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Home My WebLink About2005-07-13MINUTES OF FINANCE, ADM~NISTRATION AND \, HUMAN RESOURCES COMMITTEE MEETING l . Orange County Sanitation District j Wednesday, July 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 July 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 Phil Luebben Joy Neugebauer James W. Silva Mark Waldman Jim Ferryman, Vice Board Chair DIRECTORS ABSENT: Steve Anderson, Board Chair Rich Freschi STAFF PRESENT: Blake P. Anderson, General Manager Mike White, Acting Director of Finance/Treasurer Lisa Tomko, Director of Human Resources Carol Beekman, Director of Public Affairs Penny Kyle, Board Secretary Lilia Kovac, Committee Secretary Jennifer Cabral Ingrid Hellebrand Juanita Skillman Norbert Gaia OTHERS PRESENT: Brad Hagin, General Counsel Ed Soong, Orrick, Herrington & Sutcliffe Ken Al-Imam, Conrad & Associates Jennifer Christian, Conrad & Associates (2) APPOINTMENT OF CHAIR PRO TEM No appointment was necessary. (3) PUBLIC COMMENTS There were no public comments. (4) REPORT OF THE COMMITTEE CHAIR FILED IN THE OFFICE OF THE SECRETARY ORANGE COllNTV ,. HIIT/ff!N,j DISTRICT JUL 2 0 2005 BY _/_✓ K._, ~ Committee Chair Moore recognized appointment of Mark Waldman and welcomed him to the FAHR Committee. Minutes of the Finance, Administration and Human Resources Committee Meeting Page 2 July 13, 2005 (5) REPORT OF THE GENERAL MANAGER Blake Anderson, General Manager, pointed out that the OMTS and PDC committee meetings were being affected by the League of Cities' conference in October and was considering moving all October committee meetings up by one week. FAHR Committee members requested to leave the meeting date as scheduled. He also reported that the County of Orange is meeting on July 14 to define governance, financial planning, and Regional Water Quality Control boundary issues regarding urban runoff. Blake Anderson reported on a meeting with the Orange County Register Editorial Board. (6) REPORT OF DIRECTOR OF FINANCE/TREASURER Mike White, Acting Director of Finance, introduced to the committee Ken Al-Imam and Jennifer Christian of Conrad and Associates, the Sanitation District's newly selected independent financial auditors to the committee members. (7) REPORT OF DIRECTOR OF HUMAN RESOURCES Lisa Tomko, Director of Human Resources, had no report. (8) REPORT OF DIRECTOR OF PUBLIC-AFFAIRS Carol Beekman, Director of Public Affairs, had no report. (9) REPORT OF GENERAL COUNSEL Brad Hagin, General Counsel, had no report. (10) CONSENT CALENDAR ITEMS a. Approve minutes of the June 8, 2005, Finance, Administration and Human Resources Committee meeting. b. FAHR05-57 Recommend to the Board of Directors to receive and file Treasurer's Report for the month of June 2005. c. FAHR05-58 Receive and file Certificates of Participation (COP) Monthly Report. d. FAHR05-59 Receive and file Employment Status Report as of June 23, 2005. e. FAHR05-60 Receive and file OSHA Incidence Rates and Workers' Compensation Claims and Costs Report. MOTION: It was moved, seconded and duly carried to approve the recommended actions for items specified as 10(a) through (e) under Consent Calendar. END OF CONSENT CALENDAR Minutes of the Finance, Administration and Human Resources Committee Meeting Page 3 July 13, 2005 (11) ACTION ITEMS a. FAHR05-61 Recommend to the Board of Directors to adopt Resolution Motion: No. OCSD 05-_, Authorizing the District's Treasurer to Invest and/or Reinvest District's Funds; Adopting District's Investment Policy Statement and Performance Benchmarks for FY 2005-06; and Repealing Resolution No. OCSD 04-21. Mike White, Acting Director of Finance, reported the Sanitation District's investment policy did not require any changes from the previous year's policy, and no new legislation has been introduced to affect the policy. He also informed the Committee that the Sanitation District was successful in completing the certification process for the Investment policy and was awarded the Investment Policy Certificate of Excellence from the Association of Public Treasurers in the United States and Canada. It was moved, seconded and duly carried to recommend approval to the Board of Directors. b. FAHR05-62 Provide the District's independent financial auditors with any knowledge Motion: of matters that might have a bearing on the auditor's risk assessment as it pertains to rendering an opinion on the District's financial statements for the year ended June 30, 2005. Ken Al-Imam of Conrad and Associates briefly outlined Conrad & Associates' role as independent financial auditors responsible for issuing an audit report on the District's financial statements for the year ended June 30, 2005, and that current auditing standards required them to inquire the committee members' on their knowledge of any matters that might have an impact on their audit engagement. The committee members indicated there are no areas of concern that need to be reported to the auditors that would have a bearing on the auditor's risk assessment on the District's annual financial audit. It was moved, seconded and duly carried the FAHR Committee did not have any areas of specific concern for the auditors to consider. c. FAHR05-63 Recommend to the Board of Directors to: (1) Direct staff to issue up to $200 million in new variable-rate Certificates of Participation (COP) debt; and, (2) Authorize the General Manager to negotiate and enter into a sole source Consultant Services Agreement with Orrick, Herrington & Sutcliffe to provide bond counsel services in an amount not to exceed $135,000. Minutes of the Finance, Administration and Human Resources Committee Meeting Page4 July 13, 2005 Motion: Mike White, Acting Director of Finance, stated that staff's recommendation was to issue variable rate debt and to implement an Accelerated Rate Management {ARM) Program whereby a fixed rate debt service payment schedule would be used to repay the debt. The ARM program would use the cost savings derived from the 2-3% spread between today's variable and fixed interest rate environment to repay or "buy-down" on the outstanding variable rate debt over time. This strategy would serve as an additional hedge against future interest rate risk. Ed Soong of Public Resources Advisory Group (PRAG), who serves as the District's Financial Advisor, noted that there were approximately 25 basis points in additional costs per year associated with issuing variable rate debt over fixed rate debt, or approximately 18 basis points in liquidity fees and 7 basis points in remarketing fees. However, these costs were well below the 2-3% spread the District will save in issuing variable debt over fixed rate debt in the current interest rate environment. It was moved, seconded and duly carried to recommend approval to the Board of Directors. d. FAHR05-64 Recommend to the Board of Directors to receive and file the Public Affairs Motion: Strategic Plan FY 2005-06. Carol Beekman, Director of Public Affairs, presented the FY 05/06 Strategic Plan for the Public Affairs Department. The department includes a new division, the Legislative Advocacy and Grants. It was moved, seconded and duly carried to recommend to the Board of Directors to receive and file. e. FAHR05-65 Authorize the General Manager to solicit proposals from outside auditing Motion: firms to serve as the District's internal auditors for a three-year period beginning with FY 2005-06, to narrow the selection to three finalists, and to schedule interviews with selected members of the FAHR Committee. The Directors expressed concern over the proposed limit of 300 hours of internal auditing services per year and suggested that these hours appear to be insufficient for agency the size of the District. Staff was directed to propose a revised internal audit plan and resubmit to the F AHR committee for consideration in September. It was moved, seconded, and duly carried to refer this item back to staff for additional information. f. FAHR05-66 Recommend to the Board of Directors to authorize the Director of Human Resources to make changes to existing vacant Orange County Sanitation District classification titles and to downgrade associated pay grades in support of the staffing plan. • Minutes of the Finance, Administration and Human Resources Committee Meeting Page 5 July 13, 2005 MOTION: Lisa Tomko, Director of Human Resources, provided a brief report outlining the need to make changes to existing vacant classification titles and downgrade pay grades to existing vacant positions as necessary, with full reporting to the FAHR committee and the Board of Directors at the appropriate time. It was moved, seconded and duly carried to recommend approval to the Board of Directors. (12) INFORMATION PRESENTATIONS a. FAHR05-67 Retirement benefits informational report. Lisa Arosteguy, Human Resources Supervisor, presented details of the Sanitation District's' retirement plan as an employment benefit, particularly as it relates to benefits provided to the Executive Management Team. The Sanitation District's retirement benefit plan is in alignment with other agencies' level of benefits, making the Sanitation District attractive to maintain a talented and successful workforce, yet comparable and competitive with other agencies. (13) CLOSED SESSION There was no closed session. (14) OTHER BUSINESS, COMMUNICATIONS OR SUPPLEMENTAL AGENDA ITEMS, IF ANY There were none. (15) MATTERS WHICH A DIRECTOR MAY WISH TO PLACE ON A FUTURE AGENDA FOR ACTION AND STAFF REPORT There were none. (15) CONSIDERATION OF UPCOMING MEETINGS The next FAHR Committee meeting is scheduled for September 14, 2005 at 5 p.m. Opening Remarks for July 13, 2005 Meeting with the OC Register Editorial Staff. This morning, as we all got ready for work shaving, showering, brushing our teeth, using the toilet, making breakfast and rinsing off our dishes, no one gave much thought about the water that was going down the sewer. Repeated 2.5 million times. On their way to 46,000 industrial and commercial businesses scattered throughout our service area. Today these businesses will entertain and inform children and adults, sell restaurant meals, and make rivets, paper, ice cream, tee shirts, tofu, custom wheels with spinners and hundreds of other consumer goods and services. On average, our customers will produce 100 gallons of wastewater. This provides a rush of water that would fill Anaheim Stadium twice. It travels through thousands of miles of sewers to our facilities in Fountain Valley and Huntington Beach and then safely discharged 4.5 miles off shore and 200 feet deep through a 10 diameter pipe. Today there were no detours. No bottlenecks. No Sig-Alerts. At least not in the regional wastewater conveyance and treatment system owned and operated by the Orange County Sanitation District. You can flush with confidence. We are very proud of that. The job of the Sanitation District is to make sure that happens every day, for ever. By 2030, Southern California will see another 6.3 million more people. That's two Chicago's. Half a million of that increase will occur within our service area. Cities, special districts and other agencies must provide all of the infrastructure needs to support the new people and businesses that will be coming here. And continue to rebuild and rehabilitate what we already have. For the Sanitation District we are involved in 3 ways: .. 1. Providing sewage treatment. That includes the planning designing, constructing, operating and financing sewers and wastewater treatment now and into the future 2. Providing new water by purifying sewage with our partners the Orange County Water District 3. Providing treatment for contaminated urban runoff that is diverted into our sewer system by the cities and the county to prevent beach pollution All of the planning, design, construction, operation and financing we are doing is self-initiated by our board of directors and staff. We aren't doing this in a vacuum. We do have a long list of regulatory terms and conditions that are imposed on us by various county, state and federal agencies. However, no one is telling us what to do, or how to do it, or when to do it. It is our board and our staff that comes up with all of that. And, the work goes on with little attention by anyone else. We are just getting the job done. Nearly all of what we do is paid for by our rate payers. Over 95% of. We are getting some state and federal grants to pay for some of our secondary treatment upgrades and the water reclamation project. Our current user rate is $151 per year per household. The average household sends us 110,000 gallons of sewage per year. That means we charge them 1/10th of a cent per gallon. Our user rate compares very favorably to other agencies. Our rate is slightly less than one half of the state-wide average for 737 agencies like ours around the state. We must plan for future growth. OC is building about 10,000 new housing units per year. A portion of those come to us. For instance, the Platinum Triangle in Anaheim, when built-out, will add 9500 dwelling units and over 2 million square feet of new commercial floor space. We expect to get over a million gallons a day of sewage from The Platinum Triangle. When Anaheim asks for sewer service, we will be ready. It is essential we do so This project underlines a newly arising phenomena: in-fill. The 37 story tower in Santa Ana is a great example of our having to react to changing conditions. We use the general plans of the cities we serve and the . . , population projections from Cal State Fullerton's Center for Demographic Studies to plan intelligently. Our sewer trunk lines and our sewage treatment plants in Fountain Valley and Huntington Beach must be up and running BEFORE the new flows come. Sewage overflows and treatment plant breakdowns are not an option. I touched briefly on water reclamation. In October 2002, the Sanitation District Board of Directors and the Water District Board of Directors completed a milestone agreement to collectively fund and construct the single largest water reclamation plant in the United States. It will provide 70 million gallons of pure water for groundwater recharge and for preventing seawater from infiltrating inland which would contaminate the drinking water wells that are scattered throughout the coastal plain of OC. All of this comes from the teamwork of a 25 member board of directors and 620 staff members and 2.5 million rate payers that provide the plans, facilities and funds to protect public health and the environment and to provide uninterrupted sewer service. Anderson, Blake From: Anderson, Blake Sent: Tuesday, July 12, 2005 6:11 PM Anderson, Blake To: Subject: Leadership and Vision for the Sanitation District Attachments: Item 14(d).Dharma Consulting.doc To the Employees and Directors of the Sanitation District I am certain that the July 12 Register article has caught your eye and it has evoked a number of questions. I invite you to express your comments and observations over the article. To help with the dialogue that I am certain the article will provoke, I think that it is important that you hear from me. First, the article has it right about the intention of the work: "to transform the sewer district from a typical government agency into a muti-tasking, high-performing business." It is the purpose of the effort and is, of course, my primary job as the General Manager: to see that it happens. I believe that we have achieved much in the last three years. This agency, its board and the general public can be proud of how well this agency has performed in the last several years. The article's observations are generally accurate. The reporter, I think, spent a lot of time trying to get it right, and it shows. There is one exception I must take with the article. It talks about Eric Klein's book, "Awaking Corporate Soul" and quotes from it. The reporter found it when she visited Klein's website. However, we are not using it here. The article mistakenly implies that we are using it. In addition, what was carved over Carl Jung's door is not germane to what we have at hand here. We are using another text of his entitled: "To Do or Not to Do: How Successful Leaders Make Better Decisions". It deals with decision-making styles and when it is most appropriate to use one style over another. Effective leaders tailor their decision-making style to each situation they face. We are doing that here. When I became General Manager in 2000, I had the privilege of leading a high performing organization that had already distinguished itself in a number of ways: • consistent compliance with a wide range of environmental and public health protection standards, • operation of reliable wastewater treatment systems, • a recently completed CIP strategic plan, • award-winning budgeting and financing programs, • an award-winning industrial source control program, • a maturing information management system, • a well-equipped and competent analytical laboratory, • a well-managed warehouse inventory system, • competent maintenance specialty groups, • a solid reputation of trust with the media and the public • very very low user fees, • a willingness to take a leadership role in emerging issues (redamation, urban runoff, watershed management, the QC infrastructure report card) • professional leadership at CASA and SCAP 1 From mid-1999 through late 2002, a number of events emerged that significantly changed the • direction and scope of the agency's challenge: • beach closing and postings leading to extreme public attention and outrage for the first time in the history of the agency • the decision to disinfect our effluent flow to the ocean • the decision to add additional secondary treatment facilities to our system • the decision to join with the Water District to fund and build the largest water reclamation system in the Country • the loss of broad local support for using biosolids on agricultural land in the San Joaquin Valley • the Regional Water Quality Control Board's action to issue, for the first time, discharge requirements for local sewers • acknowledgement that untreated urban runoff was contributing to wide-scale water quality impacts on surface water and ocean water throughout Orange County • the commitment of board and staff to a CIP program that would be larger than anything we had ever faced as a public agency At the same time, it became clear that our INTENTION to take on these initiatives did not match our CAPACITY to do them. We had to figure out a way to better use existing facilities and staff more effectively and efficiently, to set priorities and to better coordinate the work across the agency. In other words, we had to improve the alignment of the agency from top to bottom and from department to department. We had to limit conflict, improve team effectiveness, empower staff to work more creatively, openly and cooperatively, and to better articulate our vision for the future In mid-2002, as the public was clamoring to end the waiver and the needs of the CIP were becoming more clearly identified through studies going to the board, we held a retreat of the Executive Management Team, with the help of Eric Klein. The purpose of that retreat was to consider new leadership and communication ideals and tools for the work ahead. We talked about leadership attributes of self-awareness, authenticity, achievement and improving relationships with others. We talked about authentic dialogue and developing deeper understanding of the expectations of the people around us. It was a start. However, no single meeting or two-day retreat is enough to make lasting and wide-sweeping changes. It takes work and time. Near the end of 2002, as the major milestone decisions of full secondary, disinfection and reclamation had been freshly minted, it was clear that alignment of purpose would be essential to getting it all done. Therefore, in January of 2003 the EMT, with the help of Eric Klein, held another two-day meeting to start the task of improving the way we strategically manage the organization. One of the outcomes of that effort was the drafting and eventual board approval of our Unifying Strategies that are up on the wall of every meeting room in the agency. It is the organizing principles that we attempt to fulfill on a daily basis. Since that time, Dharma Consulting has worked with us on a number of important processes to establish an initial list of priority projects, to provide team-building, executive training and coaching, intervention and help with conflict resolution, and improving communication. All of this is helping to move the organization from departments and divisions that were siloed from one another to broader understanding and support for the various initiatives we have underway. Much of the work has centered on the EMT and the division managers up until now. As our strategic planning processes move outward into the organization, other staff will become more engaged in what we are attempting to do. 2 Dharma's original work in 2002 and 2003 was conducted within my signature authority as General , Manager. In 2004 and again in 2005 the contract went through the FAHR Committee to the Board for approval. The item included a staff report that included a description of the completed work and the work ahead. A copy of the April 2005 FAHR Agenda Report is attached below. There is more to all of this-more than can be adequately described in an e-mail. I believe that we are on the right track. Today, we have an agency that is doing many things very well. We are efficient and effective while we deal with tremendous change, maintain compliance with all of the state and federal regulations, build for the future and do it for user rates that a little bit less than half of the statewide average for wastewater agencies like ours. Again, I am looking for your comments and suggestions. Item 14(d).Dharma Consulting.d ... Blake Anderson General Manager Orange County Sanitation District PO Box 8127 10844 Ellis Ave. Fountain Valley, CA 92728 Direct Line (714) 593-7110 Front Desk (714) 962-2411 Cell (714) 801-3931 Fax (714) 962-0356 Gail Garrett, Executive Assistant (714) 593-7101 The Essence of Unity is Respect for Diversity 3 FAH R COMMI TTEE Meeting Date To Bd , of Dir. 04/13/05 04/27/05 AGENDA REPORT Item Number Item Number FAHR05-27 14(d) Orange County Sanitation District FROM: Blake Anderson, General Manager SUBJECT: Strategic Planning/EMT Development GENERAL MANAGER'S RECOMMENDATION Authorize the General Manager 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. SUMMARY Coordinating and prioritizing all of our ongoing initiatives continues as one of the most challenging jobs for your General Manager, the EMT, the division managers and the 600 employees who work here. In that context, we are improving internal communications, emphasizing team building and improving meeting effectiveness so that we can manage all of this work. We have been employing the help of a business and communication consultant on a month-to-month basis for approximately 25 months to facilitate the planning and communication necessary to make all of this happen effectively. Coaching and team building sessions, facilitated strategic planning, goal-setting workshops, and one-on-one sessions have helped us to align and unify all of the work we are doing. The process has been helpful. We want it to continue. The purpose of this agenda item is to recommend that we continue this relationship with Dharma Consulting and to establish a month-to-month retainer contract with the firm. ADDITIONAL INFORMATION We are managing a remarkable set of initiatives. Besides the day-to-day challenge of keeping the plants and our regular business running, we are administering the longest list of large projects ever faced by the Sanitation District. The most significant include the $2 .8 billion CIP program, interim secondary treatment upgrades, operating interim disinfection and planning long-term disinfection, in-county biosolids management, asset H \daptlagenda\Board Agenda Reports\2005 Board Agenda & Agenda Reports\0405\ltem 14(d) Dharma Consulbng doc Revised 06/04/03 Page 1 management and other business improvement initiatives, a new ocean discharge permit and its associated marine monitoring program, the Groundwater Replenishment System, employee development, succession planning and many smaller-scale initiatives residing across the agency. Managing these initiatives is itself an initiative. We are asking a lot of our staff. To work more effectively and become more focused on follow-through, they must know where we are headed-and why. For this reason, we pay attention to how we convey information to our staff and to ourselves. The values and reasons we are pursuing all of these initiatives provide the buy-in and meaningful commitment we need. Compliance with directives from the general manager or upper management is simply insufficient. Staff has been in the midst of a long-term tactical and strategic process to coordinate all of this simultaneously-resolving ongoing conflicts of priorities, managing staff commitments, communicating our overall intention to staff, and making changes to our original intentions when new information gives us reason to do so. That work began 26 months ago when the EMT began meeting regularly in a series of retreats to map out the future of the Sanitation District so that we could establish comprehensive goals and objectives that would help to manage all of the initiatives. Twenty-four months ago, the EMT proposed, and the board adopted, four unifying strategies that now serve as guideposts for management and staff. The four unifying strategies are: 1. Environmental Stewardship: OCSD will participate collaboratively in the protection of regional water resources for the benefit of the people we serve. 2. Business Principle: OCSD will make every decision based on short-and long- term environmental, societal, and financial impacts (the triple bottom line). 3. Wastewater Management: OCSD will beneficially reuse and recycle water and other resources using safe and effective wastewater systems. 4. Workplace Environment: OCSD will provide an environment of partnership, growth, opportunity, responsibility and accountability. Twenty months ago, the EMT and managers began working together to start a long- term and ongoing strategic planning process that supports the initiatives listed above. Dharma Consulting has been involved in this work for the last 28 months conducting planning meetings to grapple with all of this change, facilitating meetings of the Executive Management Team, the division managers, and specific groups of staff working on certain initiatives. Dharma has helped to design our strategic process, to provide training for participants, to coach EMT and the General Manager, and to help us facilitate meaningful change in the organization. The work ahead, for which we need Dharma Consulting's help during the next twelve months, includes: H \deptlagenda\Board Agenda Reports\2005 Board Agenda & Agenda Reports\0405\llem 14(d) Dhwma Consulting doc Revised 06104/03 Page 2 -Training collaborative skills for several groups working on various initiatives -Coaching team leaders -Coaching the EMT -Facilitating internal workshops for staff -Training and facilitating change agent course work -Integrating business planning with unifying strategies -Strengthening a culture of accountability, collaboration and shared leadership -Integrating new EMT members (3 new out of the eight) PRIOR COMMITTEE/BOARD ACTIONS At the June 23, 2004 Board meeting, General Manager was authorized 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 a maximum of nine months effective July 1, 2004. PROJECTICONTRACTCOSTSUMMARY $15,000/month retainer for twelve months, covering all hourly fees and associated expenses and training materials. Dharma's knowledge of OCSD business practices is already established and therefore brings additional value to this process. BUDGET IMPACT C8J This item has been budgeted. (Line item: 2004-05 and 2005-06 Budgets-- 110.52340-$185,000 each) D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. D Not applicable (information item) ADDITIONAL INFORMATION ALTERNATIVES It is certainly possible for staff to do this work without the help of a consultant. However, we don't have the skills needed to effectively plan and facilitate this work. It is impractical to acquire new staff to do the work, because the work is relatively short-lived and the skill sets are not normally held by public agency staff. A knowledgeable consultant is an efficient way to provide the support. H:ldeptlagenda\Board Agenda Reports\2005 Board Agenda & Agenda Reports\0405\llem 14(d) Dharma Consulting doc Revised: 06/04/03 Page 3 ATTACHMENTS NIA BPA:gg h:\dept\admin\11 0\anderson blake\committees 2005\041305 fahr ar dharma consulting.doc H \depl\agenda\Board Agenda Reports\2005 Board Agenda & Agenda Reports\0405\ltem 14(d) Dha-ma Consulting doc Revised 06/04103 Page 4 ROLL CALL FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE Meeting Date: July 13, 2005 COMMITTEE MEMBERS Roy Moore (Chair) Mike Duvall (Vice Chair) Bill Dalton Richard Freschi Phil Luebben Joy Neugebauer James W. Silva Mark Waldman Steve Anderson (Board Chair) Jim Ferryman (Board Vice Chair) OTHERS Brad Hagin, General Counsel Don Hughes Ed Soong STAFF Blake Anderson, General Manager Carol Beekman, Director of Public Affairs David Ludwin, Director of Engineering Jim Herberg, Director of O & M Lisa Tomko, Director of Human Resources Time: 5:00 p.m. Adjourn: Patrick Miles, Director of Information Technology Robert Ghirelli, Director of Technical Services Nick Arhontes, Director of Regional Assets & Services Mike White, Acting Director of Finance/Treasurer Lilia Kovac, Committee Secretary c: Lenora Crane AGENDA REGULAR MEETING OF THE FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE ORANGE COUNTY SANITATION DISTRICT WEDNESDAY, JULY 13, 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. Accommodations for the Disabled: The Board of Directors Meeting Room is wheelchair accessible. If you require any special disability related accommodations, please contact the Orange County Sanitation District Board Secretary's office at (714) 593-7130 at least 72 hours prior to the scheduled meeting. Requests must specify the nature of the disability and the type of accommodation requested. Items Continued: Items may be continued from this meeting without further notice to a Committee meeting held within five (5) days of this meeting per Government Code Section 54954.2(b)(3). Meeting Adjournment: This meeting may be adjourned to a later time and items of business from this agenda may be considered at the later meeting by Order of Adjournment and Notice in accordance with Government Code Section 54955 (posted within 24 hours). (1) ROLL CALL (2) APPOINTMENT OF CHAIR PRO TEM, IF NEC~SSARY Book Page I July 13, 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) REPORT OF COMMITTEE CHAIR (5) REPORT OF GENERAL MANAGER (6) REPORT OF DIRECTOR OF FINANCE (7) REPORT OF DIRECTOR OF HUMAN RESOURCES (8) REPORT OF DIRECTOR OF PUBLIC AFFAIRS (9) REPORT OF• GENERAL COUNSEL (10) CONSENT CALENDAR ITEMS Consideration of motion to approve all agenda items appearing on the Consent Calendar not specifically removed from same, as follows: r .......... • ••·• • UUU---•·-·-· ... HHH ......... • ~ .......... _,,_ ......... •·•·••••·• .. •H• .. •• ... • .............. _, ........ .-...................... -................. O<HO-• .......... .._,, ...... , .... u •h o• •h ........ -<.,0U---o0n000oH•••................... • ....... •'fO )All matters placed on the consent calendar are considered as not requiring discussion or further explanation and 1 l unless any particular item is requested to be removed from the consent calendar by a Director or staff member, ! :there will be no separate discussion of these items. All items on the consent calendar will be enacted by one j \action approving all motions, and casting a unanimous ballot for resolutions included on the consent calendar. All l \ 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. r • U••----·••HO .. ·•· ........... H ....... ··•~u••··--MHHOO••---u••··••uu -····-··-· .. ··-·· .. ··-·--......................... _ .. •, •·•·• ........ ~ ......................... ·-····· ·--·---···~•-n-•••HH•·••u•o .... , .......... ,_ ..................................... , a. Approve minutes of the June 8, 2005, Finance, Administration and Human Resources Committee meeting. 2 Book Page 2 July 13, 2005 b. FAHR05-57 Recommend to the Board of Directors to receive and file Treasurer's Report for the month of June 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. FAHR05-58 Receive and file Certificates of Participation (COP) Monthly Report. (Book Page 15) d. FAHR05-59 Receive and file Employment Status Report as of June 23, 2005. (Book Page 21) e. FAHR05-60 Receive and file OSHA Incidence Rates and Workers' Compensation Claims and Costs Report. (Book Page 25) END OF CONSENT CALENDAR Consideration of items deleted from Consent Calendar, if any. (11) ACTION ITEMS a. FAHR05-61 Recommend to the Board of Directors to adopt Resolution No. OCSD 05-_, Authorizing the District's Treasurer to Invest and/or Reinvest District's Funds; Adopting District's Investment Policy Statement and Performance Benchmarks for FY 2004-05; and Repealing Resolution No. OCSD 04-21. (Book Page 31) (Mike White-5 minutes) b. FAHR05-62 Provide the District's independent financial auditors with any knowledge of matters that might have a bearing on the auditor's risk assessment as it pertains to rendering an opinion on the District's financial statements for the year ended June 30, 2005. (Book Page 57) (Mike White -10 minutes) c. FAHR05-63 Recommend to the Board of Directors to: (1) Direct staff to issue up to $200 million in new variable-rate Certificates of Participation (COP) debt; and, (2) Authorize the General Manager to negotiate and enter into a sole source Consultant Services Agreement with Orrick, Herrington & Sutcliffe to provide bond counsel services in an amount not to exceed $135,000. (Mike White/ Ed Soong -10 minutes) (Book Page 61) 3 Book Page 3 July 13, 2005 d. FAHR05-64 Recommend to the Board of Directors to receive and file the Public Affairs Strategic Plan FY 2005-06. (Book Page 67) (Carol Beekman -10 minutes) e. FAHR05-65 Authorize the General Manager to solicit proposals from outside auditing firms to serve as the District's internal auditors for a three-year period beginning with FY 2005-06, to narrow the selection to three finalists, and to schedule interviews with selected members of the FAHR Committee. (Mike White -15 minutes) (Book Page 73) f. FAHR05-66 Recommend to the Board of Directors to authorize the Director of Human Resources to make changes to existing vacant Orange County Sanitation District classification titles and to downgrade associated pay grades in support of the staffing plan. (Lisa Tomko - 5 minutes) (Book Page 75) (12) INFORMATIONAL PRESENTATION'S a. FAHR05-67 Retirement benefits informational report. (Book Page 79) (Lisa Arosteguy-30 minutes) (13) CLOSED SESSION f During the course ~t' cond~~ting the business set forth on this agenda as a regular meeting of th~ j i Committee, the Chair may convene the Committee in closed session to consider matters of pending real i [ estate negotiations, pending or potential litigation, or personnel matters, pursuant to Government Code j \ Sections 54956.8, 54956.9, 54957 or 54957.6, as noted. t E ~ ! Reports relating to (?1) pur~hase amd sale 0f real pmperty: .(b) lilatter-s of pending or potential Utigation; (c) : i employee actions 0r negotiation~ with employee repr.eseritaUves; or which ar.e exempt from public disclosure · j under the California Public Recortls Act, may be reviewed by ·the Committee, during a permitted elo.sed !. I session and ar-e nCiLcwailable for public inspection. At such time as final ac~ion~ are·taken by the Committee l~·~·~-·~~~.~~.~.~.::: .. :.~.~~.~~:: .. ~~.:.:.'.=~~e-~-~'..'..~~fle:~.:~'..~:~~'.~:~~~.:~'.~:~:.:: .. :~~~~.:.:t.i~~: .................. _ .... _ ......... -.. -.................... 1 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 SUPPLEMENTALAGENDA ITEMS, IF ANY (15) MATTERS WHICH A DIRECTOR MAY WISH TO PLACE ON A FUTURE AGENDA FOR ACTION AND STAFF REPORT 4 Book Page 4 July 13, 2005 (16) ~UTURE MEETING DATES The next Finance, Administration and Human Resources Committee Meeting is scheduled for September 14, 2005, at 5 p.m. (17) ADJOURNMENT • ... • .. ••nnooHoo••, ,, ........ ,, •. • •• •• _ ,,..,u .. ,,.,.. ..,.,,-• .... ••••-• o••••-••---••--••--·•·,..h HHH••·•·• .. •~•••-........... u ........... uuuu o.u ooo.,uou uouu ,ooouuooooo•••••••••••••••••••• .. •· .. •••·•• .. •s•••••uuHooooouooo'- 1 Notice to Committee Members: I For any questions on the agenda or to place any items on the agenda, Committee members should contact the I Committee Chair or Secretary ten days in advance of the Committee meeting. !committee Chair: Roy Moore (714) 990-7703 .\Committee Secretary: Lilia Kovac (714) 593-7124 lkovac@ocsd.com i General Manager: Blake Anderson (714) 593-7110 banderson@ocsd.com \Acting Director of Finance: Mike White (714) 593-7570 mwhite@ocsd.com jDirector of Human Resources: Lisa Tomko (714) 593-7145 ltomko@ocsd.com . : Director of Public Affairs: ............ carol .Beekman ·-····-················(714} 59~-7120 ..... i;:beekm,an@ocsd;com ............................... : H:\dept\agenda\FAHRIFAHR2005\0705\01.3.071305 FAHR Agenda.doc 5 Book Page 5 f3ook Page 8 MINUTES OF FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE MEETING Orange County Sanitation District Wednesday, June 8, 2005, 5:00 p.m. A meeting of the Finance, Administration and Human Resources Committee of the Orange County Sanitation District was held on June 8, 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 Darryl Miller Joy Neugebauer James W. Silva Steve Anderson, Board Chair DIRECTORS ABSENT: Phil Luebben Jim Ferryman, Vice Board Chair OTHERS PRESENT: Brad Hogin, General Counsel Don Maclean STAFF PRESENT: Blake P. Anderson, General Manager Gary Streed, Director of Finance/Treasurer Lisa Tomko, Director of Human Resources Carol Beekman, Director of Communications David Ludwin, Director of Engineering Mike White, Controller Jeff Reed, Human Resources Manager Nick Arhontes, Regional Assets & Services Manager Juanita Skillman, Records Management Specialist Penny Kyle, Committee Secretary 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. Book Page 9 Minutes of the Finance, Administration and Human Resources Committee Meeting Page2 June 8, 2005 (5) REPORT OF THE GENERAL MANAGER Blake Anderson, General Manager, recognized Nick Arhontes as the person to lead the new Reg ional Assets and Services Department that would be formed upon adoption of the FY05/06 budget. Mr. Arhontes reviewed the reasons for forming the department and the primary duties and responsibilities of the department. Mr. Anderson advised that he, along with Director Jim Silva and Lou Correa, would be in Sacramento the following week regarding SB 926 (Florez), to try to have the Assembly reject the bill. (6) REPORT OF DIRECTOR OF FINANCE/TREASURER Gary Streed, Director of Finance, had no report. Director Duvall expressed his appreciation to Mr. Streed upon his retirement from the District. (7) REPORT OF DIRECTOR OF HUMAN RESOURCES Lisa Tomko, Director of Human Resources, had no report. (8) REPORT OF DIRECTOR OF COMMUNICATIONS & ADMINISTRATIVE SERVICES Carol Beekman, Director of Communications & Administrative Services, discussed the renaming of the Communications & Administrative Services Department to the "Public Affairs Department". Ms. Beekman briefly reviewed the duties of a new division, Legislative Advocacy and Grants Division. She updated the Directors on an application that was submitted to FEMA for funds for the emergency repair of the SARI line. A determination for funding should be made by August. Ms. Beekman reported The Register did not publish the District's letter in response to an editorial on the user rate increase. Staff has set up a meeting with the editorial board for July 13. The letter will be revised and sent to other local papers for publishing. (9) REPORT OF GENERAL COUNSEL Brad Hagin, General Counsel, had no report. (10) CONSENT CALENDAR ITEMS a. Approve minutes of the May 11, 2005, Finance, Administration and Human Resources Committee meeting. b. FAHR05-46 Recommend to the Board of Directors to receive and file Treasurer's Report for the month of May 2005. c. FAHR05-47 Receive and file Certificates of Participation (COP) Monthly Report. d. FAHR05-48 Receive and file Employment Status Report as of May 16, 2005. e. FAHR05-49 Receive and file OSHA Incidence Rates and Workers' Compensation Claims and Costs Report. Book Page 10 Minutes of the Finance, Administration and Human Resources Committee Meeting Page3 June 8, 2005 f. FAHR05-50 Receive and file report of General Manager approved purchases in MOTION: amounts exceeding $50,000 in accordance with Board purchasing policies. It was moved, seconded and duly carried to approve the recommended actions for items specified as 1 0(a) through (f) under Consent Calendar. END OF CONSENT CALENDAR (11) ACTION ITEMS a. FAHR05-51 Recommend to the Board of Directors to approve proposed Operating, Capital, Debt/COP Service and Self-Insurance Budgets for 2005/06, as follows: Motion: Net Operations, Maintenance & Working Capital Worker's Compensation Self Insurance General Liability and Property Self-Insurance Net Capital Improvement Program Debt/COP Service $117,791,000 $591,000 $1,702,000 $277,111,000 $48,586,000 Director of Finance/Treasurer Gary Streed and Mike White, Controller, reviewed the basic elements of the proposed FY 05/06 Budget. Dave Ludwin, Director of Engineering, also reviewed the capital improvement program budget. Director Miller requested additional information on the impact of the capital improvement program to the user rates and the need for the projects be provided in the near future. It was moved, seconded and duly carried to recommend approval to the Board of Directors. b. FAHR05-52 Recommend to the Board of Directors to renew the District's Excess Workers' Compensation Insurance for the period July 1, 2005 through June 30, 2006, at a rate not to exceed $0.003993 of the actual payroll during this time period. Motion: Mike White, Controller, provided a brief report on the excess workers' compensation program. It was moved, seconded and duly carried to recommend approval to the Board of Directors. Book Page 11 Minutes of the Finance, Administration and Human Resources Committee Meeting Page4 June 8, 2005 c. FAHR05-53 Recommend to the Board of Directors to renew the District's Excess Motion: General Liability Insurance Program for the period July 1, 2005 through June 30, 2006, in an amount to be determined. Mike White, Controller, provided a brief report on the excess general liability program. He noted that the final premium costs are still being negotiated and should be finalized by the June 22nd board meeting. It was moved, seconded and duly carried to recommend approval to the Board of Directors. d. FAHR05-54 Recommend to the Board of Directors to renew the District's Boiler & Motion: Machinery Insurance Program for the period July 1, 2005 through June 30, 2006, in an amount not to exceed $23,753. Mike White, Controller, provided a brief report on the boiler and machinery insurance program. It was moved, seconded and duly carried to recommend approval to the Board of Directors. e. FAHR05-55 Recommend to the Board of Directors to renew the District's All-Risk Motion: Property and Flood Insurance Program for the period July 1, 2005 through June 30, 2006, in an amount not to exceed $586,527. Mike White, Controller, provided a brief report on the all-risk property and flood insurance program. It was moved, seconded and duly carried to recommend approval to the Board of Directors. f. FAHR05-56 Recommend to the Board of Directors to: (1) Adopt Resolution No. OCSD 05-_, authorizing the General Manager to adopt a Replacement Benefits Plan in compliance with County Employees Retirement Law of 1937; (2) Authorize the General Manager to delegate the administration of the Replacement Benefits Plan as he determines to be appropriate; and, (3) Authorize the General Manager to enter into a Memorandum of Understanding with Orange County Employees Retirement System for said Replacement Benefits Plan. Lisa Tomko, Director of Human Resources, reviewed the requirements of providing retirement pension limitations due to Internal Revenue Code Section 415(b) and establishing a replacement benefit plan that would assure payment of legally promised benefits under state law, and complies with tax law rules. Effective January 1, 2005, the indexed limit is $170,000 annually, and the amount is reduced on an actuarial basis for non-safety members who retire before age 62. Currently there is only one employee who fits the criteria and will be retiring in July 2005. Ms. Tomko Book Page 12 nook P<1ge 14 FAHR COMMITTEE Meeting Date To Bd. of Dir. 07/13/05 AGENDA REPORT Item Number Item Number FAHR0S-58 Orange County Sanitation District FROM: Mike White, Controller SUBJECT: CERTIFICATES OF PARTICIPATION (COP) MONTHLY REPORT -JUNE 2005 GENERAL MANAGER'S RECOMMENDATION Receive and file Certificates of Participation (COP) Monthly Report for the month of June 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 NIA Book Page 15 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. lZI 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 composi'te index rate, which represents the average rate of six similar variable rate daily reset borrowings. The third ear; chart enti~led, "COP Rate History, Comparison of Highest & Lowest R~tes,'' e0mJ:l)ares 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 variab>le rate daily r:eset COPs. The table entitled, "COP Rate History, Comparison of Monthly Averages," shows the monthly variable interest rate perf0rmance of the District's Daily Rate COPS as compared to the composite index. Estimated annual interest payments calculated for a standard $10() 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 rat~ 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 H.ist@ry, ComJ:l)arison of Highest & Lowest Rates 4. Tabular -COP Rate History, Comparison of Monthly Averages MW:lc H:\dept\agenda\FAHR\FAHR2005\0705\0S-58,COP Monthly Report,doc Revised: 06/04/03 Book Page 16 Page2 I-a=: 0 0. w a=: > a=: 0 I-en -::c w I-< a=: 0. 0 0 >-...J -< C w > -I-< a=: < 0. ~ 0 0 It) 0 0 N G) C ::::l I -, I 0 0 -.i 0 0 (") I I I I I I I I I 0 q N I I I I (%)31.W I I I I I I I I Book Page 18 I I I I' I I I I I I I I I I I 0 q ..- g o'unr g g g o 'Jel/\l r so'qa~ so'uer 170 'oaa 170 11\0N 170 'PO 17o'das 170'6nv 0 q w 0 I-< C riS 0 ~ UJ l-oo 0 0.. :'2 0 (.) D 0 0 0 N "C C Cl) M 9' Ul Q) ·c Q) en 0.. 0 (.) 0 en (.) 0 D Jul-04 Aug-04 Sep-04 Oct-04 Nov-04 Dec-04 Jan-05 Feb-05 Mar-05 Apr-05 May-05 Jun-05 AVERAGE ESTIMATED ANNUAL INTEREST PAYMENTS PER $100M PAR AMOUNT *FOOTNOTE DAILY COP RA TE HISTORY COMPARISON OF MONTHLY AVERAGES JUL 2004 -JUN 2005 OCSD $218.6M $46M Series 2000 Series 93 Ref Composite Paine Webber PaineWebber Index,. 0.99 0.99 0.97 1.15 1.15 1.13 1.34 1.34 1.32 1.67 1.67 1.65 1.52 1.52 1.51 1.55 1.55 1.54 1.70 1.70 1.69 1.76 1.76 1.74 1.86 1.86 1.84 2.42 2.42 2.40 2.88 2.88 2.87 2.23 2.23 2.22 1.76% I 1.76% 1.74% $ 1,1s5,833 I $ 1,755,833 I$ 1,740,000 Composite index consists of the following COP transactions: . IRWD, Series 86-COP, 88, 95, $106.1M, Citigroup . IRWD, Series C-Ref 93-B, 85-B, $62.1 M, Lehman Brothers . IRWD, Series 91, 93, 85, $93.0M, PaineWebber . IRWD, Series 89, C-Ref 93-A, C-Ref 95, $70.9M, Merrill Lynch . Western Riverside Co. Reg. wastewater Auth., Series 96, $25.4M, PaineWebber . Orange Co., Irvine Coast Asst. Dist 88-1, $94.5M, J.P. Morgan Book Page 20 FAHR COMMITTEE Meeting Date 07/13/05 AGENDA REPORT Item Number FAHR0S-59 Orange County Sanitation District FROM: Lisa L. Tomko, Director of Human Resources Originator: Lisa Arosteguy, Human Resources Supervisor SUBJECT: EMPLOYMENT STATUS REPORT AS OF JUNE 23, 2005 GENERAL MANAGER'S RECOMMENDATION Receive and file the Employment Status Report SUMMARY To Bel. of Dir. Item Number The number of full-time equivalent (FTE) employees at OCSD is 606; actual headcount is 616. PRIOR COMMITTEE/BOARD ACTIONS N/A PROJECT/CONTRACT COST SUMMARY N/A BUDGET IMPACT D This item has been budgeted. (Line item: ) D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. ~ Not applicable (information item) ADDITIONAL INFORMATION NEW HIRES: 9 JOB TITLE DIVISION Associate Engineer Ill Operations and Maintenance Process Enqineerinq Buyer Maintenance Worker Cost Estimator Operator-ln-Traininq Automotive/Heavy Equipment Assistant Intern Intern Intern H:ldeptlagenda\FAHRIFAHR2005\0705\05-59.Employment Status.doc Revised: 06/04/03 Contracts, Purchasinq and Materials Management Collection Facilities O&M Engineering and Construction Operations, Plant No. 2 Fleet Services Laboratory -Microbioloav Operations and Maintenance Process Engineering Environmental Compliance Services Page 1 Book Page 21 PROMOTIONS: 2 NAME OLD JOB TITLE NEW JOB TITLE DIVISION Matt Adams Maintenance Worker Operator-ln-Trainir:ig Qp_erati0ns, Plant 2 Jim Herberg Engineering Manager Director of OP!:lratior,is & Maintenance O&M Administration TERMINATIONS: 4 JOB TITLE DIVISION Automotive/HeavY, Equipment Assistant Fleet Services Intern Environmental Assessment Intern Environmental Compliance Services Intern ALTERNATIVES N/A CEQA FINDINGS NIA ATTACHMENTS 1. June 23, 2005 Employment Status Report Public Information Office 2. FY 2004/05 Staffing Report (year to date performance compared to budgeted FTE's) H:\dept\agenda\FAHRIFAHR200510705\05-59.Employment Status.doc Revised: 06/04/03 Book Page 22 Page 2 o::l 0 0 :,S-0 "'O I>) ~ I✓ \.,.J DIV 110 General Management Admin General Management Totals 210 Finance Administration 220 Accounting 230 Contracts, Purch. & Material Mgmt Finance Totals 31 0 Public Affairs Administration 320 Board Services 330 Public Information Office 340 Legislative Advocacy & Grants Public Affairs Totals 410 Regional Assets & Services Admin 420 Collection Facilities O&M 430 Facilities Maintenance Svcs Regional Assets & Services Totals 510 Human Resources Admin 520 Employee Development!Training 530 Safety & Health 540 Workforce Support Services 550 Employee & Labor Relations Human Resources Totals 610 Technical Services Admin 620 Environmental Assessment 630 Environmental Sciences Lab 640 Source Control 660 Environmental Compliance Svcs Technical Services Totals 710 Engineering Admin 740 Planning 750 Project Management Office 760 Engineering & Construction Englne.erlng Totals 810 O&M Administration 820 O&M Process Engineering 830 Operations, Plant No. 1 840 Operations, Plant No. 2 860 Mech Main! & Power Production 860 Electrical & Instrumentation Maint Operations & Maintenance Totals ·910 IT Administration 930 IT Customer & Network Support 940 IT Programming & Database Sys 950 IT Process Controls Integration Information Technol'ogy Totals GRAND TOTAL FTEs I AUTHORIZED FTE REG 0.50 0.75 2.00 . . 2.00 . . 2.00 . . 20.00 . . 26.00 0.50 . 48.00 0.50 . 3.00 -. s.oo 0.50 . 6.00 . . 1.00 . . 15.00 0.50 . 8.00 . - 24.00 . . 30.00 . . 62.00 . . 2.00 1.00 . 4.00 . . 8.00 . . 9.00 9.50 2.00 0.50 . 25.00 11.00 . 2.00 . . 15.00 . . 36.00 1.00 . 40.00 . . 18.00 . . 111.00 1.00 . 3.00 . . 16.00 . . 16.00 . 0.75 64.00 . . 99.00 . 0.75 4.00 . 16.00 0.50 . 41.00 a.so 0.75 47.50 . . 58.00 0.50 . 54.00 0.50 . 220.50 2.00 0.75 3.00 . . 17.00 . . 12.00 . . 13.00 . . 45.00 . . 627.50 15.00 1.50 AUTHORIZED FTE 644.00 EMPLOYMENT STATUS REPORT ACTUALFTE Recruitments Vacancies TOTAL REG 0.50 0.75 LOA TOTAL 2.00 2 00 . . . 2.00 . . 2.00 2.00 . . . 2.00 . . 2.00 2.00 . . . 2.00 1.00 . 20.00 18.00 -. 1.00 19.00 2.00 1 00 26.50 22.00 0.50 . . 22.50 . 4.00 48.50 42.00 0.50 .. 1.00 43.50 3.00 5.00 3.00 3.00 . . . 3.00 . . 5.50 5.00 -. 0.50 5.50 . 6.00 6.00 -. . 6.00 . . 1.00 1.00 --. 1.00 . - 15.50 15.00 . . 0.50 15.50 . 8.00 7.00 -. . 7.00 . 1.00 24.00 23.00 . . . 23.00 1.00 1.00 30.00 29.00 --1.00 30.00 . . 62.00 59.00 . . 1.00 60.00 1.00 2.00 3.00 2.00 1.00 . . 3.00 . . 4.00 3.00 . . 3.00 . 1 DO 8.00 700 . . -7.00 1.00 1.00 18.50 700 6.50 . -13.50 3.00 5.00 2.50 1.00 0.50 . -1.50 . 1.00 36.00 20.00 8.00 . 28.00 4.00 8.00 2.00 2.00 . . -2.00 . . 15.00 14.00 --. 14.00 1 00 37.00 35.00 2.00 . . 37.00 -- 40.00 40.00 . . -40.00 . . 18.00 17.00 . . 17.00 . 1.00 112.00 108.00 2.00 . . 110.00 . 2.00 3.00 3.00 -. . 3.00 . . 18.00 15.00 -. . 15.00 1.00 1.00 16.75 16.00 -0.75 -16.75 . . 64.00 51 00 . . 1.00 52.00 7,00 12.00 99.75 85.00 . 0.75 1.00 86.75 8.00 13.00 4.00 4.00 . . . 4.00 -- 16.50 14.00 0.50 . . 14.50 1.00 2.00 42.25 38.00 0.50 0.75 1.00 40.25 . 2.00 47.50 45.00 0.50 . 1.00 46.50 . 1.00 58.50 56.00 0.50 . 1.00 57.50 1.00 1.00 54.50 51.00 0.50 . 2.00 53.50 1.00 1.00 223.25 208.00 2.50 0.75 5.00 216.25 3.00 7.00 3.00 3.00 . . 3.00 - 17.00 16.00 . 1 00 17.00 - 12.00 1100 . . . 11.00 1.00 1 OD 13.00 13.00 . -. 13.00 . 45.00 43.00 . . 1.00 '4.00 1.00 1.00 582.00 13.00 1.50 9.50 1=1 ACTUALFTE l+l Recruitments 1• Vacancies (less recruitments) 606.00 20.00 18.00 to 0 0 ;,;- '"t:I ~ ~ N .j:,. 700.00 -+-AUTHORIZED FTE ---ACTUAL FTE - - - - - - - - - • • • • AUG SEP 629.00 629.00 576.25 578.25 STAFFING REPORT • • • • • • ~ ----------• • • • • OCT NOV FEB MAR APR MAY JUNE JULY 629.00 629.00 629.00 629.00 629.00 629.00 629.00 644.00 581.50 584.00 587.50 588.00 592.00 594.50 601.00 606.00 * Authorized FTE as of July; actual FTE as of June FAHR COMMITTEE AGENDA REPORT Orange County Sanitation District FROM: Lisa L. Tomko, Director of Human Resources Originator: James Matte, Safety & Health Supervisor Meeting Date To Bel. of Dir. 07/13/05 Item Number Item Number FAHR0S-60 SUBJECT: OSHA INCIDENCE RATES AND WORKERS' COMPENSATION CLAIMS AND COSTS REPORT GENERAL MANAGER'S RECOMMENDATION Receive and file the OSHA Incidence Rates and Workers' Compensation Claims and Costs Report. SUMMARY Safety and Health Division staff track OSHA Incidence Rates for DART Cases (DART Incidence Rate) and Total Accidents (Total Injury Frequency Rate). There were six DART Cases District-wide for the period of January through May 2005. The industry average is 4.50 for the DART Case Incidence Rate while the District Incident Rate was 2.45 for the period of January through May 2005. There were 11 OSHA Recordable Accidents District-wide for the period of January through May 2005. The industry average is 7.30 for the Total Injury Frequency Rate while the District Incident Rate was 4.49 for the period of January through May 2005. The Division also tracks the District's Workers' Compensation Claims and Costs. The District's claim count for Fiscal Year 2004-2005 is 18. The costs associated with these claims for year-to-date is $27,570, 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 0 This item has been budgeted. (Line item: ) D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. [;gj Not applicable (information item) Revised: 06/04/03 Book Page 25 Page 1 ADDITIONAL INFORMATION The District had six DART cases and five other injuries that required only medical treatment for the period of January through May 2005. The reporting period is for 45 days prior to committee meeting. ALTERNATIVES NIA CEQA FINDINGS N/A ATTACHMENTS 1. OSHA Incidence Rates Reports for DART Cases and Total Injuries 2. Workers' Compensation Claims and Costs Revised: 06/04103 Book Page 26 Page2 Safety and Health Division DART Cases District-Wide There were six DART Cases in January through May 2005. (DART -Days Away, Restricted or Transfer) DART Cases (J) i :~~-. I z 1-•- I I 2001 2002 2003 Calendar Year 2004 2005 OSHA Incidence Rates District-Wide The industry average for DART Cases is 4.50. The District rate was 2.45 for January through May 2005. The OSHA DART Case Incidence Rate is calculated by multiplying the number of injuries by 200,000 and dividing the sum by total hours worked. The rate is also based on the data for the calendar year so the rate will change as the number of hours worked increases. _gi 3.00 ro c::: 2.00 Q) u C Q) 1.00 :g u -= 0.00 2001 OSHA Incidence Rates DART Cases 2002 2003 Calendar Year 2004 2005 Book Page 27 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 through May 2005 totaled $135,467.89. 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 $72,663.64, which resulted in savings of $62,814.25 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 1 $222,703 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 $404,112 7/1/01 -6/30/02 30 5 $437,382 7 /1 /02 -6/30/03 18 3 $106,658 7 /1 /03 -6/30/04 15 2 $92,885 7/1/04-6/30/05 16 6 YTD $27,570 "Total Incurred" includes medical bills, temporary disability payments to employees, legal costs, and a claim reserve account. Book Page 29 Rook Page 30 FAHR COMMITTEE Meeting Date To Bel. of Dir. 7/13/05 7/20/05 AGENDA REPORT Item Number Item Number FAHR05-61 Orange County Sanitation District FROM: Michael D. White, Controller SUBJECT: ANNUAL REVIEW AND ADOPTION OF THE DISTRICT'S INVESTMENT POLICY STATEMENT AND DELEGATION OF INVESTMENT AUTHORITY TO THE DIRECTOR OF FINANCE/TREASURER GENERAL MANAGER'S RECOMMENDATION Adopt Resolution No. OCSD 05-XX, Authorizing the District's Treasurer to Invest and/or Reinvest District's Funds; Adopting District's Investment Policy Statement and Performance Benchmarks for FY 2005-06; and Repealing Resolution No. OCSD 04-21. SUMMARY This agenda item presents the annual review of the District's Investment Policy Statement to the Finance, Administration and Human Resources Committee (FAHR) for consideration in the Committee's capacity as the oversight committee for the Investment Policy (Section 16.2). With adoption of the attached Resolution, the Board of Directors would readopt the District's current Investment Policy Statement, portfolio performance benchmarks, and monitoring and reporting requirements for FY 2005-06. The District's Investment Policy Statement is recommended for adoption for FY 2005- 06. There have been no legislative revisions to the State Government Code since the adoption of the FY 2004-05 Investment Policy. The submitted Investment Policy Statement has received the Investment Policy Certification of Excellence Award from the Municipal Treasurer's Association of the United States and Canada. PRIOR COMMITTEE/BOARD ACTIONS The District's current Investment Policy Statement was reviewed and approved by FAHR on July 14, 2004, and adopted by the Board of Directors on July 21, 2004 (Resolution No. 04-21 ). PROJECT/CONTRACT COST SUMMARY N/A BUDGET IMPACT H:ldeptlagenda\FAHRIFAHR2005\0705\0S-61.lnvest Funds Resolution.doc Revised: 06/04/03 Book Page 31 Page 1 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. 1Z1 Not applicable (information item) ADDITIONAL INFORMATION Background The Investment Policy governs the investment activities of Pacific Investment Management Company (PIMCO), the District's external money manager, on behalf of the District. On April 25, 2005, the District's Investment Policy Statement received the Investment Policy Certification of Excellence Award from the Municipal Treasurer's Association of the United States and Canada. A copy of the letter of certification is included each year in the annual Investment Policy document. The District received its first Award of Excellence for the Investment Policy Statement in December 1996. The Investment Policy document itself consists of the Investment Policy Statement and the following eight appendices: A. Summary of Investment Authorization B. Treasury Management Procedures C. Investment Manager Certification D. Investment Pool Questionnaire (LAIF) E. Board Resolution No. OCSD-04-21 F. Sample Monthly & Quarterly Investment Program Monitoring Reports G. Sections of the California Government Code Pertinent to Investing Public Funds H. Glossary of Investment Terms This document will be updated and delivered to FAHR Committee members following the adoption of the District's investment policy statement. Annual Review of Investment Policy The Investment Policy includes the requirement that the District shall review its Investment Policy annually (Sections 1.2 and 16.1 ). This staff report presents the annual review of the District's Investment Policy Statement to the FAHR Committee for consideration in the Committee's capacity as the oversight committee for the District's investment program (Section 16.2). With adoption of the attached Resolution, the Board of Directors would re-adopt the District's current Investment Policy Statement, portfolio performance benchmarks, and monitoring and reporting requirements. The District's Investment Policy Statement is recommended for adoption for FY 2005-06 with no changes from FY 2004-05. H:\deptlagenda\FAHRIFAHR2005\0705\05-61.lnvest Funds Resolution.doc Revised: 06/04/03 Book Page 32 Page2 There have been no legislative revisions to the State Government Code since the adoption of the FY 2004-05 Investment Policy. However, staff will continue to monitor pending legislative and regulatory proposals in the public finance area for their potential impact on the District's existing financial programs. Annual Delegation of Investment Authority Effective January 1 , 1997, Section 53607 of the Code states that governing boards of local agencies may only delegate authority to invest and/or reinvest agency funds to the agency's Treasurer for a one-year period. With adoption of the attached Resolution, the Board of Directors would renew its delegation of investment authority to the Director of Finance/Treasurer for a one-year period in compliance with the requirements of Section 53607. Each year, the Board of Directors will consider similar actions along with the annual reconsideration of the District's Investment Policy. ATTACHMENTS 1. Proposed Resolution No. OCSD 05-XX 2. Exhibit A-OCSD's FY 2005-06 Investment Policy Statement 3. Exhibit B -Performance Monitoring & Reporting H:\dept\agenda\FAHRIFAHR200510705\05-61.lnvest Funds Resolution.doc Revised: 06/04103 Book Page 33 Page 3 Book Page 34 RESOLUTION NO. OCSD-05-XX AUTHORIZING THE DISTRICT'S TREASURER TO INVEST AND/OR REINVEST DISTRICT'S FUNDS, AND ADOPTING DISTRICT'S INVESTMENT POLICY STATEMENT AND PERFORMANCE BENCHMARKS A RESOLUTION OF THE BOARD OF DIRECTORS OF THE ORANGE COUNTY SANITATION DISTRICT, AUTHORIZING THE DISTRICT'S TREASURER TO INVEST AND/OR REINVEST DISTRICT'S FUNDS, AND ADOPTING DISTRICT'S INVESTMENT POLICY STATEMENT AND PERFORMANCE BENCHMARKS; AND REPEALING RESOLUTION NO. OCSD 04-21 *************** WHEREAS, on July 21, 2004, the Board of Directors adopted Resolution No. 04-21, readopting the District's Investment Policy Statement, and establishing specific performance benchmarks and objectives, together with a schedule of frequency of investment performance reports; and, WHEREAS, pursuant to California Government Code Section 53607, the Board of Directors may delegate authority to invest and/or reinvest District's funds to the Treasurer for a one-year period; and, WHEREAS, pursuant to California Government Code Section 53646, the District is required to review its Investment Policy annually and readopt its Policy at a public meeting, which Policy will establish specific performance benchmarks and objectives, and specific monitoring and reports. NOW, THEREFORE, the Board of Directors of the Orange County Sanitation District, DOES HEREBY RESOLVE, DETERMINE AND ORDER: Section 1: That the authority of the Board of Directors to invest or reinvest District's surplus funds, or to sell or exchange securities so purchased, or to deposit for safekeeping the funds and investments of the Districts with depositories, as provided for in California Government Code Sections 53608 and 53630, is hereby delegated to the District's Treasurer for a one-year period commencing on the date this Resolution is adopted, as authorized by California Government Code Section 53607. Book Page 35 Section 2: That the Board of Directors hereby adopt the Investment Policy Statement of the Orange County Sanitation District, as set forth in Exhibit "A", attached hereto and incorporated herein by reference. Section 3: That the Board of Directors hereby adopt the following specific performance benchmarks for their two investment funds in accordance with Section 14.0 of the District's Investment Policy: LIQUID OPERATING MONIES: The Short-Term Operating Fund will be compared to the three month T-Bill rate, and the Callan Active Cash Flow Income Style Group. The Callan Active Cash Flow Income Style Group represents a peer group of managers who operate with a maximum maturity of one year. LONG-TERM OPERATING MONIES: The Long-Term Operating Fund will be compared to the Merrill Lynch Government and Corporate One-to-Five Year Maturity Index and to the Callan Defensive Fixed Income Style Group. Section 4: That the Board of Directors hereby adopt a performance monitoring and reporting schedule, as required by Section 15.0 of the District's Investment Policy, which schedule is attached hereto as Exhibit "B", and incorporated herein by reference. Section 5: That Resolution No. OCSD 04-21 is hereby repealed. PASSED AND ADOPTED at regular meeting held July 20, 2005. Chair ATTEST: Board Secretary H:\dept\agenda\FAHR\FAHR2005\0705\05-61.lnvest Funds Resolution-Alt 2.doc Book Page 36 ORANGE COUNTY SANITATION DISTRICT INVESTMENT POLICY STATEMENT Proposed for Review and Approval By Finance, Administration and Human Resources Committee On July 13, 2005 And for Adoption By Board of Directors On July 20, 2005 Book Page 37 1.0 Policy: ORANGE COUNTY SANITATION DISTRICT INVESTMENT POLICY STATEMENT It is the policy of the Orange County Sanitation District (OCSD) to invest public funds in a manner which ensures the safety and preservation of capital while meeting reasonably anticipated operating expenditure needs, achieving a reasonable rate of return and conforming to all state and local statutes governing the investment of public funds. 1.1. This Investment Policy is set forth by OCSD for the following purposes: 1.1.1. To establish a clear understanding for the Board of Directors, OCSD management, responsible employees and third parties of the objectives, policies and guidelines for the investment of the OCSD's idle and surplus funds. 1.1.2. To offer guidance to investment staff and any external investment advisors on the investment of OCSD funds (see Appendix "A"). 1.1.3. To establish a basis for evaluating investment results. 1.2. OCSD establishes investment policies which meet its current investment goals. OCSD shall review this policy annually, and may change its policies as its investment objectives change. 2.0 Scope: This Investment Policy applies to all financial assets of OCSD; except for the proceeds of OCSD's capital projects financing program, which are invested in accordance with provisions of their specific bond indentures; and such other funds excluded by law or other Board-approved covenant or agreement. These funds are accounted for by OCSD as Enterprise Funds as represented in OCSD's Comprehensive Annual Financial Report. 3.0 Standard of Prudence: The standard of prudence to be used by OCSD internal staff, and any authorized investment advisor(s), shall be as described in Section 53600.3 of the California Government Code as follows: Except as provided in subdivision (a) of Section 27000.3, all governing bodies of local agencies or persons authorized to make investment decisions on behalf of those local agencies investing public funds pursuant to this chapter are trustees and therefore fiduciaries subject to the prudent investor standard. When investing, reinvesting, purchasing, acquiring, exchanging, selling, or managing public funds, a trustee shall act with care, skill, Page 1 of 14 Book Page 39 prudence, and diligence under the circumstances then prevailing, including, but not limited to, the general economic conditions and the anticipated needs of the agency, that a prudent person acting in a like capacity and familiarity with those matters would use in the conduct of funds of a like character and with like aims, to safeguard the principal and maintain the liquidity needs of the agency. Within the limitations of this section and considering individual investments as part of an overall strategy, investments may be acquired as authorized by law. 4.0 Investment Objectives: The primary objectives of OCSDs investment activities, in priority order, and as described in Section 53600.5 of the California Government Code, shall be: 4.1 Safety: The safety and preservation of principal is the foremost objective of the investment program of OCSD. Investments shall be selected in a manner that seeks to ensure the preservation of capital in OCSD's overall portfolio. This will be accomplished through a program of diversification, more fully described in Section 11.0, and maturity limitations, more fully described in Section 12.0, in order that potential losses on individual securities do not exceed the income generated from the remainder of the portfolio. 4.2 Liquidity: The investment program will be administered in a manner that will ensure that sufficient funds are available for OCSD to meet its reasonably anticipated operating expenditure needs. 4.3 Return on Investments: The OCSD investment portfolio will be structured and managed with the objective of achieving a rate of return throughout budgetary and economic cycles, commensurate with legal, safety, and liquidity considerations. 5.0 Delegation of Authority: 5.1 Authority to manage OCSD's investment program is derived from the California Government Code Sections 53600 et seq. and Sections 53635 et seq. The Board of Directors hereby delegates management responsibility for the OCSD investment program to it's Director of Finance/ Treasurer, who shall establish written procedures for the operation of the investment program, consistent with this Policy. The Controller/Assistant Treasurer shall be responsible for day-to-day administration, monitoring, and the development of written administrative procedures for the operation of the investment program, consistent with this Policy. The current treasury management procedures are presented in Appendix "B." No person may engage in an investment transaction except as provided under the terms of this Policy and the procedures established by the Treasurer. The Treasurer shall be responsible for all transactions undertaken by OCSD internal staff, and shall establish a system of controls to regulate the activities of internal Page 2 of 14 Book Page 40 staff and external investment advisors engaged in accordance with Section 5.3. 5.2 The administrative procedures for the operation of OCSD's investment program will provide for, but not be limited to, the following: 5.2.1 Formats for monthly and quarterly reports to the Finance, Administration and Human Resources Committee, and the Board of Directors. 5.2.2 Compliance with generally accepted accounting principles of the Government Accounting Standards Board. 5.2.3 Establishment of benchmarks for performance measurement. 5.2.4 Establishment of a system of written internal controls. 5.2.5 Establishment of written procedures for competitive bids and offerings of securities that may be purchased or sold by internal OCSD staff. 5.2.6 Establishment of a Desk Procedures Manual for treasury operations and management. 5.3 The Board of Directors of OCSD may, in its discretion, engage the services of one or more registered investment advisors to assist in the management of OCSD's investment portfolio in a manner consistent with OCSD's objectives. Such external investment advisors, which shall be selected through a competitive process, shall be granted discretion to purchase and sell investment securities in accordance with this Investment Policy. Such advisors must be registered under the Investment Advisers Act of 1940, or be exempt from such registration. 6.0 Ethics and Conflicts of Interest: 6.1 Officers and employees of OCSD involved in the investment process shall refrain from personal business activities that could conflict with proper execution of OCSD's investment program, or which could impair their ability to make impartial investment decisions. Employees and investment officials shall disclose to the General Manager any material financial interests in financial institutions that conduct business within OCSD's boundaries, and they shall further disclose any large personal financial/investment positions, the performance of which could be related to the performance of positions in OCSD's portfolio. 7.0 Authorized Financial Dealers and Institutions: 7 .1 For investment transactions conducted by OCSD internal staff, the Treasurer Page 3 of 14 Book Page 41 will maintain a list of financial institutions authorized to provide investment services to OCSD, including "primary" or regional dealers that qualify under Securities and Exchange Commission Rule 15C3-1 (Uniform Net Capital rule), and Federal or State of California chartered banks. No public deposit shall be made except in a qualified public depository as established by State law. All financial institutions which desire to become qualified bidders for investment transactions with OCSD must supply the following for evaluation by the Treasurer: 7 .1.1. Audited financial statements for the institution's three (3) most recent fiscal years. 7.1.2. A statement, in the format prescribed by the Government Finance Officers Association (GFOA), certifying that the institution has reviewed OCSD's Investment Policy and that all securities offered to the Districts shall comply fully and in every instance with all provisions of the California Government Code and with this Investment Policy. The current statement is presented in Appendix "C." 7.1.3. A statement describing the regulatory status of the dealer, and the background and expertise of the dealer's representatives. Selection of financial institutions, broker/dealers, and banks authorized to engage in transactions with OCSD shall be made through a competitive process. An annual review of the financial condition of qualified institutions will be conducted by the Treasurer. 7 .2 Selection of broker/dealers used by external investment advisors retained by OCSD, shall be in compliance with contract provisions between OCSD and any external investment advisors, and shall be in substantially the following form: Use of Securities Brokers: Neither the Investment Advisor nor any parent, subsidiary or related firm shall act as a securities broker with respect to any purchases or sales of securities which may be made on behalf of OCSD, provided that this limitation shall not prevent the Investment Advisor from utilizing the services of a securities broker which is a parent, subsidiary or related firm, provided such broker effects transactions on a "cost only" or "nonprofit" basis to itself and provides competitive execution. The Investment Advisor shall provide the Districts with a list of suitable independent brokerage firms (including names and addresses) meeting the requirements of Government Code Section 53601.5, and, unless otherwise directed by OCSD, the Investment Advisor may utilize the service of any of such independent securities brokerage firms it deems appropriate to the extent that such firms are competitive with respect to price of services and execution. Page 4 of 14 Book Page 42 8.0 Authorized and Suitable Investments: All investments shall be made in accordance with the California Government Code including Sections 16429.1 et seq., 53600 et seq., and 53684, and as described within this Investment Policy. Permitted investments under this Policy shall include: 8.1 Securities, obligations, participations, or other instruments of, or issued by, or fully guaranteed as to principal and interest by the US Government, a federal agency, or a US Government-sponsored enterprise pursuant to Section 53601 (e) of the California Government Code. Investment in mortgage-backed bonds and CMOs is not governed by this Section 8.1, even if such bonds are issued by agencies of the US Government. See Section 8.2 for conditions of purchase of mortgage- backed securities. See Section 8.12 for conditions of purchase of CMOs. 8.2 Mortgage-backed securities issued by an agency of the US Government, which are backed by pools of mortgages guaranteed by the full faith and credit of the U.S. Government, or an agency thereof. Purchase of mortgage derivatives, which include interest-only payments (IOs) and principal-only payments (POs); inverse floaters, and RE-REMICs (Real Estate Mortgage Investment Conduits), is hereby prohibited. 8.3 Commercial paper of "prime" quality and rated "P1" by Moody's Investor Services (Moody's), and rated "A 1" by Standard & Poor's Corporation (S&P), and issued by a domestic corporation organized and operating in the United States with assets in excess of $500 million and having a rating of "A" or better on its long-term debt as provided by Moody's or S&P. Purchases of eligible commercial paper may not exceed 270 days to maturity from the date of purchase. Purchases of commercial paper shall not exceed 15% of the market value of the portfolio, except that a maximum of 30% of the market value of the portfolio may be invested in commercial paper, so long as the average maturity of all commercial paper in the portfolio does not exceed 31 days. No more than 5% of the market value of the portfolio, or 10% of the issuer's outstanding paper, may be invested in commercial paper issued by any one (1) eligible corporation. 8.4 Banker's acceptances issued by institutions, the short-term obligations of which are rated a minimum of "P1" by Moody's, or "A 1" by S&P provided that: (a) the acceptance is eligible for purchase by the Federal Reserve System; (b) the maturity does not exceed 180 days; (c) no more than 40% of the total portfolio may be invested in banker's acceptances; and (d) no more than 30% of the total portfolio may be invested in the banker's acceptances of any one (1) commercial bank. 8.5 Medium term (or corporate) notes of a maximum of five (5) years maturity issued by corporations organized and operating within the United States, or issued by depository institutions licensed by the United States, or any state, and operating within the United States with assets in excess of $500 million, Page 5 of 14 Book Page 43 and which is rated in a rating category of "A" or better on its long-term debt as provided by Moody's or S&P. Notes eligible for investment under this section shall be rated at least "A3" or better by Moody's, or "A-" or better by S&P. If, at the time of purchase, an eligible note is rated in a rating category of "A" or better by only one rating agency, the note shall also be rated at least "BBB" by the other rating agency. If, after purchase, the rating of an eligible note in a rating category of "A" or better, is downgraded to "BBB," the external investment advisor shall notify the District of the downgrade, and shall present an analysis and recommendations as to the disposition of the note consistent with the investment objectives of this Investment Policy. The above restrictions pertain to the "direct issuer" and do not extend to the parent corporation of the direct issuer. No more than 35% of the portfolio may be invested in both medium term notes, as described here in 8.5, and notes, bonds, or other obligations, as described in 8.6. 8.6 Notes, bonds, or other obligations that are at all times secured by a valid first priority security interest in securities of the types listed by California Government Code Section 53651 as eligible securities for the purpose of securing local agency deposits having a market value at least equal to that required by California Government Code Section 53652 for the purpose of securing local agency deposits. The securities serving as collateral shall be placed by delivery or book entry into the custody of a trust company or the trust department of a bank that is not affiliated with the issuer of the secured obligation, and the security interest shall be perfected in accordance with the requirements of the Uniform Commercial Code or federal regulations applicable to the types of securities in which the security interest is granted. No more than 35% of the portfolio may be invested in securities described in 8.5 and 8.6. 8. 7 Shares of mutual funds investing in securities permitted under this policy and under Section 53601 (k) of the California Government Code. Such funds must either: (1) attain the highest ranking, or the highest letter and numerical rating, provided by not less than two of the three largest nationally recognized rating services; or (2) have an Investment Advisor registered with the Securities and Exchange Commission with not less than five (5) years of experience investing in the securities and obligations authorized under this Policy and under California Government Code Section 53601, and with assets under management in excess of $500 million. The purchase price of shares of beneficial interest purchased pursuant to this policy, and the California Government Code may not include any commission that the companies may charge, and shall not exceed 15% of the District's surplus money that may be invested pursuant to this section. However, no more than 10% of the District's surplus funds may be invested in shares of beneficial interest of any one (1) mutual fund pursuant to this section. 