/01/04 AAA 3,159,116.29 .75 eoo,100.10 FNMA POOL 10797408 .ooo 4,962 AAA 100,762 811,584,62 ,21 31405R3RS 5.0001 12/01/2019 DD 12/01/04 AAA 806,801.43 ,19 872,961,30 FNMA POOL 10797414 ,000 4,962 AAA 100,762 884,828,11 ,23 31405R3X2 5.0001 12/01/2019 DD 12/01/04 AAA 879,613,27 .21 3,054,956,69 FNMA POOL 10803923 .ooo 4.962 AAA 100,762 3,096,485.01 .83 31406ADU 5,0001 12/01/2019 DD 12/01/04 AAA 3,078,235,46 ,73 3,001,382.08 FNMA POOL 10807711 .ooo 4.962 AAA 100.762 3,042,182.11 .81 31406EKY9 5,0001 01/01/2020 DD 01/01/05 AAA 3,024,252,61 .72 8,215.70 GHMA POOL 10421389 .ooo 6.186 AAA 105.068 8,622.64 .oo 36206UC23 6,5001 04/15/2026 DD 04/01/96 AAA 8,632.07 .oo 12,026,47 GNMA POOL 10449851 .ooo 6,210 AAA 104,672 12,622,16 .oo 36208FNLO 6,5001 01/15/2028 DD 01/01/98 AAA 12,588,37 .oo 32,524.01 GHMA POOL 10466845 .ooo 6.192 AAA 104,982 34,134,97 .oo 36209B'rA6 6,5001 06/15/2028 DD 06/01/98 AAA 34,144.36 .01 110,00,,56 GHMA POOL 10468052 ,000 6.192 AAA 104,977 115,458,46 .03 36209C5M4 6,5001 07/15/2028 DD 07/01/98 AAA 115,484,74 .03 122,069.03 GHMA POOL 10476041 .ooo 6,192 AAA 104,982 127,924,54 .03 36209MZE7 6,5001 06/15/2028 DD 06/01/98 AAA 128,150.51 .03 119,877.82 GHMA POOL 10478626 .ooo 6,193 AAA 104,950 125,628.21 .03 36209QVT9 6,5001 01/15/2029 DD 01/01/99 AAA 125,811, 77 .03 28,616,27 GNMA POOL 10480598 .ooo 6,193 AAA 104,961 29,988,95 .oo 36209S3F6 6,5001 10/15/2028 DD 10/01/98 AAA 30,035,92 .01 8,337,12 GNMA POOL 10512235 .ooo 6.197 AAA 104.895 8,750.06 .oo 362llGBC6 6,5001 11/15/2029 DD 11/01/99 AAA 8,745,22 .oo 77,947,61 GHMA POOL 10514326 .ooo 6.195 AAA 104,917 81,686.66 .02 36211JLF2 6,5001 07/15/2029 DD 07/01/99 AAA 81,780,29 ,02 159,412,53 GHMA II POOL 10080395 .ooo 3.306 AAA 102,088 157,967.85 .04 36225CHM4 VAR RT 04/20/2030 DD 04/01/00 AAA 162, 741,06 .04 YLDAHAL YIELD ANALYSIS PAGE I 11 OCSF07522202 2005/04/30 RUN DATE 05/05/05 DISTRICT! LORG-TJ!RM OPERATING RUN TIME : 09.09.39 -====-== = -- ----= PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL --------------------,--.------------------------------- ------------------------------------------ 1,434,727.51 GNMA II POOL I080408X .ooo 3.306 AAA 102,086 1,420,156,05 ,39 36225CN28 VAR RT 05/20/2030 DD 05/01/00 AAA 1,464,655.93 ,35 1,291,193.03 GNMA II POOL 10080965 .ooo 3.503 AAA 99,921 1,290,386.02 .34 36225DCB8 VAR RT 07/20/2034 DD 07/01/04 AAA 1,290,172,99 .31 3,soo,000.00 GOLDMAN SACHS GRP MTN fTR00194 ,000 3,344 AA3 100,187 3,507,850,50 ,94 38141EJB6 VAR RT 10/27/2006 DD 10/29/03 A+ 3,506,545,00 ,84 2,000,000.00 GOLDMAN SACHS GRP MTN tTR00203 ,000 3.189 AA3 100.046 2,001,900,00 .53 38141EJL4 VAR RT 03/30/2007 DD 04/01/04 A+ 2,000,920.00 .48 000,000.00 GOLDMAN SACHS GRP MTN tTR00207 .ooo 3,477 AA3 100,390 000,000.00 ,21 38141EJQ3 VAR RT 07/23/2009 DD 07/23/04 A+ 803,120.00 .19 s,soo,000.00 GOLDMAN SACHS MTN t TR 00216 .ooo 3.122 AA3 99,968 S,S00,196,00 1.48 38141EJZ3 VAR RT 08/01/2006 DD 02/01/05 A+ 5,498,240.00 1.31 250,000.00 HSBC BK USA MTN ISR00012 .ooo 3.118 AA2 100,078 250,170.00 .06 4042QOAM1 VAR RT 09/21/2007 DD 09/21/04 AA-250,195,00 .06 3,000,000.00 HSBC FIN CORP MTN t TR 00002 .ooo 3,131 Al 99,968 3,000,000.00 .80 40429JAB3 VAR RT 02/28/2007 DD 03/29/05 A 2,999,040,00 .72 2,000,000.00 MORGAN STANLEY .ooo 3,265 AA3 100.140 2,002,980,00 .54 6174fiBAK2 VAR RT 01/12/2007 DD 01/13/04 A+ 2,002,000.00 .48 3,200,000.00 MORGAN STAHLEY NT .ooo 3.953 AA3 98.031 3,149,248,00 .84 61746BALO 3.8751 01/15/2009 DD 01/13/04 A+ 3,136,992,00 ,75 650,000.00 MORGAN STAHLEY HT .ooo 2,830 AA3 100,015 650,000,00 .17 61746SAZ2 VAR RT 11/09/2006 DD 11/12/04 A+ 650,097.50 ,16 505,153.10 RESIDENTIAL ASSET 03-RSll AIIB .ooo 3,346 AAA 100,122 505,153,10 .13 760985K83 VAR RT 12/25/2033 DD 12/30/03 AAA 505,769.39 ,12 2,774,342.07 SBA GTD DEV PARTH 2001-20C 1 .ooo 5,966 AAA 106,270 2,774,342,07 .79 83162CLJO 6.3401 03/01/2021 AAA 2,948,293,32 .70 1,782,321,97 SBA GTD PARTH CTFS SBIC-PS 01 .ooo 6.294 AAA 105,505 1,782,321.97 .so 831641DD4 6.6401 02/10/2011 DD 02/21/01 NR 1,880,438,79 .45 2,000,000.00 TOYOTA MTR CR NTH ITR00413 .ooo 2,911 AAA 99,968 1,998,188,00 .53 89233PTJ!6 VAR RT 09/18/2006 DD 03/16/05 1,999,360.00 ,48 YLDANAL YIELD ANALYSIS PAGE 12 OCSF07522202 2005/04/30 RUN DATE 05/05/05 DISTRICT! LONG-TERM OPERATING RUH TIME 09.09.39 m,ae---=:.:a::.m.=mrannem=~ --= -------------- PAR VALUE YTH AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOlt YIELD S-P PRICE MARRET VALUE I TOTAL -------------------------------------------------------------------------·------------------------------------ 1,600,000.00 UNITED AIRLS PASSTBRO 01-1 C .ooo 49.676 WR 13.751 1,600,000.00 .os 909317BC2 6.8311 03/01/2010 DD 08/22/01 A-220,016.00 .OS 20,000,000.00 US TREASURY NOTES .000 5.975 AAA 104.609 22,620,312.50 5.64 9128272JO 06.2501 02/15/2007 DD 02/15/97 AAA 20,921,900.00 4.99 2,492,679.00 US TREASURY INFLATION INDEX HT .ooo 3.369 AAA 107.594 2,708,042.91 .72 9128273T7 3.6251 01/15/2008 DD 01/15/98 AAA 2,681,973.04 .64 11,108,255,00 US TREASURY INFLATION INDEX HT .ooo 3,506 AAA 110,531 12,289,137,59 3.31 9128274Y5 3,8751 01/15/2009 DD 01/15/99 AAA 12,278,120,88 2,93 3,900,000.00 US TREASURY NOTES .ooo 5,672 AAA 101.375 4,288,149,14 1.06 9128276N7 05,7501 11/15/2005 DD 11/15/00 AAA 3,953,625.00 .94 10,900,000.00 US TREASURY NOTES .ooo 3.423 AAA 98.610 10,684,196.02 2.89 912828BT6 3,3751 12/15/2008 DD 12/15/03 AAA 10,748,490,00 2.56 2,387,009.00 US TREASURY INFLATION INDEXED .ooo 1,926 AAA 103.850 2,438,311.25 .66 912828BW9 2,0001 01/15/2014 DD 01/15/04 AAA 2,478,908.85 .59 21,soo,000.00 US TREASURY NOTES .ooo 2,771 AAA 99,230 27,463,468,63 7.35 912828CM0 2.7501 06/30/2006 DD 06/30/04 AAA 27,288,250.00 6.51 3,153,723,00 US TREASURY INFLATION INDEX HT .ooo 1.927 AAA 103.810 3,241,659.04 .88 912828CP3 2,0001 07/15/2014 DD 07/15/04 AAA 3,273,879.85 .78 14, ooo, 000, 00 U S TREASURY ROTES .ooo 2.774 AAA 99,140 14,029,693,55 3. 74 912828CQ1 2.7501 07/31/2006 DD 07/31/04 AAA 13,879,600.00 3.31 55,300,000.00 US TREASURY NOTES .ooo 2.410 AAA 98.560 55,018,326.59 14. 70 912828CU2 2.3751 08/31/2006 DD 08/31/04 AAA 54,503,680.00 13.00 20,eoo,000.00 US TREASURY NOTES .ooo 2.905 AAA 98.980 20,640,268.90 5.55 912828OD9 2,8751 11/30/2006 DD 11/30/04 AAA 20,587,840.00 4 ,91 20,100,000.00 US TREASURY NOTES .ooo 3.981 AAA 100,480 20,629,372.22 5.60 912828DP2 4.0001 03/15/2010 DD 03/15/05 AAA 20,799,360.00 4.96 42,300,000.00 UNITED STATES TREASURY NT .ooo 3. 742 AAA 100.210 42,477,734.87 11.43 912828DQ0 3,7501 03/31/2007 DD 03/31/05 AAA 42,388,830.00 10.11 10,000,000.00 UNITED STATES TREASURY HTS .ooo 3,980 AAA 100.490 10,024,609.40 2. 71 912828DR8 4.0001 04/15/2010 DD 04/15/05 AAA 10,049,000.00 2.40 YLDARAL YIELD ANALYSIS PAGE 13 OCSF07522202 2005/04/30 RUN DATE 05/05/05 DISTRICT: LONG-TERM OPERATING RUN TIME 09.09.39 =======~n====-===~~==========--=--====-===--==2=========-======~=================================================---- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL ------------------------------------------------------------------------------------------------ 1,150,000.00 VIRGINIA ELEC, PWR 01 SER A .ooo 5.658 A3 101.625 1,743,840.00 .47 927804EHO 5.7501 03/31/2006 DD 03/27/01 BBB+ 1,778,437.50 .42 8,368,429.04 US TREASURY INFLATION INDEX HT 3.817 3.215 AAA 104.969 7,428,389.12 2.36 9128272M3 3.3751 01/15/2007 DD 01/15/97 AAA 8,784,256.28 2.10 761,686,84 FBLMC MtJLTICLASS MTG SER E3 A 6,316 3.874 AAA 99.783 762,498.29 .20 3133TCE95 VAR RT 08/15/2032 DD 12/01/97 AAA 760,033.98 ,18 452,509.99 GHMA GTD REMIC TR 2000-9 FR 6,320 3,443 AAA 100.782 452,509.99 ,12 3837B4HX9 VAR RT 02/16/2030 AAA 456,048.62 .11 177,816,46 GHMA II POOL 1080088M 6,70S 3,310 AAA 101.963 181,706.19 .04 36225CC20 7,3751 06/20/2027 DD 06/01/97 AAA 181,307.00 .04 145,871.56 GHMA II POOL 10080023 6,992 4,057 AAA 101.668 148,287.55 .03 36225CAZ9 VAR RT 12/20/2026 DD 12/01/96 AAA 148,304,70 .04 2,100,000.00 FEDERAL NATL MTG ASSN DEBS 7.113 6.049 AAA 109.524 2,030,133.00 .62 31359MEY5 6,6251 09/15/2009 DD 09/01/99 AAA 2,300,004.00 .S5 1,000,000.00 FORD MOTOR CR CO HT 7,582 6,746 A3 100,062 965,170,00 ,26 34S397GV9 6,7501 05/15/2005 DD 05/24/93 BBB-1,000,620.00 ,24 932,850.42 WMP/BUH'l'OOH PAIGE I000-11150 7,684 7.418 AAA 101.100 912,590.07 ,25 302998GB3 7,5001 12/01/2030 DD 10/21/99 AAA 943,107.76 .22 1,600,000.00 ALLSTATE CORP SR HT 7,967 7.875 Al 100.000 1,594,032,00 ,43 020002AL5 7,8751 05/01/200S DD OS/01/00 A+ 1,600,000,00 .38 ---------------------------------------------TOTAL FIXED INCOME SECURITIES .041 4,258 373,216,441.22 100.00 370,765,308.31 88.45 ----------------------------------------- TOTAL .040 4.182 421,623,646,77 100.00 419,172,513.86 100.00 ====== ==== @ Asset Detail Report ID: GL8013' Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDATED -OCSGOOO 10000 4/30/2005 Status: FINAL Net Unrealized Price l(·"ll Cost 'r: Market Value % of Gain/Loss Description ., ,I••; Shares Par r·,~ .