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Home My WebLink About2005-09-14MINUTES OF FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE MEETING Orange County Sanitation District Wednesday, September 14, 2005, 5:00 p.m. A meeting of the Finance, Administration and Human Resources Committee of the Orange County Sanitation District was held on September 14, 2005, at 5:00 p.m., in the Sanitation District's Administrative Office. (1) The roll was called and a quorum declared present, as follows: FAHR COMMITTEE MEMBERS: DIRECTORS PRESENT: Roy Moore, Chair Mike Duvall, Vice Chair Bill Dalton Rich Freschi Phil Luebben Joy Neugebauer James W. Silva Mark Waldman DIRECTORS ABSENT: Steve Anderson, Board Chair Jim Ferryman, Vice Board Chair STAFF PRESENT: Bob Ghirelli, Director of Technical Services Jim Herbert, Director of Operations and Maintenance Lisa Tomko, Director of Human Resources Mike White, Acting Director of Finance/Treasurer Lilia Kovac, Committee Secretary OTHERS PRESENT: Carolyn Cavecche, OMTS Chair Brad Hagin, General Counsel Ed Soong, Orrick, Herrington & Sutcliffe Mahin Talebi Norbert Gaia Bob Geggie (2) APPOINTMENT OF CHAIR PRO TEM FILED No appointment was necessary. (3) PUBLIC COMMENTS There were no public comments. (4) REPORT OF THE COMMITTEE CHAIR Chair Moore had no report. (5) REPORT OF THE GENERAL MANAGER IN THE OFFICE OF THE SECRETARY ORANGE r"' ,,,--. ~ · '"..,.6.Tl()N OISTRICT SEP 28 2005 BY __,f-,___~K....:.__~ -~ Bob Ghirelli, Acting General Manager reported that a Sanitation District employee who is a member of the Sanitation District's emergency medical response team has volunteered on his own personal time through the Red Cross, to assist in a shelter for the victims of Katrina in the Gulf Coast. An agenda report is being drafted by HR to identify all aspects of liability for the Sanitation District to provide assistance in disasters such as the recent hurricane in the Gulf Coast. The Board will be presented with an agenda report and a policy resolution that will direct management how to respond Minutes of the Finance, Administration and Human Resources Committee Meeting Page 2 September 14, 2005 to similar situations. Some concern was expressed by directors over the proper use of public funds for assisting in times of disaster, and agreed that a resolution should be presented to the Board of Directors for adoption. (6) REPORT OF DIRECTOR OF FINANCE/TREASURER Mike White, Acting Director of Finance, informed the Committee members that the FY 2005-06 Investment Policy document is now being provided to them at this meeting. This document includes the Investment Policy Statement, a summary of the investment authorization, Treasury Management Procedures, the most recent monthly and quarterly program monitoring reports, and sections of the California Government Code pertaining to the investment of public funds. (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, was absent. (9) REPORT OF GENERAL COUNSEL Brad Hagin, General Counsel, had no report. (10) CONSENT CALENDAR ITEMS a. Approve minutes of the July 6, 2005, Finance, Administration and Human Resources Committee meeting. b. FAHR05-68 Recommend to the Board of Directors to receive and file Treasurer's Report for the month of August 2005. c. FAHR05-69 Receive and file Certificates of Participation (COP) Monthly Report. d. FAHR05-70 Receive and file Employment Status Report as of August 22, 2005. e. FAHR05-71 Receive and file OSHA Incidence Rates and Workers' Compensation Claims and Costs Report. f. FAHR0S-72 Item pulled for discussion. g. FAHR05-73 Recommend to the Board of Directors to adopt Resolution No. OCSD05- _, amending Resolution No. OCSD 98-33, amending Human Resources Policies and Procedures Manual. h. FAHR05-74 Recommend to the Board of Directors to receive and file SWAP Report for the quarter ended June 30, 2005. Minutes of the Finance, Administration and Human Resources Committee Meeting Page 3 September 14, 2005 L FAHR05-75 Recommend to the Board of Directors to receive and file Quarterly Investment Management Program Report for the period April 1, 2005 through June 30, 2005. MOTION: It was moved, seconded and duly carried to approve the recommended actions for items specified as 10(a) through (e) and (g) through (i) under Consent Calendar. END OF CONSENT CALENDAR f. FAHR05-72 Recommend to the Board of Directors to receive and file report of General Manager approved purchases in amounts exceeding $50,000 in accordance with Board purchasing policies. MOTION: Directors inquired about the blanket purchase order issued to American Airlines for $99,999 which appears excessive for the Sanitation District's travel needs. Mike White, Acting Director of Finance explained the blanket purchase order only works as a mechanism to issue travel tickets, after an employee has the appropriate management approvals. Staff will report back to the committee on the procedures used in securing airline reservations. It was moved, seconded and duly carried to recommend approval to the Board of Directors. (11) ACTION ITEMS a. FAHR05-76 Approve staff's listing of proposed underwriters for consideration on the MOTION: issuance of up to $200 million in certificates of participation (COP). Mike White, Acting Director of Finance, referred to the agenda report listing 1 O recommended firms, all of which provide strong re marketing services, for consideration to serve as underwriters on the proposed issuance of the $200 million in variable rate certificates of participation. It was pointed out that there was a potential appearance, but not in fact, of a conflict of interest with Banc of America, one of the firms being recommended for consideration. There were no objections to include Banc of America as one of the firms to be considered. It was moved, seconded and duly carried to recommend approval to the Board of Directors. b. FAHR05-77 Authorize staff 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 Committee. Minutes of the Finance, Administration and Human Resources Committee Meeting Page4 September 14, 2005 MOTION: Mike White, Acting Director of Finance, presented the request to solicit proposals for internal auditing services from outside auditing firms for up to 600 hours annually; an increase from the previous quantity of 300 hours annually. The increase in hours was recommended by the FAHR Committee in July 2005 due to the size and complexity of the Sanitation District. The proposed number of hours will assist in providing a thorough analysis of the Sanitation Districts accounting processes and procedures to ensure that all related internal controls are well designed, properly implemented, and adequately maintained. This effort would be similar to the new private sector internal control reporting requirements under the Sarbanes-Oxley Act. It was moved, seconded and duly carried to recommend approval to the Board of Directors. c. FAHR05-78 Recommend to the Board of Directors to: (1) Authorize the General Manager to transfer to Newport Fab, LLC, the flow baseline as defined by Ordinance No. OCSD-26 previously established at the same discharge location by a company known as Conexant; and, MOTION: (2) to initiate the process to amend Ordinance No. OCSD-26 to clarify the policy for transferring baselines from an Existing User to a New User. Bob Ghirelli, Director of Technical Services, presented the committee a request made by Newport Fab to transfer the flow baseline based on ownership retained by Conexant, that due to Ordinance changes, had increased their rates substantially. The Directors expressed the need to establish a set policy that identifies what constitutes a need for granting similar transfer of flow baselines, and that the definition of a transfer should be identified as a legal transfer of ownership, requiring 51 % or more ownership interest be retained as a quantifiable ownership to qualify for exemption. It was moved, seconded and duly carried to recommend to the Board to: (1) Deny Jazz Semiconductor's request to use Conexant flow baseline for purposes of rates charged; and, (2) Direct staff to bring back to the Board an amendment to Ordinance No. OCSD-26 addressing the transfer of flow baselines and identifying ownership interests retained as 51 %, instead of 25%. (12) INFORMATIONAL PRESENTATIONS a. FAHR05-79 Asset Management Jim Herberg, Director of Operations and Maintenance, provided an overview of the asset management program and responded to Directors' questions. Minutes of the Finance, Administration and Human Resources Committee Meeting Page 5 September 14, 2005 (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. (16) CONSIDERATION OF UPCOMING MEETINGS The next FAHR Committee meeting is scheduled for October 12, 2005 at 5 p.m. (17) ADJOURNMENT The Chair declared the meeting adjourned at 6:35 p.m. Submitted by: Lilia Kovac FAHR Committee Secretary H :\dept\agenda\FAHR\FAHR2005\0605\060805 FAHR Minutes.doc STATE OF CALIFORNIA) ) ss. COUNTY OF ORANGE ) Pursuant to California Government Code Section 54954.2, I hereby certify that the Notice and the Agenda for the FAHR Committee meeting to be held on September 14, 2005, was duly posted for public inspection in the main lobby of the District's offices on September 8, 2005. IN WITNESS WHEREOF, I have hereunto set my hand this 8th day of September, 2005. [ilia Kovac, Assistant Secretary Board of Directors Orange County Sanitation District H:\DEPT\AGENDA\POSTING\COMMITTEE POSTING CERTIFICATION FORM.DOC ROLL CALL FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE Meeting Date: September 14, 2005 Time: 5:00 p.m. Adjourn: 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 I Brad Hagin, General Counsel I I STAFF Blake Anderson, General Manager Carol Beekman, Director of Public Affairs David Ludwin, Director of EnQineering Jim Herberg, Director of O & M Lisa Tomko, Director of Human Resources Patrick Miles, Director of Information Technoloav 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, SEPTEMBER 14, 2005, AT 5:00 P.M. ADMINISTR-ATIVE' OFF-LCE 10844 Ellis Avenue Fountain Valley, California 92708 www .ocsd.com A@enda P0stln.g: 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 tor public inspection in the office of the Board Secretary. Items Not P0sted: In the event any matter not listed on this agenda is proposed to be submitted to the Committee tor 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. Public Comments: Any member of the public may address the Operations, Maintenance and Technical Services Committee on specific agenda items or matters of general interest. As determined by the Chair, speakers may be deterred until the specific item is taken tor 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). C0nse_nt Calendar: All matters placed on the consent calendar are considered as not requiring discussion or further explanation, and unless a particular item is requested to be removed from the consent calendar by a Director of staff member, there will be no separate discussion of these items. All items on the consent calendar will be enacted by one action approving all motions, and casting a unanimous ballot tor resolutions included on the consent calendar. All items removed from the consent calendar shall be considered in the regular order of business. The Committee Chair will determine it any items are to be deleted from the consent calendar. 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}. Meetin@-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). Accommodations tor the Disabled: The Board of Directors Meeting Room is wheelchair accessible. It 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. Book Page I September 14, 2005 (1) ROLL CALL (2) APPOINTMENT OF CHAIR PRO TEM, IF NECESSARY (3) PUBLIC COMMENTS (4) ~EPORT OF COMMITTEE CHAIR (5) AEPORT OF SENERAL MANAGER· (6) REPORT OF DIRECTOR OF FINANCE (7) REPORT OF DIRECTOR OF HlJMAN 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: a. Approve minutes of the July 13, 2005, Finance, Administration and Human Resources Committee meeting. b. FAHR05-68 Recommend to the Board of Directors to receive and file Treasurer's Report for the month of August 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. FAHR05-69 Receive and file Certificates of Participation (COP) Monthly Report. (Book Page 13) d. FAHR05-70 Receive and file Employment Status Report as of August 22, 2005. (Book Page 23) e. FAHR05-71 Receive and file OSHA Incidence Rates and Workers' Compensation Claims and Costs Report. (Book Page 31) f. FAHR05-72 Recommend to the Board of Directors to receive and file report of General Manager approved purchases in amounts exceeding $50,000 in accordance with Board purchasing policies. (Book Page 37) 2 Book Page 2 September 14, 2005 g. FAHR05-73 Recommend to the Board of Directors to adopt Resolution No. OCSD05-_, amending Resolution No. OCSD 98-33, amending Human Resources Policies and Procedures Manual. (Book Page 39) h. FAHR05-74 Recommend to the Board of Directors to receive and file SWAP Report for the quarter ended June 30, 2005. (Book Page 75) i. FAHR05-75 Recommend to the Board of Directors to receive and file Quarterly Investment Management Program Report for the period April 1, 2005 through June 30, 2005. (Book Page 79) END OF CONSENT CALENDAR Consideration of items deleted from Consent Calendar, if any. (11) ACTION ITEMS a. FAHR05-76 Approve staff's listing of proposed underwriters for consideration on the issuance of up to $200 million in certificate~ of participation (COP). (Book Page 101) (Mike White -15 minutes) b. FAHR05-77 Authorize staff 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 Committee. (Book Page 109) (Mike White -15 minutes) c. FAHR05-78 Recommend to the Board of Directors to: (1) Authorize the General Manager to transfer to Newport Fab, LLC, the flow baseline as defined by Ordinance No. OCSD-26 previously established at the same discharge location by a company known as Conexant; and, (2) to initiate the process to amend Ordinance No. OCSD-26 to clarify the policy for transferring baselines from an Existing User to a New User. (Bob Ghirelli -1 O minutes) (Book Page 119) (12) INFORMATIONAL PRESENTATIONS a. FAHR05-79 Asset Management (Book Page 123) (Jim Herberg -15 minutes) 3 Book Page 3 September 14, 2005 (13) CLOSED SESSION : During the course of conducting the business ~et f~rth on this agenda as a regular meeting of the Committee, ] ! the Chair may convene the Committee in closed session to consider matters of pending real estate negotiations, \ ! pending or potential litigation, or personnel matters, pursuant to Government Code Sections 54956.8, 54956.9, ! ( 54957 or 54957.6, as noted. ! : : ! Reports relating to (a) purchase and ~ale of real pwperty; (b) matters of pending or potential litigation; (c) j ] employee actions or negotiations with employee representatives; or whic.h are exempt from public disclosure j j t,mder the California Public Records Act, may be reviewed by the Committee during -~ permitted dosecj ses~ion, ! l and are not available for public inspection. At such time as final actions are taken by the Committee on any of ! ! these subjects, the minutes will reflect all required disclosures of information. -j ! i '"-• ................ •••H••--•••• .. •••••••••· .. ••••••••u••• .. ...., ..... ,.,,,.,H,H>•-•••-••,..••-• ...... ••-nonuuu•••••••••• .. ••• .... ••••• .. •• ................ ..,... ......... •••••uo· ... ••• .. •••• ................. ,n,.o·o•-•••••••••U~-•• ••••••• ........... ~,, .. , .. ._.._._..,. .. ,,.,o,.,.,,_,, 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, COMMUNICATI ONS OR SUPPLEMENTAL AGENDA ITEMS, IF ANY (15) MATTERS WHI CH A DI RECTO~ MAY WISH Te> PLACE ON A FUTURE AGENDA FOR ACTION AND STAFF REPORT {16) FUTURE ME~TING DATES The next Finance, Administration and Human Resources Committee Meeting is scheduled for October 12, 2005, at 5 p.m. (17) ADJOURNMENT : . . . • , . • . . J .... ' ( . . .. • • -. . . i l Notice to Committee Members: [ l For any questions on the agenda or to place any items on the agenda, Committee members should contact the ! ! Committee Chair or Secretary ten days in advance of the Committee meeting. \· [g~~~::: ~=~~tary. ~;~~ ~ii~~ )i)1l :~ii~! lkovac@ocsdcom i 1General Manager : Blake Anderson (714) 593-7110 banderson@ocsd.com ! )Acting Director of Finance: Mike White (714) 593-7570 mwhite@ocsd.com j \Director of Human Resources: Lisa Tomko (714) 593-7145 ltomko@ocsd.com l l,Director of _Public .Affairs: ............ , ... ······-Carol Beekman..... . ............... J714) 593-7120 . cbeekman.~ ocsd.com -············ ........................ .l H:\dept\agenda\FAHR\FAHR2005\0905\01 .3.091405 FAHR Agenda.doc 4 Book Page 4 Book Page 6 MINUTES OF FINANCE, ADMINISTRATION AND HUMAN RESOURCES COMMITTEE MEETING Orange County Sanitation District 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 Hogin, 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 Committee Chair Moore recognized appointment of Mark Waldman and welcomed him to the FAHR Committee. Book Page 7 Minutes of the Finance, Administration and Human Resources Committee Meeting Page2 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 Hogin, 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 1 0(a) through (e) under Consent Calendar. END OF CONSENT CALENDAR Book Page 8 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. Book Page 9 Minutes of the Finance, Administration and Human Resources Committee Meeting Page 4 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 FAHR 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. Book Page JO 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. Book Page 11 FAH R COMMITTEE AGE NDA REPORT Orange County Sanitation District FROM: Michael D. White, Acting Director of Finance/Treasurer Originator: Robert Geggie, Principal Accountant Meeting Date 09/14/05 Item Number FAHR0S-69 SUBJECT: CERTIFICATES OF PARTICIPATION (COP) MONTHLY REPORT- AUGUST 2005 GENERAL MANAGER'S RECOMMENDATION To Bel. of Dir. Item Number Receive and file Certificates of Participation (COP) Monthly Report for the month of August 2005. SUMMARY The District began issuing Certificates of Participation (COPs) on a variable interest rate basis in 1990. These variable rate COPs were a part of our long-term financing plan which also included some more traditional fixed rate borrowing. In 1992 and 1993, some of the fixed rate COPs were refunded and replaced with synthetic-fixed rate COPs. These are variable interest rate COPs that are also subject to a long-term fixed-rate interest exchange agreement (SWAP). The SWAP provides the maximum interest rate to be paid by the District, and is less costly than traditional fixed rate borrowing. In August 2000, the entire financing program was restructured and modernized to incorporate and take advantage of the consolidation of District books of account and revenue structure. This process has reduced the number of COP issues from five to three; 1992 Refunding COPs, 1993 Refunding COPs and 2000 Refunding COPs. The 2000 COPs can be divided into Series A and Series B, if additional remarketing agents are desired. In August 2003, the District issued $280 million of fixed rate COPs, Series 2003, that have varying coupon rates that are matched against the varying maturity dates. The true interest cost for the entire issue is 5.15 percent. Variable interest rate COPs can be put back on the market by the buyer each day. When this happens, they must be remarketed or sold to another buyer. This process, called remarketing, is generally provided by a municipal bond underwriter. The remarketing agent sets the interest rate they believe is required to sell the COPs. Some issuers believe that having more than one remarketing agent promotes competition and results in lower interest costs. Staff has monitored variable interest rate issues of other agencies since the inception of our program. The attached charts are described in the "Additional Information" section of this agenda report. They are provided monthly to compare our actual interest rates to a composite index, and to other selected issuers of similar credit quality, and with COP issues of similar amounts. Many variables affect interest rates, but staff expects our rates to be among the lowest. PRIOR COMMITTEE/BOARD ACTIONS N/A Book Page 13 PROJECT/CONTRACT COST SUMMARY NIA BUDGET IMPACT D This item has been budgeted. (Line item: ) D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. [8] Not applicable (information item) ADDITIONAL INFORMATION No report for July 2005 was issued because there was no FAHR meeting held in August 2005. The attached graphs that provide information through August 2005, also contain the information for July 2005. 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 Histbry Report," shows the performance of the District's Daily Rate COPs as compared to a composite index rate, which represents the average rate of six similar variable rate daily reset borrowings. The third bar chart entitled, "COP Rate History, Comparison of Highest & Lowest Rates,'' compares the performance (monthly average interest rate) of th-e District's Daily Rate COPs witb the highest and lowest monthly average, rates fr0m among six similar variable rate d?ily reset COP.s. The table emtitled, "COP Rate History, Comparison of Monthly Averages," shows the morithly variable interest rate performance of the District's Daily Rate COPs· as comparced to the c.::0mposite index. Estimated annual interest payments calculated for a standard $100 rnillibn 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 follo_wing month. Staff maintains continuous rate monitoring and ongoing dialog with the remarketing agents to keep the Committee fully informed ab0ut developments in the program as they may occur. ATTACHMENTS 1. Graph -OCSD COP Rate Hjstory Report 2. Graph -Comparati've Daily CGP Rate History Report 3. Gra:ph -·COP Daily Rate History, Comparison pf Highest & Lowest Rates 4. Tabular -COP Rate History, Comparison of Monthly Averages GGS:MW:lc H:\dept\agenda\FAHR\FAHR2005\0905\06.05·69.COP Monthly Report.doc Revised: 06/04/03 Book Page 14 Page2 Book Page 16 Book Page 18 Book Page 20 to 0 ~ "'C i:>l (JQ (1) N DAILY COP RA TE HISTORY COMPARISON OF MONTHLY AVERAGES SEP 2004 -AUG 2005 OCSD $218.6M $46M Series 2000 Series 93 Ref Composite Paine Webber Paine Webber Sep-04 1.34 1.34 Oct-04 1.67 1.67 Nov-04 1.52 1.52 Dec-04 1.55 1.55 Jan-05 1.70 1.70 Feb-05 1.76 1.76 Mar-05 1.86 1.86 Apr-05 2.42 2.42 May-05 2.88 2.88 Jun-05 2.23 2.23 Jul-05 2.11 2.11 Aug-05 2.26 2.26 AVERAGE 1.94% I 1.94% ESTIMATED ANNUAL INTEREST PAYMENTS PER $100M PAR AMOUNT $ 1,941,667 I $ 1,941,667 I$ * FOOTNOTE 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 Index* 1.32 1.65 1.51 1.54 1.69 1.74 1.84 2.40 2.87 2.22 2.08 2.24 1.93% 1,925,000 . 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 22 FA HR CO MMITTEE Meeting Date 09/14/05 AGENDA REPORT Item Number FAHR0S-70 Orange County Sanitation District FROM: Lisa L. Tomko, Director of Human Resources Originator: Richard Spencer, Employee Development Supervisor SUBJECT: EMPLOYMENT STATUS REPORT AS OF AUGUST 22, 2005 GENERAL MANAGER'S RECOMMENDATION Receive and file the Employment Status Report SUMMARY The number of full-time equivalent (FTE} employees at OCSD is 597 .50; actual headcount is 609. PRIOR COMMITTEE/BOARD ACTIONS N/A PROJECT/CONTRACT COST SUMMARY N/A BUDGET IMPACT D This item has been budgeted. (Line item: ) 0 This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. ~ Not applicable (information item) ADDITIONAL INFORMATION JOB TITLE Associate Enqineer Ill Intern (2) Intern (2) Maintenance Worker H:\depl\agenda\FAHR\FAHR2005\0905\06.05-70.Employment Status.doc Revised: 06/04/03 NEW HIRES: 6 DIVISION Enqineerinq & Construction Public Information Office Environmental Assessment Collection Facilities O&M Book Page 23 Page 1 To Bel. of Dir. Item Number PROMOTIONS: 6 NAME FORMER JOB TITLE CURRENT JOB TITLE Yvonne Dake Intern Engineering Assistant I Tod Haynes Engineering Supervisor Engineering Manager Denise Martinez Human Resources Analyst Senior Human Resources Analyst William Cassidy Senior Engineer Engineering Supervisor Olga Cervantes Principal Contracts Contracts Supervisor Administrator Thys DeVries Accounting Assistant I Accounting Assistant II RECLASSIFICATIONS: 10 NAME FORMER JOB TITLE CURRENT JOB TITLE Terry Ahn Associate Engineer Ill Regulatory Specialist Jerry Doss Construction Inspector Senior Construction Inspector Jeri Elliot En!i!ineeri ng Assistant II En!i!ineering Associate Michele Farmer Senior Environmental Principal Environmental s o_ecialist Specialist Julie Matsumoto Accounting S1:1pervisor Accounting Mana_ger David Medellin Senior Storekeeper Lead Storekeeper Andrew Nau Human Resources Analyst Senior Human Resources AAalyst Quynh Nguyen Engineering Assistant II Engineering Associate Fred O'Brien Scientist Boat Captain Joanne Ward Operatpf-ln-TrainihQ Plant Operator LATERALTRANSFERS:2 NAME JOB TITLE FORMER DIVISION Larry Gibson Engineering Supervisor Project Management Office Janet Orel Administrative Assistant Project Management Office H:\dept\agenda\FAHRIFAHR2005\0905\06_05-70_Employment Status.doc Revised: 06/04/03 Book Page 24 DIVISION Planning Engineering & Construction Employee & Labor Relations Regional Assets & Services Contracts, Purchasing, & Materials Mqmt. Accountin•g DIVISION Environmental Compliance Services Engineering & Construction Planning Environmental Compliance Services Accountin!:I Contracts, Purchasing, & Materials Mamt. Workforce Support Services Engineering & Construction Environmental Assessment Operations, Plant No. 1 CURRENT DIVISION General Management Administration Contracts, Purchasing, & Materials Mgmt. Page2 JOB TITLE Principal Public Information Specialist Human Resources Supervisor Maintenance Worker Administrative Assistant Accounting Assistant II Director of Operations & Maintenance Senior Construction Inspector Director of Finance CMMS Technician II Maintenance Specialist Facilities Worker/Builder Senior Staff Analyst Senior Mechanic ALTERNATIVES N/A CEQA FINDINGS N/A ATTACHMENTS SEPARATIONS: 13 DIVISION Public Information Office Workforce Support Services Collection Facilities O&M Enqineerinq & Construction Accounting Operations & Maintenance Engineering & Construction Finance Administration Instrumentation & Electrical Maintenance Instrumentation & Electrical Maintenance Facilities Maintenance Safety & Health Mechanical Maintenance & Power Production 1. August 22, 2005 Employment Status Report REASON Resignation Resignation Termination Retirement Retirement Retirement Retirement Retirement Retirement Retirement Retirement Retirement Retirement 2. FY 2005/06 Staffing Report (year to date performance compared to budgeted FTE's) H:\deptlagenda\FAHRIFAHR2005\0905\06.05-70.Employment Status.doc Revised: 06/04/03 Book Page 25 Page 3 Book Page 26 tt1 0 0 ;,;-- -0 Pl OQ ('l) N -.i DIV 11 0 General Management Admin General Management Totals 210 Finance Administration 220 Accounting 230 Contracts, Purch. & Materials Mgml Finance Totals 310 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 DevelopmentrTraining 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 Engineering Totals 810 O&M Administration 820 O&M Process Engineering 830 Operations, Plant No. 1 840 Operations, Plant No. 2 850 Mech Main! & Power Production 860 Electrical & Instrumentation Main! Operations & Maintenance Totals f:liO IT Administration 930 IT Customer & Network Support 940 IT Programming & Database Sys 950 IT Process Controls Integration Information Technology Totals GRAND TOTAL FTEs - AUTHORIZED FTE REG 0.50 0.75 3.00 . . 3.00 . . 2.00 . . 20.00 -- 27.00 0.50 . 49.00 0.50 - 3.00 -- 5.00 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 . . 15.00 . 0.75 64.00 -- 98.00 -0.75 4.00 . - 15.00 0.50 . 41.00 0.50 0.75 47.50 . . 58.00 0.50 - 54.00 0.50 . 219.50 2.00 0.75 3.00 . 17.00 . . 12.00 . 13.00 -. 45.00 . . 627.50 15.00 1.50 I AUTHORIZED FTE 644.00 EMPLOYMENT STATUS REPORT ACTUALFTE Recruitments V:::1.Ct1n:::ies TOTAL REG 0.50 Q.Z§ ~ TOTAL 3.00 3.00 -. . 3.00 . . 3.00 3.00 . --3.00 -. 2.00 1.00 . --1.00 1.00 -1 00 20.00 18.00 . - -18.00 1.00 2.00 27.50 23.00 0.50 --23.50 2.00 f; 00 49.50 42.00 0.50 -. 42.50 4.00 7.00 3.00 2.00 ---2.00 1.00 1 OU 5.50 5.00 -. 0.50 5.50 . - 6.00 6.00 - --6.00 - 1.00 1.00 ---1.00 - 15.50 14.00 . -0.50 14.50 1.00 1.00 8.00 7.00 ---7.00 1 00 24.00 23.00 ---23.00 1.00 1.00 30.00 28.00 --1.00 29.00 1.00 1 00 62.00 58.00 --1.00 59.00 2.00 3.00 3.00 2.00 0.50 --2.50 1.00 n_r;() 4.00 4.00 ---4.00 . . 8.00 6.00 ---6.00 2.00 2 00 18.50 4.00 7.50 --· 11.50 2.50 7 ()0 2.50 2.00 0.50 --2.50 - 36.00 18.00 8.50 --26.50 5.50 9.50 2.00 2.00 ---2.00 -- 15.00 14.00 . --14.00 1.00 '. GG 37.00 35.00 2.00 --37.00 . 40.00 40.00 . - -40.00 18.00 18.00 -. . 18.00 1.00 - 112.00 109.00 2.00 --111.00 2.00 ·t.00 3.00 3.00 . . -3.00 - 16.00 16.00 ---16.00 -- 15.75 14.00 -0.75 -14.75 -! 00 64.00 51.00 --1.00 52.00 10.00 12 OG 98.75 84.00 -0.75 1.00 85.75 10.00 13.00 4.00 4.00 ---4.00 . . 15.50 12.00 0.50 . -12.50 4.00 J.(10 42.25 37.00 0.50 0.75 2.00 40.25 2.00 2.UO 47.50 45.00 0.50 -1.00 46.50 1.00 1 00 58.50 57.00 0.50 --57.50 1.00 1.00 54.50 49.00 0,50 -1.00 50.50 3.00 4 00 222.25 204.00 2.50 0.75 4.00 211.25 11.00 1 LOO 3.00 3.00 -. 3.00 -. 17.00 16.00 --1.00 17.00 -- 12.00 11.00 -- -11.00 1.00 l.00 13.00 13.00 --13.00 -- 45.00 43.00 -. 