8.8 Certificates of deposit: 8.8.1 Secured (collateralized) time deposits issued by a nationally or Page 6 of 14 Book Page 44 state-chartered bank or state or federal savings and loan association, as defined by Section 5102 of the California Financial Code, and having a net operating profit in the two (2) most recently completed fiscal years. Collateral must comply with Chapter 4, Bank Deposit Law, Section 16500 et seq., and Chapter 4.5, Savings and Loan Association and Credit Union Deposit Law, Section 16600 et seq., of the California Government Code. 8.8.2 Negotiable certificates of deposit (NCDs) issued by a nationally or state-chartered bank or state of federal savings and loan association, as defined by Section 5102 of the California Financial Code; and which shall have a rating of "A" or better on its long-term debt as provided by Moody's or S&P; or which shall have the following minimum short-term ratings by at least two (2) rating services: "P1" for deposits by Moody's, "A 1" for deposits by S&P, or comparably rated by a nationally recognized rating agency which rates such securities; or as otherwise approved by the District's Board of Directors. 8.8.3 To be eligible to receive local agency money, a bank, savings association, federal association, orfederally insured individual loan company shall have received an overall rating of not less than "satisfactory" in its most recent evaluation by the appropriate federal financial supervisorial agency of its record of meeting the credit needs of California's communities, including low and moderate income neighborhoods, pursuant to Section 2906 of Title 12 of the United States Code. 8.9 Taxable or tax-exempt municipal bonds issued by the State of California or its subdivisions. Such securities must be rated "A3" or higher by Moody's, or "A-" or higher by S&P; or as otherwise approved by the Districts' Board of Directors. 8.10 The State of California Local Agency Investment Fund (LAIF). The LAIF is an investment alternative for California's local governments and special districts managed by the State Treasurer's Office. LAIF is more fully described in the Glossary (See Appendix "H.") The District shall use LAIF as a short-term cash management facility. Investment of District funds in LAIF shall be subject to investigation and due diligence prior to investing, and on a continual basis to a level of review pursuant to Section 3.0, Standard of Prudence, of this Policy. See Appendix "D" for investment pool questionnaire. 8.11 The Orange County Treasurer's Money Market Commingled Investment Pool (OCCIP). The OCCIP is a money market investment pool managed by the Orange County Treasurer's Office. OCCIP is more fully described in the Glossary. (See Appendix "H.") The District has no funds invested in OCCIP at this time. Investment of District funds in OCCIP would be subject to investigation and due diligence prior to investing, and on a continual basis to a level of review pursuant to Section 3.0, Standard of Prudence, of this Policy. Page 7 of 14 Book Page 45 8.12 Collateralized mortgage obligations (CMOs) issued by agencies of the US Government which are backed by pools of mortgages guaranteed by the full faith and credit of the U.S. Government, or an agency thereof, and asset- backed securities rated "Aaa" by Moody's and "AAA" by S&P. Selection of mortgage derivatives, which include interest-only payments (IOs) and principal-only payments (POs); inverse floaters, and RE-REMICS (Real Estate Mortgage Investment Conduits), is hereby prohibited. Securities eligible for purchase under this Section 8.11 shall be issued by an issuer having a rating on its unsecured long-term debt of "A" or higher. Combined purchases of mortgage-backed securities, CMOs and asset-backed securities as authorized under within Section 8.0, may not exceed 20% of the total Long-Term Operating Monies portfolio. 8.13 Repurchase agreements provided that: 8.13.1 All repurchase agreements shall be collateralized with securities eligible for purchase under this Policy. In order to anticipate market changes and to provide a level of security for all repurchase agreement transactions, collateralization shall be maintained at a level of at least 102% of the market value of the repurchase agreements, and shall be adjusted no less than weekly. 8.13.2 All repurchase agreements must be the subject of a Master Repurchase Agreement between OCSD and the provider of the repurchase agreement. The Master Repurchase Agreement shall be substantially in the form developed by The Bond Market Association. 8.14 Reverse repurchase agreements provided that: 8.14.1 No more than five percent (5%) of OCSD's portfolio shall be invested in reverse repurchase agreements, and there shall be no long-term reverse repurchase agreements unless otherwise authorized by the Districts' Board of Directors. 8.14.2 The maximum maturity of reverse repurchase agreements shall be ninety (90) days. 8.14.3 Reverse repurchase agreements shall mature on the exact date of a known cash flow which will be unconditionally available to repay the maturing reverse repurchase agreement. 8.14.4 Proceeds of reverse repurchase agreements shall be used solely to supplement portfolio income or to provide portfolio liquidity, and shall not be used to speculate on market movements. 8.14.5 All reverse repurchase agreements must be the subject of a Page 8 of 14 Book Page 46 Master Repurchase Agreement between OCSD and the provider of the reverse repurchase agreement. The Master Repurchase Agreement shall be substantially in the form developed by The Bond Market Association. 8.15 Sales of OCSD-owned securities in the secondary market may incur losses in order to improve the risk or return characteristics of the portfolio, to prevent anticipated further erosion of principal, or when trading for securities that result in an expected net economic gain to OCSD. 8.16 If securities owned by the OCSD are downgraded by either Moody's or S&P to a level below the quality required by this Investment Policy, it shall be OCSD's policy to review the credit situation and make a determination as to whether to sell or retain such securities in the portfolio. If a decision is made to retain the downgraded securities in the portfolio, their presence in the portfolio will be monitored and reported monthly to the OCSD General Manager, the Finance, Administration and Human Resources Committee and Board of Directors. 9.0 Collateralization: Generally, the value to secure deposits under this Policy shall comply with Section 53652 of the California Government Code. Collateralization will be required for secured time deposits, as more fully described in Section 8.7.1; and repurchase agreements, as more fully described in Section 8.12.1. Collateral will always be held by an independent third- party, as more fully described in Section 10.1. The right of collateral substitution is granted. 10.0 Safekeeping and Custody: 10.1 All securities transactions, including collateral for repurchase agreements, entered into by, or on behalf of OCSD, shall be conducted on a delivery-versus-payment (DVP) basis. Securities will be held by OCSD's third-party custodian bank, which shall be selected through a competitive process, or that agent's representative, or in the agent's account at the Federal Reserve Bank, or within clearing corporations in the U.S., and evidenced by book entry statements. 11.0 Diversification: OCSD will diversify its investments by security type, issuer, and financial institution in accordance with the following: 11. 1 There is no limit on investment in securities issued by or guaranteed by the full faith and credit of the U.S. government. 11.2 No more than 20% of the portfolio may be invested in securities of a single Page 9 of 14 Book Page 47 agency of the U.S. government, which does not provide the full faith and credit of the U.S. government. 11.3 No more than 5% of the portfolio may be invested in securities of any one issuer, other than the U.S. government or its agencies. Investment in mutual funds is not governed by this Section 11.3. See Section 11.8 for conditions of purchase of mutual funds. 11 .4 No individual holding shall constitute more than 5% of the total debt outstanding of any issuer. 11.5 No more than 40% of the portfolio may be invested in banker's acceptances. 11.6 No more than 15% of the portfolio may be invested in commercial paper, except that 30% of the portfolio may be so invested so long as the average maturity of all commercial paper in the portfolio does not exceed 31 days. 11.7 No more than 30% of the portfolio may be invested in medium-term (corporate) notes. 11.8 No more than 15% of the portfolio may be invested in mutual funds. However, no more than 10% of the District's portfolio may be invested in shares of beneficial interest of any one (1) mutual fund. 11.9 No more than 30% of the portfolio may be invested in negotiable certificates of deposit. 11.10 No more than 10% of the portfolio may be invested in eligible municipal bonds. 11.11 No more than 20% of the Long Term Operating Monies portfolio may be invested in a combination of mortgage-backed securities, CMOs and asset- backed securities. Mortgage-backed securities, CMOs and asset-backed securities may only be purchased by the Districts' external money managers, Pacific Investment Management Company (PIMCO), with prior Board approval (authorized by Board Minute Order, January 22, 1997), and may not be purchased by the District's staff. 11.12 No more than the lesser of 15% of the portfolio or the statutory maximum may be invested in LAI F. 11.13 No more than 15% of the portfolio may be invested in the Orange County Investment Pool. 11.14 No more than 20% of the portfolio may be invested in repurchase agreements. 11 . 15 No more than 5% of the portfolio may be invested in reverse repurchase agreements. Page 10 of 14 Book Page 48 12.0 Maximum Maturities: To the extent possible, OCSD will attempt to match its investments with reasonably anticipated cash flow requirements. The Treasurer shall develop a five-year cash flow forecast, which shall be updated quarterly. Based on this forecast, the Treasurer shall designate, from time-to-time, the amounts to be allocated to the investment portfolio. OCSD monies invested in accordance with this Policy are divided into two (2) categories: 12.1 Liquid Operating Monies. Funds needed for current operating and capital expenditures are known as Liquid Operating Monies. 12.1.1 The maximum final stated maturity of individual securities in the Liquid Operating Monies account portfolio shall be one (1) year from the date of purchase. 12.1.2 The average duration of the Liquid Operating Monies account portfolio shall be recommended by the Treasurer based on the Districts' cash flow requirements, but may never exceed 180 days. 12.2 Long Term Operating Monies. Funds needed for longer term purposes are known as the Long Term Operating Monies. 12.2.1 Except for the purchase of securities by the District's external money manger, PIMCO, the maximum final stated maturity of individual securities in the Long Term Operating Monies account portfolio shall be five (5) years from the date of purchase. PIMCO may purchase any security that is permitted under Section 8.0 of this policy, including those which may have a stated maturity of more than five (5) years from the date of purchase when, in the opinion of PIMCO, such an investment meets the investment objectives of this portfolio and the duration requirements are met below. 12.2.2 The duration of the Long Term Operating Monies account portfolio shall be recommended by the Treasurer based on the Districts' five- year cash flow forecast, but may never exceed 60 months. 12.2.3 The duration of the Long Term Operating Monies account portfolio shall never exceed 120% of the duration as established in accordance with Section 12.2.2. 12.2.4 The duration of the Long Term Operating Monies account portfolio shall never be less than 80% of the duration as established in accordance with Section 12.2.2 Page 11 of 14 Book Page 49 13.0 Internal Control: 13.1 The Treasurer shall establish an annual process of independent review by an external auditor. This review will provide internal control by assuring compliance with policies and procedures. The current treasury management procedures are presented in Appendix "B." 14.0 Performance Obiectives and Benchmarks: 14.1 Overall objective. The investment portfolio of OCSD shall be designed with the overall objective of obtaining a rate of return throughout budgetary and economic cycles, commensurate with investment risk constraints and reasonably anticipated cash flow needs. 14.2 The Liquid Operating Monies. The investment performance objective for the Liquid Operating Monies shall be to earn a total rate of return over a market cycle which exceeds the return on a market index approved by the Finance, Administration and Human Resources Committee, and by the District's Board of Directors, when the duration of the portfolio is established. This market index is more fully described in Board Resolution No. OCSD-00-16 (see Appendix "E"). 14.3 The Long Term Operating Monies. The investment performance objective for the Long Term Operating Monies shall be to earn a total rate of return over a market cycle which exceeds the return on a market index selected by the Finance, Administration and Human Resources Committee and approved by the Districts' Board of Directors, when the duration of the portfolio is established. This market index is more fully described in Board Resolution No. OCSD-00-16 (See Appendix "E"). 15.0 Reporting: 15.1 Monthly and quarterly investment reports shall be submitted by the Treasurer to the Finance, Administration and Human Resources Committee which shall forward the reports to the District's Board of Directors. The monthly reports shall be submitted to the Finance, Administration and Human Resources Committee within 30 days of the end of the month in accordance with California Government Code Sections 53607, 53646, and this Investment Policy. The quarterly reports shall provide clear and concise status information on the District's portfolios at the end of each reporting period, including performance measures using the benchmarks described in Section 14.0 of this Investment Policy. Sample monthly and quarterly reports are presented in Appendix "F." These reports shall contain listings of individual securities held at the end of each reporting period, and shall disclose, at a minimum, the following information about the risk characteristics of OCSD's portfolio: Page 12 of 14 Book Page 50 15.1.1 15.1.2 Cost and accurate and complete market value of the portfolio. Modified duration of the portfolio compared to Benchmark. 15.1.3 Dollar change in value of the portfolio for a one-percent (1 %) change in interest rates. 15.1.4 Percent of portfolio invested in reverse repurchase agreements, and a schedule which matches the maturity of such reverse repurchase agreements with the cash flows which are available to repay them at maturity. 15.1.5 For the Liquid Operating Monies account only, the percent of portfolio maturing within 90 days. 15.1.6 Average portfolio credit quality. 15.1. 7 Percent of portfolio with credit ratings below "A" by any rating agency, and a description of such securities. 15.1.8 State that all investments are in compliance with this policy and the California Government Code, or provide a listing of any transactions or holdings which do not comply with this policy or with the California Government Code. 15.1.9 Time-weighted total rate of return for the portfolio for the prior three months, twelve months, year to date, and since inception compared to the Benchmark returns for the same periods. 15.1.10 State that sufficient funds are available for OCSD to meet its operating expenditure requirements for the next six months, or if not, state the reasons for the shortfall. 15.2 OCSD's Treasurer shall meet quarterly with the Finance, Administration and Human Resources Committee to review investment performance, proposed strategies and compliance with this Investment Policy. External investment advisors may be required to attend said meetings at the discretion of the Chairman of the Finance, Administration and Human Resources Committee. 16.0 Investment Policy Adoption and Revision: 16.1 The Investment Policy of OCSD shall be reviewed by the Finance, Administration and Human Resources Committee and shall be adopted by resolution of the Board of Directors of OCSD. The Policy shall be reviewed on an annual basis in accordance with California Government Code Section 53646, and this Investment Policy, by the Finance, Administration and Human Resources Committee, which shall recommend revisions, as appropriate, to the Board of Directors. Any modifications made thereto shall Page 13 of 14 Book Page 51 be approved by the Board of Directors. 16.2 The Finance, Administration and Human Resources Committee shall serve as the oversight committee for the District's Investment program and shall adopt guidelines for the ongoing review of duration, quality and liquidity of the District's portfolio. Page 14 of 14 Book Page 52 APPENDIX "A" SUMMARY OF INVESTMENT AUTHORIZATION INTERNAL AND EXTERNAL MANAGERS SHORT TERM OPERATING FUND INVESTMENT U.S. Treasuries Federal Agencies Mortgage-backed Commercial paper Banker's Accept. Medium Term Notes Mutual Funds Negotiable CDs Municipal Bonds LAIF OCIP CMOs Asset-backed Repurchase Agree. Reverse Repos INTERNAL OK Fixed coupon, fixed mat. NO OK OK Fixed coupon, fixed mat.* Money Market Only** Fixed coupon, fixed mat.* OK* OK OK NO NO OK OK* EXTERNAL OK OK NO OK OK OK Money Market Only OK NO NO NO NO NO OK OK LONG TERM OPERA TING PORTFOLIO INVESTMENT INTERNAL EXTERNAL U.S. Treasuries OK OK Federal Agencies Fixed coupon, fixed mat. OK Mortgage-backed NO OK Mutual Funds Money Market Only** OK Negotiable CDs Fixed coupon, fixed mat.* OK Municipal Bonds OK* OK LAIF OK NO OCIP OK NO CMOs NO With Board Approval Asset-backed NO With Board Approval Repurchase Agree. OK OK Reverse Repos OK* OK *With prior approval of the Finance, Administration and Human Resources Committee. **Using financial institutions approved by the Finance, Administration and Human Resources Committee. H:ldeptlagenda\FAHR\FAHR2005\0705\05-61.lnvest Funds Resolution-Alt 1.doc Book Page 53 Book Page 54 0, 0 0 ;;,;--- ""O Pl OQ (1) V, V, POLICY REFERENCE 15.1.1 15.1.2 15.1.3 15.1.4 15.1.5 15.1.6 15.1.7 15.1.8 15.1.9 ADDL** ADDL** ADDL** ADDL** 15.1.10 Notes *M = Monthly *Q = Quarterly EXHIBIT "B" ORANGE COUNTY SANTIATION DISTRICT PERFORMANCE MONITORING & REPORTING FOR THE DISTRICT'S INVESTMENT PROGRAM PERFORMANCE CHARACTERISTIC Cost and market value of the portfolio (monthly mark-to-market). Modified duration of the portfolio compared to benchmark. Dollar change in value of the portfolio for a 1 % change in interest rate. Percent of portfolio invested in reverse repurchase agreements, and a schedule which matches the maturity of such reverse repurchase agreements with the cash flows which are available to repay them at maturity. For the Liquid Operating Monies account only, the percent of portfolio maturing within 90 days. Average portfolio credit quality. Percent of portfolio with credit ratings below "A" by any rating agency, and a description of such securities. Listing of any transaction or holdings which do not comply with this policy or with the California Government Code. Time-weighted total rate of return for the portfolio for the prior three months, twelve months, year-to-date, and since inception compared to the benchmark returns for the same periods. Comparison of portfolio performance to market index benchmark. Comparison of Manager's performance to peer group benchmark. Monitoring of organizational and structural changes of investment management firm. Audit portfolios for compliance with investment policy guidelines. REPORTING PARTY* PIMCO MELLON CALLAN M,Q M,Q Q M,Q Q M,Q Q M,Q M,Q Q M,Q Q M,Q Q M,Q M,Q Q M,Q Q Q Q Q OCSD will report if sufficient funds are available for It to meet operating expenditure requirements for the next six months, or if not, state the reason for the shortfall. **ADDL= Monitoring of Additional Peformance Characteristics H:\dept\agenda\FAHR\FAHR2005\0705\05-61.lnvest Funds Resolution-Att 4.doc Book Page 56 FAHR COMMITTEE Meeting Date To Bd. of Dir. 7/13/05 AGENDA REPORT Item Number Item Number FAHR0S-62 Orange County Sanitation District FROM: Michael D. White, Controller SUBJECT: CONRAD AND ASSOCIATES, INDEPENDENT FINANCIAL AUDITOR GENERAL MANAGER'S RECOMMENDATION Provide Conrad and Associates, OCSD's independent financial auditor with any knowledge of matters that might have a bearing on the auditor's risk assessment as it pertains to rendering an opinion on the District's financial statements for the year ended June 30, 2005. SUMMARY Professional auditing standards require that, as a part of the audit on the District's financial statements for the year ended June 30, 2005, that the independent financial auditors inquire with the Finance, Administration, and Human Resources Committee as to whether or not the Committee has knowledge of matters that might have a bearing on the auditor's risk assessment for the District's annual financial audit. PRIOR COMMITTEE/BOARD ACTIONS None. PROJECT/CONTRACT COST SUMMARY Not applicable. BUDGET IMPACT D This item has been budgeted. (Line item: ) D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. 1Z1 Not applicable (information item) ATTACHMENTS Letter addressed to the Finance, Administration and Human Resources Committee Chair from Conrad & Associates, the District's Independent Financial Auditors, dated June 8, 2005. MW H:ldeptlagenda\FAHRIFAHR2005\0705\05-62.Conrad & Assoc Auditor.doc Revised: 06/04/03 Page 1 Book Page 57 -~· CONRADA~D CERTIFIED PUBLIC ACCOUNTANTS ASSOCIATES, Chair .. .Finance, Administration and Human Resources Committee Orange County Sanitation District P.O. Box 8127 Fountain Valley, CA 92728-8127 Dear Mr. Brady: LL.I~ June 8, 2005 2301 DUPONT DRIVE, SUITE 200 IRVINE, CALIFORNIA 92612 !9+9) 47,i -2020 fax {949) 263-5520 We are in the process of planning the audit of the District for the year ending June 30, 2005. Professional auditing standards require that, as a part of our audit, we inquire of the chair of the Finance, Administration, and Hwnan Resources Committee to ascertain whether or not the chair has knowledge of matters thnt might have a bearing on the auditor's risk asse-ssment for the District's annual audit. Examples of these matiers arc: • Known or suspected instances of employee fraud • Areas in which the internal controls of the District are thought by the committee to be weak • Known or suspected misstatements in the accounting records of the District • Kno½11 or suspected use of improper accounting practices by the District • Any awareness of pressure upon the District or District management with respect to achieving certain financial results Generally, the scope of the audit is limited to matters involving amounts that would be significant to the financial statements of the District taken as a whole. If additional time is required to respond to the concems of the committee, we will estimate for the District tJ1e costs involved. Please respond within 45 days from the date of this letter if the committee has any matters to report that meet the above criteria. Sincerely, CONRAD AND ASSOCIATES, !_ LP /~~~ Ken Al~lmam, C.P.A. Partner ,\.lf,\,\BERS OF Al(.-PA AND C. ~I.IFOR/S:IA 50CiET\' Of CERTlfl(IJ f'UOUC ACCOUNTAi'<TS .,\[,\mm OF .-•.MrnlC..\t-. :NSTITLFrr or-C:tRTIFl(D l'Ul!l.ll ACCOUNTANTS PRIV,\Tf COMPANltS P~AUI([ S(CTIO!'-, Book Page 59 , .. June 8, 2005 Chair, Finance, Administration, and Human Resources Committee Orange County Sanitation District Page2 Response by the Chair. Finance, Administration. and Human Resomces Commith:e __ We are aware of no matters meeting the criteria set forth above. By: Title: Date: We are aware of matters meeting the criteria set forth above, as described more fully in the attached list. Book Page 60 FAHR COMM ITTEE Meeting Date 07/13/05 AGE NDA REPO RT Item Number FAHR05-63 Orange County Sanitation District FROM: Michael D. White, Controller SUBJECT: ISSUING UP TO $200 MILLION IN NEW CERTIFICATES OF PARTICIPATION (COPs) GENERAL MANAGER'S RECOMMENDATION 1. Direct staff to issue up to $200 million in new variable-rate Certificates of Participation (COP) debt; and, To Bet of Dir. 07/20/05 Item Number 2. Authorize the General Manager to negotiate and enter into a sole source Consultant Services Agreement with Orrick, Herrington & Sutcliffe to provide bond counsel services in an amount not to exceed $135,000. SUMMARY In support of the District's Strategic Plan capital improvement program, the Board approved the issuance of $200 million of new Certificates of Participation (COP) debt with the adoption of the FY 2005-06 Budget. Approval of the recommended actions above will direct staff to begin the $200 million variable-rate debt issuance process and retain the bond counsel firm of Orrick, Herrington & Sutcliffe to assist in the debt issuance. Staff will continue to work with the financial advisory firm of Public Resources Advisory Group. PROJECT/CONTRACT COST SUMMARY In accordance with the District's Board-adopted Debt Policy, the District will restrict long-term borrowing to capital improvements that cannot be financed from current revenue, and before any new debt is issued, the impact of debt service payments on total annual fixed costs will be analyzed. This policy will assist in the leveling out of user fee rates over time and avoid any spiked increases in the short term. All costs involved in the COP issuance, including costs for Orrick and for PRAG will be paid from the proceeds of the new issue. BUDGET IMPACT [ZI This item has been budgeted. D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. However, professional services fees would be reimbursed by cost savings. D Not applicable (information item) H:\dept\agenda\FAHR\FAHR2005\0705\0S-63.COP Issue.doc Page 1 Book Page 61 - In addition, the implementation of an Accelerated Rate Management ("ARM") program can assist in reducing variable rate interest rate risk and may accelerate debt repayment. An ARM program requires 1) the issuance of variable rate debt; 2) budgeting for and making fixed rate debt service payments; and 3) applying any excess payment to reducing the amount of variable rate debt on an annual basis. In the current market, the difference between long-term fixed rate debt costs and short-term variable rate debt costs is approximately 2.0%. An ARM program would use costs savings, from annual budgeting at today's fixed rates and borrowing at an expected lower variable rate, to repay outstanding variable rate debt. Finance Team and Timeline It is proposed that financial advisory and bond counsel services be retained immediately to more fully develop and implement the financing structure discussed above. It is requested that the Finance, Administration and Human Resources Committee authorize staff to engage Orrick, Herrington & Sutcliffe for this project. Orrick, Herrington & Sutcliffe has provided legal services on various matters related to the District's existing COP financing program, and is therefore, intimately familiar with the legal documents and structures of the District's COP issues. Most recently, they have assisted staff efforts related to the issuance of the Series 2003 COPs. Costs for legal services would be reimbursed from the proceeds of the new COP upon successful completion of the issuance. Orrick, Herrington & Sutcliffe has also developed a working knowledge of the industry through the completion of similar financings. In November 2001, the Board of Directors appointed PRAG as the District's financial advisor. In February 2005, PRAG's contract was extended for an additional two-year period with no increase in fees. PRAG's financial advisory fee for an issuance of variable rate debt is $100,000 plus costs. Given the knowledge and experience that both firms can contribute to the proposed issuance, it is estimated that it can be accomplished in approximately 120 days, as illustrated by the timeline below. Staff would negotiate a professional services agreement Orrick, Herrington & Sutciffe, for execution by the General Manager. Due to the fact that this is a proposed variable rate debt issuance, there is no practical method of issuing the bonds through a competitive sale. The issuance of variable rate debt would require engaging a bank to provide liquidity to COP holders and an underwriter/remarketing agent to reset the variable interest rates on a periodic basis. Staff anticipates selecting the bank and underwriter/remarketing agent based upon competitive processes. H:\depllagenda\FAHRIFAHR2005\0705\05-63.COP Issue.doc Page4 Book Page 64 • Negotiate professional services agreement with bond counsel July • Issue Underwriter/Remarketing Agent Request for Proposal • Issue Bank Request for Proposals • Select Underwriter/Remarketing Agent August • Select Bank • Develop legal documents • Develop disclosure documents (Official Statement) • Develop rating agency presentation September • Conduct rating agency presentations • Finalize debt service and cash flow modeling • Finalize legal and disclosure documents • Marketing and Sale of the COPs through a Negotiated Sale Process October • Execute $200 million Variable-Rate COP issue • Investment of Bond Proceeds • Debt Administration ALTERNATIVES 1. Conduct an RFP selection process for Bond Counsel. 2. Issue fixed rate COPs through a competitive process. CEQA FINDINGS NIA ATTACHMENTS None MW H:ldaptlagenda\FAHRIFAHR2005\0705\05-63_COP Issue.doc Book Page 65 Page5 Book Page 66 FA HR CO MMITTEE Meeting Date 7/13/05 AGE ND A REPORT Item Number FAHR05-64 Orange County Sanitation District FROM: Carol Beekman, Director of Public Affairs Originator: Jennifer Cabral, Senior Public Information Specialist SUBJECT: Public Affairs Strategic Plan FY 2005-06 GENERAL MANAGER'S RECOMMENDATION Receive and file the Public Affairs Strategic Plan FY 2005-06. SUMMARY To Bd. of Dir. 7/20/05 Item Number An integrated Public Affairs Strategic Plan assists in dealing effectively with the variety of audiences we serve. With the constant changes of a sophisticated environment in the Information Age, the Orange County Sanitation District (OCSD) needs to create and deliver clear and transparent communications to targeted audiences. One of the steps taken to deliver a clear message to our many audiences was our recent department and divisional name changes. The new, distinctive names more clearly exemplify who we are and what we do. The Public Affairs department, formerly known as the Communications and Administrative Services department, will continue to provide the means to a unified, clear and transparent system of information, both internally and externally, through the following three divisions. The Board Services division provides support to internal and external customers through: preparing and publishing agendas in accordance with legal requirements for meetings of the Board of Directors and recording actions taken by the Board of Directors; using accepted records management policies and procedures to maintain official OCSD records for public, private and governmental use; the timely response to Public Records Act requests; publishing notices required by law; and staffing and managing the mailroom services, meeting room services and the front desk operation. The Public Information Office provides services and tools, and implements programs to meet the communications needs of both internal and external audiences for OCSD. This includes planning and implementing media relations, Web site and Intranet content, community relations, construction outreach, community education and outreach, graphics development, presentation support, and publishing the monthly employee newsletter. The Legislative Advocacy and Grants division provides OCSD with a focused approach to analyze and lobby on behalf of proposed legislation that may impact the agency, actively pursue grant funding opportunities; and oversee grant contract administration. H:\dept\agenda\FAHR\FAHR2005\0705\05-64.PA 05-06 Strategic Pin.doc Revised: 06/04/03 Book Page 67 Page 1 It is the goal of the Public Affairs department to create a program that supports and promotes clear and transparent communications with all audiences and to promote the understanding of OCSD's mission to protect public health and the environment. The purpose of this Plan is to outline goals and objectives with corresponding tactics that will be implemented for both short and long-term results. The Plan is both comprehensive and achievable, with purpose and flexibility. These goals reflect not all, but some of the initiatives and programs that have been slated for the upcoming fiscal year. It was developed with the input from management and staff throughout the agency. These goals reflect our commitment to serving the needs of the agency, the community and our Board of Directors. Each goal relates to the Mission and Vision statements, Guiding Principles and Unifying Strategies that drive the agency. Objectives and tactics are grouped under each goal, with tactics to commence or be implemented in FY 2005-06. Objectives for FY 2005-06 Board Services Division 1. Board Information -Portray OCSD's image as visible and transparent to the public. Provide timely and complete information to the Board of Directors to enable effective decision making. 2. Records Management -Ensure the efficient and accurate management of OCSD's records and information to comply with all legal requirements throughout FY 2005-06. 3. Other Administrative Services -Ensure that other administrative services- conference room scheduling, meeting planning, reception and mail handling- support operational needs of OCSD throughout FY 2005-06. Public Information Office (listed in alphabetical order) 4. Biosolids -Provide transparent and effective two-way communications regarding OCSD's biosolids program and planning efforts through education and public discourse. 5. Community Education and Outreach -Identify and implement avenues for education and outreach within OCSD's service area to further environmental stewardship and promote career opportunities in water and wastewater fields. 6. Construction/Capital Improvement Program (CIP) Outreach -Develop and implement programs that can broaden construction community outreach and help targeted audiences understand the scope of the CIP and the 59 projects currently scheduled to either begin or continue in FY 2005-06. 7. External Communications -Provide clear, transparent information to our outside audiences through various activities and programs. H:\deptlagenda\FAHRIFAHR2005\0705\05-64.PA 05-06 Strategic Pin.doc Revised: 06104/03 Book Page 68 Page2 8. Groundwater Replenishment (GWR) System -Provide transparent and positive two-way communications regarding OCSD's and Orange County Water District's joint GWR System program throughout FY 2005-06. 9. Internal Communications -Further improve and expand communications to and between OCSD employees throughout FY 2005-06. 10. Unifying Strategies -Provide communications support to ensure understanding and employee participation in the Unifying Strategies throughout FY 2005-06. Legislative Advocacy and Grants Division 11. Legislative Advocacy -Support legislative advocacy efforts in Washington D.C. and California to secure OCSD's capital improvement program funding. Sponsor and lobby for local, state and federal legislation that positively impacts OCSD. 12. Grant Program Development and Compliance -Identify additional funding opportunites, submit grant applications and administer the grant program to ensure compliance. The budget for these projects was approved by the Board of Directors on June 23, 2005. PRIOR COMMITTEE/BOARD ACTIONS Communications and Administrative Services Strategic Plan FY 2004-05 presented to FAHR in July 2004. Received and filed by Board July 2004. Quarterly updates provided in October 2004 and April 2005. 