•. -~ ,,. ,, , Total Base .. ~.;.. ., .. "\~?:~61-.D · Base "" Base . .. Base U.S. DOLLAR CASH & CASH EQUIVALENTS INTEREST RECEIVABLE 2,858,945.32 2,858,945.32 0.69% 0,00 RECEIVABLE FOR INVESTMENTS 11,481.93 11,481.93 0.00% 0.00 SOLD PAYABLE FOR INVESTMENTS -82,089,902.07 -82,089,902.07 -19,86% 0,00 PURCHASED FEDERAL HOME LN BK CONS DISC 99.9779 1,000,000.000 999,776.66 999,776.66 0.24% 0.00 MAT 05/02/2005 SEC ID: 313385FB7 FEDERAL HOME LN BKS CONS DISC 99.5091 2,000,000.000 1,990,182.50 1,990,182.50 0.48% 0.00 MAT 05/20/2005 SEC ID: 313385FV3 FEDERAL HOME LN BK CONS DISC N 99.7756 6,000,000.000 5,986,536.67 5,986,536.67 1.45% 0,00 MAT 05/25/2005 SEC ID: 313385GA8 FEDERAL HOME LN MTG CORP DISC 99.3559 2,000,000.000 1,987,117.78 1,987,117.78 0.48% 0.00 MAT 05/10/2005 SEC ID: 313397FK2 FEDERAL HOME LN MTG CORP DISC 99.3374 2,000,000.000 1,986,748.89 1,986,748.89 0.48% 0.00 MAT 05/17/2005 SEC ID: 313397FS5 FEDERAL HOME LN MTG CORP DISC 99.2922 1,587,000.000 1,575,767.57 1,575,767.57 0,38% 0.00 MAT 05/31/2005 SEC ID: 313397GG0 FEDERAL HOME LN MTG CORP DISC 99.3233 2,000,000.000 1,986,466.67 1,986,466.67 0.48% 0.00 MAT 06/14/2005 SEC ID: 313397GW5 FEDERAL HOME LN MTG CORP DISC 99.1483 4,000,000.000 3,965,933.33 3,965,933.33 0.96% 0.00 MAT 06/30/2005 SEC ID: 313397HN4 FEDERAL HOME LN MTG ASSN DISC 99.2360 3,000,000.000 2,977,080.00 2,977,080.00 0.72% 0.00 MAT 07/12/2005 SEC ID: 313397JA0 FEDERAL HM LN MTG CORP DISC NT 99.2333 9,300,000.000 9,228,700.00 9,228,700.00 2.23% 0.00 MAT 07/26/2005 SEC ID: 313397JQ5 FEDERAL HOME LN MTG CORP DISC 99.1218 9,300,000.000 9,218,325.33 9,218,325.33 2,23% 0,00 MAT 08/09/2005 SEC ID: 313397KE0 5/9/2005 10:49:17AM PDT 1 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED -OCSGOOO 10000 4/30/2005 Status: FINAL Net Unrealized Price i..~-·r. l' ·; Cost ; cc Market Value %of Gain/Loss Description Base Shares Par i -..s Base Base Total Base ' !!.;"' FEDERAL NATL MTG ASSN DISCOUNT 99.9767 7,400,000.000 7,398,273.33 7,398,273.33 1.79% 0.00 MAT 05/02/2005 SEC ID: 313589FB4 FEDERAL NATL MTG ASSN DISCOUNT 99.3439 1,400,000.000 1,390,814.04 1,390,814.04 0 .34% 0.00 MAT 05/11/2005 SEC ID: 313589FL2 FEDERAL NATL MTG ASSN DISCOUNT 99.2518 1,000,000.000 992,517.78 992,517.78 0.24% 0.00 MAT 06/29/2005 SEC ID: 313589HM8 FEDERAL NATL MTG ASSN DISCOUNT 99.2518 1,300,000.000 1,290,273.11 1,290,273.11 0.31% 0.00 MAT07/13/2005 SEC ID: 313589JB0 FEDERAL NATL MTG ASSN DISCOUNT 99.2620 200,000.000 198,524.08 198,524.08 0.05% 0.00 MAT 07/20/2005 SEC ID: 313589JJ3 FEDERAL NATL MTG ASSN DISCOUNT 99.2391 8,100,000.000 8,038,370.25 8,038,370.25 1.94% 0.00 MAT 07/27/2005 SEC ID: 313589JR5 FEDERAL NATL MTG ASSN DISC 98.8462 1,000,000.000 988,461.67 988,461.67 0 .24% 0.00 08/01/2005 SEC ID: 313589JW4 FEDERAL NATL MTG ASSN DISCOUNT 98.3671 4,000,000.000 3,934,682.22 3,934,682.22 0.95% 0.00 MAT 10/26/2005 SEC ID: 313589NL3 GENERAL ELEC CAP DISC 99.2400 2,000,000.000 1,984,800.00 1,984,800.00 0.48% 0.00 07/11/2005 SEC ID: 36959HUB 1 GENERAL ELEC CAP DISC 99.2275 10,300,000.000 10,220,432.50 10,220,432.50 2.47% 0.00 07/25/2005 SEC ID: 36959HUR6 UBS AG STAMFORD BRH INSTL C/D 99.9550 10,000,000.000 9,995,500.00 9,995,500.00 2.42% 0.00 VAR RT 07/05/2005 DD 07 /02/04 SEC ID: 90261GE47 U S TREASURY BILL 98.9002 7,000,000.000 6,923,014.00 6,923,014.00 1.67% 0.00 DUE 07/21/2005 DD 01/20/2005 SEC ID: 912795VH1 U S TREASURY BILL 99.1180 2,000,000.000 1,982,359.44 1,982,359.44 0.48% 0.00 0.000% 08/04/2005 DD 02/03/05 SEC ID: 912795VK4 U S TREASURY BILL 98.5164 2,000,000.000 1,970,327.92 1,970,327.92 0.48% 0.00 10/13/2005 DD 04/14/2005 SEC ID: 912795W0 5/9/2005 10:49:17AM PDT 2 Workbench @ Asset Detail Report ID: GL8013" Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUilA.TED-OCSGOOOlOOOO 4/30/2005 Status: FINAL Net Unrealized Price 11 ,(. '~·::~.• . .-:: . ,.I Cost Market Value % of Gain/Loss Description rl, I. Shares Par Total Base Base ~r. .1.-Base Base ' -~ ~ -L.-""""~•"' -~ CREDIT SUISSE FB REPO 100.0000 14,700,000.000 14,700,000.00 14,700,000.00 3.56% 0.00 02.800% 05/02/2005 DD 04/29/05 SEC ID: 99434T575 DREYFUS TREASURY CASH MGMT 100.0000 1,148,190.920 1,148,190.92 1,148,190.92 0.28% 0 .00 SEC ID: 99608524 7 TOTAL CASH & CASH EQUIVALENTS 115,735,190.920 35,839,701.84 35,839,701.84 8.67% 0.00 FIXED INCOME SECURITIES AlG SUNAMERlCA GLOBAL REG S 109.8670 752,000.000 826,199.84 826,199.84 0.20% 0.00 5.850% 08/01/2008 DD 08/08/01 SEC ID: U00907 AA0 COMMIT TO PUR FNMA SF MTG 100.6900 3,000,000.000 2,996,718.75 3,020,700.00 0.73% 23,981.25 5.000% 05/01/2020 DD 05/01/05 SEC ID: 01F050452 COMMIT TO PUR FNMA SF MTG 100.9400 4,000,000.000 3,996,445.30 4,037,600.00 0.98% 41,154.70 5.500% 05/01/2035 DD 05/01/05 SEC ID: 01F052656 ALLSTATE CORP SR NT 100.0000 1,600,000.000 1,594,032.00 1,600,000.00 0.39% 5,968.00 7.875% 05/01/2005 DD 05/01/00 SEC ID: 020002AL5 ASSOCIATES CORP NORTH AMER SR 100.3590 3,000,000.000 3,112,350.00 3,010,770.00 0 .73% -101,580.00 6.625% 06/15/2005 DD 06/09 /95 SEC ID: 046003FF1 BANK AMER N A TRANCHE #TR00255 100.0000 3,500,000.000 3,499,940.20 3,500,000.00 0.85% 59.80 VAR RT 08/08/2005 DD 02/07 /05 SEC ID: 06050VLQ8 BANKAMERICA CORP MTN SR 00150 100.0780 150,000.000 153,652.50 150,117.00 0 .04% -3,535.50 7.125% 05/12/2005 DD 05/12/95 SEC ID: 06605LGF0 CIT GROUP INC NEW SR NT 100.4210 1,500,000.000 1,507,005.00 1,506,315.00 0.36% -690.00 VAR RT 09/22/2006 DD 09/23/03 SEC ID: 125581AF5 CITIGROUP INC GLOBAL SR NT 99.9370 1,600,000.000 1,600,000.00 1,598,992.00 0.39% -1,008.00 VAR RT 05/02/2008 DD 05/02/05 SEC ID: l 72967CW9 WMP/HUNTOON PAIGE #000-11150 101.0996 932,850.420 912,590.07 943,107.76 0.23% 30,517.69 7.500% 12/01/2030 DD 10/21/99 SEC ID: 302998GE3 FEDERAL HOME LN MTG CORP MTN 98.4800 10,000,000.000 9,993,100.00 9,848,000.00 2.38% -145,100.00 4.000% 09/22/2009 DD 09/22/04 SEC ID: 3128X3WY5 5/9/2005 10:49:17AM PDT 3 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDATED-OCSGOO0 10000 4/30/2005 Status: FINAL Net Unrealized Price . ...:-1.· . ~ . ' Cost Market Value %of Gain/Loss Description .. ~,-, _, Shares Par ... Base Total .." ... 11 '•' Base I ' s • ,. Base ·Base FHLMC MULTICLASS MTG SER E3 A 99.7830 761,686.840 762,498.29 760,033.98 0.18% -2,464.31 VAR RT 08/15/2032 DD 12/01/97 SEC ID: 3133TCE95 FHLMC GROUP #78-6064 103.4560 52,632.130 51,349.22 54,451.10 0.01% 3,101.88 6.384% 01/01/2028 DD 12/01/97 SEC ID: 31348SWZ3 FEDERAL NATL MTG ASSN DEBS 109.5240 2,100,000.000 2,030,133.00 2,300,004.00 0,56% 269,871.00 6,625% 09/15/2009 DD 09/01/99 SEC ID: 31359MEY5 FEDERAL NATL MTG ASSN DEBS 101.4940 2,350,000.000 2,385,461.50 2,385,109.00 0.58% -352.50 5.250% 06/15/2006 DD 06/22/01 SEC ID: 31359MJX2 FNMA POOL #0254510 100.9040 611,831.500 630,186.44 617,362.46 0.15% -12,823.98 5.000% 11/01/2017 DD 10/01/02 SEC ID: 31371KVB4 FNMA POOL #0254631 100.8840 131,307.070 135,246.28 132,467,82 0.03% -2,778.46 5.000% 02/01/2018 DD 01/01/03 SEC ID: 31371KY47 FNMA POOL #0254760 100.8560 117,924.730 121,462.46 118,934.17 0.03% -2,528.29 5.000% 06/01/2018 DD 05/01/03 SEC ID: 31371K5V9 FNMA POOL #0254866 100.8360 53,539.790 55,145.99 53,987.38 0.01% -1,158,61 5.000% 09/01/2018 DD 08/01/03 SEC ID: 31371LCB3 FNMA POOL #0254907 100.8290 399,960.500 399,960.50 403,276.17 0.10% 3,315.67 5.000% 10/01/2018 DD 09/01/03 SEC ID: 31371LDLO FNMA POOL #0254953 100.8220 284,666.250 288,313.55 287,006.21 0 ,07% -1,307.34 5.000% 11/01/2018 DD 10/01/03 SEC ID: 31371LE21 FNMA POOL #0254987 100.7587 767,401.530 777,233.86 773,224.12 0.19% -4,009.74 5.000% 12/01/2018 DD 11/01/03 SEC ID: 31371LF46 FNMA POOL #0323980 103.8740 129,713.160 135,428.64 134,738,25 0.03% -690.39 6.000% 04/01/2014 DD 09/01/99 SEC ID: 31374T2M0 FNMA POOL #0357328 100.8194 22,060.920 22,722.75 22,241.69 0.01% -481.06 5.000% 01/01/2018 DD 01/01 /03 SEC ID : 31376J4M8 FNMA POOL #0357430 100.8560 1,167,571.680 1,180,706.86 1,177,566.09 0 .28% -3,140,77 5.000% 09/01/2018 DD 09/01/03 SEC ID: 31376KA71 5/9/2005 10:49:17AM PDT 4 Workbench @ Asset Detail Report ID: GL8013' Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED -OCSGOO0 10000 4/30/2005 Status: FINAL Net Unrealized Price .,,, :;..t ... :. •• ,...., Cost Market Value ' %of Gain/Loss ·,1 I. Description ' !., ·-; -,, • I Base Shares Par :i: .. ~-:1'-'•~1: .• 'I"~ Base Base .. Total Base FNMA POOL #0456482 103.8780 36,127.620 37,719.48 37,528.65 0.01% -190.83 6.000% 02/01/2014 DD 02/01/99 SEC ID: 31381CCT2 FNMA POOL #0509649 103.8650 96,378.370 100,625.04 100,103.39 0.02% -521.65 6.000% 09/01/2014 DD 09/01/99 SEC ID: 31383QEW0 FNMA POOL #0535451 103.8690 100,762.770 105,202.63 104,661.28 0 .03% -541.35 6.000% 06/01/2015 DD 07 /01/00 SEC ID: 31384VZQ8 FNMA POOL #0555363 100.8770 281,583.110 290,030.59 284,052.59 0.07% -5,978.00 5.000% 04/01/2018 DD 03/01/03 SEC ID: 31385W5Yl FNMA POOL #0555453 100.8700 29,292.840 29,668.16 29,547.69 0.01% -120.4 7 5.000% 05/01/2018 DD 04/01/03 SEC ID: 31385XBW6 FNMA POOL #0555545 100.8700 234,883.130 241,929.63 236,926.61 0 .06% -5,003.02 5.000% 06/01/2018 DD 05/01/03 SEC ID: 31385XES2 FNMA POOL #0555621 100.7587 808,030.280 817,120.62 814,161.14 0.20% -2,959.48 5.000% 07/01/2018 DD 06/01/03 SEC ID: 31385XG68 FNMA POOL #0681309 100.8840 440,332.280 453,542.25 444,224.82 0.11% -9,317.43 5.000% 02/01/2018 DD 02/01/03 SEC ID: 31391Y3S4 FNMA POOL #0681334 100.8840 52,868.470 54,454.53 53,335.83 0.01 % -1,118.70 5.000% 02/01/2018 DD 01/01/03 SEC ID: 31391Y4Tl FNMA POOL #0684908 100.8560 291,584.690 295,320.64 294,080.65 0.07% -1,239.99 5.000% 06/01/2018 DD 05/01/03 SEC ID: 31400D3Rl FNMA POOL #0685200 100.8700 158,622.050 160,654.42 160,002.06 0 .04% -652.36 5.000% 03/01/2018 DD 03/01/03 SEC ID: 31400EGH7 FNMA POOL #0685665 100.8840 26,786.300 27,589.89 27,023.09 0.01% -566.80 5.000% 02/01/2018 DD 02/01/03 SEC ID: 31400EW22 FNMA POOL #0686318 100.8770 239,332.270 246,512.23 241,431.21 0.06% -5,081.02 5.000% 03/01/2018 DD 03/01/03 SEC ID: 31400FPB7 FNMA POOL #0688739 100.8560 91,221.970 93,958.63 92,002.83 0.02% -1,955.80 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31400JEL9 5/9/2005 10:49:17AM PDT 5 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED-OCSGOOOlOOOO 4/30/2005 Status: FINAL Net Unrealized Price ~·-.. :J'"'~.