1.00 44.00 1.00 1.00 575.00 13.50 1.50 7.50 1=1 ACTUALFTE I+ I Recruitments I + vaca1,cto:; (!c,:;s. rc~r~ru1lr11E:-nl,:-} 597.50 36.50 10.00 Book Page 28 to 0 0 ;:,;-.._, I>) (JQ ~ N \0 700.00 - - - - - - - - - -+-AUTHORIZED FTE -II-ACTUAL FTE • • -II '~ ... OCT NOV 629.00 629.00 581.50 584.00 STAFFING REPORT ~ • • • • • -~ ,_ ------. ,_ ----i.. --= -l:.JI FEB MAR APR MAY JUN JUL* SEP 629.00 629.00 629.00 629.00 629.00 644.00 644.00 587.50 588.00 592.00 594.50 601.00 606.00 597.50 * Authorized FTE as of July; actual FTE as of June Book Page 30 FAHR COMM ITTEE AGE NDA REPO RT Orange County Sanitation District FROM.: Lisa L. Tomko, Director of Human Resources Originator: James Matte, Safety & Health Supervisor Meeting Date To Bel. of Dir. 09/14/05 Item Number Item Number FAHR0S-71 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 July 2005. The industry average is 4.50 for the DART Case Incidence Rate while the District Incident Rate was 1.77 for the period of January through July 2005. There were 11 OSHA Recordable Accidents District-wide for the period of January through July 2005. The industry average is 7.30 for the Total Injury Frequency Rate while the District Incident Rate was 3.24 for the period of January through July 2005. The Division also tracks the District's Workers' Compensation Claims and Costs. The District's claim count for Fiscal Year 2004-2005 was 19. The costs associated with these claims for year-to-date is $37,824, 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 • 8 ~ This item has been budgeted. (Line item: ) This item has been budgeted, but there are insufficient funds. This item has not been budgeted. Not applicable (information item) Revised: 06/04/03 Book Page 31 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 July 2005. The reporting period is for 45 days prior to committee meeting. ALTERNATIVES NIA CEQA FINDINGS NIA ATTACHMENTS 1. OSHA Incidence Rates Reports for DART Cases and Total Injuries 2. Workers' Compensation Claims and Costs Revised: 06/04/03 Book Page 32 Page2 Workers' Compensation Claims and Costs The Workers' Compensation Claims and Costs are reported by fiscal year. The DART and Total Injury graphs shown above are calendar year rates as required for OSHA recordkeeping. All claims and medical invoices are reviewed by a third party to ensure that proper medical treatment is provided for injured employees and the costs for the treatment are within established guidelines. The medical bills reviewed for the month of July 2005 totaled $6,449.49. Medical treatment costs are charged to the fiscal year in which the injury occurred. All open claims have the potential to incur additional costs. After the medical review process, the amount was reduced to $5,714.88, which resulted in savings of $734.61 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 $298,370 7/1/90 -6/30/91 76 0 $121,978 7/1/91 -6/30/92 58 1 $222,707 7 /1 /92 -6/30/93 58 0 $93,198 7 /1 /93 -6/30/94 47 0 $218,507 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 $290,739 7 /1 /99 -6/30/00 43 2 $352,549 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 $111,961 7 /1 /04 -6/30/05 19 7 YTD $37,824 "Total Incurred" includes medical bills, temporary disability payments to employees, legal costs, and a claim reserve account. Book Page 35 Book Page 36 FAHR COMMI TTEE Meeting Date To Bet of Dir. 9/14/05 9/28/05 AGE NDA REPORT. Item Number Item Number FAHR05-72 Orange County Sanitation District FROM: Marc Dubois, Contracts/ Purchasing Manager SUBJECT: GENERAL MANAGER APPROVED PURCHASES GENERAL MANAGER'S RECOMMENDATION Receive and file report of General Manager approved purchases in amounts exceeding $50,000 in accordance with Resolution No. OCSD04-08. SUMMARY In May 1998, the FAHR Committee and the Board approved changes to the staff purchasing authority. One of the changes was to increase the dollar threshold before Board authority was required for purchases of goods or services, excluding public works purchases, to $100,000. When approving this change, the Committee asked for periodic reports showing purchases approved by the General Manager for amounts between $50,000 and $100,000. Subsequent to receiving the initial report, the Committee requested that future reports be placed on the Consent Calendar. Vendor Name Amount Description/Discussion Oracle Corporation $73,356 Support for Enterprise One materials. TMV Systems Engineering, Inc. $75,000 Software services. American Airlines $99,999 Blanket order for Air travel card. Undersea Graphics $95,000 Underwater inspection services and studies. DGA Consultants $70,000 CCTV data evaluation support. United Pumping Service $60,000 Vacuum services for Plants 1 & 2. DKG Construction $85,000 Seismic retrofit Building H -Plant 1. Graybar Electric Company $50,740 Modicon Quantum PLC Controller upgrade. Black & Veatch Corporation $55,750 Evaluate staff exposure to arc flash energy. Section 4.03.B of Resolution 04-08, the District's Delegation of Authority Resolution, authorizes the Contracts/ Purchasing Manager to purchase items that have been previously authorized by the Board as identified in the annual District budget. During the budget adoption process, the lists of these items were highlighted for the Directors. For these reasons, purchases that fell into these categories are not included in this report. H:ldeptlagenda\FAHR\FAHR2005\0905\06.05-72.GM Purchases.doc Revised: 06/04/03 Book Page 37 Page 1 PRIOR COMMITTEE/BOARD ACTIONS NIA PROJECT/CONTRACT COST SUMMARY NIA BUDGET IMPACT D This item has been budgeted. (Line item: ) D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. ~ Not applicable (information item) ADDITIONAL INFORMATION NIA ALTERNATIVES NIA CEQA FINDINGS NIA ATTACHMENTS None H:ldeptlagenda\FAHR\FAHR2005\0905\06.05•72.GM Purchases.doc Revised: 06/04/03 Book Page 38 Page2 FAHR COMMITTEE AGE NDA RE PORT Orange County Sanitation District FROM: Lisa Tomko, Director of Human Resources Originator: Jeff Reed, Human Resources Manager Meeting Date To Bel. of Dir. 09/14/05 9/28/05 Item Number Item Number FAHR05-73 SUBJECT: CHANGES AND ADDITIONS TO HUMAN RESOURCES POLICIES AND PROCEDURES AS AUTHORIZED BY RESOLUTION 98-33. GENERAL MANAGER1S RECOMMENDATION Adopt Resolution No. OCSD 05-XX, amending Resolution No. OCSD 98-33, amending Human Resources Policies and Procedures Manual. SUMMARY The attached policy revisions are forwarded for approval to maintain consistent language with the Memorandums of Understanding (MOU), address new legislation, or to clarify procedures. Changes and additions to the Human Resources Policies and Procedures Manual will be done on a quarterly basis. The next quarterly update is scheduled for December 2005. PRIOR COMMITTEE/BOARD ACTIONS • Human Resources Policies and Procedures Manual revisions were presented at the March 2005 FAHR Committee and Board of Directors meetings. 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-. r;gj Not applicable (information item) H:\deptlagenda\FAHRIFAHR2005\0905\06_Q5-73.HR Policy Procedure Update_doc Page 1 Book Page 39 ADDITIONAL INFORMATION Policv Number and Subject From To Reason for Chancie E30.00, Human Resources Records N/A N/A Delete policy. Information incorporated into policy E31.00, as noted below. New policy. Establish policy, procedures, E31 .00, Privacy Information and N/A N/A and guidelines for handling and maintaining Human Resources Records privacy information, personnel files, and any system of records. F20.10, Hours of Work-Exempt Current Language Revised Language Revise memo time language to reflect Employees management recommendations. Revise ,p0l1oy to Include QMV Employer Pull- F41 .00, Vehicle Usage Current Language Revised Language Notice and oof testing information, private use, cell phone use, and employee responslbllitles for failing to comp_ly with law. F90.00, Substance Abuse Current Language Revised Language Revise policy to reflect Drug Free Workplace Act compliance and grant requirements. F100.00, Smoking Current Language Revised Language Revise PJ:>llcy to clarify whete-stnoking is and rs not permitted in orderio make the pollcy more .. effective in acGordanc_e· with Federal and State reoulations. ALTERNATIVES N/A CEQA FINDINGS N/A ATTACHMENTS 1. E30.00 Human Resources Records 2. E31.00 Privacy Information & Human Resources Records 3. F20.1 0 Hours of Work -Exempt Employees 4. F41.00 Vehicle Usage 5. F90.00 Substance Abuse 6. F100.00 Smoking 7. Resolution No. OCSD 05-XX H:\deptlagenda\FAHRIFAHR2005\0905\06.05-73.HR Policy Procedure Update.doc Page 2 Book Page 40 Book Page 42 -New Policy - @) Orange County Policy Number: E31.00 Sanitation District - Effective Date: September 28, 2005 Subject: PRIVACY INFORMATION & Supersedes: Policy E30.00 HUMAN RESOURCES RECORDS Approved by: Lisa L. Tomko 1.0 PURPOSE 1.1 The purpose of this policy is to establish uniform guidelines and procedures for receiving and retaining employee information so that the Orange County Sanitation District (OCSD) can make appropriate management decisions, administer programs, and satisfy compliance requirements. 1.2 Establish rules of conduct for any person involved in the design, development, operation, or maintenance of any system of records. 1.3 Establish uniform guidelines and procedures for accessing Human Resources records. 1.4 Establish uniform guidelines and procedures for maintaining the privacy of personal information within established regulations. 2.0 ORGANIZATIONAL UNITS AFFECTED 2.1 This policy applies to all current Orange County Sanitation District (OCSD) employees regardless of the organizational unit. 3.0 DEFINITIONS 3.1 Record -Recorded information, regardless of format. 3.2 Confidential Information -Information that requires a business "need-to-know", restricted use, or is sensitive in nature is considered confidential information. Generally, OCSD technical data, proprietary, customer, and personnel related information is confidential. Personnel related information includes, but is not limited to, medical, recruitment, disciplinary, and performance related information. Once information becomes generally available to the public, it is no longer considered confidential. Contact the Human Resources Department if there are questions. 3.3 Human Resources Records (Personnel. Medical and Similar Files) -OCSD's permanent record of employee personal data and employment history. 4.0 POLICY 4.1 An employee's personnel, medical, or similar file is OCSD's permanent record of that individual's personal data and employment history, and as such is to be accurately maintained and treated confidentially, to the extent allowable by law. 4.2 OCSD treats personal information about employees as confidential and respects the need for protecting each employee's privacy by enforcing secure information handling Page 1 of 5 Book Page 43 -New Policy - procedures on the part of all personnel whose job duties involve gathering, retaining, using, or releasing personal information about OCSD employees. 4.3 OCSD collects and retains only such personal information as it needs to make appropriate management decisions, administer programs, and satisfy compliance requirements. OCSD takes all possible steps to make sure that all personal and job- related information about employees is accurate, complete, and relevant for the intended purpose. 4.4 Employee information is considered confidential and will not be disclosed to internal or external parties without a business need-to-know. Internal use shall be limited to those officers and employees of the organization that maintain confidential records or who have a need for the information in the performance of their duties. If there is a question of whether certain information is considered confidential, the employee should first check with the Human Resources Department. 4.5 Employees have the right to informational privacy and the guarantee of certain privacy rights, such as the right to be free from defamatory statements. OCSD prohibits the unauthorized gathering, dissemination, or misuse of sensitive and confidential information. This provision includes the unwarranted disclosure of the individual's private life outside the realm of legitimate business or public interest, which would be construed as offensive and objectionable to a reasonable person of ordinary sensibilities. 4.6 Employees have a personal responsibility to limit the disclosure of their own sensitive and confidential information outside the context of "business necessity," such as non-job related medical information. If there is a question of whether certain information is considered to be of a business necessity, the employee should contact the Human Resources Department. 4.7 Pursuant to the Confidentiality of Medical Information Act (CMIA) and the Health Insurance Portability and Accountability Act (HIPAA), OCSD will adhere to strict confidentiality requirements in accordance with OCSD's HIPAA procedures manual with respect to any medical information that has been obtained about an employee. Medical information is any individually identifiable health information that is transmitted or maintained in any form or medium, including electronically, on paper, or orally. 5.0 PROCEDURE 5.1 Security and Storage of Records 5.1 .1 Employees who are required to gather, retain, use, or release personal record information about other employees shall treat that information as confidential. Secure handling procedures shall be used with personal employee information at all times to ensure the highest integrity of such information. 5.1.2 All paper based documents relating to OCSD's personnel record system are kept in secure, locked files in the Human Resources Department. These files are accessible only to authorized Human Resources Department staff and executives, managers and supervisors who have a valid, demonstrable need to obtain specific information from an employee's personnel record. Employees are also granted access to their personnel files and records in accordance with access procedures outlined Memorandums of Understanding (MOUs) and section 5.3 of this policy. All personnel files must remain in the Human Resources Department at all times. Page 2 of 5 Book Page 44 -New Policy - 5.1.3 All employee medical information is kept separately from personnel files in secure, locked medical record files in the Safety and Health Division. All managers and supervisors are required to forward original medical documentation pertinent to an OCSD employee, to the Safety and Health Division. Access to Medical Records is tightly controlled. Unless there is a business necessity, medical information about an employee is supplied only to the employee's designated physician in accordance with the employee's specific written request. 5.2 Accuracy of Basic Employee Information 5.2.1 Maintenance of an employee's payroll status, insurance coverage, and other benefit entitlements is dependent upon accurate information. 5.2.2 Employees are responsible for immediately notifying the Human Resources Department of any changes in their personal status, including, but not limited to the following categories: • Name • Telephone Number • Home Address • Emergency Contact Information 5.3 Access to Personnel Records 5.3.1 Internal Disclosures and Uses of Personnel File Information 5.3.1.1 5.3.1.2 5.3.1.3 Managers/Supervisors: Managers and supervisors may only have access to personal employee information and personnel files on a business need-to-know basis. A manager or supervisor considering the hire of a former employee or transfer/promotion of a current employee may be granted access to the appropriate personnel file. Current and Former Employees: Employees can review and obtain copies of the information contained in their own personnel file. OCSD reserves the right to remove certain sensitive documents, including pre-employment background reports; letters of reference; and management planning documents such as succession or promotion plans. Current and former employees interested in reviewing and/or obtaining copies of items contained in their personnel file should contact the Human Resources Department and provide at least a three-day notice requesting to schedule a mutually convenient time for an appointment. Personnel files may not be taken outside of the Human Resources Department. A Human Resources Department representative shall always be present while an employee is examining his/her personnel file. Accuracy of Information: If an employee has concerns about the accuracy, completeness or fairness of materials contained in personnel files, the employee may submit a written request to the Director of Human Resources for review of the information in question. The Director of Human Resources will judge the merits of the request and will respond to the employee. Page 3 of 5 Book Page 45 -New Policy - 5.3.2 External Disclosures and Uses of Personnel File Information 5.3.2.1 5.3.2.2 5.3.2.3 5.3.2.4 6.0 EXCEPTIONS Employment Verifications: OCSD will verify, to non-governmental agencies, the employment status (e.g. dates of employment and positions held) of former or current employees. No other information will be provided unless OCSD has received a written request to do so from the employee involved. Pre-employment Verifications: OCSD will ensure that all inquires into an applicant's privacy are narrowly tailored to ascertain the applicant's ability to perform the essential duties of the position and intrude as minimally as possible into their private affairs. In no situation will an applicant be disqualified from entering or pursuing a profession, vocation, or employment because of sex, sexual orientation, race, creed, color, national origin, or any other legally protected classification. Hiring decisions are made on a case-by- case basis, which include the totality of an applicant's background within the guidelines of the law. All information received will follow the guidelines set forth in Security and Storage of Records section. Bargaining Units: OCSD will provide to the union representing an employee information related to the employee's seniority date, job classification, wage rate, hours of employment, benefit information and such other data as OCSD deems necessary and appropriate in support of the collective bargaining process. OCSD will also provide such other personal and confidential information as the employee shall direct OCSD to disclose. Governmental Ag encies: On occasion, OCSD must provide information and data from its personnel records and files to federal, state and local government agencies in accordance with recordkeeping and reporting requirements imposed by such agencies. In instances where representatives of government or law enforcement agencies request information beyond that which is normally required, the decision to provide the information will be made at the discretion of the Human Resources Department. 7.0 PROVISIONS AND CONDITIONS 7.1 E-mail, Internet and other records maintained on OCSD computers are not generally considered confidential employee records. 8.0 RELATED DOCUMENTS 8.1 California Constitution 8.2 California Public Records Act, Government Code Section 6250-6270 8.3 Confidentiality of Medical Information Act, Civil Code 56 8.4 Health Insurance Portability and Accountability Act 42 U.S.C 1301 8.5 Policy E90.00 Series, Information Systems Management 8.6 Policy F90.00, Substance Abuse Page 4 of 5 Book Page 46 -New Policy - 8.7 Safety-POL-403: Access to Employee Medical Records 8.8 Local 501, Operations and Maintenance Unit MOU 8.9 Administrative and Clerical Unit MOU 8.1 O Engineering Unit MOU 8.11 Technical Services Unit MOU 8.12 Professional Group MOU 8.13 Supervisor Group MOU Page 5 of 5 Book Page 47 Book Page 48 4.0 POLICY 4.1 It is the policy of OCSD to establish the time and duration of working hours as required by work load, operations flow, customer service needs, the efficient management of human resources, and any applicable law. 4.2 It is the policy of OCSD to require exempt employees to complete weekly timesheets. Exempt employees must use approved leave time for any partial-day absences unless memo time is authorized. 4.3 In certain situations employees may not be required to use leave time for partial-day absences and may be eligible to use memo time. This situation may occur it the employee received advance approval from his/her supervisor and if the employee makes up the scheduled time off in the same pay period. 4.4 On occasion, employees may request or be asked to transition from part-time to full-time status or vice-versa. It is the right of OCSD, at its sole discretion, to schedule working hours and assign work that may be necessary to operate OCSD in the most efficient and economical manner and in the best interest of the public it serves. Due consideration will be given to an employee's input and concerns prior to implementation of a schedule change. Multiple transitions to full-time or part-time, requested by the affected employee, shall be deemed as an abuse of this privilege and factored into future considerations for approval. A thirty (30) day written notice for work schedule changes must be given to an affected employee prior to the change. 5.0 PROCEDURE 5.1 Normal Business Hours. Administrative and business functions are normally performed between the hours of 7:30 a.m. and 5:30 p.m., Monday through Thursday, and between the hours of 7:30 a.m. and 4:30 p.m. on Friday. However, OCSD allows flextime for employees to choose their starting and finishing times as long as employees whose jobs involve contact with the public or outside organizations are present between the core hours of 8:00 a.m. and 4:00 p.m. In addition, department heads, or designee, may deny flextime to certain employees tor reasons of business necessity, worktlow, or customer service needs. 5.2 Core Hours. Individual divisions may schedule work beyond the core hours of 8:00 a.m. and 4:00 p.m., subject to approval by the department head, or designee, to meet specific operating or service requirements in the most cost-effective and efficient manner. Actual starting and ending times of an employee's shift may vary depending on the operational requirements of each department. 5.3 Shift Schedules. For time record keeping and accounting purposes, the "workweek" for full- time employees is 40 hours per 168-hour period, to be paid on a biweekly payroll basis of 80 hours worked. The actual work periods may be scheduled in shifts of four 9-hour days and one 4-hour day each workweek (9/80 schedule), five 8-hour days each workweek (10/80), tour 10-hour days each workweek (8/80), or three 12-hour days and one 4-hour day each workweek (7/80) at the discretion of the supervisor. The starting and ending times of individual employee workweeks may vary. 5.4 Meeting Attendance. Employee attendance at lectures, meetings, and training programs will be considered as part of an employee's work hours it attendance is requested by management. 5.5 Tirnesheets -Exempt Employees. Exempt employees are not eligible to receive overtime pay; however, exempt employees must account tor daily attendance. The following points shall be considered when filling out time sheets: Page 2 of 4 Book Page 50 5.5.1 Timesheets for exempt employees shall indicate the days worked during the pay period and include all time taken as paid or unpaid leave. Timesheets should report a total of eighty (80) hours per pay period plus any applicable memo time. 5.5.2 Hours in excess or short of the daily total should be accounted for in the work description line titled Memo Time. (Please refer to the sample timesheet). The appropriate subledger number should be entered, and the timesheet signed by the appropriate management level, or designee. When using subledger numbers, time should be recorded in blocks of half hour increments or more. 5.5.3 Employees may be able to draw hours from their memo time in certain situations; however, memo time is NOT compensatory time and will NOT be granted on an hour for hour basis. It is to be used on an exception basis and must be approved in advance by the supervisor. For example, if an employee schedules 2.5 hours off and makes up that time during that pay period, memo time may be used. (Please refer to the attached sample timesheets). Memo time, in some occurrences, may be allowed for an entire day, but may not replace the use of leave time, such as vacation time, when practical. For example, memo time may not be used in conjunstion with 1.•acation, sick or personal leaYe time. ln addition, "memo time" shall not be authorized for more than one day in a pay period, Memo time shall not be used for time off if using it memo time creates a negative memo time aeerual balance or if it is not scheduled in advance with the supervisor. 5.5.4 Exempt personnel timesheets shall be submitted to Accounting in the Finance Department no later than Friday of each week. In addition, exempt employees will not receive overtime compensation, except as Extraordinary Services Compensation. agreed to in applicable bargaining unit MOUs. 5.5.5 Timesheets must be completed in ink. Time worked shall be charged to the appropriate work order category, and timesheets must be signed by both the employee and supervisor. If an employee is unable to complete their timesheet due to absence, the timesheet must be completed by the supervisor or designee (e.g., designee authorized by management to process employee's timesheet while on a leave-of-absence) and submitted to timekeeping. When the employee returns to work, another copy of the timesheet should be signed by both the employee and the supervisor and sent to timekeeping. 5.5.6 Filling out another employee's timesheet, without management authorization, or falsifying any timesheet is prohibited and may be grounds for disciplinary action, up to and including termination. 5.6 Payday. Paychecks are distributed on the Wednesday immediately preceding the close of a pay period. Paychecks received on Wednesday cover the period worked during the previous pay period. If a payday falls on a holiday, paychecks will normally be distributed on the last working day preceding the holiday. Employees who will not be at work on a payday may request that their checks be held, forwarded to their supervisor, or mailed directly to their residence. Unclaimed paychecks will be held in Accounting. Paychecks of individuals who terminate their employment with OCSD, or are separated, will be mailed directly to them on the next regular payday subsequent to the separation date unless other arrangements are made to hold the check. 6.0 EXCEPTIONS 7.0 PROVISIONS AND CONDITIONS Page 3 of4 Book Page 51 8.0 RELATED DOCUMENTS 8.1 Fair Labor Standards Act, as amended 8.2 Policy C40.00, Extra0rdinary Services Compensation 8.3 Policy 051.00, Pro Rata Benefits for Part-Time Employees 8.4 Policy F10.00, Rules of Conduct 8.5 Policy F20.00, Hours of Work -Non-exempt Employees 8.6 Professional Group MOU 8.7 Supervisor Group MOU Page 4 of 4 Book Page 52 4.0 POLICY 4.1 Vehicle Assignments 4.1 .1 OCSD .QistFi6t vehicles and equipment are assigned to departments depending on their need for such vehicle(s) and/or equipment to accomplish their mission. Division supervision shall designate or assign drivers or operators to specific vehicle(s) for conducting OCSD District business during working hours only. 4.1 .2 Pool vehicles are assigned to and managed by the Fleet Services Division for the purpose of providing temporary assigned vehicles for OCSD QistR6t business. 4.1.3 OCSD .QistFi6t vehicles and equipment shall not be loaned to contractors, other agencies, cities, or other organizations or companies except as provided for in section 6.1 . 4.2 Use of Personal Vehicles for OCSD District Business 4.2.1 The use of private vehicles to conduct OCSD District business shall be reimbursed in accordance with policy C110.00 (Travel) at the District rate not to exceed the prevailing rate allowed by the Internal Revenue Service. 4.2.2 The employee's or Student lntern's private vehicle insurance is the primary insurance on the vehicle. OCSD District shall not be responsible for the replacement, or repair of any private vehicle, not otherwise owned, rented, or leased by OCSD District and used to conduct OCSD District business, if said vehicle is damaged or destroyed during the course of such use. Prior to said use, the employee's private vehicle shall have automobile insurance coverage that meets or exceeds the minimum requirements of the DMV for public liability and property damage. Drivers are responsible for ensuring that their personal vehicle insurance is valid for business use. 4.3 Use of Pool Vehicles 4.3.1 Pool vehicles are maintained by Fleet Services Division for: 4.3.1.1 Use by any authorized driver employee requiring transportation to conduct OCSD .QistFi6t business on a trip-by-trip or as-needed basis. 4.3.1.2 Use by any authorized driver employee or while a tReff regularly assigned vehicle or mobile equipment is undergoing service or repairs. 4 .3.1.3 Temporary use by any departmentkiivision as requirea for performing its mission. 4.3.2 Pool vehicles should not be used for extended out-of-town business unless all other options, least costly to OCSD .Qistfiet, have been considered and eliminated. 4.3.3 Pool vehicles may be reserved in advance on a first come first serve basis by contacting the appropriate Fleet Services Division pool vehicle personnel. 4.3.4 Overnight use of an OCSD District pool vehicle must have prior approval by an OCSD Q.istFi€t manager level or above. The manager should consider all options (i.e., using personal vehicle instead) and shall choose the option that is the least Page 2 of 8 Book Page 54 costly to #le OCSD Distriet. An employee whose OCSD Distriet business requires an early morning departure will be allowed to check-out the vehicle the night prior to the travel day. 4.3.5 Drivers should avoid parking pool vehicles overnight in a public parking facility such as an airport. Costs for airport shuttles, public transportation, or personal vehicle use shall be reimbursed in accordance with policy C110.00 (Travel).-as part of the employees travel expense. 4.3.6 OCSD Distriet vanpool vehicles are limited to the approved route and schedule as assigned by the vanpool coordinator. Vanpool vehicles may be used for other OCSD Distriet purposes during working hours. 4.3.7 Vanpoolers and carpoolers may check out a pool vehicle in the event of an emergency that requires their immediate IDr delayed departure from work. AR emergeney shall be defined as, and only as, illness or injury of the oar peeler, oarpoal driver, or ear peeler's iFRmediate family member, or unsoheduled o¥ertime requested by the eFRployee's immediate supervisor resulting in the car peeler FRissing the Yanpoo! or carpool departure time. 4.3.8 Returned pool vehiele vehicles shall be refueled when less than one-half tank of fuel remains. All trash and personal items must be removed from the pool vehicle. Any mechanical problems shall be reported immediately to Fleet Services Division. 