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. [Zl Not applicable (information item) ADDITIONAL INFORMATION Highlights of Performance Results from the FY 2004-05 Plan: Board Services • Achieved 100 percent success rate in mailing Board agenda packages six calendar days prior to Board meetings. H:ldeptlagenda\FAHR\FAHR200510705\05-64.PA 05-06 Strategic Pin.doc Revised: 06/04103 Book Page 69 Page 3 • Achieved 80 percent success rate in generating Board minutes within 10 calendar days from the meeting date (other 20 percent were delayed due to holidays.) • Monitored and updated OCSD Records Retention Schedule and Policy and Procedures to reflect changes in laws, operations, and OCSD structure. This was presented to the Board in April 2005. • Coordinated semi-annual OCSD disposal of retention expired records in October 2004 and April 2005. • Fulfilled all 56 California Public Records Act requests within the required time frame with average response time of 24 hours. Public Information Office • Facilitated Biosolids Advisory Committee weekly meetings from October through February and their development of written recommendation for the Board on the long-term options for biosolids in Orange County, which was published March 16, 2005. • Distributed 57,038 informational pieces regarding specific projects within the CIP. • Community outreach construction survey in Costa Mesa reflected 80 percent satisfaction with outreach efforts. • Released 15 news releases. • Coordinated event to launch OCSD's ocean monitoring vessel. • Completed and presented research on Corporate Identity Program. • Developed a communications plan to support the Asset Management Program. • Conducted an employee communications assessment with a response rate of 65 percent. • Developed and transitioned from a printable version of the employee newsletter to an online version. • Participated in seven community outreach events (e.g., Children's Water Festival, first time participant at the Orange County Science and Engineering Fair, etc.) • Conducted plant tours for 836 people, an increase of 32 percent. • Implemented the Sewer Science Program and instructed two classes at Edison High School in Huntington Beach. • Developed and distributed FOG Communications Toolbox to 23 local agencies within our service area. • GWR System received four awards. Legislative Advocacy and Grants (this is a new division and was not included in last year's plan): • Legislative advocacy assisted in securing a STAG grant for $800,000 in federal funding. • Received, administered and closed out grants totaling $36,000. • Applied for FEMA funding for SARI Line repair work. • Continued administering the $250,000 SWRCB grant for the FOG Control Study. • Developed and passed a Grant Policy and Code of Ethics Resolution. ALTERNATIVES H:ldeptlagenda\FAHRIFAHR200510705\05-64.PA 05-06 Strategic Pin.doc Revised: 06/04/03 Page4 Book Page 70 N/A CEQA FINDINGS N/A ATTACHMENTS Public Affairs Strategic Plan FY 2005-06. H:ldeptlagenda\FAHRIFAHR2005\0705\05-64.PA 05-06 Strategic Pin.doc Revised: 06/04/03 Book Page 71 Page 5 Book Page 72 FAHR COMMITTEE Meeting Date To Bel. of Dir. 7/13/05 AGENDA REPORT Item Number Item Number FAHR0S-65 Orange County Sanitation District FROM: Michael D. White, Controller SUBJECT: SOLICIT PROPOSALS FOR INTERNAL AUDITING SERVICES FOR A THREE-YEAR PERIOD BEGINNING WITH FY 2005-06 GENERAL MANAGER'S RECOMMENDATION Authorize the General Manager to solicit proposals from outside auditing firms to serve as the District's internal auditors for a three year period beginning with fiscal year 2005- 06, to narrow the selection to three finalists, and to schedule interviews with selected members of the FAHR Committee. SUMMARY In September of 2002, the Committee established an internal audit function through the use of an external auditing firm. Reasons to support contracting out this function include: • True independence can be established by an outside auditing firm that reports directly to the Audit Committee (FAHR). • Staff believes that the concentrated efforts by outside professionals on a 300 hour engagement or on separate engagements totaling 300 hours annually would be more cost efficient then adding one or two full-time employees. In February 2004, Moss, Levy & Hartzheim was selected by the Committee through a competitive bid process to provide 300 hours of internal auditing services for fiscal year 2003-04 at a cost not to exceed $19,780. In September 2004, the Committee renewed the contract for 300 hours of internal auditing services for fiscal year 2004-05 at a cost not to exceed $19,260. Although Moss, Levy & Hartzheim had completed almost the entire 300 hours of contracted audit work in fiscal year 2003-04, no internal audit work was actually performed by them in fiscal year 2004-05 (and no cost was incurred by the District in fiscal year 2004-05). Staff is now requesting for Committee approval for the release of a request for proposal (RFP) to provide up to 300 hours of Internal Auditing Services from outside auditing firms for a three year period beginning with fiscal year 2005-06. The RFP will indicate that the District will reserve the right to terminate the agreement at any time if not satisfied with the services being provided. PRIOR COMMITTEE/BOARD ACTIONS H:ldepl\agenda\FAHRIFAHR2005\0705\05-65.lnternal Audit Svcs.doc Page 1 Book Page 73 In September 2002, the Committee established an internal audit function through the use of contracted external auditing services. In February 2004, Moss, Levy & Hartzheim was selected to service as the District's contracted internal auditors through June 30, 2004. In September 2004, the contract with Moss, Levy & Hartzheim was renewed for one additional year through June 30, 2005. PROJECT/CONTRACT COST SUMMARY The District currently has $38,450 budgeted for outside auditing services beyond the scope of the annual financial audit within the FY 2005-06 budget. If necessary, staff will request additional funding once an outside auditing firm has been selected, and the cost of the agreed upon scope of services has been determined. BUDGET IMPACT ~ This item has been budgeted. (Line item: ) D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. D Not applicable (information item) ALTERNATIVES Consider hiring additional full-time employees to serve on an internal audit team. ATTACHMENTS N/A MW H:\deptlagenda\FAHRIFAHR2005\0705\05-65Jnternal Audit Svcs.doc Page2 Book Page 74 FAHR COMMITTEE AGENDA REPORT Orange County Sanitation District FROM: Blake P. Anderson, General Manager Originator: Lisa L. Tomko, Director of Human Resources SUBJECT: ORANGE COUNTY SANITATION DISTRICT (OCSD) CLASSIFICATION AND PAY GRADE MODIFICATIONS GENERAL MANAGER'S RECOMMENDATION Meeting Date To Bel. of Dir. 07/13/05 07/20/05 Item Number Item Number FAHR05-66 Authorize the Director of Human Resources to make changes to existing vacant Orange County Sanitation District classification titles and to downgrade associated pay grades in support of the staffing plan. SUMMARY Class job titles and pay grades need to be modified when staffing requirements change. The need for job title modifications and pay grade downgrades will be consistent with current OCSD staffing plans and OCSD staffing needs and may result in revised job specifications as well. Any changes will not result in assignment to a higher pay grade or employee salary increases. Any changes will be reported in the Employment Status Report, currently provided monthly to the FAHR Committee. Any proposed staffing changes that would result in assignment to a classification with a higher- level pay grade or additional job classifications or additional positions within a classification that have an impact on the annual budget will continue to go through the budget approval process which remains subject to Board approval. PRIOR COMMITTEE/BOARD ACTIONS • FY 1967 -1968, Position Personnel Concept • FY 2002 -2003, Flexible Staffing (Classification Plan) PROJECT/CONTRACT COST SUMMARY N/A BUDGET IMPACT D This item has been budgeted. (Line item: ) D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. I:3:1 Not applicable Page 1 Book Page 75 ADDITIONAL INFORMATION Effective in the 1967 -1968 fiscal year, the Board of Directors authorized the inclusion of the Position Personnel concept in the OCSD salary regulations. This concept allowed for a degree of flexibility in the assignment of employees to job classifications and assisted in maintaining control of assignments as exercised by management. To facilitate the concept, positions and salary classifications were established on a departmental basis as defined in the OCSD organizational chart. Within each department, an authorized number of positions were established for each classification in the organizational line. Essentially, the concept provided for the opening of a lower-level position when a higher-level position could not be filled. Should there be a vacancy in an authorized position classification and qualified applicants were not available to fill the position, the position could be closed and an additional position opened in one of the lower-level classifications in that department's organizational line. There were NO provisions for opening additional higher-level positions. Effective in the 2002 -2003 fiscal year, the Board of Directors adopted the OCSD classification plan. The OCSD classification plan extended the Position Personnel concept under the heading of Flexible Staffing. Flexible Staffing allows OCSD to flexibly staff positions within any class series containing an entry and journey level position. Flexible staffing gives OCSD the flexibility to hire employees at the entry level or the journey level depending upon applicant qualifications and OCSD staffing needs. Positions budgeted at the journey level and encompassing the full range of journey level work could be filled at the entry level, unless the needs of OCSD require that the position be filled at the journey level. There were NO provisions for opening additional higher-level positions. Now OCSD is looking for authorization from the Board of Directors to take the Flexible Staffing concept a step further. At the new Board member orientation meeting held in February 2005, an informational presentation was provided to the Directors on how OCSD is planning for its workforce. As OCSD continues to hone its staffing processes, an opportunity for streamlining the staffing process that is in-line with the staffing and budget authorizations provided by the Board of Directors is being presented. If approved, the process allows for the Director of Human Resources to make modifications to a position title within a classification that are consistent with a change in job requirements and the associated knowledge, skills and abilities required to perform the job; furthermore, the Director of Human Resources would be authorized to assign such a position to a lower pay grade where warranted, based on application of appropriate administrative processes. The Director of Human resources has responsibility for position control in the organization and reports monthly on adherence to staffing authorization to the FAHR Committee in the monthly Employment Status Report. Actions associated with changing a class title and a downgrade to an associated pay grade would occur in open, budgeted positions only. There are NO provisions for assigning a classification to a higher-level pay grade. The following is an example of the proposed job title change with the associated pay grade downgrade: • Change Safety and Risk Management Specialist -Pay Grade 82 to Security and Emergency Planning Specialist -Pay Grade 80 Page 2 Book Page 76 ALTERNATIVES N/A CEQA FINDINGS N/A ATTACHMENTS N/A Page3 Book Page 77 Book Page 78 FAHR COMMITTEE Meeting Date To Bcf. of Dir. 07/13/05 AGENDA .REPORT Item Number Item Number FAHR0S-67 Orange County Sanitation District FROM: Lisa L. Tomko, Director of Human Resources Originator: Lisa Arosteguy, Human Resources Supervisor SUBJECT: ORANGE COUNTY SANITATION DISTRICT (OCSD) RETIREMENT BENEFIT PROGRAM GENERAL MANAGER'S RECOMMENDATION Orange County Sanitation District (OCSD) retirement benefit program (information only) SUMMARY Retirement benefits are provided to Orange County Sanitation District (OCSD) employees through the Orange County Employees Retirement System (OCERS). Sponsoring a retirement plan such as OCERS allows OCSD to align the benefits program with the strategic goals of the agency. Attracting and retaining a talented and successful workforce is critical to maintaining world-class leadership in wastewater and water resource management. At the June 8, 2005 meeting of the FAHR Committee, there was interest expressed in receiving additional information regarding specific retirement issues. These topics, noted below, are addressed in the Additional Information section of this report. 1. A review of the retirement program with particular focus on at-will employees, Executive Management Team (EMT). 2. The ability to receive more than 100% of salary in retirement especially as it relates to EMT members. 3. Whether or not the benefit is a lifetime benefit and its application to a surviving spouse or child. Membership in the retirement system is mandatory for all eligible employees; both employees and OCSD make contributions to OCERS. Eligible employees are all full- time employees and part-time employees working 20 hours or more per week. Interns are excluded from OCERS membership. At retirement, OCERS pays a monthly allowance (pension) to retiring employees. The allowance is based on a formula adopted by OCSD, average monthly earnings and years of service. The recently adopted formula constitutes a benefit of 2.5% at age 55. This means that an employee retiring at age 55 or older will receive 2.5% of his/her average salary for every year of service. For employees hired prior to September 21, 1979 (formerly known as Tier I employees) retirement benefit calculations are based on the highest consecutive 12 months; for employees hired after that date (formerly known as Tier II employees), the calculations are based on the highest consecutive 36 months. Page 1 Book Page 79 There are four benefit formulas available to OCERS' member agencies. These include the 2.5% at age 55 adopted by OCSD; 2.7% at age 55; 3.0% at age 60; and, the formula previously in effect for all OCERS agencies, approximately 2% at age 57 or 61, depending on hire date. PRIOR COMMITTEE/BOARD ACTIONS In 2003, the Board of Directors approved the provisions of OCSD Memorandums of Understanding for the new retirement benefit formula to become effective July 1, 2005. The new formula was approved based on a sharing of costs between employees and OCSD. PROJECT/CONTRACT COST SUMMARY The 2005-2006 budgeted cost for retirement benefits is $9,398,700 which represents 17% of payroll and an approximate cost increase to OCSD from 2004-2005 of $1,435,900. In addition, employee contribution rates increased to a range of 7.64% to 13.31% of salary depending on age when entering the OCERS system. BUDGET IMPACT lZI This item has been budgeted. (Line item: ) D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. D Not applicable (information item) ADDITIONAL INFORMATION Organizational Ba~gaining Units OCERS membership is administered as an organizational level benefit with no differentiation across the agency. OCSD organizational bargaining units include the following (Item #1 ): Employees represented by: • Orange County Employees Association (OCEA) o Administrative and Clerical Unit o Engineering Unit o Technical Services Unit •· International Union of Operating Engineers Local 501 (501) • Supervisory/Professional/Management Team (SPMT) o Supervisor Group o Professional Group Unrepresented employees: • Executive Management T earn (EMT) • Managers • Confidential employees • Part-time employees Page 2 Book Page 80 Social Security Employees of OCSD do not contribute toward, or receive credit for, Social Security. Employees who have worked for other employers who participated in Social Security may find at retirement that enough service credits were earned from other employment to qualify for benefits under Social Security. However, benefits may be reduced to comply with federal law. Maximum Benefit Limits Federal tax laws set limits on the amount of retirement benefits an employee can receive from a qualified pension plan such as OCERS. These limits affect certain highly paid and long-service employees. The limitation for 2005 is $170,000 per year, or less than that amount for employees who retire prior to age 62. If the pension benefit is over the $170,000 limit, then the difference between the pension amount that was earned, and the amount that may legally be paid by OCERS, is legally required to be funded by the employer through a Replacement Benefits Plan. Such a plan was adopted by the Board in June 2005. Contributions to Retirement System Employee contribution rates are based on age at entry into the OCERS system and range from 7.64% to 13.50% of an employee's salary. OCSD contributes 3.50% of an employee's share. In addition, the employer contribution rate is 15.31 %. The combination of employee and employer contributions and investment earnings pays for the benefits a retired member receives from OCERS. Service Credits Service credits for retirement purposes are earned for the hours worked as an OCERS member. Hours are then converted into years of service. In general, "service" means uninterrupted employment; however, certain circumstances, such as leaves-of-absence of less than one year duration, are not considered a break in the continuity of service. In addition, OCERS has established reciprocity with a number of other public agency retirement systems. Reciprocal benefits are designed to allow employees who transfer between retirement systems to preserve and enhance retirement benefits. Retirement Eligibility An employee is eligible to retire by meeting the following minimum age and service requirements: • Any part-time or full-time member age 50 or over with 10 or more years of service. • Any member at any age with 30 or more years of service. • A part-time employee age 55 or older with 5 years of service and at least 10 years of active employment under OCERS. • Age 70 and over regardless of years of service. Page 3 Book Page 81 Service Retirement Allowance Retirement allowances are calculated on years of service, average monthly compensation and the 2.5% at age 55 formula. The maximum monthly allowance an employee is eligible to receive cannot exceed 100% of his/her average monthly compensation. To determine the average monthly compensation, a number of Compensation Earnable elements may be considered. The main element is the employee's base salary; however, additional items such as shift differential and stand- by pay may be included, as well as vacation, sick leave and personal leave that has been earned but not used during the 12 or 36 month reporting period. Additional items may also apply depending on the governing Memorandum of Understanding for an employee's bargaining unit. Retirement benefits under OCERS are based on years of service, final average salary and a formula that includes an age factor. In order to achieve a retirement benefit that is equal to 100% of salary, an employee would need to be at least 55 years of age and have 40 years of service. Six of the current eight EMT members have fewer than ten years of service. It is not likely that any EMT member will reach a 100% benefit level (Item #2). Retirees receive a monthly lifetime benefit. Several options exist for providing survivor benefits. The most commonly selected option provides the retiree with the maximum retirement pension and a 60% continuation allowance to a surviving spouse or child (Item #3). Maximum Compensation Limitation The Internal Revenue Code, Section 401 (a) (17), places a limit on the amount of salary that OCERS can consider when calculating a member's benefit. The Compensation Limit for 2005 is $205,000. Cost of Living Adjustment Retirees receive an annual cost-of-living adjustment that is determined by the average annual increase in the Consumer Price Index. The maximum adjustment is limited by the retirement board to 3% per year. Assembly Constitutional Amendment 5 - Richman Bill ACA 5, introduced by Assembly member Keith Richman in December 2004, is California's first Defined Contribution Plan proposal. It requires that any person hired by a public agency on or after July 1, 2007, may only enroll in a Defined Contribution Retirement Plan and is prohibited from enrolling in a Defined Benefit Retirement Plan. The bill would also allow current public employees to transfer money from existing defined benefit plans to the employer-sponsored defined contribution plans offered to new employees. The bill generated much interest and activity when introduced; however, it did not pass the Assembly Committee on Public Employees, Retirement and Social Security. ACA 5 is still officially active; however, it is unlikely that it will be presented to voters in the near future. Page4 Book Page 82 Other Agency Comparison The following table reflects benefit formulas and contribution rates for OCSD's comparison agencies and other cities in the seNice area. Retirement Benefit Agency System Formula Orange County Sanitation District OCERS 2.5%@55 County of Oranoe OCERS 2.7% ta> 55 City of Mission Viejo PERS 2.7%@55 OC Fire Authority OCERS 2.7%@55 City of Orange PERS 2.7%@55 City of Irvine PERS 2.7%@55 East Bay Municipal Utility Dist EBMUDERS 2.6%@ 62 City of Rancho Santa Maroarita OCERS 2.5%@55 Eastern Municipal Water District PERS 2.5%@ 55* City of Los Angeles LAGERS 2.2% County L. A Sanitation District PERS 2.0%@ 55 Irvine Ranch Water District PERS 2.0%@ 55 Central Contra Costa Sanitary CCC County 2.0%@ 55 City of Garden Grove PERS 2.0%@ 55 City of Anaheim PERS 2.0%@ 55 City of San Diego SDCERS 2.0%@ 55 City of Huntinoton Beach PERS 2.0%@55 City of Aliso Viejo PERS 2.0%@ 55 City of Brea PERS 2.0%@ 55 City of Buena Park PERS 2.0%@ 55 City of Costa Mesa PERS 2.0%@55 City of Cypress PERS 2.0%@ 55 City of Dana Point PERS 2.0%@ 55 City of Fountain Valley PERS 2.0%@ 55 City of Fullerton PERS 2.0%@ 55 City of La Habra PERS 2.0%@ 55 City of Placentia PERS 2.0% ta> 55 City of San Clemente PERS 2.0%@ 55 City of Seal Beach PERS 2.0%@55 City of Tustin PERS 2.0%@ 55 * Approval for new EMWD benefit formula expected by August 2005. ALTERNATIVES N/A CEQA FINDINGS N/A ATTACHMENTS N/A Page 5 Book Page 83 Employer Rate Employee Rate 15.3% 4.1%-10.4% + 3.5% -OCSD paid 14.8% 7.6%-13.9% 15.0% 8.0% -City paid 15.7% 7.5%-13.5% 12.3% 8.0% 18.8% 2.6% + 5.5% -City paid 24.8% 6.6% 4.7% Same range as OCSD 3.6% 1.0% + 7.0% -Dist. paid 18.8% 6.0% 7.0% 0% 10.2% 7.9% -IRWD paid 36.6% 2.8% 10.6% 7.0% 8.6% 7.0% -City paid Unavailable Unavailable Unavailable 7.0% -City paid 10.4% 7.0% -City paid 7.5% 6.2% -City paid 7.1% 7.0% -City paid 11 .2% 7.0%-City paid 9.5% 7.0% -City paid 14.0% 7.0% -City paid 10.4% 7.0% 9.2% 0% 11.8% 7.0% -City paid 6.1% .005% + 7.0% -City paid 9.9% 7.0% -City paid 5.6% 7.0% 4.5% 7.0% -City paid ORANGE COUNTY SANITATION DISTRICT (714) 962-2411 www.ocsd.com Mailing Address: P.O. Box 8127 Fountain Valley, California 92728-8127 Street Address: 10844 Ellis Avenue Fountain Valley, California 92708-7018 FAHR COMMITTEE Meeting Date To Bd. of Dir. 7/13/05 7/20/05 AGENDA REPORT Item Number Item Number FAHR05-57 Orange County Sanitation District FROM: Michael D. White, Controller SUBJECT: TREASURER'S REPORT FOR THE MONTH OF June 2005 GENERAL MANAGER'S RECOMMENDATION Receive and file Treasurer's Report for the month of June 2005. SUMMARY Pacific Investment Management Co. (PIMCO), serves as the District's professional external money manager, and Mellon Trust serves as the District's third-party custodian bank for the investment program. Some funds are also deposited in the State of California Local Agency Investment Fund for liquidity. The District's Investment Policy, adopted by the Board, includes reporting requirements as listed down the left most column of the attached PIMCO Monthly Report for the "Liquid Operating Monies" and for the "Long-Term Operating Monies" portfolios. The District's external money manager is operating in compliance with the requirements of the Investment Policy. The portfolio contains no reverse repurchase agreements. As shown on page 2 of the attached PIMCO's Performance Monitoring and Reporting Report for the Long-Term Operating Monies, there is 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. C:\Documents and Settings\kawai\Loca\ Settings\Temporary Internet Fi\es\OLK72\Agenda Report_TREASRPT071305,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. IZ] 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 tables on the following page details the book balances of the District's investment accounts at month-end and a summary of the Cost of Funds on debt issues. A graphical representation of month-end balances is shown on the attached bar chart. C:\Documents and Settings\kawai\Local Settings\Temporary Internet Files\OLK72\Agenda Report_TREASRPT071305.doc Page2 Book Balances Estimated Investment Accounts June 30, 2005 Yield(%) State of Calif. LAIF $ 30,332,936 2.97 Union Bank Checking Account 962,305 2.77(1) Union Bank Overnight Sweep Account 8,489,000 2.34 PIMCO -Short-term Portfolio 38,860,995 3.12 PIMCO -Long-term Portfolio 339,301,397 4.13 Petty Cash 4000 N/A TOTAL $4:1Z 950 633 3.92 Debt Service Reserves w/Trustees $63 952 Z98 3.94 (1) This is the annualized yield for the month of May. The June annualized rate was not available as of the date of this report. Cost of Funds Issue Description 1992 Syn Fixed 1993 Syn Fixed 2000VRDO 2003 Fixed TOTAL Weighted Avg Cost of Funds ALTERNATIVES N/A CEQA FINDINGS N/A ATTACHMENTS Annual Outstanding Interest COP Balance Rate(%) $ 100,275,000 5.55 42,050,000 4.56 199,000,000 2.23 280,000,000 5.15 $62:1 325 QQQ 4.24 1. Graph of Monthly Investment Balances by Type -Last Six Months 2. Investment Transactions and Balances in the State Local Agency Investment Fund 3. PIMCO Monthly Investment Recap & Yield Analysis Report 4. PIMCO Performance Monitoring Report -Liquid Operating Monies 5. PIMCO Performance Monitoring Report-Long-Term Operating Monies 6. Mellon Trust Asset Summary by Asset Type with Sectors -Liquid Operating Monies 7. Mellon Trust Asset Summary by Asset Type with Sectors -L-T Operating Monies 8. Mellon Trust Yield Analysis Report 9. Mellon Trust Asset Detail -Consolidated 10. Mellon Trust Transaction Detail -Consolidated MW:bg C:\Documenls and Settings\kawai\Local Settings\Temporary Internet Files\OLK72\Agenda Report_TREASRPT071305.doc Page 3 Balance June 1, 2005 Deposits: 6/30/2005 Total Deposits Withdrawals: 6/2/2005 6/8/2005 6/17/2005 6/22/2005 6/23/2005 Orange County Sanitation District Investment Transactions and Balances in the State of California Local Agency Investment Fund June 30, 2005 Par Value Book Value Market Value $26,032,936 $26,032,936 $26,032,936 25,800,000 25,800,000 25,800,000 25,800,000 25,800,000 25,800,000 (6,300,000) (6,300,000) (6,300,000) (2,600,000) (2,600,000) (2,600,000) (4,900,000) (4,900,000) (4,900,000} (2,000,000) (2,000,000) (2,000,000) (5,700,000) (5,700,000) (5,700,000) Total Withdrawels (21,500,000) (21,500,000) (21,500,000) Balance June 30, 2005 $30,332,936 $30,332,936 $30,332,936 Rate Yield 2.97 2.97 2.97 2.97 2.97 2.97 2.97 2.97 2.97 2.97 2.97 2.97 2.97 2.97 2.97 2.97 2.97 2.97 2.97 2.97 PIM C 0 July 11, 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 Jwie in addition to an analysis of the strategies undertaken in the Orange County Sanitation District's Long-Tenn 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: The benchmark I 0~year· Treasury yield endured ·a volatile June, ·ending the month at 3.91 percent, 7 basis points lower than at the beginning of the month. U.S. Treasury yields rose sharply the first two weeks of the month on signs of a strengthening U.S. economy: rising unit labor costs signaled inflationary pressures, and the U.S. trade deficit widened less than expected to $57 billion in Apri~ suggesting that the U.S. trade deficit may be stabilizing. Greenspan's comments that the d:Onomy remains "on a reasonably firm footing'' fueled further speculation that the Fed will continue to lift rates as the economy expands. Intra- month, the 10-year Treasury hit the 4.10 percent threshold only to reverse course over the remainder of June as slower global economic growth, especially in Europe, threatened to reduce demand for U.S. exports. Oil prices surpac;sed $60 a barrel and unexpected declines in business equipment and durable goods orders implied a slower U.S. economy, providing further downward pressure on Treasuiy yields. Despjte a decline in the unemployment rate from 5.2 to 5.1 percent, the economy created only 78,000 new jobs in May, meeting less than half of the consensus estimate of 175,000 jobs. On the inflation front, the Core PC:E Deflator gained 0.2 percent in May, increasing the annual rate to I .6 percent. Upwardly revised first quarter GDP growth was 3.8 percent, matching the pace of growth in the prior quarter. FOMC policy makers ended June by raising the benchmark Fed Funds rate another 25 basis points to 3.25 percent; the Fed's statement reiterated a plan to carry out future rate increases at a ''measured pace" as longer-tenn inflation expectations remain "well contained." The bond market rallied for a third straight month in June, as most fixed income sectors posted positive returns. U.S. Treasuries gained 0.61 percent over the month, outpacing the 0.14 percent return of the Mr. Mike White, CPA Orange County Sanitation District July 11, 2005 Page2 S&P 500. Yields on shorter maturity Treasuries rose whereas yields on interu1ediate to long maturities declined, continuing the trend of a flattening U.S. yield curve. Mortgage-backed securities perfom1ed well, returning 0.36 percent and outperfonning Treasuries by 8 basis points after adjusting for duration. Corporate bonds also had a strong month as the Lehman Credit Index returned 0.79 percent, outperforming Treasuries by 9 basis points after adjusting for duration. Lower quality inveslment-grade corporates outperformed higher quality issues, as BBB-rated bonds lead Treasuries by l0 basis points on a duration-adjusted basis. The Lehman U.S. TIPS Index returned 0.43 percent in June but lagged comparable nominal Treasuries for the month as real yields slightly rose. Treasury yield changes during the month of June are summarized as follows: • 3-mmih bills: +18 basis points to 3.12% • 6-month bills: +22 basis points to 3.33% • 2-year notes: +6 basis points to 3.63% • 5-year notes: -4 basis points to 3.70% • IO-year notes: -7 basis points to 3.91% • 30-year notes: -13 basis points to 4.19% Performance Attribution: Long-Term Portfolio The Long-Term portfolio that PIMCO manages on behalf of Orange County Sanitation District returned 0.35% on a total return basis for . the month 0f June outperfomring the Merrill Lynch +-5 year Government Corporate Index by 5 basis points. Toe following points summarize returns for the month ended June 30: • The Long-Tenn portfolio outperfonned the benchmark by 5 basis points for the month. • For the twelve-month period, the Long-Tenn portfolio returned 3.36%, outperforming tte benchmark by 47 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 perfonnance. • An undeiweight exposure to corporates was negative for performance, as corporates outperformed Treasuries on a duration-adjusted basis. • Exposure to mortgage-backed securities was positive for performance as the sector outperformed Treasuries on a duration-adjusted basis. • Substituting Treasury Inflation Protected Securities for nominal Treasuries was negative for perfonnance as TIPS undeIJ>erformed their nominal cOlmterparts during the month. Mr. Mike White, CPA Orange County Sanitation District Liquid Portfolio July 11, 2005 Page3 The Liquid portfolio that PIMCO manages on behalf of Orange County Sanitation District generated a total return of 0.24% during the month of June, perfonning in line with the 3-month Treasury Bill Index. The following points summarize returns for the period ending June 30: • The Liquid portfolio performed in line with the benchmark for the month. • For the twelve-month period, the Liquid portfolio returned 2.15%, outperfonning the benchmark by 1 I basis points. • Use of higher yielding securities such as commercial paper and short-term notes contributed to performance. Outlook a11d Strategv: Over the past few years PIMCO's Secular Outlook has described the tension between disinflation and reflation. The forces of disinflation will be stronger over the next several years, which will foster an environment of bw and even declining global interest rates. A global free trade-based economy with a surfeit of cheap Asian labor, along with waning fiscal and monetary stimulus, will suppress inflation. U.S. inflation is not likely to exceed 3 percent even if already low interest rates fall further. The same applies for Euroland and Japan, with potential for 1-2 percent CPI throughout much of the global economy over the next five years. This environment will be favorable for high quality bonds. A range of 3-4½ percent for the yield on ten- year Treasuries should prevail over the next several years. Yields on Euroland bonds will be slightly lower due to the region's structural economic problems, dismflationary incorporation of new Central arid.Eastern European entrants and growth-inhibiting demographics. Important aspects of our secular outlook are: • Bretton Woods II Has Life -Under the so-called Bretton Woods lJ arrangement, Asian central banks invest their savings in Treasuries to prevent their currencies from appreciating relative to the U.S. dollar, thereby helping finance the U.S. trade deficit. While a substantial Chinese currency revaluation or an erosion of U.S. consumer confidence could undennine BW II, mutual self-interest should sustain this de facto monetary union for the time being. It provides Asian producers with cheap, export-stimulating currencies. U.S. consumers, meanwhile, obtain low cost imports and enjoy interest rates perhaps 100 basis points lower than would otherwise be the case. • The "Pump" Is Near Its Limit -Over the past five years falling real interest rates associated with BW II and the Federal Reserve's accommodative monetary policy have pumped up valuations of risky assets. These gains stand in contrast to prior periods when asset price appreciation was generated by surging productivity or advances in technology. The effect of the Pump has been to create wealth that has sustained U.S. consumption and kept the global economy going. The Pump is best exemplified by the yield on 5-year TIPS, which has fallen from 4 percent five years ago to 1 percent today. If 3 percent inflation is all the U.S. has gotten from the Pump, it seems unlikely that we will get more inflation even if real yields fall funher. • Low Returns From Riskier Assets -Price inflation in real estate, stocks, corporate bonds and other riskier assets can only be pumped a little further by monetary policy and BW II given already Mr. Mike White, CPA Orange County Sanitation District July 11, 2005 Page4 low yield levels. PTMCO is not forecasting a collapse in home values or the stock market, but we believe that we are surely heading down the home stretch of the U.S. race to prosperity based on asset price appreciation. "' Leveraged Investments Pose Systemic Risk -Abundant liquidity in financial markets associated with the Pump has allowed for increased leverage and also quicker exits from investment strategies. Leverage throughout the global financial system will pose a danger to risk-oriented markets such as stocks, high yield bonds, complex debt structures such as collateralized debt obligations (CbOs) and real estate as owners realize that their returns can no longer be pumped up anywhere near double-digit expectations. An unwinding of leveraged structures, which could occur even amid economic growth, would roil financial markets and shake confidence. • Geopolitical Risks -Flash points around the world include North Korea, Taiwan and Iran. An eruption in any of these areas, while impossible to forecast, could undelIDine the economic stability provided by BW 11. 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 st.ability unravels. Key strategies will include: • Duration and Yield Curve -We will maintain tactical flexibility in a low interest rate world. When rates are near the high end of our forecasted range, we will extend duration moderately above the benchmark to capture the benefits of continued disinflation. As rates fall to the lower end of the range, our duration_ targets wi II be shortened. While maintaining a neutral yield curve posture overall, we will continue to take selective -longer maturity exposille-in 'HPS, as ·high quality, longer maturity bonds will be attractive in a disinflationary environment. Longer maturity TIPS should continue to benefit from low and stable real yields. Moreover, the asset class still provides relatively cheap protection against inflation • Emphasize Mortgage Security Selection -Mortgage-backed bonds will remain an important structural holding because of their current high credit quality and yield advantage versus Treasuries. Given full valuations in this sector, PJMCO seeks to add value via coupon and security selection. • Corporate Strategy-Corporate credit premiums overall remain near historic lows, and disinflation will not be friendly to corporate revenues. PIMCO will continue to underweight thls sector, though we may opportunistically add to our holdings if credit prcmiwns widen for select issues. 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 June 30, 2005 Total Return Account -203 Market Value Book Value Yield to Maturity Short Term Account -603 Market Value Book Value Yield to Maturity With Accrued Interest 342, 792,964 343,107,028 4.13 With Accrued Interest 39,070,033 38,980,010 3.12 July 11, 2005 Page8 Without Accrued ln1en:sl 339,333,900 339,647,963 4.17 Without Accrued Interest 38,952,157 38,862,133 3.13 MONTHLY REPORT ORANGE COUNTY SANITATION DISTRICT INVESTMENT MANAGEMENT PROGRAM PIMCO'S PERFORMANCE MONITORING & REPORTING (for the month ended 30 June 2005) Liquid Operating Monies (603) 15.1.1 PORTFOLIO COST AND MARKET VALUE Current Market Value Estimate: • PIMCO • Mellon Historical Cost: • PTMCO • Mellon 15.1.2 MODIFIED DURATION Of Portfolio: Oflndex: 15.1.3 1 % INTEREST RATE CHANGE Dollar Impact (gain/loss) of 1 % Change: 15.1.4 REVERSE REPOS % of Portfolio in Reverse Repos: (see attached schedule) 15.1.5 PORTFOLIO MATURITY % of Portfolio Maturing within 90 days: 15.1.6 PORTFOLIO QUALITY Average Portfolio Credit Quality: 15.1.7 SECURITIES BELOW "A" RATING % of Portfolio Below "A": 15.1.8 INVESTMENT POLICY COMPLIANCE "In Compliance" 15.1.9 PORTFOLIO PERFORMANCE Total Rate of Return(%) by Period: 1 Month: 3 Months: 12 Months: Fiscal Year-to-Date: Commentary • The Liquid portfolio performed in line with the benchmark for the month, and outperformed the benchmark by 11 basis points fiscal year-to-date • PIMCO's emphasis on higher yielding securities such as commercial paper and short-term notes contributed to performance. C:\Documents and Settings\crnne\Local Settings\Temporary Internet Ftle8\OLK3\LIQ0800-05--06 RPI.doc Page 1 of 1 $39,070,033 $39,070,872 $38,980,010 $39,070,812 0.15 0.20 $58,605 0% 71% "AAA" 0% Yes Portfolio Index 0.24 0.24 0.72 0.69 2.15 2.04 2.15 2.04 MONTHLY REPORT ORANGE COUNTY SANITATION DISTRICT INVESTMENT MANAGEMENT PROGRAM PIMCO'S PERFORMANCE MONITORING & REPORTING (for the month ended 30 June 2005) Long-Term Operating Monies (203) 15.1.1 PORTFOLIO COST AND MARKET VALUE Current Market Value Estimate: • PIMCO • Mellon Historical Cost: • PIMCO • Mellon 15.1.2 MODIFIED DURATION Of Portfolio: Of Index: 15.1.3 1% INTEREST RATE CHANGE Dollar Impact (gain/loss) of 1 % Change: 15.1.4 REVERSE REPOS % of Portfolio in Reverse Repos: (see attached schedule) 15.1.5 PORTFOLIO MATURITY % of Portfolio Maturing within 90 davs: 15.1.6 PORTFOLIO QUALITY Average Portfolio Credit Quality: 15.1.7 SECURITIES BELOW "A" RATING % of Portfolio Below "A": 15.1.8 INVESTMENT POLICY COMPLIANCE "In Compliance" 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 47 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 corporntes was negative for performance, as corporates outperformed Treasuries on a duration-adjusted basis, • Exposure to mortgage-backed securities was positive for performance as the sector outperformed Treasuries on a duration-adjusted basis • Substituting Treasury Inflation Protected Securities for nominal Treasuries was negative for performance as TIPS underperformed their nominal counterparts during the month. Page 1 of2 $342,792,964 $342,777,280 $343,107,028 $344,832,433 2.27 2.41 $7,781,400 0% 4% AAA 0% No* Portfolio Index 0.35 0.30 1.75 1.67 3.36 2.89 3.36 2.89 *Compliance Issues: MONTHLY REPORT ORANGE COUNTY SANITATION DISTRICT INVESTMENT MANAGEMENT PROGRAM PIMCO'S PERFORMANCE MONITORING & REPORTING (for the month ended 30 June 2005) $1 ,600,000 par of United Airlines (UAL) Pass-Through 200 1-1-C (Enhanced Equipment Trust Certificate (EETC') -909317BC2), 6.831% coupon, Page 2 of2 3/01/20 IO maturity, representing 0.47% of the portfolio holdings on a par basis was purchased on 8/10/2001 ; and subsequently downgraded by Moody·s from A3 to BA I (on 9/ 18/200 I) and S&P from A-to BBB (on 9120/200 I). The security was further downgraded by Moody's from BA I to. BA3 (on 12/21 /200 I) 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 Lo B, and shortly thereafter on December 9, 2002, downgraded the issue one notch funher to 8-. On August 7, 2003, S&P downgraded the issue to CCC+, while Moody's fo llowed suit on August 28, 2003 with a downgrade to CA. Both rating agencies have since withdrnwn 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. On Friday July 1, UAL stated that it is on track to emerge from Chapter 11 in the fall. The carrier said it intends to file a plan of reorganization around August I. UAL requested a hearing in September to approve its disclosure statement, a document that lays out the current state of the company's business and its financial model. The carrier asked the court to fix August 29 as the record date for determining the holders of stocks, bonds, debentures, notes and other securities who are entitled to receive ballots and materials necessary for voting on the reorganization plan. PIMCO continues to negotiate with United on our holdings and currently leads an ad hoc committee. This has been an extremely complicated effort due to the complex nature ofUnited's bankruptcy. These negotiations have required PIMCO's analysts access to non-public infonnation and therefore sharing them results in parties becoming restricted. In light of this extremely complicated bankruptcy, PIMCO continues to strive to act in the most prudent manner to obtain maximum recovery. Split Rated Securities Still In Compliance: The District's investment policy requires a minimum rating of A3 by Moody's or A-by S&P, with at least a BBB in the event of a split rating. $1,750,000 par of Virginia Electric Power NT securities ( cusip 927804EN0), maturing on March 31, 2006, represents 0.51 % 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. C:\Doc11ments n11d Setti,rgs\crane\Local Settings\Temporary lntemel Files\OLK3\L-T0B00-05-06 RPT.doc LIQUID OPER-PIMCO-OCSF07511102 Description CASH & CASH EQUIVALENTS U.S. DOLLAR INTEREST COMMERCIAL PAPER -DISCOUNT FED HM LOAN BNK -LESS THAN 1 YR FEDERAL HOME LOAN MORTGAGE -LESS THAN 1 FNMA ISSUES -LESS THAN 1 YR MUTUAL FUNDS TREASURY BILLS -LESS THAN 1 YR U.S. DOLLAR CASH & CASH EQUIVALENTS FIXED INCOME SECURITIES U.S. DOLLAR BANKING & FINANCE TOTAL ASSETS -BASE: Asset Summary by Asset Type with Sectors 6/30/2005 Cost Shares Par Base 209,877.01 2,800,000.000 2,778,595.00 6,100,000.000 6,062,253.42 4,000,000.000 3,956,401.13 10,700,000.000 10,577,387.77 1,110,656.310 1,110,656.31 11,000,000.000 10,875,701.36 35,710,656.310 35,570,872.00 35,710,656.310 35,570,872.00 3,500,000.000 3,499,940.20 Report ID: GL8251 Base Currency: USD Alternate Base Currency: Exchange Rate: Status: FINAL Market Value Base % of Total Net Unrealized Gain/Loss Base 209,877.01 0.54% 0.00 2,778,595.00 7.11% 0.00 6,062,253.42 15.52% 0.00 3,956,401.13 10.13% 0.00 10,577,387.77 27.07% 0.00 1,110,656.31 2.84% 0.00 10,875,701.36 27.84% 0.00 35,570,872.00 91.04% 0 .00 35,570,872.00 91.04% 0.00 3,500,000.00 8.96% 59.80 39,210,656.310 39,070,812.20 39,070,872.00 100.00% 59.80 1 Workbench LONG TERM OPER-PIMCO -OCSF07522202 Description CASH & CASH EQUIVALENTS U.S. DOLLAR PENDING TRADES INTEREST CERTIFICATES OF DEPOSIT -DOMESTIC MUTUAL FUNDS U.S. DOLLAR CASH & CASH EQUIVALENTS FIXED INCOME SECURITIES U.S. DOLLAR ABS -AIRPLANE RECEIVABLES ABS -HOME EQUITY BANKING & FINANCE COLLATERALIZED MORTGAGE OBLIGATION FHLMC MULTICLASS FHLMC POOLS FNMA POOLS GNMA MULTI FAMILY POOLS GNMA SINGLE FAMILY POOLS INDUSTRIAL INFLATION INDEXED SECURITIES PVT PLACEMENTS -MORE THN lYR U.S. AGENCIES U.S. GOVERNMENTS UTILITY -ELECTRIC U.S. DOLLAR FIXED INCOME SECURITIES TOTAL ASSETS -BASE: Asset Summary by Asset Type with Sectors 6/30/2005 Cost Shares Par Base -72,891,745.10 3,475,883.41 10,000,000.000 9,995,500.00 1,486,739.460 1,486,739.46 11,486,739.460 -57,933,622.23 11,486,739.460 -57,933,622.23 1,600,000.000 1,600,000.00 443,416.800 443,416.80 44,150,000.000 44,241,571.00 1,625,857.810 1,625,857.81 730,909.940 731,688.60 50,760.810 49,523.51 56,788,776.080 57,497,631.85 3,015,840.960 3,006,148.54 512,217.650 537,054.43 2,000,000.000 1,998,188.00 25,594,309.860 26,140,659.55 752,000.000 826,199.84 18,513,599.870 18,317,891.77 240,194,342.070 242,606,383.27 3,150,000.000 3,143,840.00 399,122,031.850 402,766,054.97 399,122,031.850 402,766,054.97 410,608,771.310 344,832,432.74 l Report ID: GL825 l Base Currency: USD Alternate Base Currency: Exchange Rate: Status: FINAL Market Value Base -72,891,745.10 3,475,883.41 9,995,500.00 1,486,739.46 -57,933,622.23 -57,933,622.23 470,000.00 443,824.74 44,239,276.14 1,723,490.57 731,523.90 52,370.94 57,471,959.21 3,054,378.87 535,675.21 1,999,680.00 27,113,549.88 826,199.84 18,545,167.53 240,331,892.20 3,171,913.50 400,710,902.53 400,710,902.53 342,777,280.30 % of Total -21.27% 1.01% 2.92% 0.43% -16.90% -16.90% 0.14% 0.13% 12.91% 0.50% 0.21% 0.02% 16.77% 0.89% 0.16% 0.58% 7.91% 0.24% 5.41% 70.11% 0.93% 116.90% 116.90% 100.00% Net Unrealized Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 -1,130,000.00 407.94 -2,294.86 97,632.76 -164.70 2,847.43 -25,672.64 48,230.33 -1,379.22 1,492.00 972,890.33 0.00 227,275.76 -2,274,491.07 28,073.50 -2,055,152.44 -2,055, 152.44 -2,055, 152.44 Workbench YLDANAL YIELD ANALYSIS PAGE 1 OCSF07511102 2005/06no RUN DATE 07 /07 /05 DISTRICT: LIQUID OPERATING RUN TIME 09.40.07 --·--·---- PAR VALUE YTM AT CURR.ENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE "1<IUCJ;;T VALUE 'II TOTAL ----------------------------------------------·----------------------------·-------------------- CASH & CASH EQUIVALENTS 3,eoo,ooo.oo FEDERAL HOME LN BK CONS DISC N .ooo .000 P-1 99.499 3,780,974.14 10.69 313385JL1 MAT 07/22/2005 A-1+ 3,780,974.14 9.73 2,300,000.00 FEDERAL HOME LN BK CONS DISC .ooo .ooo P-1 99.186 2,281,279.28 6.45 313385LM6 MAT 9/9/2005 A-1+ 2,281,279.28 5.87 1,300,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .ooo P-1 99.245 1,290,180.66 3.64 313397KEO MAT 08/09/2005 A-1+ 1,290,180.66 3.32 100,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .ooo P-1 99.194 694,355,47 1.96 313397LJB MAT 09/06/2005 A-1+ 694,355.47 1.79 2,000,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .ooo P-1 99 .178 1,983,569.44 5.60 313397LRO 0.0001 09/13/2005 DD 09/13/04 A-1+ 1,983,569.44 5.10 2,000,000.00 FEDERAL HOME LN MTG CORP DISC ,000 .ooo P-1 98.593 1,971,865.00 5.57 313397NS6 MAT 11/01/2005 A-1+ 1,971,865.00 5,07 1,000,000.00 FEDERAL NATL MTG ASSN DISC .ooo .ooo P-1 98.846 988,461.67 2.79 313589JW4 08/01/2005 A-1+ 988,461.67 2.54 1,200,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo .ooo P-1 99.178 1,190,138.33 3.36 313589KD4 MAT 08/08/2005 A-1+ 1,190,138.33 3.06 2,500,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo .ooo P-1 99.221 2,480,536,11 7.01 313589KF9 MAT 08/10/2005 A-1+ 2,480,536.11 6,38 4,000,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo .ooo P-1 98.367 3,934,682.22 11.12 313589NL3 MAT 10/26/2005 A-1+ 3,934,682.22 10.13 1,800,000.00 GENiRAL ELEC CAP DISC .ooo .ooo P-1 99.240 1,786,320,00 5.05 36959HUB1 07/11/2005 1,786,320.00 4 .60 1,000,000.00 GENERAL ELEC CAP DISC .ooo .ooo P-1 99.227 992,275.00 2.80 36959BUR6 07/25/2005 992,275,00 2.55 1,000,000.00 US TREASURY BILL .ooo .ooo P-1 98.900 6,923,014.00 19,57 912795VH1 DUE 07/21/2005 DD 01/20/2005 A-1+ 6,923,014.00 17.81 2,000,000.00 US TREASURY BILL .000 .ooo P-1 99.118 1,982,359.44 5.60 912795VI(4 0.000% 08/04/2005 DD 02/03/05 A-1+ 1,982,359.44 s.10 YLDANAL OCSF07Slll02 DISTRICT: LIQUID OPERATING YIELD ANALYSIS 2005/06/30 PAGE RUN DATE RUN TIME -=---===::=..;:=-==-=== ---------------:c:-::--. PAR VALUE SECURITY ID SECURITY DESCRIPTION 2,000,000.00 US TREASURY BILL 912795VVO 10/13/2005 DD 04/14/2005 1,110,656.31 DREYFUS TREASURY CASH MGMT 996085247 TOTAL CASH 5 CASH EQUIVALENTS FIXED INCOME SECURITIES 3,500,000.00 BANK AMER NA TRANCHE fTR0025S 06050VLQ8 VAR RT 08/08/2005 DD 02/07/05 TOTAL FIXED INCOME SECURITIES TOTAL YTM AT CURRENT MOODY MAIUIET BOOK YIELD S-P PRICE .000 .ooo P-1 98.516 A-1+ .ooo 2.937 AAA 100.000 AAA -------------.ooo .011 .ooo 3,300 HIGl 100.000 .ooo 3.300 .ooo .OSl TOTAL COST/ HARRET VALUE 1,970,327.92 1,970,327.92 1,110,656.31 1,110,656.31 ------·------------ 35,360,994,99 35,360,994.99 3,499,940.20 J,soo,000.00 3,499,940.20 J,soo,000.00 38,B60,93S.19 38,B60,9JU.99 2 l 07 /07 /OS 09.40.07 % TYPE % TOTAL S .S7 5 .07 3.14 2.86 100.00 90.98 100.00 9.01 100.00 9.01 100.00 100.00 =====:==== YLDANAL YIELD ANALYSIS PAGE I 3 OCSF07522202 2005/06/30 RUN DATE 07/07/05 DISTRICT: LONG-TERM OPERATING RUN TIME 09.40.07 ~~---=:==~---= ===== ---== ,__ __ - PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL --------------------------------------------------------------------------------------------- CASH & CASH EQUIVALENTS 10,000,000.00 UBS AG STAMFORD BRH INSTL C/D .coo 3,031 99,955 9,995,500,00 87,05 90261GE47 VAR RT 07/05/2005 DD 07/02/04 9,995,500.00 2,42 1,486,739.46 DREYFUS TREASURY CASH MGMT .ooo 2.937 AAA 100.000 1,486,739.46 12.94 996085247 AAA 1,486,739.46 .36 .oo BSDT-LATE MONEY DEPOSIT ACCT .ooo ,000 .ooo .oo .00 996087094 .oo .oo -----·-----------------------------------TOTAL CASS & CASH EQUIVALENTS .ooo 3,023 11,482,239.of.6 100.00 11,482,239,46 2,78 FIXED INCOME SECURITIES 752,000.00 AIG SUNAMERICA GLOBAL REGS .ooo 5,325 109.867 826,199.84 .20 U00907AAO 5.8501 08/01/2008 DO 08/08/01 826,199,84 ,20 600,000,00 CIT GROUP INC SR NT .ooo 6.997 A2 105,400 632,688,00 .1s 125581AA6 7 ,3751 04/02/2007 DD 04/01/02 A 632,400.14 .15 1,500,000.00 CIT GROUP INC NEW SR NT .ooo 3.828 A2 100.406 1,501,005.00 .37 125581AF5 VAR RT 09/22/2006 DD 09/23/03 A 1,506,090.00 .37 3,300,000.00 CIT GROUP INC MTN tSR00092 .000 3,504 A2 100,000 3,300,000.00 .82 12560PDVO VAR RT 05/23/2008 OD 05/25/05 A 3,300,000.00 .00 1,600,000.00 CITIGROUP INC GLOBAL SR NT .ooo 3.262 AAl 99.953 1,600,000.00 ,39 172967CW9 VAR RT 05/02/2008 DD 05/02/05 AA-1,S99,248,00 . 39 10,000,000.00 FEDERAL HOME LN MTG CORP MTN .ooo 4,036 AAA 99,120 9,993,100.00 2.47 3128X3WY5 4.0001 09/22/2009 DD 09/22/04 AAA 9,912,000.00 2.40 2,100,000.00 FEDERAL HOME LN BKS CONS BD .ooo 8.734 AAA 95.030 2,565,820.00 .64 3133X3SQ7 VAR RT 02/27/2012 DD 02/27/04 AAA 2,565,820.00 .62 50,760.81 FHLMC GROUP 178-6064 .000 4.164 AAA 103,112 49,523.51 .01 31348SWZ3 6.384% 01/01/2028 DD 12/01/97 AAA 52,370,94 .01 2,350,000.00 FEDERAL NATL MTG ASSN DEBS .ooo 5.184 AAA 101.271 2,385,461.50 .59 31359MJX2 5,250% 06/15/2006 DD 06/22/01 AAA 2,379,868.50 .50 YLDANAL lt'IELD ANALYSIS PAGE 4 OCSF07522202 2005/06/30 RUN DATE 07/07 /05 DISTRICT: LONG-TERM OPERATING RUN TIME : 09.40.07 ===-:::=~===~~~====-== ------=:::::=:;:;__-:======---==== PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL -----------·-----·--------·------------·------·-----------~------------------------------ 589,060.99 FNMA POOL t0254510 .ooo 4.940 AAA 101.206 606,732.82 .14 31371KVB4 5.0001 11/01/2017 DD 10/01/02 AAA 596,165.07 .14 126,462.99 FNMA POOL t0254631 .ooo 4.941 AAA 101.203 130,256,88 .03 3l371KY47 5.000% 02/01/2018 DD 01/01/03 AAA 127,984.34 .03 113,748.97 FNMA POOL 10254760 .ooo 4.941 AAA 101.190 117,161,43 .02 31371R5V9 5.000% 06/01/2018 DD 05/01/03 AAA 115,102.58 .03 51,882.82 FNMA POOL 10254866 .ooo 4,942 AAA 101.181 53,439.31 .01 31371LCB3 5.000% 09/01/2018 DD 08/01/03 AAA 52,495.56 .01 386,335.80 FNMA POOL 10254907 .ooo 4,942 AAA 101. 177 386,335,80 .09 31371LDLO 5,000% 10/01/2018 DD 09/01/03 AAA 390,882.97 .09 274,137, 84 FNMA POOL 10254953 ,000 4,942 AAA 101.174 277,650.24 .06 31371LE21 5,000% 11/01/2018 DD 10/01/03 AAA 277,356.22 .07 740,479.58 FNMA POOL t0254987 .ooo 4.940 AAA 101.216 70,966,97 .1B 31371LF46 5.0001 12/01/2018 DD 11/01/03 AAA 749,487.23 ,18 123,120.25 FNMA POOL #0323980 .000 5,801 AAA 103.437 128,545,23 .03 31374T2MO 6.000% 04/01/2014 DD 09/01/99 AAA 127,351.89 .03 21,235.36 FNMA POOL 10357328 .ooo 4.940 AAA 101.217 21,872.43 .oo 3l376J4H8 5.000% Ol/01/2019 DD 01/01/03 AAA 21,493.71 .Ol 1,118,242.23 FNMA POOL #0357430 .ooo 4,941 AAA 101,187 1,130,822.45 .2e 31376JCA71 5,0001 09/01/2019 DD 09/01/03 AAA 1,131,515.77 .27 35,383.47 FNMA POOL t0456482 .ooo S.801 AAA 103,437 36,942.54 .oo 31381CCT2 6.0001 02/01/2014 DD 02/01/99 AAA 36,599.60 .01 94,748,17 FNMA POOL 10509649 .ooo 5.801 AAA 103.437 98,923,01 .02 31383QEWO 6.0001 09/01/2014 DD 09/01/99 AAA 98,004.66 .02 95,540.48 FNMA POOL t0535451 ,000 5.801 AAA 103.437 99,750.2'1 ,02 31384VZQB 6.000% 06/01/2015 DD 07/01/00 AAA 98,824.21 .02 272,055.98 FNMA POOL t0555363 .ooo 4.:941 AAA 101. 200 280,217.65 .06 31385W5Yl 5.000% 04/01/2018 DD 03/01/03 AAA 275,320.65 .07 28,163.92 FNMA POOL tOS55453 .000 4,941 AAA 101. 196 28,524,78 .oo 31385XBW6 5.000% 05/01/2018 DD 04/01/03 AAA 29,500.76 .01 YLDANAL YIELD ANALYSIS PAGE 5 OCSF07S22202 2005/06/30 RUN DATE : 07/07/0S DISTRICT: LONG-TERM OPERATING RUN TIME 09.40.07 ===---==-----------= = --~==· =----===--==--=-= PAR VALUE YTK AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ------------------------------------------------------------------------------·---------------- 226,899.87 FNMA POOL #0555545 .ooo 4.941 AAA 101.196 233,706.88 .05 31385XES2 5,0001 06/01/2018 DD 05/01/03 AAA 229,6ll.59 .06 779,690.47 FNMA POOL t0555621 .ooo 4.940 AAA 101. 216 788,461.98 .19 31385XG68 5,0001 07/01/2018 DD 06/01/03 AAA 789,175.11 ,19 428,803.12 FNMA POOL t0681309 .ooo 4.941 AAA 101.203 441,667,21 ,10 31391Y3S4 5,0001 02/01/2018 DD 02/01/03 AAA 433,961.62 ,11 51,275.13 FNMA POOL 10691334 .ooo 4,941 AAA 101.203 52,813.39 .01 31391Y4Tl 5.0001 02/01/2018 DO 01/01/03 AAA 51,891.97 .01 327,062.68 FNMA POOL 10684798 ,000 5.4.18 AAA 101,520 326,781.62 .OB 31400DX31 5.5001 03/01/2033 DD 03/01/03 AAA 332,034,03 .08 280,906.22 FNMA POOL f0684908 .ooo 4.941 AAA 101.190 284,505.35 .07 31400D3Rl 5.000% 06/01/2018 DD 05/01/03 AAA 294,249,00 .07 152,504.74 FNMA POOL 10685200 ,000 4,941 AAA 101,196 154,458.73 .03 31400EGB7 5,0001 03/01/2018 DD 03/01/03 AAA 154,328.70 .04 25,824.96 FNMA POOL 10685665 .ooo 4.941 AAA 101.203 26,599 .71 .oo 31400EW22 5.0001 02/01/2018 DD 02/01/03 AAA 26,135.63 .01 231,079.97 FNMA POOL 10686318 ,000 4.941 AAA 101. 200 238,012.36 .os 31400FPB7 5.0001 03/01/2018 DD 03/01/03 AAA 233,852,93 .06 88,949.60 FNMA POOL f0689739 .ooo 4,941 AAA 101. 190 91,618.09 .02 31400JEL9 5.0001 06/01/2018 DD 06/01/03 AAA 90,008,10 .02 81,056.89 FNMA POOL t0689859 .ooo 4.941 AAA 101,190 82,095.43 .02 314001CNGB 5.0001 05/01/2018 DD 05/01/03 AAA 82,021.47 .02 486,602,27 FNMA POOL f0693834 .ooo 4.941 AAA 101.200 501,200.32 .12 31400PY74 5.0001 03/01/2018 DD 03/01/03 AAA 492,441.50 .12 181,139.65 FNMA POOL t0695852 .ooo 4,941 AAA 101.193 186,573.84 .04 314009BVO S.0001 05/01/2018 DD 05/01/03 AAA 183,300.65 .04 629,237,31 FNMA POOL f0695889 .ooo 4.941 AAA 101.193 648,114.44 ,15 31400SC23 5.0001 05/01/2018 DD 05/01/03 AAA 636,744.11 ,15 19,175.05 FNMA POOL t0697026 .ooo 4,941 AAA 101,193 19,750.32 .oo 31400TLF2 5.0001 OS/01/2018 DD 04/01/03 AAA 19,403.81 .oo YLDANAL YlELD ANALYSIS PAGE 6 OCSF07522202 2005/06/30 RUN DATE 07/07/05 DISTRICT: LONG-TERM OPERATING RUN TIME 09.40.07 =--= -= --=rm ---= -=::--===-=:-= PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOR YIELD S-P PRICE MARJIET VALUE I TOTAL ---------------·------·--------------------------------------·----------------------- 187,560.24 FNMA POOL t0702210 ,000 4.940 AAA 101.216 193,187.05 .04 31401ADP9 5.0001 05/01/2018 DD 05/01/03 AAA 189,941.84 ,05 106,916.72 FNMA POOL t0702328 .ooo 4.941 AAA 101,193 108,286.59 .02 31401AHD2 5,0001 05/01/2018 DD 04/01/03 AAA 108,192.24 .03 235,284.37 FNMA POOL 10709148 .ooo 4,941 AAA 101.187 242,342,92 ,05 31401BZM7 5,000% 06/01/2018 DD 06/01/03 AAA 238,077.20 .06 525,979.14 FNMA POOL 10709360 .ooo 4,941 AAA 101,187 532,718.25 .13 3140131!56 5,0001 07/01/2018 DD 06/01/03 AAA 532,222,51 .13 90,628,21 FNMA POOL 10709826 .ooo 4,941 AAA 101.190 91,789.38 ,02 3l401JSP4 5.0001 06/01/2018 OD 06/01/03 AAA 91,706.69 .02 188,609.88 FNMA POOL f0709917 .000 4,941 AAA 101. 190 191,026,45 .04 31401JVJ4 5.0001 06/01/2018 OD 06/01/03 AAA 190,854.34 .05 17,498.49 FNMA POOL f0709963 .ooo 4,940 AAA 101.216 17,722,70 .oo 31401JWYO 5,000% 06/01/2018 OD 06/01/03 AAA 17,711.35 .oo 481,582.65 FNMA POOL t0710235 .ooo 4,941 AAA 101.187 496,030,16 ,12 31401RBC8 5,000\ 06/01/2018 DD 06/01/03 AAA 487,299.04 • 12 12,422, 73 FNMA POOL f0713344 ,000 4,941 AAA 101.190 12,795,40 .oo 31401NPS2 5,0001 06/01/2018 DD 06/01/03 AAA 12,570.56 .oo 202,082.34 FNMA POOL f0713365 .ooo 4,941 AAA 101. 187 204,671.51 ,OS 31401NQS1 5.0001 07/01/2018 OD 07/01/03 AAA 204,481.06 .05 596,102.09 FNMA POOL #0720319 .ooo 4.941 AAA 101. 187 603,739.66 ,15 31401WG45 5,0001 07/01/2018 DD 07/01/03 AAA 603,177.82 , 15 1,884,719.32 FNMA POOL f0720369 .ooo 4,940 AAA 101.216 1,941,260.90 .47 31401WJNO 5,000% 06/01/2018 OD 06/01/03 AAA 1,907,646,21 .46 251,456,81 FNMA POOL f0721629 .000 4.941 AAA 101.187 259,000.53 .06 31401XVW4 5,000% 07/01/2018 DD 06/01/03 AAA 254,441.60 .06 185,283.26 FNMA POOL f0723487 .ooo 4.941 AAA 101. 187 187,367.71 .04 31402AXQ4 5,000% 06/01/2018 DD 06/01/03 AAA 187,482,57 .os 2,896,332.98 FNMA POOL 10725530 .ooo 4.943 AAA 101,159 2,935,704,99 .73 31402DA75 5,000% 06/01/2019 DD 05/01/04 AAA 2,929,911, 76 .71 YLDANAL YIELD ANALYSIS PAGE 1 OCSF07522202 2005/06/30 RUN DATE 07 /07 /05 DISTRICT! LONG-TERM OPERATING RUN TIME I 09,40.07 = -= --= -====:::::--·-~===-= ---= --= ==-· ------- PAR VALUE YTH AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOIC YIELD S-P PRICE MARICET VALUE % TOT,U. -----·---------------------------------------------------------------------------------------- 341,412.32 FNMA POOL t072960l .ooo 4.941 AAA 101.184 345,786.67 .oe 31402HRW3 5,000% 07/01/2018 DD 07/01/03 AAA 345,454.64 .00 31,023,76 FNMA POOL 10732873 .ooo 4,942 AAA 101,174 31,421.23 .oo 31402MFNS 5,0001 11/01/2018 DD 10/01/03 AAA 31,387.98 .01 987,174.93 FNMA POOL f0735227 .ooo 5,424 AAA 101.408 995,504.22 .24 31402QYY1 S,5001 02/01/2035 DD 01/01/0S AAA 1,001,074,35 .24 535,372,11 FNMA POOL f0737130 .ooo 4,942 AAA 101,181 542,231.56 ,13 3l402S4P9 5,000% 10/01/2018 DD 10/01/03 AAA 541,694.85 ,13 439,655.41 FNMA POOL f0738211 .ooo 4,940 AAA 101.216 445,288,52 .11 3l402UDQ2 5,000% 10/01/2018 DD 10/01/03 AAA 445,003.65 .11 159, 8S6. 01 FNMA POOL #0738487 .ooo 4,942 AAA 101.174 161,904.17 ,04 31402UNC2 5,000% 10/01/2018 DD 10/01/03 AAA 161,732.72 .04 1,896,377,32 FNMA POOL #0740457 .ooo 4,940 AAA 101.216 1,922,156,20 .47 31402WTNB 5.0001 10/01/2018 DD 10/01/03 AAA 1,919,446.03 .47 645,886.78 FNMA POOL f0740471 .ooo 4,940 AAA 101,216 654,162.19 .16 31402WT40 5,000% 10/01/2018 DD 10/01/03 AAA 653,743.75 ,16 654,202,47 FNMA POOL t0740748 .ooo 4.942 AAA 101.181 662,584.43 .16 31402W587 5,000% 10/01/2018 DD 11/01/03 AAA 661,928.60 .16 31,866.04 FNMA POOL f0743868 .ooo 4.940 AAA 101.2Hi 32,274,33 .oo 31403BMR1 5.000% 11/01/2018 DD 10/01/03 AAA 32,253.68 .01 871,SOO,SS FNMA POOL f0744008 .ooo 4,941 AAA 101,190 882,666.66 .22 31403BRS4 5,000% 07/01/2018 DD 09/01/03 AAA 881,871.41 ,21 135,838.65 FNMA POOL #0744316 .ooo 4,940 AAA 101,216 137,579.09 .03 3U03B3Z4 5.000\ 09/01/2018 DD 09/01/03 AAA 137,Ul.08 .03 261,090,87 FNMA POOL 10747914 .ooo 4.942 AAA 101.174 264,436.11 .06 31403F3XO 5,000% 11/01/2018 DD 11/01/03 AAA 264,156.08 ,06 161,113.77 FNMA POOL 10748400 .ooo 4,940 AAA 101.216 163,178.04 .04 31403GNR9 5.000% 08/01/2018 DD 09/01/03 AAA 163,073.61i ,04 839,748,70 FNMA POOL f0748899 .000 4.940 AAA 101.216 850,507.98 ,21 31403G7LO 5,000% 12/01/2018 DD 11/01/03 AAA 849,963.92 ,21 YLDANAL YIELD ANALYSIS PAGE 8 OCSF07522202 2005/06/30 RUN DATE 07/07/05 DISTRICT: LONG-TERM OPERATING RUN TIME 09.40.07 --•--=-:.--..... --~---===---=--=-~;;:ii.r:::c:=:=--= PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ 'Is TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ----------------------------------------------·-·--------------------------------------- 1,804,645.06 FNMA POOL t0750377 .ooo 4.940 AAA 101.216 1,827,767.07 .45 31403JUA2 5,000% 11/01/2018 DD 11/01/03 AAA 1,826,597.88 .44 1,540,174.44 FNMA POOL t0750380 .000 4,940 AAA 101.216 1,559,907.94 .38 3140JJUD6 5.000% 11/01/2018 DD 11/01/03 MA 1,558,910.08 .38 139,786.09 FNMA POOL f0750445 .ooo 4.940 AAA 101. 216 141,577.10 .OJ 31403JWE2 5,000% 11/01/2018 DD 11/01/03 AAA 141,486.53 .03 672,660.74 FNMA POOL t0751960 .ooo 4.940 AAA 101.216 681,279.22 .16 31403LMH1 5.000% 12/01/2018 DD 11/01/03 AAA 680,843.40 ,17 72fi,203.78 FNMA POOL t0753425 .ooo 4,942 AAA 101.171 734,600.50 .18 31403NA23 5.000% 11/01/2018 DD 11/01/03 AAA 734,707.63 .18 522,660.08 FNMA POOL t0755165 .ooo 4,942 AAA 101.171 529,356.66 • 13 ll403Q6Al 5,0001 12/01/2018 DD 11/01/03 AAA 528,780.43 .13 820,258.29 FNMA POOL f0756372 .ooo 4,942 AAA 101,171 829,742,53 ,20 31403SJR8 5.0001 11/01/2018 DD 11/01/03 AAA 829,863.51 .20 2,998,026.23 FNMA POOL f0784251 .ooo 4,943 AAA 101.143 3,038,780.66 ,75 31405BB46 5,0001 11/01/2019 OD 11/01/04 AAA 3,032,293.67 ,74 833,176,24 FNMA POOL 10789670 .ooo 4,943 AAA 101.143 844,502.23 .21 31405HJP4 5,000% 12/01/2019 DD 12/01/04 AAA 842,699.44 ,20 848,838,50 FNMA POOL t0792432 .ooo 4,943 AAA 101,143 860,377,40 .21 31405LLM9 5,0001 10/01/2019 DD 10/01/04 AAA 858,540.72 .21 4,918,703.30 FNMA POOL 10792437 .ooo 4.943 AAA 101,143 4,918,703.30 1.24 31405LLS6 5,000\ 10/01/2019 DD 10/01/04 AAA 4,974,924.08 1.21 886,592.65 FNMA POOL t0794195 .ooo 4.943 AAA 101. 143 898,644,78 ,22 31405NKG9 5.0001 11/01/2019 DD 11/01/04 .MA 896,726,40 ,22 3,108,403.81 FNMA POOL f0797160 .ooo 4.943 AAA 101,143 3,150,658,66 ,79 31405RTR7 5.000% 12/01/2019 DO 12/01/04 AAA 3,143,932,87 ,76 794,433,53 FNMA POOL f0797408 .ooo 4.943 AAA 101.143 805,232,86 .20 31405R3R5 5,0001 12/01/2019 DD 12/01/04 AAA 803,513.91 .19 786,028.16 FNMA POOL f0797414 .ooo 4,943 AAA 101.143 196,713,22 ,19 31405R3X2 5,0001 12/01/2019 DD 12/01/04 AAA 795,012.46 .19 YLDANAL YIELD ANALYSIS PAGE 9 OCSF07522202 2005/06/30 RUN DATE 07 /07 /05 DISTRICT: LONG-TERM OPERATING RUN TIME 09.40.07 ---= -=~·:::::== ------------------~ --- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL -------------------------------·-------------------------------~------------------------- 361,969.63 FNMA POOL #0800370 .DOD 4,943 AAA 101.143 361,573.73 .09 31405VFXB 5.000% 12/01/2019 DD 11/01/04 AAA 366,106,94 .09 331,877,26 FNMA POOL #0800998 .ooo 5,424 AAA 101. 408 331,592.06 .08 31405V3F2 5,5001 11/01/2034 DD 11/01/04 AAA 336,550.09 ,08 2,924,188.35 FNMA POOL f0803923 .ooo 4,943 AAA 101.143 2,963,939,04 ,73 31406AD41 5,000% 12/01/2019 DD 12/01/04 AAA 2,957 ,611,82 .72 2,937,084.61 FNMA POOL 10807711 .000 4.943 AAA 101,143 2,977,010.60 .74 31406EKY9 5.000% 01/01/2020 DD 01/01/05 AAA 2,970,655.49 • 72 332,324.30 FNMA POOL 10808933 .ooo 5.424 AAA 101.408 332,038.71 ,OB 31406FV24 5.500% 01/01/2035 DD 01/01/0S AAA 337,003.43 .OB 329,199.33 FNMA POOL #0809350 .ooo 5.424 AAA 101.408 328,916.43 .oe 31406GEX3 5,5001 12/01/2034 DD Ol/01/05 AAA 333,834.46 .OB 332,363.78 FNMA POOL 10814930 .ooo 5,423 AAA 101.413 332,078.15 .08 31406NLX8 5.5001 04/01/2035 DD 04/01/05 AAA 337,061.28 ,08 334,322.82 FNMA POOL 10815923 .ooo 5,424 AAA 101,408 334,035.51 .08 31406PPG8 5,5001 03/01/203S DD 03/01/05 AAA 339,030.09 .08 630,DOS,DS FNMA POOL tD816246 ,ODO 4.943 AAA lDl,143 629,315.98 .15 31406PZKB 5,000% 03/01/2020 DD 03/01/0S AAA 637,206.01 ,1S 331,756.73 FNMA POOL 10819566 .ooo 5.424 AAA 101.408 331,471.63 .08 31406TQT1 5.500% 04/01/2035 DD 04/01/05 AAA 336,427.86 .OB 330,291.22 FNMA POOL J0822731 .ooo 5.424 AAA 101.408 330,007.38 .08 31406XA95 5.5001 05/01/203S DD 05/01/05 AAA 334,941.72 .OB 332,266.17 FNMA POOL #0823232 ,ODD 5,424 AAA 101.408 331,980,62 ,08 31406XSVS 5,5001 06/01/2035 DD 05/01/05 AAA 336,944.48 .08 1,965,150.23 FNMA POOL 10823787 .ooo ,1.:943 AAA 101,143 1,963,000,83 ,49 31406YF47 5,000% 05/01/2020 DD 05/01/05 AAA 1,987,611.90 ,48 8,173.66 GNMA POOL 10421389 .ooo 6,212 AAA 104,629 81578.51 .oo 36206UC23 6.500l 04/15/2026 DD 04/01/96 AAA B,552,02 .oo 11,987.18 GNMA POOL 10449851 .ooo 6.~27 AAA 104,389 12,580.92 .oo 362D8FWLO 6,5001 01/15/2028 DD 01/01/98 AAA 12,513,27 .oo YLDANAL YIELD ANALYSIS PAGE I 10 OCSF07522202 2005/06/30 RUN DATE 07/07/05 DISTRICT: LONG-TERM OPERATING RUN TIME 09.40.07 -====== PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOO!': YIELD S-P PRICE MARKET VALUE I TOTAL -------------------------------------------------------------------------------------------- 32,427.75 GNHA POOL 10466845 .000 6.214 AAA 104.595 34,033.94 .oo 36209BTA6 6.5001 06/15/2028 DD 06/01/98 AAA 33,917.81 .01 109,567.80 GNHA POOL t0468052 .ooo 6,215 AAA 104.592 114,994.82 ,02 36209C5M4 6.500% 07/15/2028 DD 07/01/98 AAA 114,599.15 .03 116,244.68 GNMA POOL t0476041 .ooo 6,214 AAA 104.595 121,820.90 .03 36209MZE7 6.5001 06/15/2028 DD 06/01/98 AAA 121,586.12 .03 119, so4 .es GNMA POOL t0478626 .ooo 6,215 AAA 104,578 125,237.35 .03 36209QVT9 6,500% 01/15/2029 DD 01/01/99 AAA 124,915.78 .03 28,535.70 GNMA POOL t0480598 .ooo 6,215 AAA 104.584 29,904.51 .oo 36209S3F6 6,5001 10/15/2028 DD 10/01/98 AAA 29,843,78 .01 8,310.39 GNHA POOL t0512235 .ooo 6.217 AAA 104.549 8,722.01 .oo 36211GBC6 6,5001 11/15/2029 DD 11/01/99 AAA 81688.43 .oo 77,465.64 GNMA POOL t0514326 .ooo 6,216 AAA 104.561 81,181.57 .02 36211JLF2 6.5001 07/15/2029 DD 07/01/99 AAA 80,998,85 .02 148,769.22 GNMA II POOL t0080395 ,000 4.309 AAA 101,539 147,421.00 .03 36225CNM4 VAR RT 04/20/2030 DD 04/01/00 AAA 151,058,78 .04 1,331,760.09 GNMA lI POOL f080408X .000 4,309 AAA 101.537 1,318,234,40 .33 36225CN28 VAR RT 05/20/2030 DD 05/01/00 AAA 1,352,229.24 ,33 1,229,950.76 GNHA II POOL t0080965 .ooo 3.469 AAA 100.893 1,229,182,03 .30 36225DCB9 VAR RT 07/20/2034 DD 07/01/04 AAA 1,240,934.22 .30 6,soo,000.00 GENERAL Et.BC CO NT .ooo 3,.210 AAA 100.015 6,S02,203.50 1.62 369604AZ6 VAR RT 10/24/2005 DD 10/24/03 AAA 6,S00,975.00 1.58 3,500,000.00 GOLDMAN SACRS GRP MTN JTtl.00194 .ooo 3,344 AA3 100.171 3,507,850.50 .87 38141EJB6 VAR RT 10/27/2006 DD 10/29/03 A+ 3,505,985.00 ,85 2,000,000.00 GOLDMAN SACHS GRP MTN JTR00203 .ooo 3,587 AA3 100,093 2,001,,00.00 ,49 38U1EJL4 VAR RT 03/30/2007 DD 04/01/04 A+ 2,001,860.00 ,49 000,000.00 GOLDMAN SACHS GRP MTN JTR00207 .000 3.473 AA3 100.500 eoo,000.00 .20 38141BJ03 VAR RT 07/23/2009 DD 07/23/04 A+ 804,000,00 .20 s,soo,000.00 GOLDMAN SACHS MTN t TR 00216 .000 3,381 AA3 99,984 5,500,196,00 1.37 38141EJZ3 VAR RT 08/01/2006 DD 02/01/05 A+ 5,499,120,00 1.33 YLDANAL YIELD ANALYSIS PAGE 11 OCSF07522202 2005/06/30 RON DATE 07/07/05 DISTRICT! LONG-TERM OPERATING RUN TIME 09.40.07 =======---!::::::===-· --=rn..:=-..... ---------== PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ ts TYPE SECURITY ID SECURITY DESCRIPTION BOOII: YIELD S-P PRICE HARKBT VALUE ts TOTAL ------------------------------------------------------------------------------- 4,250,000.00 GOLDMAN SACHS GRP .ooo 3,775 AAJ 100.078 4,250,000,00 1.06 38143UBD2 VAR RT 06/28/2010 DD 06/28/05 A+ 4,253,315.00 1.03 250,000.00 HSBC BK USA MTN fSR00012 .ooo 3.508 AA2 100.031 250,170.00 .06 4042QOAM1 VAR RT 09/21/2007 DD 09/21/04 AA-250,077.50 .06 J,000,000.00 HSBC FIN CORP MTN f TR 00002 .ooo 3.361 Al 99.984 3,000,000.00 ,74 40429JAB3 VAR RT 02/29/2007 DD 03/29/05 A 2,999,520.00 ,73 3,000,000.00 HSBC FIN CORP MTN t TR 00007 .000 3,492 Al 99.953 2,995,830.00 • 74 40429JAG2 VAR RT 05/10/2010 DD 05/10/05 A 2,998,590.00 • 73 2,500,000.00 HOUSEHOLD FIN CORP NT .ooo 6.985 A2 103,078 2,591,500.00 .64 441812GH1 7,200% 07/15/2006 DD 07/15/99 A 2,576,950.00 ,63 2,000,000.00 HORGAN STANLEY .ooo 3.267 AAJ 100.078 2,002,980,00 .49 61746BAK2 VAR RT 01/12/2007 DD 01/13/04 A+ 2,001,560.00 ,49 3,200,000.00 MORGAN STANLEY NT .000 3.925 AA3 98.734 3,149,248.00 .78 61746BAL0 3,875% 01/15/2009 DD 01/13/04 A+ 3,159,488.00 .77 650,000.00 MORGAN STANLEY NT ,000 3,298 AAJ 100,015 650,000.00 , 16 61746SAZ2 VAR RT 11/09/2006 DD 11/12/04 A+ 650,097.50 ,16 1,400,000.00 PUBLIC SVC BLEC & GAS CO 1ST .ooo 3.577 Al 99,984 1,400,000.00 .34 744S67FN3 VAR RT 06/23/2006 DD 06/25/04 A-1,399,776.00 .34 443,416.80 RESIDENTIAL ASSET 03-RSll AIIB .ooo 3 ,:641 AAA 100,092 443,416,80 ,11 76098SK83 VAR RT 12/25/2033 DD 12/30/03 AAA 443,824.74 ,11 2,774,342.07 SBA GTD DEV PARTN 200l-20C l .ooo 5,:914 AAA 107.200 2,774,342.07 .74 B3162CLJO 6.340% 03/01/2021 AAA 2,974,094.70 .12 11 625,857,Bl SBA GTD PARTN CTFS S8IC-PS 01 .ooo 6.264 AAA 106.005 1,625,857.81 .43 831'41DD4 6,6401 02/10/2011 DD 02/21/01 NR 1,723,490.57 .42 2,000,000.00 TOYOTA MTR CR MTN fTR00413 .ooo 3,201 AAA 99.984 1,998,188.00 ,49 89233PTE6 VAR RT 09/18/2006 DD 03/16/05 AAA 1,999,680,00 ,49 1,6001 000,00 UNITED AIRLS PASSTHRU 01-1 C ,000 23,254 'KR 29. 375 1,600,000.00 ,11 909317BC2 6.831% 03/01/2010 DD 08/22/01 A-470,000,00 ,11 20,000,000.00 US TREASURY NO'.l'ES .ooo S,)199 AAA 104,188 22,620,312.50 s.20 !Jl2B272JO 06,250% 02/15/2007 DO 02/15/97 AAA 20,837,500,00 5,06 YLDANAL YIELD ANALYSIS PAGE 12 OCSF07522202 2005/06/30 RUN DATE I 07/07/05 DISTRICT: LONG-TERM OPERATING RUN TIME 09,40.07 =====·-:==.::--..::==:=:c= --= ---==::e::: -----= PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOlt YIELD S-P PRICE MARKET VALUE % TOTAL ----------------------------·-----· -·---·----------------------------·----------·---·----------- 2,528,988.00 US TREASURY INFLATION INDEX NT .ooo 3.425 AAA 105.844 2,744,351.91 .66 9129273T7 3.6251 01/15/2008 DD 01/15/98 AAA 2,676,782.06 .65 11,270,040.00 US TREASURY INFLATION INDEX NT .ooo 3,560 AAA 108.844 12,450,922.59 3.06 9128274Y5 3,8751 01/15/2009 DD 01/15/99 AAA 12,266,762.34 2.98 3,900,000,00 US TREASURY NOTES .ooo 5,698 AAA 100.906 4,288,149.14 ,98 !1128276N7 05,750% 11/15/2005 DD 11/15/00 AAA 3,935,353.50 ,95 2,100,000.00 US TREASURY NOTES .ooo 4,140 AAA 102.656 2,148,303,45 ,53 912828BB2 4.250% 08/15/2013 DD 08/15/03 AAA 2,155,776.00 .52 10,900,000.00 US TREASURY NOTES .ooo 3.408 AAA 99.030 10,684,196.02 2.69 912828BT6 3,375% 12/15/2008 DD 12/15/03 AAA 10,794,270.00 2,62 105,294.00 US TREASURY INFLATION INDEXED .ooo 1.941 AAA 103.030 107,501.07 .02 912828BW9 2.000% 01/15/2014 DD 01/15/04 AAA 108,484.41 .03 12,soo,000.00 US TREASURY NOTES .ooo 2 ,771 AAA 99.260 12,483,394.83 3.09 .912829CMO 2.750% 06/30/2006 DD 06/30/04 AAA 12,407,500.00 3.01 3,199,665.00 US TREASURY INFLATION INDEX NT .ooo 1.940 AAA 103.070 3,287,601.04 .82 912828CP3 2.000% 07/15/2014 DD 07/15/04 AAA 3,297,894.72 .so 14,000,000.00 US TREASURY NOTES .ooo 2. 773 AAA 99,180 14,029,693,55 3,46 9l2928CQ1 2.750% 07/31/2006 DD 07/31/04 AAA 13,885,200.00 3.37 55,300,000.00 US TREASURY NOTES .ooo 2.407 AAA 98.670 55,018,326.59 13.61 912828CU2 2,375% 08/31/2006 DD 08/31/04 AAA 54,564,510.00 13.24 20,800,000.00 US TREASURY NOTES .ooo 2.904 AAA 99.010 20,640,268,90 5.13 !11282BDD9 2.875% 11/30/2006 DD 11/30/04 AAA 20,594,080.00 5.00 13,920,000.00 US TREASURY NOTES .ooo 3.532 AAA 99.090 13,733,493.75 3.44 912B28DE7 3.500% 12/15/2009 DD 12/15/04 AAA 13,793,328.00 3.35 20,100,000.00 US TREASURY NOTES .000 3 ,956 AAA 101. 120 20,855,679.12 5.22 912B28DP2 4.0001 03/15/2010 DD 03/15/05 AAA 20,931,840.00 5.08 42,300,000.00 UNITED STATES TREASURY NT ."ooo 3.743 AAA 100,180 42,320,924,54 10.57 912828DQO 3,7501 03/31/2007 DD 03/31/05 AAA 42,376,140.00 10.28 10,000,000.00 UNITED STATES TREASURY NTS .ooo 3,956 AAA 101.120 10,048,054,40 2,52 912828DR8 4,0001 04/15/2010 DO 04/15/05 AAA 10,112,000.00 2.45 .... YLDANAL YIELD ANALYSIS PAGE 13 OCSF07522202 2005/06/30 RUN DATE 07/07/05 DISTRICT! LONG-TERM OPERATING RUN TIME I 09.40,07 ==.:::::z::::::;:::=====-=--·=:--e:-----.:: ----~ . ----=------~--==------ PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ I TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE I TOTAL -------------------------------------------------·------------------------------------------ 11,000,000.00 US TREASURY NOTES .ooo 3,509 AAA 99,730 10,961,244.41 2,73 912B2BDW7 3,500% 05/31/2007 DD 05/31/05 AAA 10,970,300.00 2,66 1,Jso,000.00 VIRGINIA ELEC & PWR 01 SER A .ooo S.678 Al 101.265 1,743,840.00 .44 927804ENO 5,750% 03/31/2006 DD 03/27/01 BBB+ 1,772,137.50 .43 8,490,322.86 US TREASURY INFLATION INDEX NT 3.817 3.270 AAA 103.219 7,550,282.94 2,1B 9128272M3 3.3751 01/15/2007 DD 01/15/97 AAA 8,763,626,35 2,13 730,909,94 FBLMC MULTICLASS MTG SER E3 A 6,316 4,008 AAA 100,084 731,688.60 .18 313JTCE95 VAR RT 08/15/2032 DD 12/01/97 AAA 731,523,90 ,18 432,487,62 GNMA GTD REMIC TR 2000-9 FR 6,320 3.703 AAA 100,902 432,487.62 .10 3837H4NX9 VAR RT 02/16/2030 AAA 436,388.66 .11 168,036.74 GNMA II POOL tOBOOBBM 6.705 4,313 AAA 101.441 171,712.54 .04 36225CC20 7.3751 06/20/2027 DD 06/01/97 AAA 170,458.15 .04 137,324,15 GNMA II POOL tOOB0023 6,992 4,055 AAA 101. 729 l39,S9B,57 .03 36225CAZ9 VAR RT 12/20/2026 DD 12/01/96 AAA 139,698.48 .03 2,100,000.00 FEDERAL NATL MTG ASSN DEBS 7.113 6.026 AAA 109.945 2,030,133.00 .57 31359MEY5 6,6251 09/15/2009 DD 09/01/99 AAA 2,308,845.00 .56 931,112,25 WMP/BUNTOON PAIGE t000-11150 1,684 1,411 AAA 101. 196 910,889.65 .23 30299BGEJ 7,5001 12/01/2030 DD 10/21/99 AAA 942,245.37 ,23 -----·-----------------------------------------TOTAL FIXED INCOME SECURITIES .023 4,386 402,766,054.97 100.00 400,710,902.53 97.24 --------------------------------------- TOTAL ,023 4,383 414,248,294.43 100.00 412,193,141.99 100.00 ============ 4 ' Asset Detail Report ID: GL8013 Base Currency: USD I OCSD-CONSOLIDATED-OCSG000lO000 by Currency Alternate Base Currency: Exchange Rate: 6/30/2005 Status: FINAL Net Unrealized Price Cost Market Value % of Gain/Loss Description Base Shares Par Base Base Total Base U.S. DOLLAR CASH & CASH EQUIVALENTS PAYABLE FOR INVESTMENTS -73,412,197.81 -73,412,197.81 -19.23% 0.00 PURCHASED INTEREST RECEIVABLE 3,685,760.42 3,685,760.42 0.97% 0.00 RECEIVABLE FOR INVESTMENTS 520,452.71 520,452.71 0.14% 0.00 SOLD FEDERAL HOME LN BK CONS DISC 99.4993 3,800,000.000 3,780,974.14 3,780,974.14 0.99% 0.00 NMAT 07 /22/2005SEC ID: 313385JL1 FEDERAL HOME LN BK CONS 99.1861 2,300,000.000 2,281,279.28 2,281,279.28 0.60% 0.00 DISCMAT 9/9/2005SEC ID: 313385LM6 FEDERAL HOME LN MTG CORP 99.2447 1,300,000.000 1,290,180.66 1,290,180.66 0.34% 0.00 DISCMAT 08/09/2005SEC ID: 313397KE0 FEDERAL HOME LN MTG CORP 99.1936 700,000.000 694,355.47 694,355.47 0.18% 0.00 DISCMAT 09/06/2005SEC ID: 313397W8 FEDERAL HOME LN MTG CORP DISC 99.1785 2,000,000.000 1,983,569.44 1,983,569.44 0.52% 0.00 0.000% 09/13/2005 DD 09/13/04SECID:313397LR0 FEDERAL HOME LN MTG CORP 98.5933 2,000,000.000 1,971,865.00 1,971,865.00 0.52% 0.00 DISCMAT 11/01/2005SEC ID: 313397NS6 FEDERAL NATL MTG ASSN 98.8462 1,000,000.000 988,461.67 988,461.67 0.26% 0.00 DISC08/0l/2005SEC ID: 313589JW4 FEDERAL NATL MTG ASSN 99.1782 1,200,000.000 1,190,138.33 1,190,138.33 0.31% 0.00 DISCOUNTMAT 08/08/2005SEC ID: 313589KD4 FEDERAL NATL MTG ASSN 99.2214 2,500,000.000 2,480,536.11 2,480,536.11 0.65% 0.00 DISCOUNTMAT 08/10/2005SEC ID: 313589KF9 FEDERAL NATL MTG ASSN 98.3671 4,000,000.000 3,934,682.22 3,934,682.22 1.03% 0.00 DISCOUNTMAT 10/26/2005SEC ID: 313589NL3 GENERAL ELEC CAP 99.2400 1,800,000.000 1,786,320.00 1,786,320.00 0.47% 0.00 DISC07 / 11 /2005SEC ID: 36959HUB1 1 Workbench __ ..,._ Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED -OCSGOO0lO000 6/30/2005 Status: FINAL Net Unrealized Price Cost Market Value % of Gain/Loss Description Base Shares Par Base Base Total Base GENERAL ELEC CAP 99.2275 1,000,000.000 992,275.00 992,275.00 0.26% 0.00 DISC07 /25/2005SEC ID: 36959HUR6 UBS AG STAMFORD BRH INSTL 99.9550 10,000,000.000 9,995,500.00 9,995,500.00 2.62% 0.00 C/DVAR RT 07/05/2005 DD 07/02/04SECID:90261GE47 US TREASURY BILLDUE 98.9002 7,000,000.000 6,923,014.00 6,923,014.00 1.81% 0.00 07/21/2005 DD 01/20/2005SEC ID: 912795VH1 US TREASURY BILL 0.000% 99.1180 2,000,000.000 1,982,359.44 1,982,359.44 0.52% 0.00 08/04/2005 DD 02/03/05SEC ID: 912795VK4 US TREASURY BILLl0/13/2005 98.5164 2,000,000.000 1,970,327.92 1,970,327.92 0.52% 0.00 DD 04/14/2005SEC ID: 912795W0 DREYFUS TREASURY CASH 100.0000 2,597,395.770 2,597,395.77 2,597,395.77 0.68% 0.00 MGMTSEC ID: 99608524 7 TOTAL CASH & CASH EQUIVALENTS 47,197,395.770 -22,362, 750.23 -22,362, 750.23 -5.86% 0.00 FIXED INCOME SECURITIES AIG SUNAMERICA GLOBAL REG S 5. 109.8670 752,000.000 826,199.84 826,199.84 0.22% 0.00 850% 08/01/2008 DD 08/08/0lSEC ID: U00907AA0 BANK AMER N A TRANCHE 100.0000 3,500,000.000 3,499,940.20 3,500,000.00 0.92% 59.80 #TR00255VAR RT 08/08/2005 DD 02/07/05SECID:06050VLQ8 CIT GROUP INC SR NT 7.375% 105.4000 600,000.000 632,688.00 632,400.14 0.17% -287.86 04/02/2007 DD 04/0l/02SEC ID: 125581AA6 CIT GROUP INC NEW SR NTVAR RT 100.4060 1,500,000.000 1,507,005.00 1,506,090.00 0.39% -915.00 09/22/2006 DD 09/23/03SEC ID: 125581AF5 CIT GROUP INC MTN #SR00092VAR 100.0000 3,300,000.000 3,300,000.00 3,300,000.00 0.86% 0.00 RT 05/23/2008 DD 05/25/05SEC ID: 12560PDV0 CITIGROUP INC GLOBAL SR NTVAR 99.9530 1,600,000.000 1,600,000.00 1,599,248.00 0.42% -752.00 RT 05/02/2008 DD 05/02/05SEC ID: l 72967CW9 WMP/HUNTOON PAIGE #000-101.1957 931,112.250 910,889.65 942,245.37 0.25% 31,355.72 111507.500% 12/01/2030 DD 10/21/99SEC ID: 302998GE3 2 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED-OCSG000l0000 6/30/2005 Status: FINAL Net Unrealized Price Cost Market Value % of Gain/Loss Description Base Shares Par Base Base Total Base FEDERAL HOME LN MTG CORP MTN 99.1200 10,000,000.000 9,993,100.00 9,912,000.00 2.60% -81,100.00 4.000% 09/22/2009 DD 09/22/04SECID:3128X3WY5 FHLMC MULTICLASS MTG SER E3 100.0840 730,909.940 731,688.60 731,523.90 0.19% -164.70 AVAR RT 08/15/2032 DD 12/0l/97SECID:3133TCE95 FEDERAL HOME LN BKS CONS 95.0304 2,700,000.000 2,565,820.00 2,565,820.00 0.67% 0.00 BDVAR RT 02/27/2012 DD 02/27 /04SEC ID: 3133X3SQ7 FHLMC GROUP #78-6064 6.384% 103.1720 50,760.810 49,523.51 52,370.94 0.01% 2,847.43 01/01/2028 DD 12/01/97SEC ID: 31348SWZ3 FEDERAL NATL MTG ASSN DEBS6. 109.9450 2,100,000.000 2,030,133.00 2,308,845.00 0.60% 278,712.00 625% 09/15/2009 DD 09/01/99SEC ID: 31359MEY5 FEDERAL NATL MTG ASSN DEBSS. 