~i,.·"'l rµi,._ •. .'1-Cost Market Value 'h• 4 %of Gain/Loss Description -· __ !;~ft~~{/ r, ~ " Shares Par ·. :r./.•\· •1 • Base Base ,u"-' Total Base Base T: __ r ' . FNMA POOL #0689859 100.8560 81,844.310 82,892.94 82,544.90 0.02% -348.04 5.000% 05/01/2018 DD 05/01/03 SEC ID: 31400KMG8 FNMA POOL #0693834 100.8770 500,139.130 515,143.29 504,525.35 0.12% -10,617.94 5.000% 03/01/2018 DD 03/01/03 SEC ID: 31400PY74 FNMA POOL #0695852 100.8630 185,534.240 191,100.26 187,135.40 0.05% -3,964.86 5.000% 05/01/2018 DD 05/01/03 SEC ID: 31400SBV0 FNMA POOL #0695889 100.8630 643,364.250 662,665.19 648,916.48 0.16% -13,748.71 5.000% 05/01/2018 DD 05/01/03 SEC ID: 31400SC23 FNMA POOL #0697026 100.8630 19,405.470 19,987.65 19,572.94 0.00% -414.71 5.000% 05/01/2018 DD 04/01/03 SEC ID: 31400TLF2 FNMA POOL #0702210 100.7587 196,980.720 202,890.14 198,475.29 0.05% -4,414.85 5.000% 05/01/2018 DD 05/01/03 SEC ID: 31401ADP9 FNMA POOL #0702328 100.8630 113,509.710 114,964.05 114,489.30 0.03% -474.75 5.000% 05/01/2018 DD 04/01/03 SEC ID: 31401AHD2 FNMA POOL #0709148 100.8500 242,921.290 250,208.94 244,986.12 0.06% -5,222.82 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401HZM7 FNMA POOL #0709360 100.8500 534,123.070 540,966.53 538,663.12 0.13% -2,303.41 5.000% 07/01/2018 DD 06/01/03 SEC ID: 31401JB56 FNMA POOL #0709826 100.8560 95,227.840 96,447.94 96,042.99 0.02% -404.95 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401JSP4 FNMA POOL #070991 7 100.8560 195,166.640 197,667.21 196,837.27 0.05% -829.94 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401JVJ4 FNMA POOL #0709963 100.7587 17,660.270 17,886.55 17,794.27 0.00% -92.28 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401JWY0 FNMA POOL #0710235 100.8500 497,720.930 512,652.58 501,951.56 0.12% -10,701.02 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401KBC8 FNMA POOL #0713344 100.8560 13,093.280 13,486.07 13,205.36 0.00% -280.71 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401NP52 5/9/2005 10:49:17AM PDT 6 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDATED -0CSGOO0 10000 4/30/2005 Status: FINAL Net Unrealized Price 'h It" ·~ .. ~-;'t~ -Cost Market Value %of Gain/Loss ha ~?1. ~~,,,.,IC :t I -1:i I ' Description :-~~-"~:,·. !)~~:.~~-: . Base ~.~? S res Par -•-·-~ Base ,. Base Total ' Base FNMA POOL #0713365 100.8500 216,962.460 219,742.28 218,806.64 0.05% -935.64 5.000% 07/01/2018 DD 07 /01/03 SEC ID: 31401NQS1 FNMA POOL #0720319 100.8500 616,390.550 624,288.06 621,629.87 0.15% -2,658.19 5.000% 07/01/2018 DD 07 /01/03 SEC ID: 31401WG45 FNMA POOL #0720369 100.7587 1,914,744.820 1,972,187.17 1,929,272.77 0.47% -42,914.40 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31401WJN0 FNMA POOL #0721629 100.8500 261,926.370 5.000% 07/01/2018 DD 06/01/03 269,784.18 264,152.74 0.06% -5,631.44 SECID:31401XVW4 FNMA POOL #0723487 100.8500 187,133.280 189,238.54 188,723.91 0.05% -514.63 5.000% 06/01/2018 DD 06/01/03 SEC ID: 31402AXQ4 FNMA POOL #0725530 100.7322 2,993,927.870 3,034,626.56 3,015,850.46 0.73% -18,776.10 5.000% 06/01/2019 DD 05/01/04 SEC ID: 31402DA75 FNMA POOL #0729601 100.8430 357,659.600 5.000% 07/01/2018 DD 07 /01/03 362,242.12 360,674.67 0.09% -1,567.45 SEC ID: 31402HRW3 FNMA POOL #0732873 100.8220 31,938.860 5.000% 11/01/2018 DD 10/01/03 32,348.06 32,201.40 0.01% -146.66 SEC ID: 31402MFN5 FNMA POOL #0737130 100.8360 568,909.420 5.000% 10/01/2018 DD 10/01/03 576,198.57 573,665.50 0.14% -2,533.07 SEC ID: 31402S4P9 FNMA POOL #0738211 100.7587 467,455.400 473,444.70 471,002.18 0.11% -2,442.52 5.000% 10/01/2018 DD 10/01/03 SEC ID: 31402UDQ2 FNMA POOL #0738487 100.8220 161,300.770 5.000% 10/01/2018 DD 10/01/03 163,367.44 162,626.66 0.04% -740.78 SEC ID: 31402UNC2 FNMA POOL #0740457 100.7587 1,948,641.910 1,975,131.26 1,963,427.06 0.47% -11,704.20 5.000% 10/01/2018 DD 10/01/03 SEC ID: 3 l 402WTN8 FNMA POOL #0740471 100.7587 653,387.270 661,758.78 658,344.79 0.16% -3,413.99 5.000% 10/01/2018 DD 10/01/03 SEC ID: 31402WT40 FNMA POOL #0740748 100.8360 679,935.270 5.000% 10/01/2018 DD 11/01/03 688,646.93 685,619.53 0.17% -3,027.40 SEC ID: 31402W5H7 5/9/2005 10:49:17AM PDT 7 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED -OCSGOO0 10000 4/30/2005 Status: FINAL Net Unrealized Price Cost Ii Market Value %of Gain/Loss Description Base Shares Par Base ' Base Total i Base FNMA POOL #0743868 100.7587 33,094.730 33,518.76 33,345.83 0.01% -172.93 5.000% 11/01/2018 DD 10/01/03 SEC ID: 31403BMR1 FNMA POOL #0744008 100.8560 881,091.630 892,380.62 888,633.77 0 .21% -3,746.85 5.000% 07/01/2018 DD 09/01/03 SEC ID: 31403BR54 FNMA POOL #0744316 100.7587 138,825.810 140,604.52 139,879.14 0.03% -725.38 5.000% 09/01/2018 DD 09/01/03 SEC ID: 31403B3Z4 FNMA POOL #0747914 100.8220 289,144.090 292,848.76 291,520.85 0.07% -1,327.91 5.000% 11/01/2018 DD 11/01/03 SEC ID: 31403F3X0 FNMA POOL #0748400 100.7587 169,800.890 171,976.47 171,089.24 0.04% -887.23 5.000% 08/01/2018 DD 09/01/03 SEC ID: 31403GNR9 FNMA POOL #0748899 100.7587 849,279.200 860,160.59 855,723.03 0.21% -4,437.56 5.000% 12/01/2018 DD 11/01/03 SEC ID: 31403G7LO FNMA POOL #0750377 100.7587 1,884,917.480 1,909,067.98 1,899,219.12 0.46% -9,848.86 5.000% 11/01/2018 DD 11/01/03 SEC ID: 31403JUA2 FNMA POOL #0750380 100.7587 1,608,474.850 1,629,083.45 1,620,679.01 0.39% -8,404.44 5.000% 11/01/2018 DD 11/01/03 SEC ID: 31403JUD6 FNMA POOL #0750445 100.7587 163,134.220 165,224.38 164,371.99 0.04% -852.39 5.000% 11/01/2018 DD 11/01/03 SEC ID: 31403JWE2 FNMA POOL #0751960 100.7587 701,787.880 5.000% 12/01/2018 DD 11/01/03 710,779.55 707,112.63 0.17% -3,666.92 SEC ID: 31403LMH1 FNMA POOL #0753425 100.8160 746,909.150 755,545.27 753,003.93 0.18% -2,541.34 5.000% 11/01/2018 DD 11/01/03 SEC ID: 31403NA23 FNMA POOL #0755165 100.8160 542,274.050 549,221.94 546,699.01 0.13% -2,522.93 5.000% 12/01/2018 DD 11/01/03 SEC ID: 31403Q6A3 FNMA POOL #0756372 100.8160 856,782.230 866,688.77 863,773.57 0.21% -2,915.20 5.000% 11/01/2018 DD 11/01/03 SEC ID: 31403SJR8 FNMA POOL #0784251 100.7640 3,100,687.690 3,142,837.67 3,124,376.94 0.76% -18,460.73 5.000% 11/01/2019 DD 11/01/04 SEC ID: 31405BH46 5/9/2005 10:49:17AM PDT 8 Wo,.-kbench @ Asset Detail Report ID: GL8013. Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED-OCSGOO0 10000 4/30/2005 Status: FINAL Net Unrealized Price ,l--.;_;.; ltt-~J; "I • . I Cost I Market Value %of Gain/Loss --• . r, ~ •• t~ .... Description t • Base Shares Par Base Base Total •t_"',• Base -; .. " , ~ L. FNMA POOL #0789670 100.7630 870,147.790 881,976.36 876,787.02 0.21% -5,189.34 5.000% 12/01/2019 DD 12/01/04 SEC ID: 3 l 405HJP4 FNMA POOL #0792432 100.7650 856,631.270 868,276.11 863,184.50 0.21% -5,091.61 5.000% 10/01/2019 DD 10/01/04 SEC ID: 31405LLM9 FNMA POOL #0792437 100.7650 4,999,503.200 4,999,503.20 5,037,749.40 1.22% 38,246.20 5.000% 10/01/2019 DD 10/01/04 SEC ID: 31405LLS6 FNMA POOL #0794195 100.7640 894,566.420 906,726.94 901,400.91 0.22% -5,326.03 5.000% 11/01/2019 DD 11/01/04 SEC ID: 3 l 405NKG9 FNMA POOL #0797160 100.7620 3,135,225.870 3,177,845.33 3,159,116.29 0.76% -18,729.04 5.000% 12/01/2019 DD 12/01/04 SEC ID: 31405RTR7 FNMA POOL #0797408 100.7620 800,700.100 811,584.62 806,801.43 0.20% -4,783.19 5.000% 12/01/2019 DD 12/01/04 SEC ID: 31405R3R5 FNMA POOL #0797414 100.7620 872,961.300 5.000% 12/01/2019 DD 12/01/04 884,828.11 879,613.27 0.21% -5,214.84 SEC ID: 31405R3X2 FNMA POOL #0803923 100.7620 3,054,956.690 5.000% 12/01/2019 DD 12/01/04 3,096,485.01 3,078,235.46 0.74% -18,249.55 SEC ID: 31406AD41 FNMA POOL #0807711 100.7620 3,001,382.080 5.000% 01/01/2020 DD 01/01/05 3,042,182.11 3,024,252.61 0.73% -17,929.50 SEC ID: 31406EKY9 FORD MOTOR CR CO NT 100.0620 1,000,000.000 965,170.00 1,000,620.00 0.24% 35,450.00 6.750% 05/15/2005 DD 05/24/93 SEC ID: 345397GV9 GNMA POOL #0421389 105.0680 8,215.700 6.500% 04/15/2026 DD 04/01/96 8,622.64 8,632.07 0.00% 9.43 SEC ID: 36206UC23 GNMA POOL #0449851 104.6722 12,026.470 12,622.16 12,588.37 0.00% -33.79 6.500% 01/15/2028 DD 01/01/98 SEC ID: 36208FWLO GNMA POOL #0466845 104.9820 32,524.010 34,134.97 34,144.36 0.01% 9.39 6.500% 06/15/2028 DD 06/01/98 SEC ID: 36209BTA6 GNMA POOL #0468052 104.9770 110,009.560 115,458.46 115,484.74 0.03% 26.28 6.500% 07/15/2028 DD 07 /01/98 SEC ID: 36209C5M4 5/9/2005 10:49:17AM PDT 9 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDATED-OCSGOO0l00OO 4/30/2005 Status: FINAL ?