4.4 OCSD -DIBtfi6t Vehicle Parking 4.4.1 OCSD Distriet vehicles shall be parked and locked in theff assigned parking spaces or designated areas. 4.4.2 OCSD -DIBtfi6t vehicle keys are to remain in a secured area. 4.4.3 OCSD District vehicles shall not be parked in visitor, carpool, vanpool, ei: handicapped parking spaces or red zones. 4.4.4 Employees with a Disabled Persons Parking Permit issued by the DMV shall be authorized to use handicapped parking spaces for their assigned OCSD Distriet vehicle. 4.4.5 On call employees who take OCSD -DIBtfi6t vehicles home shall park OCSD -DIBtfi6t vehicle in a garage, carport, or driveway if possible and not on a private or public street. 4.5 Employee Personal Vehicle Parking 4.5.1 Personal vehicles shall be parked in employee parking areas only. 4.5.2 OCSD parking permits shall be visibly displayed in personal vehicles. 4.5.3 Personal vehicles shall not park in visitor,-ef-assigned parking spaces, or adjacent to red or green curbs. 4.6 Driver Responsibility 4.6.1 License: While operating an OCSD -DIBtfi6t vehicle, or driving a personal vehicle, on official OCSD Distriot business, the driver must possess a valid State of Page 3 of 8 Book Page 55 California, Department of Motor Vehicles (OMV) Driver's License, and shall comply with the requirements of the California Vehicle Code and local regulations and ordinances. The consequences for failing to comply with any law, regulation or ordinance shall be the responsibility of the driver. Drivers required to operate a commercial vehicle must possess a valid State of California, DMV Commercial Driver's License with the proper endorsements. 4.6.2 DMV Records: All employees and Student Interns operating OCSD vehicles on public roadways shall be required to participate in the OMV EPN Program. Employees with a class A or B license are automatically added to the EPN Program. 4.6.2.1 Employees and Student Interns shall complete a DMV authorization form. Those individuals who do not complete the DMV authorization form arc not authorized to operate OCSD veh icles. 4.6.2.2 Records of class A and B licenses shall be presented to the California Highway Patrol upon request. 4.6.2.3 As part of the EPN program, OCSD shall verify that an authorized driver has a valid driver's liccnsc(s) and that the liccnsc(s) is not suspended, restricted, or revoked. Other information reported by OMV may be used to determine an authorized driver's ability to operate a vehicle. 4.6.3 Private Use: 4.6.3.1 OCSD District vehicles shall be used only for purposes of OCSD G+stFiGt business and not for personal business or pleasure by any person whomsoe•.•c r. This includes, but is not limited to, stopping fo r a rrieal break or running a p.crsonal errand unless such activity is during th·e coutsc of official OCSD business. OCSO vehicles can not be used for the sole purpose of personal business. No one except authorized drivers employees and authorized passengers, as outlined in this policy, their busiRe55 guest-s may be transported in an OCSD ~ vehicle at anytime. 4.6.3.2 The transportation of personal property within an OCSD ~ vehicle is prohibited at all times, including while the employee is on authorized On Call duty. The exceptions incluees With the exception of an employee's lunch, gym bag, or property which is ordinarily used by the employee while conducting they are on OCSD GistfiGt business. 4.6.4 Care of Vehicles: Each employee having custody of an OCSD ~ vehicle shall exercise due caution and prudence in the operation of such vehicle and shall minimize the risk of damage to such vehicle. =l=Re Only OCSO ~ related stickers are authorized on OCSD QistfiGt vehicles. 4.6.5 Smoking: Smoking is prohibited not permitted in OCSD District owned vehicles. 4.6.6 Cell phones: While operating an OCSD vehicle, the driver must utilize a hands- free device and use the one touch or voice activated calling feature when using a cell phone. If a hands-free device is r-iot available, the driver must pull over to a. safe location in order to use a cell ph0ne. Hands-free d§lvices shall be provided Page 4 of 8 Book Page 56 in selected OCSD vehicles. The use of cell phones and other communications devices is highly discouraged unless It is business related. 4.6.7 Vehicles not in Use: OCSD District vehicles are for use during working hours only. OCSD Selia vehicles shall otherwise be parked and locked at assigned OCSD 9fstfiet facilities. OCSD District vehicle keys shall remain in a secured area. Keys for vehicles assigned to individuals may be kept overnight or during the weekend by the individual. They are to make that vohiole OCSD vehicles shall be made available to an tAeif assigned department by leaving the keys at their work station if the employee who is assigned the OCSD vehicle will they are to be gone for any extended period of time. 4.6.8 Stand-by Use: OCSD -9+stfiet vehicles may be taken home by those employees on paid stand-by duty during the period of such stand-by duty. If possible, the vehicle shall be parked in a garage, carport, or driveway and not on a private or public street. Vehicles shall only be used for the express purpose of responding when called back to work to call outs and not for personal purposes. 4.6.8.1 With the permission of the employee's manager, employees may use assigned OCSD -9+stfiet vehicles in lieu of tAeif personal vehicles for transportation to places/events to facilitate their availability during tAeff authorized stand-by. On Call duty. However, OCSD -9+stfiet vehicles may not be parked at or near bars, casinos, adult entertainment establishments or other locations likely to reflect poorly on OCSD District. 4.6.9 less ef Status Changes Affecting Drivers License: Drivers of OCSD District vehicles are required to notify their supervisor, in writing, immediately upon fOtHm to 'Nori< of recei,.•ing the following: 4.6.9.1 If their driver's license is revoked, suspended, restricted, or expired. 4.6.9.2 If they are cited for a major moving violation, to include but not limited to the following: 4.6.9.2.1 Driving under the influence of alcohol, drugs or a combination of both. 4.6.9.2.2 Hit and run. 4.6.9.2.3 Reckless driving. 4.6.9.2.4 Leaving the scene of an accident. 4.6.9.2.5 Eluding or fleeing a police officer. 4.6.9.2.6 Speed contests or drag racing. 4.6.1 O Passengers: Only OCSD -9+stfiet effi~eyees authorized drivers and authorized passengers, as outlined in this policy, aRd #Jeir h1:1siRess g1:1esls are allowed as passengers in OCSD -9+stfiet vehicles. Unauthorized passengers, including but not limited to hitchhikers and family members, are prohibited in OCSD vehicles. Ne-f.a.R:IUy-ffiembers or-h+tsl:lh~re permitte4-Drivers and passengers shall use seat belts and shoulder restraints at all times while the vehicle is in motion. Page 5 of 8 Book Page 57 No driver shall allow or cause any passenger to ride in or on any vehicle other than in a proper passenger seat equipped with legal seat belts. 4.6.11 Toll Roads: Drivers are responsible for ensuring the payment of any toll road expense while operating an OCSD or personal vehicle. Toll road expenses are reimbursable if the costs were incurr~d while performing official OCSD business. Requests for toll road reimbursement must be submitted 0n a Travel Expense Reimbursement Form. 4.7 Safe Driving Habits and Vehicle Safety Practices 4.7.1 OCSD G¼stAet vehicles shall be operated in compliance with all applicable state and local laws and ordinances. The consequences for failing to comply with any law, regulation, or ordinance, such as speeding citations or toll road fines, shall be the responsibility of the driver. 4.7.2 Drivers are to drive defensively and maintain control of the vehicle at all times and be aware of tReff: personal limitations, road conditions, weather, visibility, and traffic. 4. 7.3 No driver shall operate a vehic:te at a speed exceed a greater~ than is reasonable and prudent for the conditi0ns, having due regard for weather and v,isibility, the traffic on, and the surface and width of, the highway-:-lfl and in no event shall a driver maintain at a speed which exeeeds posted speed limits or endangers the safety of persons or property. 4.7.4 No person will operate an OCSD G¼stAet vehicle while under the influence of alcohol or illegal drugs. Also, over-the-counter or prescription medications that are reasonably known to tl=le employee to adversely influence the safe operation of a vehicle are prohibited. 4.7.5 In inclement weather, rain, fog, etc., drivers are required to turn on vehicle headlights. 4.7.6 Drivers are responsible for the secure placement and proportionate distribution therein of the load to be transported. Whenever the load extends beyond the bed or body of such vehicles, the driver will use clearance flags or signs, properly displayed, indicating a long or wide load, as required by-GM¥ California Vehicle Code. 4.7.7 Drivers are responsible to ensure that vehicles are not overloaded. 4.7.8 Whenever it is necessary to hook up a trailer to a truck, caution should be exercised and, if needed, the assistance of a fellow employee shall be obtained. 4.8 Accident Reports 4.8.1 OCSD G¼stAet requires employees and Student Interns to report a wide variety of incidents ranging from loss of OCSD G¼stAet property to injuries. All job related incidents or any incident involving OCSD G¼stAet property is to be reported no matter how slight. This Policy requiFes Drivers and/or operators of vehicles and equipment are required to complete a Vehicle Accident Report in the event of a vehicle accident, vehicle damage, vehicle theft, vehicle vandalism, property damage, and other vehicle related incidents. Reports and investigations shall be completed in accordance with SAFETY-POL-202, Accident Investigations. Page 6 of 8 Book Page 58 Vehicle /\ocident Reports must be turned in to your immediate supervisor during the shift in which the accident occurred. The drug testing requirement as described in the OCSD Substance Abuse Policy shall apply. Vehicle ,l\coident Reporting The GGSD District has e~ablished policies regarding saie dri'.«ing habits to help pFOteot all people from the emotional trauma and economic effect of automobile acoidents. Aocidents are always a serious matter and must be reported as soon as possible. Vehiole aooidents as dofined in this document are an inoident involi.<ing an OGSD Distriot vehiole that results in damage, regardless of how minor. If you are im•ol'.•ed in an accident on a public road , immediately notify the California Highway Patrol or appropriate law enforoement agenoy State the following information: E>mct location of aocident. Number of injured parties. Number of vehieles invol,,,,<e4 Indicate if aceident is blooking traf:fio. Standby ior confirmation. For injuries Incurred to OCSD District employees student.interns andtor passengeFG, regardless of injury severity, the following shall apply: Serious Injuries Request immediate medieal attention by oontaoting 911. For Injuries Other thaA-Serious Based on the severity of injury, contact the OGSD District, er transfer injured employee directly to Edinger Medical Center for rreatment. Employees who have on file with Safety & Health an employee s Choice of Phy-sician for Industrial Injury form, are authorized to use their own personal physician. Seoure the accident scene if you are in the traveled portion of !he roadway with !raffle cones. flares may be 1:1sed ONLY if fluids ARE NOT leaking from vehiele. Do n·ot leave a ssone of an aosidont until oloared by tho investigating tratfis oftioor. Do not malw any statements that· may be taken as an admission of negligense or fault relative to the accident. Obtain the following information from the other driver(s): Name_, addre_ss, and tolephone number of drii.«er and owner of '>'ehk:;Je.;. DriveFG license number (verify address). Description of other vehiole(s) and license plate riumber(s). Describe damage of vehicle(s). Name, address, telephone number, and policy number of their insuranse company. Obtain names, addresses, anel telephone numbers of any witnesses of the accident. Page 7 of 8 Book Page 59 Take photographs of the accident scene if you or another employee has access to a camera. As soon as possible follov,'ing an accident involving a oommoreial motor vehicle the OCSD District will test for alcohol and controlled substances for each driver. Follow up with the written Vehicle l\coident Report during the shift In whioh the aooident occurred and submit it to your immeeliate super.iisor. 4.9 Responsibility Assignments 4.9.1 Employees 4.9.1.1 Employees are responsible for compliance with all provisions of this policy when using OCSD District or private vehicles to conduct OCSD ~ business. For purposes of this policy the actual driver and/or operator of the vehicle or equipment shall be the responsible employee. 4.9.1.2 Employees and Student Interns are responsible for'the costs of any ticket, citation, and/or any other liability that m~y be imposed due to a violation of law, regulation, and/or ordinance as a result of their operation of a vehicle. 4.8.2 Directors, Managers, and Supervisors 5.0 PROCEDURES 6.0 EXCEPTIONS 4.8.2.1 It is the responsibility of supervisory personnel to ensure the policies of this document are understood by the employees under his or her immediate supervision. 6.1 Contractors who meet the requirements of this policy may, in limited situations, use an OCSD vehicle with Department Head Authorization. 7 .0 PROVISIONS AND CONDITIONS 8.0 RELATED DOCUMENTS 8.1 DMV Employer Pull Notice Program 8.2 California Vehicle Code 8.3 Policy C110.00, Travel 8.4 Policy EB0.00, Cellular Telephones 8.5 Policy F40.00, Use of District Property Page 8 of 8 Book Page 60 for consumption of illegal drugs. 3.6 Reasonable Suspicion -Reasonable suspicion of controlled substance or alcohol use may be based on appropriate factors, including excessive absenteeism or attendance problems, poor work performance or erratic behavior coupled with one or more of the following signs: bloodshot or watery eyes; very large or very small pupils, runny nose, excessive perspiration, nausea and vomiting, lack of coordination, slurred speech, or unpredictable responses to ordinary requests. 3.7 Under the Influence -Having the presence of any detectable level of drugs in the body or blood alcohol level greater than .02%. 4.0 POLICY 4.1 It is the policy of tRe Gistfi6t OCSD to maintain a safe workplace, which is free of alcohol and illegal possession and/or use of drugs. OCSD is firmly committed to achieving a drug free workplace and will continue making a good faith effort to achieve a drug free workplace by consistently enforcing every element of this policy. 5.0 PROCEDURE 5.1 ILLEGAL DRUGS 5.1.1 The sale, purchase, offer to sell or purchase, use, transfer, manufacture, distribution, dispensation, or possession of, or being under the influence of, illegal drugs while on Gistfi6t OCSD business or time, or on, or in, Gistfi6t OCSD premises or property is prohibited. 5.1.2 No employee shall bring drug paraphernalia onto Gistfi6t OCSD premises or property or into Gistfi6t OCSD vehicles. 5.2 OTHER DRUGS 5.2.1 No prescription drug shall be brought upon District OCSD premises by any person other than the person for whom the drug is prescribed by a licensed medical practitioner, and shall be used only in the manner, combination, and quantity prescribed. The use, possession, sale, offer to sell, transfer, manufacture, distribution, dispensation, or purchase of legal drugs, except under the conditions specifically permitted herein, is prohibited. 5.2.2 If an employee has any question or concern as to his or her ability to safely or efficiently perform the job while taking a prescription drug or other medication, the employee has an affirmative obligation to report the use of that drug or medication to Safety & Emergency Response staff, Human Resources staff, or his/her division management. 5.2.3 Upon receiving such notification from any employee, the District OCSD shall contact tRe Orange County Sanitation District's OCSD's physician or designee for a determination of the ability of the employee to work while using that drug. 5.2.4 An employee may continue to work, while taking a legal drug, if tfle--t}istfiGt OC.$D has determined, after consulting with the District's OCSD physicians or designee, that the employee doe.s not pose a threat to the employee's own safety or to the safety of co-workers, and that the employee's job performance is not adversely affected by the legal drug. Otherwise, the Page 2 of 7 Book Page 62 employee may be required to take a leave of absence or comply with other appropriate action determined by management. 5.2.5 An employee who fails to report legal drugs, that adversely affects his/her behavior, to the employee's supervisor so that a determination of fitness to work can be made, may be subject to disciplinary action, up to and including termination. 5.3 ALCOHOL 5.3.1 No alcoholic beverages may be brought onto or consumed on District OCSD time or property. 6.0 PROHIBITION AGAINST EMPLOYEES HAVING ILLEGAL DRUGS OR ALCOHOL IN THEIR BODIES DURING WORKING TIME 6.1 All employees of the District OCSD are expected to report for work with no residue or metabolite of illegal drugs in the body or blood alcohol level greater than .02%. Employees must not have any residue or metabolite of illegal drugs in the body or blood alcohol level greater than .02% at any time while on the job. Compliance with these rules is considered an essential job qualification for all employees. 7.0 ENFORCEMENT OF RULE PROHIBITING EMPLOYEES FROM HAVING ILLEGAL DRUGS OR ALCOHOL IN THEIR BODIES DURING WORK TIME 7.1 PRE-EMPLOYMENT ALCOHOUDRUG SCREENING 7.1.1 Prior to employment with the District OCSD, all final candidates shall be required to pass an alcohol/drug screen test administered by a medical facility designated by the District OCSD. 7.1.2 Any prospective employee refusing to submit to such examination shall not be hired by the District OCSD. 7.1.3 Any prospective employee failing the alcohol/drug screen test shall be rejected from further consideration from employment with the District OCSD for at least six (6) months. 7.2 REASONABLE SUSPICION ALCOHOL/DRUG SCREENING 7.2.1 When the District OCSD has a reasonable suspicion that an employee is, or may be, impaired or affected on the job by alcohol or illegal drugs, or that alcohol or illegal drugs are, or may be, present in an employee's body in violation of the rules set forth in this policy, the employee shall be required to submit to an alcohol/drug screen test immediately upon demand by the District OCSD. 7.2.2 Refusal to submit to such a test amounts to insubordination and shall be sufficient grounds for dismissal. 7.2.3 Any employee failing such a test, or who tampers with the test specimen, shall be subject to dismissal from the District OCSD. 7.2.4 If a District an OCSD manager or supervisor has a reasonable suspicion that an employee +s may be impaired by drugs or alcohol while on 9+stfiet OCSD business or on District OCSD property, or otherwise in violation of Page 3 of 7 BookPage 63 this policy, the supervisor, with approval of the Human Resources Director Director of Human Resources, must refer that employee for a drug and alcohol screening test. 7.2.5 If an employee has reasonable suspicion that another employee is impaired by drugs or alcohol in such a manner as it may offer concern for the safety and well-being of other employees or the public , or is otherwise in violation of this policy, that employee has an obligation to immediately bring the matter to the attention of a District an OCSD manager or supervisor. 7.3 EMPLOYEE ASSISTANCE PROGRAM 7.3.1 District OCSD policy is to help employees with substance abuse problems who voluntarily seek assistance. Accordingly, the District OCSD provides a method by which employees may come to management without tear of reprisal and seek assistance. 7 .3.2 Any employee who feels that he or she has dove.loped an addiction to, dependence upon or problem with the use of alcohol or drugs, is encouraged to seek assistance. Assistance may be sought by writing in confidence to, or asking for a personal appointment with the Human Resources Direotor Director of Human Resources. 7.3.2.1 Each request for assistance shall be treated as confidential. Only those persons with a need to know shall be made aware of such requests. 7.4 Human Resources shall maintain contacts with local hospitals and/or employee assistance organizations offering alcohol or drug treatment programs. Human Resources shall refer employees seeking assistance to an appropriate treatment organization. 7.5 Rehabilitation is the responsibility of the employee, but any employee seeking medical attention for alcoholism or drug addiction shall be entitled to benefits available under the Distriot's OCSD's group medical insurance plans with the restrictions and limits stated in the applicable plan summary. Employees on rehabilitation leave shall be subject to the extended Medical Leave and General Leave of Absence provisions in the District's OCSD's Human Resources Policies and Procedures. 7.6 To be eligible for continued employment after rehabilitation, the employee must provide certification that he/she was continuously enrolled in a treatment program and actively participated in that program. 7.6.1 Any employee suffering from an alcohol or drug problem who rejects treatment or who leaves a treatment program prior to being properly discharged therefrom shall be dismissed from employment with the Orange Gounty Sanitation District OCSD. 7.7 Any employee returning to active employment from rehabilitation shall be required to sign a Return to Work Agreement providing: 7.7.1 Unannounced testing for a period of minimum twelve (12) months to insure that the employee is free from the alcohol or drug problem. Page 4 of7 Book Page 64 7.7.2 Notice that failure of, or refusal to take, such a test during this period shall constitute just cause for immediate dismissal of the employee. 7.7.3 Notice that the employee shall maintain an acceptable attendance and performance record and comply with all other Distriet OCSD policies upon his/her return to work. Failure to maintain an acceptable attendance and performance record shall constitute just cause for immediate dismissal. 7.8 No disciplinary action shall be taken against any employee who, for the first occurrence, comes forward to the Distriet OCSD with his/her problem prior to 1) UIB Distriet OCSD becoming aware of a possible violation of the drug and alcohol policy, or 2) a request by the Distriet OCSD to undergo drug testing. However, once the Distriet OCSD learns of a possible violation of the drug and alcohol policy or requests the employee tests positive in a to undergo drug testffi9, or if there is a reoccurring problem, the Distriet OCSD is not obligated to grant the employee General Leave for rehabilitation. All testing procedures shall be in conformance with National Institute on Drug Abuse standards, and shall be conducted at a reasonable time at the Distriet's OCSD's expense. 8.0 INSPECTIONS 8.1 In order to insure the safety of the workplace and the workforce, and to protect and preserve the Distriet's OCSD's property, the Distriet OCSD may from time to time inspect District's OCSD's vehicles, tool boxes, lockers, desks, file cabinets and other -Dfsmet OCSD property. 8.1.1 These inspections may not be announced and employees should have no expectation of privacy with respect to items brought onto Distriet OCSD property and/or stored in such -Dfsmet OCSD facilities. 8.1.2 It is a condition of employment for employees to cooperate with these inspections. Refusal to consent to such an inspection amounts to insubordination and may constitute cause for termination. 8.1.3 A representative from Human Resources must be present during any inspection of Distriet OCSD property due to a reasonable suspicion that the Substance Abuse policy has been violated. 9.0 DRUG CONVICTIONS 9.1 All OCSD employees or persons performing services for OCSD who are convicted under a criminal drug statute for a violation occurring in the workplace are required to notify the Human Resources Department in writing within five (5) calendar days after such conviction. 9.2 Pursuant to the Drug Free Workplace Act, the Human Resources Department shall notify the appropriate contracting authority within ten (10) calendar days after learning of an individual's drug conviction from either the individual or any other source. Within thirty (30) calendar days of learning of an individual's drug conviction, OCSD shall take appropriate corrective action. 10.0 DEPARTMENT OF TRANSPORTATION REGULATIONS 10.1 Every driver who operates a commercial motor vehicle in interstate or intrastate commerce, and is subject to the commercial driver's license requirements of the Department of Transportation, Federal Highway Administration CFR Part 382 is Page 5 of 7 Book Page 65 subject to OCSD's Anti-Drug and Alcohol Program. OCSD will ensure that all alcohol or controlled substances testing conducted under the Substance Abuse and Alcohol Misuse Plan complies with the procedures set forth in CFR Part 40. 11.0 DRUG FREE AWARENESS PROGRAM 11.1 OCSD shall require all employees to attend biannual Prevention of Workplace Violence Training which shall include a module on Drug Free Awareness informing employees about the dangers of drug abuse in the workplace, OCSD's Substance Abuse Policy, available counseling, rehabilitation, and employee assistance programs available through OCSD, and the penalties for violating OCSD's Substance Abuse Policy. 13.0 EFFECTIVE DATE 13.=1 This polisy is effective immediately upon notiee to employees. Eash eurrent employee shall be furnished a copy of this poliey and shall sign a reeoipt for same. Later hired employees shall be furnished a eopy at or before the time of hiring 12.0 POLICY DISTRIBUTION 12.1 Copies of this policy shall be disseminated to current employees in biannual Prevention of Workplace Violence training and later hired employees in New Employee Orientation. Acknowledgement forms shall be included with the policy copy to be signed by employees and filed in personnel files. Temporary/contract workers shall receive a copy of this policy and an acknowledgment form through their employers. Signed temporary/contract worker acknowledgement forms shall be filed in the Human Resources Department. 13.0 DISCIPLINARY ACTION 13.1 Except as otherwise provided in Section 7.3, violation of the Substance Abuse Policy may result in disciplinary action, up to and including termination, even for a first offense. 14.0 EXCEPTIONS 14.1 If any portion of this policy is found to be at variance with the provisions of an approved Memorandum of Understanding (MOU), the MOU provisions shall prevail with respect to employees in the affected bargaining unit. 15.0 PROVISIONS AND CONDITIONS 15.1 No employee shall be eligible for rehabilitation under the employee assistance program more than one time. The reoccurrence of an alcohol or drug problem shall be cause for dismissal. 16.0 RELATED DOCUMENTS 16.1 Drug Free Workplace Act 16.2 Substance Abuse Policy Acknowledgement Forms 16.3 HR Policy 8150.00 -Recruitment 16.4 HR Policy D80.00 -Employee Assistance Program Page 6 of 7 Book Page 66 JG.a !M'l#I ~Gti~ 1'1i~.qtil•...-'~ies ,Gf Cof.lgu.ol :1 e_.6 HR Polley F41 .00 -~ijhic eii©• ;16.7 HR Policy F7d,00-Discipline 16.8 L~JC~al 501 , Operations and Maintenance Unit MOU 16.9 Administrative and Clerical Unit rv,olJ '1 G, f.Q en§j)¼eerin@ ,U.Ftit MOU 16.11 Technical Services Unit MOU 16.12 Professi9nal Group MOU 16. 13, Supervisor·Group MOU Page 7 of7 Book Page 67 Book Page 68 4.2.2 Failure to comply with the requirements of this policy shall result in disciplinary action, which includes, but is not limited to: 4.2.2.1 Progressive disciplinary action for OCSD employees, which may result in termination for repeated violations. 4.2.2.2 Removal of contractor personnel from an OCSD public building, facility or vehicle and/or termination of the contract. 4.2.2.3 Removal of a member of the general public from the impacted OCSD public building or vehicle. 4.2.2.4 Prohibition from coming on to OCSD sites. 4.3 LOCATING DESIGNATED SMOKING AREAS 4.3.1 All designated smoking areas shall be located outdoors and at least 20 feet from a main entrance, exit, and/or operable window of an OCSD building; within 20 feet of a building ventilation system intake or plant process component. All designated smoking areas shall be clearly posted and delineated by OCSD. 4.3.2 Ash trays will be provided at each designated smoking area where necessary and will be maintained by OCSD. 5.0 PROCEDURE 5.1 RECORDKEEPING 5.1.1 A database within the Computer Maintenance Management System (CMMS) shall be implemented to properly maintain the location of all designated smoking areas at OCSD. 6.0 EXCEPTIONS 7.0 PROVISIONS AND CONDITIONS 8.0 RELATED DOCUMENTS 8.1 Code of Federal Regulations, Title 49 (Subpart D) 8.2 California Government Code, Sections 7597-7598 8.3 California Labor Code, Sections 6400-6413.5 8.4 Policy F41.00, Vehicle Usage 8.5 Policy F70.00, Discipline 8.6 Local 501, Operations and Maintenance Unit MOU 8.7 Administrative and Clerical Unit MOU 8.8 Engineering Unit MOU Page 2 of 3 Book Page 70 8.9 Technical Services Unit MOU 8.1 O Professional Group MOU 8.11 Supervisor Group MOU Page 3 of 3 Book Page 71 Book Page 72 RESOLUTION NO. OCSD 05-XX AMENDING RESOLUTION NO. OCSD 98-33 A RESOLUTION OF THE BOARD OF DIRECTORS OF THE ORANGE COUNTY SANITATION DISTRICT AMENDING THE HUMAN RESOURCES POLICIES AND PROCEDURES ***************************** The Board of Directors of the Orange County Sanitation District, DOES HEREBY RESOLVE, DETERMINE AND ORDER: Section 1: That Exhibit "A" of Resolution No. OCSD 98-33 is hereby amended by deleting Policy No. E30.00, Human Resources Records, set forth in Attachment No. 1, attached hereto and incorporated herein by reference. Section 2: That Exhibit "A" of Resolution No. OCSD 98-33 is hereby amended by adding Policy No. E31.00, Privacy Information and Human Resources Records, set fourth in Attachment No. 2, attached hereto and incorporated herein by reference. Section 3: That Exhibit "A" of Resolution No. OCSD 98-33 is hereby amended by amending Policy No. F20. 