101.2710 2,350,000.000 2,385,461.50 2,379,868.50 0.62% -5,593.00 250% 06/15/2006 DD 06/22/0lSEC ID: 31359MJX2 FNMA POOL #0254510 5.000% 101.2060 589,060.990 606,732.82 596,165.07 0.16% -10,567.75 11/01/2017 DD 10/01/02SEC ID: 31371KVB4 FNMA POOL #0254631 5.000% 101.2030 126,462.990 130,256.88 127,984.34 0.03% -2,272.54 02/01/2018 DD 01/01/03SEC ID: 31371KY47 FNMA POOL #0254760 5.000% 101.1900 113,748.970 117,161.43 115,102.58 0.03% -2,058.85 06/01/2018 DD 05/0l/03SEC ID: 31371K5V9 FNMA POOL #0254866 5.000% 101.1810 51,882.820 53,439.31 52,495.56 0.01% -943.75 09/01/2018 DD 08/0l/03SEC ID: 31371LCB3 FNMA POOL #0254907 5.000% 101.1770 386,335.800 386,335.80 390,882.97 0.10% 4,547.17 10/01/2018 DD 09/0l/03SEC ID: 313711010 FNMA POOL #0254953 5.000% 101.1740 274,137.840 277,650.24 277,356.22 0.07% -294.02 11/01/2018 DD 10/01/03SEC ID: 31371LE21 FNMA POOL #0254987 5.000% 101.2165 740,479.580 749,966.97 749,487.23 0.20% -479.74 12/01/2018 DD 11/01/03SEC ID: 31371LF46 3 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED -OCSG000l0000 6/30/2005 Status: FINAL Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base FNMA POOL #0323980 6.000% 103.4370 123,120.250 128,545.23 127,351.89 0.03% -1,193.34 04/01/2014 DD 09/0l/99SEC ID: 31374T2MO FNMA POOL #0357328 5.000% 101.2166 21,235.360 21,872.43 21,493.71 0.01% -378.72 01/01/2018 DD Ol/Ol/03SEC ID: 31376J4M8 FNMA POOL #0357430 5.000% 101.1870 1,118,242.230 1,130,822.45 1,131,515.77 0.30% 693.32 09/01/2018 DD 09/0l/03SEC ID: 31376KA71 FNMA POOL #0456482 6.000% 103.4370 35,383.470 36,942.54 36,599.60 0.01% -342.94 02/01/2014 DD 02/01/99SEC ID: 31381CCT2 FNMA POOL #0509649 6.000% 103.4370 94,748.170 98,923.01 98,004.66 0.03% -918.35 09/01/2014 DD 09/01/99SEC ID: 31383QEWO FNMA POOL #0535451 6.000% 103.4370 95,540.480 99,750.24 98,824.21 0.03% -926.03 06/01/2015 DD 07/01/00SEC ID: 31384VZQ8 FNMA POOL #0555363 5.000% 101.2000 272,055.980 280,217.65 275,320.65 0.07% -4,897.00 04/01/2018 DD 03/0l/03SEC ID: 31385W5Yl FNMA POOL #0555453 5.000% 101.1960 28,163.920 28,524.78 28,500.76 0.01% -24.02 05/01/2018 DD 04/01/03SEC ID: 31385XBW6 FNMA POOL #0555545 5.000% 101.1960 226,899.870 233,706.88 229,613.59 0.06% -4,093.29 06/01/2018 DD 05/0l/03SEC ID: 31385XES2 FNMA POOL #0555621 5.000% 101.2165 779,690.470 788,461.98 789,175.11 0.21% 713.13 07/01/2018 DD 06/01/03SEC ID: 31385XG68 FNMA POOL #0681309 5.000% 101.2030 428,803.120 441,667.21 433,961.62 0.11% -7,705.59 02/01/2018 DD 02/0l/03SEC ID: 31391Y3S4 FNMA POOL #0681334 5.000% 101.2030 51,275.130 52,813.39 51,891.97 0.01% -921.42 02/01/2018 DD Ol/01/03SEC ID: 31391Y4Tl FNMA POOL #0684798 5.500% 101.5200 327,062.680 326,781.62 332,034.03 0.09% 5,252.41 03/01/2033 DD 03/0l/03SEC ID: 31400DX31 4 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDA TED -OCSG000 10000 6/30/2005 Status: FINAL Net Unrealized Price Cost Market Value % of Gain/Loss Description Base Shares Par Base Base Total Base FNMA POOL #0684908 5.000% 101.1900 280,906.220 284,505.35 284,249.00 0.07% -256.35 06/01/2018 DD 05/0l/03SEC ID: 31400D3Rl FNMA POOL #0685200 5.000% 101.1960 152,504.740 154,458.73 154,328.70 0.04% -130.03 03/01/2018 DD 03/0l/03SEC ID: 31400EGH7 FNMA POOL #0685665 5.000% 101.2030 25,824.960 26,599.71 26,135.63 0.01% -464.08 02/01/2018 DD 02/01/03SEC ID: 31400EW22 FNMA POOL #0686318 5.000% 101.2000 231,079.970 238,012.36 233,852.93 0.06% -4,159.43 03/01/2018 DD 03/01/03SEC ID: 31400FPB7 FNMA POOL #0688739 5.000% 101.1900 88,949.600 91,618.09 90,008.10 0.02% -1,609.99 06/01/2018 DD 06/01/03SEC ID: 31400JEL9 FNMA POOL #0689859 5.000% 101.1900 81,056.890 82,095.43 82,021.47 0.02% -73.96 05/01/2018 DD 05/01/03SEC ID: 31400KMG8 FNMA POOL #0693834 5.000% 101.2000 486,602.270 501,200.32 492,441.50 0.13% -8,758.82 03/01/2018 DD 03/01/03SEC ID: 31400PY74 FNMA POOL #0695852 5.000% 101.1930 181,139.650 186,573.84 183,300.65 0.05% -3,273.19 05/01/2018 DD 05/01/03SEC ID: 31400SBV0 FNMA POOL #0695889 5.000% 101.1930 629,237.310 648,114.44 636,744.11 0.17% -11,370.33 05/01/2018 DD 05/0l/03SEC ID: 31400SC23 FNMA POOL #0697026 5.000% 101.1930 19,175.050 19,750.32 19,403.81 0.01% -346.51 05/01/2018 DD 04/01/03SEC ID: 31400TLF2 FNMA POOL #0702210 5.000% 101.2165 187,560.240 193,187.05 189,841.84 0 .05% -3,345.21 05/01/2018 DD 05/01/03SEC ID: 31401ADP9 FNMA POOL #0702328 5.000% 101.1930 106,916.720 108,286.59 108,192.24 0.03% -94.35 05/01/2018 DD 04/01/03SEC ID: 31401AHD2 FNMA POOL #0709148 5.000% 101.1870 235,284.370 242,342.92 238,077.20 0.06% -4,265.72 06/01/2018 DD 06/01/03SEC ID: 31401HZM7 5 Workbench -------- Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDA TED -OCSG000lO000 6/30/2005 Status: FINAL Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base FNMA POOL #0709360 5.000% 101.1870 525,979.140 532,718.25 532,222.51 0.14% -495.74 07/01/2018 DD 06/0l/03SEC ID: 31401JB56 FNMA POOL #0709826 5.000% 101.1900 90,628.210 91,789.38 91,706.69 0.02% -82.69 06/01/2018 DD 06/01/03SEC ID: 31401JSP4 FNMA POOL #0709917 5.000% 101.1900 188,609.880 191,026.45 190,854.34 0.05% -172.11 06/01/2018 DD 06/01/03SEC ID: 31401JVJ4 FNMA POOL #0709963 5.000% 101.2165 17,498.490 17,722.70 17,711.35 0.00% -11.35 06/01/2018 DD 06/0l/03SEC ID: 31401JWY0 FNMA POOL #0710235 5.000% 101.1870 481,582.650 496,030.16 487,299.04 0.13% -8, 731.12 06/01/2018 DD 06/01/03SEC ID: 31401KBC8 FNMA POOL #0713344 5.000% 101.1900 12,422.730 12,795.40 12,570.56 0.00% -224.84 06/01/2018 DD 06/0l/03SEC ID: 31401NP52 FNMA POOL #0713365 5.000% 101.1870 202,082.340 204,671.51 204,481.06 0.05% -190.45 07/01/2018 DD 07/01/03SEC ID: 31401NQS1 FNMA POOL #0720319 5.000% 101.1870 596,102.090 603,739.66 603,177.82 0.16% -561.84 07/01/2018 DD 07 /0l/03SEC ID: 31401WG45 FNMA POOL #0720369 5.000% 101.2165 1,884,719.320 1,941,260.90 1,907,646.21 0.50% -33,614.69 06/01/2018 DD 06/01/03SEC ID: 31401WJN0 FNMA POOL #0721629 5.000% 101.1870 251,456.810 259,000.53 254,441.60 0.07% -4,558.93 07/01/2018 DD 06/0l/03SEC ID: 31401XVW4 FNMA POOL #0723487 5.000% 101.1870 185,283.260 187,367.71 187,482.57 0.05% 114.86 06/01/2018 DD 06/01/03SEC ID: 31402AXQ4 FNMA POOL #0725530 5.000% 101.1594 2,896,332.980 2,935,704.99 2,929,911.76 0.77% -5,793.23 06/01/2019 DD 05/01/04SEC ID: 31402DA75 FNMA POOL #0729601 5.000% 101.1840 341,412.320 345,786.67 345,454.64 0.09% -332.03 07/01/2018 DD 07 /01/03SEC ID: 31402HRW3 6 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDA TED -OCSG000 10000 6/30/2005 Status: FINAL Net Unrealized Price Cost Market Value % of Gain/Loss Description Base Shares Par Base Base Total Base FNMA POOL #0732873 5.000% 101.1740 31,023.760 31,421.23 31,387.98 0.01% -33.25 11/01/2018 DD 10/0l/03SEC ID: 31402MFN5 FNMA POOL #0735227 5.500% 101.4080 987,174.930 995,504.22 1,001,074.35 0.26% 5,570.13 02/01/2035 DD 0l/01/05SEC ID: 31402QYY1 FNMA POOL #0737130 5.000% 101.1810 535,372.110 542,231.56 541,694.85 0.14% -536.71 10/01/2018 DD 10/0l/03SEC ID: 31402S4P9 FNMA POOL #0738211 5.000% 101.2165 439,655.410 445,288.52 445,003.65 0.12% -284.87 10/01/2018 DD 10/01/03SEC ID: 31402UDQ2 FNMA POOL #0738487 5.000% 101.1740 159,856.010 161,904.17 161,732.72 0.04% -171.45 10/01/2018 DD 10/01/03SEC ID: 31402UNC2 FNMA POOL #0740457 5.000% 101.2165 1,896,377.320 1,922,156.20 1,919,446.03 0.50% -2,710.17 10/01/2018 DD 10/0l/03SEC ID: 31402WTN8 FNMA POOL #0740471 5.000% 101.2165 645,886.780 654,162.19 653,743.75 0.17% -418.44 10/01/2018 DD 10/0l/03SEC ID: 31402WT40 FNMA POOL #0740748 5.000% 101.1810 654,202.470 662,584.43 661,928.60 0.17% -655.83 10/01/2018 DD ll/0l/03SEC ID: 31402W5H7 FNMA POOL #0743868 5.000% 101.2165 31,866.040 32,274.33 32,253.68 0.01% -20.65 11/01/2018 DD 10/0l/03SEC ID: 31403BMR1 FNMA POOL #0744008 5.000% 101.1900 871,500.550 882,666.66 881,871.41 0.23% -795.25 07/01/2018 DD 09/01/03SEC ID: 31403BR54 FNMA POOL #0744316 5.000% 101.2165 135,838.650 137,579.09 137,491.08 0 .04% -88.01 09/01/2018 DD 09/0l/03SEC ID: 31403B3Z4 FNMA POOL #0747914 5.000% 101.1740 261,090.870 264,436.11 264,156.08 0.07% -280.03 11/01/2018 DD 11 /01/03SEC ID: 31403F3X0 FNMA POOL #0748400 5.000% 101.2165 161,113.770 163,178.04 163,073.66 0.04% -104.38 08/01/2018 DD 09/0l/03SEC ID: 31403GNR9 7 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDA TED -OCSG000lO000 6/30/2005 Status: FINAL Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base FNMA POOL #0748899 5.000% 101.2165 839,748.700 850,507.98 849,963.92 0.22% -544.06 12/01/2018 DD ll/01/03SEC ID: 31403G7L0 FNMA POOL #0750377 5.000% 101.2165 1,804,645.060 1,827,767.07 1,826,597.88 0.48% -1,169.19 11/01/2018 DD ll/01/03SEC ID: 31403JUA2 FNMA POOL #0750380 5.000% 101.2165 1,540,174.440 1,559,907.94 1,558,910.08 0.41% -997.86 11/01/2018 DD ll/01/03SEC ID: 31403JUD6 FNMA POOL #0750445 5.000% 101.2165 139,786.090 141,577.10 141,486.53 0.04% -90.57 11/01/2018 DD ll/0l/03SEC ID: 31403JWE2 FNMA POOL #0751960 5.000% 101.2165 672,660.740 681,279.22 680,843.40 0.18% -435.82 12/01/2018 DD ll/0l/03SEC ID: 31403LMH1 FNMA POOL #0753425 5.000% 101.1710 726,203.780 734,600.50 734,707.63 0.19% 107.13 11/01/2018 DD ll/01/03SEC ID: 31403NA23 FNMA POOL #0755165 5.000% 101.1710 522,660.080 529,356.66 528,780.43 0.14% -576.23 12/01/2018 DD ll/01/03SEC ID: 31403Q6A3 FNMA POOL #0756372 5.000% 101.1710 820,258.290 829,742.53 829,863.51 0.22% 120.98 11/01/2018 DD ll/01/03SEC ID: 31403SJR8 FNMA POOL #0784251 5.000% 101.1430 2,998,026.230 3,038,780.66 3,032,293.67 0.79% -6,486.99 11/01/2019 DD ll/01/04SEC ID: 31405BH46 FNMA POOL #0789670 5.000% 101.1430 833,176.240 844,502.23 842,699.44 0.22% -1,802.79 12/01/2019 DD 12/01/04SEC ID: 31405HJP4 FNMA POOL #0792432 5.000% 101.1430 848,838.500 860,377.40 858,540.72 0.22% -1,836.68 10/01/2019 DD 10/01/04SEC ID: 31405LLM9 FNMA POOL #0792437 5.000% 101.1430 4,918,703.300 4,918,703.30 4,974,924.08 1.30% 56,220.78 10/01/2019 DD 10/0l/04SEC ID: 31405LLS6 FNMA POOL #0794195 5.000% 101.1430 886,592.650 898,644.78 896,726.40 0.23% -1,918.38 11/01/2019 DD ll/0l/04SEC ID: 31405NKG9 8 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDA TED -OCSG000 10000 6/30/2005 Status: FINAL Net Unrealized Price Cost Market Value % of Gain/Loss Description Base Shares Par Base Base Total Base FNMA POOL #0797160 5.000% 101.1430 3,108,403.810 3,150,658.66 3,143,932.87 0.82% -6,725.79 12/01/2019 DD 12/01/04SEC ID: 31405RTR7 FNMA POOL #0797408 5.000% 101.1430 794,433.530 805,232.86 803,513.91 0.21% -1,718.95 12/01/2019 DD 12/0l/04SEC ID: 31405R3R5 FNMA POOL #0797414 5.000% 101.1430 786,028.160 796,713.22 795,012.46 0.21% -1,700.76 12/01/2019 DD 12/01/04SEC ID: 31405R3X2 FNMA POOL #0800370 5.000% 101.1430 361,969.630 361,573.73 366,106.94 0.10% 4,533.21 12/01/2019 DD 11/0l/04SEC ID: 31405VFK8 FNMA POOL #0800998 5.500% 101.4080 331,877.260 331,592.06 336,550.09 0.09% 4,958.03 11/01/2034 DD 11/01/04SEC ID: 31405V3F2 FNMA POOL #0803923 5.000% 101.1430 2,924,188.350 2,963,939.04 2,957,611.82 0.77% -6,327.22 12/01/2019 DD 12/01/04SEC ID: 31406AD41 FNMA POOL #0807711 5.000% 101.1430 2,937,084.610 2,977,010.60 2,970,655.49 0.78% -6,355.11 01/01/2020 DD 01/0l/05SEC ID: 31406EKY9 FNMA POOL #0808933 5.500% 101.4080 332,324.300 332,038.71 337,003.43 0.09% 4,964.72 01/01/2035 DD 01/0l/05SEC ID: 31406FV24 FNMA POOL #0809350 5.500% 101.4080 329,199.330 328,916.43 333,834.46 0.09% 4,918.03 12/01/2034 DD 01/01/05SEC ID: 31406GEX3 FNMA POOL #0814930 5.500% 101.4134 332,363.780 332,078.15 337,061.28 0.09% 4,983.13 04/01/2035 DD 04/0l/05SEC ID: 31406NLK8 FNMA POOL #0815923 5.500% 101.4080 334,322.820 334,035.51 339,030.09 0.09% 4,994.58 03/01/2035 DD 03/01/05SEC ID: 31406PPG8 FNMA POOL #0816246 5.000% 101.1430 630,005.050 629,315.98 637,206.01 0.17% 7,890.03 03/01/2020 DD 03/0l/05SEC ID: 31406PZK8 FNMA POOL #0819566 5.500% 101.4080 331,756.730 331,471.63 336,427.86 0.09% 4,956.23 04/01/2035 DD 04/0l/05SEC ID: 31406TQT1 9 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOUDA TED• OCSG000 10000 6/30/2005 Status: FINAL Net Unrealized Price Cost Market Value % of Gain/Loss Description Base Shares Par Base Base Total Base FNMA POOL #0822731 5.500% 101.4080 330,291.220 330,007.38 334,941.72 0.09% 4,934.34 05/01/2035 DD 05/0l/05SEC ID : 31406XA85 FNMA POOL #0823232 5.500% 101.4080 332,266.170 331,980.62 336,944.48 0.09% 4,963.86 06/01/2035 DD 05/01/05SEC ID: 31406XSV5 FNMA POOL #0823787 5.000% 101.1430 1,965,150.230 1,963,000.83 1,987,611.90 0.52% 24,611.07 05/01/2020 DD 05/0l/05SEC ID: 31406YF47 GNMA POOL #0421389 6.500% 104.6290 8,173.660 8,578.51 8,552.02 0.00% -26.49 04/15/2026 DD 04/01/96SEC ID: 36206UC23 GNMA POOL #0449851 6.500% 104.3888 11,987.180 12,580.92 12,513.27 0.00% -67.65 01/15/2028 DD 0l/0l/98SEC ID: 36208FWLO GNMA POOL #0466845 6.500% 104.5950 32,427.750 34,033.94 33,917.81 0.01% -116.13 06/15/2028 DD 06/0l/98SEC ID: 36209BTA6 GNMA POOL #0468052 6.500% 104.5920 109,567.800 114,994.82 114,599.15 0.03% -395.67 07/15/2028 DD 07 /01 /98SEC ID: 36209C5M4 GNMA POOL #0476041 6.500% 104.5950 116,244.680 121,820.80 121,586.12 0.03% -234.68 06/15/2028 DD 06/01/98SEC ID: 36209MZE7 GNMA POOL #0478626 6.500% 104.5780 119,504.850 125,237.35 124,975.78 0.03% -261.57 01/15/2029 DD 01/01/99SEC ID: 36209QVT9 GNMA POOL #0480598 6.500% 104.5840 28,535.700 29,904.51 29,843.78 0.01% -60.73 10/15/2028 DD 10/0l/98SEC ID: 36209S3F6 GNMA POOL #0512235 6.500% 104.5490 8,310.390 8,722.01 8,688.43 0.00% -33.58 11/15/2029 DD ll/0l/99SEC ID: 36211GBC6 GNMA POOL #0514326 6.500% 104.5610 77,465.640 81,181.57 80,998.85 0.02% -182.72 07/15/2029 DD 07/0l/99SEC ID: 36211JLF2 GNMA II POOL #0080023VAR RT 101.7290 137,324.150 139,598.57 139,698.48 0.04% 99.91 12/20/2026 DD 12/0l/96SEC ID: 36225CAZ9 10 Workbench ·--, ...... ,, ... Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDA TED -OCSG000 10000 6/30/2005 Status: FINAL Net Unrealized Price Cost Market Value % of Gain/Loss Description Base Shares Par Base Base Total Base GNMA II POOL #080088M 7.375% 101.4410 168,036.740 171,712.54 170,458.15 0.04% -1,254.39 06/20/2027 DD 06/01/97SEC ID: 36225CC20 GNMA II POOL #0080395VAR RT 101.5390 148,769.220 147,421.00 151,058.78 0.04% 3,637.78 04/20/2030 DD 04/01/00SEC ID: 36225CNM4 GNMA II POOL #080408XVAR RT 101.5370 1,331,760.090 1,318,234.40 1,352,229.24 0.35% 33,994.84 05/20/2030 DD 05/01/00SEC ID: 36225CN28 GNMA II POOL #0080965VAR RT 100.8930 1,229,950.760 1,229,182.03 1,240,934.22 0.32% 11,752.19 07/20/2034 DD 07 /0l/04SEC ID: 36225DCB8 GENERAL ELEC CO NTVAR RT 100.0150 6,500,000.000 6,502,203.50 6,500,975.00 1.70% -1,228.50 10/24/2005 DD 10/24/03SEC ID: 369604AZ6 GOLDMAN SACHS GRP MTN 100.1710 3,500,000.000 3,507,850.50 3,505,985.00 0.92% -1,865.50 #TR00194VAR RT 10/27/2006 DD 10/29/03SECID:38141EJB6 GOLDMAN SACHS GRP MTN 100.0930 2,000,000.000 2,001,900.00 2,001,860.00 0.52% -40.00 #TR00203VAR RT 03/30/2007 DD 04/01/04SECID:38141EJL4 GOLDMAN SACHS GRP MTN 100.5000 800,000.000 800,000.00 804,000.00 0.21% 4,000.00 #TR00207VAR RT 07/23/2009 DD 07/23/04SECID:38141EJQ3 GOLDMAN SACHS MTN # TR 99.9840 5,500,000.000 5,500,196.00 5,499,120.00 1.44% -1,076.00 00216VAR RT 08/01/2006 DD 02/01/0SSEC ID: 38141EJZ3 GOLDMAN SACHS GRPVAR RT 100.0780 4,250,000.000 4,250,000.00 4,253,315.00 1.11% 3,315.00 06/28/2010 DD 06/28/0SSEC ID: 38143UBD2 GNMA GTD REMIC TR 2000-9 100.9020 432,487.620 432,487.62 436,388.66 0.11% 3,901.04 FHVAR RT 02/16/2030SEC ID: 3837H4NX9 HSBC BK USA MTN #SR00012VAR 100.0310 250,000.000 250,170.00 250,077.50 0.07% -92.50 RT 09/21/2007 DD 09/21/04SEC ID: 4042Q0AM1 HSBC FIN CORP MTN # TR 99.9840 3,000,000.000 3,000,000.00 2,999,520.00 0.79% -480.00 00002VAR RT 02/28/2007 DD 03/29/05SECID:40429JAB3 11 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDA TED -OCSG000 10000 6/30/2005 Status: FINAL Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base HSBC FIN CORP MTN # TR 99.9530 3,000,000.000 2,995,830.00 2,998,590.00 0.79% 2,760.00 00007VAR RT 05/10/2010 DD 05/ 10/05SEC ID: 40429JAG2 HOUSEHOLD FIN CORP NT7.200% 103.0780 2,500,000.000 2,591,500.00 2,576,950.00 0.67% -14,550.00 07/15/2006 DD 07/15/99SEC ID: 441812GH1 MORGAN STANLEYVAR RT 100.0780 2,000,000.000 2,002,980.00 2,001,560.00 0.52% -1 ,420.00 01/12/2007 DD 01 / 13/04SEC ID: 61746BAK2 MORGAN STANLEY NT 3.875% 98.7340 3,200,000.000 3,149,248.00 3,159,488.00 0.83% 10,240.00 01/15/2009 DD 01 / 13/04SEC ID: 61746BALO MORGAN STANLEY NTVAR RT 100.0150 650,000.000 650,000.00 650,097.50 0.17% 97.50 11/09/2006 DD 11/12/04SEC ID: 61746SAZ2 PUBLIC SVC ELEC & GAS CO 99.9840 1,400,000.000 1,400,000.00 1,399,776.00 0.37% -224.00 lSTVAR RT 06/23/2006 DD 06/25/04SECID:744567FN3 RESIDENTIAL ASSET 03-RS 11 100.0920 443,416.800 443,416.80 443,824.74 0.12% 407.94 AIIBVAR RT 12/25/2033 DD 12/30/03SEC ID: 760985K83 SBA GTD DEV PARTN 2001-20C 16. 107.2000 2,774,342.070 2,774,342.07 2,974,094.70 0.78% 199,752.63 340% 03/01/2021SEC ID: 83162CWO SBA GTD PARTN CTFS SBIC-PS 01 106.0050 1,625,857.810 1,625,857.81 1,723,490.57 0.45% 97,632.76 6.640% 02/10/2011 DD 02/21/0lSEC ID: 831641004 TOYOTA MTR CR MTN #TR00413VAR 99.9840 2,000,000.000 1,998,188.00 1,999,680.00 0.52% 1,492.00 RT 09/18/2006 DD 03/16/05SEC ID:89233PTE6 UNITED AIRLS PASSTHRU 01-1 C 6. 29.3750 1,600,000.000 1,600,000.00 470,000.00 0.12% -1,130,000.00 831% 03/01/2010 DD 08/22/01SECID:909317BC2 U S TREASURY NOTES06.250% 104.1875 20,000,000.000 22,620,312.50 20,837,500.00 5.46% -1,782,812.50 02/15/2007 DD 02/15/97SEC ID: 9128272JO US TREASURY INFLATION INDEX 103.2190 8,490,322.860 7,550,282.94 8,763,626.35 2.30% 1,213,343.41 NT 3.375% 01/15/2007 DD 01/15/97SEC ID: 9128272M3 12 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDA TED -OCSG000 10000 6/30/2005 Status: FINAL Net Unrealized Price Cost Market Value % of Gain/Loss Description Base Shares Par Base Base Total Base US TREASURY INFLATION INDEX NT 105.8440 2,528,988.000 2,744,351.91 2,676,782.06 0.70% -67,569.85 3.625% 01/15/2008 DD 01/15/98SECID:9128273T7 US TREASURY INFLATION INDEX NT 108.8440 11,270,040.000 12,450,922.59 12,266,762.34 3.21% -184, 160.25 3.875% 01/15/2009 DD 01/15/99SECID:9128274Y5 US TREASURY NOTES05.750% 100.9065 3,900,000.000 4,288,149.14 3,935,353.50 1.03% -352,795.64 11/15/2005 DD 11/15/00SEC ID: 9128276N7 US TREASURY NOTES 4.250% 102.6560 2,100,000.000 2,148,303.45 2,155,776.00 0.56% 7,472.55 08/15/2013 DD 08/15/03SEC ID: 912828BH2 U S TREASURY NOTES 3.375% 99.0300 10,900,000.000 10,684,196.02 10,794,270.00 2.83% 110,073.98 12/15/2008 DD 12/15/03SEC ID: 912828BT6 US TREASURY INFLATION INDEXED 103.0300 105,294.000 107,501.07 108,484.41 0.03% 983.34 2.000% 01/15/2014 DD 01/15/04SEC ID: 912828BW9 US TREASURY NOTES 2.750% 99.2600 12,500,000.000 12,483,394.83 12,407,500.00 3.25% -75,894.83 06/30/2006 DD 06/30/04SEC ID: 912828CM0 US TREASURY INFLATION INDEX 103.0700 3,199,665.000 3,287,601.04 3,297,894.72 0.86% 10,293.68 NT 2.000% 07/15/2014 DD 07/15/04SECID:912828CP3 US TREASURY NOTES 2.750% 99.18 00 14,000,000.000 14,029,693.55 13,885,200.00 3.64% -144,493.55 07/31/2006 DD 07 /31/04SEC ID: 912828CQ1 US TREASURY NOTES 2.375% 98.6700 55,300,000.000 55,018,326.59 54,564,510.00 14.29% -453,816.59 08/31/2006 DD 08/31/04SEC ID: 912828CU2 US TREASURY NOTES 2.875% 99.0100 20,800,000.000 20,640,268.90 20,594,080.00 5.39% -46,188.90 11/30/2006 DD 11/30/04SEC ID: 912828DD9 U S TREASURY NOTES 3.500% 99.0900 13,920,000.000 13,733,493.75 13,793,328.00 3.61% 59,834.25 12/15/2009 DD 12/ 15/04SEC ID: 912828DE7 US TREASURY NOTES 4.000% 101.1200 20,700,000.000 20,855,679.12 20,931,840.00 5.48% 76,160.88 03/15/2010 DD 03/ 15/05SEC ID: 912828DP2 13 Workbench OCSD-CONSOLIDA TED -OCSG000 10000 Description UNITED STATES TREASURY NT 3. 750% 03/31/2007 DD 03/31/0SSEC ID: 912828DQ0 UNITED STATES TREASURY NTS 4. 000% 04/15/2010 DD 04/ 15/0SSEC ID: 912828DR8 US TREASURY NOTES 3.500% 05/31/2007 DD 05/31/0SSEC ID: 912828DW7 VIRGINIA ELEC & PWR 01 SER AS. 750% 03/31/2006 DD 03/27 /0lSEC ID: 927804EN0 Price TOTAL FIXED INCOME SECURITIES TOTAL ASSETS U.S. DOLLAR Base 100.1800 101.1200 99.7300 101.2650 TOTAL ASSETS -BASE: Asset Detail by Currency 6/30/2005 Cost Shares Par Base 42,300,000.000 42,320,924.54 10,000,000.000 10,048,054.40 11,000,000.000 10,961,244.41 1,750,000.000 1,743,840.00 402,622,031.850 406,265,995.17 449,819,427.620 383,903,244.94 449,819,427.620 383,903,244.94 14 Report ID: GL8013 Base Currency: USD Alternate Base Currency: Exchange Rate: Status: FINAL Net Unrealized Market Value % of Gain/Loss Base Total Base 42,376,140.00 11.10% 55,215.46 10,112,000.00 2.65% 63,945.60 10,970,300.00 2.87% 9,055.59 1,772,137.50 0.46% 28,297.50 404,210,902.53 105.86% -2,055,092.64 381,848,152.30 100.00% -2,055,092.64 381,848,152.30 100.00% -2,055,092.64 Workbench Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base currency: uso DCSD-CDNSDLIDATED-OCSG000lO000 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base RECEIPTS AND DISBURSEMENT TRANSACTIONS DISTRIBUTION TO PLAN ADMINISTRATOR U.S. DOLLAR CW REPS TRANSFER TO OCSSEC ID: 6/30/2005 0.000 -35,000,000.00 -35,000,000.00 0.00 NA9123459OCSF07511102: LIQUID OPER- PIMCO 6/30/2005 PURCHASES CASH & CASH EQUIVALENTS U.S. DOLLAR B FEDERAL HOME LN BK CONS DISC MAT 6/15/2005 99.9917 5,400,000.000 5,399,553.00 -5,399,553.00 0.00 06/16/2005SEC ID: 313385GY6BROKER: 6/15/2005 GOLDMAN SACHS & CO, NYOCSF07511102: 6115/2005 LIQUID OPER-PIMCO B FEDERAL HOME LN BK CONS DISC N MAT 6/16/2005 99.9918 5,400,000.000 5,399,559.00 -5,399,559.00 0.00 06/17/2005SEC ID: 313385GZ3BROKER: 6/16/2005 BARCLAYS CAPITAL INC, NEW YORKOCSF07511102: LIQUID OPER-PIMCO 5 /l5/2oo5 B FEDERAL HOME LN BK CONS DISC N MAT 6/17/2005 99.9760 5,500,000.000 5,498,680.00 -5,498,680.00 0.00 06/20/2005SEC ID: 313385HC3BROKER: 6/17/2005 CREDIT SUISSE, NEW YORKOCSF0751 l 102: 6/17/2005 LIQUID OPER-PIMCO B FEDERAL HOME LN BK CONS DISC N MAT 6/20/2005 99.9919 5,500,000.000 5,499,556.94 -5,499,556.94 0.00 06/21/2005SEC lD: 313385:fD lBROKER: 6/20/2005 CREDJT SUISSE, NEW YORKOC$F07511102: 6/20/2005 LIQUID OPER-PIMCO B FEDERAL HOME LN BK CONS DISC N MAT 6/21/2005 99.9919 5,400,000.000 5,399,562.00 -5,399,562.00 0.00 06/22/2005SEC fD: 313385_HE9BROKER: 6/21/2005 CREDIT SlJISSE, NEW YOR!s:OCSF07511102: 6;21 ;2oo5 LIQUID OPER-P.IMCO • Actual Settle Date Workbench 1 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base currency: uso OCSD-CONSOLIDATED -OCSG000lO00O 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base B FEDERAL HOME LN BK CONS DISC N MAT 6/22/2005 99.9918 5,400,000.000 5,399,559.00 -5,399,559.00 0.00 06/23/2005SEC ID: 313385HF6BROKER: 6/22/2005 CREDIT SUISSE, NEW YORKOCSF07511102: 612212005 LIQUID OPER-PIMCO B FEDERAL HOME LN BK CONS DISC N MAT 6/22/2005 99.9918 1,200,000.000 1,199,902.00 -1,199,902.00 0.00 06/23/2005SEC ID: 313385HF6BROKER: 6/22/2005 CHASE SECURITIES, NEW YORKOCSF07522202: LONG TERM OPER-6/22/2005 PIMCO B FEDERAL HOME LN BK CONS DISC N MAT 6/23/2005 99.9919 5,400,000.000 5,399,560.50 -5,399,560.50 0.00 06/24/2005SEC ID: 313385:IG4BROKER: 6/23/2005 CREDIT SUISSE, NEW YORKOCSF0751 l 102: 612312005 LIQUID OPER-PIMCO B FEDERAL HOME LN BK CONS DISC N MAT 6/24/2005 99.9754 8,000,000.000 7,998,033.33 -7,998,033.33 0.00 06/27 /2005SEC ID: 313385;!K5BROKER: 6/24/2005 CREDIT SUISSE, NEW YORKOCSF07522202: 612412005 LONG TERM OPER-PIMCO B FEDERAL HOME LN BK CONS DISC N MAT 6/24/2005 99.9754 5,400,000.000 5,398,672.50 -5,398,672.50 0.00 06/27 /2005SEC ID: 313385HK5BROKER: 6/24/2005 BARCLAYS CAPITAL INC, NEW 24 5 YORKOCSF07511102: LIQUID OPER-PIMCO 6/ /200 B FEDERAL HOME LN BK CONS DISC N MAT 6/27/2005 99.9916 5,400,000.000 5,399,548.50 -5,399,548.50 0.00 06/28/2005SEC ID: 313385HL3BROKER: 6/27/2005 LEHMAN GOVT SECS INC, NYOCSF07511102: 612712005 LIQUID OPER-PIMCO B FEDERAL HOME LN BK CONS DISC N MAT 6/27/2005 99.9916 3,100,000.000 3,099,740.81 -3,099,740.81 0.00 06/28/2005SEC ID: 313385HL3BROKER: 6/27/2005 MERRILI., LYNCH PIERCE FENNER SMITH INC 6;27 ;2oo5 NYOCSF07522202: LONG TERM OPER-PlMCO B FEDERAL HOME LN BK CONS DISC N MAT 6/28/2005 99.9914 2,700,000.000 2,699,768.25 -2,699,768.25 0.00 06/29/2005SEC ID: 313385HM1BROKER: 6/28/2005 CREDIT SUISSE, NEW YORKOCSF0751 l 102: 612812005 LIQUID OPER-PIMCO * Actual Settle Date Workbench 2 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDA TED -OCSG000 10000 6/1/2005 -6/30/2005 Status: FINAL -"""'··--·-- Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base B FEDERAL HOME LN BK CONS DISC N MAT 6/28/2005 99.9914 3,100,000.000 3,099,733.92 -3,099, 733. 92 0.00 06/29/2005SEC ID: 313385HM1BROKER: 6/28/2005 CREDIT SUISSE, NEW YORKOCSF07522202: 6;28/2005 LONG TERM OPER-PIMCO B FEDERAL HOME LN BK CONS DISC MAT 6/10/2005 99.1861 2,300,000.000 2,281,279.28 -2,281,279.28 0.00 9/9/2005SEC ID: 313385.LMGBROKER: 6/10/2005 MERRILL LYNCH PIERCE FENN.ER SMITH INC6 /l0/2005 NYOCSF075l 1102: LIQUID OPER-PIMCO B FEDERAL HOME LN MTG CORP DISC MAT 6/7/2005 99.1936 700,000.000 694,355.47 -694,355.4 7 0.00 09/06/2005SEC ID: 313397W8BROKER: 6/7/2005 CITIGROUP GBL MI<TS/SALOMON, NEW 6/7/2005 YORKOCSF0751 l 102: LIQUID OPER-PIMCO 8 FEDERAL HOME LN MTG CORP DISC 6/14/2005 99.1785 2,000,000.000 1,983,569.44 -1,983,569.44 0.00 0.000% 09/13/2005 DD 09/13/04SEC ID: 6/14/2005 313397LR0BROKER: JP MORGAN CHASE 6/14/2005 BANK/HSBC!, NEW YORKOCSF075 l l 102: LIQUID OPER-PIMCO B FEDERAL HOME LN MTG CORP DISC MAT 6/1/2005 98.5932 2,000,000.000 1,971,865.00 -1,971,865.00 0.00 11/01 /2005SEC ID: 313397NS6BROKER: 6/1/2005 MERRILL LYNCH PIERCE PENNER SMJ.TH INC 6/1/2005 NYOCSF075U 102: LIQUID OPER-PLMCO. B FEDERAL NATL MTG ASSN DISC NTS MAT 6/15/2005 99.2440 2,300,000.000 2,282,612.00 -2,282,612.00 0.00 09/07/2005SEC ID: 313589LK7BROKER: 6/15/2005 LEHMAN GOVT SECS INC, NYOCSF07522202: 6/15/2005 LONG TERM OPER-PIMCO B LEHMAN CAT 2 REPO 02.940% 06/02/2005 6/1/2005 100.0000 11,000,000.000 11,000,000.00 -11,000,000.00 0.00 DD 06/01/05SEC ID: 99436C067BROKER: 6/1/2005 LEHMAN GOVT SECS INC, NYOCSF07511102: 6/l/2005 LIQUID OPER-PIMCO B LEHMAN CAT 1 REPO REPO 02.930% 6/2/2005 100.0000 11,000,000.000 11,000,000.00 -11,000,000.00 0.00 06/03/2005 DD 06/02/05SEC ID: 6/2/2005 99436D537BROKER: LEHMAN GOVT SECS INC, NYOCSF07511102: LIQUID OPER-PIMCO 6/2J2oo5 Workbench * Actual Settle Date 3 OCSD-CONSOLIDA TED -OCSGOOO 10000 Transaction Detail Reported by Transaction Category 6/1/2005 -6/30/2005 B B B B B B B B Tran Type Description Trade Date Settle Date Reported Date LEHMAN CAT 2 REPO 02.930% 06/06/2005 6/3/2005 DD 06/03/05SEC ID: 99436F011BROKER: 6/3/2005 LEHMAN GOVT SECS INC, NYOCSF07511102: 61312005 LIQUID OPER-PIMCO LEHMAN CAT 2 REPO 02.930% 06/07/2005 6/6/2005 DD 06/06/05SEC ID: 99436G332BROKER: 6/6/2005 LEHMAN GOVT SECS INC, NYOCSF075 l 1102: 6/6/2005 LIQUID OPER-PIMCO LEHMAN CAT 1 REPO REPO 02.980% 6/7/2005 06/08/2005 DD 06/07 /05SEC ID: 6/7/2005 99436J039BROKER: LEHMAN GOVT SECS 61712005 INC, NYOCSF07511102: LIQUID OPER-PIMCO LEHMAN CAT 2 REPO 02.960% 06/09/2005 6/8/2005 DD 06/08/05SEC ID: 99436K614BROKER: 6/8/2005 LEHMAN GOVT SECS INC, NYOCSF07511102: 6 /8/2005 LIQUID OPER-PIMCO LEHMAN CAT 1 REPO REPO 02.970% 6/9/2005 06/10/2005 DD 06/09/05SEC ID: 6/9/2005 99436L976BROKER: LEHMAN GOVT SECS 6 ;9;2oo5 INC, NYOCSF07511102: LIQUID OPER-PIMCO LEHMAN CAT 1 REPO REPO 02.980% 6/10/2005 06/13/2005 DD 06/10/05SEC ID: 6/10/2005 99436N428BROKER: LEHMAN GOVT SECS 6 /l0/2005 INC, NYOCSF07511102: LIQUID OPER-PIMCO LEHMAN CAT 2 REPO 02.990% 06/14/2005 6/13/2005 DD 06/ 13/05SEC ID: 99436Q2$6BR~KER: 6/13/2005 LEHMAN OOVT SECS INC, NYOCSFOt5ll 102: 6;13;2oo5 LIQUID OP0R-PJMCO LEHMAN CAT 1 REPO REPO 03.000% 6/14/2005 06/15/2005 DD 06/14/05SEC ID: 6/14/2005 99436R544BROKER: LEHMAN GOVT SECS 6;14 ;2oo5 INC, NYOCSF07511102: LIQUID OPER-PIMCO * Actual Settle Date Local Price Base Price Base Ex Rate 100.0000 100.0000 100.0000 100.0000 100.0000 100.0000 100.0000 100.0000 4 Shares/Par 11,000,000.000 11,000,000.000 9,000,000.000 10,300,000.000 10,300,000.000 13,000,000.000 13,000,000.000 13,000,000.000 Cost Base 11,000,000.00 11,000,000.00 9,000,000.00 10,300,000.00 10,300,000.00 13,000,000.00 13,000,000.00 13,000,000.00 Report ID: EWBA09 Base Currency: USD Status: FINAL Amount Base -11,000,000.00 -11,000,000.00 -9,000,000.00 -10,300,000.00 -10,300,000.00 -13,000,000.00 -13,000,000.00 -13,000,000.00 Net Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Workbench OCSD-CONSOLIDA TED -OCSG000 10000 Tran Type Description Transaction Detail Reported by Transaction Category 6/ 1/2005-6/30/2005 Trade Date Settle Date Reported Date Local Price Base Price Base Ex Rate Shares/Par Cost Base B LEHMAN CAT 1 REPO REPO 03.000% 6/15/2005 100.0000 14,700,000.000 14,700,000.00 B B B B B B B 06/16/2005 DD 06/ 15/05SEC ID: 6/15/2005 99436T003BROKER: LEHMAN GOVT SECS 6/15/2005 INC, NYOCSF07511102: LIQUID OPER-PIMCO LEHMAN CAT 1 REPO REPO 02.950% 6/16/2005 06/17/2005 DD 06/ 16/05SEC ID: 6/16/2005 99436U596BROKER: LEHMAN GOVT SECS 6;16;2oo5 INC, NYOCSF07511102: LIQUID OPER-PIMCO LEHMAN CAT 2 REPO 02.920% 06/20/2005 6/17/2005 DD 06 / 17 / 05SEC ID: 99436W071BROKER: 6/17/2005 LEHMAN GOVT SECS INC, NYOCSF07511102: 6/ 17 ;2oo5 LIQUID OPER-PJMCO CREDIT SUISSE FB REPO 02.920% 06/21/2005 DD 06/20/05SEC ID: 99436X301BROKER: CREDIT SUISSE, NEW YORKOCSF07522202: LONG TERM OPER- PIMCO 6/20/2005 6/20/2005 6/20/2005 LEHMAN CAT 2 REPO 02.920% 06/21/2005 6/20/2005 DD 06/20/05SEC ID: 99436X517BROKER: 6/20/2005 LEHMAN GOVT SECS INC, NYOCSF07511102: 6;2o;2oo5 LIQUID OPER-PIMCO LEHMAN CAT 1 REPO REPO 02.930% 6/21/2005 06/22/2005 DD 06/21/0SSEC ID: 6 /21/2005 99436Y812BROKER: LEHMAN GOVT SECS 6/21/2005 INC, NYOCSF07511102: LIQUID OPER-PIMCO CREDIT SUISSE FB REPO 02.930% 06/22/2005 DD 06/21/05SEC ID: 99436Y820BROKER: CREDIT SUISSE, NEW YORKOCSF07522202: LONG TERM OPER- PIMCO 6/21/2005 6/21/2005 6/21/2005 LEHMAN CAT 2 REPO 02.970% 06/24/2005 6/23/2005 DD 06/23 /0SSEC ID: 994378795BR~KER: 6/23/2005 LEHMAN GOVT SECS INC, NYOCSF0r511102: 6;23;2oos LIQUfD OPER-PIMCO • Actual Settle Date 100.0000 14,700,000.000 14,700,000.00 100.0000 14,700,000.000 14,700,000.00 100.0000 11,500,000.000 11,500,000.00 100.0000 14,700,000.000 14,700,000.00 100.0000 14,800,000.000 14,800,000.00 100.0000 11,600,000.000 11,600,000.00 100.0000 14,800,000.000 14,800,000.00 5 Report ID: EWBA09 Base Currency: USD Status: FINAL Amount Base Net Gain/Loss Base -14, 700,000.00 0.00 -14, 700,000.00 0.00 -14,700,000.00 0.00 -11,500,000.00 0.00 -14, 700,000.00 0.00 -14,800,000.00 0.00 -11,600,000.00 0.00 -14,800,000.00 0.00 Workbench Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USO OCSD-CONSOLIDA TED -OCSG000 10000 6/ 1/2005-6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base B LEHMAN CAT 2 REPO 02.970% 06/24/2005 6/23/2005 100.0000 1,500,000.000 1,500,000.00 -1 ,500,000.00 0.00 DD 06/23/05SEC ID: 99437B795BROKER: 6/23/2005 LEHMAN GOVT SECS INC, NYOCSF07522202: 612312005 LONG TERM OPER-PIMCO B LEHMAN CAT 2 REPO 02.940% 06/27/2005 6/24/2005 100.0000 14,800,000.000 14,800,000.00 -14,800,000.00 0.00 DD 06/24/05SEC ID: 99437D429BROKER: 6/24/2005 LEHMAN GOVT SECS INC, NYOCSF07511102: 612412005 LIQUID OPER-PIMCO B LEHMAN CAT 1 REPO REPO 03.000% 6/27/2005 100.0000 14,800,000.000 14,800,000.00 -14,800,000.00 0.00 06/28/2005 DD 06/27 /05SEC ID: 6/27/2005 99437E849BROKER: LEHMAN GOVT SECS 6/27/2005 INC, NYOCSF07511102: LIQUID OPER-PIMCO B LEHMAN CAT 1 REPO REPO 03.070% 6/28/2005 100.0000 14,800,000.000 14,800,000.00 -14,800,000.00 0.00 06/29/2005 DD 06/28/05SEC ID: 6/28/2005 99437G547BROKER: LEHMAN GOVT SECS 6128/2005 INC, NYOCSF07511102: LIQUID OPER-PIMCO B DREYFUS TREASURY CASH MGMTSEC ID: 6/1/2005 1.0000 29,219.270 29,219.27 -29,219.27 0.00 996085247OCSF0751 l 102: LIQUID OPER-6/1/2005 PIMCO 6/1/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 6/1/2005 1.0000 13,828.980 13,828.98 -13,828.98 0.00 996085247OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/1/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 6/2/2005 1.0000 2,403.970 2,403.97 -2,403.97 0.00 99608524 7OCSF07511102: LIQUID OPER-6/2/2005 PIMCO 6/2/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 6/2/2005 1.0000 231,755.130 231,755.13 -231,755.13 0.00 996085247OCSF07522202: LONG TERM 6/2/2005 OPER-PIMCO 6/2/2005 Workbench • Actual Settle Date 6 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDA TED -OCSG000l0000 6/1/2005 -6/30/2005 Status: FINAL w,_,_,. __ --- Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base B DREYFUS TREASURY CASH MGMTSEC ID: 6/3/2005 1.0000 895.280 895.28 -895.28 0.00 996085247OCSF07511102: LIQUID OPER-6/3/2005 PIMCO 6/3/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 6/6/2005 1.0000 665,443.110 665,443.11 -665,443.11 0.00 996085247OCSF07522202: LONG TERM 6/6/2005 OPER-PIMCO 6/6/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 6/6/2005 1.0000 2,685.830 2,685.83 -2,685.83 0.00 996085247OCSF07511102: LIQUID OPER-6/6/2005 PIMCO 6/6/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 6/7/2005 1.0000 1,306,539.810 1,306,539.81 -1,306,539.81 0.00 996085247OCSF07511102: LIQUID OPER-6/7/2005 PIMCO 6/7/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 6/9/2005 1.0000 846.890 846.89 -846.89 0.00 996085247OCSF07511102: LIQUID OPER-6/9/2005 PIMCO 6/9/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 6/10/2005 1.0000 19,570.470 19,570.47 -19,570.47 0.00 996085247OCSF07511102: LIQUID OPER-6/10/2005 PIMCO 6/10/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 6/13/2005 1.0000 3,228.330 3,228.33 -3,228.33 0.00 99608524 7OCSF07511102: LIQUID OPER-6/13/2005 PIMCO 6/13/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 6/14/2005 1.0000 20,995.800 20,995.80 -20,995.80 0.00 996085247OCSF07511102: LIQUID OPER-6/14/2005 PIMCO 6/14/2005 Workbench * Actual Settle Date 7 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000l0000 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base B DREYFUS TREASURY CASH MGMTSEC ID: 6/15/2005 1.0000 905.330 905.33 -905.33 0.00 99608524 7OCSF075 l l 102: LIQUID OPER-6/15/2005 PIMCO 6/15/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 6/15/2005 1.0000 344,391.960 344,391.96 -344,391.96 0.00 996085247OCSF07522202: LONG TERM 6/15/2005 OPER-PIMCO 6/15/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 6/16/2005 1.0000 10,848.330 10,848.33 -10,848.33 0.00 996085247OCSF07522202: LONG TERM 6 /16/2005 OPER-PIMCO 6/16/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 6/16/2005 1.0000 1,666.000 1,666.00 -1,666.00 0.00 99608524 7OCSF07511102: LIQUID OPER-6/16/2005 PIMCO 6/16/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 6/17/2005 1.0000 285,388.660 285,388.66 -285,388.66 0.00 996085247OCSF07522202: LONG TERM 6/17/2005 OPER-PIMCO 6/17/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 6/20/2005 1.0000 4,020.060 4,020.06 -4,020.06 0.00 99608524 7OCSF07511 l02: LIQUID OPER-6/20/2005 PIMCO 6/20/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 6/21/2005 1.0000 1,630.330 1,630.33 -1,630.33 0.00 99608524 7OCSF0751 l l02: LIQUID OPER-6/21/2005 PIMCO 6/21/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 6/22/2005 1.0000 14,801,645.560 14,801,645.56 -14,801,645.56 0.00 996085247OCSF0751 l 102: LIQUID OPER-6/22/2005 PIMCO 6/22/2005 Workbench * Actual Settle Date 8 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDA TED -OCSG000 10000 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base 8 DREYFUS TREASURY CASH MGMTSEC ID: 6/22/2005 1.0000 259,710.710 259,710.71 -259,710.71 0.00 996085247OCSF07522202: LONG TERM 6/22/2005 OPER-PIMCO 6/22/2005 8 DREYFUS TREASURY CASH MGMTSEC ID : 6/24/2005 1.0000 2,548.500 2,548.50 -2,548.50 0.00 996085247OCSF07511102: LIQUID OPER-6/24/2005 PIMCO 6/24/2005 8 DREYFUS TREASURY CASH MGMTSEC ID: 6/27/2005 1.0000 4,077.500 4,077.50 -4,077.50 0.00 996085247OCSF07511102: LIQUID OPER-6/27/2005 PIMCO 6/27/2005 8 DREYFUS TREASURY CASH MGMTSEC ID: 6/27/2005 1.0000 5,536,255.970 5,536,255.97 -5,536,255. 97 0.00 996085247OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 8 DREYFUS TREASURY CASH MGMTSEC ID: 6/28/2005 1.0000 2,701,465.080 2,701,465.08 -2,701,465.08 0.00 996085247OCSF07511102: LIQUID OPER-6/28/2005 PIMCO 6/28/2005 8 DREYFUS TREASURY CASH MGMTSEC ID: 6/29/2005 1.0000 3,106,697.010 3,106,697.01 -3, 106,697.01 0.00 996085247OCSF07522202: LONG TERM 6/29/2005 OPER-PIMCO 6/29/2005 8 DREYFUS TREASURY CASH MGMTSEC ID : 6/29/2005 1.0000 18,501,262.110 18,501,262.11 -18,501,262.11 0.00 99608524 7OCSF07511102: LIQUID OPER-6/29/2005 PIMCO 6/29/2005 8 BSDT-LATE MONEY DEPOSIT ACCTSEC ID: 6/22/2005 1.0000 13,225.000 13,225.00 -13,225.00 0.00 996087094OCSF07522202: LONG TERM 6/22/2005 OPER-PIMCO 6/22/2005 Workbench • Actual Settle Date 9 OCSD-CONSOLIDA TED -OCSG000 10000 Tran Type Description Transaction Detail Reported by Transaction Category 6/1/2005 -6/30/2005 Trade Date Settle Date Reported Date Local Price Base Price Base Ex Rate Shares/Par Cost Base TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: 394,073,150.980 393,978,261.92 TOTAL CASH & CASH EQUIVALENTS BASE: FIXED INCOME SECURITIES U.S. DOLLAR B B B 18 B 18 COMMIT TO PUR FNMA SF MTG 5.000% 5/13/2005 06 /01/2020 DD 06/0l /05SEC1D: . 6/16/2005 O l F050460BROF.."ER: BARCLA VS CAPITAL 6 / l / 2005 rNC, NEW YORKOCSF07522202: LONG TERM OPER-PIMCO COMMIT TO PUR FNMA SF MTG 5.000% 6/10/2005 07/01/2020 DD 07/0l/05SEC ID: 7/19/2005 01F050478BROKER: BARCLAYS CAPITAL 6/l0/2005 INC, NEW YORKOCSF07522202: LONG TERM OPER-PIMCO CIT GROUP INC SR NT 7.375% 04/02/2007 6/7/2005 DD 04/0l/02SEC ID: 125581AA6BROKER: 6/10/2005 MORGAN STANLEY & CO INC, 6/7/2005 NYOCSF07522202: LONG TERM OPER-PIMCO CIT GROUP INC SR NT 7.375% 04/02/2007 6/7/2005 DD 04/0l/02SEC ID, 125581AA6BROI<ER: 6/10/2005 MORGAN STANLEY & CO INC, NYOCSF07522202: LONG TERM OPER-PIMCO 6 /7 /2oo 5 CIT GROUP INC SR NT 7.375% 04/02/2007 DD 04/01/02SEC ID: 125581AA6BROKER: MCDONALD & CO, NEW YORKOCSF07522202: LONG TERM OPER- PIMCO CIT GROUP INC SR NT 7.375% 04/02/2007 DD 04/0l/02SEC ID: 125581AA6BROKER: MCDONALD & CO, NEW YORKOCSF07522202: LONG TERM OPER- PIMCO 6/22/2005 6/27/2005 6/22/2005 6/22/2005 6/27/2005 6/22/2005 • Actual Settle Date 394,073,150.980 393,978,261.92 100.7188 500,000.000 503,593.75 100.7813 500,000.000 503,906.25 105.6380 3,000,000.000 3,169,140.00 105.6380 0.000 0.00 105.4480 600,000.000 632,688.00 105.4480 0.000 0.00 10 ReportID: EWBA09 Base Currency: USD Status: FINAL Amount Base -393,978,261.92 -393,978,261.92 -503,593. 75 -503, 906.25 -3, 169,140.00 -41,791.67 -632,688.00 -10,447.91 Net Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Workbench Transaction Detail ReportlD: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDA TED -OCSG000 10000 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base 8 FEDERAL HOME LN BKS CONS BD VAR RT 6/2/2005 95.0900 1,300,000.000 1,236,170.00 -1,236,170.00 0.00 02/27/2012 DD 02/27 /04SEC ID: 6/3/2005 3133X3SQ78ROKER: GOLDMAN SACHS & 6/2/2005 CO, NYOCSF07522202: LONG TERM OPER- PIMCO 18 FEDERAL HOME LN BKS CONS BD VAR RT 6/2/2005 95.0900 0.000 0.00 -2,069.31 0.00 02/27/2012 DD 02/27 /04SEC ID: 6/3/2005 3133X3SQ7BROKER: GOLDMAN SACHS & 6/2/2005 CO, NYOCSF07522202: LONG TERM OPER- PIMCO 8 FEDERAL HOME LN BKS CONS BD VAR RT 6/3/2005 94.9750 1,400,000.000 1,329,650.00 -1,329,650.00 0.00 02/27/2012 DD 02/27 /04SEC ID: 6/6/2005 3133X3SQ7BROKER: GOLDMAN SACHS & 6/3/2005 CO, NYOCSF07522202: LONG TERM OPER- PIMCO 18 FEDERAL HOME LN BKS CONS BD VAR RT 6/3/2005 94.9750 0.000 0.00 -3, 183.56 0.00 02/27/2012 DD 02/27 /04SEC ID: 6/6/2005 3133X3SQ7BROKER: GOLDMAN SACHS & 6/3/2005 CO, NYOCSF07522202: LONG TERM OPER- PIMCO 8 GOLDMAN SACHS GRP VAR RT 06/28/2010 6/21/2005 100.0000 4,250,000.000 4,250,000.00 -4,250,000.00 0.00 DD 06/28/05SEC ID: 38143UBD2BROl{ER: 6/28/2005 GOLDMAN SACHS & CO, NYOCSF07522202: 612112005 LONG TERM OPER-PIMCO B PUBLIC SVC ELEC & GAS CO 1ST VAR RT 6/9/2005 100.0000 1,400,000.000 1,400,000.00 -1,400,000.00 0.00 06/23/2006 DD 06/25/04SEC ID: 6/14/2005 744567FN3BROKER: JP MORGAN CHASE 6/9/2005 BANK/HSBC!, NEW YORKOCSF07522202: LONG TERM OPER-PIMCO 18 PUBLIC SVC ELEC & GAS CO 1ST VAR RT 6/9/2005 100.0000 0.000 0.00 -10,256.26 0.00 06/23/2006 DD 06/25/04SEC ID: 6/14/2005 744567FN3BROKER: JP MORGAN CHASE 6/9/2005 BANK/HSBC!, NEW YORKOCSF07522202: LONG TERM OPER-PIMCO 8 US TREASURY NOTES 4.250% 08/15/2013 6/1/2005 103.0039 2,100,000.000 2,163,082.03 -2, 163,082.03 0.00 DD 08/15/03SEC ID: 912828BH2BROKER: 6/2/2005 MORGAN STANLEY & CO INC, NYOCSF07522202: LONG TERM OPER-PIMCO 5/ l/2oo5 Workbench * Actual Settle Date 11 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000lO000 6 / 1 / 2005 -6/30/2005 Status: FINAL ---- Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base IB US TREASURY NOTES 4.250% 08/15/2013 6/1/2005 103.0039 0.000 0.00 -26,380.52 0.00 DD 08/15/03SEC ID: 912828BH2BROKER: 6/2/2005 MORGAN STANLEY & CO .INC, NYOCS!?07522202: LONG TERM OPER-PIMCO 5/ l /2oo5 B US TREASURY NOTES 4.250% 08/15/2013 6/14/2005 101.4080 2,100,000.000 2,129,567.04 -2,129,567.04 0.00 DD 08/15/03SEC ID: 912828BH2BROKER: 6/30/2005 CREDIT SUISSE, NEW YORKOCSF07522202: 6/ 1412005 LONG TERM OPER-PIMCO IB US TREASURY NOTES 4.250% 08/15/2013 6/14/2005 101.4080 0.000 0.00 -33,283.84 0.00 DD 08/ 15/03SEC TD: 912828BH2BROKER: 6/30/2005 CREDIT SUISSE, NEW YORKOCSF07522202: 6/ 1412005 LONG TERM OPER-PIMCO B US TREASURY NOTES 4.250% 08/15/2013 6/29/2005 102.3002 2,100,000.000 2,148,303.45 -2, 148,303.45 0.00 DD 08/ 15/03SEC ID: 912828BH2BROKER: 7/28/2005 CREDIT SUISSE, NEW YORKOCSF07522202: 612912005 LONG TERM OPER-PIMCO IB US TREASURY NOTES 4.250% 08/15/2013 6/29/2005 102.3002 0.000 0.00 -40,187.15 0.00 DD 08/ 15/03SEC ID: 912828BH2BROKER: 7/28/2005 CRED11' SUISSE, NEW YORKOCSF07522202: 6/29/2005 LONG TERM OPER-PIMCO B US TREASURY NOTES 4.000% 03/15/2010 6/14/2005 100.5251 20,700,000.000 20,808,696.53 -20,808,696.53 0.00 DD 03/15/05SEC ID: 912828DP2BROKER: 6/30/2005 UBS SECURITIES LLC, 1 STAMFORDOCSF07522202: LONG TERM 5/ 4/2oo 5 OPER-PIMCO IB US TREASURY NOTES 4.000% 03/15/2010 6/14/2005 100.5251 0.000 0.00 -240,750.00 0.00 DD 03/15/05SEC ID: 912828DP28ROKER: 6/30/2005 UBS SECURITIES LLC, 6/14/2005 STi\MFORDOCSF07522202: LONG TERM OPER-PIMCO B US TREASURY NOTES 4.000% 03/15/2010 6/30/2005 101.0368 16,500,000.000 16,671,074.64 -16,671,074.64 0.00 DD 03/15/05SEC ID: 912828DP2BROKER: 7/20/2005 CREDIT SUISSE, NEW YORKOCSF07522202: 6 /30/2005 LONG TERM OPER-PIMCO Workbench * Actual Settle Date 12 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDA TED -OCSG000 10000 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base 18 US TREASURY NOTES 4.000% 03/15/2010 6/30/2005 101.0368 0.000 0.00 -227,771.74 0.00 DD 03/15/05SEC ID: 912828DP2BROKER: 7/20/2005 CREDIT SUISSE, NEW YORKOCSF07522202: 6130;2005 LONG TERM OPER-PIMCO B UNITED STATES TREASURY NT 3.750% 6/17/2005 100.0839 8,800,000.000 8,807,379.59 -8,807,379.59 0.00 03/31/2007 DD 03/31/05SEC ID: 6/22/2005 912828DQOBROKER: GOLDMAN SACHS & 6/17/2005 CO, NYOCSF07522202: LONG TERM OPER- PIMCO 18 UNITED STATES TREASURY NT 3.750% 6/17/2005 100.0839 0.000 0.00 -74,836.07 0.00 03/31/2007 DD 03/31/05SEC ID: 6/22/2005 912828DQOBROKER: GOLDMAN SACHS & 6/17/2005 CO, NYOCSF07522202: LONG TERM OPER- PIMCO B UNITED STATES TREASURY NT 3.750% 6/21/2005 100.0495 42,300,000.000 42,320,924.54 -42,320, 924.54 0.00 03/31/2007 DD 03/31/05SEC ID: 7/20/2005 912828DQOBROKER: LEHMAN GOVT SECS 6/21/2005 INC, NYOCSF07522202: LONG TERM OPER- PIMCO LB UNITED STATES TREASURY NT 3.750% 6/21/2005 100.0495 0.000 0.00 -481,075.82 0.00 03/31/2007 DD 03/31/05SEC ID: 7/20/2005 912828DQOBROKER: LEHMAN GOVT SECS 6/21/2005 INC, NYOCSF07522202: LONG TERM OPER- PIMCO B UNITED STATES TREASURY NTS 4.000% 6/14/2005 100.4805 10,000,000.000 10,048,054.40 -10,048,054.40 0.00 04/15/2010 DD 04/15/05SEC ID: 6/22/2005 912828DR8BROKER: MERRILL LYNCH 6/14/2005 PIERCE FENNER SMITH INC NYOCSF07522202: LONG TERM OPER-PIMCO 18 UNITED STATES TREASURY NTS 4.000% 6/14/2005 100.4805 0.000 0.00 -74,316.94 0.00 04/15/2010 DD 04/15/05SEC ID: 6/22/2005 912828DR8BROKER: MERRILL LYNCH 6/14/2005 PIERCE FENNER SMITH INC NYOCSF07522202: LONG TERM OPER-PIMCO 8 US TREASURY NOTES 3.500% 05/31/2007 6/16/2005 99.6211 11,000,000.000 10,958,320.31 -10, 958,320.31 0.00 DD 05/31/0SSEC ill: 912828DW7BROIIBR: 6/17/2005 LEHMAN GOVT SECS lNC, NYOCSF07522202: 6/16/2005 LONG TERM OPER-PIMCO Workbench * Actual Settle Date 13 OCSD-CONSOLIDA TED -OCSG000l0000 Transaction Detail Reported by Transaction Category 6/1/2005 -6/30/2005 Tran Trade Date Settle Date Reported Date Type Description 18 B 18 B 18 US TREASURY NOTES 3.500% 05/31/2007 6/16/2005 DD 05/31/05SEC ID: 912828DW7BROKER: 6/17/2005 LEHMAN GOVT SECS INC, NYOCSF07522202: 6/16/2005 LONG TERM OPER-PIMCO US TREASURY NOTES 3.500% 05/31/2007 DD 05/31/05SEC ID; 912828DW7BROKER: CREDIT SUISSE, NEW YORKOCSF07522202: LONG TERM OPER-PIMCO US TREASURY NOTES 3.500% 05/31/2007 DD 05/31/0SSEC ill: 912828DW7BROKER: CREDI'F SUISSE, NEW YORKOCSF07522202: LONG TERM OPER-PrMCO 6/17/2005 6/30/2005 6/17/2005 6/17/2005 6/30/2005 6/17/2005 US TREASURY NOTES 3.500% 05/31/2007 6/29/2005 DD 05/31 /OSSEC JD: 912828DW7BROKER: 7/20/2005 LEHMAN' GOVT SECS LNC, NYO8SF07522202: 612912005 LONG TERM OPER-PlMCO US TREASURY NOTES 3.500% 05/31/2007 6/29/2005 DD 05/31/05SEC ID: 912828DW7BR_?KER: 7/20/2005 LEHMAN GQVT SECS INC, NYOCSF0r522202: 6I29;2oo5 LONG TERM OPER-PIMCO Local Price Base Price Base Ex Rate 99.6211 99.6012 99.6012 99.6942 99.6942 TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: TOTAL FIXED INCOME SECURITIES BASE: PAY UPS FIXED INCOME SECURITIES U.S. DOLLAR * Actual Settle Date TOTAL PURCHASES BASE: 14 Shares/Par 0.000 11,000,000.000 0.000 11,000,000.000 0.000 150,550,000.000 150,550,000.000 544,623,150.980 Cost Base 0.00 10,956,130.24 0.00 10,966,358.59 0.00 151,003,039.36 151,003,039.36 544,981,301.28 Report ID: EWBA09 Base Currency: USD Status: FINAL Amount Base -17,882.51 -10,956, 130.24 -31,557.38 -10,966,358.59 -52,595.63 -152,371,425.67 -152,371,425.67 -546,349,687.59 Net Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Workbench OCSD-CONSOLIDA TED -OCSG000 10000 Transaction Detail Reported by Transaction Category 6/1/2005 -6/30/2005 Tran Type Description Trade Date Settle Date Reported Date Local Price Base Price Base Ex Rate PU PU PU PU PU SALES US TREASURY INFLATION INDEX NT 3.375% 1/15/2005 01 /15/2007 DD 0 1/15/97SEC ID: 1/15/2005 9128272M30CSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/30/2005 ·k 3.625% 1/15/2005 US TREASURY INFLATION INDEX NT 01/15/2008 DD 01 / 15/98SEC ID: 9128273T7OCSF07522202: LONG TERM OPER-PIMCO 1/15/2005 6/1/2005 6/30/2005 * 3.875% 1/15/2005 US TREASURY INFLATION INDEX NT 01/15/2009 DD 01/ 15/99SEC ID: 9128274Y5OCSF07522202: LONG TERM OPER-PIMCO 1/15/2005 6/1/2005 6/30/2005 • 2.000% 1/15/2005 US TREASURY INFLATION INDEXED 01 /15/2014 DD 01/15/04SEC ID: 912828BW9OCSF07522202: LONG TERM OPER-PlMCO 1/15/2005 6/1/2005 6/30/2005 * 2.000% 1/15/2005 US TREASURY INFLATION INDEX NT 07/15/2014 DD 07 /15/04SEC ID: 912828CP3OCSF07522202: LONG TERM OPE:R-PJMCO 1/15/2005 6/1/2005 6/30/2005 * TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: TOTAL FIXED INCOME SECURITIES BASE: TOTAL PAY UPS BASE: CASH & CASH EQUIVALENTS U.S. DOLLAR * Actual Settle Date 100.0000 100.0000 100.0000 100.0000 100.0000 15 Shares/Par 56,971.360 16,968.000 75,620.000 1,806.000 21,452.000 172,817.360 172,817.360 172,817.360 Cost Base 56,971.36 16,968.00 75,620.00 1,806.00 21,452.00 172,817.36 172,817.36 172,817.36 Report ID: EWBA09 Base Currency: USD Status: FINAL Amount Base -56,971.36 -16,968.00 -75,620.00 -1,806.00 -21,452.00 -172,817.36 -172,817.36 -172,817.36 Net Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Workbench Transaction Detail ReportlD: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDA TED -OCSGOOO 10000 6/ 1/2005-6/30/2005 Status: FINAL -- Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base s FEDERAL HOME LN BK CONS DISC N MAT 6/6/2005 99.7944 -2,000,000.000 -1,995,888.89 1,995,888.89 0.00 06/ 17 /2005SEC ID: 313385GZ3BROKER: 6/6/2005 MORGAN STANLEY & CO INC, NYOCSF07522202: LONG TERM OPER-PIMCO 5/5/2oo5 IS FEDERAL HOME LN BK CONS DISC N MAT 6/6/2005 99.7944 0.000 0.00 2,387.78 0.00 06/ 17 /2005SEC ID: 313385GZ3BROKER: 6/6/2005 MORGAN STANLEY & CO INC, NYOCSF07522202: LONG TERM OPER-PIMCO 5/5/2oo5 s FEDERAL HOME LN BK CONS DISC N MAT 6/10/2005 99.7944 -3,200,000.000 -3, 193,422.22 3,193,422.22 0.00 06/17 /2005SEC ID: 313385GZ3BROKER: 6/10/2005 LEHMAN GOVT SECS INC, NYOCSF07522202: 6/ l0/2005 LONG TERM OPER-PIMCO IS FEDERAL HOME LN BK CONS DISC N MAT 6/10/2005 99.7944 0.000 0.00 4,773.34 0.00 06/17/2005SEC ID: 313385GZ3BROKER: 6/10/2005 LEHMAN GOVT SECS INC, NYOCSF07522202:6/l0/2005 LONG TERM OPER-PIMCO s FEDERAL HOME LN BK CONS DISC N MAT 6/14/2005 99.7944 -1,000,000.000 -997, 944 .44 997,944.44 0.00 06/ 17 /2005SEC ID: 313385GZ3BROKER: 6/14/2005 BARCLAYS CAPITAL INC, NEW 6/14/2005 YORKOCSF07522202: LONG TERM OPER- PIMCO IS FEDERAL HOME LN BK CONS DISC N MAT 6/14/2005 99.7944 0.000 0.00 1,913.89 0.00 06/ 17 /2005SEC ID: 313385GZ3BROKER: 6/14/2005 BARCLAYS CAPITAL INC, NEW 6/14/2005 YORKOCSF07522202: LONG TERM OPER- PIMCO s FEDERAL HOME LN BK CONS DISC N MAT 6/30/2005 99.4993 -1,000,000.000 -994,993.19 994,993.19 0.00 07 /22/2005SEC ID: 313385JL1BROKER: 6/30/2005 BANC OF AMERICA SEC LLC, SAN 6/30/2005 FRANCISCOOCSF07511102: LIQUID OPER- PIMCO IS FEDERAL HOME LN BK CONS DISC N MAT 6/30/2005 99.4993 0.000 0.00 3,149.03 0.00 07 /22/2005SEC ID: 313385JL1BROKER: 6/30/2005 BANC OF AMERICA SEC LLC, SAN 6/30/2005 FRANCJSCOOCSF07511102: LIQUID OPER- PIMCO Workbench • Actual Settle Date 16 Transaction Detail ReportlD: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED-OCSG000l0000 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base s FEDERAL HOME LN MTG ASSN DISC MAT 6/30/2005 99.2360 -3,000,000.000 -2,977,080.00 2,977,080.00 0.00 07 / 12/2005SEC ID: 313397JA0BROKER: 6/30/2005 UBS SECURITIES LLC, 6/30/2005 STAMFORDOCSF07511102: LIQUID OPER- PIMCO JS FEDERAL HOME LN MTG ASSN DISC MAT 6/30/2005 99.2360 0.000 0.00 19,820.00 0.00 07 / 12/2005SEC ID: 313397JA0BROKER: 6/30/2005 UBS SECURITIES LLC, 6/30/2005 STAMFORDOCSF07511102: LIQUID OPER- PIMCO s FEDERAL HOME LN MTG CORP DISC MAT 6/30/2005 99.3972 -1, 100,000.000 -1,093,369.44 1,093,369.44 0.00 08/02/2005SEC ID: 313397JX0BROKER: 6/30/2005 MORGAN STANLEY & CO INC, 6/30/2005 NYOCSF07511102: LIQUID OPER-PIMCO IS FEDERAL HOME LN MTG CORP DISC MAT 6/30/2005 99.3972 0.000 0.00 3,413.98 0.00 08/02/2005SEC ID: 313397JX0BROKER: 6/30/2005 MORGAN STANLEY & CO INC, 6/30/2005 NYOCSF07511102: LIQUID OPER-PIMCO s FEDERAL HOME LN MTG CORP DISC MAT 6/30/2005 99.2447 -700,000.000 -694,712.67 694,712.67 0.00 08/09/2005SEC ID: 313397KE0BROKER: 6/30/2005 UBS SECURITIES LLC, 6/30/2005 STAMFORDOCSF07511102: LIQUID OPER- PIMCO IS FEDERAL HOME LN MTG CORP DISC MAT 6/30/2005 99.2447 0.000 0.00 2,790.67 0.00 08/09/2005SEC ID: 313397KE0BROKER: 6/30/2005 UBS SECURITIES LLC, 6/30/2005 STAMFORDOCSF07511102: LIQUID OPER- PIMCO s FEDERAL HOME LN MTG CORP DISC MAT 6/14/2005 99.2027 -400,000.000 -396,810.66 396,810.66 0.00 08/23/2005SEC ID: 313397KU4BROKER: 6/14/2005 BANC OF AMERICA SEC LLC, SAN 6/14/2005 FRANCISCOOCSF07522202: LONG TERM OPER-PIMCO IS FEDERAL HOME LN MTG CORP DISC MAT 6/14/2005 99.2027 0.000 0.00 856.00 0.00 08/23/2005SEC ID: 313397KU4BROKER: 6/14/2005 BANC OF AMERJCA SEC LLC, SAN 6/14/2005 FRANCISCOOCSF07522202: LONG TERM OPER-PIMCO Workbench * Actual Settle Date 17 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base currency: usn OCSD-CONSOLIDA TED -OCSG000 10000 6 / 1 / 2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base S FEDERAL HOME LN MTG CORP DISC MAT 6/17/2005 99.2027 -100,000.000 -99,202.67 99,202.67 0.00 08/23/2005SEC ID: 313397KU4BROKER: 6/17/2005 BANC OF AMERICA SEC LLC, SAN FRANCISCOOCSF07522202: LONG TERM 6/17/2005 OPER-PIMCO IS FEDERAL HOME LN MTG CORP DISC MAT 6/17/2005 99.2027 0.000 0.00 313.44 0.00 08/23/2005SEC ID: 313397KU4BROKER: 6/17/2005 BANC OF AMERICA SEC LLC, SAN FRANCISCOOCSF07522202: LONG TERM 6 /17/2005 OPER-PIMCO S FEDERAL NATL MTG ASSN DISCOUNT MAT 6/30/2005 99.1782 -4,800,000.000 -4, 760,553.34 4,760,553.34 0.00 08/08/2005SEC ID: 313589KD4BROKER: 6/30/2005 UBS SECURITIES LLC, STAMFORDOCSF07511102: LIQUID OPER-5 /3o/2oo5 PIMCO IS FEDERAL NATL MTG ASSN DISCOUNT MAT 6/30/2005 99.1782 0.000 0.00 22,806.66 0.00 08/08/2005SEC ID: 313589KD4BROKER: 6/30/2005 UBS SECURITIES LLC, STAMFORDOCSF07511102: LIQUID OPER-5/3o/2oo5 PIMCO S FEDERAL NATL MTG ASSN DISC NTS MAT 6/17/2005 99.2440 -2,300,000.000 -2,282,612.00 2,282,612.00 0.00 09 /07 /2005SEC ID: 313589~K7BROKER: 6/17/2005 CREDIT SUISSE, NEW YORKOCSF07522202: 6/17/2005 LONG TERM OPER-PIMCO IS FEDERAL NATL MTG ASSN DISC NTS MAT 6/17/2005 99.2440 0.000 0.00 885.50 0.00 09/07 /2005SEC ID: 313589LK7BROKER: 6/17/2005 CREDIT SUISSE, NEW YORKOCSF07522202: 6/ l 7 /2005 LONG TERM OPER-PIMCO S GENERAL ELEC CAP DISC 07 / ll/2005SEC 6/30/2005 99.2400 -200,000.000 -198,480.00 198,480.00 0.00 ID: 36959HUB1BROKER: BANC OF AMERICA 6/30/2005 SEC LLC, SAN FRANCISCOOCSF07511102: 6/30/2005 LIQUID OPER-PIMCO IS GENERAL ELEC CAP DISC 07 /ll/2005SEC 6/30/2005 99.2400 0.000 0.00 1,325.67 0.00 10: 36959HUB1BROKER: BANC OF AMERICA 6/30/2005 SEC LLC, SAN FRANCISCOOCSF07511102: 6/30/2005 LIQUID OPER-PfMCO Workbench * Actual Settle Date 18 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED-OCSG000lO000 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base s CS FOB CAT 2 REPO REPO 02.940% 6/1/2005 100.0000 -13,000,000.000 -13,000,000.00 13,000,000.00 0.00 06/01/2005 DD 05/31/05SEC ID: 6/1/2005 99436A319BROKER: CREDIT SUISSE, NEW 6/1/2005 YORKOCSF0751 l 102: LIQUID OPER-PIMCO IS CS FOB CAT 2 REPO REPO 02.940% 6/1/2005 100.0000 0.000 0.00 1,061.67 0.00 06/01/2005 DD 05/31/05SEC ID: 6/1/2005 99436A319BROKER: CREDIT SUISSE, NEW 6/1/2005 YORKOCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 02.940% 06/02/2005 6/2/2005 100.0000 -11,000,000.000 -11,000,000.00 11,000,000.00 0.00 DD 06/01/05SEC ID: 99436C067BROKER: 6/2/2005 LEHMAN GOVT SECS INC, NYOCSF07511102:6/2 /2oo5 LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 02.940% 06/02/2005 6/2/2005 100.0000 0.000 0.00 898.33 0.00 DD 06/0l/05SEC ID: 99436C067BROKER: 6/2/2005 LEHMAN GOVT SECS INC, NYOCSF07511102: 61212005 LIQUID OPER-PIMCO s LEHMAN CAT 1 REPO REPO 02.930% 6/3/2005 100.0000 -11,000,000.000 -11,000,000.00 11,000,000.00 0.00 06/03/2005 DD 06/02/0SSEC ID: 6/3/2005 99436D537BROKER: LEHMAN GOVT SECS INC, NYOCSF07511102: LIQUID OPER-PIMCO 5/3 /2oo5 IS LEHMAN CAT 1 REPO REPO 02.930% 6/3/2005 100.0000 0.000 0.00 895.28 0.00 06/03/2005 DD 06/02/05SEC ID: 6/3/2005 99436D537BROKER: LEHMAN GOVT SECS 61312005 INC, NYOCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 02.930% 06/06/2005 6/6/2005 100.0000 -11,000,000.000 -11,000,000.00 11,000,000.00 0.00 DD 06/03/0SSEC ID: 99436F'Ol lBROKER: 6/6/2005 LEHMAN GOVT SECS INC, NYOCSF07 511102: 6 / 6 / 200S LIQUID OeER-PlMCO IS LEHMAN CAT 2 REPO 02.930% 06/06/2005 6/6/2005 100.0000 0.000 0.00 2,685.83 0.00 DD 06/03/0SSEC ID: 99436F011BROKER: 6/6/2005 LEHMAN GOVT SECS INC, NYOCSF07511102:6 /6/2005 LIQUID OPER-PIMCO Workbench • Actual Settle Date 19 I OCSD-CONSOLIDA TED · OCSG000 10000 Transaction Detail Reported by Transaction Category 6/1/2005 -6/30/2005 Tran Trade Date Settle Date Reported Date Type Description s IS s IS s IS s IS LEHMAN CAT 2 REPO 02.930% 06/07/2005 6/7/2005 DD 06/06/05SEC ID: 99436G332BROKER: 6/7/2005 ],,EHMAN GOVT SECS INC, NYOCSF07511102: 617 ;2oo5 LIQUJD OPER-PIMCO LEHMAN CAT 2 REPO 02.930% 06/07/2005 6/7/2005 DD 06/06/05SEC ID: 99436G332BROKER: 6/7/2005 LEHMAN GOVT SECS INC, NYOCSF0751 l 102: 617 /2005 LIQUID OPER-PIMCO LEHMAN CAT 1 REPO REPO 02.980% 6/8/2005 06/08/2005 DD 06/07 /05SEC ID: 6/8/2005 99436J039BROKER: LEHMAN GOVT SECS 6;8;2oo5 INC, NYOCSF07511102: LIQUID OPER-PIMCO LEHMAN CAT 1 REPO REPO 02.980% 6/8/2005 06/08/2005 DD 06/07 /05SEC ID: 6/8/2005 99436J039BROKER: LEHMAN GOVT SECS INC, NYOCSF07511102: LIQUID OPER-PIMCO 5/3 /2oo5 LEHMAN CAT 2 REPO 02.960% 06/09/2005 6/9/2005 DD 05/08/0SSEC ID: 99436~614BROKER: 6/9/2005 LEHMAN GOVT SECS lNC, NYOCSF075lll02: 6/9/2005 UQULD OPER-P!MCO LEHMAN CAT 2 REPO 02.960% 06/09/2005 6/9/2005 DD 06/08/05SEC ID: 99436K614BROKER: 6/9/2005 LEHMAN GOVT SECS INC, NYOCSF0751 l 102: 61912005 LIQUID OPER-PIMCO LEHMAN CAT 1 REPO REPO 02.970% 6/10/2005 06/10/2005 DD 06/09/05SEC ID: 5/10/2005 99436L975BROKER: LEHMAN GOVT SECS 6/l0/2005 INC, NYOCSF07511102: LIQUID OPER-PIMCO LEHMAN CAT 1 REPO REPO 02.970% 6/10/2005 06/10/2005 DD 06/09/05SEC ID: 6/10/2005 99436L975BROKER: LEHMAN GOVT SECS INC, NYOCSF07511102: LIQUID OPER-PIMCO 5/10/2oo5 • Actual Settle Date Local Price Base Price Base Ex Rate Shares/Par 100.0000 -11,000,000.000 100.0000 0.000 100.0000 -9,000,000.000 100.0000 0.000 100.0000 -10,300,000.000 100.0000 0.000 100.0000 -10,300,000.000 100.0000 0.000 20 Cost Base -11,000,000.00 0.00 -9,000,000.00 0.00 -10,300,000.00 0.00 -10,300,000.00 0.00 Report ID: EWBA09 Base Currency: USD Status: FINAL Amount Base 11,000,000.00 895.28 9,000,000.00 745.00 10,300,000.00 846.89 10,300,000.00 849.75 Net Gain/Loss Base 0.00 0 .00 0.00 0.00 0.00 0.00 0.00 0.00 Workbench I OCSD-CONSOUD.4 TED: OCSGOOOlOOOO Transaction Detail Reported by Transaction Category 6/ 1/2005 -6/30/2005 Tran Type Description Trade Date Settle Date Reported Date s IS s IS s IS s IS LEHMAN CAT 1 REPO REPO 02.980% 6/13/2005 06/13/2005 DD 06/10/05SEC ID: 6/13/2005 99436N428BROKER: LEHMAN GOVT SECS 6/13/2005 INC, NYOCSF07511102: LIQUID OPER-PIMCO LEHMAN CAT 1 REPO REPO 02.980% 6/13/2005 06/13/2005 DD 06/10/05SEC ID: 6/13/2005 99436N428BROKER: LEHMAN GOVT SECS 611312005 INC, NYOCSF07511102: LIQUID OPER-PIMCO LEHMAN CAT 2 REPO 02.990% 06/14/2005 6/14/2005 DD 06/13/05SEC ID: 99436Q256BROKER: 6/14/2005 LEHMAN GOVT SECS INC, NYOCSF07511102: 6/ 1412005 LIQUID OPER-PIMCO LEHMAN CAT 2 REPO 02.990% 06/14/2005 6/14/2005 DD 06/13/05~EC ID: 99436Q256BR~KER: 6/14/2005 LEHMAN GOVT SECS INC, NYOCSF0,511102: 611412005 LIQl.JlD OPER-PIMCO LEHMAN CAT 1 REPO REPO 03.000% 6/15/2005 06/15/2005 DD 06/14/05SEC ID: 6/15/2005 99436R544BROKER: LEHMAN GOVT SECS 6/15/2005 INC, NYOCSF0751 l 102: LIQUID OPER-PIMCO LEHMAN CAT 1 REPO REPO 03.000% 6/15/2005 06/15/2005 DD 06/14/05SEC ID: 6/15/2005 99436R544BROKER: LEHMAN GOVT SECS 6/15/2005 INC, NYOCSF07511102: LIQUID OPER-PIMCO LEHMAN CAT 1 REPO REPO 03.000% 6/16/2005 06/16/2005 DD 06/ 15/05SEC ID: 6/16/2005 99436T003BROKER: LEHMAN GOVT SECS 6 /16/2005 INC, NYOCSF0751 l 102: LIQUID OPER-PIMCO LEHMAN CAT 1 REPO REPO 03.000% 6/16/2005 06/16/2005 DD 06/ 15/05SEC ID: 6/16/2005 99436T003BROKER: LEHMAN GOVT SECS 6/16/2005 INC, NYOCSF07511102: LIQUID OPER-PIMCO * Actual Settle Date Local Price Base Price Base Ex Rate Shares/Par 100.0000 -13,000,000.000 100.0000 0.000 100.0000 -13,000,000.000 100.0000 0.000 100.0000 -13,000,000.000 100.0000 0.000 100.0000 -14,700,000.000 100.0000 0.000 21 Cost Base -13,000,000.00 0.00 -13,000,000.00 0.00 -13,000,000.00 0.00 -14,700,000.00 0.00 Report ID: EWBA09 Base Currency: USD Status: FINAL Amount Base 13,000,000.00 3,228.33 13,000,000.00 1,079.72 13,000,000.00 1,083.33 14,700,000.00 1,225.00 Net Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Workbench I OCW-CONSOUJMTED-OCSOOOOIOOOO Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD 6/1/2005 -6/30/2005 Status: FINAL ----- Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base s LEHMAN CAT 1 REPO REPO 02. 950% 6/17/2005 100.0000 -14, 700,000.000 -14,700,000.00 14,700,000.00 0.00 06/17/2005 DD 06/16/05SEC ID: 6/17/2005 99436U596BROKER: LEHMAN GOVT SECS 6/17/2005 INC, NYOCSF07511102: LIQUID OPER-PIMCO rs LEHMAN CAT 1 REPO REPO 02.950% 6/17/2005 100.0000 0.000 0.00 1,204.58 0.00 06/17/2005 DD 06/16/05SEC ID: 6/17/2005 99436U596BROKER: LEHMAN GOVT SECS 6/17/2005 INC, NYOCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 02.920% 06/20/2005 6/20/2005 100.0000 -14, 700,000.000 -14, 700,000.00 14,700,000.00 0.00 DD 06/ 17 /05SEC ID: 99436W071BROKER: 6/20/2005 LEHMAN GOVT SECS INC, NYOCSF07511102: 612012005 LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 02.920% 06/20/2005 6/20/2005 100.0000 0.000 0.00 3,577.00 0.00 DD 06/ 17 /05SEC ID: 99436W071BROKER: 6/20/2005 LEHMAN GOVT SECS INC, NYOCSF07511102: 6/20/2005 LIQUID OPER-PIMCO s CREDIT SUISSE FB REPO 02.920% 6/21/2005 100.0000 -11,500,000.000 -11,500,000.00 11,500,000.00 0.00 06/21/2005 DD 06/20/05SEC JD: 6/21/2005 99436X301BROKER: CREDIT SUISSE, NEW 6/21/2005 YORKOCSF07522202: LONG TERM OPER- PIMCO IS CREDIT SUISSE FB REPO 02.920% 6/21/2005 100.0000 0.000 0.00 932.78 0.00 06/21/2005 DD 06/20/05SEC ID: 6/21/2005 99436X301BROKER: CREDIT SUISSE, NEW 6/21/2005 YORKOCSF07522202: LONG TERM OPER- PIMCO s LEHMAN CAT 2 REPO 02.920% 06/21/2005 6/21/2005 100.0000 -14,700,000.000 -14,700,000.00 14,700,000.00 0.00 DD 06/20/05SEC ID: 99436X517BROKER: 6/21/2005 LEHMAN GOVT SECS INC, NYOCSF07511102: 6/2l/2005 LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 02.920% 06/21/2005 6/21/2005 100.0000 0.000 0.00 1,192.33 0.00 DD 06/20/0SSEC ID: 99436X517BROKER: 6/21/2005 LEHMAN GOVT SECS INC, NYOCSF07511102: 6/2 l/2005 LIQUID OPER-PIMCO Workbench * Actual Settle Date 22 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDA TED -OCSGO00 10000 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base s LEHMAN CAT 1 REPO REPO 02.930% 6/22/2005 100.0000 -14,800,000.000 -14,800,000.00 14,800,000.00 0.00 06/22/2005 DD 06/21/05SEC ID: 6/22/2005 99436Y812BROKER: LEHMAN GOVT SECS 6122/2005 INC, NYOCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 1 REPO REPO 02. 930% 6/22/2005 100.0000 0.000 0.00 1,204.56 0.00 06/22/2005 DD 06/21/05SEC ID: 6/22/2005 99436Y812BROKER: LEHMAN GOVT SECS 6;22/2005 INC, NYOCSF07511102: LIQUID OPER-PIMCO s CREDIT SUISSE FB REPO 02.930% 6/22/2005 100.0000 -11,600,000.000 -11,600,000.00 11,600,000.00 0.00 06/22/2005 DD 06/21/05SEC ID: 6/22/2005 99436Y820BROKER: CREDIT SUISSE, NEW 6/22/2005 YORKOCSF07522202: LONG TERM OPER- PIMCO IS CREDIT SUISSE FB REPO 02.930% 6/22/2005 100.0000 0.000 0.00 944.11 0.00 06/22/2005 DD 06/21/05SEC ID: 6/22/2005 99436Y820BROKER: CREDIT SUISSE, NEW 6/22/2005 YORKOCSF07522202: LONG TERM OPER- PIMCO s LEHMAN CAT 2 REPO 02.970% 06/24/2005 6/24/2005 100.0000 -1,500,000.000 -1,500,000.00 1,500,000.00 0.00 DD 06/23/05SEC ID: 994378795BR~KER: 6/24/2005 LEHMAN GOVT SECS INC, NYOCSF0,522202: 612412005 LONG TERM OPER-PIMCO s LEHMAN CAT 2 REPO 02.970% 06/24/2005 6/24/2005 100.0000 -14,800,000.000 -14,800,000.00 14,800,000.00 0.00 DD 06/23/05SEC ID: 99437B7958ROKER: 6/24/2005 LEHMAN GOVT SECS INC, NYOCSF07511102: 612412005 LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 02.970% 06/24/2005 6/24/2005 100.0000 0.000 0.00 1,221.00 0.00 DD 06/23/05SEC ID: 99437B795BR~KER: 6/24/2005 LEHMAN GOVT SECS INC, NYOCSP'0r511102: 6/24/2005 UQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 02.970% 06/24/2005 6/24/2005 100.0000 0.000 0.00 123.75 0.00 DD 06/23/0SSEC ID: 99437B795BROKER: 6/24/2005 LEHMAN GOVT SECS lNC, NYOC$F07522202: 6;24/2005 l.ONG TERM OPER-PIMCO Workbench • Actual Settle Date 23 OCSD-CONSOLIDA TED -OCSG000 10000 Transaction Detail Reported by Transaction Category 6/ 1/2005-6/30/2005 Tran Trade Date Settle Date Reported Date Type Description s IS s IS s IS s s LEHMAN CAT 2 REPO 02.940% 06/27/2005 6/27/2005 DD 06/24/05SEC ID: 99437D429BROKER: 6/27/2005 LEHMAN GOVT SECS INC, NYOCSF07511102: 6127 /2005 LIQUID OPER-PIMCO LEHMAN CAT 2 REPO 02.940% 06/27/2005 6/27/2005 DD 06/24/05SEC ID: 99437D429BROKER: 6/27/2005 LEHMAN GOVT SECS INC, NYOCSF07511102: 612712005 LIQUID OPER-PIMCO LEHMAN CAT 1 REPO REPO 03.000% 6/28/2005 06/28/2005 DD 06/27 /05SEC ID: 6/28/2005 99437E849BROKER: LEHMAN GOVT SECS 6128/2005 INC, NYOCSF0751 l 102: LIQUID OPER-PIMCO LEHMAN CAT 1 REPO REPO 03.000% 6/28/2005 06/28/2005 DD 06/27 /05SEC ID: 6/28/2005 99437E849BROKER: LEHMAN GOVT SECS 6;28/2005 INC, NYOCSF07511102: LIQUID OPER-PIMCO LEHMAN CAT 1 REPO REPO 03.070% 6/29/2005 06/29/2005 DD 06/28/05SEC ID: 6/29/2005 99437G547BROKER: LEHMAN GOVT SECS 6/29/2005 INC, NYOCSF07511102: LIQUID OPER-PIMCO LEHMAN CAT 1 REPO REPO 03.070% 6/29/2005 06/29/2005 DD 06/28/05SEC ID: 6/29/2005 99437G547BROKER: LEHMAN GOVT SECS 6/29/2005 INC, NYOCSF07511102: LIQUID OPER-PIMCO DREYFUS TREASURY CASH MGMTSEC ID: 996085247OCSF07522202: LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMTSEC ID: 996085247OCSF0751 l 102: LIQUID OPER- PIMCO 6/3/2005 6/3/2005 6/3/2005 6/8/2005 6/8/2005 6/8/2005 • Actual Settle Date Local Price Base Price Base Ex Rate 100.0000 100.0000 100.0000 100.0000 100.0000 100.0000 1.0000 1.0000 24 Shares/Par -14,800,000.000 0.000 -14,800,000.000 0.000 -14,800,000.000 0.000 -1,238,239.310 -1,299,255.000 Cost Base -14,800,000.00 0.00 -14,800,000.00 0.00 -14,800,000.00 0.00 -1,238,239.31 -1,299,255.00 ReportID: EWBA09 Base Currency: USD Status: FINAL Amount Base 14,800,000.00 3,626.00 14,800,000.00 1,233.33 14,800,000.00 1,262.11 1,238,239.31 1,299,255.00 Net Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Workbench Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000l0000 6/1/2005 -6/30/2005 Status: FINAL - Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base s DREYFUS TREASURY CASH MGMTSEC ID: 6/10/2005 1.0000 -12,736.110 -12,736.11 12,736.11 0.00 996085247OCSF07522202: LONG TERM 6/10/2005 OPER-PIMCO 6/10/2005 s DREYFUS TREASURY CASH MGMTSEC ID: 6/14/2005 1.0000 -12, 731.270 -12,731.27 12,731.27 0.00 996085247OCSF07522202: LONG TERM 6/14/2005 OPER-PIMCO 6/14/2005 s DREYFUS TREASURY CASH MGMTSEC ID: 6/17/2005 1.0000 -97,475.420 -97,475.42 97,475.42 0.00 99608524 7OCSF075 ll 102: LIQUID OPER-6/17/2005 PIMCO 6/17/2005 s DREYFUS TREASURY CASH MGMTSEC ID: 6/20/2005 1.0000 -411,625.280 -411,625.28 411,625.28 0.00 996085247OCSF07522202: LONG TERM 6/20/2005 OPER-PIMCO 6/20/2005 s DREYFUS TREASURY CASH MGMTSEC ID: 6/21/2005 1.0000 -97,073.890 -97,073.89 97,073.89 0.00 996085247OCSF07522202: LONG TERM 6/21/2005 OPER-PIMCO 6/21/2005 s DREYFUS TREASURY CASH MGMTSEC ID: 6/23/2005 1.0000 -14,799,560.500 -14, 799,560.50 14,799,560.50 0.00 99608524 7OCSF07511102: LIQUID OPER-6/23/2005 PIMCO 6/23/2005 s DREYFUS TREASURY CASH MGMTSEC ID: 6/23/2005 1.0000 -286,775.000 -286,775.00 286,775.00 0.00 996085247OCSF07522202: LONG TERM 6/23/2005 OPER-PIMCO 6/23/2005 s DREYFUS TREASURY CASH MGMTSEC ID: 6/24/2005 1.0000 -67,057.910 -67,057.91 67,057.91 0.00 996085247OCSF07522202: LONG TERM 6/24/2005 OPER-PIMCO 6/24/2005 Workbench * Actual Settle Date 25 OCSD-CONSOLIDATED-OCSG000l0000 Transaction Detail Reported by Transaction Category 6/1/2005 -6/30/2005 s s s s s s Tran Type Description Trade Date Settle Date Reported Date DREYFUS TREASURY CASH MGMTSEC ID: 996085247OCSF07522202: LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMTSEC ID: 996085247OCSF0751 l 102: LIQUID OPER- PIMCO DREYFUS TREASURY CASH MGMTSEC ID: 996085247OCSF07522202: LONG TERM OPER-PIMCO BSDT-LATE MONEY DEPOSIT ACCTSEC ID: 996087094OCSF07522202: LONG TERM OPER-PIMCO 6/28/2005 6/28/2005 6/28/2005 6/30/2005 6/30/2005 6/30/2005 6/30/2005 6/30/2005 6/30/2005 6/23/2005 6/23/2005 6/23/2005 Local Price Base Price Base Ex Rate 1.0000 1.0000 1.0000 1.0000 TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: TOTAL CASH & CASH EQUIVALENTS BASE: FIXED INCOME SECURITIES U.S. DOLLAR COMMIT TO PUR FNMA SF MTG 5.000% 6/10/2005 06/01/2020 DD 06/0l/05SEC ID: 6/16/2005 01F050460BROKER: BARCLAYS CAPITAL 6/l0/Z005 INC, NEW YORKOCSF07522202: LONG TERM OPER-PIMCO COMMIT TO PUR FNMA SF MTG 5.000% 6/22/2005 07/01/2020 DD 07/0l/05SEC ID: 7/19/2005 01F0S0478BROKER: BARCLAYS CAPITAL 6/22/2005 INC, NEW YORKOCSF07522202: LONG TERM OPER-PIMCO 100.9258 101.0938 * Actual Settle Date 26 Shares/Par -4,238,365.530 -20,227,505.350 -3, 958,234.070 -13,225.000 -349,559,859.640 -349,559,859_640 -500,000.000 -500,000.000 Cost Base -4,238,365.53 -20,227,505.35 -3,958,234.07 -13,225.00 -349 ,444, 929 .16 -349,444,929.16 -503,593.75 -503, 906.25 Report ID: EWBA09 Base Currency: USD Status: FINAL Amount Base 4,238,365.53 20,227,505.35 3,958,234.07 13,225.00 349,541,381.08 349,541,381.08 504,628.90 505,468.75 Net Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 1,035.15 1,562.50 Workbench Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDA TED -OCSG000 10000 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base s CIT GROUP INC SR NT 7.375% 04/02/2007 6/21/2005 105.5010 -6,000,000.000 -6,338, 700.00 6,330,060.00 -8,640.00 DD 04/01/02SEC ID: 125581M6BROKER: 6/24/2005 GOLDMAN SACHS & CO, NYOCSF07522202: 6/21/2005 LONG TERM OPER-PIMCO IS CIT GROUP INC SR NT 7.375% 04/02/2007 6/21/2005 105.5010 0.000 0.00 100,791.67 0.00 DD 04/01/02SEC ID: 125581M6BROKER: 6/24/2005 GOLDMAN SACHS & CO, NYOCSF07522202: 6/2l/2005 LONG TERM OPER-PIMCO s US TREASURY NOTES 4.250% 08/15/2013 6/14/2005 101.4688 -2,100,000.000 -2, 146,324.54 2,130,843.75 -15,480.79 DD 08/15/03SEC ID: 912828BH2BROKER: 6/15/2005 CREDIT SUISSE, NEW YORKOCSF07522202: 6/ 1412005 LONG TERM OPER-PIMCO IS US TREASURY NOTES 4.250% 08/15/2013 6/14/2005 101.4688 0.000 0.00 29,585.64 0.00 no 08/15/03SEC ID: 912828BH2BROICER: 6/15/2005 CREDIT SUISSE, NEW YORKOCSF07522202: 6;14/2005 LONG TERM OPER-PlMCO s US TREASURY NOTES 4.250% 08/15/2013 6/29/2005 102.3750 -2, 100,000.000 -2, 146,324.53 2,149,875.00 3,550.47 DD 08/15/03SEC ID: 912828BH2BROKER: 6/30/2005 CREDIT SUISSE, NEW YORKOCSF07522202: 6;29/2005 LONG TERM OPER-PIMCO IS US TREASURY NOTES 4.250% 08/15/2013 6/29/2005 102.3750 0.000 0.00 33,283.84 0.00 DD 08/15/03SEC ID: 912828BH2BROKER: 6/30/2005 CREDIT SUISSE, NEW YORKOCSF07522202: 612912005 LONG TERM OPER-PIMCO s US TREASURY INFLATION INDEXED 2.000% 6/1/2005 104.2813 -2,302,036.000 -2,351,131.18 2,400,591.92 49,460.74 01/15/2014 DD 01 / 15/04SEC ID: 6/2/2005 912828BW9BROKER: BARCLAYS CAPITAL 6/1/2005 INC, NEW YORKOCSF07522202: LONG TERM OPER-PIMCO IS US TREASURY INFLATION INDEXED 2.000% 6/1/2005 104.2813 0.000 0.00 17,551.43 0.00 01/15/2014 DD 01 / 15/04SEC ID: 6/2/2005 912828BW9BROKER: BARCLAYS CAPITAL 6/l/2005 INC, NEW YORKOCSF07522202: LONG TERM OPER-PIMCO Workbench • Actual Settle Date 27 Transaction Detail Report ID: EWBA09 Reported by Transaction Category ease currency: usn OCSD-CONSOLIDA TED -OCSG000 10000 6 / 1 / 2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base S U S TREASURY NOTES 4.000% 03/15/2010 6/14/2005 100.5938 -20,700,000.000 -20,734,984.34 20,822,906.25 87,921.91 DD 03/ l5/05SEC ID: 912828DP2BROl<ER: 6 /15/2005 UBS SECURITIES LLC, ST/\MFORDOCSF07522202: LONG TERM 6114 /2oo5 OPER-PIMCO IS US TREASURY NOTES 4.000% 03/15/2010 6/14/2005 100.5938 0.000 0.00 207,000.00 0.00 DD 03/15/05SEC ID: 912828DP2BROKER: 6/15/2005 UBS SECURITIES LLC, STAMFORDOCSF07522202: LONG TERM 6/ l 4 /2oo5 OPER-PIMCO S US TREASURY NOTES 4.000% 03/15/2010 6/30/2005 101.0781 -16,500,000.000 -16,624,092.05 16,677,890.62 53,798.57 DD 03/15/0SSEC ID: 91282~DP2BROKER: 6/30/2005 CREDIT SUISSE, .NEW YORKOCSF07522202: 6130;2oo5 LONG TERM OPER-PlMCO IS US TREASURY NOTES 4.000% 03/15/2010 6/30/2005 101.0781 0.000 0.00 191,902.18 0.00 DD 03/15/05SEC ID: 912828DP2BROKER: 6/30/2005 CREDIT SUISSE, NEW YORKOCSF07522202: 6;3o/2005 LONG TERM OPER-PIMCO S UNITED STATES TREASURY NT 3.750% 6/17/2005 100.0938 -8,800,000.000 -8,823, 125.29 8,808,250.00 -14,875.29 03/31/2007 DD 03/31/05SEC ID: 6/17/2005 912828DQ0BROKER: GOLDMAN SACHS & 6/17/2005 CO, NYOCSF07522202: LONG TERM OPER-612 / 05 • PIMCO O 20 IS UNITED STATES TREASURY NT 3. 750% 6/17/2005 100.0938 0.000 0.00 70,327.87 0.00 03/31/2007 DD 03/31/05SEC ID: 6/17/2005 912828DQ0BROKER: GOLDMAN SACHS & 6/17/2005 CO, NYOCSF07522202: LONG TERM OPER-612012005 * PIMCO S UNITED STATES TREASURY NT 3.750% 6/21/2005 100.0938 -42,300,000.000 -42,411,159.04 42,339,656.25 -71,502.79 03/31/2007 DD 03/31/05SEC ID: 6/22/2005 912828DQ0BROKER: LEHMAN GOVT SECS 6;21 ;2oo5 INC, NYOCSF07522202: LONG TERM OPER- PIMCO IS UNITED STATES TREASURY NT 3.750% 6/21/2005 100.0938 0.000 0.00 359,723.36 0.00 03/31/2007 DD 03/31/0SSEC ID: 6/22/2005 912828DQ0BROKER: LEHMAN GOVT SECS 6;21;2oo5 INC, NYOCSF07522202: LONG TERM OPER- PIMCO • Actual Settle Date 28 Workbench OCSD-CONSOLIDA TED -OCSGOOO 10000 Transaction Detail Reported by Transaction Category 6/1/2005 -6/30/2005 Tran Trade Date Settle Date Reported Date Type Description s IS s IS s IS UNITED STATES TREASURY NTS 4.000% 04/15/2010 DD 04/15/05SEC ID: 912828DR8BROKER: MERRILL LYNCH PIERCE FENNER SMITH INC NYOCSF07522202: LONG TERM OPER-PIMCO 6/14/2005 6/15/2005 6/14/2005 UNITED STATES TREASURY NTS 4.000% 6/14/2005 04/15/2010 DD 04/15/05SEC ID: 6/15/2005 912828DR8BROKER: MERRILL LYNCH 6/14/2005 PIERCE FENNER SMITH INC NYOCSF07522202: LONG TERM OPER-PIMCO US TREASURY NOTES 3.500% 05/31/2007 6/17/2005 DD 05(31/0SSE'C ID: 91282r8DW7BROKER: 6/20/2005 CRED!f SUISSE, NEW YORKOCSF07522202: 6/ 17 ;2oo5 LONG 1'ERM OPER-PIMCO US TREASURY NOTES 3.500% 05/31/2007 DD 05/31/0SSEC I.D: 912828DW7BROKER: CREDIT SUISSE, NEW YORKOCSF07522202: LONG TERM OPER-PIMCO 6/17/2005 6/20/2005 6/17/2005 US TREASURY NOTES 3.500% 05/31/2007 6/29/2005 DD 05/31/0SSEC lD: 912828DW7BRJl{f;R: 6/30/2005 .LEHMAN GOVT SECS INC, NYOCSFOr522202: 6129;2oo5 LONG TERM OPER-PIMCO US TREASURY NOTES 3.500% 05/31/2007 6/29/2005 DD 05/'31/0SSEC rD: 912828DW7BROKER: 6/30/2005 LEHMAN GOVT SECS INC. NYOCSF07522202: 612912005 LONG TERM OPER-PlM.CO Local Price Base Price Base Ex Rate 100.5000 100.5000 99.6250 99.6250 99.7188 99.7188 TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: TOTAL FIXED INCOME SECURITIES BASE: TOTAL SALES BASE: * Actual Settle Date 29 Shares/Par -10,000,000.000 0.000 -11,000,000.000 0.000 -11,000,000.000 0.000 -133,802,036.000 -133,802,036.000 -483,361,895.640 Cost Base -10,045,296.45 0.00 -10,958,320.31 0.00 -10,961,244.42 0.00 -134,548,202.15 -134,548,202.15 -483,993,131.31 Report ID: EWBA09 Base Currency: USD Status: FINAL Amount Base 10,050,000.00 66,666.67 10,958,750.00 21,038.25 10,969,062.50 31,557.38 135,777,412.23 135,777,412.23 485,318,793.31 Net Gain/Loss Base 4,703.55 0.00 429.69 0.00 7,818.08 0.00 99,781.79 99,781.79 99,781.79 Workbench Transaction Detail ReportID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED-OCSG000l0000 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base PRINCIPAL PAYMENTS FIXED INCOME SECURITIES U.S. DOLLAR PD WMP/HUNTOON PAIGE #000-11150 7.500% 6/1/2005 100.0000 -872.110 -853.17 872.11 18.94 12/01/2030 DD 10/21/99SEC ID: 6/1/2005 302998GE3OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/29/2005 * PD FHLMC MULTICLASS MTG SER E3 A VAR RT 6/1/2005 100.0000 -15,922.050 -15,939.01 15,922.05 -16.96 08/15/2032 DD 12/01/97SEC ID: 6/1/2005 3133TCE95OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/22/2005 * PD FHLMC MULTICLASS MTG SER E3 A VAR RT 6/1/2005 100.0000 -14,854.750 -14,870.58 14,854.75 -15.83 08/15/2032 DD 12/01/97SEC ID: 6/1/2005 3133TCE95OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO PD FHLMC GROUP #78-6064 6.384% 6/1/2005 100.0000 -129.210 -126.06 129.21 3.15 01/01/2028 DD 12/0l/97SEC ID : 6/1/2005 31348SWZ3OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO PD FNMA POOL #0254510 5.000% 6/1/2005 100.0000 -10,346.160 -10,656.54 10,346.16 -310.38 11/01/2017 DD 10/0l/02SEC ID : 6/1/2005 31371KVB4OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/28/2005 * PD FNMA POOL #0254631 5.000% 6/1/2005 100.0000 -2,488.940 -2,563.61 2,488.94 -74.67 02/01/2018 DD 01/0l/03SEC ID: 6/1/2005 31371KY47OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0254760 5.000% 6/1/2005 100.0000 -1,934.500 -1,992.53 1,934.50 -58.03 06/01/2018 DD 05/0l/03SEC ID: 6/1/2005 31371K5V9OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 • Workbench • Actual Settle Date 30 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDA TED -OCSG000 10000 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base PD FNMA POOL #0254866 5.000% 6/1/2005 100.0000 -1,020.570 -1,051.19 1,020.57 -30.62 09/01/2018 DD 08/0l/03SEC ID: 6/1/2005 31371LCB3OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 ·• PD FNMA POOL #0254907 5.000% 6/1/2005 100.0000 -6,545.540 -6,545.54 6,545.54 0.00 10/01/2018 DD 09/0l/03SEC ID: 6/1/2005 31371LDLOOCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0254953 5.000% 6/1/2005 100.0000 -5,320.200 -5,388.37 5,320.20 -68.17 11/01/2018 DD 10/01/03SEC ID: 6/1/2005 31371LE210CSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0254987 5.000% 6/1/2005 100.0000 -14,859.050 -15,049.43 14,859.05 -190.38 12/01/2018 DD ll/0l/03SEC ID: 6/1/2005 31371LF46OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0323980 6.000% 6/1/2005 100.0000 -3,250.370 -3,393.59 3,250.37 -143.22 04/01/2014 DD 09/0l/99SEC ID: 6/1/2005 31374T2MOOCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0357328 5.000% 6/1/2005 100.0000 -453.420 -467.02 453.42 -13.60 01/01/2018 DD 01/0l/03SEC ID: 6/1/2005 31376J4M8OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0357430 5.000% 6/1/2005 100.0000 -28, 191.870 -28,509.03 28,191.87 -317.16 09/01/2018 DD 09/01/03SEC ID: 6/1/2005 31376KA710CSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0456482 6.000% 6/1/2005 100.0000 -385.190 -402.16 385.19 -16.97 02/01/2014 DD 02/0l/99SEC ID: 6/1/2005 31381CCT2OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * Workbench * Actual Settle Date 31 Transaction Detail ReportID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDA TED -OCSG000 10000 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base PD FNMA POOL #0509649 6.000% 6/1/2005 100.0000 -802.010 -837.35 802.01 -35.34 09/01/2014 DD 09/01/99SEC ID: 6/1/2005 31383QEW0OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0535451 6.000% 6/1/2005 100.0000 -2,296.130 -2,397.30 2,296.13 -101.17 06/01/2015 DD 07/01/00SEC ID: 6/1/2005 31384VZQ8OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0555363 5.000% 6/1/2005 100.0000 -5,123.660 -5,277.37 5,123.66 -153.71 04/01/2018 DD 03/01/03SEC ID: 6/1/2005 31385W5Y10CSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0555453 5.000% 6/1/2005 100.0000 -626.910 -634.94 626.91 -8.03 05/01/2018 DD 04/01/03SEC ID: 6/1/2005 31385XBW6OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0555545 5.000% 6/1/2005 100.0000 -4,211.160 -4,337.49 4,211.16 -126.33 06/01/2018 DD 05/0l/03SEC ID: 6/1/2005 31385XES2OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0555621 5.000% 6/1/2005 100.0000 -11, 150.820 -11,276.27 11,150.82 -125.45 07/01/2018 DD 06/0l/03SEC ID: 6/1/2005 31385XG680CSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0681309 5.000% 6/1/2005 100.0000 -6,265.500 -6,453.47 6,265.50 -187.97 02/01/2018 DD 02/01/03SEC ID: 6/1/2005 31391Y3S4OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0681334 5.000% 6/1/2005 100.0000 -906.230 -933.42 906.23 -27.19 02/01/2018 DD 01/0l/03SEC ID: 6/1/2005 31391Y4T10CSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * Workbench • Actual Settle Date 32 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED-OCSG000lO000 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base PD FNMA POOL #0684798 5.500% 6/1/2005 100.0000 -6,918.510 -6,912.56 6,918.51 5.95 03/01/2033 DD 03/01/03SEC ID: 6/1/2005 31400DX310CSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0684908 5.000% 6/1/2005 100.0000 -4,053.190 -4, 105.12 4,053.19 -51.93 06/01/2018 DD 05/01/03SEC ID: 6/1/2005 31400D3RlOCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0685200 5.000% 6/1/2005 100.0000 -3,384.170 -3,427.53 3,384.17 -43.36 03/01/2018 DD 03/0l/03SEC ID: 6/1/2005 31400EGH7OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0685665 5.000% 6/1/2005 100.0000 -488.710 -503.37 488.71 -14.66 02/01/2018 DD 02/01/03SEC ID: 6/1/2005 31400EW22OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/30/2005 * PD FNMA POOL #0686318 5.000% 6/1/2005 100.0000 -5,040.950 -5, 192.18 5,040.95 -151.23 03/01/2018 DD 03/01/03SEC ID: 6/1/2005 31400FPB7OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0688739 5.000% 6/1/2005 100.0000 -1,791.470 -1,845.21 1,791.47 -53.74 06/01/2018 DD 06/0l/03SEC ID: 6/1/2005 31400JEL9OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0689859 5.000% 6/1/2005 100.0000 -393.310 -398.35 393.31 -5.04 05/01/2018 DD 05/01/03SEC ID: 6/1/2005 31400KMG8OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0693834 5.000% 6/1/2005 100.0000 -2,607.570 -2,685.80 2,607.57 -78.23 03/01/2018 DD 03/01/03SEC ID: 6/1/2005 31400PY74OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * Workbench * Actual Settle Date 33 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDA TED -OCSG000 10000 6/ 1/2005-6/30/2005 Status: FINAL ---· Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base PD FNMA POOL #0695852 5.000% 6/1/2005 100.0000 -1,676.430 -1,726.72 1,676.43 -50.29 05/01/2018 DD 05/01/03SEC ID: 6/1/2005 31400SBV0OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0695889 5 .000% 6/1/2005 100.0000 -6,231.500 -6,418.45 6,231.50 -186.95 05/01/2018 DD 05/01/03SEC ID: 6/1/2005 31400SC23OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0697026 5.000% 6/1/2005 100.0000 -101.820 -104.87 101.82 -3.05 05/01/2018 DD 04/01/03SEC ID: 6/1/2005 31400TLF2OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0702210 5.000% 6/1/2005 100.0000 -8,233.130 -8,480.12 8,233.13 -246.99 05/01/2018 DD 05/01/03SEC ID: 6/1/2005 31401ADP9OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 • PD FNMA POOL #0702328 5.000% 6/1/2005 100.0000 -3,701.940 -3,749.37 3,701.94 -47.43 05/01/2018 DD 04/0l/03SEC ID: 6/1/2005 31401AHD2OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0709148 5.000% 6/1/2005 100.0000 -5,788.800 -5,962.46 5,788.80 -173.66 06/01/2018 DD 06/01/03SEC ID: 6/1/2005 31401HZM7OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0709360 5.000% 6/1/2005 100.0000 -5,641.180 -5,713.46 5,641.18 -72.28 07/01/2018 DD 06/0l/03SEC ID: 6/1/2005 31401J856OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0709826 5.000% 6/1/2005 100.0000 -2,479.140 -2,510.90 2,479.14 -31.76 06/01/2018 DD 06/01/03SEC ID: 6/1/2005 31401JSP4OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6 /27/2005 * Workbench • Actual Settle Date 34 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000 10000 6/1/2005 -6/30/2005 Status: FINAL -- Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base PD FNMA POOL #0709917 5.000% 6/1/2005 100.0000 -3,776.310 -3,824.69 3,776.31 -48.38 06/01/2018 DD 06/01/03SEC ID: 6/1/2005 31401JVJ4OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0709963 5.000% 6/1/2005 100.0000 -79.090 -80.10 79.09 -1.01 06/01/2018 DD 06/01/03SEC ID: 6/1/2005 31401JWY0OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0710235 5.000% 6/1/2005 100.0000 -2,512.810 -2,588.19 2,512.81 -75.38 06/01/2018 DD 06/01/03SEC ID: 6/1/2005 31401KBC8OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 • PD FNMA POOL #0713344 5.000% 6/1/2005 100.0000 -608.550 -626.81 608.55 -18.26 06/01/2018 DD 06/0l/03SEC ID: 6/1/2005 31401NP52OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0713365 5.000% 6/1/2005 100.0000 -9,901.460 -10,028.32 9,901.46 -126.86 07/01/2018 DD 07 /01/03SEC ID: 6/1/2005 31401NQS10CSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0720319 5.000% 6/1/2005 100.0000 -7,107.420 -7, 198.48 7,107.42 -91.06 07/01/2018 DD 07 /0l/03SEC ID: 6/1/2005 31401WG45OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0720369 5.000% 6/1/2005 100.0000 -19,958.920 -20,557.69 19,958.92 -598.77 06/01/2018 DD 06/0l/03SEC ID: 6/1/2005 31401 WJN0OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0721629 5.000% 6/1/2005 100.0000 -6,793.310 -6,997.11 6,793.31 -203.80 07/01/2018 DD 06/01/03SEC ID: 6/1/2005 31401XVW4OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * Workbench * Actual Settle Date 35 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD I OCSD-CONSOLIDATED-OCSG000l0000 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base PD FNMA POOL #0723487 5.000% 6/1/2005 100.0000 -998.550 -1,009.78 998.55 -11.23 06/01/2018 DD 06/0l/03SEC ID: 6/1/2005 31402AXQ4OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0725530 5.000% 6/1/2005 100.0000 -42,501.450 -43,079.20 42,501.45 -577.75 06/01/2019 DD 05/0l/04SEC ID: 6/1/2005 31402DA75OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0729601 5.000% 6/1/2005 100.0000 -6,491.540 -6,574.71 6,491.54 -83.17 07/01/2018 DD 07 /0l/03SEC ID: 6/1/2005 31402HRW3OCSF07522202: WNG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0732873 5.000% 6/1/2005 100.0000 -134.640 -136.37 134.64 -1.73 11/01/2018 DD 10/0l/03SEC ID: 6/1/2005 31402MFN5OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0735227 5.500% 6/1/2005 100.0000 -12,825.780 -12,934.00 12,825.78 -108.22 02/01/2035 DD 01/01/05SEC ID: 6/1/2005 31402QYY10CSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0737130 5.000% 6/1/2005 100.0000 -30,916.350 -31,312.47 30,916.35 -396.12 10/01/2018 DD 10/0l/03SEC ID: 6/1/2005 31402S4P9OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0738211 5.000% 6/1/2005 100.0000 -10,540.700 -10,675.75 10,540.70 -135.05 10/01/2018 DD 10/0l/03SEC ID: 6/1/2005 31402UDQ2OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 • PD FNMA POOL #0738487 5.000% 6/1/2005 100.0000 -721.130 -730.37 721.13 -9.24 10/01/2018 DD 10/0l/03SEC ID: 6/1/2005 31402UNC2OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * W01·kbench • Actual Settle Date 36 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDA TED -OCSG000 10000 6/ 1/2005-6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base PD FNMA POOL #0740457 5.000% 6/1/2005 100.0000 -36,305.280 -36,798.80 36,305.28 -493.52 10/01/2018 DD 10/01/03SEC ID: 6/1/2005 31402WTN8OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0740471 5.000% 6/1/2005 100.0000 -3,221.980 -3,263.26 3,221.98 -41.28 10/01/2018 DD 10/01/03SEC ID: 6/1/2005 31402WT40OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0740748 5.000% 6/1/2005 100.0000 -16,812.240 -17,027.65 16,812.24 -215.41 10/01/2018 DD 11/01/03SEC ID: 6/1/2005 31402W5H7OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0743868 5.000% 6/1/2005 100.0000 -491.850 -498.15 491.85 -6.30 11/01/2018 DD 10/0l/03SEC ID: 6/1/2005 31403BMR10CSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0744008 5.000% 6/1/2005 100.0000 -4,957.180 -5,020.69 4,957.18 -63.51 07/01/2018 DD 09/01/03SEC ID: 6/1/2005 31403BR54OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0744316 5.000% 6/1/2005 100.0000 -1,353.670 -1,371.01 1,353.67 -17.34 09/01/2018 DD 09/0l/03SEC ID: 6/1/2005 3140383Z4OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0747914 5.000% 6/1/2005 100.0000 -25,849.530 -26,180.73 25,849.53 -331.20 11/01/2018 DD 11/0l/03SEC ID: 6/1/2005 31403F3X0OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0748400 5.000% 6/1/2005 100.0000 -7,855.990 -7,956.65 7,855.99 -100.66 08/01/2018 DD 09/01/03SEC ID: 6/1/2005 31403GNR9OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * Workbench * Actual Settle Date 37 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000 10000 6/ 1/2005-6/30/2005 Status: FINAL -- Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base PD FNMA POOL #0748899 5.000% 6/1/2005 100.0000 -4,740.960 -4,801.70 4,740.96 -60.74 12/01/2018 DD 11/0l/03SEC ID: 6/1/2005 31403G7LOOCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 ·• PD FNMA POOL #0750377 5.000% 6/1/2005 100.0000 -62,835. 