(et Unrealized Price L i If l ._rl" (" -~ ·~j• ,. Cost Market Value %of Gain/Loss -~~~• . .,~,":~..,t r_; , ·~ Description Base '!.:'.,. ... Shares Par Base Base Total Base GNMA POOL #0476041 104.9820 122,069.030 127,924.54 128,150.51 0.03% 225.97 6.500% 06/15/2028 DD 06/01/98 SEC ID: 36209MZE7 GNMA POOL #0478626 104.9500 119,877.820 125,628.21 125,811.77 0.03% 183.56 6.500% 01/15/2029 DD 01/01/99 SEC ID: 36209QVT9 GNMA POOL #0480598 104.9610 28,616.270 29,988.95 30,035.92 0.01% 46.97 6.500% 10/15/2028 DD 10/01/98 SEC ID: 36209S3F6 GNMA POOL #0512235 104.8950 8,337.120 8,750.06 8,745.22 0.00% -4.84 6.500% 11/15/2029 DD 11/01/99 SEC ID: 36211GBC6 GNMA POOL #0514326 104.9170 77,947.610 81,686.66 81,780.29 0.02% 93.63 6.500% 07/15/2029 DD 07 /01/99 SEC ID: 36211JLF2 GNMA II POOL #0080023 101.6680 145,871.560 148,287.55 148,304.70 0 .04% 17.15 VAR RT 12/20/2026 DD 12/01/96 SEC ID: 36225CAZ9 GNMA II POOL #080088M 101.9630 177,816.460 181,706.19 181,307.00 0.04% -399.19 7.375% 06/20/2027 DD 06/01/97 SEC ID: 36225CC20 GNMA II POOL #0080395 102.0880 159,412.530 157,967.85 162,741.06 0.04% 4,773.21 VAR RT 04/20/2030 DD 04/01/00 SEC ID: 36225CNM4 GNMA II POOL #080408X 102.0860 1,434,727.510 1,420,156.05 1,464,655.93 0.35% 44,499.88 VAR RT 05/20/2030 DD 05/01/00 SEC ID: 36225CN28 GNMA II POOL #0080965 99.9210 1,291,193.030 1,290,386.02 1,290,172.99 0.31% -213.03 VAR RT 07/20/2034 DD 07 /01/04 SEC ID: 36225DCB8 GOLDMAN SACHS GRP MTN 100.1870 3,500,000.000 3,507,850.50 3,506,545.00 0.85% -1,305.50 #TR00194 VAR RT 10/27/2006 DD 10/29/03 SEC ID: 38141EJB6 GOLDMAN SACHS GRP MTN 100.0460 2,000,000.000 2,001,900.00 2,000,920.00 0.48% -980.00 #TR00203 VAR RT 03/30/2007 DD 04/01/04 SEC ID: 38141EJL4 GOLDMAN SACHS GRP MTN 100.3900 800,000.000 800,000.00 803,120.00 0.19% 3,120.00 #TR00207 VAR RT 07/23/2009 DD 07 /23/04 SEC ID: 38141EJQ3 5/9/2005 10:49:17AM PDT 10 Workbench @ Asset Detail Report ID: GL8013' Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDATED -OCSGOO0 10000 4/30/2005 Status: FINAL Net Unrealized Price Cost Market Value %of Gain/Loss Description Shares Par ~ l1 Total \.•;· Base Base Base Base .'t'l'"~_}, GOLDMAN SACHS MTN # TR 00216 99.9680 5,500,000.000 5,500,196.00 5,498,240.00 1.33% -1,956.00 VAR RT 08/01/2006 DD 02/01/05 SEC ID: 38141EJZ3 GNMA GTD REMIC TR 2000-9 FH 100.7820 452,509.990 452,509.99 456,048.62 0.11 % 3,538.63 VAR RT 02/16/2030 SEC ID: 3837H4NX9 HSBC BK USA MTN #SR00012 100.0780 250,000.000 250,170.00 250,195.00 0.06% 25.00 VAR RT 09/21/2007 DD 09/21/04 SEC ID: 4042Q0AM1 HSBC FIN CORP MTN # TR 00002 99.9680 3,000,000.000 3,000,000.00 2 ,999,040.00 0.73% -960.00 VAR RT 02/28/2007 DD 03/29/05 SEC ID: 40429JAB3 MORGAN STANLEY 100.1400 2,000,000.000 2,002,980.00 2,002,800.00 0.48% -180.00 VAR RT 01/12/2007 DD 01/ 13/04 SEC ID: 61746BAK2 MORGAN STANLEY NT 98.0310 3,200,000.000 3,149,248.00 3,136,992.00 0.76% -12,256.00 3.875% 01/15/2009 DD 01/13/04 SEC ID: 61746BALO MORGAN STANLEY NT 100.0150 650,000.000 650,000.00 650,097.50 0.16% 97.50 VAR RT 11/09/2006 DD 11/12/04 SEC ID: 61746SAZ2 NORWEST FINL INC NT 100.0000 150,000.000 153,084.00 150,000.00 0.04% -3,084.00 7.600% 05/03/2005 DD 05/03/00 SEC ID: 669383DX6 RESIDENTIAL ASSET 03-RSl 1 AIIB 100.1220 505,153.100 505,153.10 505,769.39 0.12% 616.29 VAR RT 12/25/2033 DD 12/30/03 SEC ID: 760985K83 SBA GTD DEV PARTN 2001-20C 1 106.2700 2,774,342.070 2,774,342.07 2,948,293.32 0.71% 173,951.25 6 .340% 03/01/2021 SEC ID: 83162CW0 SBA GTD PARTN CTFS SBIC-PS 01 105.5050 1,782,321.970 1,782,321.97 1,880,438.79 0.45% 98,116.82 6.640% 02/10/2011 DD 02/21/01 SEC ID: 831641DD4 TOYOTA MTR CR MTN #TR00413 99.9680 2,000,000.000 1,998,188.00 1,999,360.00 0.48% 1,172.00 VARRT 09/18/2006DD03/16/05 SEC ID: 89233PTE6 UNITED AIRLS PASSTHRU 01-1 C 13.7510 1,600,000.000 1,600,000.00 220,016.00 0.05% -1,379,984.00 6.831% 03/01/2010 DD 08/22/01 SEC ID: 90931 7BC2 U S TREASURY NOTES 104.6095 20,000,000.000 22,620,312.50 20,921,900.00 5.06% -1,698,412.50 06.250% 02/15/2007 DD 02/ 15/97 SEC ID: 9128272J0 5/9/2005 10:49:17AM PDT 11 Workbench @ Asset Detail Report ID: GL8013 Mellon Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDATED-OCSGOOOlOOOO 4/30/2005 Status: FINAL Net Unrealized Price ~-~ . ~-.,_:J •• Cost Market Value %of Gain/Loss . Description Base Shares Par . I~ ,:i: ~-, Baae Base Total ' Base --- US TREASURY INFLATION INDEX NT 104.9690 8,368,429.040 7,428,389.12 8,784,256.28 2.12% 1,355,867.16 3.375% 01/15/2007 DD 01/15/97 SEC ID: 9128272M3 US TREASURY INFLATION INDEX NT 107.5940 2,492,679.000 2,708,042.91 2,681,973.04 0 .65% -26,069.87 3.625% 01/15/2008 DD 01/15/98 SEC ID: 9128273T7 US TREASURY INFLATION INDEX NT 110.5315 11,108,255.000 12,289,137.59 12,278,120.88 2.97% -11,016.71 3.875% 01/15/2009 DD 01/15/99 SEC ID: 9128274Y5 U S TREASURY NOTES 101.3750 3,900,000.000 4,288,149.14 3,953,625.00 0.96% -334,524.14 05.750% 11/15/2005 DD 11/15/00 SEC ID: 9128276N7 U S TREASURY NOTES 98.6100 10,900,000.000 10,684,196.02 10,748,490.00 2.60% 64,293.98 3.375% 12/15/2008 DD 12/ 15/03 SEC ID: 912828BT6 US TREASURY INFLATION INDEXED 103.8500 2,387,009.000 2,438,311.25 2,478,908.85 0.60% 40,597.60 2.000% 01/15/2014 DD 01/15/04 SEC ID: 912828BW9 U S TREASURY NOTES 99.2300 27,500,000.000 27,463,468.63 27,288,250.00 6.60% -175,218.63 2.750% 06/30/2006 DD 06/30/04 SEC ID: 912828CM0 US TREASURY INFLATION INDEX NT 103.8100 3,153,723.000 3,241,659.04 3,273,879.85 0.79% 32,220.81 2.000% 07/15/2014 DD 07 / 15/04 SEC ID: 912828CP3 U S TREASURY NOTES 99.1400 14,000,000.000 14,029,693.55 13,879,600.00 3.36% -150,093.55 2.750% 07/31/2006 DD 07 /31/04 SEC ID: 912828CQ1 U S TREASURY NOTES 98.5600 55,300,000.000 55,018,326.59 54,503,680.00 13.18% -514,646.59 2.375% 08/31/2006 DD 08/31/04 SEC ID: 912828CU2 U S TREASURY NOTES 98.9800 20,800,000.000 20,640,268.90 20,587,840.00 4.98% -52,428.90 2.875% 11/30/2006 DD 11/30/04 SEC ID: 912828DD9 U S TREASURY NOTES 100.4800 20,700,000.000 20,629,372.22 20,799,360.00 5.03% 169,987.78 4.000% 03/15/2010 DD 03/15/05 SEC ID: 912828DP2 UNITED STATES TREASURY NT 100.2100 42,300,000.000 42,477,734.87 42,388,830.00 10.25% -88,904.87 3.750% 03/31/2007 DD 03/31/05 SEC ID: 912828DQ0 UNITED STATES TREASURY NTS 100.4900 10,000,000.000 10,024,609.40 10,049,000.00 2.43% 24,390.60 4.000% 04/15/2010 DD 04/15/05 SEC ID: 912828DR8 5/9/2005 10:49:17AM PDT 12 Workbench @ Mellon OCSD-CONSOUDATED -OCSGOOO 10000 Description VIRGINIA ELEC & PWR O 1 SER A 5.750% 03/31/2006 DD 03/27 /01 SEC ID: 927804ENO TOTAL FIXED INCOME SECURITIES TOTAL ASSETS U.S. DOLLAR Price Base 101.6250 TOTAL ASSETS -BASE: 5/9/2005 10:49:17AM PDT Asset Detail by Currency 4/30/2005 Shares Pat 1,750,000.000 376,275,303.140 492,010,494.060 492,010,494.060 13 Cost Base 1,743,840.00 380,135,467.92 415,975,169.76 415,975,169.76 Report ID: GL8013 Base Currency: USD Alternate Base Currency: Exchange Rate: Status: FINAL Net Unrealized Market Value ~ %of Gain/Lo&B Base --Total I' ., Base 1,778,437.50 0.43% 34,597.50 377,576,195.31 91.33% -2,559,272.61 413,415,897.15 100.00% -2,559,272.61 413,415,897.15 100.00% -2,559,272.61 Workbench . . @ Transaction Detail Report ID: EWBA09 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATEDJfil2= :::u c:11 r,----". 4/1/2005 -4/29/2005 Status: FINAL Trade Date . r ~ ~f. ~T I' Tran Settle Date ;.:t,;,"i:,,:;~1.,.-,; Cost ,. --1" ..... t.+:f,,. Amount ,Net Gain/Loss Base Price :J,_ .,. ~ -~!u·1' l •·. .... -~ ·'='== Type Description Reported Date Shares/Par w, ~•' ~i r-~~~ ~'.~ ;'" Base 1 -Base 1rt M •;:-... ,-- 11Base: B FEDERAL HOME LN BK CONS DISC MAT 4/29/2005 99.9767 200,000.000 199,953.33 -199,953.33 0.00 05/02/2005 4/29/2005 SEC ID: 313385FB7 4/29/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07522202: LONG TERM OPER-PIMCO B FEDERAL HOME LN BK CONS DISC MAT 4/29/2005 99.9779 800,000.000 799,823.33 -799,823.33 0.00 05/02/2005 4/29/2005 SEC ID: 313385FB7 4/29/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO B FEDERAL HOME LN BK CONS DISC N MAT 4/27/2005 99.7756 6,000,000.000 5,986,536.67 -5,986,536.67 0.00 05/25/2005 4/27/2005 SEC ID: 313385GA8 4/27/2005 BROKER: GOLDMAN SACHS & CO, NY OCSF07511102: LIQUID OPER-PIMCO B FEDERAL HOME LN MTG ASSN DISC MAT 4/7/2005 99.2133 2,000,000.000 1,984,266.67 -1,984,266.67 0.00 07/12/2005 4/7/2005 SEC ID: 313397JAO 4/7/2005 BROKER: GOLDMAN SACHS & CO, NY OCSF07511102: LIQUID OPER-PIMCO B FEDERAL HOME LN MTG ASSN DISC MAT 4/15/2005 99.2813 1,000,000.000 992,813.33 -992,813.33 0.00 07/12/2005 4/15/2005 SEC ID: 313397JAO 4/15/2005 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO B FEDERAL HM LN MTG CORP DISC NT MAT 4/25/2005 99.2333 9,300,000.000 9,228,700.00 -9,228,700.00 0.00 07/26/2005 4/25/2005 SEC ID: 313397JQ5 4/25/2005 BROKER: CHASE SECURITIES, NEW YORK OCSF07522202: LONG TERM OPER-PIMCO B FEDERAL HOME LN MTG CORP DISC MAT 4/27/2005 99.1218 9,300,000.000 9,218,325.33 -9,218,325.33 0.00 08/09/2005 4/27/2005 SEC ID: 313397KEO 4/27/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07522202: LONG TERM OPER-PIMCO 5/9/2005 10:52:09AM PDT Workbench * Actual Settle Date 3 @ Transaction Detail Report ID: EWBA09 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED::m2 J ~c:Q,1·cr·-·_•; ;c: 4/1/2005 -4/29/2005 Status: FINAL Trade Date -l J. .. ,tt-.r , .... ~·' .