10, Hours of Work-Exempt Employees, set fourth in Attachment No. 3, attached hereto and incorporated herein by reference. Section 4: That Exhibit "A" of Resolution No. OCSD 98-33 is hereby amended by amending Policy No. F41.00, Vehicle Usage, set fourth in Attachment No. 4, attached hereto and incorporated herein by reference. Section 5: That Exhibit "A" of Resolution No. OCSD 98-33 is hereby amended by amending Policy No. F90.00, Substance Abuse, set fourth in Attachment No. 5, attached hereto and incorporated herein by reference. Section 6: That Exhibit "A" of Resolution No. OCSD 98-33 is hereby amended by amending Policy No. F100.00, Smoking, set fourth in Attachment No. 6, attached hereto and incorporated herein by reference. Section 7: That all other terms and conditions of Resolution No. OCSD 98-33, as previously recommended, shall remain in full force and effect. Section 8: That all future amendments to Resolution No. OCSD 98-33 be made by Resolution. PASSED AND ADOPTED at a regular meeting held September 28, 2005. Chair ATTEST: Board Secretary Book Page 73 Book Page 74 FAHR COMMITTEE Meeting Date To Bd. of Dir. 09/14/05 09/28/05 AGENDA REPORT Item Number Item Number FAHR05-74 Orange County Sanitation District FROM: Michael D. White, Acting Director of Financerrreasurer SUBJECT: SWAP REPORT FOR THE QUARTER ENDED JUNE 30, 2005 GENERAL MANAGER'S RECOMMENDATION Receive and file Swap Report for the quarter ended June 30, 2005. SUMMARY In August 2003, the Committee approved an Interest Rate Exchange Agreement Policy that provides guidelines for the use of hedging products including swaps, caps, floors, collars, options, and other similar financial instruments (collectively, "hedging products") in connection with the financial exposure of the District, including interest rate exposure. As required by this policy, following are the quarterly monitoring and reporting requirements and status at June 30, 2005: Requirement Highlight all material changes to hedging product agreements including counterparty downgrades and/or terminations. Results: The District currently utilizes two hedging product agreements, the AIG Swap agreement and the Soc Gen Swap Agreement. The AIG Swap agreement was originally entered into in October 1, 1992 in order to convert the Refunding Certificates of Participation, 1992 Series (the "1992 Certificates") to a fixed rate obligation. There have been no material changes to the agreement. American lnterm~tional Group, lnc.'s current ratings are AAA and Aaa from Standard and Poor's and Moody's, respectively. The Soc Gen Swap Agreement was originally entered into in September 1, 1993, in order to convert the Refunding Certificates of Participation, 1993 Series (the "1993 Certificates) to a fixed rate obligation. There have been no material changes to the agreement. Soc Gen's current ratings are AA-and Aa3 from Standard and Poor's and Moody's, respectively. Requirement Summarize any new hedging products entered into by the District since the last report. Results: No new hedging products have been entered into by the District since the last report covering the period ended March 31, 2005. As stated above, the District utilizes only two hedging product agreements, the AIG Swap agreement entered into in 1992, and the Soc Gen Swap Agreement, entered into in 1993. Book Page 75 Requirement Summarize any planned hedging product transactions and the impact of such transactions on the District; a description of each outstanding Hedging Product agreement, including a summary of its terms and conditions, the notional amount, volume, rates, maturity, the ·estimated market value of each agreement, the method of procurement (competitive or negotiated), and the full name, description and credit ratings of the agreement's counterparty and if necessary, its applicaple guarantor. Results: The District currently is not planning any additional hedging product transactions at this time. Requirement List any amounts which were required to be paid and received, and any amounts which actually were paid and received under each outstanding hedging product over the last quarter; Results: Following are the amounts that were actually paid and received under the District's two swap agreements. All amounts required to be paid and received were actually paid and received. April Paid by the District to the Swap Provider Paid by the Swap Provider on behalf of the District May Paid by the District to the Swap Provider Paid by the Swap Provider on behalf of the District June Paid by the District to the Swap Provider Paid by the Swap Provider on behalf of th~ District Requirement 1992 Certificates AIG Swap 1993 Certificates Soc Gen Swap $159,790.00 $ (87,060.78) $159,790.00 $ (100,148.15) $159,790.00 $ (77,049.42) List any credit enhancement, liquidity facility or reserves associated therewith including an accounting of all costs and expenses incurred, whether or not in conjunction with the procurement of credit enhancement or liquidity facilities under each outstanding Hedging Product. Results: Credit Enhancements, liquidity facility or reserves a,ssociated with the 1992 Certificates AIG Swap: -Lloyds Bank Standby Purchase Agreement C.omm:itment fees for the quarter ended April 30, 2005: $65,748.71 H:\deptlagenda\FAHR\FAHR2005\0905\06.05·74.SWAP Otrly Report.doc Revised: 06/04/03 Book Page 76 Page 2 Credit Enhancements, liquidity facility or reserves associated with the 1993 Certificates Soc Gen Swap: -Soc Gen Irrevocable Letter of Credit Fee: No costs or expenses were incurred during the quarter ended June 30, 2005. Credit Enhancements, liquidity facility or reserves associated with the 2000 Certificates: -Dexia Public Finance Bank Standby Certificate Purchase Agreement Commitment Fee for the quarter ended April 30, 2005: $69,646.01 Requirement An assessment of the counterparty risk, termination risk, and other risks associated therewith, which shall include the value of the collateral posted by counterparties and the District, the aggregate marked-to-market value for each counterparty and relative exposure compared to other counterparties, and a calculation of the District's Value at Risk for each counterparty. Results: The counter party risk and termination risk has been calculated by Public Resources Advisory Group (PRAG). PRAG used the value at risk methodology in determining the county party risk at maximum exposure over the term of the Swap Agreements. Counterparty exposure limits are important because they create diversification, so if any one counterparty goes bankrupt, the District's total loss would be limited to only one counterparty. The termination risk is what the District would have to pay the counterparty upon a termination of the Swap Agreement. Following are the counterparty risk and termination risk as of June 30, 2005: Counterparty Risk Termination Risk Requirement 1992 Certificates AIG Swap 1993 Certificates Soc Gen Swap $ 86,170 $2,178,327 $10,915,121 $3,432,176 The report shall also include a copy of this Policy in the quarter after it is adopted or subsequently modified. Results: No modifications have been made to the Policy since its adoption. PRIOR COMMITTEE/BOARD ACTIONS N/A H:\dep\\agenda\FAHR\FAHR2005\0905\06.05-74.SWAP Qtrly Report.doc Revised: 06/04/03 Book Page 77 Page 3 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. IZI Not applicable (information item) ADDITIONAL INFORMATION N/A ATTACHMENTS None. H:\dept\agenda\FAHR\FAHR2005\0905\06.05•74.SWAP Otrly Report.doc Revised: 06/04/03 Book Page 78 Page4 - fAHR COM.MI TTEE Meeting Date To Bel. of Dir. 9/14/05 9/28/05 AGENDA REPORT Item Number Item Number FAHR05-75 Orange County Sanitation District FROM: Michael D. White, Acting Director of Finance/Treasurer SUBJECT: QUARTERLY INVESTMENT MANAGEMENT PROGRAM REPORT FOR THE PERIOD APRIL 1, 2005 THROUGH JUNE 30, 2005 GENERAL MANAGER1S RECOMMENDATION Receive and file the Quarterly Investment Management Program Report for the period April 1 , 2005 through June 30, 2005. SUMMARY Section 15.0 of the District's Investment Policy includes monthly and quarterly reporting requirements for the District's two investment portfolios. These two funds, the "Liquid Operating Monies," and the "Long-Term Operating Monies" are managed by PIMCO, the District's external money manager. The ongoing monitoring of the District's investment program by staff and Callan Associates, the District's independent investment advisor, indicates that the District's investments are in compliance with the District's adopted Investment Policy and the California Government Code, and that overall performance has tracked with benchmark indices. In addition, sufficient liquidity and anticipated revenues are available for the District to meet budgeted expenditures for the next six months. The District's portfolios do not include any reverse repurchase agreements or derivative securities. 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) H:\deptlagenda\FAHRIFAHR2005\0905\06.05-75.Otrly lnvst Mgmt Program_ 4th Otr.doc Revised: 8/20198 Book Page 79 Page 1 ADDITIONAL INFORMATION Performance Reports The Quarterly Strategy Review, prepared by PIMCO, and the Investment Measurement Service Quarterly Review, prepared by Callan Associates, are attached for reference. Also attached are Lor:ig-Term and Liquid Operating Monies Summary of Performance Data and Portfolio Statistics charts that depict the performance results, estimated yield amd duration, credit quality, and sector diversification of the District's portfolios, as of March 31, 2005 and June 30, 2005. The Liquid Operating Monies portfolio, with an average maturity of 50 days, consists entirely of cash equivalent investments such as U.S. Treasuries and corporate discount notes. Portfolio Performance Summary The following table presents a performance summary of the District's portfolios as compared to their benchmarks for the period April 1 through June 30, 2005. Portfol!o Pe·rformance s·ummary Quarter Ended June 30, 2005 Liquid Operating Monies {%) Long-Term Qp13rating Monies '(%) Total Rate Benchmark!1l Total Rate of of Return Return Benchmark11l 3 M0nth!'l 0.72 0.69 1.7{1 1.67: S-Moriths 1.35 1.26 1-45 1.02 9 Months 1.79 1.71 1.77 1.17 12 Months 2.15 2.04 3.36 2-.89 Since in·ception 30 Sept. 95 4.2:1 3.78 5.90 S.76 Market Value $39.1M $342:iBM Averag13 Quality "AAA" "AAN current YleJd (%) 2.3 3.9 E~1imateg Yl(llc;I te Maturity (%) 3.1 ;i., 1 Qu_arterly Deposil!'l (Wtthdrawals) $-35.0M $OM Estln,ated Annual Ince.me $1 .2M $13.l M (1) Benchmarks: • Liquid Operating Portfolio: 3-Month Treasury Bill Index • Long-Term Operating Portfolio: Merrill Lynch Corp/Govt. 1-5 Year Bond Index Portfolro Market Values Comparative marked-to-market quarter-end portfolio values are shown in the following table, and in the attached bar chart. Liquid Quarter Operating Ending Monies ($M) 30 Sept. 04 72.8 31 Dec. 04 73.1 31 Mar. 05 73.5 30 Jun. 05 39.1 H:ldept\agenda\FAHRIFAHR200510905\06.05-75.Qtrly lnvst Mgmt Program_ 4th Otr.doc Revised: 8/20/98 Book Page 80 Long-Term Operating Monies ($M) 363.1 368.0 336.9 342.8 Page 2 District's Investment Account Balances as of June 30, 2005. Investment Accounts State of Calif. LAIF Union Bank Checking Account Union Bank Overnight Sweep Account PIMCO -Short-term Portfolio PIMCO -Long-term Portfolio Petty Cash TOTAL Debt Service Reserves w/Trustees ALTERNATIVES N/A CEQA FINDINGS N/A ATTACHMENTS 1. Historical Yield Curve Graph 2. PIMCO Quarterly Report Book Balances June 30, 2005 $ 30,332,936 962,305 8,489,000 38,860,995 339,301,397 4.000 $4:17 95Q 633 $ 63 952 Z98 3. Quarter End Portfolio Market Value Bar Chart Estimated Yield(%) 2.97 2.77 2.34 3.12 4.13 N/A 3.92 3.94 4. Summary of Performance Data and Portfolio Statistics -Liquid Operating Monies 5. Summary of Performance Data and Portfolio Statistics -L-T Operating Monies 6. Investment Transactions and Balances in LAIF 7. Asset Summary by Asset Type -Liquid Operating Portfolio 8. Asset Summary by Asset Type -Long Term Portfolio 9. Investment Listing of Liquid Operating and L-T Portfolios (Yield Analysis Report). 10. Callan Report (separate bound document) 11. PIMCO Report (separate bound document) H:\dept\agenda\FAHR\FAHR2005\0905\06,05-75.Otrly lnvst Mgmt Program_ 4th Otr.doc Revised: 8/20/98 Book Page 81 Page3 Book Page 82 I HISTORICAL YIELD CURVE I 5.50 5.25 i 5.00 I A 4.75 4.50 4.25 4.00 3.75 IJ:I -3.50 0 c 325 0 ;,;-" a . .._, jjj 3.00 I» (IQ • 2.75 (1) 00 2.50 w 2.25 ~ '-----------' 1/ -I ..-----/ -i ·-_____. ------I -->-~ -------------I ---------- - -----------____... ----I -----~ -------I ------~ --~ ------'II" 2.00 1.75 1.50 1.25 1.00 0.75 0.50 : 0 0 ... ... ... ... ... ... ... ... ... E E >, >, >, >, >, >, >, >, >, ..... N M -.:I' in ..... 0 0 0 M U) ..... N M -+-31-Dec-04 __..,_ 31-Mar-05 -30-Jun-05 ) Book Page 84 mismatch between the duration of thdr assets and liabilities provided support for longer-dated bonds. Nowhere was the global appetite for bonds more evident than in the recovery of crcdit-scnsitivc- asscts such as corporate and emerging market bonds after a difficult April. Anticipated ratjngs downgrades of General Motors and Ford created anxiety among investors across credit markeLc; early in the period. The nervousness faded lat~r 1n the quarter, however, as a hunger for extra yield in a low interest rate em,ironment sparked renewed demand for these tors. Major Bond Sectors Se-c Posifor'e ResulL-. in Second Quarter The following summarizes sector returns in the second quarter: • Mortgage-backed securities modestly outperfonned like-duration Treasuries. falling rates heightened cunccm about pn:pa)n1ent risk early in the period, pushi.ng yield premiums wider. Interest rate volatility moderalc:d later in the quarter, however, and mortgages' yield advantage helped relative performance. Lower coupons, which are less exposed to prepayments, outpaced higher coupons over the quarter. • Corporates lagged Treasuries of similar duration after a poor start to the quarter. Corporates were initially ·weighed down by weakness in the auto ector and news of bond-unfriendly corporate restructurings. Wider credit premiums attracted buyer to autos and othi:r credits later in the quarter. • Less volatile fixed income asset classes such as real return and municipal bonds undcrperfonncd Treasuries during the quarter. Municipal bonds tend to lag Treasuries when rates fall. In the case of TIPS. breakeven inflation levels declined during the quarter as yields on nominal bonds foll more than real yields on TIPS of comparable maturity. • Emerging market bond. were: I.he b l performing fi.xi:d income ctor for the quaner, houncing ba k . trongly after olatility in credit marke hurt returns curl in the quarter. Continued cash in.flm s from dedicated in ·titutional invc tors attracted to the ct r's strong credit fundamentals supported the market, as did short covering by hedge funds. • Most government bond markets outside th~ C.S. pcrfom1ed near or better than Treasuries as yields fell around the world. Concern about a potential slowdown in the European economy raised the possibilit} that the European Central Bank would soon bl!gin cutting rates. Rcnccting pessimism about growth prospects, European intermediate maturity yields were a<; much as U0 basis points below their U.S. counterparts by quarter-end. P1:rformancc Altriburion: Long-Term Port[olio The Long-Term portfolio that PIMCO man.ages on behalf of Orange County Sanitation District returned 1.45 percent ovl!r the quarter, outpcrfonning the Merrill L}11ch 1-5 year Government Corporaie Index by 43 basis points. The following points summarize returns for the quarter ended June 30. 2005. Book Page 86 • Your portfolio outperformed its benchmark for the quarter and lhe year~to--datc • Important contributors to performance we~: • A corporate underweight amid concern early in the quarter about the auto sector and corporate re!>tructurings. • Asset~backed bonds, which provided incremental yield lO the portfolio • Mortsage security selection • The following strategies detracted from returns: • Real retunt bonds. which underperfonned as nominal yields fctl more 1han real yields • The fuUowing strategies were neutrai for perfonnanee: • Yield curve positioning and dumtion near the index l..iquid Portfolio The Liquid portfolio that PIMCO manages on behalf of Orange County Sanitation District generated a total rctum of 1.35 percent during the quarter, outperfonning the 3-month Treasury Bill Index by 9 basis points, The following points summarize returns for the period ending June 30,2005 • Your portfolio outperfonned the index for the quarter and the yeaMo-date • hnportanl contributors to performance were: • Limited interest rate exposure in the U.S., which tempered the negative impact of rjsing short-tenn rates •Shorter duration corporate bonds, which held up better than the corporate market overall and added extra yield Economic Outlook: Tilt Toward Disinfiatioo To Be BuUi.~b For High Grade Bonds Over the past few years PJMCO's Secular Outlook has described the tension between disinflation and reflation. The forces of disinflation will be stronger over the next se eral years, which will foster an enviroument of low and even declining global interest rates. A global free trade~based economy with a surteit of 1:heap 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 the potential for t-2 percent Consumer Price Index (CPI) throughout much of the global economy over the next five years. This en\.'ironment will be favorabJe for high quality bonds. A range Clf 3••W2 percent for the yield on ten-year Treasuries should prevail over the ne>.1 severat years. Yields on Euroland bonds will be slightly lower due lo the region·s srtuctural economic problems, disinflationary incorporation of new Central m1d Eastern European entrants and growth•inhibiting demographics. Important aspects of our secular outlook are: Book Page 87 • Brctton Woods 11 Has Life -Under the so-called Bretton Woods II 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 ofU .S. consumer confidence could undennine BW ll, mutual self-interest should sustain this de facto monetary union for the time being. lt provides Asian producers with cheap, export-stimulating currencies. U.S. consumers, meanwhile, obtain lo\\> 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 rate!> associated with BW H and the Federal Reserve's accommodative monetary policy hm,'e pumped up valuations of risk.-y asseLc;. These gains stand in contrast to prior periods wh~ asset price appreciation was gencr<ltcd by surging productjvity or advances in technology. The effect of the Pump has been to creak wealth that has sustained U.S. consumption and kept the global economy going. The Pump is best exemplified by the yield on 5-ycar TIPS, which has fallen from 4 percent fo,.e years ago to 1 percent today. IO percent inflation is all the U.S . has gotten from the Pump. it seems unlikefythnt we will get more infl11tion even if real yields fall further. • Low Returns From Riskier A.sseu -Pri~ inflation in real estate, stocks. corporate bonds and other riskier assets can only be pumped n little further by monetary policy and DW II given already low yield levels. PIMCO is not forecasting a collapse in home values or the stock market, but we believe lhat we are surely headit1g down the home stretch of the U.S. race to prosperity based on asset price appreciation. • J..e,·eraged Invcstmen1s Pose Systemic Risk -Abundant liquidity in financial markds associated with the Pump has allowed for increased leverage and also quicker exits from investment strategies. Leverage throughout the global financial sy11"tcm will pose a danger to risk-oriented markets such as stocks, high yield bonds~ complex debt structures such as collaterali1.ed debt obligations (COOs) and real estate as ownl!rs 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 groMh. would roil financial markets and shake confidence. • Ge.opolitical Risks --Flash points around the world include North Korea. Taiwan and Iran. An eruption in any of these areas, while impossible tu forecast, could undermine the economic stability provided by BW n, Prndcotly ExplolC Benetits of Disinflation and BW II Stability • Duration -We will maintain tactical Oexibilicy in a low intercsl rate wor.ld. When rates are near the high end of our forecasted range, we will extend duration moderately abo\'e the benchmark lo captur~ the benefits of continued disinflation. As rates faU to the lower end of the range, our duration targets will be shortene<l. • Yield Curve: TIPSt ·Munis and Europe -High quality, longer maturity bonds will be attractive in a disinflationary environment. While maintaining a neutral yield curve posture Book Page 88 overall, we will continue to take selective longer maturity exposure in TIPS. municipat bonds and, where allowed, in currency-hedged European government bonds. While PlMCO has trimmed TIPS positions recently amid strength in this market. longer maturity TIPS should continue to benefit from low anJ stable real yields. \foreover, the asset class still provides relatively cheap protection against inflation. Longer maturity municipal bonds offer value a'> the municipal yield curve remains steeper than taxable bond curves. Longer dated Eurozone bonds should be compelling because disinflationary forces are likely to be especially pronounced in European economies. • Emphasize Mortgage Security Selection -Mongage-backcd bonds wiU remain an important structural holding because of their high credit quality and yield advantage versus Treasuries. Given full valuations in this sector. PIMCO will add value via coupon and security selection. • Corporate Strategy -Corporate credit premiums overall remain near historic lows, an.d disinflation will not be friendly oo corpordte revenues. PIMCO will continue to underweight this sector. though we may opportunisticall.>· add to our holdings if credit premiums widen for select issues. • Emerging Markets: China is not the only emerging ~onomy to reap gains from the stahility offered by BW U. Strong commodity markets and robust import demand from the li .S. have resulted in favorable trade balances and substantial currency reserve accumulation in man)' emerging nations. Moreover, emerging market bcmds generally offer higher yield premiums than comparably rated corporate credits. PJMCO will took to add opportunistically to holdings tif higher quality emerging market bonds. • '.\iodcst Currency E:1posure -Currencies most likely to gain versus the dollar over the ne."-t several years include the yen and select emerging market currencies. Trade surpluses versus the tJ.S. and a modest revaluation by China c-0ulJ generate upward pressure on the-5(; currencies. Strategr: The following list highlights the strategics that will be used in the I .ong Term portfolio in the coming months: • Prudently exploit bcncfils of disinflation and RW IT stability • Extend duration modestly above the index when rates are near the higher end of our forecasted range; shorten duration Ultgets as rates near the {ow end • Utilize broader-than-index }ield curve exposure to benefit from value across a.ll maturities • Hold TIPS as these are expected to benefit from lo~-. anr.l stable real yields and offer relatively cheap protection against inflation • Add value ir, the mortgage sector via coupon and security selection given full mortgage valuations Book Page 89 • Underweight corporate bonds. where credit spreads remain thin; look to trim this underweight if select issues cheapen The following list highlights the strategies that win be used in the Liquid portfolio in the coming months. • Prudently exploit benefits of disinflation and SW U stability • Extend portfolio duration modestly when rates are near the higher end of our forc:casled range; tacticalJy adjust duration lower when rates are at the low end of our forecasted range • Hold select corporates to enhance ponfolio yield look to add undervalued issues in the sector 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. Mil1cr, CF A Senior Vice President Book Page 90 Book Page 92 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,b00,000) (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 Book Page 95 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 Book Page 96 O:i 0 0 ::,;-- "'O I>) [JQ (t) \0 --.J LIQUID OPER-PIMCO -OCSF07511102 I 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 Report ID: GL8251 Base Currency: USD Alternate Base Currency: Exchange Rate: ----------· Market Value Base Status: FINAL %of Total Base Net Unrealize:J Gain/Loss ------------------ 209,877.01 209,877.01 0.54% 0.00 2,800,000.000 2,778,595.00 2,778,595.00 7.11% 0.00 6,100,000.000 6,062,253.42 6,062,253.42 15.52% 0.00 4,000,000.000 3,956,401.13 3,956,401.13 10.13% 0.00 10,700,000.000 10,577,387.77 10,577,387.77 27.07% 0.00 1,110,656.310 1,110,656.31 1,110,656.31 2.84% 0.00 11,000,000.000 10,875,701.36 10,875,701.36 27.84% 0.00 35,710,656.310 35,570,872.00 35,570,872.00 91.04% 0.00 35,710,656.310 35,570,872.00 35,570,872.00 91.04% 0.00 3,500,000.000 3,499,940.20 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 Book Page 98 ttl 0 0 ;,;- "'C d'J CD I.O I.O 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 1 YR U.S. AGENCIES U.S. GOVERNMENTS UTILITY -ELECTRIC U.S. DOLLAR FIXED INCOME SECURITIES TOTAL ASSETS -BASE: Asset Summary by Asset Type with Sectors 6QQ12005 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 1 Report ID: GL8251 Base Currency: USD Alternate Base Currency: Exchange Rate: Status: FINAL Net UnreaHzed I Market Value % of Gain/Loss Base Total Base -72,891,745.10 -21.27% 0.00 3,475,883.41 1.01% 0.00 9,995,500.00 2.92% 0.00 1,486,739.46 0.43% 0.00 -57 ,933,622.23 -16.90% 0.00 -57,933,622.23 -16.90% 0.00 470,000.00 0.14% -1, 130,000.00 443,824.74 0.13% 407.94 44,239,276.14 12.91% -2,294.86 1,723,490.57 0.50% 97,632.76 731,523.90 0.21% -164.70 52,370.94 0.02% 2,847.43 57,471,959.21 16.77% -25,672.64 3,054,378.87 0.89% 48,230.33 535,675.21 0.16% -1,379.22 1,999,680.00 0.58% 1,492.00 27,113,549.88 7.91% 972,890.33 826,199.84 0.24% 0.00 18,545,167.53 5.41% 227,275.76 240,331,892.20 70.11% -2,274,491.07 3,171,913.50 0.93% 28,073.50 400,710,902.53 116.90% -2,055, 152.44 400,710,902.53 116.90% -2,055, 152.44 342,777,280.30 100.00% -2,055,152.44 Workbench Book Page 100 FAH R COMMITTE E Meeting Date To Bd. of Dir. 09/14/05 09/28/05 AGE NDA REPO RT Item Number Item Number FAHR05-76 Orange County Sanitation District FROM: Michael D. White, Controller SUBJECT: RECOMMENDED LISTING OF PROPOSED UNDERWRITERS FOR CONSIDERATION ON THE ISSUANCE OF UP TO $200 MILLION IN CERTIFICATES OF PARTICIPATION GENERAL MANAGER'S RECOMMENDATION Approve staff's listing of proposed underwriters for consideration on the issuance of up to $200 million in certificates of participation (COP). SUMMARY Public Resources Advisory Group (PRAG), the District's financial advisor, has developed a recommended listing of underwriters to be considered for services on the issuance of up to $200 million in certificates of participation. Staff, with the assistance of PRAG, will be developing a request for proposal (RFP) for underwriting and remarketing services to submit to the approved listing. The RFP will require proposed underwriters to demonstrate sufficient capitalization and remarketing experience related to variable rate certificates of participation debt issuances. PRIOR COMMITTEE/BOARD ACTIONS At the August 24, 2005 Board meeting, (1) Staff was directed to initiate the process of issuing up to $200 million in new variable-rate Certificates of Participation (COP) debt, and return to the Board of Directors for approval to issue the COPs; and, (2) Authorization was give to 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. 