710 -63,640.79 62,835.71 -805.08 11/01/2018 DD 11/0l/03SEC ID: 6/1/2005 31403JUA2OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0750380 5.000% 6/1/2005 100.0000 -15,225.320 -15,420.39 15,225.32 -195.07 11/01/2018 DD 11/01/03SEC ID: 6/1/2005 31403JUD6OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0750445 5.000% 6/1/2005 100.0000 -22,636.4 70 -22,926.50 22,636.47 -290.03 11/01/2018 DD 11/01/03SEC ID: 6/1/2005 31403JWE2OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0751960 5.000% 6/1/2005 100.0000 -18,091.600 -18,323.40 18,091.60 -231.80 12/01/2018 DD ll/0l/03SEC ID: 6/1/2005 31403LMH1OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0753425 5.000% 6/1/2005 100.0000 -17,325.940 -17,526.27 17,325.94 -200.33 11/01/2018 DD 11/0l/03SEC ID: 6/1/2005 31403NA23OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0755165 5.000% 6/1/2005 100.0000 -17,067.480 -17,286.16 17,067.48 -218.68 12/01/2018 DD ll/0l/03SEC ID: 6/1/2005 31403Q6A3OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0756372 5.000% 6/1/2005 100.0000 -31,448.580 -31,812.20 31,448.58 -363.62 11/01/2018 DD ll/0l/03SEC ID: 6/1/2005 31403SJR8OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * Wm·kbench * Actual Settle Date 38 Transaction Detail ReportID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDA TED -OCSG000 10000 6/ 1/2005-6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base PD FNMA POOL #0784251 5.000% 6/1/2005 100.0000 -85, 931.590 -87,099.72 85,931.59 -1, 168.13 11/01/2019 DD 11/0l/04SEC ID: 6/1/2005 31405BH46OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0789670 5.000% 6/1/2005 100.0000 -33, 120.220 -33,570.45 33,120.22 -450.23 12/01/2019 DD 12/01/04SEC ID: 6/1/2005 31405HJP4OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0792432 5.000% 6/1/2005 100.0000 -3,887.580 -3,940.43 3,887.58 -52.85 10/01/2019 DD 10/01/04SEC ID: 6/1/2005 31405LLM9OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0792437 5.000% 6/1/2005 100.0000 -22,099.220 -22,099.22 22,099.22 0.00 10/01/2019 DD 10/0l/04SEC ID: 6/1/2005 31405LLS6OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0794195 5.000% 6/1/2005 100.0000 -4,456.720 -4,517.30 4,456.72 -60.58 11/01/2019 DD ll/0l/04SEC ID: 6/1/2005 31405NKG9OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0797160 5.000% 6/1/2005 100.0000 -13,284.170 -13,464.75 13,284.17 -180.58 12/01/2019 DD 12/0l/04SEC ID: 6/1/2005 31405RTR7OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0797408 5.000% 6/1/2005 100.0000 -3,196.780 -3,240.24 3,196.78 -43.46 12/01/2019 DD 12/01/04SEC ID: 6/1/2005 31405R3R5OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0797414 5.000% 6/1/2005 100.0000 -5,938.730 -6,019.46 5,938.73 -80.73 12/01/2019 DD 12/01/04SEC ID: 6/1/2005 31405R3X2OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * Workbench * Actual Settle Date 39 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDA TED -OCSG000 10000 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base PD FNMA POOL #0800370 5.000% 6/1/2005 100.0000 -5,289.980 -5,284.19 5,289.98 5.79 12/01/2019 DD ll/01/04SEC ID: 6/1/2005 31405VFK8OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0800998 5.500% 6/1/2005 100.0000 -402.810 -402.46 402.81 0.35 11/01/2034 DD ll/01/04SEC ID: 6/1/2005 31405V3F2OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0803923 5.000% 6/1/2005 100.0000 -118,845.670 -120,461.23 118,845.67 -1,615.56 12/01/2019 DD 12/01/04SEC ID: 6/1/2005 31406AD410CSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6 /27/2005 * PD FNMA POOL #0807711 5.000% 6/1/2005 100.0000 -51,915.340 -52,621.06 51,915.34 -705.72 01/01/2020 DD 01/01/05SEC ID: 6/1/2005 31406EKY9OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0808933 5.500% 6/1/2005 100.0000 -350.620 -350.32 350.62 0.30 01/01/2035 DD 01/01/05SEC ID: 6 /1/2005 31406FV24OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0809350 5.500% 6/1/2005 100.0000 -3,720.880 -3,717.68 3,720.88 3.20 12/01/2034 DD 01/01/05SEC ID: 6/1/2005 31406GEX3OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0814930 5.500% 6/1/2005 100.0000 -2,458.100 -2,455.99 2,458.10 2.11 04/01/2035 DD 04/01/05SEC ID: 6/1/2005 31406NLK8OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/30/2005 • PD FNMA POOL #0815923 5.500% 6/1/2005 100.0000 -377.010 -376.69 377.01 0.32 03/01/2035 DD 03/0l/05SEC ID: 6/1/2005 31406PPG8OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * Workbench * Actual Settle Date 40 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDA TED -OCSGO00 10000 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base PD FNMA POOL #0816246 5.000% 6/1/2005 100.0000 -2,635.390 -2,632.51 2,635.39 2.88 03/01/2020 DD 03/01/05SEC ID: 6/1/2005 31406PZK8OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0819566 5.500% 6/1/2005 100.0000 -1,683.530 -1,682.08 1,683.53 1.45 04/01/2035 DD 04/0l/05SEC ID: 6/1/2005 31406TQT10CSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0822731 5.500% 6/1/2005 100.0000 -2,112.780 -2,110.96 2,112.78 1.82 05/01/2035 DD 05/01/0SSEC ID: 6/1/2005 31406XA85OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0823232 5.500% 6/1/2005 100.0000 -212.830 -212.65 212.83 0.18 06/01/2035 DD 05/0l/05SEC ID: 6/1/2005 31406XSV5OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD FNMA POOL #0823787 5.000% 6/1/2005 100.0000 -34,649.770 -34,611.87 34,649.77 37.90 05/01/2020 DD 05/01/05SEC ID: 6/1/2005 31406YF47OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/27/2005 * PD GNMA POOL #0421389 6.500% 6/1/2005 100.0000 -20.930 -21.97 20.93 -1.04 04/15/2026 DD 04/01/96SEC ID: 6/1/2005 36206UC23OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/15/2005 * PD GNMA POOL #0449851 6.500% 6/1/2005 100.0000 -19.700 -20.68 19.70 -0.98 01/15/2028 DD 01/01/98SEC ID: 6/1/2005 36208FWL0OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/15/2005 * PD GNMA POOL #0466845 6.500% 6/1/2005 100.0000 -48.080 -50.46 48.08 -2.38 06/15/2028 DD 06/01/98SEC ID: 6/1/2005 362098TA6OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/15/2005 * Workbench * Actual Settle Date 41 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED-OCSG000l0000 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base PD GNMA POOL #0468052 6.500% 6/1/2005 100.0000 -221.520 -232.49 221.52 -10.97 07/15/2028 DD 07/0l/98SEC ID: 6/1/2005 36209C5M4OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/15/2005 * PD GNMA POOL #0476041 6.500% 6/1/2005 100.0000 -5,580.270 -5,847.95 5,580.27 -267.68 06/15/2028 DD 06/01/98SEC ID: 6/1/2005 36209MZE7OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/15/2005 * PD GNMA POOL #0478626 6.500% 6/1/2005 100.0000 -187.030 -196.00 187.03 -8.97 01/15/2029 DD 01/01/99SEC ID: 6/1/2005 36209QVT9OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/15/2005 * PD GNMA POOL #0480598 6.500% 6/1/2005 100.0000 -40.400 -42.34 40.40 -1.94 10/15/2028 DD 10/01/98SEC ID: 6/1/2005 36209S3F6OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/15/2005 * PD GNMA POOL #0512235 6.500% 6/1/2005 100.0000 -13.200 -13.85 13.20 -0.65 11/15/2029 DD ll/01/99SEC ID: 6/1/2005 36211GBC6OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/15/2005 * PD GNMA POOL #0514326 6.500% 6/1/2005 100.0000 -153.110 -160.45 153.11 -7.34 07/15/2029 DD 07/01/99SEC ID: 6/1/2005 362 l 1JLF2OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/15/2005 * PD GNMA II POOL #0080023 VAR RT 12/20/20266/1/2005 100.0000 -3,222.360 -3,275.73 3,222.36 -53.37 DD 12/0l/96SEC ID: 6/1/2005 36225CAZ90CSF07522202: LONG TERM 6/1/2005 OPER-Pl.MCO 6/20/2005 * PD GNMA II POOL #080088M 7.375% 6/1/2005 100.0000 -7,882.840 -8,055.28 7,882.84 -172.44 06/20/2027 DD 06/01/97SEC ID: 6/1/2005 36225CC20OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/20/2005 * Wo,-kbench * Actual Settle Date 42 Transaction Detail Reported by Transaction Category OCSD-CONSOLIDA TED -OCSG000 10000 6/1/2005 -6/30/2005 Trade Date Local Price Tran Settle Date Base Price Type Description Reported Date Base Ex Rate PD GNMA II POOL #0080395 VAR RT 04/20/2030 DD 04/01/00SEC ID: 36225CNM4OCSF07522202: LONG TERM OPER-PIMCO PD GNMA II POOL #080408X VAR RT 05/20/2030 DD 05/01/00SEC ID: 36225CN28OCSF07522202: LONG TERM OPER-PIMCO PD GNMA II POOL #0080965 VAR RT 07/20/2034 DD 07 /01/04SEC ID: 36225DCB8OCSF07522202: LONG TERM OPER-PIMCO PD GNMA GTD REMIC TR 2000-9 FH VAR RT 02/16/2030SEC ID: 3837H4NX9OCSF07522202: LONG TERM OPER-PIMCO PD 6/1/2005 6/1/2005 6/1/2005 6/20/2005 * 6/1/2005 6/1/2005 6/1/2005 6/20/2005 * 6/1/2005 6/1/2005 6/1/2005 6/20/2005 * 6/16/2005 6/16/2005 6/16/2005 6/25/2005 6/25/2005 6/25/2005 RESIDENTIAL ASSET 03-RSll AIIB VAR RT 12/25/2033 DD 12/30/03SEC ID: 760985K83OCSF07522202: LONG TERM OPElR-PIMCO 6/27/2005 * TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: TOTAL FIXED INCOME SECURITIES BASE: MATURITIES CASH & CASH EQUIVALENTS U.S. DOLLAR * Actual Settle Date TOTAL PRINCIPAL PAYMENTS BASE: 100.0000 100.0000 100.0000 100.0000 100.0000 43 Shares/Par -5,449.530 -46,825.870 -30,685.110 -8,493.910 -31,512.840 -1,175,502.380 -1,175,502.380 -1,175,502.380 Cost Base -5,400.14 -46,350.29 -30,665.93 -8,493.91 -31,512.84 -1,189,111.87 -1,189,111.87 -1,189, 111.87 ReportID: EWBA09 Base Currency: USD Status: FINAL Amount Net Gain/Loss Base Base 5,449.53 49.39 46,825.87 475.58 30,685.11 19.18 8,493.91 0.00 31,512.84 0.00 1,175,502.38 -13,609.49 1,175,502.38 -13,609.49 1,175,502.38 -13,609.49 Workbench Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDA TED -OCSG000 10000 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base MT FEDERAL HOME LN BK CONS DISC MAT 6/10/2005 100.0000 -5,000,000.000 -4, 995,888.89 4,995,888.89 0.00 6/10/2005SEC ID: 6/10/2005 313385GS9OCSF07511102: LIQUID OPER-6 /10/2005 PIMCO MT FEDERAL HOME LN BK CONS DISC MAT 6/15/2005 100.0000 -4,000,000.000 -3,992,435.56 3,992,435.56 0.00 06/15/2005SEC ID: 6/15/2005 313385GX8OCSF07511102: LIQUID OPER-6/15/2005 PIMCO MT FEDERAL HOME LN BK CONS DISC MAT 6/16/2005 100.0000 -5,400,000.000 -5,399,553.00 5,399,553.00 0.00 06/16/2005SEC ID: 6/16/2005 313385GY6OCSF07511102: LIQUID OPER-6/16/2005 PIMCO MT FEDERAL HOME LN BK CONS DISC N MAT 6/17/2005 100.0000 -5,400,000.000 -5,399,559.00 5,399,559.00 0.00 06/ 17 /2005SEC ID: 6/17/2005 313385GZ3OCSF07511102: LIQUID OPER-6/17/2005 PIMCO MT FEDERAL HOME LN BK CONS DISC N MAT 6/20/2005 100.0000 -5,500,000.000 -5,498,680.00 5,498,680.00 0.00 06/20/2005SEC ID: 6/20/2005 313385HC3OCSF07511102: LIQUID OPER-6/20/2005 PIMCO MT FEDERAL HOME LN BK CONS DISC N MAT 6/21/2005 100.0000 -5,500,000.000 -5,499,556. 94 5,499,556.94 0.00 06/21/2005SEC ID: 6/21/2005 313385HD10CSF07511102: LIQUID OPER-6/21/2005 PIMCO MT FEDERAL HOME LN BK CONS DISC N MAT 6/22/2005 100.0000 -5,400,000.000 -5,399,562.00 5,399,562.00 0.00 06/22/2005SEC ID: 6/22/2005 313385HE9OCSF07511102: LIQUID OPER-6/22/2005 PIMCO MT FEDERAL HOME LN BK CONS DISC N MAT 6/23/2005 100.0000 -5,400,000.000 -5,399,559.00 5,399,559.00 0.00 06/23/2005SEC ID: 6/23/2005 313385HF6OCSF07511102: LIQUID OPER-6/23/2005 PIMCO Workbench • Actual Settle Date 44 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDA TED -OCSG000lO000 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base MT FEDERAL HOME LN BK CONS DISC N MAT 6/23/2005 100.0000 -1,200,000.000 -1,199,902.00 1,199,902.00 0.00 06/23/2005SEC ID: 6/23/2005 313385HF6OCSF07522202: LONG TERM 6/23/2005 OPER-PIMCO MT FEDERAL HOME LN BK CONS DISC N MAT 6/24/2005 100.0000 -5,400,000.000 -5,399,560.50 5,399,560.50 0.00 06/24/2005SEC ID: 6/24/2005 313385HG4OCSF07511102: LIQUID OPER-6/24/2005 PIMCO MT FEDERAL HOME LN BK CONS DISC N MAT 6/27/2005 100.0000 -5,400,000.000 -5,398,672.50 5,398,672.50 0.00 06/27 /2005SEC ID: 6/27/2005 313385HK5OCSF07511102: LIQUID OPER-6/27/2005 PIMCO MT FEDERAL HOME LN BK CONS DISC N MAT 6/27/2005 100.0000 -8,000,000.000 -7,998,033.33 7,998,033.33 0.00 06/27 /2005SEC ID: 6/27/2005 313385HK5OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO MT FEDERAL HOME LN BK CONS DISC N MAT 6/28/2005 100.0000 -3, 100,000.000 -3,099,740.81 3,099,740.81 0.00 06/28/2005SEC ID: 6/28/2005 313385HL3OCSF07522202: LONG TERM 6/28/2005 OPER-PIMCO MT FEDERAL HOME LN BK CONS DISC N MAT 6/28/2005 100.0000 -5,400,000.000 -5,399,548.50 5,399,548.50 0.00 06/28/2005SEC ID: 6/28/2005 313385HL3OCSF07511102: LIQUID OPER-6/28/2005 PIMCO MT FEDERAL HOME LN BK CONS DISC N MAT 6/29/2005 100.0000 -3, 100,000.000 -3,099, 733. 92 3,099,733.92 0.00 06/29/2005SEC ID: 6/29/2005 313385HM10CSF07522202: LONG TERM 6/29/2005 OPER-PIMCO MT FEDERAL HOME LN BK CONS DISC N MAT 6/29/2005 100.0000 -2, 700,000.000 -2,699, 768.25 2,699,768.25 0.00 06/29/2005SEC ID: 6/29/2005 313385HM10CSF07511102: LIQUID OPER-6/29/2005 PIMCO Workbench * Actual Settle Date 45 OCSD-CONSOLIDATED -OCSG000lO000 Transaction Detail Reported by Transaction Category 6/1/2005 -6/30/2005 Tran Trade Date Settle Date Reported Date Type Description MT MT MT FEDERAL HOME LN MTG CORP DISC MAT 06/14/2005SEC ID: 313397GW50CSF07511102: LIQUID OPER- PIMCO FEDERAL HOME LN MTG CORP DISC MAT 06/30/2005SEC ID: 313397HN40CSF07511102: LIQUID OPER- PIMCO FEDERAL NATL MTG ASSN DISCOUNT MAT 06/29/2005SEC ID: 313589HM80CSF07511102: LIQUID OPER- PIMCO 6/14/2005 6/14/2005 6/14/2005 6/30/2005 6/30/2005 6/30/2005 6/29/2005 6/29/2005 6/29/2005 Local Price Base Price Base Ex Rate 100.0000 100.0000 100.0000 TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: TOTAL CASH & CASH EQUIVALENTS BASE: FIXED INCOME SECURITIES U.S. DOLLAR MT ASSOCIATES CORP NORTH AMER SR 6.625% 6/15/2005 06/15/2005 DD 06/09/95SEC ID: 6/15/2005 046003FF10CSF0751 ll02; LIQUlD OPER-6/15/2005 PlMCO INTEREST CASH & CASH EQUIVALENTS U.S. DOLLAR • Actual Settle Date TOTAL MATURITIES BASE: 100.0000 46 Shares/Par -2,000,000.000 -4,000,000.000 -1,000,000.000 -82, 900,000.000 -82,900,000.000 -3,000,000.000 -85,900,000.000 Cost Base -1,986,466.67 -3,965,933.33 -992,517.78 -82,824,671. 98 -82,824,671.98 -3, 112,350.00 -85,937,021.98 ReportID: EWBA09 Base Currency: USD Status: FINAL Amount Base 1,986,466.67 3,965,933.33 992,517.78 82,824,671.98 82,824,671.98 3,000,000.00 85,824,671.98 Net Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 -112,350.00 -112,350.00 Workbench Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CDNSDLIDA TED -OCSG000 10000 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base IT FEDERAL HOME LN BK CONS DISC MAT 6/10/2005 5,000,000.000 4,111.11 4,111.11 0.00 6/10/2005SEC ID: 6/10/2005 313385GS9OCSF075 l l 102: LIQUID OPER-6/10/2005 PIMCO IT FEDERAL HOME LN BK CONS DISC MAT 6/15/2005 4,000,000.000 7,564.44 7,564.44 0.00 06/15/2005SEC ID: 6/15/2005 313385GX8OCSF07511102: LIQUID OPER-6/15/2005 PIMCO IT FEDERAL HOME LN BK CONS DISC MAT 6/16/2005 5,400,000.000 447.00 447.00 0.00 06/16/2005SEC ID: 6/16/2005 313385GY6OCSF07511102: LIQUID OPER-6/16/2005 PIMCO IT FEDERAL HOME LN BK CONS DISC N MAT 6/17/2005 5,400,000.000 441.00 441.00 0.00 06/ 17 /2005SEC ID: 6/17/2005 313385GZ3OCSF07511102: LIQUID OPER-6/17/2005 PIMCO IT FEDERAL HOME LN BK CONS DISC N MAT 6/20/2005 5,500,000.000 1,320.00 1,320.00 0.00 06/20/2005SEC ID: 6/20/2005 313385HC3OCSF07511102: LIQUID OPER-6/20/2005 PIMCO IT FEDERAL HOME LN BK CONS DISC N MAT 6/21/2005 5,500,000.000 443.06 443.06 0.00 06/21/2005SEC ID: 6/21/2005 313385HD10CSF07511102: LIQUID OPER-6/21/2005 PIMCO IT FEDERAL HOME LN BK CONS DISC N MAT 6/22/2005 5,400,000.000 438.00 438.00 0.00 06/22/2005SEC ID: 6/22/2005 313385HE9OCSF07511102: LIQUID OPER-6/22/2005 PIMCO IT FEDERAL HOME LN BK CONS DISC N MAT 6/23/2005 5,400,000.000 441.00 441.00 0.00 06/23/2005SEC ID: 6/23/2005 313385HF6OCSF07511102: LIQUID OPER-6/23/2005 PIMCO Workbench * Actual Settle Date 47 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDA TED -OCSGOOO 10000 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base IT FEDERAL HOME LN BK CONS DISC N MAT 6/23/2005 1,200,000.000 98.00 98.00 0.00 06/23/2005SEC ID: 6/23/2005 313385HF6OCSF07522202: LONG TERM 6/23/2005 OPER-PIMCO IT FEDERAL HOME LN BK CONS DISC N MAT 6/24/2005 5,400,000.000 439.50 439.50 0.00 06/24/2005SEC ID: 6/24/2005 313385HG4OCSF0751 l 102: LIQUID OPER-6/24/2005 PIMCO IT FEDERAL HOME LN BK CONS DISC N MAT 6/27/2005 5,400,000.000 1,327.50 1,327.50 0.00 06/27 /2005SEC ID: 6/27/2005 313385HK5OCSF0751 l 102: LIQUID OPER-6/27/2005 PIMCO IT FEDERAL HOME LN BK CONS DISC N MAT 6/27/2005 8,000,000.000 1,966.67 1,966.67 0.00 06/27 /2005SEC ID: 6/27/2005 313385HK5OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO IT FEDERAL HOME LN BK CONS DISC N MAT 6/28/2005 3,100,000.000 259.19 259.19 0.00 06/28/2005SEC ID: 6/28/2005 313385HL3OCSF07522202: LONG TERM 6/28/2005 OPER-PIMCO IT FEDERAL HOME LN BK CONS DISC N MAT 6/28/2005 5,400,000.000 451.50 451.50 0.00 06/28/2005SEC ID: 6/28/2005 313385HL3OCSF07511102: LIQUID OPER-6/28/2005 PIMCO IT FEDERAL HOME LN BK CONS DISC N MAT 6/29/2005 3,100,000.000 266.08 266.08 0.00 06/29/2005SEC ID: 6/29/2005 313385HM10CSF07522202: LONG TERM 6/29/2005 OPER-PIMCO IT FEDERAL HOME LN BK CONS DISC N MAT 6/29/2005 2,700,000.000 231.75 231.75 0.00 06/29/2005SEC ID: 6/29/2005 313385HM10CSF07511102: LIQUID OPER-6/29/2005 PIMCO Workbench • Actual Settle Date 48 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED-OCSG000lO000 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base IT FEDERAL HOME LN MTG CORP DISC MAT 6/14/2005 2,000,000.000 13,533.33 13,533.33 0.00 06/14/2005SEC ID: 6/14/2005 313397GW5OCSF07511102: LIQUID OPER-6/14/2005 PIMCO IT FEDERAL HOME LN MTG CORP DISC MAT 6/30/2005 4,000,000.000 34,066.67 34,066.67 0.00 06/30/2005SEC ID: 6/30/2005 313397HN4OCSF07511102: LIQUID OPER-6/30/2005 PIMCO IT FEDERAL NATL MTG ASSN DISCOUNT MAT 6/29/2005 1,000,000.000 7,482.22 7,482.22 0.00 06/29/2005SEC ID: 6/29/2005 313589HM8OCSF07511102: LIQUID OPER-6/29/2005 PIMCO CD SHORT TERM FDS INT ADJ TO REVERSE 6/14/2005 0.000 3,485.52 3,485.52 0.00 NET OF OVERNIGHTSEC ID: 6/14/2005 990000PJ4OCSF0751 l 102: LIQUID OPER-6/14/2005 PIMCO IT DREYFUS TREASURY CASH MGMTSEC ID: 6/2/2005 0.000 1,505.64 1,505.64 0.00 99608524 7OCSF07511102: LIQUID OPER-6/1/2005 PIMCO 6/2/2005 6/2/2005 * IT DREYFUS TREASURY CASH MGMTSEC ID: 6/2/2005 0.000 3,074.33 3,074.33 0.00 996085247OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/2/2005 6/2/2005 * IT BSDT-LATE MONEY DEPOSIT ACCTSEC ID: 6/1/2005 0.000 0.11 0.11 0.00 996087094OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO 6/1/2005 IT BSDT-LATE MONEY DEPOSIT ACCTSEC ID: 6/1/2005 0.000 22.60 22.60 0.00 996087094OCSF07511102: LIQUID OPER-6/1/2005 PIMCO 6/1/2005 Workbench * Actual Settle Date 49 OCSD-CONSOLIDA TED -OCSG000 10000 Transaction Detail Reported by Transaction Category 6/1/2005 -6/30/2005 Tran Type Description Trade Date Settle Date Reported Date Local Price Base Price Base Ex Rate TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: TOTAL CASH & CASH EQUIVALENTS BASE: FIXED INCOME SECURITIES U.S. DOLLAR IT IT IT IT IT IT ASSOCIATES CORP NORTH AMER SR 6.625% 6/15/2005 06/15/2005 DD 06/09/95SEC lD: 6/15/2005 046003F'FlOCSF07511102: LIQUrD OPER-6/15/2005 PIMCO CIT GROUP INC NEW SR NT VAR RT 09/22/2006 DD 09/23/03SEC ID: 125581AF5OCSF07522202: LONG TERM OPER-PIMCO WMP/HUNTGON PAIGE 1/000-11150 7.500% 12/01/2030 DD 10/21/99SEC ID: 302998GE3OCSF07522202: LONG TERM OPER-PJMCO FHLMC MULTI CLASS MTG SER E3 A VAR RT 08/15/2032 DD 12/01/97SEC ID: 3133TCE95OCSF07522202: LONG TERM OPER-PIMCO FHLMC GROUP #78-6064 6.384% 01/01/2028 DD 12/0l/97SEC ID: 31348SWZ3OCSF07522202: LONG TERM OPER-PIMCO FEDERAL NATL MTG ASSN DEBS 5.250% 06/15/2006 DD 06/22/0lSEC ID: 31359MJX2OCSF07522202: LONG TERM OPER-PIMCO 6/22/2005 6/22/2005 6/22/2005 6/29/2005 6/1/2005 6/29/2005 6/29/2005 * 6/22/2005 5/1/2005 6/22/2005 6/22/2005 • 6/15/2005 5/1/2005 6/15/2005 6/15/2005 * 6/15/2005 6/15/2005 6/15/2005 * Actual Settle Date 50 Shares/Par 82,900,000.000 82,900,000.000 3,000,000.000 1,500,000.000 872.110 15,922.050 1,742.110 2,350,000.000 Cost Base 83,416.22 83,416.22 99,375.00 13,225.00 5,824.90 2,453.82 188.38 61,687.50 Report ID: EWBA09 Base Currency: USD Status: FINAL Amount Base 83,416.22 83,416.22 99,375.00 13,225.00 5,824.90 2,453.82 188.38 61,687.50 Net Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Workbench Transaction Detail ReportID: EWBA09 Reported by Transaction Category Base Currency: USD DCSD-CDNSDLIDA TED -OCSG000 10000 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base IT FNMA POOL #0254510 5.000% 6/28/2005 10,346.160 2,497.53 2,497.53 0.00 11/01/2017 DD 10/01/02SEC ID: 6/1/2005 31371KVB4OCSF07522202: LONG TERM 6/28/2005 OPER-PIMCO 6/28/2005 * IT FNMA POOL #0254631 5.000% 6/27/2005 2,488.940 537.30 537.30 0.00 02/01/2018 DD 01/01/03SEC ID: 6/1/2005 31371KY47OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0254760 5.000% 6/27/2005 1,934.500 482.01 482.01 0.00 06/01/2018 DD 05/0l/03SEC ID: 6/1/2005 31371K5V9OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0254866 5.000% 6/27/2005 1,020.570 220.43 220.43 0.00 09/01/2018 DD 08/01/03SEC ID: 6/1/2005 31371LCB3OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0254907 5.000% 6/27/2005 6,545.540 1,637.01 1,637.01 0.00 10/01/2018 DD 09/01/03SEC ID: 6/1/2005 31371LDL0OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0254953 5.000% 6/27/2005 5,320.200 1,164.41 1,164.41 0.00 11/01/2018 DD 10/0l/03SEC ID: 6/1/2005 31371LE210CSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0254987 5.000% 6/27/2005 14,859.050 3,147.25 3,147.25 0.00 12/01/2018 DD ll/01/03SEC ID: 6/1/2005 31371LF46OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0323980 6.000% 6/27/2005 3,250.370 631.85 631.85 0.00 04/01/2014 DD 09/0l/99SEC ID: 6/1/2005 31374T2M0OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * Workbench * Actual Settle Date 51 Transaction Detail ReportID: EWBA09 Reported by Transaction Category Base Currency: USO OCSD-CONSOUDATED-OCSG000lO000 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base IT FNMA POOL #0357328 5.000% 6/27/2005 453.420 90.37 90.37 0.00 01/01/2018 DD 0l/01/03SEC ID: 6/1/2005 31376J4M8OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0357430 5.000% 6/27/2005 28,191.870 4,776.81 4,776.81 0.00 09/01/2018 DD 09/01/03SEC ID : 6/1/2005 31376KA710CSF07522202: WNG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0456482 6.000% 6/27/2005 385.190 178.84 178.84 0.00 02/01/2014 DD 02/01/99SEC ID: 6/1/2005 31381CCT2OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0509649 6.000% 6/27/2005 802.010 477.75 477.75 0.00 09/01/2014 DD 09/01/99SEC ID: 6/1/2005 31383QEW0OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0535451 6.000% 6/27/2005 2,296.130 489.18 489.18 0.00 06/01/2015 DD 07 /01/00SEC ID: 6/1/2005 31384VZQ8OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0555363 5.000% 6/27/2005 5,123.660 1,154.92 1,154.92 0.00 04/01/2018 DD 03/0l/03SEC ID: 6/1/2005 31385W5YlOCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0555453 5.000% 6/27/2005 626.910 119.96 119.96 0.00 05/01/2018 DD 04/01/03SEC ID : 6/1/2005 31385XBW60CSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0555545 5.000% 6/27/2005 4,211.160 962.96 962.96 0.00 06/01/2018 DD 05/01/03SEC ID: 6/1/2005 31385XES2OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * Workbench * Actual Settle Date 52 I OCSD-CONSOUD.4 TED -OCSGOOOIOOOO Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base IT FNMA POOL #0555621 5.000% 6/27/2005 11,150.820 3,295.17 3,295.17 0.00 07/01/2018 DD 06/01/03SEC ID: 6/1/2005 31385XG68OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0681309 5.000% 6/27/2005 6,265.500 1,812.78 1,812.78 0.00 02/01/2018 DD 02/01/03SEC ID: 6/1/2005 31391Y3S4OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0681334 5.000% 6/27/2005 906.230 217.42 217.42 0.00 02/01/2018 DD 0l/01/03SEC ID: 6/1/2005 31391Y4T10CSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 • IT FNMA POOL #0684798 5.500% 6/27/2005 6,918.510 1,530.74 1,530.74 0.00 03/01/2033 DD 03/01/03SEC ID: 6/1/2005 31400DX310CSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0684908 5.000% 6/27/2005 4,053.190 1,187.33 1,187.33 0.00 06/01/2018 DD 05/0l/03SEC ID: 6/1/2005 31400D3R10CSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0685200 5.000% 6/27/2005 3,384.170 649.54 649.54 0.00 03/01/2018 DD 03/01/03SEC ID: 6/1/2005 31400EGH7OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0685665 5.000% 6/30/2005 488.710 109.64 109.64 0.00 02/01/2018 DD 02/01/03SEC ID: 6/1/2005 31400EW22OCSF07522202: LONG TERM 6/30/2005 OPER-PIMCO 6/30/2005 * IT FNMA POOL #0686318 5.000% 6/27/2005 5,040.950 983.84 983.84 0.00 03/01/2018 DD 03/0l/03SEC ID: 6/1/2005 31400FPB7OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * Workbench * Actual Settle Date 53 I Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD I OCSD-CONSOLIDATED-OCSG000l0000 6/1/2005 -6/30/2005 Status: FINAL - Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base IT FNMA POOL #0688739 5.000% 6/27/2005 1,791.470 378.09 378.09 0.00 06/01/2018 DD 06/0l/03SEC ID: 6/1/2005 31400JEL9OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0689859 5.000% 6/27/2005 393.310 339.38 339.38 0.00 05/01/2018 DD 05/0l/03SEC ID: 6/1/2005 31400KMG8OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0693834 5.000% 6/27/2005 2,607.570 2,038.37 2,038.37 0.00 03/01/2018 DD 03/0l/03SEC ID: 6/1/2005 31400PY74OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0695852 5.000% 6/27/2005 1,676.430 761.73 761.73 0.00 05/01/2018 DD 05/01/03SEC ID: 6/1/2005 31400SBV0OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0695889 5.000% 6/27/2005 6,231.500 2,647.79 2,647.79 0.00 05/01/2018 DD 05/0l/03SEC ID: 6/1/2005 31400SC23OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0697026 5.000% 6/27/2005 101.820 80.32 80.32 0.00 05/01/2018 DD 04/0l/03SEC ID: 6/1/2005 31400TLF2OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0702210 5.000% 6/27/2005 8,233.130 815.81 815.81 0.00 05/01/2018 DD 05/01/03SEC ID: 6/1/2005 31401ADP9OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0702328 5.000% 6/27/2005 3,701.940 460.91 460.91 0.00 05/01/2018 DD 04/01/03SEC ID: 6/1/2005 31401AHD2OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * Workbench * Actual Settle Date 54 -- 4 Transaction Detail Report ID: EWBA09 I OCSD-CONSOLIDATED-OCSG000l0000 Reported by Transaction Category Base Currency: USD 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base IT FNMA POOL #0709148 5.000% 6/27/2005 5,788.800 1,004.47 1,004.47 0.00 06/01/2018 DD 06/01/03SEC ID: 6/1/2005 31401HZM7OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0709360 5.000% 6/27/2005 5,641.180 2,215.08 2,215.08 0.00 07/01/2018 DD 06/01/03SEC ID: 6/1/2005 31401JB56OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0709826 5.000% 6/27/2005 2,479.140 387.95 387.95 0.00 06/01/2018 DD 06/01/03SEC ID: 6/1/2005 31401JSP4OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 • IT FNMA POOL #0709917 5.000% 6/27/2005 3,776.310 801.61 801.61 0.00 06/01/2018 DD 06/01/03SEC ID: 6/1/2005 31401JVJ4OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0709963 5.000% 6/27/2005 79.090 73.24 73.24 0.00 06/01/2018 DD 06/0l/03SEC ID: 6/1/2005 31401JWY0OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0710235 5.000% 6/27/2005 2,512.810 2,017.07 2,017.07 0.00 06/01/2018 DD 06/0l/03SEC ID: 6/1/2005 31401KBC8OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0713344 5.000% 6/27/2005 608.550 54.30 54.30 0.00 06/01/2018 DD 06/01/03SEC ID : 6/1/2005 31401NP52OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0713365 5.000% 6/27/2005 9,901.460 883.27 883.27 0.00 07/01/2018 DD 07 /01/03SEC ID: 6/1/2005 31401NQS10CSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * Workbench * Actual Settle Date 55 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDA TED -OCSG000lO000 6/1/2005 -6/30/2005 Status: FINAL ·- Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base IT FNMA POOL #0720319 5.000% 6/27/2005 7,107.420 2,513.37 2,513.37 0.00 07/01/2018 DD 07 /01/03SEC ID: 6/1/2005 31401WG45OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0720369 5.000% 6/27/2005 19,958.920 7,936.16 7,936.16 0.00 06/01/2018 DD 06/01/03SEC ID: 6/1/2005 31401 WJN0OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0721629 5.000% 6/27/2005 6,793.310 1,076.04 1,076.04 0.00 07/01/2018 DD 06/01/03SEC ID: 6/1/2005 31401XVW4OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0723487 5.000% 6/27/2005 998.550 776.17 776.17 0.00 06/01/2018 DD 06/01/03SEC ID: 6/1/2005 31402AXQ4OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0725530 5.000% 6/27/2005 42,501.450 12,245.14 12,245.14 0.00 06/01/2019 DD 05/01/04SEC ID: 6/1/2005 31402DA75OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0729601 5.000% 6/27/2005 6,491.540 1,449.60 1,449.60 0.00 07/01/2018 DD 07 /01/03SEC ID: 6/1/2005 31402HRW3OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0732873 5.000% 6/27/2005 134.640 129.83 129.83 0.00 11/01/2018 DD 10/01/03SEC ID: 6/1/2005 31402MFN5OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0735227 5.500% 6/27/2005 12,825.780 4,583.34 4,583.34 0.00 02/01/2035 DD 0l/01/05SEC ID: 6/1/2005 31402QYY10CSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * Workbench * Actual Settle Date 56 -·· .. Transaction Detail ReportlD,':J Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDA TED -OCSG000 10000 6/1/2005 -6/30/2005 Status: FINAL ,wl,w Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base IT FNMA POOL #0737130 5.000% 6/27/2005 30,916.350 2,359.54 2,359.54 0.00 10/01/2018 DD 10/01/03SEC ID: 6/1/2005 31402S4P9OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0738211 5.000% 6/27/2005 10,540.700 1,875.82 1,875.82 0.00 10/01/2018 DD 10/0l/03SEC ID: 6/1/2005 31402UDQ2OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0738487 5.000% 6/27/2005 721.130 669.07 669.07 0.00 10/01/2018 DD 10/01/03SEC ID: 6/1/2005 31402UNC2OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0740457 5.000% 6/27/2005 36,305.280 8,052.84 8,052.84 0.00 10/01/2018 DD 10/01/03SEC ID: 6/1/2005 31402WTN8OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0740471 5.000% 6/27/2005 3,221.980 2,704.62 2,704.62 0.00 10/01/2018 DD 10/01/03SEC ID: 6/1/2005 31402WT40OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0740748 5.000% 6/27/2005 16,812.240 2,795.89 2,795.89 0.00 10/01/2018 DD 11/01/03SEC ID: 6/1/2005 31402W5H7OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0743868 5.000% 6/27/2005 491.850 134.82 134.82 0.00 11/01/2018 DD 10/01/03SEC ID: 6/1/2005 31403BMR10CSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0744008 5.000% 6/27/2005 4,957.180 3,651.91 3,651.91 0.00 07/01/2018 DD 09/0l/03SEC ID: 6/1/2005 314038R54OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * Workbench * Actual Settle Date 57 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000 10000 6/ 1/2005-6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base IT FNMA POOL #0744316 5.000% 6/27/2005 1,353.670 571.64 571.64 0.00 09/01/2018 DD 09/01/03SEC ID: 6/1/2005 3140383Z4OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0747914 5.000% 6/27/2005 25,849.530 1,195.59 1,195.59 0.00 11/01/2018 DD 11/01/03SEC ID: 6/1/2005 31403F3X0OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0748400 5.000% 6/27/2005 7,855.990 704.04 704.04 0.00 08/01/2018 DD 09/01/03SEC ID: 6/1/2005 31403GNR9OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0748899 5.000% 6/27/2005 4,740.960 3,518.71 3,518.71 0.00 12/01/2018 DD 11/01/03SEC ID: 6/1/2005 31403G7L0OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0750377 5.000% 6/27/2005 62,835.710 7,781.17 7,781.17 0.00 11/01/2018 DD 11/01/03SEC ID: 6/1/2005 31403JUA2OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0750380 5.000% 6/27/2005 15,225.320 6,480.83 6,480.83 0.00 11/01/2018 DD 11/01/03SEC ID: 6/1/2005 31403JUD6OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0750445 5.000% 6/27/2005 22,636.470 676.76 676.76 0.00 11/01/2018 DD ll/0l/03SEC ID: 6/1/2005 31403JWE2OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0751960 5.000% 6/27/2005 18,091.600 2,878.13 2,878.13 0.00 12/01/2018 DD 11/01/03SEC ID: 6/1/2005 31403LMH10CSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * Workbench • Actual Settle Date 58 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDA TED -OCSG000l0000 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base IT FNMA POOL #0753425 5.000% 6/27/2005 17,325.940 3,098.04 3,098.04 0.00 11/01/2018 DD 11/01/03SEC ID: 6/1/2005 31403NA23OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0755165 5.000% 6/27/2005 17,067.480 2,248.86 2,248.86 0.00 12/01/2018 DD 11/01/03SEC ID: 6/1/2005 31403Q6A3OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0756372 5.000% 6/27/2005 31,448.580 3,548.78 3,548.78 0.00 11/01/2018 DD ll/0l/03SEC ID: 6/1/2005 31403SJR8OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 • IT FNMA POOL #0784251 5.000% 6/27/2005 85,931.590 12,849.82 12,849.82 0.00 11/01/2019 DD 11/0l/04SEC ID: 6/1/2005 31405BH46OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0789670 5.000% 6/27/2005 33,120.220 3,609.57 3,609.57 0.00 12/01/2019 DD 12/01/04SEC ID: 6/1/2005 31405HJP4OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0792432 5.000% 6/27/2005 3,887.580 3,553.03 3,553.03 0.00 10/01/2019 DD 10/01/04SEC ID: 6/1/2005 31405LLM9OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0792437 5.000% 6/27/2005 22,099.220 20,586.68 20,586.68 0.00 10/01/2019 DD 10/01/04SEC ID: 6/1/2005 31405LLS6OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0794195 5.000% 6/27/2005 4,456.720 3,712.70 3,712.70 0.00 11/01/2019 DD 11/01/04SEC ID: 6/1/2005 31405NKG9OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * Workbench * Actual Settle Date 59 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDA TED -OCSG000 10000 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base IT FNMA POOL #0797160 5.000% 6/27/2005 13,284.170 13,007.03 13,007.03 0.00 12/01/2019 DD 12/01/04SEC ID: 6/1/2005 31405RTR7OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 •k IT FNMA POOL #0797408 5.000% 6/27/2005 3,196.780 3,323.46 3,323.46 0.00 12/01/2019 DD 12/01/04SEC ID: 6/1/2005 31405R3R50CSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0797414 5.000% 6/27/2005 5,938.730 3,299.86 3,299.86 0.00 12/01/2019 DD 12/0l/04SEC ID: 6/1/2005 31405R3X2OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0800370 5.000% 6/27/2005 5,289.980 1,530.25 1,530.25 0.00 12/01/2019 DD 11/0l/04SEC ID: 6/1/2005 31405VFK8OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0800998 5.500% 6/27/2005 402.810 1,522.95 1,522.95 0.00 11/01/2034 DD 11/0l/04SEC ID: 6/1/2005 31405V3F2OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0803923 5.000% 6/27/2005 118,845.670 12,679.30 12,679.30 0.00 12/01/2019 DD 12/0l/04SEC ID: 6/1/2005 31406AD410CSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0807711 5.000% 6/27/2005 51,915.340 12,454.17 12,454.17 0.00 01/01/2020 DD 01/01/05SEC ID: 6/1/2005 31406EKY90CSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0808933 5.500% 6/27/2005 350.620 1,524.76 1,524.76 0.00 01/01/2035 DD 01/01/05SEC ID: 6/1/2005 31406FV24OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 • Workbench * Actual Settle Date 60 .. Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000 10000 6/1/2005 -6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base IT FNMA POOL #0809350 5.500% 6/27/2005 3,720.880 1,525.88 1,525.88 0.00 12/01/2034 DD 01/0l/05SEC ID: 6/1 /2005 31406GEX3OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0814930 5.500% 6/30/2005 2,458.100 1,534.60 1,534.60 0.00 04/01/2035 DD 04/01/05SEC ID: 6/1/2005 31406NLK8OCSF07522202: LONG TERM 6/30/2005 OPER-PIMCO 6/30/2005 * IT FNMA POOL #0815923 5.500% 6/27/2005 377.010 1,534.04 1,534.04 0.00 03/01/2035 DD 03/01/05SEC ID: 6/1/2005 31406PPG8OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0816246 5.000% 6/27/2005 2,635.390 2,636.00 2,636.00 0.00 03/01/2020 DD 03/01/05SEC ID: 6/1/2005 31406PZK8OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0819566 5.500% 6/27/2005 1,683.530 1,528.27 1,528.27 0.00 04/01/2035 DD 04/0l/05SEC ID: 6/1/2005 31406TQT1OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0822731 5.500% 6/27/2005 2,112.780 1,523.52 1,523.52 0.00 05/01/2035 DD 05/01/05SEC ID: 6/1/2005 31406XA85OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0823232 5.500% 6/27/2005 212.830 1,523.86 1,523.86 0.00 06/01/2035 DD 05/01/05SEC ID: 6/1/2005 31406XSV5OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * IT FNMA POOL #0823787 5.000% 6/27/2005 34,649.770 8,332.50 8,332.50 0.00 05/01/2020 DD 05/01/05SEC ID: 6/1/2005 31406YF47OCSF07522202: LONG TERM 6/27/2005 OPER-PIMCO 6/27/2005 * Workbench * Actual Settle Date 61 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000l0000 6/ 1/2005-6/30/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base IT GNMA POOL #0421389 6.500% 6/15/2005 20.930 44.39 44.39 0.00 04/15/2026 DD 04/01/96SEC ID: 6/1/2005 36206UC23OCSF07522202: LONG TERM 6/15/2005 OPER-PIMCO 6 /15/2005 * IT GNMA POOL #0449851 6.500% 6/15/2005 19.700 65.04 65.04 0.00 01/15/2028 DD 01 /01 /98SEC ID: 6/1/2005 36208FWL0OCSF07522202: LONG TERM 6/15/2005 OPER-PIMCO 6/15/2005 * IT GNMA POOL #0466845 6.500% 6/15/2005 48.080 175.91 175.91 0.00 06/15/2028 DD 06/01/98SEC ID: 6/1/2005 36209BTA6OCSF07522202: LONG TERM 6/15/2005 OPER-PIMCO 6 /15/2005 * IT GNMA POOL #0468052 6.500% 6/15/2005 221.520 594.69 594.69 0.00 07/15/2028 DD 07 /01/98SEC ID: 6/1/2005 36209C5M4OCSF07522202: LONG TERM 6/15/2005 OPER-PIMCO 6 /15/2005 * IT GNMA POOL #0476041 6.500% 6/15/2005 5,580.270 659.89 659.89 0.00 06/15/2028 DD 06/0l/98SEC ID: 6/1/2005 36209MZE7OCSF07522202: LONG TERM 6/15/2005 OPER-PIMCO 6/15/2005 * IT GNMA POOL #0478626 6.500% 6/15/2005 187.030 648.33 648.33 0.00 01/15/2029 DD 01/0l/99SEC ID: 6/1/2005 36209QVT9OCSF07522202: LONG TERM 6/15/2005 OPER-PIMCO 6/15/2005 * IT GNMA POOL #0480598 6.500% 6/15/2005 40.400 154.79 154.79 0.00 10/15/2028 DD 10/0l/98SEC ID: 6/1/2005 36209S3F6OCSF07522202: LONG TERM 6/15/2005 OPER-PIMCO 6/15/2005 * IT GNMA POOL #0512235 6.500% 6/15/2005 13.200 45.09 45.09 0.00 11/15/2029 DD 11/01/99SEC ID: 6/1/2005 36211GBC6OCSF07522202: LONG TERM 6/15/2005 OPER-PIMCO 6/15/2005 * Workbench • Actual Settle Date 62 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOUDATED-OCSG000l0000 6/1/2005 -6/30/2005 Status: FINAL .... , .. Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base IT GNMA POOL #0514326 6.500% 6/15/2005 153.110 420.43 420.43 0.00 07/15/2029 DD 07/01/99SEC ID : 6/1/2005 36211JLF2OCSF07522202: LONG TERM 6/15/2005 OPER-PIMCO 6/15/2005 k IT GNMA II POOL #0080023 VAR RT 12/20/2026 6/20/2005 3,222.360 483.13 483.13 0.00 DD 12/01/96SEC ID: 6/1/2005 36225CAZ90CSF07522202: LONG TERM 6/20/2005 OPER-PfMCO 6/20/2005 * IT GNMA II POOL #080088M 7.375% 6/20/2005 7,882.840 494.77 494.77 0.00 06/20/2027 DD 06/01/97SEC ID: 6/1/2005 36225CC20OCSF07522202: LONG TERM 6/20/2005 OPER-PIMCO 6/20/2005 * IT GNMA II POOL #0080395 VAR RT 6/20/2005 5,449.530 433.74 433.74 0.00 04/20/2030 DD 04/01/00SEC ID: 6/1/2005 36225CNM4OCSF07522202: LONG TERM 6/20/2005 OPER-PIMCO 6/20/2005 * IT GNMA II POOL #080408X VAR RT 6/20/2005 46,825.870 3,877.27 3,877.27 0.00 05/20/2030 DD 05/01/00SEC ID: 6/1/2005 36225CN28OCSF07522202: LONG TERM 6/20/2005 OPER-PIMCO 6/20/2005 * IT GNMA II POOL #0080965 VAR RT 6/20/2005 30,685.110 3,676.85 3,676.85 0.00 07/20/2034 DD 07/01/04SEC ID: 6/1/2005 36225DCB8OCSF07522202: LONG TERM 6/20/2005 OPER-PIMCO 6/20/2005 * IT GOLDMAN SACHS GRP MTN #TR00203 VAR 6/30/2005 2,000,000.000 16,304.44 16,304.44 0.00 RT 03/30/2007 DD 04/01/04SEC ID: 6/30/2005 38141EJL4OCSF07522202: LONG TERM 6/30/2005 OPER-PIMCO IT GOLDMAN SACHS MTN# TR 00216 VAR RT 6/1/2005 5,500,000.000 13,828.87 13,828.87 0.00 08/01/2006 DD 02/01/0SSEC ID: 6/1/2005 38141EJZ3OCSF07522202: LONG TERM 6/1/2005 OPER-PIMCO Workbench * Actual Settle Date 63 OCSD-CONSOLIDATED -OCSG000 10000 Transaction Detail Reported by Transaction Category 6/1/2005 -6/30/2005 Tran Type Description Trade Date Settle Date Reported Date Local Price Base Price Base Ex Rate IT CD IT CD IT U S TREASURY NOTES 3.375% 12/15/2008 6/15/2005 DD 12/15/03SEC ID: 912828BT6OCSF07522202: LONG TERM OPER-PIMCO 6/15/2005 6/15/2005 US TREASURY INFLATION INDEXED 2.000% 6/30/2005 01/15/2014 DD 01 / 15/04SEC ID: 912828BW9OCSF07522202: LONG TERM OPER-PJMCb 6/30/2005 U S TREASURY NOTES 2.750% 06/30/2006 6/30/2005 DD 06/30/04SEC ill: 912828CM0OCSP07522202: LONG TERM OPER-PIMCQ 6/30/2005 6/30/2005 US TREASURY INFLATION INDEX NT 2.000% 6/30/2005 07/15/2014 DD 07 / 15/04SEC ID: 912828CP3OCSF07522202: LONG TERM OPER-PIMCO 6/30/2005 U S TREASURY NOTES 3.500% 12/15/2009 6/15/2005 DD 12/15/04SEC ID: 912828DE7OCSF07522202: LONG TERM OPER-PIMCO 6/15/2005 6/15/2005 TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: TOTAL FIXED INCOME SECURITIES BASE: TOTAL INTEREST BASE: Shares/Par 10,900,000.000 0.000 12,500,000.000 0.000 13,920,000.000 56,631,819.890 56,631,819.890 139,531,819.890 Cost Base 183,937.50 1,806.00 171,875.00 21,452.00 243,600.00 1,261,380.37 1,261,380.37 1,344,796.59 Report ID: EWBA09 Base Currency: USD Status: FINAL ... Amount Base Net Gain/Loss Base 183,937.50 0.00 1,806.00 0.00 171,875.00 0.00 21,452.00 0.00 243,600.00 0.00 1,261,380.37 0 .00 1,261,380.37 0.00 1,344,796.59 0 .00 TOTAL TRANSACTIONS: 113,890,390.210 -59,620,349.93 -7,858,740.69 -26,177.70 Workbench * Actual Settle Date 65