--:-: ' " -Tran Settle Date Base Price ·••l: · .. ~· ... -~ Cost -:u Amount Net Gain/Loss Type Description Reported Date Base ' Base Base Shares/Par ,, ,t, -~ ''!"' ' J ,, , .. -~! B DREYFUS TREASURY CASH MGMT 4/29/2005 1.0000 3,034.420 3,034.42 -3,034.42 0.00 SEC ID: 996085247 4/29/2005 OCSF0751 l 102 : LIQUID OPER-PIMCO 4/29/2005 TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: 406,947,591.670 406,460,091.07 -406,460,091.07 0.00 TOTAL CASH & CASH EQUIVALENTS BASE: 406,947,591.670 406,460,091.07 -406,460,091.07 0.00 FIXED INCOME SECURITIES U.S. DOLLAR BC COMMIT TO PUR FNMA SF MTG 5.000% 3/10/2005 100.0000 -11,400,000.000 -11,400,000.00 11,400,000.00 0.00 04/01/2020 DD 04/01 /05 4/18/2005 SEC ID: 01F050445 4/1/2005 BROKER: UBS SECURITIES LLC, STAMFORD OCSF07522202: LONG TERM OPER-PIMCO B COMMIT TO PUR FNMA SF MTG 5 .000% 3/15/2005 100.1406 500,000.000 500,703.12 -500,703.12 0.00 04/01/2020 DD 04/01 /05 4/18/2005 SEC ID: 01F050445 4/1/2005 BROKER: BARCLAYS CAPITAL INC, NEW YORK OCSF07522202 : LONG TERM OPER-PIMCO B COMMIT TO PUR FNMA SF MTG 5.500% 4/8/2005 99.9023 1,000,000.000 999,023.43 -999,023.43 0.00 05/01/2035 DD 05/01 /05 5/12/2005 SEC ID: 01F052656 4/8/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07522202 : LONG TERM OPER-PIMCO B COMMIT TO PUR FNMA SF MTG 5.500% 4/8/2005 99.9141 3,000,000.000 2,997,421.87 -2,997,421.87 0.00 05/01/2035 DD 05/01 /05 5/12/2005 SEC ID: 01F052656 4/8/2005 BROKER: GOLDMAN SACHS & CO, NY OCSF07522202 : LONG TERM OPER-PIMCO 5/9/2005 10:52:09AM PDT Workbench * Actual Settle Date 13 @ Transaction Detail Report ID: EWBA09 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATEDJ!JI:c::2 71,J rn]J';-,~-1 4/1/2005 -4/29/2005 Status: FINAL ; .. ' Trade Date l ' •' J ..... ,-... Tran Settle Date Base Price ~ .... 11, ' ·~ Cost • f H Amount Net Gain/Loss Type Description C Reported Date Shares/Par Base J Base -Base ' IB FNMA POOL #0792437 5.000% 10/01/2019 3/10/2005 100.0000 0.000 0.00 -2,360.88 0.00 DD 10/01/04 4/18/2005 SEC ID: 31405LLS6 4/1/2005 BROKER: UBS SECURITIES LLC, STAMFORD OCSF07522202: LONG TERM OPER-PlMCO B FNMA POOL#0792437 5.000% 10/01/2019 3/10/2005 100.0000 999,900.640 999,900.64 -999,900.64 0.00 DD 10/01/04 4/18/2005 SEC ID: 31405LLS6 4/1/2005 BROKER: UBS SECURITIES LLC, STAMFORD OCSF07522202: LONG TERM OPER-PIMCO IB FNMA POOL #0792437 5.000% 10/01/2019 3/10/2005 100.0000 0.000 0.00 -2,360.88 0.00 DD 10/01/04 4/18/2005 SEC ID: 31405LLS6 4/1/2005 BROKER: UBS SECURITIES LLC, STAMFORD OCSF07522202: LONG TERM OPER-PlMCO B FNMA POOL#0792437 5.000% 10/01/2019 3/10/2005 100.0000 999,900.640 999,900.64 -999,900.64 0.00 DD 10/01/04 4/18/2005 SEC ID: 31405LLS6 4/1/2005 BROKER: UBS SECURITIES LLC, STAMFORD OCSF07522202: LONG TERM OPER-PlMCO IB FNMA POOL #0792437 5.000% 10/01/2019 3/10/2005 100.0000 0.000 0.00 -2,360.88 0.00 DD 10/01/04 4/18/2005 SEC ID: 31405LLS6 4/1/2005 BROKER: UBS SECURITIES LLC, STAMFORD OCSF07522202: LONG TERM OPER-PIMCO B FNMA POOL#0792437 5.000% 10/01/2019 3/10/2005 100.0000 999,900.640 999,900.64 -999,900.64 0.00 DD 10/01/04 4/18/2005 SEC ID: 31405LLS6 4/1/2005 BROKER: UBS SECURITIES LLC, STAMFORD OCSF07522202: LONG TERM OPER-PIMCO 1B FNMA POOL#0792437 5.000% 10/01/2019 3/10/2005 100.0000 0.000 0.00 -2,360.88 0.00 DD 10/01/04 4/18/2005 SEC ID: 31405LLS6 4/1/2005 BROKER: UBS SECURITIES LLC, STAMFORD OCSF07522202: LONG TERM OPER-PIMCO 5/9/2005 10:52:09AM PDT Workbench * Actual Settle Date 16 Transaction Detail , @ Report ID: EWBA09 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATEDJQ02TJ[!IJC:-H" ,-,,-0 4/1/2005 -4/29/2005 Status: FINAL Trade Date . r Tran ,-tr:· Cost : ,; . Amount" '1. Net Gain/Loss ' Settle Date Base Price ;u ,f;'-.,._~~• I .... , __ . Type Description Reported Date Shares/Par ~-r.~} Base .. Base Base "'I•' 1-•1 .• r· • -,.1 B FNMA POOL #0799270 5.000% 01/01/2020 3/8/2005 100.7266 71,873.940 72,396.15 -72,396.15 0.00 DD 01/01/05 3/17/2005 SEC ID: 31405T6F4 4/1/2005 BROKER: GOLDMAN SACHS & CO, NY 4/6/2005 * OCSF07522202: LONG TERM OPER-PIMCO 1B FNMA POOL #0799270 5.000% 01/01/2020 3/8/2005 100.7266 0.000 0.00 -159.72 0.00 DD 01/01/05 3/17/2005 SEC ID: 31405T6F4 4/1/2005 BROKER: GOLDMAN SACHS & CO, NY OCSF07522202: LONG TERM OPER-PIMCO 4/6/2005 * B US TREASURY INFLATION INDEXED 2.000% 4/12/2005 102.1563 1,965,455.000 2,007,835.12 -2,007,835.12 0.00 01/15/2014 DD 01/15/04 4/13/2005 SEC ID: 912828BW9 4/12/2005 BROKER: BARCLAYS CAPITAL INC, NEW YORK OCSF07522202: LONG TERM OPER-PIMCO 1B US TREASURY INFLATION INDEXED 2.000% 4/12/2005 102.1563 0.000 0.00 -9,555.80 0.00 01/15/2014 DD O 1/ 15 /04 4/13/2005 SEC ID: 912828BW9 4/12/2005 BROKER: BARCLAYS CAPITAL INC, NEW YORK OCSF07522202: LONGTERM OPER-PIMCO B US TREASURY INFLATION INDEXED 2.000% 4/12/2005 102.1563 413,780.000 422,702.13 -422,702.13 0.00 01/15/2014 DD 01/15/04 4/13/2005 SEC ID: 912828BW9 4/12/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07522202: LONG TERM OPER-PIMCO 1B US TREASURY INFLATION INDEXED 2.000% 4/12/2005 102.1563 0.000 0.00 -2,011.75 0.00 01/15/2014 DD O 1/ 15 /04 4/13/2005 SEC ID: 912828BW9 4/12/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07522202: LONG TERM OPER-PIMCO B US TREASURY INFLATION INDEX NT 2.000% 4/13/2005 102.7969 3,144,082.000 3,232,018.04 -3,232,018.04 0.00 07/15/2014 DD 07/15/04 4/14/2005 SEC ID: 912828CP3 4/13/2005 BROKER: GOLDMAN SACHS & CO, NY OCSF07522202: LONG TERM OPER-PIMCO 5/9/2005 10:52:09AM PDT Workbench * Actual Settle Date 19 -Transaction Detail @ Report ID: EWBA09 Mellon Reported by Transaction Category Base Currency: USO OCSD-CONSOLIDATEDJIJDI2 J •• •••••••• 4/1/2005 -4/29/2005 Status: FINAL .. •I -r; Trade Date .. r:.,, -~ . .. ., r [ . ~ -, ... ~ ' -.... r '• 1:---j Net Gain/Loss Tran ,, ,ti: Settle Date Base Price •-.. • (T Cost Amount .... ,J ' ' !'.. .-: \";~[lT', r 1.' ' Type Description LIi'" .. 1-·· Reported Date Shares/Par ~t ~~~·.: • ··• :. Base Base Base . . ~ .:-,~ ..-;., l B UNITED STATES TREASURY NT 3.750% 4/11/2005 100.0313 42,300,000.000 42,313,218.75 -42,313,218. 75 0.00 03/31/2007 DD 03/31 /05 4/12/2005 SEC ID: 912828DQO 4/11/2005 BROKER: BANC OF AMERICA SEC LLC, SAN FRANCISCO OCSF07522202: LONG TERM OPER-PIMCO 1B UNITED STATES TREASURY NT 3.750% 4/11/2005 100.0313 0.000 0.00 -52,008.20 0.00 03/31/2007 DD 03/31 /05 4/12/2005 SEC ID: 912828DQO 4/11/2005 BROKER: BANC OF AMERICA SEC LLC, SAN FRANCISCO OCSF07522202: LONG TERM OPER-PIMCO B UNITED STATES TREASURY NT 3.750% 4/12/2005 100.0063 42,300,000.000 42,302,647.56 -42,302,647.56 0.00 03/31/2007 DD 03/31 /05 4/20/2005 SEC ID: 912828DQO 4/12/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07522202: LONG TERM OPER-PIMCO 1B UNITED STATES TREASURY NT 3.750% 4/12/2005 100.0063 0.000 0.00 -86,680.33 0.00 03/31/2007 DD 03/31 /05 4/20/2005 SEC ID: 912828DQO 4/12/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07522202: LONG TERM OPER-PIMCO B UNITED STATES TREASURY NT 3.750% 4/19/2005 100.4202 42,300,000.000 42,477,734.87 -42,477,734.87 0.00 03/31/2007 DD 03/31 /05 5/16/2005 SEC ID: 912828DQO 4/19/2005 BROKER: MERRILL LYNCH PIERCE FENNER SMITH INCNY OCSF07522202: LONG TERM OPER-PIMCO 1B UNITED STATES TREASURY NT 3.750% 4/19/2005 100.4202 0.000 0.00 -199,364.75 0.00 03/31/2007 DD 03/31 /05 5/16/2005 SEC ID: 912828DQO 4/19/2005 BROKER: MERRILL LYNCH PIERCE FENNER SMITH INC NY OCSF07522202: LONG TERM OPER-PIMCO 5/9/2005 10:52:09AM PDT Workbench * Actual Settle Date 21 ~ @ Transaction Detail Report ID: EWBA09 Mellon Reported by Transaction Category Base Currency: USD ocs D-CONSOLIDATE DCllIII:2 • '.JD •••••urn 4/1/2005 -4/29/2005 Status: FINAL ,; ., 1i ···~:i --~:. -. t_r~~ ,;·:~:ir:;~+::t · Trade Date i, "'"!.I .•\,_. .i; "'If\.•~ , "'HJ r:;:; • .-... ~ ... ,.) ., .. '" ,.; • r' '• . ~ •··~:-:)t.~. ~ ·· Cost J ' Tran •n! ... '!' " ln· Net Gain/Loss ;, Amount Settle Date Base Price ••r• r ,f' 1• • I . •· ;· Type Description Reported Date Shares/Par f_ • · •11 . ..,:, .. , Base j ,:: Base Base l,. r; ~IJ l . '!' ~-.. IS LEHMAN CAT 1 REPO REPO 02.630% 4/1/2005 100.0000 0.000 0.00 584.44 0.00 04/01/2005 DD 03/31 /05 4/1/2005 SEC ID: 99433L698 4/1/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 02.720% 04/04/2005 DD 4/4/2005 100.0000 -8,800,000.000 -8,800,000.00 8,800,000.00 0.00 04/01/05 4/4/2005 SEC ID: 99433Nl81 4/4/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 02.720% 04/04/2005 DD 4/4/2005 100.0000 0.000 0.00 1,994.67 0.00 04/01/05 4/4/2005 SEC ID: 99433Nl 81 4/4/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 1 REPO REPO 02.700% 4/5/2005 100.0000 -8,800,000.000 -8,800,000.00 8,800,000.00 0.00 04/05/2005 DD 04/04/05 4/5/2005 SEC ID: 99433P772 4/5/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 1 REPO REPO 02.700% 4/5/2005 100.0000 0.000 0.00 660.00 0.00 04/05/2005 DD 04/04/05 4/5/2005 SEC ID: 99433P772 4/5/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 1 REPO REPO 02.700% 4/6/2005 100.0000 -11,300,000.000 -11,300,000.00 11,300,000.00 0.00 04/06/2005 DD 04/05/05 4/6/2005 SEC ID: 99433Q903 4/6/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 1 REPO REPO 02.700% 4/6/2005 100.0000 0.000 0.00 847.50 0.00 04/06/2005 DD 04/05/05 4/6/2005 SEC ID: 99433Q903 4/6/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO 5/9/2005 10:52:09AM PDT Workbench * Actual Settle Date 25 @ Transaction Detail Report ID: EWBA09 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATEDom:2 0 00 •••mom 4/1/2005 -4/29/2005 Status: FINAL Trade Date ' ..