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 rates over time and avoid any spiked increases in the short term. All costs involved in the COP issuance, including underwriting costs, will be paid from the proceeds of the new issue. H:\deptlagenda\FAHR\FAHR2005\0905\06.05-76.Underwriter List !or COP.doc Revised: 06/04/03 Book Page 101 Page 1 BUDGET IMPACT t8J 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 Attached is a listing of 28 underwriting firms that were initially considered by staff and PRAG. First, staff believes that it would be appropriate to submit request for proposals to all of the firms who responded to the County $600 million refinancing of the County's 1994 bankruptcy debt in June of 2005. The exception could possibly be Banc of America Securities, due to the possible appearance of a conflict of interest, as noted in the comment section for Banc of America on the attachment. Regional and minority firms that were considered not to have a strong variable rate remarketing business were excluded, including two regional firms that received but did not respond to the County's RFP. Although a full service firm, Merrill Lynch is being recommended for exclusion because of past experience with the County. Of these 28 firms, staff is recommending that the following nine firms be provided a request for proposal: • A.G. Edwards • Bear Stearns & Co. • Citigroup Global Markets • Goldman Sachs • JP Morgan • Lehman Brothers • Morgan Stanley & Co. • ABC Dain Rauscher • Stone & Youngberg LLC $200 million Certificates of Participation Issuance Schedule • Negotiate professional services agreement with b.ond counsel September • Issue Underwriter/Remarketing Agent Request for Proposal • Issue Bank Request for Proposals • Select Underwriter/Remarketing Agent October • Select Bank • Develop legal documents • Develop disclosure documents (Official Statement) • Develop rating agency presentation November • 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 December • Execute $200 million Variable-Rate COP issue • Investment of Bond Proceeds • Debt Administration H:\deptlagenda\FAHRIFAHR2005\0905\06.05-76.Underwriter List for COP.doc Revised: 06104/03 Book Page I 02 Page2 ATERNATIVES 1. Issue RFP to all 28 underwriting firms identified by staff. CEQA FINDINGS None. ATTACHMENTS Listing of 28 underwriting firms initially considered for receipt of RFP. H:\dept\agenda\FAHRIFAHR2005\0905\06.05-76.Underwriter List for COP .doc Revised: 06104/03 Book Page l 03 Page 3 Book Page 104 FAHR CO MMITTEE Meeting Date To Bel. of Dir. 09/14/05 9/28/05 AGE NDA RE PORT Item Number Item Number FAHR05-77 Orange County Sanitation District FROM: Michael D. White, Controller SUBJECT: SOLICIT PROPOSALS FOR CONTRACTED INTERNAL AUDITING SERVICES FOR A THREE-YEAR PERIOD BEGINNING WITH FY 2005-06 GENERAL MANAGER1S RECOMMENDATION Authorize staff to solicit proposals from outside auditing firms to serve as the Sanitation 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 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 500 - 1,000 hour engagement or on separate engagements totaling 500 -1,000 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 600 hours annually of Internal Auditing Services from outside auditing firms for a three year period beginning with fiscal year 2005-06. The RFP will H:\deptlagenda\FAHR\FAHR2005\0905\06.05-77.lnternal Auditors.doc Revised: 06/04/03 Book Page I 09 Page 1 indicate that the District will reserve the right to terminate the agreement at any time if not satisfied with the services being provided. According to Conrad & Associates, the District's external independent financial auditor, 600 hours represents approximately six weeks of audit work for a two-man audit team (plus 20% manager/partner time). This is about the time that would be required for two major projects or four minor projects. They believe the best way to determine the "not- to-exceed" maximum would be for appropriate District personnel to make a list of areas that might be beneficial to engage the internal auditors to look into over the next three years ( such a list has now been provided by staff on the attached staff report on the Internal Audit Function). As a "not-to-exceed" maximum, 600 hours annually would provide for flexibility of doing more work when needed and less work when not needed. PRIOR COMMITTEE/BOARD ACTIONS 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. In July 2005, staff proposed soliciting proposals from outside auditing firms to serve as the District's internal auditors for a three-year period beginning in FY 2005-06 at a proposed audit limit of 300 hours per year. The Committee expressed concern that these hours appear to be insufficient for agency the size of the District and directed staff to propose a revised internal audit plan. 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 [g1 B • This item has been budgeted. (Line item: ) This item has been budgeted, but there are insufficient funds. This item has not been budgeted. Not applicable (information item) H:\deptlagenda\FAHRIFAHA2005\0905\06.05-77.lnternal Aud~ors.doc Revised: 06/04/03 Book Page 110 Page2 ALTERNATIVES Consider hiring additional full-time employees to serve on an internal audit team. ATTACHMENTS 1. Staff Report on the Internal Audit Function H:ldeptlagenda\FAHRIFAHR2005\0905\06.05-77.lnternal Audttors.doc Revised: 06/04/03 Book Page 111 Page 3 Book Page 112 Internal Audit Function Page 2 of 6 September 14, 2005 N.eed for An lnternal Auditing Function According to IIA, every organization, regardless of size, should have some type of internal auditing function or process to ensure that effective controls are in place to mitigate enterprise-wide risk. Members of management, the Board, and the Audit Committee should have enough information and confidence to be able to respond affirmatively to the questions presented below through the use of an established fully functioning and appropriately governed internal auditing function: • Am I comfortable that all risks have been appropriately addressed? • Is there a process or function within the organization responsible for assessing and monitoring risk? • Do I have assurance that controls are operating as planned? • Is there a thorough and appropriate reporting mechanism within the organization that allows for an adequate checks and balances system for fraud prevention and risk management? • Do I have assurance that financial and other information is reported correctly? • Are risk management, control, and governance processes being evaluated and reviewed for efficiency and effectiveness on an ongoing basis? • Do I have a clear understanding of enterprise-wide risk and the organization's key areas of vulnerability? • Does the organization have an operational system for managing risk? • Is there an internal process within the organization for adding value to and improving operations? • Is the public provided with reliable assurances that their taxes and fees are safeguarded and used judiciously? Factors to be considered in determining the need for an internal audit function include Board Members' expectations, risk tolerance levels, public or legal requirements, and the size and complexity of the organization and its operations. Size factors considered might include assets, revenue, expenses, liquidity and location of assets, number of locations of operating facilities, number of employees, and volume of activity. The Directors may simply need to ask themselves whether they have reliable assurance that financial and other information is correctly reported, whether controls and procedures are functioning as planned, and whether programs are meeting expectations. Establishing an Internal Audit Function In a large organization, an Internal Audit Function can be as extensive as an independent, objective assurance and consulting activity, that is professionally staffed, and that evaluates risk management, control, and the governance processes. The structure of the internal auditing function may run from assigning someone part-time responsibilities for internal auditing, to reliance on procedures performed periodically by third party providers, to establishing a professionally staffed, in-house internal auditing group. To establish an internal audit function for the District, staff is recommending that this service be contracted out for the following reasons: Book Page 114 Internal Audit Function Page 3 of 6 September 14, 2005 • 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 500 - 1,000 hour engagement annually would be more cost efficient then adding one or two full-time employees. Recentl y Performed Internal Control, Operational. and Performance Reviews Extended Internal Control Review, 1994 In 1994 the Board of Directors hired KPMG Peat Marwick to conduct an extended review of the District's internal controls. This work was in addition to the review that they conducted annually as a part of the audit process. While such reports are naturally critical, the KPMG report included background information and internal control strengths that were already in place. The KPMG recommendations were generally on target and almost all of them were rapidly implemented. The review and report were quite comprehensive and is not summarized here because of its length. However, the topics that were covered included: • Development of investment policies and procedures • Credit ratings of financial counterparties • Use of wire transfers of funds when appropriate • A financial securities monitoring system • Blank check stock • Petty cash responsibilities and procedures • Payroll system changes and payroll adjustments • Time card input to the payroll and job cost process • Training and travel advance policies • Gift acceptance policies • Procurement and construction project processes • Job cost accounting • Sale of permits, plans and specifications • Cash collection security • Internal audit committee This report was delivered by KPMG staff to the Fiscal Policy Committee, the Executive Committee and the full Board of Directors. Performance & Operational Audit, 1995 In 1995, the Board hired Ernst & Young to perform a performance and operational audit of the Finance Department. This work was a part of a very broad, multi-phase performance and operational audit and management review of the entire agency. Eventually all of the departments and functions were studied during this process. Book Page 115 Internal Audit Function Page 4 of 6 September 14, 2005 Ernst & Young proposed to identify and document the processes that Finance performs. They emphasized Finance's role in supporting the operational and administrative needs of the District including internal controls, treasury management, cost accounting and financial management functions. They investigated what systems Finance used and how people were organized and utilized. They reviewed the three areas that were then in the department, Accounting & Revenue, Purchasing & Warehousing and Information Services. The goal of the review was to identify opportunities to improve efficiency and effectiveness. The Ernst & Young report was issued in July 1995, and was presented to an ad hoc Committee, the FAHR Committee, the Executive Committee and the Board of Directors. This report is over 100 pages long. The areas of focus are listed below: • Staffing • Formal and informal bids • Purchase order process • Inventory re-order process • Receiving & "shipping" • Inventory management • Warehouse space • Financial information system • Policies & procedures manuals • Financial & budgetary reporting • Payroll processes • Deferred compensation • User billing process • Internal audit program Included in the report were comparisons with "best practices agencies" and recommended action plans. Those recommendations that were approved by the Directors were implemented or started within 6 months. Performance & Operational Audit, 1999 During 1999 and early 2000, District staff conducted performance and operational audits on various components of the organization. In large part these audits and the staff to conduct them were a result of the recommendations in the Ernst & Young report mentioned above. For various reasons, the outside independent management- consulting firm of DMG-Maximus was selected by a competitive process to conduct the review of the Finance Department. This audit spanned a period of 12 months from award to final report. The purpose of the audit was to conduct a comprehensive assessment of the Finance Department's business practices, policies and procedures, staffing levels and transaction processes with the goal of increasing operational efficiency and organizational effectiveness. After completing an organizational profile to document their understanding of the department and a risk assessment report to evaluate management and financial controls and standards for productivity, the consultants established six audit objectives: Book Page 116 Internal Audit Function Page 5 of 6 September 14, 2005 • Conduct a status review of the financial information system implementation • Evaluate the structure and staffing levels to move from "transactions processing" to "decision support" • Identify methods to simplify labor-intensive activities • Assess reasonableness of warehouse inventory and staffing level • Develop a comprehensive performance measurement system for the department • Identify instances of failure to meet needs of other departments and evaluate need for corrective action As the internal audits of the other departments were conducted in-house by staff and were used in-house by staff to increase efficiencies or to correct deficiencies, this report by a consulting firm was treated in the same manner. All of the internal audits were performed at the direction of the General Manager and the Assistant General Managers and the reports were given to them for implementation. The recommendations of this report were implemented where feasible. Contract Internal Audits Performed by Moss, Levy & Hartzheim, 2003-04 In February 2004, Moss, Levy & Hartzheim was selected by the Finance, Administration and Human Resources Committee (FAHR) through a competitive bid process to provide 300 hours of internal auditing services for fiscal year 2003-04. During this period, Moss, Levy & Hartzheim presented two reports to FAHR on their review of the District's internal controls. Following are specific areas of internal controls that were covered in these two reports: • Sole Source Contracts • Cash & Investments • Access to Financial Information System • Revenue Collection • Inventory Control • Construction Contract Retentions • Review of IPMC Construction Management Contract • Fixed Assets Limited Procedures Reviews In addition to these major audits and reviews, a few other limited procedure reviews have been conducted. In November 1999, the FAHR Committee reviewed a Finance Department staff report on internal controls over payroll, cash receipts, cash disbursements and treasury management. This was an informational report and no action was taken. The report included copies of the written internal control policies and practices that were noted. In September 1997, the Adaptive Work Force Team of the District Assessment and Reinvention Team (DART) hired the firm of Global Engineering and Management to evaluate the purchasing and warehousing practices. This special review was a part of the overall DART effort to better integrate the operations and maintenance functions. As a result of this work the field staff became more aware of the complexities of a purchasing and warehousing system and the need for policies, procedures and rules. Book Page 117 Internal Audit Function Page 6 of 6 September 14, 2005 The Purchasing & Warehousing staff is working very closely with the DART efforts today and changes continue to be made on both sides of the counter. In June 2005, the auditing firm of Moreland & Associates was contracted by the Board of Directors to perform a limited review of the District procedures to prevent an employee from authorizing services in excess of authorized amounts, or detect when excess amounts have been authorized as they pertained specifically to services provided by Partners Consulting Services, Inc. This review provided for a number of procedural improvements on controls over the procurement of services. Recommended Areas to Be Considered in Future Internal Audits Although staff has no knowledge of any improprieties or irregularities within the accounting or operational activities of the District, following are typical areas the Committee may want to consider in future internal audits: • Comprehensive review of all key Accounting processes to ensure that all related internal controls are well designed, properly implemented, and adequately maintained. • Contract Management • Groundwater Replenishment System billings from the Orange County Water District. • Proper billings to end users, including permittees • Expenditures conform to District Ordinances, Resolutions, policies and procedures • Employee Expense Reports conform to Board Ordinances and Resolutions • Employee Salaries and Benefits conform to Board Ordinances and Resolutions • Credit Card purchases conform to policies and procedures • District Contributions are Board approved • District memberships conform to policies and procedures Summary Staff is recommending that a District internal audit function be formally established through the use of external independent auditors and that staff be directed to solicit proposals from outside auditing firms to serve as the District's internal auditors. Staff is also proposing to narrow the selection search down to three finalists and to schedule interviews of these three finalists for final selection by FAHR, the District's Audit Committee. MOW H:\dept\agenda\FAHR\FAHR2005\0905\06.05-77 .Internal Auditors-an 1.doc Book Page 118 FAHR COMMITTEE Meeting Date 09/14/05 AGENDA REPORT Item Number Orange County Sanitation District FROM: Robert P. Ghirelli, D. Env., Director of Technical Services Originator: Mahin Talebi, Source Control Manager FAHR05-78 To Bel. of Dir. 09/28/05 Item Number SUBJECT: RESPONSE TO NEWPORT FAB, LLC'S (DOING BUSINESS AS JAZZ SEMICONDUCTOR) REQUEST, QUESTIONING THE APPLICABILITY OF THE SUPPLEMENTAL CAPITAL FACILITIES CAPACITY CHARGE GENERAL MANAGER'S RECOMMENDATION (1) Authorize the General Manager to transfer to Newport Fab, LLC, the flow baseline as defined by Ordinance No. OCSD-26 previously established at the same discharge location by a company known as Conexant; and, (2) to initiate the process to amend Ordinance No. OCSD-26 to clarify the policy for transferring baselines from an Existing User to a New User. SUMMARY A. Policy In an effort to ensure that every property owner paid its fair share for capital facilities (e.g. pipes, pumps, and structures) that were built to treat the waste generated by each parcel, it was necessary to adopt an ordinance that set charges for all dischargers: domestic, commercial, and industrial. In addition to the capital charges, a supplemental charge was applied to those commercial and industrial users permitted by the District that had significant industrial loadings of flow, biochemical oxygen demand and suspended solids. In the circumstances further described in this document, flow is the only issue. Effective on January 1, 2000, the District adopted an ordinance requiring Significant Commercial-Industrial Users (SCIU) to pay annually a Supplemental Capital Facilities Capacity Charge (SCFCC) if their loadings exceeded a baseline established for each permitted company. To establish a baseline, existing companies which were connected and discharging prior to January 1, 2000, were grandfathered in and allowed a baseline established upon the loadings discharged for fiscal year 1998-99. For those existing companies that had flows which were less than 25,000 gallons per day, a minimum baseline flow was set at 25,000 gallons per day. The flow baseline for companies which obtained a discharge permit after January 1, 2000, is also set at 25,000 gallons per day. B. Facility Background and Request In February 2002, Conexant, which is located in Newport Beach, submitted a wastewater discharge permit application for approval to continue to discharge to the sewer system under the name, Newport Fab, LLC. The application was presented to H:ldepl\agenda\FAHRIFAHR2005\0905106.05-78.Newport Fab re Ord 26.doc Revised: 06/04/03 Book Page 119 Page 1 the District as if Newport Fab would be an entirely new company under different ownership. The District, believing Newport Fab to be a new company then issued on March 8, 2002 a new discharge permit to Newport Fab, LLC with the baseline flow of 25,000 gallons per day, in accordance with the policy previously summarized. This action had the result of increasing Newport Fab, LLC's financial obligation to pay a significantly higher SCFCC to the District. Subsequently, it was revealed to the District that Conexant retained 38% ownership of the fabrication facility and the Carlyle Group (5 1 %) and RF Micro Devices (11 %) own the remaining percentage. Conexant also maintains 100% ownership of the 25-acfe parcel, the sewer connection, and the two buildings currently occupied by Newport Fab. Newport Fab believes that the baseline of 1.7876 million gallons per day previously established by Conexant should be retained by Newport Fab and requested the District reestablish the previous baseline and revise the SCFCC applied to Newport Fab on the basis of: 1) the transaction did not result in the creation of new facilities or the expansion of the existing facilities, and 2) the Newport Fab manufacturing operation is identical in terms of wastewater discharge quantity and quality as it was under the name Conexant. C. Financial Impact The table below shows the estimated financial impact of not granting the Conexant baseline to Newport Fab as a New User vs. allowing the previously established baseline as an Existing User. Fiscal Years 2001 -02 (partial) 2002-03 2003-04 2004-05 2005-06 2006-07 W/0 Baseline $54,971 $215,724 $242,531 $432,569 $450,114 $471,614 STAFF RECOMMENDATION With Baseline $21,161 $77,472 $102,023 $185,816 $203,361 $224,861 Difference $33,809 $138,252 $140,509 $246,753 $246,753 $246,753 The District's Ordinance No. OCSD-26 does not contain specific guidance as to what corporate organizational changes transform an Existing User into a New User and, therefore, subject to the New User Baseline. A. Staff recommends that the District grant the existing baseline to Newport Fab, LLC. Although Newport Fab is an independent cmporationl Conexant as a partner still owns 38% of the facility. Conexant also maintains the entire ownership of the two buildings currently occupied by Newport Fab and the sewer connection which was connected and discharged to the sewer system prior to January 1, 2000. Newport Fab has not changed or increased the manufacturing processes and therefore, no additional impact has been imposed on the District's sewer facilitates. Moreover, the complex corporate changes that Conexant/Jazz Semiconductor/Newport Fab underwent appear to·be a novel situation that was not contemplated when the SCFCC was adopted. H:\deptlagenda\FAHRIFAHR2005\0905\06,05-78.Newport Fabre Ord 26.doc Revised: 06/04/03 Book Page 120 Page2 B. Staff further recommends that section 3.15 of the ordinance be amended to clarify board policy on the transferability of the baseline flow and provide guidance for similar situations that may arise in the future. Staff recommends that section 3.15 be amended to read as follows, with additions shown in underline: "Section 3.15 Baseline Transferability. The baseline of allowed discharge flow, BOD and SS used to calculate a Supplemental Capital Facilities Capacity Charge shall not be transferable, nor shall a credit for such previously existing baseline be provided to another SCIU concurrently or subsequently occupying the same property. Each such SCIU shall pay Supplemental Capital Facilities Capacity Charges in accordance with Section 3.08 above. Notwithstanding the foregoing, an Existing SCIU may transfer the baseline for a continuously operated faci lity to a New SCIU if the Existing SCIU sells or otherwise transfers ownership interests in the facility but retains an ownership interest in the New SCIU of not less th an twenty-five pe rcent (25%)." PRIOR COMMITTEE/BOARD ACTIONS Ordinance No. OCSD-26 Adoption. 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. IZI Not applicable (information item) ADDITIONAL INFORMATION N/A ALTERNATIVES N/A CEQA FINDINGS N/A ATTACHMENTS None. H:\dept\agenda\FAHR\FAHR2005\0905\06.05-78.Newport Fab re Ord 26.doc Revised: 06/04/03 Book Page 121 Page 3 Book Page 122 FAHR COMMITTEE AGENDA REPORT Orange County Sanitation District FROM: Jim Herberg, Director of Operations and Maintenance Originator: Doug Stewart, Asset Management Coordinator SUBJECT: ASSET MANAGEMENT PROGRAM, JOB NO. SP-68-2 GENERAL MANAGER'S RECOMMENDATION Information only item. SUMMARY Meeting Date To Bel. of Dir. 09/14/05 Item Number Item Number FAHR0S-79 The vision of OCSD is to be more cost-effective at designing, operating, maintaining, rehabilitating, and retiring the large number of capital assets that we use to manage wastewater, protect public health and the environment, and conserve natural resources. To accomplish this vision, Staff has implemented an integrated management system that we call asset management. This program has produced the following benefits so far: • We have a better system for deciding which capital projects have the highest priority and whether we have the right scope in these projects. By quantifying the risk and consequences of failures in our pipelines and treatment plants, and implementing a more rigorous planning process, we have reduced our projected CIP expenditures by $30 million over the next 1 O years. • We have a more informed estimate of the long-term replacement and rehabilitation cost of our collection system and treatment plants. This estimate was used in formulating our current rate structure and financing plans to make sure that we are providing for long term needs. • We have prioritized areas of our collection system that present the greatest risks of structural collapse, hydraulic insufficiency, and blockages. This "risk map" will allow us to be smarter about how and where we clean and inspect our large sewers and where our capital repair and replacement funds should be best spent. • We are capturing knowledge from our most experienced workers who are nearing retirement. We benefit from this effort in two ways: (1) we can make more informed decisions about whether to repair or replace assets today, and (2) we are building a history of asset conditions and performance for future decision-makers who will manage our asset systems after the current workers retire. Book Page 123 Staff recommends the Board approve funding asset management efforts for fiscal year 2005-06 including $550,000 for consultant support. The work planned for 2005-06 with the estimated fees for consulting support are as follows: 1. Capital Improvement Program Validation Process. This process will improve upon the significant savings accomplished in the last two years in selecting capital projects. It will include a more rigorous project development process and risk-based decision making. Staff will learn advanced life cycle cost estimating and business case evaluation processes in order to justify each project prior to spending money on design. In two years we have eliminated approximately $30 million from the GIP budget through this effort. This process ensures the right projects, at the right time, at the right cost, for the right reasons are being recommended and implemented. ($105,000} 2. Implement Reliability-Centered Management. This effort will ensure that as new facilities are brought on line the right operations and maintenance procedures have been identified and are in place when construction is completed. This will ensure that life-cycle costs have been thoroughly studied, that our designs provide least life-cycle cost expenditures, and that rigorous operations and maintenance input is available for the design process. ($35,000) 3. A comprehensive Business Plan for the organization will be prepared based on good asset management principles, such as level of service, cost of service, appropriate risk, and customer expectations. This plan will enable us to prioritize our highest value work and optimize the efforts of OCSD's staff to make the best use of the public's funds. ($55,000} 4. Improve OCSD's ability to forecast and budget for our short term and long term asset needs. This effort will provide more detailed assessments of the condition of our assets than the initial expenditure forecast that was included in the 2005 Asset Management Plan. ($185,000) 5. Conduct a Study to improve our Information Technology (IT) systems to collect, update and share information to make good long term advanced asset management decisions. This may involve future expenditures in enhanced IT tools. ($170,000) The consultant will be an advisor to OCSD staff and will supplement staff in implementing asset management improvements. Although staff is becoming proficient in the asset management techniques, outside help in implementing new techniques is needed in order to continue to make improvements. This is because assistance and support from experts, who have implemented these advanced practices many times, increases staff's ability to implement improvements efficiently. Staff is also occupied with on-going day to day operational demands, and Consultant support speeds up implementation by providing additional manpower. In 2002, GHD/ Parsons was selected over 8 other firms to develop an Asset Management Strategic Plan for OCSD. The plan was completed in 2003. Page2 Book Page 124 In 2003, staff presented an approach to the Board for continuing with GHD to implement the recommendations of this plan. The Board decided to have this implementation plan reviewed by an independent expert peer review panel. The peer review was completed by the National Water Research Institute in October 2003, and staff modified OCSD's asset management recommendation based on the panel's recommendations. Asset management planning efforts were shifted from a consultant-oriented approach to a staff-oriented approach. The findings of the independent peer review were mailed to the Directors in February 2004. Copies were provided to the Directors in August 2005. In April 2004, the Board approved a significantly scaled-back one-year contract with GHD to support implementation of the recommendations contained in the Asset Management Strategic Plan. Cost information is included in the attached Budget Information Table. PROJECT/CONTRACT COST SUMMARY Prior expenditures under this project, SP-68-2, are $368,000 for consultant costs and $250,000 for staff costs for the prior fiscal year, for a total cost of $618,000. The current authorization request is for $550,000 for consultant contract costs. It is estimated that staff will devote approximately 4000 hours (amounting to staff costs of $400,000) for the next year. Please refer to the attached Budget Information Table. Prior expenditures on asset management under SP-68 are $455,617 for consultant costs and $164,177 for staff costs to produce the asset management strategic plan for a total cost for the plan of $619,794. BUDGET IMPACT The total current Asset Management Program budget has been reduced from $16,550,000 to $7,750,000. Please refer to attached Budget Information Table. ~ • • • This item has been budgeted. (Line item: FY 2004-05 Budget, Section 8, page 138) This item has been budgeted, but there are insufficient funds. This item has not been budgeted. Not applicable (information item) ADDITIONAL INFORMATION Background The traditional way of doing business at OCSD -in which each department is focused on its specialty, such as planning, or design, or construction, or operations and maintenance is no longer viewed as the most effective. The following trends prompt us to take a new look at how we manage: • Our capital assets are rapidly aging and many are approaching the end of their useful lives. Page 3 Book Page 125 • In the next 10 years we will almost double the number of assets that we own. The systems and thinking that worked in the past will not continue to be as effective, or successful. • In the past, we have been fortunate to have assets that were within their range of useful life and relatively easy to manage. We have had time to make impending asset replacement decisions. In the future with older and more complex systems to manage and decisions to make at an ever increasing rate, we will no longer have the luxury, or safety factor, that we had in the past. • The information that we have gathered to date on our assets may not be as rigorous as we need in the future to make best long-term decisions for renewal and replacement of the assets. Better information collection and decision making is needed to ensure that we make the best decisions going into the future. The best time to develop and implement the needed systems and processes is before we get into trouble and need them. • Historically, most of our budget and rate setting has been based on building new capital projects to accommodate growth or to provide large wholesale replacement projects. To be the best stewards of our ratepayer's resources, we need to be more discerning with projects in the future to ensure that the public funds are most efficiently spent on renewal, rehabilitation, and replacement of assets. • We want to be more cost effective. The management systems that we use must evolve to allow for the most effective decision making possible. • The era of "trust the experts" is over. Staff must provide a more rigorous decision making process that provides evidence and sound reasoning to assure the Board and the public that our expenditures are needed and reasonable. Asset management can help. Basically asset management is a form of applied systems thinking - a way of thinking about complex systems and a set of tools to put those thoughts into practice. The decision making processes within OCSD will be changed to make more holistic decisions, from the perspective of the asset, and not just the technical function of any individual department. Staff can better analyze all utility assets to determine how to best meet our customer needs at the least total cost, with minimum risk exposure. Timeline A time line of the implementation of our Asset Management Program is as follows: April 2002 -Approve contract with Parsons/GHD to produce Asset Management Strategic plan with OCSD staff. Dec. 2002 -Board adopts Asset Management Strategic Plan April 2003 -Board requests that a peer review of program be completed after considering staff request for a consultant contract to implement strategic plan. Oct. 2003 -National Water Research Institute completes peer review report noting that asset management is essential for OCSD to adopt and that the program should be staff driven. Feb. 2004 -Board reviews and accepts results of peer review report. Page4 Book Page 126 April 2004 -Board approves initial contract with GHD to assist staff with implementing a staff driven implementation approach. May 2005 -Board approves two-month extension of GHD contract to complete work due to unforeseen illness of consultant. In Fiscal Year (FY) 2004-05 five efforts were completed. 