-~~~f"~ .." rT · "i 1 ~ • 1 : ··.. : .. !' -~ • · • J. • , \ Tran ~{;.-: .. ,•,&,-: . .••-.:, 1 ~ · ' Settle Date Base Price ...-"I ,•, r.,1 •;, • ti .•1• T I~ I tl Cost ~ Amount· Net Gain/Loss J ! ' f-- . [l< ~ ,.I!,, -.. ,:-[' .. [2, ~ l ; • " 1_:!:. ... ..• T • ., ~ Type Description Ji;,' p 1'1 1, Reported Date Shares/Par '•"l'> ~~,~ ,i;r. 1 Base .i ;· l, Base Base IS CREDIT SUISSEFB REP002.770%04/15/2005 4/15/2005 100.0000 0.000 0.00 1,077.22 0.00 DD 04/14/05 4/15/2005 SEC ID: 994341\261 4/15/2005 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 02.780%04/ 15/2005 DD 4/15/2005 100.0000 -5,800,000.000 -5,800,000.00 5,800,000.00 0.00 04/14/05 4/15/2005 SEC ID: 994348434 4/15/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07522202: LONG TERM OPER-PIMCO IS .LEHMAN CAT 2 REPO 02.780% 04/15/2005 DD 4/15/2005 100.0000 0.000 0.00 447.89 0.00 04/14/05 4/15/2005 SEC JD: 994348434 4/15/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07522202: LONG TERM OPER-PIMCO s LEHMAN CAT 1 REPO REPO 02.760% 4/18/2005 100.0000 -13,000,000.000 -13,000,000.00 13,000,000.00 0.00 04/18/2005 DD 04/ 15 /05 4/18/2005 SEC ID: 99434C986 4/18/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 1 REPO REPO 02.760% 4/18/2005 100.0000 0.000 0.00 2,990.00 0.00 04/18/2005 DD 04/ 15 /05 4/18/2005 SEC ID: 99434C986 4/18/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 1 REPO REPO 02.680% 4/19/2005 100.0000 -13,100,000.000 -13,100,000.00 13,100,000.00 0.00 04/19/2005 DD 04/18/05 4/19/2005 SEC ID: 99434E396 4/19/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF0751 l 102: LIQUID OPER-PIMCO IS LEHMAN CAT 1 REPO REPO 02.680% 4/19/2005 100.0000 0.000 0.00 975.22 0.00 04/19/2005 DD 04/ 18 /05 4/19/2005 SEC ID: 99434E396 4/19/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO 5/9/2005 10:52:09AM PDT Workbench * Actual Settle Date 28 . . @ Transaction Detail Report ID: EWBA09 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLI DATE Dom2 0 OD •••••••• 4/1/2005 -4/29/2005 Status: FINAL . " ·~•J-' -•.. ~ .. ~•1 ·--f,:!~ . Trade Date ... .. -. ' .. ~J~· •,, --~-~I •1 • ,1,... Tran ',.. . I· .~ ·• r 1 . --Cost I. Amount Net Gain/Loss I, Settle Date Base Price Type Description ,., :~--k.: ,,. l'j 1; I ,i_,:_·1 .l t., "f. ~ • I· -' n Reported Date Shares/Par !:/ ~-,, Base Ir I Base , Base .::r, -:~.r.t ,,• ~' s LEHMAN CAT 2 REPO 02.640%04/20/2005 DD 4/20/2005 100.0000 -11,100,000.000 -11,100,000.00 11,100,000.00 0.00 04/ 19/05 4/20/2005 SEC ID: 99434F948 4/20/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 02.640%04/20/2005 DD 4/20/2005 100.0000 0.000 0.00 814.00 0.00 04/ 19/05 4/20/2005 SEC ID: 99434F948 4/20/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 1 REPO REPO 02.650% 4/21/2005 100.0000 -11, 100,000.000 -11,100,000.00 11,100,000.00 0.00 04/21/2005 DD 04/20/05 4/21/2005 SEC ID: 99434H316 4/21/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 1 REPO REPO 02.650% 4/21/2005 100.0000 0.000 0.00 817.08 0.00 04/21/2005 DD 04/20/05 4/21/2005 SEC ID: 99434H316 4/21/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 1 REPO REPO 02.620% 4/22/2005 100.0000 -11,100,000.000 -11,100,000.00 11,100,000.00 0.00 04/22/2005 DD 04/21 /05 4/22/2005 SEC ID: 99434J916 4/22/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 1 REPO REPO 02.620% 4/22/2005 100.0000 0.000 0.00 807.83 0.00 04/22/2005 DD 04/21 /05 4/22/2005 SEC ID: 99434J916 4/22/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 1 REPO REPO 02.630% 4/25/2005 100.0000 -11,100,000.000 -11,100,000.00 11,100,000.00 0.00 04/25/2005 DD 04/22/05 4/25/2005 SEC ID: 99434L317 4/25/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF0751 l 102: LIQUID OPER-PIMCO 5/9/2005 10:52:09AM PDT Workbench * Actual Settle Date 29 @ Transaction Detail Report ID: EWBA09 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDAT E D::n:rr2 J 7r 1,:1,. -1c-:r ·1 r ,-· 4/1/2005 -4/29/2005 Status: FINAL Trade Date . , 1 Tran Settle Date Base Price .... _r;. ... , .. ;: '11;'.t. Cost Amount ,1 Net Gain/Loss :-~ .. r:.-Ji: ~ ~ Type Description Reported Date Shares/Par ,:..t .. ., . ~. Base Base ~-Base ' 1'! -,. _J , ' ··-I • ~ • -· ' . IS LEHMAN CAT 1 REPO REPO 02 .630% 4/25/2005 100.0000 0.000 0.00 2,432.75 0.00 04/25/2005 DD 04/22/05 4/25/2005 SEC ID: 99434L317 4/25/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07511102: LIQUID OPER-PIMCO s CREDIT SUISSE FB REPO 02.630% 04/26/2005 4/26/2005 100.0000 -14,100,000.000 -14,100,000.00 14,100,000.00 0.00 DD 04/25/05 4/26/2005 SEC ID: 99434M679 4/26/2005 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF0751 l 102: LIQUID OPER-PIMCO s CREDIT SUISSE FB REPO 02.630% 04/26/2005 4/26/2005 100.0000 -25,600,000.000 -25,600,000.00 25,600,000.00 0.00 DD 04/25/05 4/26/2005 SEC ID: 99434 M679 4/26/2005 BROKER: CREDIT SUISSE FIRST BOSTON CORP,NY OCSF07522202: LONG TERM OPER-PIMCO IS CREDIT SUISSE FB REPO 02.630% 04/26/2005 4/26/2005 100.0000 0.000 0.00 1,870.22 0.00 DD 04/25/05 4/26/2005 SEC ID: 99434M679 4/26/2005 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07522202: LONG TERM OPER-PIMCO IS CREDIT SUISSE FB REPO 02.630%04/26/2005 4/26/2005 100.0000 0.000 0.00 1,030.08 0.00 DD 04/25/05 4/26/2005 SEC ID: 99434M679 4/26/2005 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO s CREDIT SUISSE FB REPO 02.700% 04/27/2005 4/27/2005 100.0000 -9, 100,000.000 -9, 100,000.00 9,100,000.00 0.00 DD 04/26/05 4/27/2005 SEC ID: 99434M968 4/27/2005 BROKER: CREDIT SUISSE FIRST BOSTON CORP, NY OCSF07511102: LIQUID OPER-PIMCO 5/9/2005 10:52:09AM PDT Workbench * Actual Settle Date 30 Transaction Detail @ Mellon Reported by Transaction Category OCSD-CONSOLIDATE DO!Il2 0 OD •••••••• 4/1/2005 -4/29/2005 Trade Date Tran .r. -i ,, .... ,~ ~•2:~ :?,.~- .,.. '":., • --L·_..I •:, 1ft ~ Settle Date Base Price Type Description_.:.~ ,. ' ,:·; Reported Date s DREYFUS TREASURY CASH MGMT 4/21/2005 SEC ID: 996085247 4/21/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/21/2005 s DREYFUS TREASURY CASH MGMT 4/26/2005 SEC ID: 996085247 4/26/2005 OCSF07522202 : LONG TERM OPER-PIMCO 4/26/2005 s DREYFUS TREASURY CASH MGMT 4/28/2005 SEC ID: 996085247 4/28/2005 OCSF07511102: LIQUID OPER-PIMCO 4/28/2005 s DREYFUS TREASURY CASH MGMT 4/29/2005 SEC ID: 996085247 4/29/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/29/2005 TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: TOTAL CASH & CASH EQUIVALENTS BASE: FIXED INCOME SECURITIES U.S. DOLLAR SC COMMIT TO PUR FNMA SF MTG 5.000% 04/01/2020 DD 04/01 /05 s SEC ID: 01F050445 BROKER: UBS SECURITIES LLC, STAMFORD OCSF07522202: LONG TERM OPER-PIMCO COMMIT TO PUR FNMA SF MTG 5 .000% 04/01/2020 DD 04/01/05 SEC ID: 01F050445 BROKER: UBS SECURITIES LLC, STAMFORD OCSF0752 2202: LONG TERM OPER-PIMCO 5/9/2005 10:52:09AM PDT * Actual Settle Date 3/18/2005 4/18/2005 4/1/2005 3/18/2005 4/18/2005 4/1/2005 1.0000 1.0000 1.0000 1.0000 100.0938 100.0938 34 -. -tl 'l"" -~ ..... ,'_ Cost \ ~ "': ·~ 1.,, Shares/Par _-"' , " Base -199,985.390 -199,985.39 -926,287.280 -926,287.28 -98,262.460 -98,262.46 -199,953.330 -199,953.33 -315,176,411.960 -315,031,089.27 -315,176,411.960 -315,031,089.27 3,000,000.000 3,000,000.00 -3,000,000.000 -3,000,602.67 Report ID: EWBA09 Base Currency: USD Status: FINAL ~ -:.~ Amount . Net Gain/Loss e• •J • .. d~ I ,. Base Base .1,~ 199,985.39 0.00 926,287.28 0.00 98,262.46 0.00 199,953.33 0.00 315,176,798.09 -0.09 315,176,798.09 -0.09 -3,002,812.50 -2,812.50 3,002,812.50 2,209.83 Workbench @ Transaction Detail Report ID: EWBA09 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATEDJrTI2=:JJ[J •[JJ[lJ 1' • 4/1/2005 -4/29/2005 Status: FINAL Trade Date .:"'. ;-, I• ~!' .--f'",r .J Tran ..... !:-.. -~...!'-: Cost i-~ L1; ... ~-;='~ Amount l Net Gain/Loss ~ Settle Date Base Price Type Description Reported Date I tr •4;' .~!· 1}. r•l;; Base ... Base B.ase Shares/Par .~ •;:_'11,{,.l'(~ -'] : ' .. ~ •bl.. •--.-,:.; .• a..