1. Development of an Asset Management Plan, which reports the current state of our assets and projects our long-term expenditures; 2. The Asset Management Improvement Program, which is a project implementation management plan, 3. Enhancements to our Capital Improvement Program Validation Process resulting in a savings of over $30 million to date; 4. Pilot work in Maintenance with Reliability Centered Maintenance tools; and 5. Asset management staff training. Consultant Support It is planned that GHD services will be phased out over time as the development of our asset management program matures. This is listed in the "Proposed Asset Management Budget Breakout" table below. Each year the program will be brought back for Board approval. Proposed Asset Management Budget Breakout Item Total Budget FY Year/$ Million $ Million 2004/05 2005/06 2006/07 2007/08 2008/09 2009/10 2010/11 GHD $2.1 $0.368 $0.55 $0.59 $0.392 $0.10 $0.10 - OCSD Staff $5.65 $0.25 $0.40 $1 .00 $1.00 $1.25 $1.25 $0.50 Total $7.75 $0.618 $0.95 $1.59 $1.392 $1.35 $1.35 $0.50 Progressive $0.618 $1 .568 $3.158 $4.55 $5.90 $7.25 $7.75 Total GHD is recognized world wide as leaders in asset management practice, including Roger Byrne, who is principal author of the Intentional Infrastructure Management Manual. GHD is a multi-national consulting business (14 countries, including the United States). GHD brings worldwide best practices to OCSD that have been developed over the last 15 years and that would be very difficult for staff to easily invent on our own. Staff recommends continuing to use the GHD methodology for implementing advanced asset management. The continuation of GHD services will be brought back for OMTS Committee and Board approval every year. Over the next five years GHD services are planned to be phased out as staff capabilities are built and can be utilized in this effort. Page 5 Book Page 127 ALTERNATIVES 1 . Adopt a slower implementation approach using little or no consultant support for the Asset Management Program. The District would not realize the benefits of the program as quickly under this alternative. 2. Stop implementation of the Asset Management Program. The District would not realize the anticipated improvements in cost reduction, decision making, and risk reduction. CEQA FINDINGS Not applicable ATTACHMENTS 1. Budget Information Table H:\dept\om\810\fields\AGENDA\Agenda Report (Asset Management-FINAL) Stewart 8-24-05 (2).doc Page6 Book Page 128 to 0 0 :,;- '"'O II) UO (1) t·J so ORIGINAL CURRENT PROJECT/TASK AUTHORIZED PROJECT BUDGET * BUDGET Project Development Studies/PermittinQ Consultant GHD $ 2,500,000 $ 2,500,000 Staff $ 10,550,000 $ 10,550,000 Construction Contract Construction Administration Construction Inspection Contingency $ 3,500,000 Reimbursable Costs TOTAL $ 16,550,000 $ 16,550,000 H:/depVom/810/fields/06.05-79.Asset Management-at! 1.xls BUDGET INFORMATION TABLE Asset Management Improvement Program SP-68-2 PROPOSED PROPOSED FUNDS THIS REVISED BUDGET AUTHORIZED AUTHORIZATION INCREASE BUDGET FY TO DATE REQUEST 05/06 $ - $ - $ (400,000' $ 2,100,000 $ 368,000 $ 550,000 $ (4,900,000) $ 5,650,000 $ 846,000 $ 400,000 $ - $ - $ - $ (3,500,000 $ - $ -$ - $ (8,800,000) $ 7,750,000 $ 1,214,000 $ 950,000 PROPOSED ESTIMATED ESTIMATED TOTAL EXPENDITURE EXPENDED AUTHORIZATION TO DATE TO DATE(%) $ - $ -$ - $ 918,000 $ 368,000 40% $ 1,246,000 $ 250,000 20% $ - $ - $ - $ - $ 2,164,000 $ 618,000 29% Book Page 130 Investment Management Program Orange County Sanitation District Strategy Review for the Period March 31, 2005 -June 30, 2005 rrrrrrrrrrrrrrr~~~~~~~~~~~~77777777177711111 A company of Allianz@) Global lnv..iors Investment Management Program Orange County Sanitation District Strategy Review for the Period March 31, 2005 -June 30, 2005 rrrrrrrrrrrrrrr ~ ~ ~ ,-.. ~ ~ -------\ ) ' ' Biographical Information John M. Miller, CFA J -))) -) 77'177'11111 Mr. Miller is a Senior Vice President and account manager, with a focus on institutional client servicing. In addition to those responsibilities, he manages the training and development of investment professionals new to the account management group. He joined PIMCO in 1999. Prior to that, he was an officer in the U.S. Army, a,chieving the rank of Captain. Mr. Miller holds a bachelor's degree in economics from the United States Military Academy, West Point and an MBA from the Harvard Business School. Christine Telish, CFA Ms. Telish is a Vice President and account manager, with a focus on institutional client servicing. She is also a member of PIMCO's municipal team, providing specialized servicing for tax-sensitive accounts. She joined PIMCO in 1994, and has seventeen years of finance, accounting, and investment experience. Ms. Telish holds a bachelor's degree in finance, real estate and law from California State Polytechnic University and an MBA from the University of California, Irvine. r -rrr--rrrrr-------------------7--7~-----~1~ l . ' l l \ ' l t \ ' • ' I ) ) ) ) ~ ) ) ) j ) _) ... Secular Outlook: Shift to More Bullish Posture Secular Process • 3 to 5 year economic outlook • Cornerstone of PIMCO's philosophy and process • Inflation to remain below 3% as policy driven reflation has run its course 2005 Summary & Conclusions Discussion • U.S. 10 year yield forecast of 3 to 4.5% • European rates below U.S., Asian rates remain low • Global aggregate demand remains unbalanced • Fed removing monetary stimulus • Fiscal stimulus abates • Bretton Woods II likely to persist -China to maintain currency peg -Asia unlikely to repatriate USD denominated assets • "Asset Pump" has run its course -Low real rates have supported real asset prices 10 PIM C 0 r-r rrrr r r r r-("'""· r r --------------------. -------~~--~-~.-' , I PIMCO Update What's the Same What's New What's Coming Assets and staffing as of March 31, 2005. • People (652 employees, 230 investment professionals worldwide) • Philosophy and process • Successful relationship with parent company -PIMCO / Allianz partnership marks its 5-year anniversary • Build on existing expertise to provide solutions for our clients -Expanding PIMCO's portable alpha capabilities Liability management -PIMCO Absolute Return Strategies ' ,, .I • :J ,; -Fundamental lndexPLUS and 3-year track record for StocksPLUS TR • 2005 PIMCO Institute -Newport Beach sessions scheduled: -CFO/ Treasurer: July 25th -27th -Fundamentals of Fixed Income: September 29th -30th -Focus on the Investment Professional: October 3rd -7th -Focus on the Investment Professional/ Practitioner: October 17th -21st -Portable Alpha Visiting Seminar -Custom client education opportunities • Issues and Answers Conference Calls -Emerging Markets on September 7th • Ongoing and special publications available at PIMCO.com 12 PIM C 0 rrrrrrrrrrrr ~-~---~------------~---~--~---' \ , , I j ) I 1 ,1 I J ) ) ) ') Building on Fixed Income Expertise to Meet Client Needs Strategy Description Assets Traditional: Total Return Long Duration Moderate Duration Low Duration Enhanced Cash Money Market Stable Value Sector-Specific: Credit: lm,estment Grade Corporates High Yield Oi\ersified Income CBO/CLO Mortgages Global Emerging Markets Municipals Real Return: Real Return Commodity Real Return All Asset, All Asset All Authority RealEstateRealReturn Equity PLUS: StocksPLUS and StocksPLUS Total Return Other PIMCO's flagship style: Core/ Core Plus Focus on long-term bonds Total return with intermediate duration Total return with shorter duration Active cash management and LIBOR-based strategies Maximize income while preserving capital Strategies that use book value wrappers High quality corporate bond portfolios Emphasis on upper tiers of high yield market Global credit combining corporate and emerging markets debt Collateralized bonds/loan obligations Emphasis on management of mortgage pass-throughs Non-U.S. and global approaches Focus on solid credits with improving economic fundamentals Tax-efficient total return management TIPS and other inflation-hedging strategies Commodity-linked exposure backed bya bond portfolio Tactical allocation among PIMCO funds Real Estate-linked exposure backed bya bond portfolio Combines passive equity index exposure with active bond management Includes private placement investments and convertibles $186.9 15.9 7.7 21 .1 22.0 0.8 17.5 8.9 21.0 2.1 5.2 8.9 55.1 9.0 7.6 29.1 8.2 5.9* 0.1 29.5 0.2 Total Assets Under Management: $463.9 B Assets as of March 31, 2005. Potential differences in asset totals are due to rounding. * All Asset strategies are invested in PIMCO Funds; these assets are not included in the individual strategies. 13 PIM C 0 7) r r r r r r r r [ L L L L L L L L L Callan Associates Inc. Investment Measurement Service Quarterly Review Orange County Sanitation District June 30, 2005 The following report was prepared by Callan Associates Inc. ("CAI") using information from sources that include the following: fund trustee(s); fund custodian(s); investment manager(s); CAI computer software; CAI investment manager and fund sponsor database; third party data vendors; and other outside sources as directed by the client. CAI assumes no responsibility for the accuracy or completeness of the information provided, or methodologies employed, by any information providers external to CAI. Reasonable care has been taken to assure the accuracy of the CAI database and computer software. In preparing the following report, CAI has not reviewed the risks of individual security holdings or the compliance/non-compliance of individual security holdings with investment policies and guidelines of a fund sponsor, nor has it assumed any responsibility to do so. Copyright 2005 by Callan Associates Inc. ·> Ill SAN FR \:\'CISCO NEW YORI,; CIIIC,\GO ,\TLA;>;TA D~NYER CALLAN ~OCIATES.,.,; August 1, 2005 Mr. Michael D. White Controller Orange County Sanitation Districts 10844 Ellis A venue Fountain Valley, California 92728 RE: June 30, 2005 Quarterly Performance Report Dear Mike, The June 30, 2005 Quarterly Performance Report for the District's investment portfolio is attached. This letter provides a qualitative summary of the most important points covered in the report. Market Overview U.S. equities finished the quarter mixed with concerns of escalating crude prices and inflation worries weighing down the markets. For the second quarter, the Dow fell 1.62 percent, while the S&P 500 and the NASDAQ climbed 1.37 percent and 3.07 percent, respectively. All three major indices ended the first half of the year lower than where they started. Stocks tumbled when the Federal Reserve raised short-term interest rates to 3.25% and signaled that more increases were likely to come. Small capitalization stocks (Russell 2000: +4.32%) overtook their large cap peers (S&P 500: + 1.4%) during the recent three-month period. Value (S&P 500 Barra Value: +2.58%) continued to lead Growth (S&P 500 Barra Growth: +0.14%), as it has for most of the time dating back to 2000. The Lehman Aggregate Bond Index gained 3.0 percent for the quarter. During that time, the fixed income market showed remarkable resilience in spite of the Fed1s rate hike and the dual downgrade of GM and Ford to junk bond status. Corporate bonds (+3.58%) lagged Treasurys (+3.63%) for the second consecutive quarter. U.S. Treasurys experienced their best quarterly return since 2002 on hopes that the Fed Reserve will keep inflation "well contained." Surprisingly, long-term interest rates ended the first half of the year lower than a year ago, a time period in which the Fed raised short term interest rates nine times. The returns in the portion of the bond market where the District invest, the defensive portion, were 2.54%. Mr. Michael White Aug 1, 2005 Page2 The overseas market stumbled a bit with MSCI EAFE down 1.01 percent for the second quarter. Currency changes contributed to this loss with the dollar up nearly 7 percent against the euro and 3 .5 percent against the yen. Despite the decline in the euro, the European stock markets ended the quarter at nearly a three-year high. Europe is benefiting from increased earnings expectations and low interest rates. Asian stocks were not able to pull out of their first quarter slump, shedding 1.40 percent, as measured by the MSCI Pacific Index. A late rally in Latin American markets boosted Emerging Markets. External Manager Results The Liquid Operating Money account, managed by PIMCO, produced a 0.75% return for the quarter, slightly better than the return on the 90-day Treasury bill (0.72%). For the trailing I-year period, the portfolio gained 2.17%, which is, again, slightly above the 90-day Treasury bill return (2.15%). Over longer time periods, the portfolio ranks in the top decile of Callan's Money Market Mutual Funds Database, on an after-fee basis. As of June 30, 2005, the portfolio's yield is 3.04%. The Long Term Operating Fund managed by PIMCO gained 1.75% in the quarter, outperforming the Merrill 1-5 Year Gov/Corp index by 8 basis points. For the year ended June 30, 2005, the Fund produced a positive return of 3.33% while the index gained 2.89%. The Fund has consistently performed in the top quartile over longer time periods in Callan's Defensive Fixed Income Style Group. As of quarter-end, the Fund continues to have an overweight allocation to the Treasury sector relative to the benchmark, explained in part by an 8% allocation to TIPS (Treasury Inflation Protected Securities). The Fund is significantly underweight Credit and Agencies. A sixteen percent exposure to Mortgages, a non-benchmark sector, is designed to gain additional yield, without sacrificing quality. The Fund is positioned defensively with a shorter duration than the benchmark. The Long Term Fund continues to hold one security rated below the 'A' rating minimum of your policy, based on Moody's ratings. The security, issued by United Airlines, is now in default and unrated. The market value of the security has more than doubled in the past quarter, but the loss is still significant and has been recognized in the performance measurement. A listing of the five lowest rated securities is provided on page 23 of the report. Mr. Michael White Aug I, 2005 Page 3 As for sector guidelines, the Fund has less than 30% invested in corporate notes, and the combination of asset backed securities and mortgages remains below 20%. Finally, the allocation to Commercial Paper is well below the 15% maximum. Please do not hesitate to call me if you have any questions. Yours truly, Ruthann C. Moomy, Ph.D., CF A Senior Vice President Mr. Michael White Aug 1, 2005 Page4 UPCOMING CALLAN EVENTS The Center for Investment Training: "Callan College" • August 22-24 in San Francisco • September 28-29 in New York (Investment managers-only) "Callan College" is a 2-½ day course designed to help participants learn all aspects of the investment management process and their role within it. Callan Charter Investments Institute Events October Regional Breakfast Workshop: • October 18 in New York • October 19 in Atlanta Our Regional Breakfast Workshops allow our clients the opportunity to discuss specific topics in greater detail, as well as to meet with other fund sponsor professionals. Callan Defined Contribution Institute Events October 2005 Luncheon Workshop in Atlanta RECENT RESEARCH PAPERS/SUMMARIES • Target Maturity Funds: The Solution for Social Security Personal Accounts -by Ron Peyton • An Introduction to Fixed Income Derivatives -by Greg DeForrest, CF A • The Callan Letter: Summer edition • 2005 Defined Contribution Annual Research Presentations with talking points L Capital Markets Review . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1 Active Management Overview Market Overview . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14 Domestic Fixed-Income ...................................................... 15 Asset Class Risk and Return . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 16 Investment Manager Asset Allocation . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17 Investment Manager Returns . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 18 Manager Analysis PIMCO-Liquid Operating Monies PIMCO-Liquid Operating Fund Bond Portfolio Characteristics Portfolio Characteristics Detail .............................................. 20 21 22 23 Disclosures . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 24 Ill r L L L L L L L Investment Manager Returns The table below details the rates of return for the Sponsor's investment managers over various time periods ended June 30, 2005. Negative returns are shown in red, positive returns in black. Returns for one year or greater are annualized. The first set of returns for each asset class represents the composite returns for all the fund's accounts for that asset class. Returns for Periods Ended June 30, 2005 Last Last Last Last Last 3 5 9-3/4 Quarter Year Years Years Years Domestic Fixed-Income Long Term Operating Fund 1.75% 3.33% 3.86% 5.61% 5.87% Liquid Operating Monies 0.75% 2.17% 1.64% 2.90% 4.20% Net of Fees 0.71% 2.02% 1.49% 2.75% 4.05% Market Indicators LB 1-5yr Govt/Credit 1.67% 2.92% 3.72% 5.79% 5.74% ML 1-3yr Govt/Corp 1.23% 2.19% 2.83% 4.91% 5.35% ML 1-5yr Govt/Corp 1.67% 2.89% 3.64% 5.72% 5.76% ML 1-5yr G/C excl. BBBs 1.67% 2.84% 3.38% 5.62% 5.71% Treasury Bills 0.72% 2.15% 1.55% 2.62% 3.90% Total Fund 1.57% 3.04% 3.55% 5.29% 5.69% Orange County Sanitation District Ill 18 r L Confidential -For Callan Client Use Only The list below represents those investment management organizations who are clients of Callan Associates' Institutional Consulting Group (ICG) and/or the Callan Investments Institute (GIi) as of June 30, 2005. In no way do these relationships affect the outcome or process by which any of Callan's services are conducted. Because Callan's client list of investment manager changes periodically, the information below may not reflect very recent changes that are not yet updated in our database. You are welcome to request a list of Callan's investment manager clients at any time. Manager Name CII ICG ABN AMRO Asset Management (USA) LLC y y Acadian Asset Management, Inc. y Affiliated Managers Group, Inc. y y AIG Global Investment Group y y Allegiant Asset Management Group y AllianceBernstein y y Allstate Investments LLC y American Century Investment Management y American Express Asset Management y y AmSouth/Investment Management Group y Ariel Capital Management, Inc. y Ark Asset Management Co., Inc. y y Artisan Partners Limited Partnership y Atalanta Sosnoff Capital, LLC y y Atlanta Capital Management Co., L.L.C. y y AXA Rosenberg Investment Management y y Babson Capital Management, LLC y y Baillie Gifford Overseas Ltd. y Baird Advisors y Baird Investment Management y y Bank of Ireland Asset Management (U.S.) Limited y Barclays Global Investors y Barrow, Hanley, Mewhinney & Strauss, Inc. y Batterymarch Financial Management, Inc. y Bay Isle Financial LLC y Bear Stearns Asset Management y y BL-SH Investment Counsel, LLC y BNY Asset Management y Boston Company Asset Management, LLC (The) y y Brandes Investment Partners, L.P. y y Brandywine Asset Management, Inc. y y Brazos Capital Management, L.P. y Brown Brothers Harriman & Company y Cadence Capital Management y Capital Guardian Trust Company y y Carl Domino Inc. y CastleArk Management, LLC y Causeway Capital Management y Chartwell Investment Partners y y Chicago Equity Partners, LLC y Citigroup Asset Management y y CitiStreet-Ciligroup Asset Management y Clover Capital Management, Inc. y Columbia Management Group Inc. y y Columbus Circle Investors y y Cornerstone Real Estate Advisers y Cramer Rosenthal McGlynn, LLC y Credit Suisse Asset Management y y Davis Advisors y Davis Hamilton Jackson & Associates y Dean Investment Associates y Delaware Investment Advisers y y Page 1 of4 r L L L L Confidential -For Callan Client Use Only The list below represents those investment management organizations who are clients of Callan Associates' Institutional Consulting Group (/CG) and/or the Callan Investments Institute (Cl/) as of June 30, 2005. In no way do these relationships affect the outcome or process by which any of Ca/Ian's services are conducted. Because Ca/Ian's client list of investment manager changes periodically, the information below may not reflect very recent changes that are not yet updated in our database. You are welcome to request a list of Ca/Ian's investment manager clients at any time. Manager Name Julius Baer Investment Management Kayne Anderson Rudnick Inv. Mgmt. LLC Keefe, Bruyette & Woods, Inc. Kelly Capital Management, LLC Knightsbridge Asset Management, LLC Lazard Asset Management __ _ Lehman Brothers Inc. Loomis, Sayles & Company, L.P. Lord Abbett & Company LSV Asset Management MacKay-Shields LLC Marvin & Palmer Associates, Inc. McMorgan & Company LLC Mellon Global Securities Services Mellon Institutional Asset Management Mellon Private Wealth Management Merrill Lynch Investment Managers Metropolitan Life Insurance Company Metropolitan West Capital Management, LLC MFS Investment Management Mondrian Investment Partners Limited Montag & Caldwell, Inc. Morgan Stanley Munder Capital Management Neuberger Berman, LLC Nicholas-Applegate Capital Management Northern Trust Global Investment Services Northern Trust Value Investors NorthPointe Capital Nuveen Asset Management/Nuveen Investments NWQ Investment Management Company OF/ Institutional Asset Management Old Mutual Asset Management Oppenheimer Capital Pacific Financial Research, Inc. Pacific Investment Management Company Paradigm Asset Management Co., LLC Pareto Partners PBHG Funds Inc. Penn Capital Management Peregrine Capital Management, Inc. Phoenix Investment Partners, Ltd. Pioneer Investment Management, Inc. Post Advisory Group Principal Financial Group, The Principal Global Investors Provident Investment Counsel Prudential Investment Management Prudential Retirement Putnam Investments Ranger Investments Management, L.P. RCM Page 3 of 4 CII y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y ICG y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y y r r [ [_ L L L L L L L L Confidential -For Callan Client Use Only The list below represents those investment management organizations who are clients of Callan Associates' Institutional Consulting Group (!CG) and/or the Callan Investments Institute (Cl!) as of June 30, 2005. In no way do these relationships affect the outcome or process by which any of Callan's services are conducted. Because Callan's client list of investment manager changes periodically, the information below may not reflect very recent changes that are not yet updated in our database. You are welcome to request a list of Callan's investment manager clients at any time. Manager Name Reams Asset Mammemeht Company Rice Hall James & Asi;oclate,s, LLC Robeco USA Rorer Asset Management Rothschlld Asset Mana~emer:11, lne, RREEF Funds (The) Sawgrass Asset Management, LLC Schroder Investment Management North America Inc. Sectoral Asset Managel'T\!:Jnt SEI Investments Seix Investment Advisors, Inc. Seligman (J. & W.) & Company, Inc. Seneca Capital ManagemeAt LLG Senunel R~I Estate 0o!'J)oratlc:in Sit Investment Associates, Inc. Southeastern Asset Management. Inc. Standish Mellon Asset Management Company State street Gtol:>al Advisors Stone Ridge Investment Partners Stratton Management Systematic F111.ancial Management r. Ro:we Price.Assoelates, lhc. TAL Global Advisors Ltd. Taplin, Canida & Habacht Thompson. Siegel & Walmstey, l'nc. T!AA'.CREP TimesSquare Capital Management, LLC Todd Investment Advisors, Inc. Trusco Capital Management, Inc. TCW .A:sset Manag~r:nent Campany Turner Investment Partners UBS Global Asset Management USAll!anz Invest.or Se~lces, LL!C ,U.S. Trust Asset Management Utendahl Capital Management, L.P. Vanguard Group (The) Victory Capita! Managermmt Inc. \,\/_EDGE CaRif;1I M~n_agen'lent Wellington Management Company, LLP Wells Capital Management Wentworth, Hauser and Vloifch WestAM Western Asset Management Company Westfield Capital Management Westwq,ad Management Comoration ·Wllliam Blair & Ca. Inc. William D. Witter, Inc. Page 4 of4 CII y y y y y y y ¥ Y, y y y y y y y y y y y y y y y y y y ICG y y y y y y y y y y y y .y y y Y, y y y y y y y y y y y y y y Ill Atlanta Consulting Office Six Concourse Parkway, Suite 2900 Atlanta, Georgia 30328 Phone: (770) 804-5585 Chicago Consulting Office 120 North LaSalle Street, Suite 2100 Chicago, Illinois 60602 _ Phone: (312) 346-3536 Denver Consulting Office 1660 Wynkoop Street, Suite 950 Denver, Colorado 80202 Phone: (303) 861-1900 New York Consulting Office 200 Park Avenue, Suite 230 Florham Park, New Jersey 07932 Phone:(973)593-8050 San Francisco Consulting Office 101 California Stree·t, Suite 3500 San Francisco, California 94111 Phone: (415) 974-5060 , - FAHR COMMITT.EE Meeting Date To Bd. of Dir. 9/14/05 9/28/05 AGE NDA REPORT Item Number Item Number FAHR05-68 Orange County Sanitation District FROM: Michael D. White, Controller SUBJECT: TREASURER'S REPORT FOR THE MONTH OF AUGUST 2005 GENERAL MANAGER'S RECOMMENDATION Receive and file Treasurer's Report for the month of August 2005. SUMMARY Pacific Investment Management Co. (PIMCO), serves as the Orange County Sanitation District's professional external money manager, and Mellon Trust serves as the Sanitation 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 Sanitation 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 Sanitation 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 Sanitation 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+, B-, 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 Sanitation District would suffer an unwarranted loss if the security was sold at this time. The Sanitation 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\Local Settings\Temporary Internet Files\OLK72\AgendaReport_ TREASRPT091405.doc Page 1 Historical cost and current market values are shown as estimated by both PIMCO and Mellon Trust. The Sanitation District's portfolios are priced to market ("mark-to-market") as of the last day of each reporting period. The slight differences in value are related to minor variations in pricing assumptions by the valuation sources at the estimate date. BUDGET IMPACT D This item has been budgeted. (Line item: ) D This item has been budgeted, but there are insufficient funds. D This item has not been budgeted. [8J Not applicable (information item) ADDITIONAL INFORMATION Schedules are attached summarizing the detail for both the short-term and long-term investment portfolios for the reporting period. In addition, a consolidated report of posted investment portfolio transactions for the month is attached. The attached yield analysis report is presented as a monitoring al"ld 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 Sanitation 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 Sanitation District investments and are in compliance with the Sanitation District's Investment Policy