·. SC COMMIT TO PUR FNMA SF MTG 5.000% 3/29/2005 99.4219 6,000,000.000 6,000,000.00 -5, 965,312.50 34,687.50 04/01/2020 DD 04/01 /05 4/18/2005 SEC ID: 01F050445 4/1/2005 BROKER: CHASE/GREENWICH CAP, NEW YORK OCSF07522202: LONG TERM OPER-PIMCO s COMMIT TO PUR FNMA SF MTG 5.000% 4/13/2005 100.4063 -500,000.000 -500,100.45 502,031.25 1,930.80 04/01/2020 DD 04/01 /05 4/18/2005 SEC ID: 01F050445 4/13/2005 BROKER: BARCLAYS CAPITAL INC, NEW YORK OCSF07522202: LONG TERM OPER-PIMCO s COMMIT TO PUR FNMA SF MTG 5 .500% 4/8/2005 100.1523 -3,000,000.000 -3,002,871.09 3,004,570.31 1,699.22 04/01/2035 DD 04/01 /05 4/13/2005 SEC ID: 01F052649 4/8/2005 BROKER: GOLDMAN SACHS & CO, NY OCSF07522202: LONG TERM OPER-PIMCO s COMMIT TO PUR FNMA SF MTG 5 .500% 4/8/2005 100.1406 -1,000,000.000 -1,000,957.03 1,001,406.25 449.22 04/01/2035 DD 04/01 /05 4/13/2005 SEC ID: 01F052649 4/8/2005 BROKER: LEHMAN GOVT SECS INC, NY OCSF07522202: LONG TERM OPER-PIMCO s FNMA POOL #0254545 5.000% 12/01/2017 3/10/2005 100.2070 -698,251.430 -703,324.66 699,697.02 -3,627.64 DD 11/01/02 3/17/2005 SEC ID: 31371KWE7 4/1/2005 BROKER: UBS SECURITIES LLC, STAMFORD 4/6/2005 * OCSF07522202: LONG TERM OPER-PIMCO IS FNMA POOL#0254545 5.000% 12/01/2017 3/10/2005 100.2070 0.000 0.00 1,551.67 0.00 DD 11/01/02 3/17/2005 SEC ID: 31371KWE7 4/1/2005 BROKER: UBS SECURITIES LLC, STAMFORD OCSF07522202: LONG TERM OPER-PIMCO 4/6/2005 * s FNMA POOL#0725537 5.000%06/01/2019 3/10/2005 100.2070 -770,247.780 -775,844.11 771,842.43 -4,001.68 DD 05/01/04 3/17/2005 SEC ID: 31402DBE9 4/1/2005 BROKER: UBS SECURITIES LLC, STAMFORD OCSF07522202: LONG TERM OPER-PIMCO 4/6/2005 * 5/9/2005 10:52:09AM PDT Workbench * Actual Settle Date 35 @ Transaction Detail ReportID: EWBA09 Mellon Reported by Transaction Category Base Currency: USD OCS D-CO NSOLI DATE DOIJD!2 0 OD •••••••• 4/1/2005 -4/29/2005 Status: FINAL Trade Date -Tran 'II ~ • :.,, ; .. ·~·, ,!,.t.,t-:~·-t1·~·· --Settle Date Base Price -' Cost Amount Net Gain/Loss t,,··: Type Description -~, = ff '· • ,: "/;, Reported Date Shares/Par • •-c·_, , .'., • Base Base Base IS FNMA POOL#0725537 5.000%06/01/2019 3/10/2005 100.2070 0.000 0.00 1,711.66 0.00 DD 05/01/04 3/17/2005 SEC ID: 31402DBE9 4/1/2005 BROKER: UBS SECURITIES LLC, STAMFORD 4/6/2005 * OCSF07522202: LONG TERM OPER-PIMCO s FNMA POOL #0738613 5.000% 10 /01/2018 3/10/2005 100.2070 -67,779.090 -68,271.54 67,919.41 -352.13 DD 10/01/03 3/17/2005 SEC ID: 31402USA1 4/1/2005 BROKER: UBS SECURITIES LLC, STAMFORD OCSF07522202: LONG TERM OPER-PIMCO 4/6/2005 * IS FNMA POOL #0738613 5.000% 10/01/2018 3/10/2005 100.2070 0.000 0.00 150.62 0.00 DD 10/01/03 3/17/2005 SEC ID: 31402USA1 4/1/2005 BROKER: UBS SECURITIES LLC, STAMFORD 4/6/2005 * OCSF07522202: LONG TERM OPER-PIMCO s FNMA POOL #0753854 5.000% 12/01/2018 3/10/2005 100.2070 -157,977.850 -159,125.66 158,304.92 -820.74 DD 11 /01/03 3/17/2005 SEC ID: 31403NQF7 4/1/2005 BROKER: UBS SECURITIES LLC, STAMFORD 4/6/2005 * OCSF07522202: LONG TERM OPER-PIMCO IS FNMA POOL #0753854 5.000% 12/01/2018 3/10/2005 100.2070 0.000 0.00 351.06 0.00 DD 11/01/03 3/17/2005 SEC ID: 31403NQF7 4/1/2005 BROKER: UBS SECURITIES LLC, STAMFORD 4/6/2005 * OCSF07522202: LONG TERM OPER-PIMCO s FNMA POOL #0764252 5.000%04/01/2019 3/10/2005 100.2070 -233,999.950 -235,700.11 234,484.41 -1,215.70 DD 04/01/04 3/17/2005 SEC ID: 31404CBV1 4/1/2005 BROKER: UBS SECURITIES LLC, STAMFORD 4/6/2005 * OCSF07522202: LONG TERM OPER-PIMCO IS FNMA POOL #0764252 5.000% 04/01/2019 3/10/2005 100.2070 0.000 0.00 520.00 0.00 DD 04/01/04 3/17/2005 SEC ID: 31404CBV1 4/1/2005 BROKER: UBS SECURITIES LLC, STAMFORD 4/6/2005 * OCSF07522202: LONG TERM OPER-PIMCO 5/9/2005 10:52:09AM PDT Workbench * Actual Settle Date 36 . Transaction Detail @ Report ID: EWBA09 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLI DATE 0!][[[2 0 CJD 00:::JOOODO 4/1/2005 -4/29/2005 Status: FINAL ., .. ~i~ y ..._ ~ • l~.1tJ/:1-.t'°. Trade Date .. -~¢~•'" .... _J: .. 1r· .~ ~ .. , --. ').i ..j• ,. Tran . · "~-~l"' t .... a'~• 1~ ._ C, Cost I, Amount Net Gain/Loss Settle Date Base Price -: : ,·• ~i-~ ':.... ·: Ty r :·_. 4-c ~ I ·, t \,, .l ,rr ,j• 11, t '. .... ,..ri ,. Reported Date Shares/Par Base ,, I, I Base Base pe Description -~· · -., . , \. /; ,,~: ~~· ,i:i:. ;;. ~ ·1_"' _., •· i ~ PD FNMA POOL #0681334 5.000% 02/01/2018 4/1/2005 100.0000 -1,065.110 -1,097.06 1,065.11 -31.95 DD 01 /01/03 4/1/2005 SEC ID: 31391 Y4Tl 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * PD FNMA POOL #0684908 5.000% 06/01/2018 4/1/2005 100.0000 -2,666.940 -2,701.11 2,666.94 -34.17 DD 05/01/03 4/1/2005 SEC ID: 31400D3Rl 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * PD FNMA POOL #0685200 5.000% 03/01/2018 4/1/2005 100.0000 -2,381.910 -2,412.43 2,381.91 -30.52 DD 03/01/03 4/1/2005 SEC ID: 31400EGH7 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * PD FNMA POOL #0685665 5.000% 02/01/2018 4/1/2005 100.0000 -591.740 -609.49 591.74 -17.75 DD 02/01/03 4/1/2005 SEC ID: 31400EW22 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * PD FNMA POOL #0686318 5.000% 03/01/2018 4/1/2005 100.0000 -4,044.370 -4,165.70 4,044.37 -121.33 DD 03/01/03 4/1/2005 SEC ID: 31400FPB7 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * PD FNMA POOL #0688739 5.000% 06/01/2018 4/1/2005 100.0000 -468.420 -482.47 468.42 -14.05 DD 06/01/03 4/1/2005 SEC ID: 3 l 400JEL9 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * PD FNMA POOL #0689859 5.000% 05 /01/2018 4/1/2005 100.0000 -390.700 -395.71 390.70 -5.01 DD 05/01/03 4/1/2005 SEC ID: 31400KMG8 4/1/2005 OCSF07522202: LONGTERM OPER-PIMCO 4/25/2005 * PD FNMA POOL #0693834 5.000% 03 /01/2018 4/1/2005 100.0000 -19,843.260 -20,438.56 19,843.26 -595.30 DD 03/01/03 4/1/2005 SEC ID: 31400PY74 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * 5/9/2005 10:52:09AM PDT Workbench * Actual Settle Date 45 @) Transaction Detail Report ID: EWBA09 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATEDJ[][][2 TJU;T 7 r; ,, . 4/1/2005 -4/29/2005 Status: FINAL • Trade Date I ~.I.a Tran .. s:. ~. ,. Cost Amount Net Gain/Loss Settle Date Base Price ,. ' I • Type Description Shares/Par ,' · .'· , , .. ,, " Reported Date Base ,·• Base Base .. L . .. PD FNMA POOL#0695852 5.000%05/01/2018 4/1/2005 100.0000 -3,590.880 -3,698.61 3,590.88 -107.73 DD 05/01/03 4/1/2005 SEC ID: 31400SBVO 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * PD FNMA POOL #0695889 5.000% 05/01/2018 4/1/2005 100.0000 -4,837.800 -4,982.93 4,837.80 -145.13 DD 05/01/03 4/1/2005 SEC ID: 31400SC23 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * PD FNMA POOL #0697026 5.000% 05/01/2018 4/1/2005 100.0000 -318.620 -328.18 318.62 -9.56 DD 04/01/03 4/1/2005 SEC ID: 31400TLF2 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * PD FNMA POOL #0702210 5.000% 05/01/2018 4/1/2005 100.0000 -3,748.120 -3,860.56 3,748.12 -112.44 DD 05/01/03 4/1/2005 SEC ID: 31401ADP9 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * PD FNMA POOL#0702328 5.000%05/01/2018 4/1/2005 100.0000 -1,943.690 -1,968.59 1,943.69 -24.90 DD 04/01/03 4/1/2005 SEC ID: 31401AHD2 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * PD FNMA POOL#0709148 5.000%06/01/2018 4/1/2005 100.0000 -3,997.300 -4,117.22 3,997.30 -119.92 DD 06/01/03 4/1/2005 SEC ID: 31401HZM7 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * PD FNMA POOL#0709360 5.000%07/01/2018 4/1/2005 100.0000 -6,270.810 -6,351.15 6,270.81 -80.34 DD 06/01/03 4/1/2005 SEC ID: 31401JB56 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * PD FNMA POOL #0709826 5.000% 06/01/2018 4/1/2005 100.0000 -477.660 -483.78 477.66 -6.12 DD 06/01/03 4/1/2005 SEC ID: 31401JSP4 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * 5/9/2005 10:52:09AM PDT Workbench * Actual Settle Date 46 @ Transaction Detail Report ID: EWBA09 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATE DJll!I2 0 OD 00000000 4/1/2005 -4/29/2005 Status: FINAL Trade Date . -;~,-·-. ;,.. • ·, ?t~'.,:1,.; ·.' ,.:,, . ~ Tran 1"(• II t&.~ fi"lJ: I Settle-Date Base Price Cost Amount Net Gain/Loss Lr ..'.r ~ ~-.... h ~-. ' ,.,. t •-· , ' I 1,:, , .. /· .. Type Description I, J~. Reported Date Shares/Par .. 1: • Base Base Base '. ., -. PD FNMA POOL #0723487 5.000% 06/01/2018 4/1/2005 100.0000 -823.070 -832.33 823.07 -9.26 DD 06/01/03 4/1/2005 SEC ID: 31402AXQ4 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * PD FNMA POOL #0725530 5.000% 06/01/2019 4/1/2005 100.0000 -63,615.750 -64,480.53 63,615.75 -864.78 DD 05/01/04 4/1/2005 SEC ID: 31402DA75 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 • PD FNMA POOL #0729601 5.000% 07/01/2018 4/1/2005 100.0000 -3,988.130 -4,039.23 3,988.13 -51.10 DD 07 /01/03 4/1/2005 SEC ID: 31402HRW3 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * PD FNMA POOL #0732873 5.000% 11/01/2018 4/1/2005 100.0000 -136.090 -137.83 136.09 -1.74 DD 10/01/03 4/1/2005 SEC ID: 31402MFN5 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * PD FNMA POOL #0737130 5.000% 10/01/2018 4/1/2005 100.0000 -2,626.090 -2,659.74 2,626.09 -33.65 DD 10/01/03 4/1/2005 SEC ID: 31402S4P9 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * PD FNMA POOL #0738211 5.000% 10 /01/2018 4/1/2005 100.0000 -11,300.230 -11,445.01 11,300.23 -144.78 DD 10/01/03 4/1/2005 SEC ID: 31402UDQ2 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * PD FNMA POOL #0738487 5.000% 10/01/2018 4/1/2005 100.0000 -5,644.760 -5,717.08 5,644.76 -72.32 DD 10/01/03 4/1/2005 SEC ID: 31402UNC2 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * PD FNMA POOL #0740457 5.000% 10/01/2018 4/1/2005 100.0000 -29,690.610 -30,094.22 29,690.61 -403.61 DD 10/01/03 4/1/2005 SEC ID: 31402WTN8 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * 5/9/2005 10:52:09AM PDT Workbench * Actual Settle Date 48 t;;}.. Transaction Detail Report ID: EWBA09 '<!!,/ Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLlDATEDJIIlQOO•D•OD•OD• 4/1/2005 -4/29/2005 Status: FINAL --.:•, -,.,,. .,' .. ,,, ~-" If-·· -r;-:· Trade Date " , ~ -·,; ., . · 1 Tran ~ --' i, · ;.~, .c _' ,. •• · Settle Date Base Price .~1, ,~ .1~ Cost , ,. Amount Net Gain/Loss Type Description "1!'1~,; ., : Reported Date Shares/Par ·1.' :, '~ • Base .~ . , ,, Base 1 •• Base PD FNMA POOL#0789670 5.000% 12/01/2019 4/1/2005 100.0000 -10,536.270 -10,679.50 10,536.27 -143.23 DD 12/01/04 4/1/2005 SEC ID: 31405HJP4 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * PD FNMA POOL #0792432 5.000% 10/01/2019 4/1/2005 100.0000 -3,932.840 -3,986.30 3,932.84 -53.46 DD 10/01/04 4/1/2005 SEC ID: 31405LLM9 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * PD FNMA POOL #0794195 5.000% 11/01/2019 4/1/2005 100.0000 -4,758.060 -4,822.74 4,758.06 -64.68 DD 11/01/04 4/1/2005 SEC ID: 31405NKG9 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * PD FNMA POOL#0797160 5.000% 12/01/2019 4/1/2005 100.0000 -14,224.600 -14,417.97 14,224.60 -193.37 DD 12/01/04 4/1/2005 SEC ID: 31405RTR7 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * PD FNMA POOL#0797408 5.000% 12/01/2019 4/1/2005 100.0000 -2,955.290 -2,995.46 2,955.29 -40.17 DD 12/01/04 4/1/2005 SEC ID: 31405R3R5 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * PD FNMA POOL #0797414 5.000% 12/01/2019 4/1/2005 100.0000 -23,126.600 -23,440.98 23,126.60 -314.38 DD 12/01/04 4/1/2005 SEC ID: 31405R3X2 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * PD FNMA POOL #0803923 5.000% 12/01/2019 4/1/2005 100.0000 -12,581.260 -12,752.29 12,581.26 -171.03 DD 12/01/04 4/1/2005 SEC ID: 31406AD41 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * PD FNMA POOL #0807711 5.000% 01/01/2020 4/1/2005 100.0000 -53,529.720 -54,257.39 53,529.72 -727.67 DD 01/01/05 4/1/2005 SEC ID: 31406EKY9 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * 5/9/2005 10:52:09AM PDT Workbench * Actual Settle Date 51 @ Transaction Detail Report ID: EWBA09 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED::m2 JJL01TH1'J7 ~}, 4/1/2005 -4/29/2005 Status: FINAL Trade Date ~ .. ti ... I, ,, - Tran .. f~~. -" " Cost ~:"" ~· :.• . ~ Amount Net Gain/Loss Settle Date Base Price i. y-:. -~· 1:-: ; Type Description Shares/Par Base LI Base Base Reported Date it r: .r,, /"J . r, . .._._, PD GNMA POOL #0421389 6.500% 04/15/2026 4/1/2005 100.0000 -534.160 -560.62 534.16 ·26.46 DD 04/01/96 4/1/2005 SEC ID: 36206 UC23 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/15/2005 * PD GNMA POOL#0449851 6.500% 01/15/2028 4/1/2005 100.0000 -19.470 -20.43 19.47 -0.96 DD 01/01/98 4/1/2005 SEC ID: 36208FWLO 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/15/2005 * PD GNMA POOL#0466845 6.500% 06/15/2028 4/1/2005 100.0000 -47.830 -50.20 47.83 -2.37 DD 06/01/98 4/1/2005 SEC ID: 36209BTA6 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/15/2005 * PD GNMA POOL#0468052 6.500% 07/15/2028 4/1/2005 100.0000 -218.970 -229.82 218.97 -10.85 DD 07 /01/98 4/1/2005 SEC ID: 36209C5M4 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/15/2005 * PD GNMA POOL#0476041 6.500% 06/15/2028 4/1/2005 100.0000 -14,443.290 -15,136.12 14,443.29 -692.83 DD 06/01/98 4/1/2005 SEC ID: 36209MZE7 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/15/2005 * PD GNMA POOL#0478626 6.500% 01/15/2029 4/1/2005 100.0000 -189.330 -198.41 189.33 -9.08 DD 01 /01/99 4/1/2005 SEC ID: 36209QVT9 4/1/2005 OCSF07522202 : LONG TERM OPER-PIMCO 4/15/2005 * PD GNMA POOL#0480598 6.500% 10/15/2028 4/1/2005 100.0000 -39.930 -41.85 39.93 -1.92 DD 10/01/98 4/1/2005 SEC ID: 36209S3F6 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/15/2005 * PD GNMA POOL#0512235 6.500% 11/15/2029 4/1/2005 100.0000 -16.910 -17.75 16.91 -0.84 DD 11/01/99 4/1/2005 SEC ID: 36211GBC6 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/15/2005 * 5/9/2005 10:52:09AM PDT Workbench * Actual Settle Date 52 @ Transaction Detail Report ID: EWBA09 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED~JJcJ••:1111, 11 •1 4/1/2005 -4/29/2005 Status: FINAL Trade Date ' l'. ' ~j ' . Net Gain/Loss Tran Settle Date Base Price ,• -Cost sJ" _Yr:":. Amount Type Description Reported Date Shares/Par , :·;:,.,.,, __ .,. ·.:. Base Base Base .· . IT FNMA POOL #0685200 5.000% 03/01/2018 4/25/2005 2,381.910 670.85 670.85 0.00 DD 03/01/03 4/1/2005 SEC ID: 31400EGH7 4/25/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * IT FNMA POOL #0685665 5.000% 02/01/2018 4/25/2005 591.740 114.08 114.08 0.00 DD 02/01/03 4/1/2005 SEC ID: 31400EW22 4/25/2005 OCSF07522202 : LONG TERM OPER-PIMCO 4/25/2005 * IT FNMA POOL #0686318 5.000% 03 /01/2018 4/25/2005 4,044.370 1,014.07 1,014.07 0.00 DD 03/01/03 4/1/2005 SEC ID: 31400FPB7 4/25/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * IT FNMA POOL #0688739 5.000% 06/01/2018 4/25/2005 468.420 382.04 382.04 0.00 DD 06/01/03 4/1/2005 SEC ID: 31400JEL9 4/25/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * IT FNMA POOL #0689859 5.000% 05/01/2018 4/25/2005 390.700 342.64 342.64 0.00 DD 05/01/03 4/1/2005 SEC ID: 31400KMG8 4/25/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * IT FNMA POOL #0693834 5.000% 03/01/2018 4/25/2005 19,843.260 2,166.59 2,166.59 0.00 DD 03/01/03 4/1/2005 SEC ID: 31400PY74 4/25/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * IT FNMA POOL #0695852 5.000% 05/01/2018 4/25/2005 3,590.880 788.02 788.02 0.00 DD 05/01/03 4/1/2005 SEC ID: 31400SBVO 4/25/2005 OCSF07522202 : LONG TERM OPER-PIMCO 4/25/2005 * IT FNMA POOL #0695889 5.000% 05/01/2018 4/25/2005 4,837.800 2,700.85 2,700.85 0.00 DD 05/01/03 4/1/2005 SEC ID: 31400SC23 4/25/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * 5/9/2005 10:52:09AM PDT Workbench * Actual Settle Date 62 Transaction Detail ~ r @ Report ID: EWBA09 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATE DJITI21 Jr: r 111 1r1CJ7r:'n. 4/1/2005 -4/29/2005 Status: FINAL Trade Date ' ~ .. .!,1o·'-:•r Tran • L lo I,. .. Cost ,. Amount Net Gain/Loss Settle Date Base Price '\-. ,. ";r . •.1 JI }~, .. ,, - Type Description Reported Date Shares/Par "'. , L • "~ •• ,,, Base ;, ' Base Base ,'' -' IT FNMA POOL #0743868 5.000% 11/01/2018 4/25/2005 389.840 139.52 139.52 0.00 DD 10/01/03 4/1/2005 SEC ID: 31403BMR1 4/25/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * IT FNMA POOL #0744008 5.000% 07/01/2018 4/25/2005 26,163.670 3,780.23 3,780.23 0.00 DD 09/01/03 4/1/2005 SEC ID: 31403BR54 4/25/2005 OCSF07522202 : LONG TERM OPER-PIMCO 4/25/2005 * IT FNMA POOL #0744316 5.000% 09/01/2018 4/25/2005 2,322.560 588.12 588.12 0.00 DD 09/01/03 4/1/2005 SEC ID: 314038324 4/25/2005 OCSF0752 2202 : LONG TERM OPER-PIMCO 4/25/2005 * IT FNMA POOL#0747914 5.000% 11/01/2018 4/25/2005 1,607.990 1,211.47 1,211.47 0.00 DD 11/01/03 4/1/2005 SEC ID: 31403F3XO 4/25/2005 OCSF07522202 : LONG TERM OPER-PIMCO 4/25/2005 * IT FNMA POOL #0748400 5.000% 08/01/2018 4/25/2005 6,513.110 734.64 734.64 0.00 DD 09/01/03 4/1/2005 SEC ID: 31403GNR9 4/25/2005 OCSF07522202 : LONG TERM OPER-PIMCO 4/25/2005 * IT FNMA POOL #0748899 5.000% 12/01/2018 4/25/2005 10,870.520 3,583.96 3,583.96 0.00 DD 11/01/03 4/1/2005 SEC ID: 31403G7LO 4/25/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * IT FNMA POOL #0750377 5.000% 11/01/2018 4/25/2005 22,651.310 7,948.20 7,948.20 0.00 DD 11/01/03 4/1/2005 SEC ID: 31403JUA2 4/25/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * IT FNMA POOL #0750380 5.000% 11/01/2018 4/25/2005 51,112.990 6,914.95 6,914.95 0.00 DD 11 /01/03 4/1/2005 SEC ID: 31403JUD6 4/25/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/25/2005 * 5/9/2005 10:52:09AM PDT Workbench * Actual Settle Date 66 @ Transaction Detail ReportlD: EWBA09 Mellon Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATEDJlllli:2 J ::.10 00:J:::JC:m u 4/1/2005 -4/29/2005 Status: FINAL Trade Date •r., -·• -. 4 ': ; ;, Tran > :~ ~ Cost . Amount Net Gain/Loss Settle Date Base Price .... J t ' ~ -. Type Description Reported Date Shares/Par:. -· . Base Base Base -i IT GNMA II POOL #080088M 7.375% 06/20/2027 4/20/2005 6,047.030 517.12 517.12 0.00 DD 06/01/97 4/1/2005 SEC ID: 36225CC20 4/20/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/20/2005 * IT GNMA II POOL #0080395 VAR RT 04/20/2030 4/20/2005 5,209.590 463.00 463.00 0.00 DD 04/01/00 4/1/2005 SEC ID: 36225CNM4 4/20/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/20/2005 * IT GNMA II POOL #080408X VAR RT 05/20/2030 4/20/2005 64,815.660 4,217.47 4,217.47 0.00 DD 05/01/00 4/1/2005 SEC ID: 36225CN28 4/20/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/20/2005 * IT GNMA II POOL #0080965 VAR RT 07/20/2034 4/20/2005 20,051.020 3,824.46 3,824.46 0.00 DD 07 /01/04 4/1/2005 SEC ID: 36225DCB8 4/20/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/20/2005 * IT GOLDMAN SACHS GRP MTN #TR00194 VAR RT 4/27/2005 3,500,000.000 25,112.50 25,112.50 0.00 10/27/2006 DD 10/29/03 4/27/2005 SEC ID: 38141EJB6 4/27/2005 OCSF07522202: LONG TERM OPER-PIMCO IT GOLDMAN SACHS GRP MTN #TR00207 VAR RT 4/25/2005 800,000.000 6,112.17 6,112.17 0.00 07/23/2009 DD 07/23/04 4/25/2005 SEC ID: 38141EJQ3 4/25/2005 OCSF07522202: LONG TERM OPER-PIMCO IT GOLDMAN SACHS MTN# TR 00216 VAR RT 4/1/2005 5,500,000.000 12,929.58 12,929.58 0.00 08/01/2006 DD 02/01 /OS 4/1/2005 SEC ID: 38141EJZ3 4/1/2005 OCSF07522202: LONG TERM OPER-PIMCO IT GNMA GTD REMIC TR 2000-9 FH VAR RT 4/18/2005 9,793.280 1,279.04 1,279.04 0.00 02/16/2030 4/16/2005 SEC ID: 3837H4NX9 4/18/2005 OCSF07522202: LONG TERM OPER-PIMCO 4/18/2005 * 5/9/2005 10:52:09AM PDT Workbench * Actual Settle Date 70