and previous requirements of California Government Code Section 53646. Government Code Section 53646 mandated that annual investment policies ahd quarterly reports be rendered to the legislativ.e 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 Sanitation 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\AgendaReport._ TREASRPT091405.doc Page 2 Book Balances Estimated Investment Accounts August 31, 2005 Yield(%) State of Calif. LAIF $7,580,808 3.18 Union Bank Checking Account 921,842 2.96(1) Union Bank Overnight Sweep Account 0 2.79 PIMCO - Short-term Portfolio 39,084,805 3.65 PIMCO -Long-term Portfolio 292,304, 130 4.30 Petty Cash 4,000 N/A TOTAL $339.895 585 4.12 Debt Service Reserves w/Trustees $63958 648 3.88 (1) This Is the annualized yield for the month of July. The August 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 2.26 280,000.000 5.15 $62:l .325.QQQ 4.25 1. Graph of Monthly Investment Balances by Type -Last Six Months 2. Investment Transactions and Balances in the State Local Agency Investment Fund 3. PIMCO Monthly Investment Recap & Yield Analysis Report 4. PIMCO Performance Monitoring Report-Liquid Operating Monies 5. PIMCO Performance Monitoring Report-Long-Term Operating Monies 6. Mellon Trust Asset Summary by Asset Type with Sectors -Liquid Operating Monies 7. Mellon Trust Asset Summary by Asset Type with Sectors -L-T Operating Monies 8. Mellon Trust Yield Analysis Report 9. Mellon Trust Asset Detail -Consolidated 10. Mellon Trust Transaction Detail -Consolidated MW:bg C:\Documents and Settings\kawai\Local Settings\Temporary Internet Files\OLK72\AgendaReport_TREASRPT091405.doc Page 3 Orange County Sanitation District Investment Transactions and Balances in the State of California Local Agency Investment Fund August 31, 2005 Par Value Book Value Market Value Balance August 1, 2005 $10,780,808 $10,780,808 $10,780,808 Deposits: 8/4/2005 10,000,000 10,000,000 10,000,000 8/11/2005 4,100,000 4,100,000 4,100,000 8/31/2005 7,500,000 7,500,000 7,500,000 Total Deposits 21,600,000 21,600,000 21,600,000 Withdrawals: 8/1/2005 (4,500,000) (4,500,000) (4,500,000) 8/3/2005 (2,200,000) (2,200,000) (2,200,000) 8/17/2005 (2,500,000) (2,500,000) (2,500,000) 8/25/2005 (15,600,000) (15,600,000) (15,600,000) Total Withdrawels (24,800,000) (24,800,000) (24,800,000) Balance August 31, 2005 $7,580,808 $7,580,808 $7,580,808 Rate Yield 3.18 3.18 3.18 3.18 3.18 3.18 3.18 3.18 3.18 3.18 3.18 3.18 3.18 3.18 3.18 3.18 3.18 3.18 3.18 3.18 3.18 3.18 PIM C 0 September 9, 2005 Mr. Mike White, CPA Controller Orange County Sanitation District 1 0844 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 August 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 bond market rallied in August as most fixed income sectors posted positive returns. U.S. Treasuries returned 1.28 percent during the month, outperfonning the S&P 500 return of -0.91 percent Yields on U.S. Treasuries with maturities between 2 and 30 years fell, while shorter-term rates rose in concert with continued Fed tightening. Mortgage-backed securities returned 0.89 percent, slightly underperforming Treasuries by 13 basis points after adjusting for duration. Corporate bonds returned 1.52 percent as measured by the Lehman Credit Index, underperforming Treasuries by 18 basis points after adjusting for duration. Lower quality investment-grade corporates underperformed higher quality issues, as BBB-rated bonds trailed Treasuries by 43 basis points on a duration-adjusted basis. High yield bonds underperformed both Treasuries and investment-grade issues across the quality spectrwn, with the Lehman High Yield Index returning 0.19 percent. The Lehman U.S. TIPS Index returned 2.31 percent in August, surpassing comparable nominal Treasuries for the month. The benchmark IO-year Treasury yield endured a volatile August, ending the month at 4.01 percent, 27 basis points lower than the beginning of the month. U.S. Treasury yields rose the first week of the month on signs of continued growth in the U.S. economy: business activity in the manufacturing sector exceeded analysts' expectations as the ISM Index increased to 56.6 in July, a 207,000 increase in non-farm payrolls was higher than forecasted, and personal income and spending both rose. In addition, the Federal Open Market Committee (FOMC) raised short-term rates a quarter point for the 10th consecutive time to 3.50 percent, reiterating that inflation is well contained and hinting at further "measured" rate i11creases. Intra-month, the yield on the IO-year Treasury note reached a high of 4.42 percent only to Teverse course the remainder of August. The decline in yields was largely driven by higher energy costs, as oil prices approached 70 dollars a Mr. Mike White, CPA Orange County Sanitation District September 9, 2005 Page2 barrel. Hurricane Katrina added further downward pressure on interest rates as the disaster clouded the prospects for continued strong economic growth. Providing further support for Treasuries were weaker than expected increases in retail sales, a widening U.S. trade deficit, and increases in foreign demand for U.S. assets. On the inflation front, higner energy costs drove July headline consumer and producer prices to increase for the first time in three months. The Labor Department reported that CPI gained 0.5 percent while Core CPI gained 0.1 percent, increasing the annual rate to 3.2 percent and 2.1 percenl respectively. GDP growth for the second quarter was revised from 3.4 percent to 3.3 percent annualized, a slight decrease from the 3.8 percent growth rate in the first quarter. Treasury yield changes during the month of August are summarized as follows: • 3-montb bills: +10 basis points to 3.50% • 6-month bills: + 3 basis points to 3.71% • 2-year notes: -20 basis points to 3.81% • 5-year notes: -26 basis points to 3.86% • 10-year notes: -26 basis points to 4.01 % • JO-year notes: -22 basis points to 4.25% Performance Attribution: Long-Term Portfolio The Long-Term portfolio that PIMCO manages on behalf of Orange County Sanitation District returned 1.01% on a total return basis for the month of August, outperforming the Merrill Lynch 1- 5 year Government Corporate Index by 13 basis points. The following points slllllmarize returns for the month ended August 31 : • The Long-Tenn portfolio outperformed the benchmark by 13 basis points for the month. • For the twelve-month period, the Long-Tenn portfolio returned 2.3 7%, outperforming the benchmark by 85 basis points. • Portfolio duration, below the benchmark, was slightly negative for monthly performance as interest rates generally fell across the yield curve. • Yield curve positioning similar to that of the index was neutral for perfonnance. • An underweight exposure to corporates was positive for performance as the credit sector underperformed Treasuries on a duration-adjusted basis. • Exposure to mortgage-backed securities was negative for performance as the sector lagged Treasuries on a duration-adjusted basis. Liquid Portfolio The Liquid portfolio that PI.l'v1CO manages on behalf of Orange County Sanitation District generated a total return of 0.29% during the month of August, slightly outperforming the 3-month Treasury Bill Index. The foUowing points summarize returns for the period ending August 31: Mr. Mike White, CPA Orange County Sanitation District September 9, 2005 Page3 • The Liquid portfolio outperformed the benchmark by 2 basis points for the month. • For the twelve-month period, the Liquid portfolio returned 2.49%, outperforming the benchmark by 13 basis points. • Use of higher yielding securities such as commercial paper and short-term notes contributed to performance. Outlook a11d Strategy: 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 low 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, disinflationary incorporation of new Central and Eastern European entrants and growth-inhibiting demographics. hnportant aspects of our secular outlook are: .. Bretton Woods II Has Life -Under the so-called Bretton Woods II 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 undermine 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 l 00 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 ifreal yields fall further. • 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 low yield levels. PIMCO 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. Mr. Mike White, CPA Orange County Sanitation District September 9, 2005 Page4 • Leveraged Investments Pose Systemic Risk -Abundant liquidity in financial markets associated with the Pwnp has al1owed for increased leverage and also quicker exits from investment strategies. Leverage throughout the global fmancial system w:ill pose a danger to risk-oriented markets such as stocks, high yield bonds, complex debt structures such as collaternlized debt obligations (CDOs) and real estate as owners realize that their returns can no longer be pumped up anywhere neat double-digil expectations. An llllWinding of leveraged structUTes, 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 undermine the economic stability provided by BW IL To the extent that guidelines allow, PIMCO will employ a diverse range of strategies to enhance portfolio yield while still protecting investors' capital if macroeconomic stability unravels. Key strategies will include: • Duration and Yield Curve -We will 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 will be shortened. While maintaining a neutral yield curve posture overall, we will continue to take selective longer maturity exposure in TIPS, 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 Sccurley Selection -Mortgage-backed bonds will remain an important structural holding because of their current high credit quality and yield advantage versus Treasuries. Given relatively full valuations in this sector, PIMCO 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. PJMCO will continue to underweight this sector, though we may opportW1istically add to our holdings if credit prerrriums 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 Orange County Sanitation District for the month ending August 31, 2005 Total Return Account -203 With Accrued lntcrnst Market Value Book Value Yield to Maturity Short Term Account-603 294,446,731 292,290,439 4.30 Wilh Accrued Interest Market Value Book Value Yield to Maturity 39,294,439 39,275,197 3.65 ithout Accrued ln!c,-.,'St 292,369,753 290,213,461 4.34 WithoUL Accrued u1h.mlsl 39,109,525 39,090,283 3.67 MONTHLY REPORT ORANGE COUNTY SANITATION DISTRICT INVESTMENT MANAGEMENT PROGRAM PIMCO'S PERFORMANCE MONITORING & REPORTING (for the month ended 31 August 2005) Liquid Operating Monies (603) 15.1.1 PORTFOLIO COST AND MARKET VALUE Current Market Value Estimate: • PIMCO • Mellon Historical Cost: • PIMCO • Mellon 15.1.2 MODIFIED DURATION Of Portfolio: Oflndex: 15.1.3 1% INTEREST RATE CHANGE Dollar 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 outperformed the benchmark by 2 basis points for the month, and outperfonned the benchmark by 5 basis points fiscal year-to-date. • PIMCO's emphasis on higher yielding securities such as commercial paper and short-term notes contributed to performance. H:\dept\fin\220\geggie\FAHR\LIQ0800-0S-08.RPT.doe Page 1 of 1 $39,294,439 $39,289,828 $39,275,197 $39,294,108 0.16 0.20 $62,871 0% 78% "AAA" 0% Yes Portfolio Index 0.29 0.27 0.82 0.76 2.49 2.36 0.57 0.52 MONTHLY REPORT ORANGE COUNTY SANITATION DISTRICT INVESTMENT MANAGEMENT PROGRAM PIMCO'S PERFORMANCE MONITORING & REPORTING (for the month ended 31 August 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 I% 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: I Month: 3 Months: 12 Months: Fiscal Year-to-Date: • The Long-Tenn portfolio ou1pcrfonned tbc benchmark by 13 basis points for the month, and outperfonned the benchmark by 26 basis points fiscal year-to-date. • Portfolio duration, below the benchmark, was slightly negative for monthly perfonnance as interest rates generally fell across the yield curve. • Yield curve positioning similar to that of the index was neutral for perfonnance. • An underweight exposure to corporates was positive for perfonnance, as the credit sector underperfonned Treasuries on a duration-adjusted basis. • Exposure to mortgage-backed securities was negative for perfonnance as the sector lagged Treasuries on a duration-adjusted basis. Page I of2 $294,446,731 $294,429,549 $292,290,439 $294,098,990 2.37 2.42 $6,978,388 0% 4% AAA 0% No* Portfolio Index 1.01 0.88 0.95 0.64 2.37 1.52 0.60 0.34 *Compliance Issues: MONTHLY REPORT ORANGE COUNTY SANITATION DISTRICT INVESTMENT MANAGEMENT PROGRAM PIMCO'S PERFORMANCE MONITORING & REPORTING (for the month ended 31 August 2005) $ L,600,000 par of United Airlines (UAL) Pass-Through 2001-1-C (Enhanced Equipment Trust Certificate (EETC) -9093 17BC2), 6.831 % coupon, Page 2 o/2 3/01120 IO maturity, representi11g 0.54% of the portfolio holdings on a par basis was purclrnsed on 8/10/2001; and subsequently downgrnded by Moody's from A3 to BAJ (on 9/ 18/200 I) and S&P from A-to BBB ( on 9/20/200 I). The security was further downgraded by Moody's from BAl to BA3 (on 12/21/2001) and by S&P from BBB to BB (on 6/28/02). following news of the possible bankruptcy filing, the security was further downgraded in August (B3 Moody's, B+ by S&P). On November 29, 2002, S&P further downgraded this issue to B, and shortly thereafter on December 9, 2002, downgraded the issue one notch further to B-, On August 7, 2003, S&P downgraded the issue to CCC-t-, while Moody's fo[lowed suit on August 28, 2003 with a downgrade 10 CA. Both rating agencies have since withdrawn their ratings (Moody's withdrew i.n Febmary 2004 and S & P withdrew in June 2004). The District's investment policy requires a minimum 1·ating of A3 by Moody's or A-by S&P, with at least a BBB rating in the event of a split. On September 7, UAL filed its reorganization plan, which targets Febmary 1, 2006 as its exit date from Chapter 11. The plan includes up to $3 billion in exit financing that ensures the airline will be able to compete in an industry battered by record-high fuel costs and low-fare competition. The airline has cut costs by S7 billion, restmctured contracts with its United Express unit, dumped underfunded pension plans, renegotiated labor contracts and shrunk its workforce to 60,000 from 80,000 employees. Most recently, UAL reported a net loss of$274 million for July, including $350 million in expenses related to reorganization. UAL said in comt documents it may offer unsecured creditors the chance to buy about $500 million in new UAL common stock, but when it exits bankruptcy its existing shares will be worthless. UAL said it would issue up to 125 million shares of UAL common stock when it emerges. The company has said it has received proposals for up to $3 billion in exit financing, above the $2.5 billion all-debt financing it had requested. PIMCO continues to negotiate with United on our holdings and currently leads an ad hoc committee. This has been an extremely complicated effort due to the complex nature ofUnited's bankruptcy. These negotiations have required PIMCO's analysts access to non-public information and therefore sharing them results in parties becoming restricted. In light of this extremely complicated bankruptcy, PIMCO continues to strive to act in the most prudent manner to obtain maximum recovery. Split Rated Securities Still In Compliance: The District's investment policy requires a minimum rating of A3 by Moody's or A-by S&P, with at least a BBB in the event ofa split rating. $1,750,000 par of Virginia Electric Power NT securities ( cusip 927804ENO), maturing on March 31, 2006, represents 0.59% 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 cany a Moody's rating of A3. H:\dept\fin\220\geggie\F AHR\L-T0B00-05-08.RPT.doc l UQVID OPER-PIMCO • OCSF07S11102 Description CASH & CASH EQUIVALENTS U.S. DOLLAR INTEREST CERTIFICATES OF DEPOSIT -DOMESTIC 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 REPURCHASE AGREEMENTS TREASURY BILLS -LESS THAN 1 YR U.S. DOLLAR CASH & CASH EQUIVALENTS FIXED INCOME SECURITIES U.S. DOLLAR BANKING & FINANCE UTILITY -TELEPHONE U.S. DOLLAR FIXED INCOME SECURITIES TOTAL ASSETS -BASE: Asset Summary Report ID: GL8251 Base Currency: USD by Asset Type with Sectors Alternate Base Currency: Exchange Rate: 8 /_~J /iQQQ ---------~~a.t~: FJNAL Cost Market Value Base %of Total Net Unrealized Gain/Loss Shares Par Base Base 205,023.05 205,023.05 0.52% 0.00 3,300,000.000 3,300,000.00 3,300,000.00 8.40% 0 .00 4,896,000.000 4,869,979.08 4,869,979.08 12.40% 0.00 7,400,000.000 7,314,820.17 7,314,820.17 18.62% 0.00 5,700,000.000 5,623,056.22 5,623,056.22 I4.31% 0.00 9,900,000.000 9,766,506.91 9,766,506.91 24.86% 0.00 136,406.840 136,406.84 136,406.84 0.35% 0.00 3,200,000.000 3,200,000.00 3,200,000.00 8.14% 0.00 2,800,000.000 2,768,820.59 2,768,820.59 7.05% 0.00 37,332,406.840 37,184,612.86 37,184,612.86 94.64% o.oo 37,332,406.840 37,184,612.86 37,184,612.86 94.64% o.oo 1,090,000.000 1,101,975.20 1,100,535.20 2.80% -1,440.00 1,000,000.000 1,007,520.00 1,004,680.00 2.56% -2,840.00 2,090,000.000 2,109,495.20 2,105,215.20 5.36% -4,280.00 2,090,000.000 2,109,495.20 2,105,215.20 5.36% -4,280.00 39,422,406.840 39,294,108.06 39,289,828.06 100.00% -4,280.00 1 Workbench LONG TERM OPER-PJMCO -OCSF07522202 L Description _ CASH & CASH EQUIVALENTS U.S. DOLLAR PENDING TRADES INTEREST FEDERAL HOME LOAN MORTGAGE -LESS THAN 1 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 1 YR U.S. AGENCIES U.S. GOVERNMENTS UTILITY -ELECTRIC U.S. DOLLAR FIXED INCOME SECURITIES TOTAL ASSETS -BASE: Asset Summary by Asset Type with Sectors 8/31,/2005 Cost Shares Par Base -56,119,458.10 2,125,418.77 200,000.000 197,738.89 1,268,813.130 1,268,813.13 1,468,813.130 -52,527,487.31 1,468,813.130 -52,527,487.31 1,600,000.000 1,600,000.00 373,496.210 373,496.21 37,450,000.000 37,542,039.10 1,146,403.330 1,146,403.33 702,461.040 703,209.39 50,405.730 49,177.08 55,601,008.140 56,293,084.63 2,799,937.750 2,791,227.70 438,306.560 459,484.64 2,000,000.000 1,998,188.00 25,586,461.540 26,132,396.47 752,000.000 826,199.84 25,291,478.740 24,871,544.92 189,594,342.070 188,696,186.12 3,150,000.000 3,143,840.00 346,536,301.110 346,626,477.43 346,536,301.110 346,626,477.43 348,005,114.240 294,098,990.12 1 Report ID: GL8251 Base Currency: USD Alternate Base Currency: J Exchange Rate: Status: FINAL Market Value Base -56, 119,458.10 2,125,418.77 197,738.89 1,268,813.13 -52,527,487.31 -52,527,487.31 1,048,768.00 373,795.01 37,522,103.49 1,158,922.05 701,519.74 52,012.16 56,070,639.77 2,828,775.19 456,917.11 1,999,680.00 27,146,264.92 826,199.84 24,986,939.44 188,618,325.64 3,166,173.50 346,957,035.86 346,957,035.86 294,429,548.55 % of Total -19.06% 0.72% 0.07% 0.43% -17.84% -17.84% 0.36% 0.13% 12.74% 0.39% 0.24% 0.02% 19.04% 0.96% 0.16% 0.68% 9.22% 0.28% 8.49% 64.06% 1.08% 117.84% 117.84% 100.00% Net Unrealized Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 -551,232.00 298.80 -19,935.61 12,518.72 -1,689.65 2,835.08 -222,444.86 37,547.49 -2,567.53 1,492.00 1,013,868.45 0.00 115,394.52 -77,860.48 22,333.50 330,558.43 330,558.43 330,558.43 Workbench YLDANAL YIELD ANALYSIS PAGE 1 OCSF07511102 2005/08/31 RUN DATE 09/06/05 DISTRICT! LIQUID OPERATING RUN TIME 15.20.46 ==============================================================~====o=====~=====::==================================== PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ----------------------------------------·-------------------------~-·------------------ CASH & CASH EQUIVALENTS 1,100,000.00 BANKAMERICA CORP DISC .ooo .ooo 99.06B 1,089,742.50 2.94 0660POYM9 11/21/2005 1,089,742.50 2.79 1,500,000,00 CITIBANK NA NY BRR INSTL C/0 .ooo 3.720 100.000 1,500,000.00 4.05 17304TXA6 3.720% 11/09/2005 DD 08/09/05 1,soo,000.00 3.84 1,900,000,00 DU PONT DE NEMOUR DISC .ooo .ooo P-1 99.501 1,890,525,33 5. 11 26354AWU4 09/28/2005 1,890,525.33 4,84 2,300,000.00 FEDERAL HOME LN BK CONS DISC .ooo .ooo P-1 99.186 2,281,279.28 6.16 313385LM6 MAT 9/9/2005 A-1+ 2,281,279.28 5,84 2,900,000.00 FEDERAL HOME LN BK CONS DISC N ,000 .ooo P-1 99,145 2,875,193.72 7, 77 313385ND4 MAT 10/19/2005 A-1+ 2 1 B751 193.72 7.36 1,900,000.00 FEDERAL HOME LN BK CONS DISC ,000 .ooo P-1 98.104 1,863,979,17 5,04 313385SQO A-1+ 1,863,979.17 4,77 300,000.00 FEDERAL HOME LN BK CONS DISC N ,000 .ooo P-1 98,123 294,360.00 .79 313385TK2 MAT 02/22/2006 A-1+ 294,368.00 .75 700,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .000 P-1 99 .194 694,355.47 1.87 3l3397LJ8 MAT 09/06/2005 A-1+ 694,355.47 1.78 2,000,000.00 FEDERAL HOME LN MTG CORP DISC ,000 .ooo P-1 99.178 1,983,569.44 5,36 3l3397LRO 0.000\ 09/13/2005 DD 09/13/04 A-1+ 1,983,569.44 5.08 2,000,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .ooo P-1 98.593 1,971,865.00 5.33 313397NS6 MAT 11/01/2005 A-1+ 1,9711 865.DO 5.05 1,100,000.00 FEDERAL HOME LN MTG CORP DISC .000 .ooo P-1 99.092 1,090,015.03 2,94 313397NZO MAT 11/08/2005 A-1+ 1,090,015.03 2.79 1,900,000.00 FEDERAL HOME LN MTG CORP DISC • 000 .ooo P-1 98,254 1,866,820.72 5.04 313397RQ6 MAT 01/10/2006 A-1+ 1,866,820.72 4,78 4,000,000.00 FEDERAL NATL MTG ASSN DISCOUNT .000 .ooo P-1 98.367 3,934,682.22 10.64 313589NL3 MAT 10/26/2005 A-1+ 3,934,682.22 10.07 3,000,000.00 FEDERAL NATL MTG ASSN DISCOUNT .ooo .ooo P-1 98.794 2,963,827.50 8,01 3135B9QS5 MAT 12/19/200S A-1+ 2,963,827.50 7,5B YLDANAL YIELD ANALYSIS PAGE 2 OCSF07511102 2005/08/31 RUN DATE 09/06/05 DISTRICT! LIQUID OPERATING RUN TIME 15.20.46 ~-.-----r:.=..c.-·=e:::==·----= -----·-= = ---= --:==----=-= PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL -------------------------------------------------------------------------------------- 900,000,00 FEDERAL NATL MTG ASSN DISCOUNT .000 .ooo P-1 98.270 884,427 .75 2,39 313589SV6 HAT 02/08/2006 A-1+ 884,427.75 2.26 1,896,000,00 GENERAL ELEC CAP DISC .ooo .000 WR 99.668 1,889,711.25 5,11 36959HW94 09/09/2005 1, 889,711.25 4.83 800 1 000.oo US TREASURY BILL .000 ,000 P-1 99.812 798,492.67 2.15 912795VP3 0,000% 09/01/2005 DD 03/03/05 A-1+ 798,492,67 2.04 2,000,000.00 US TREASURY BILL .ooo ,000 P-1 98,516 1,970,327,92 S,32 912795VVO 10/13/2005 DD 04/14/2005 A-1+ 1,970,327,92 5.04 1,800,000.00 WELLS FARGO BANK NA INSTL C/D .ooo 3.500 100,000 l,800,ooo.oo 4,86 9497P2!l67 3.500% 09/06/2005 DD 08/12/05 1,aoo,000.00 4,61 3,200,000.00 CS FOB CAT 2 REPO REPO .ooo 3.500 100.000 3,200,000.00 8,65 99440F718 03.500% 09/01/2005 DD 08/31/05 3,200,000.00 8.19 136,406.84 DREYFUS TREASURY CASR MGMT .ooo 3,261 AAA 100.000 136,406.84 ,36 996085247 AAA 136,406,84 .35 -------------------------------------- TOTAL CASH & CASH EQUIVALENTS ,000 .380 36,979,589.81 100.00 36,979,589,81 94.64 FIXED INCOME SECURITIES 1s,ooo.oo ASSOCIATES CORP NORTH AMER NT-.000 6.346 AAl 100.453 15,112.95 • 71 046003FM6 6,375% 11/15/2005 DD 11/21/95 AA-15,067.95 ,04 75,000.00 BEAR STEARNS COS INC NTS ,000 6.861 Al 100.203 75,422.25 3,56 073902AU2 6.875% 10/01/2005 DD 10/05/95 A 75,152,25 • 19 500,000.00 CIT GROUP INC GLOBAL SR NT .ooo 4 .122 A2 100.079 499,820,00 23.76 125577AN6 4,125% 02/21/2006 DD 02/20/03 A 500,395.00 1.28 soo,000.00 HOUSEHOLD FIN CORP NT .ooo 7,109 Al 101.984 511, 620,00 24 .22 441812FT6 7.250% 05/15/2006 DD 05/15/96 A 509,920,00 1. 30 YLDANAL OCSF075lll02 DISTRICTt LIQUID OPERATING PAR VALUE SECURITY ID SECURITY DESCRIPTION 1,000,000.00 SOUTHWESTERN BELL TEL CO MED 84534EDS4 6.560% 11/15/2005 DD 11/15/96 TOTAL FIXED INCOME SECURITIES TOTAL YTM AT BOOK -------- .ooo ------.ooo ---------.000 YIELD ANALYSIS 2005/08/31 CURRENT MOODY YIELD S-P ------------- 6.529 A2 A ------- 5. 777 ---·-.432 ; ,_ .. ,--:-:-,:, . . ;,·.-:.·~· : : . PAGE 3 RUN DATE 09/06/05 RUN TIME 15.20.46 -=----= MARKET TOTA!, COST/ % TYPE PRICE MARKET VALUE % TOTAL ----------.------------------ 100.468 1,001,s20.oo 47.72 l,004,680,00 2,57 --------------------2,109,495,20 100.00 2,1os,21s.20 5.38 --------------------------39,089,085,01 100.00 39,084,805,01 100.00 ----·-~-·--===----::.:. YLDANAL YIELD ANALYSIS PAGE 4 OCSF07522202 2005/08/31 RUN DATE 09 /06 /05 DISTRICT: LONG-TERM OPERATING RUN TIME 15.20.46 ===-----=====-===--~...!~~=-------= --== ----· - PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARl<ET VALUE % TOTAL -------------------------------------------------------------------------------- CASH & CASH EQUIVALENTS 200,000.00 FEDERAL HOME LN MTG CORP DISC .ooo .ooo P-1 98.869 197,73B,89 13,48 313397QKO MAT 12/12/2005 A-1+ 197,738.89 .06 1,268,813.13 DREYFUS TREASURY CASH MGMT .ooo 3 .261 AAA 100.000 1,2681813.13 86,51 996085247 AAA 1,268,813.13 ,36 ------------------------------------------- TOTAL CASH & CASH EQUIVALENTS .ooo 2.486 1,466,552.02 100 .00 1,466,552.02 .42 FIXED INCOME SECURITIES 752,000.00 AIG SUNAMERICA GLOBAL REGS .ooo 5.325 109.867 826,199.84 . 23 U00907AAO 5.850% 08/01/2008 DD OB/08/01 826,199.84 .24 600,000.00 CIT GROUP INC SR NT .ooo 7.038 A2 104.783 632,688 .00 .18 125581AA6 7.375% 04/02/2007 DD 04/01/02 A 628,698.49 ,18 1,soo,000.00 CIT GROUP INC NEW SR NT .ooo 3.830 A2 100.359 1,507,005,00 ,43 125581AFS VAR RT 09/22/2006 DD 09/23/03 A 1,505,385,00 ,43 3,300,000.00 CIT GROUP INC MTN tSR00092 ,000 4,022 A2 100.265 3,300,000,00 ,95 12560PDVO VAR RT 05/23/200B DD 05/25/05 A 3,308,745,00 .95 1,600,000.00 CITIGROUP INC GLOBAL SR NT .ooo 3,751 AAl 99.968 1,600,000.00 ,46 172967CW9 VAR R.T 05/02/2008 DD 05/02/05 AA-1,599,488.00 ,46 10,000,000.00 FEDERAL HOME LN MTG CORP MTN .000 4,056 AAA 98,630 9,993,100.00 2.84 3128X3WY5 4,000% 09/22/2009 DD 09/22/04 AAA 9,863,000.00 2,83 2,100,000.00 FEDERAL HOME LN BKS CONS BO ,000 8.840 AAA 93. 893 2,565,820.00 ,73 3133X3SQ7 VAR RT 02/27/2012 DD 02/27/04 AAA 2,535,099.39 ,73 50,405.73 FHLMC GROUP f78-6064 .ooo 4,163 AAA 103.187 49,177,08 .01 31348SWZ3 6.3841 01/01/2028 DD 12/01/97 AAA 52,012,16 .01 2,350,000.00 FEDERAL NATL MTG ASSN DEBS .ooo 5.201 AAA 100.934 2,385,461.50 .68 31359MJX2 5.2501 06/15/2006 DD 06/22/01 AAA 2,371,949.00 .68 6,800,000.00 FEDERAL NATL MTG ASSN DEBS .000 3.233 AAA 96 .671 6,575,736.00 1.89 31359MUQ4 3,125% 03/16/2009 DD 03/16/04 AAA 6,573,62B,OO l .B9 .-.; ..... YLDANAL YI.ELD ANALYSIS PAGE 5 OCSF07522202 2005/08/31 RUN DATE 09/06/05 DISTRICT: LONG-TERM OPERATING RUN TIME 15.20.46 ~==:~= -==-:==== PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE Ml\RKET VALUE % TOTAL ------------------------------------------------------------------------------------- 565,477.12 FNMA POOL #0254510 .ooo 4.956 AAA 100.878 582,441.43 , 16 31371KVB4 5.000% 11/01/2017 DD 10/01/02 AAA 570,442.01 .16 120,889.11 FNMA POOL 10254631 .ooo 4.957 AAA 100.877 124,515.79 .03 31371KY47 5,0001 02/01/2018 DD Ol/01/03 AAA 121,949.31 .04 109,380,84 FNMA POOL 10254760 ,000 4.957 AAA 100.867 112,662.26 .03 31371K5V9 5.000% 06/01/2018 DD 05/01/03 AAA 110,329.17 .03 50,028.39 FNMA POOL #0254866 .ooo 4,957 AAA 100.858 51,529.25 .01 31371LCB3 5.000% 09/01/2018 DD 08/01/03 AAA 50,457.63 .01 371,914.38 FNMA POOL #0254907 .ooo 4,958 AAA 100.855 371,914,38 ,10 31371LDLO 5,000% 10/01/2018 DD 09/01/03 AAA 375,094.25 .11 264,932,55 FNMA POOL 10254953 .ooo 4,958 AAA 100.852 268,327.01 .07 31371LE21 5.000% 11/01/2018 DD 10/01/03 AAA 267,189.78 .OB 709,776.45 FNMA POOL t0254987 .ooo 4.963 AAA 100.751 718,870,46 .20 31371LF46 5.000% 12/01/2018 DD 11/01/03 AAA 715,108.57 .21 116,313,61 FNMA POOL f0323980 .ooo 5.815 AAA 103,189 121,43B,68 .03 31374T2MO 6.000% 04/01/2014 DD 09/01/99 AAA 120,022.05 ,03 20,214,37 FNMA POOL #0357328 ,ooo 4,962 AAA 100.765 20,820,81 .oo 31376J4MB 5.000% Ol/01/2018 DD 01/01/03 AAA 20,368.98 .01 1,083,236.30 FHMA POOL 00357430 ,000 4,957 AAA 100,864 1,095,422,70 .31 31376KA71 5.000% 09/01/2018 DD 09/01/03 AAA 1,092,595.46 .31 34,640.12 FNMA POOL 00456482 ,000 5,815 AAA 103.189 36,166,43 ,01 31381CCT2 6.000% 02/01/2014 DD 02/01/99 AAA 35,744.79 .01 93,099.60 FNMA POOL t0509649 .000 5.815 AAA 103.189 97 I 201, 80 .02 31383QEWO 6.000% 09/01/2014 DD 09/01/99 AAA 96,06B,55 .03 90,844.86 FNMA POOL f.0535451 .ooo 5,815 AAA 103,189 94,847,72 ,02 3l384VZQB 6.000% 06/01/2015 DD 07/01/00 AAA 93,741.90 .OJ 260,929,06 FNMA POOL tOS55363 ,000 4.957 AAA 100.877 268,756,92 .07 31385W5Yl 5.000% 04/01/2018 DD 03/01/03 AAA 263,217,41 .08 27,182.53 FNMA POOL 10555453 .ooo 4,957 AAA 100.874 27,530.81 .oo 31385XBW6 5.000% 05/01/2018 DD 04/01/03 AAA 27,420.11 .01 YLDANAL YIELD ANALYSIS PAGE 6 OCSF07522202 2005/08/31 RUN DATE 09/06/05 DISTRICT: LONG-TERM OPERATING RUN TIME I 15,20,46 =============================================== .==========================-===-~=====-==c--=-=: ________________________ PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MAR.KET VALUE % TOTAL ----------------------------------·-·-----------~---·---------·---------------------------- 217,063,29 FNMA POOL J0555545 .000 4.957 AAA 100.974 224,399.20 .06 31385XES2 5,000% 06/01/2010 PD 05/01/03 AAA 219,767.42 .06 740,138,21 FNMA POOL t0555621 .ooo 4,963 AAA 100,751 756,554,75 ,21 3l385XG60 5.000% 07/01/2018 DD 06/01/03 AAA 753,758,52 ,22 415,158,21 FNMA POOL t0691309 .ooo 4,957 AAA 100.877 427,612,95 .12 31391Y3S4 5.000% 02/01/2010 DD 02/01/03 AAA 418,799.15 .12 49,013.81 FNMA POOL t0681334 .000 4,957 AAA 100.877 51,308.23 .01 31391Y4Tl 5.000% 02/01/2018 DD 01/01/03 AAA S0,250,68 .01 307,106.05 FNMA POOL t0684798 .ooo 5.430 AAA 101.203 306,El42,14 .08 31400DX31 5.500% 03/01/2033 DD 03/01/03 AAA 311,046,22 ,09 271,599 ,83 FNMA POOL t0684908 .000 4.957 AAA 100.867 275,079 ,73 .07 31400D3Rl 5,000% 06/01/2018 DD 05/01/03 AAA 273,954.60 .08 148,136.00 FNMA POOL t0685200 .ooo 4,957 AAA 100,874 150,034,01 ,04 31400EGH7 5,000% 03/01/2018 PD 03/01/03 AAA 149,430,71 ,04 24,776.28 FNMA POOL •0685665 .ooo 4,957 AAA 100.877 25,519.57 .oo 31400EW22 5,0001 02/01/2018 DD 02/01/03 AAA 24,993.57 .01 222,224.07 FNMA POOL f0686318 .ooo 4.957 AAA 100.877 228,890.79 .06 31400FPB7 5.0001 03/01/2018 DD 03/01/03 AAA 224,172,98 ,06 87,287.66 FNMA POOL •0688739 .ooo 4.957 AAA 100,867 89,906,29 .02 31400JEL9 5.0001 06/01/2018 DD 06/01/03 AAA 88,044,44 ,OJ 80,252.04 FNMA POOL f0689859 .ooo 4.957 AAA 100,867 81,280,27 .02 31400KMG8 5.000% 05/01/2018 DD 05/01/03 AAA 801 947,83 ,02 463,287,86 FNMA POOL f0693834 .ooo 4.957 AAA 100.877 477,186.47 ,13 31400PY74 S,000% 03/01/2018 DD 03/01/03 AAA 467,350.89 .13 172,619.39 FNMA POOL #0695852 .ooo 4.957 AAA 100.871 177 / 797 ,97 .05 31400SBVO 5,000% 05/01/2018 DD 05/01/03 AAA 174,122,90 ,05 616,008.71 FNMA POOL t0695889 .ooo 4.957 AAA 100.871 634,488.98 ,17 31400SC23 5.000% 05/01/201B DD 05/01/03 AAA 621,374,15 ,18 18,459.81 FNMA POOL #0697026 .ooo 4.957 AAA 100.971 19,013.62 .oo 31400TLF2 5.000% 05/01/2018 DD 04/01/03 AAA 18,620.59 .01 ,·.· •:·:•-··· YLDANAL YIELD ANALYSIS PAGE 7 OCSF07522202 2005/08/31 RUN DATE 09/06/05 DISTRICT: LONG-TERM OPERATING RUN TIME 15.20.46 ~~C"=-.-==:-----.. ---= -------= -=..,.·------~-=== ==--=-==-=-===~ PAR VALUE YTM AT CURRENT MOODY MAJ;U<ET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL -------------------------------------------------------------------------------- 172,373.57 FNMA POOL f.0702210 .ooo 4.963 AAA 100.751 177,544.78 .os 31401ADP9 5.000% 05/01/2018 DD 05/01/03 AAA 173,668,51 .os 102,673.59 FNMA POOL #0702328 .ooo 4,957 AAA 100,871 103,989.09 .02 31401AHD2 5.000% 05/01/2018 DD 04/01/03 AAA 103,567.88 .03 226,241.69 FNMA POOL f0709148 ,000 4.957 AAA 100,864 233,028.96 .06 3140lHZM7 5,000% 06/01/201B DD 06/01/03 AAA 228,196.42 .07 507,303.04 FNMA POOL t0709360 .000 4,957 AAA 100.864 513,802.86 .14 31401JB56 5,000% 07/01/2018 DD 06/01/03 AAA 511,686.14 ,15 86,791.11 FNMA POOL i0709826 ,000 4.957 AAA 100.867 87,903.12 ,02 3l401JSP4 5.000% 06/01/2018 DD 06/01/03 AAA 87,543.59 ,03 180,195.27 FNMA POOL #0709917 ,000 4,957 AAA 100,867 182,504.03 ,05 31401JVJ4 5,000% 06/01/2018 DD 06/01/03 AAA 181,757.56 .OS 17,339.35 FNMA POOL f0709963 .ooo 4 .963 AAA 100.751 17,561.52 .oo 31401JWYO 5,000% 06/01/2018 DD 06/01/03 AAA 17,469.61 .01 457,410,77 FNMA POOL #0710235 .ooo 4.957 AAA 100.864 471,133,12 ,13 31401KBC8 5.000% 06/01/2018 DD 06/01/03 AAA 461,362,80 .13 12,298.05 FNMA POOL 10713344 .ooo 4,957 AAA 100.867 12,666.98 .oo 31401NP52 5,000% 06/01/2018 DD 06/01/03 AAA 12,404.67 .00 185,205.51 FNMA POOL #0713365 .ooo 4 ,957 AAA 100.864 187,578.44 ,05 31401NQS1 5.000% 07/01/2018 DD 07/01/03 AAA 186,805,69 .os 567 ,852,00 FNMA POOL 10720319 ,000 4.957 AAA 100,864 575,l-27,62 ,16 31401WG45 5.000% 07/01/2018 DO 07/01/03 AAA 572,758, 24 .16 1,863,075.32 FNMA POOL #0720369 .ooo 4 .963 AAA 100.751 1,918,967.58 .54 31401WJNO 5.000% 06/01/2018 DD 06/01/03 AAA 1,877,071,47 ,54 244,114,15 FNMA POOL f0721629 .ooo 4,957 AAA 100,864 251,437,59 .07 31401XVW4 5.000% 07/01/2018 DD 06/01/03 AAA 246,223,30 .07 183,258.86 FNMA POOL f-07234B7 .ooo 4,957 AAA 100.864 185,320.54 .05 31402AXQ4 5.000% 06/01/2018 DD 06/01/03 AAA 184,842.22 ,OS 2,8001138,83 FNMA POOL #0725530 .ooo 4,965 AAA 100,708 2,838,203.20 .81 31402DA75 5,000% 06/01/2019 DD 05/01/04 AAA 2,819,962.58 .81 :-;·• :•:-.-·•:, YLDAHAL YIELD ANALYSIS PAGE 8 OCSF07522202 2005/08/31 RUN DATE 09 /06/05 DISTRICT! LONG-TERM OPERATING RIJN TIME 15.20.46 ========================================================================================--. -===~-==~~=.----=--~----- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECIJRITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL -·---------------~--------~-------------------------------------------·--------------- 328,216.81 FNMA POOL •0729601 .ooo 4,957 AAA 100,861 332,422,10 .09 31402HRW3 5,000% 07/01/2010 DD 07/01/03 AAA 331,042,76 .10 29,463.15 FNMA POOL #-0732873 .ooo 4.958 AAA 100.852 29,840.63 .oo 31402MFN5 5.000% 11/01/2018 DD 10/01/03 AAA 29,714.18 .01 948,496 ,66 FNMA POOL f0735227 .ooo 5,437 AAA 101. 163 956,499.60 .27 31402QYY1 5.500% 02/01/2035 DD 01/01/05 AAA 959,527.68 ,28 500,000.00 FNMA POOL #-0735856 .ooo 4,965 AAA 100,714 504,843.75 .14 31402RQH5 5.000% 08/01/2020 DO 08/01/05 AAA 503,568.58 ,14 493,511.32 FNMA POOL t0737130 .ooo 4.957 AAA 100.858 499,834,43 ,14 31402S4P9 5.000% 10/01/2018 DD 10/01/03 AAA 497,745.65 .14 430,603.67 FNMA POOL 10738211 ,ooo 4,963 AAA 100.751 436,120,81 .12 31402UDQ2 5.000% 10/01/2018 DD 10/01/03 AAA 433,838.53 .12 155,834,67 FNMA POOL #0738487 .000 4,958 AAA 100.852 157,831.31 ,04 31402l1NC2 5.000% 10/01/2018 DD 10/01/03 AAA 157,162,38 .05 1,821,344, 71 FNMA POOL t0740457 .ooo 4,963 AAA 100,751 1,846,103,61 .52 31402WTN8 5,000% 10/01/2018 DD 10/01/03 AAA 1,835,027,36 .53 639,901.38 FNMA POOL 10740471 .000 4.963 AAA 100.751 648,100,10 .18 31402WT40 5.000% 10/01/2018 DD 10/01/03 AAA 644,708.57 ,19 635,866.93 FNMA POOL 10740748 .ooo 4.957 AAA 100,858 644,013.97 ,18 31402W5H7 5.000% 10/01/2018 DD ll/01/03 AAA 641,322,67 .18 30,253.60 FNMA POOL #0743868 .ooo 4.963 AAA 100.751 30,641.23 .oo 31403BMR1 5.000% 11/01/2018 OD 10/01/03 AAA 30,480.88 .01 862,789.85 FNMA POOL f0744D08 .ooo 4.957 AAA 100.867 873,844.35 .25 Jl403BR54 5,000% 07/01/2018 DD 09/01/03 AAA 870,270,24 .25 133,033,44 FNMA POOL #0744316 ,000 4.963 AAA 100.751 134,737.93 .03 31403B3Z4 5.000% 09/01/2018 DD 09/01/03 AAA 134,032,84 ,04 248,201.55 FNMA POOL J0747914 ,000 4.958 AAA 100.852 251,381.64 .07 31403F3XO 5,000% 11/01/2018 OD 11/01/03 AAA 250,316.23 .07 152,436.57 FNMA POOL t0748400 .ooo 4.963 AAA 100.751 154,389,67 .04 31403GNR9 5.000% 08/01/2018 OD 09/01/03 AAA 153,581.73 .04 ··~-•:•: YLDANAL YIELD ANALYSIS PAGE 9 OCSF07522202 2005/0B/31 RUN DATE 09/06/05 DISTRICT: LONG-TERM OPERATING RIJN TIME 15.20.46 ===----====:::::~~·~~======~==-===----~=~.==~=-===---==-·-==----=-=..:==~=~~=---=== PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARI<ET VALUE % TOTAL ------~------------------------------------------------------------------------------------ 810,328.86 FNMA POOL f074B899 .ooo 4.963 AAA 100.751 820,711.20 .23 31403G7LO 5.000% 12/01/2018 DD 11/01/03 AAA 816,416.37 ,23 1,729,068.91 FNMA POOL f0750377 .ooo 4.963 AAA 100.751 1,751,222.60 .so 31403JUA2 5.000% 11/01/2018 DD 11/01/03 AAA 1,742,058.35 .so 1,464,503.02 FNMA POOL i0750380 .ooo 4.963 AAA 100.751 1,483,266.98 ,42 31403JUD6 5.000% 11/01/2018 DD 11/01/03 AAA 1,475,504,94 ,42 138,541.52 FNMA POOL #0750445 • 000 4.963 AAA 100.751 140,316.58 ,04 31403JWE2 5,000% 11/01/2018 DD 11/01/03 AAA 139,582,30 ,04 655,835.58 FNMA POOL t0751960 .ooo 4,963 AAA 100.751 664,238.49 .19 31403LMH1 5.000% 12/01/2018 DD 11/01/03 AAA 660,762.47 .19 685,625.99 FNMA POOL #0753425 .ooo 4.958 AAA 100.84B 693,553.53 ,19 31403NA23 5.000% 11/01/2018 DD 11/01/03 AAA 691,440, 10 ,20 486,046.52 FNMA POOL f0755165 .000 4.958 AAA 100,848 492,273.99 ,14 31403Q6A3 5,000% 12/01/2018 DD 11/01/03 AAA 490,168.19 .14 812,438.38 FNMA POOL #0756372 .ooo 4.958 AAA 100.848 821,832,20 .23 31403SJR8 5.000% 11/01/2018 DD 11/01/03 AAA 819,327,86 ,24 2,889,453.03 FNMA POOL t07B4251 .ooo 4.960 AAA 100.814 2,928,731.54 .83 31405BH46 5.000% 11/01/2019 DD 11/01/04 AAA 2,912,973.18 .84 B24,B7B.23 FNMA POOL t07B9670 ,000 4.960 AAA 100,814 836,091.42 ,23 31405HJP4 5.000% 12/01/2019 DD 12/01/04 AAA 831,592.74 ,24 824,840.24 FNMA POOL 10792432 .ooo 4.959 AAA 100,817 836,052.91 .23 31405LLM9 5,000% 10/01/2019 DD 10/01/04 AAA 831,579.18 ,24 4,761,399.59 FNMA POOL f07924.37 .ooo 4.959 AAA 100.817 4,761,399.59 1.38 31405LLS6 5.000% 10/01/2019 DD 10/01/04 AAA 4,800,300.22 1.3B 87B,943,39 FNMA POOL f0794195 .ooo 4,960 AAA 100,814 890,891.54 .25 31405N:KG9 5,000% 11/01/2019 DD 11/01/04 AAA 886,097.99 .25 2,986,752.53 FNMA POOL 10797160 .ooo 4.960 AAA 100.B14 3,027,353.69 .86 31405RTR7 5.000% 12/01/2019 DD 12/01/04 AAA 3,011,064.70 .86 78B1119.47 FNMA POOL #0797408 .ooo 4.960 AAA 100.814 798,832.97 .22 31405R3R5 5,000% 12/01/2019 DD 12/01/04 AAA 794,534.76 .23 ..... YLDANAL YIELD ANALYSIS PAGE 10 OCSF07522202 2005/08/31 RUN DATE 09/06/05 DISTRICT: LONG-TERM OPERATING RUN TIME 15,20,46 ======~=====:=========================================~====;=~================:============-==~=========~=~:====-=~=-=- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ---------------------------------------------------------------------- 777,201.62 FNMA POOL J0797414 .ooo 4.960 AAA 100.814 787,766,69 ,22 3140SR3X2 5.000% 12/01/2019 DD 12/01/04 AAA 783,528,04 ,22 355,801.98 FNMA POOL tOB00370 .ooo 4.960 AAA 100.B14 355,412,B3 .10 314DSVFK8 5,000% 12/01/2019 DD 11/01/04 AAA 358,698.21 .10 301,489,09 FNMA POOL t0800998 .ooo 5,437 AAA 101. 158 301,230.01 .08 31405V3F2 5,500% 11/01/2034 DD 11/01/04 AAA 304,980,33 ,09 2,899,933.27 FNHA POOL t0803923 ,ODO 4.960 AAA 100.814 2,939,354.24 .84 31406AD41 5.000% 12/01/2019 DD 12/01/04 AAA 2,923,538.73 .84 2,911,907.67 FNMA POOL fOB07711 .ooo 4.960 AAA 100.814 2,951,491.41 ,84 31406EKY9 5.000% 01/01/2020 DD 01/01/05 AAA 2,935,610,60 .84 331,646.41 FNMA POOL tOBOB933 .ooo 5.437 AAA 101,158 331,361.40 .09 31406FV24 5.500% 01/01/2035 DD 01/01/05 AAA 335,486.88 .10 316,781.44 FNMA POOL tOB09350 .ooo 5.437 AAA 101,158 316,509,21 .09 31406GEX3 5,500% 12/01/2034 DD 01/01/D5 AAA 320,449,77 ,09 3H,521.63 FNMA POOL 10814930 .000 5.445 AAA 101.005 324,242,74 ,09 31406NLK8 5.500% 04/01/2035 DD 04/01/05 AAA 327,783.03 ,D9 323,498,40 FNMA POOL 10815923 ,000 5,437 AAA 101.158 323,220,40 ,09 31406PPG8 5.500% 03/01/2035 DD 03/01/05 AAA 327,244.51 ,09 619,956.25 FNMA POOL f0816246 .ooo 4.960 AAA 100.814 619,278.17 ,18 31406PZK8 5,000% 03/01/2020 DD D3/01/05 AAA r;25,002.&9 .18 324,277.05 FNMA POOL f0819566 .ooo 5,437 AAA 101.158 323,998.38 ,09 31406TQT1 5.500% 04/01/2035 DD 04/01/05 AAA 328,032.18 ,09 329,597.67 FNMA POOL #0822731 .D00 5,437 AAA 101,158 329,314.42 .09 31406XA85 5.500% 05/01/2035 DD 05/01/05 AAA 333,414,41 .10 331,391.41 FNMA POOL fOB23232 .ooo 5.437 AAA 101.158 331,106,61 ,09 31406XSVS 5.500% 06/01/2035 DD 05/01/05 AAA 335,228.92 .10 1,938,413.06 FNMA POOL t0823787 .ooo 4,960 AAA 100.814 1,936,292.91 .56 314.06YF47 5,000% 05/01/2020 DD 05/01/05 AAA 1,954,191.74 .56 7,913.46 GNMA POOL #0421389 .ooo 6.233 AAA 104,285 8,305.43 .oo 36206UC23 6.500% 04/15/2026 DD 04/01/96 AAA 8,252.55 .OD YLDANAL YIELD ANALYSIS PAGE 11 OCSF07522202 2005/08/31 RUN DATE 09/06/05 DISTRICT: LONG-TERM OPERATING RUN TIME 15,20.46 ===============-=-====== --------------=====~====~======= .=================--- PAR VALUE YTM AT CURR.ENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ------------------------·-·------------------------------------·--------------------------- 11,947 ,31 GNMA POOL 10449851 .000 6.239 AAA 104.186 12,539.07 .oo 36208FWLO 6.500% 01/15/2028 DD 01/01/98 AAA 12,447.45 .oo 32,330.19 GNMA POOL f0466845 .ooo 6,234 AAA 104,260 33,931.55 .oo 36209BTA6 6.500% 06/15/2028 DD 06/01/98 AAA 33,707.46 .01 39,958.06 GNMA POOL f0468052 .ooo 6,235 AAA 104,257 41,937.23 .01 36209C5M4 6.500% 07/15/2028 DD 07/01/98 AAA 41,659.07 .01 115,828.40 GNMA POOL f0476041 .ooo 6,234 AAA 104.260 121,384.56 .03 36209MZE7 6.500% 06/15/2028 DD 06/01/98 AAA 120,762.69 .03 119,126.89 GNMA POOL 10478626 .ooo 6.235 AAA 104.243 124,841.26 .03 36209QVT9 6,500% 01/15/2029 DD 01/01/99 AAA 124,181.44 ,04 28,454,20 GNMA POOL 10480598 .000 6,235 AAA 104.248 29,819.10 .00 36209S3F6 6.500% 10/15/2028 DD 10/01/98 AAA 29,662,93 .01 5,811.33 GNMA POOL 10512235 .ooo 6.237 AAA 104.214 6,099.17 .oo 36211GBC6 6,5001 11/15/2029 DD 11/01/99 AAA 6,056,22 .00 76,936.72 GNMA POOL f0514326 .ooo 6.237 AAA 104,225 80,627,27 .02 362llJLF2 6.500% 07/15/2029 DD 07/01/99 AAA B0,187,30 .02 137,509.15 GN.MA II POOL f0080395 .ooo 4,321 AAA 101.255 136,262.98 .04 36225CNM4 VAR RT 04/20/2030 DD 04/01/00 AAA 139,234,89 .04 1,221,758.77 GNMA II POOL J080408X .ooo 4.321 AAA 101.253 1,209,350.28 .35 3622SCN2B VAR RT 05/20/2030 DD 05/01/00 AAA 1,237,067.41 .36 1,149,886,72 GNMA II POOL t0080965 ,000 3.476 AAA 100,693 1,149,168.03 .33 36225DCB8 VAR RT 07/20/2034 DD 07/01/04 AAA 1,157,855,43 .33 6,500,000.00 GENERAL ELEC CO NT .ooo 3.701 AAA 99.984 6,502,203.50 1.87 369604AZ6 VAR RT 10/24/2005 DD 10/24/03 AAA 6,498,960,00 l.87 2,000,000.00 GOLDMAN SACHS GRP MTN tTR00203 .ooo 3.587 AA3 100.078 2,001,900.00 ,57 38141EJ'L4 VAR RT 03/30/2007 DD 04/01/04 A+ 2,001,560.00 .57 eoo,000.00 GOLDMAN SACHS GRP MTN tTR00207 .ooo 3,960 AAJ 100.515 eoo,000.00 .23 38141EJQ3 VAR RT 07/23/2009 DD 07/23/04 A+ 804,120,00 ,23 4,250,000.00 GOLDMAN SACHS GRP .ooo 3.770 AA3 100.218 4,250,000.00 1.22 38143UBD2 VAR RT 06/28/2010 DD 06/28/05 A+ 4,259,265.00 1.22 .. YLDANAL YIELD ANALYSIS PAGE 12 OCSF07522202 2005/08/31 RUN DATE 09/06/05 DISTRICT: LOHG-TERM OPERATING RUN TIME 15.20.46 ====~================================~===============~==================~=========~==c=====~-=--==-~-===-----==----=-=- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL ------------------------------------------·----------------------------·-----------.---- 250,000,00 HSBC BK USA MTN fSR00012 .ooo 3,505 AA2 100.125 250,170.00 .07 4D42Q0AH1 VAR RT 09/21/2007 DD 09/21/04 AA-250,312.50 .07 3,000,000.00 HSBC FIN CORP MTN f TR 00002 .ooo 3,898 Al 100,046 3,000,000.00 .86 40429JAB3 VAR RT 02/28/2007 DD 03/29/05 A 3,001,380.00 ,86 3,000,000.00 HSBC FIN CORP MTN t TR 00007 .ooo 4.011 Al 99.984 2,995,830.00 .86 40429JAG2 VAR RT 05/10/2010 DD 05/10/05 A 2,999,520.00 .86 2,500,000.00 HOUSEHOLD FIN CORP NT .000 7.035 A2 102,343 2,591,500.00 ,73 441812GH1 7,200% 07/15/2006 DD 07/15/99 A 2,558,575,00 .73 2,000,000.00 MORGAN STANLEY .ooo 3 .698 AA3 100,062 2,002,980.00 .57 61746BAK2 VAR RT 01/12/2007 DD 01/13/04 A+ 2,001,240.00 .57 3,200,000.00 MORGAN STANLEY NT .000 3.937 AA3 98.437 3 ,149, 2.48 .oo .90 61746BALO 3,875% 01/15/2009 DD 01/13/04 A+ 3,149,984.00 .90 650,000.00 MORGAN STANLEY NT .ooo 3,809 AA3 100,031 650,000.00 .18 61746SAZ2 VAR RT 11/09/2006 DD 11/12/04 A+ 650,201.50 ,19 1,400,000.00 PUBLIC SVC ELEC & GAS CO 1ST .ooo 3.577 A3 99.984 1,400,000.00 .40 744567fN3 VAR RT 06/23/2006 DD 06/25/04 A-1,399,776,00 ,40 373,496.21 RESIDENTIAL ASSET 03-RSll AIIB .ooo 3.968 AAA 100.080 373,496.21 .10 7609851<83 VAR RT 12/25/2033 DD 12/30/03 AAA 373,795.01 ,11 2,300,000.00 SALOMON SMITH MTN f SR 00206 .ooo 3,935 AAl 100.203 2,308,514,60 ,66 79548EJP8 VAR RT 05/18/2007 DD 05/28/02 2,304,669,00 .66 2,774,342.07 SBA GTD DEV PARTN 2001-20C 1 .ooo 5,920 AAA 107.095 2,774,342.07 ,85 83162CLJO 6.3401 03/01/2021 AAA 2,971,181.64 .85 1,146,403.33 SBA GTD PARTN CTFS SBIC-PS 01 .ooo 6.568 AAA 101.092 1,146,403,33 .33 831641DD4 6.640% 02/10/2011 DD 02/21/01 NR 1,158,5122.05 .33 2,000,000.00 TOYOTA MTR CR MTN tTR00413 .ooo 3,529 AAA 99,984 1,998,188.00 .57 89233PTE6 VAR RT 09/18/2006 DD 03/16/05 AAA 1,999,680.00 ,57 1,600,000.00 UNITED AIRLS PASSTBRU 01-1 C .ooo 10.421 WR 65,548 1,600,000.00 ,30 909317BC2 6.831% 03/01/2010 DD 08/22/01 A-1,048,768.00 .30 2,528,211.00 US TREASURY INFLATION INDEX NT .ooo 3.417 AAA 106.094 2,743,408.60 • 77 912B273T7 3.625% 01/15/2008 DD 01/15/98 AAA 2,682,280,18 .77 YLDANAL OCSF07522202 DISTRICT1 LONG-TERM OPERATING .. .,, ... ·~· YIELD ANALYSIS 2005/0B/31 .. •·-~ .. •' ·-~- PAGE RUN DATE RUN TIME 14 09/06/05 15.20.46 -=--------------==--==~--==:=-=.==-===~-==~~--====-====-====--==---==---------=----==-. ----------------------------------- PAR VALUE YTM AT CURRENT MOODY MARKET TOTAL COST/ % TYPE SECURITY ID SECURITY DESCRIPTION BOOK YIELD S-P PRICE MARKET VALUE % TOTAL --------·-----·--------------------------------------------------------------·--------·--·- 1,150,000.00 VIRGINIA ELEC & PWR 01 SER A .ooo 5.697 A3 100.937 1,743,840,00 .50 927804ENO 5.750% 03/31/2006 DD 03/27/01 BBB+ 1,766,397.50 ,51 8,487,695.54 US TREASURY INFLATION INDEX NT 3.817 3.255 AAA 103.688 7,548,382.86 2.53 912B272M3 3.375% Ol/15/2007 DD 01/15/97 AAA 8,800,679.31 2,53 702,461.04 FBLMC MULTICLASS MTG SER E3 A 6,316 4 .191 AAA 99.866 703,209.39 .20 3133TCE95 VAR RT 08/15/2032 DD 12/01/97 AAA 701,519, 74 .20 412,129.02 GNMA GTD REHIC TR 2000-9 FR 6.320 4.045 AAA 100.676 412,129.02 .11 3837H4NX9 VAR RT 02/16/2030 AAA 41.4,915,0l .12 159,476,43 GNMA II POOL J080088M 6.705 4,325 AAA 101.166 162,964.97 ,04 36225CC20 7.375% 06/20/2027 DD 06/01/97 AAA 161,335.93 ,05 131,306.68 GNMA II POOL t0080023 6,992 4,064 AAA 101,504 133,481.44 ,03 36225CAZ9 VAR RT 12/20/2026 DD 12/01/96 AAA 133,281, 53 .04 2,100,000.00 FEDERAL NATL MTG ASSN DEBS 7.113 6.072 AAA 109.110 2,030,133,00 .66 31359MEY5 6,625% 09/15/2009 DD 09/01/99 AAA 2,291,310.00 ,66 929,349.72 WHP/HUNTOON PAIGE t000-11150 7,684 7.438 AAA 100.827 909,165,40 ,27 30299BGE3 7.500% 12/01/2030 DD 10/21/99 AAA 937,038.04 ,27 --·----·---------------------------------·--TOTAL FIXED INCOME SECURITIES ,024 4,367 346,626,477,43 100.00 346,957,035,86 99,56 -----------------------------------------'IOTAL .024 4.367 348,093,029.45 100,00 348,423,587,88 100.00 ---.•--==-::--=·::e:::.c=: Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED • OCSG000l0000 8/31/2005 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 INTEREST RECEIVABLE 2,330,441.82 2,330,441.82 0.70% 0.00 RECEIVABLE FOR INVESTMENTS 19,735,715.29 19,735,715.29 5.91% 0.00 SOLD PAYABLE FOR INVESTMENTS -75,855, 173.39 -75,855, 173.39 -22.73% 0.00 PURCHASED BANKAMERICA CORP 99.0675 1,100,000.000 1,089,742.50 1,089,742.50 0.33% 0.00 DISC11/21/2005SEC ID: 0660P0YM9 CITIBANK NA NY BRH INSTL C/D 3. 100.0000 1,500,000.000 1,500,000.00 1,500,000.00 0.45% 0.00 720% 11/09/2005 DD 08/09/05SECID: 17304TXA6 DU PONT DE NEMOUR 99.5013 1,900,000.000 1,890,525.33 1,890,525.33 0.57% 0.00 DISC09/28/2005SEC ID: 26354AWU4 FEDERAL HOME LN BK CONS 99.1861 2,300,000.000 2,281,279.28 2,281,279.28 0.68% 0.00 DISCMAT 9/9/2005SEC ID: 313385LM6 FEDERAL HOME LN BK CONS DISC 99.1446 2,900,000.000 2,875,193.72 2,875,193.72 0.86% 0.00 NMAT 10/ 19/2005SEC ID: 313385ND4 FEDERAL HOME LN BK CONS 98.1042 1,900,000.000 1,863,979.17 1,863,979.17 0.56% 0.00 DISCSEC ID: 313385SQ0 FEDERAL HOME LN BK CONS DISC 98.1227 300,000.000 294,368.00 294,368.00 0.09% 0.00 NMAT 02/22/2006SEC ID: 313385TK2 FEDERAL HOME LN MTG CORP 99.1936 700,000.000 694,355.47 694,355.47 0.21% 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 0.59% 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 0.59% 0.00 DISCMAT 11/01/2005SEC ID: 313397NS6 FEDERAL HOME LN MTG CORP 99.0923 1,100,000.000 1,090,015.03 1,090,015.03 0.33% 0.00 DISCMAT 11/08/2005SEC ID: 313397NZ0 1 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED -OCSG000lO000 8/31/2005 Status: FINAL Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base FEDERAL HOME LN MTG CORP 98.8694 200,000.000 197,738.89 197,738.89 0.06% 0 .00 DISCMAT 12/ 12/2005SEC ID: 313397QK0 FEDERAL HOME LN MTG CORP 98.2537 1,900,000.000 1,866,820.72 1,866,820.72 0.56% 0.00 DISCMAT 01/10/2006SEC ID: 313397RQ6 FEDERAL NATL MTG ASSN 98.3671 4,000,000.000 3,934,682.22 3,934,682.22 1.18% 0.00 DISCOUNTMAT 10/26/2005SEC ID: 313589NL3 FEDERAL NATL MTG ASSN 98.7943 3,000,000.000 2,963,827.50 2,963,827.50 0.89% 0.00 DISCOUNTMAT 12/19/2005SEC ID: 313589QS5 FEDERAL NATL MTG ASSN 98.2698 900,000.000 884,427.75 884,427.75 0.27% 0.00 DISCOUNTMAT 02/08/2006SEC ID: 313589SV6 GENERAL ELEC CAP 99.6683 1,896,000.000 1,889,711.25 1,889,711.25 0.57% 0.00 DISC09/09/2005SEC ID: 36959HW94 U S TREASURY BILL 0.000% 99.8116 800,000.000 798,492.67 798,492.67 0.24% 0.00 09/01/2005 DD 03/03/05SEC ID: 912795VP3 U S TREASURY BILLl0/ 13/2005 98.5164 2,000,000.000 1,970,327.92 1,970,327.92 0.59% 0.00 DD 04/ 14/2005SEC ID: 912795W0 WELLS FARGO BANK NA INSTL C/D 100.0000 1,800,000.000 1,800,000.00 1,800,000.00 0.54% 0.00 3.500% 09/06/2005 DD 08/ 12/05SEC ID: 9497P2H67 CS FOB CAT 2 REPO REPO03.500% 100.0000 3,200,000.000 3,200,000.00 3,200,000.00 0.96% 0.00 09/01/2005 DD 08/31/05SEC ID: 99440F718 DREYFUS TREASURY CASH 100.0000 1,405,219.970 1,405,219.97 1,405,219.97 0.42% 0.00 MGMTSEC ID: 99608524 7 TOTAL CASH & CASH EQUIVALENTS 38,801,219.970 -15,342,874.45 -15,342,874.45 -4.60% 0.00 FIXED INCOME SECURITIES AIG SUNAMERICA GLOBAL REG S 5. 109.8670 752,000.000 826,199.84 826,199.84 0.25% 0 .00 850% 08/01/2008 DD 08/08/0lSECID: U00907AA0 ASSOCIATES CORP NORTH AMER NT-100.4530 15,000.000 15,112.95 15,067.95 0.00% -45.00 6.375% 11/15/2005 DD 11/21/95SEC ID: 046003FM6 2 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED -OCSG000l0000 8/31/2005 Status: FINAL Net Unrealized Price Cost Market Value % of Gain/Loss Description Base Shares Par Base Base Total Base 1 BEAR STEARNS COS INC NTS6. 100.2030 75,000.000 75,422.25 75,152.25 0.02% -270.00 875% 10/01/2005 DD 10/05/95SECID:073902AU2 CIT GROUP INC GLOBAL SR NT4. 100.0790 500,000.000 499,820.00 500,395.00 0.15% 575.00 125% 02/21/2006 DD 02/20/03SECID: 125577AN6 CIT GROUP INC SR NT 7.375% 104.7831 600,000.000 632,688.00 628,698.49 0.19% -3,989.51 04/02/2007 DD 04/01/02SEC ID: 125581AA6 CIT GROUP INC NEW SR NTVAR RT 100.3590 1,500,000.000 1,507,005.00 1,505,385.00 0.45% -1,620.00 09/22/2006 DD 09/23/03SEC ID: 125581AF5 CIT GROUP INC MTN #SR00092VAR 100.2650 3,300,000.000 3,300,000.00 3,308,745.00 0.99% 8,745.00 RT 05/23/2008 DD 05/25/05SEC ID: 12560PDV0 CITIGROUP INC GLOBAL SR NTVAR 99.9680 1,600,000.000 1,600,000.00 1,599,488.00 0.48% -512.00 RT 05/02/2008 DD 05/02/0SSEC ID: l 72967CW9 WMP/HUNTOON PAIGE #000-100.8273 929,349.720 909,165.40 937,038.04 0.28% 27,872.64 111507.500% 12/01/2030 DD 10/21/99SECID:302998GE3 FEDERAL HOME LN MTG CORP MTN 98.6300 10,000,000.000 9,993,100.00 9,863,000.00 2.96% -130, 100.00 4.000% 09/22/2009 DD 09/22/04SECID:3128X3WY5 FHLMC MULTICLASS MTG SER E3 99.8660 702,461.040 703,209.39 701,519.74 0.21% -1,689.65 AVAR RT 08/15/2032 DD 12/01/97SECID:3133TCE95 FEDERAL HOME LN BKS CONS 93.8926 2,700,000.000 2,565,820.00 2,535,099.39 0.76% -30,720.61 BDVAR RT 02/27/2012 DD 02/27/04SECID:3133X3SQ7 FHLMC GROUP #78-6064 6.384% 103.1870 50,405.730 49,177.08 52,012.16 0.02% 2,835.08 01/01/2028 DD 12/01/97SEC ID: 31348SWZ3 FEDERAL NATL MTG ASSN DEBS6. 109.1100 2,100,000.000 2,030,133.00 2,291,310.00 0.69% 261,177.00 625% 09/15/2009 DD 09/0l/99SEC ID: 31359MEY5 FEDERAL NATL MTG ASSN DEBS5. 100.9340 2,350,000.000 2,385,461.50 2,371,949.00 0.71% -13,512.50 250% 06/15/2006 DD 06/22/01SECID:31359MJX2 3 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED -OCSGOOOlOOOO 8/31/2005 Status: FINAL Net Unrealized Price Cost Market Va:lue % of Gain/Loss Description Base Shares Par Base Base Total Base FEDERAL NATL MTG ASSN DEBS 3. 96.6710 6,800,000.000 6,575,736.00 6,573,628.00 1.97% -2, 108.00 125% 03/16/2009 DD 03/16/04SEC ID: 31359MUQ4 FNMA POOL #0254510 5.000% 100.8780 565,477.120 582,441.43 570,442.01 0.17% -11,999.42 11/01/2017 DD 10/01/02SEC ID: 31371KVB4 FNMA POOL #0254631 5.000% 100.8770 120,889.110 124,515.79 121,949.31 0.04% -2,566.48 02/01/2018 DD 0l/01/03SEC ID: 31371KY47 FNMA POOL #0254760 5 .000% 100.8670 109,380.840 112,662.26 110,329.17 0.03% -2,333.09 06/01/2018 DD 05/01/03SEC ID: 31371K5V9 FNMA POOL #0254866 5.000% 100.8580 50,028.390 51,529.25 50,457.63 0.02% -1,071.62 09/01/2018 DD 08/01/03SEC ID: 31371LCB3 FNMA POOL #0254907 5.000% 100.8550 371,914.380 371,914.38 375,094.25 0.11% 3,179.87 10/01/2018 DD 09/01/03SEC ID: 31371LDLO FNMA POOL #0254953 5.000% 100.8520 264,932.550 268,327.01 267,189.78 0.08% -1,137.23 11/01/2018 DD 10/0l/03SEC ID: 31371LE21 FNMA POOL #0254987 5.000% 100.7512 709,776.450 718,870.46 715,108.57 0.21% -3,761.89 12/01/2018 DD 11/01/03SEC ID: 31371LF46 FNMA POOL #0323980 6.000% 103.1890 116,313.610 121,43~.68 120,022.85 0.04% -1,415.83 04/01/2014 DD 09/01/99SEC ID: 31374T2M0 FNMA POOL #0357328 5.000% 100.7649 20,214.370 20,820.81 20,368.98 0.01% -451.83 01/01/2018 DD 01/01/03SEC ID: 31376J4M8 FNMA POOL #0357430 5.000% 100.8640 1,083,236.300 1,095,422.70 1,092,595.46 0.33% -2,827.24 09/01/2018 DD 09/01/03SEC ID: 31376KA71 FNMA POOL #0456482 6.000% 103.1890 34,640.120 36,166.43 35,744.79 0.01% -421.64 02/01/2014 DD 02/01/99SEC ID: 31381CCT2 FNMA POOL #0509649 6.000% 103.1890 93,099.600 97,201.80 96,068.55 0.03% -1,133.25 09/01/2014 DD 09/01/99SEC ID: 31383QEW0 4 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED • OCSG000 10000 8/31/2005 Status: FINAL Net Unrealized Price Cost Market Value % of Gain/Loss Description Base Shares Par Base Base Total Base ---- FNMA POOL #0535451 6.000% 103.1890 90,844.860 94,847.72 93,741.90 0.03% -1,105.82 06/01/2015 DD 07 /01/00SEC ID: 31384VZQ8 FNMA POOL #0555363 5.000% 100.8770 260,929.060 268,756.92 263,217.41 0.08% -5,539.51 04/01/2018 DD 03/01/03SEC ID: h 31385W5Yl FNMA POOL #0555453 5.000% 100.8740 27,182.530 27,420.11 0.01% -110.70 \f. 27,530.81 05/01/2018 DD 04/01/03SEC ID: 31385XBW6 FNMA POOL #0555545 5.000% 100.8740 217,863.290 224,399.20 219,767.42 0.07% -4,631.78 06/01/2018 DD 05/01/03SEC ID: 31385XES2 FNMA POOL #0555621 5.000% 100.7512 748,138.210 756,554.75 753,758.52 0.23% -2,796.23 07/01/2018 DD 06/0l/03SEC ID: 31385XG68 FNMA POOL #0681309 5.000% 100.8770 415,158.210 427,612.95 418,799.15 0.13% -8,813.80 02/01/2018 DD 02/01/03SEC ID: 31391Y3S4 FNMA POOL #0681334 5.000% 100.8770 49,813.810 51,308.23 50,250.68 0.02% -1,057.55 02/01/2018 DD 0l/01/03SEC ID: 31391Y4Tl FNMA POOL #0684798 5.500% 101.2830 307,106.050 306,842.14 311,046.22 0.09% 4,204.08 03/01/2033 DD 03/01/03SEC ID: 31400DX31 FNMA POOL #0684908 5.000% 100.8670 271,599.830 275,079.73 273,954.60 0.08% -1, 125.13 06/01/2018 DD 05/01/03SEC ID: 31400D3Rl FNMA POOL #0685200 5.000% 100.8740 148,136.000 150,034.01 149,430.71 0.04% -603.30 03/01/2018 DD 03/01/03SEC ID: 31400EGH7 FNMA POOL #0685665 5.000% 100.8770 24,776.280 25,519.57 24,993.57 0.01% -526.00 02/01/2018 DD 02/0l/03SEC ID: 31400EW22 FNMA POOL #0686318 5.000% 100.8770 222,224.070 228,890.79 224,172.98 0.07% -4,717.81 03/01/2018 DD 03/01/03SEC ID: 31400FPB7 FNMA POOL #0688739 5.000% 100.8670 87,287.660 89,906.29 88,044.44 0.03% -1,861.85 06/01/2018 DD 06/01/03SEC ID: 31400JEL9 5 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED -OCSG000lO000 8/31/2005 Status: FINAL ----- Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base - FNMA POOL #0689859 5.000% 100.8670 80,252.040 81,280.27 80,947.83 0.02% -332.44 05/01/2018 DD 05/01/03SEC ID: 31400KMG8 FNMA POOL #0693834 5.000% 100.8770 463,287.860 477,186.47 467,350.89 0.14% -9,835.58 03/01/2018 DD 03/01/03SEC ID: 31400PY74 FNMA POOL #0695852 5.000% 100.8710 172,619.390 177,797.97 174,122.90 0.05% -3,675.07 05/01/2018 DD 05/01/03SEC ID: 31400SBV0 FNMA POOL #0695889 5.000% 100.8710 616,008.710 634,488.98 621,374.15 0.19% -13,114.83 05/01/2018 DD 05/01/03SEC ID: 31400SC23 FNMA POOL #0697026 5.000% 100.8710 18,459.810 19,013.62 18,620.59 0.01% -393.03 05/01/2018 DD 04/01/03SEC ID: 31400TLF2 FNMA POOL #0702210 5.000% 100.7512 172,373.570 177,544.78 173,668.51 0.05% -3,876.27 05/01/2018 DD 05/01/03SEC ID: 31401ADP9 FNMA POOL #0702328 5.000% 100.8710 102,673.590 103,989.09 103,567.88 0.03% -421.21 05/01/2018 DD 04/0l/03SEC ID: 31401AHD2 FNMA POOL #0709148 5.000% 100.8640 226,241.690 233,028.96 228,196.42 0.07% -4,832.54 06/01/2018 DD 06/01/03SEC ID: 31401HZM7 FNMA POOL #0709360 5.000% 100.8640 507,303.040 513,802.86 511,686.14 0.15% -2,116.72 07/01/2018 DD 06/01/03SEC ID: 31401JB56 FNMA POOL #0709826 5.000% 100.8670 86,791.110 87,903.12 87,543.59 0.03% -359.53 06/01/2018 DD 06/01/03SEC ID: 31401JSP4 FNMA POOL #070991 7 5. 000% 100.8670 180,195.270 182,504.03 181,757.56 0.05% -746.47 06/01/2018 DD 06/0l/03SEC ID: 31401JVJ4 FNMA POOL #0709963 5.000% 100.7512 17,339.350 17,561.52 17,469.61 0.01% -91.91 06/01/2018 DD 06/0l/03SEC ID: 31401JWY0 FNMA POOL #0710235 5.000% 100.8640 457,410.770 471,133.12 461,362.80 0.14% -9,770.32 06/01/2018 DD 06/0l/03SEC ID: 31401KBC8 6 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED • OCSG000l0000 8/31/2005 Status: FINAL Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base FNMA POOL #0713344 5.000% 100.8670 12,298.050 12,666.98 12,404.67 0.00% -262.31 06/01/2018 DD 06/01/03SEC ID: 31401NP52 FNMA POOL #0713365 5.000% 100.8640 185,205.510 187,578.44 186,805.69 0.06% -772.75 07/01/2018 DD 07 /01/03SEC ID: 31401NQS1 FNMA POOL #0720319 5.000% 100.8640 567,852.000 575,127.62 572,758.24 0.17% -2,369.38 07/01/2018 DD 07 /0l/03SEC ID: 31401WG45 FNMA POOL #0720369 5.000% 100.7512 1,863,075.320 1,918,967.58 1,877,071.47 0.56% -41,896.11 06/01/2018 DD 06/01/03SEC ID: 31401WJN0 FNMA POOL #0721629 5.000% 100.8640 244,114.150 251,437.59 246,223.30 0.07% -5,214.29 07/01/2018 DD 06/01/03SEC ID: 31401XVW4 FNMA POOL #0723487 5.000% 100.8640 183,258.860 185,320.54 184,842.22 0 .06% -478.32 06/01/2018 DD 06/01/03SEC ID: 31402AXQ4 FNMA POOL #0725530 5.000% 100.7080 2,800,138.830 2,838,203.20 2,819,962.58 0.85% -18,240.62 06/01/2019 DD 05/01/04SEC ID: 31402DA75 FNMA POOL #0729601 5.000% 100.8610 328,216.810 332,422.10 331,042.76 0.10% -1,379.34 07/01/2018 DD 07 /01/03SEC ID: 31402HRW3 FNMA POOL #0732873 5.000% 100.8520 29,463.150 29,840.63 29,714.18 0.01% -126.45 11/01/2018 DD 10/01/03SEC ID: 31402MFN5 FNMA POOL #0735227 5.500% 101.1630 948,496.660 956,499.60 959,527.68 0.29% 3,028.08 02/01/2035 DD 01/01/05SEC ID: 31402QYY1 FNMA POOL #0735856 5.000% 100.7137 500,000.000 504,843.75 503,568.58 0.15% -1,275.17 08/01/2020 DD 08/01/05SEC ID: 31402RQH5 FNMA POOL #0737130 5.000% 100.8580 493,511.320 499,834.43 497,745.65 0.15% -2,088.78 10/01/2018 DD 10/01/03SEC ID: 31402S4P9 FNMA POOL #0738211 5.000% 100.7512 430,603.670 436,120.81 433,838.53 0.13% -2,282.28 10/01/2018 DD 10/01/03SEC ID: 31402UDQ2 7 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED • OCSG000l0000 8/31/2005 Status: FINAL Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base FNMA POOL #0738487 5.000% 100.8520 155,834.670 157,831.31 157,162.38 0.05% -668.93 10/01/2018 DD 10/01/03SEC ID: 31402UNC2 FNMA POOL #0740457 5.000% 100.7512 1,821,344.710 1,846,103.61 1,835,027.36 0.55% -11,076.25 10/01/2018 DD 10/01/03SEC ID: 31402WTN8 FNMA POOL #0740471 5.000% 100.7512 639,901.380 648,100.10 644,708.57 0.19% -3,391.53 10/01/2018 DD 10/0l/03SEC ID: 31402WT40 FNMA POOL #0740748 5.000% 100.8580 635,866.930 644,013.97 641,322.67 0.19% -2,691.30 10/01/2018 DD 11/01/03SEC ID: 31402W5H7 FNMA POOL #0743868 5.000% 100.7512 30,253.600 30,641.23 30,480.88 0.01% -160.35 11/01/2018 DD 10/01/03SEC ID: 31403BMR1 FNMA POOL #0744008 5.000% 100.8670 862,789.850 873,844.35 870,270.24 0 .26% -3,574.11 07/01/2018 DD 09/01/03SEC ID: 31403BR54 FNMA POOL #0744316 5.000% 100.7512 133,033.440 134,737.93 134,032.84 0.04% -705.09 09/01/2018 DD 09/0l/03SEC ID: 31403B3Z4 FNMA POOL #0747914 5.000% 100.8520 248,201.550 251,381.64 250,316.23 0 .08% -1,065.41 11/01/2018 DD 11/01/03SEC ID: 31403F3X0 FNMA POOL #0748400 5.000% 100.7512 152,436.570 154,389.67 153,581.73 0.05% -807.94 08/01/2018 DD 09/0l/03SEC ID: 31403GNR9 FNMA POOL #0748899 5.000% 100.7512 810,328.860 820,711.20 816,416.37 0.24% -4,294.83 12/01/2018 DD 11/01/03SEC ID: 31403G7L0 FNMA POOL #0750377 5.000% 100.7512 1,729,068.910 1,751,222.60 1,742,058.35 0.52% -9, 164.25 11/01/2018 DD 11/01/03SEC ID: 31403JUA2 FNMA POOL #0750380 5.000% 100.7512 1,464,503.020 1,483,266.98 1,475,504.94 0.44% -7,762.04 11/01/2018 DD 11/01/03SEC ID: 31403JUD6 FNMA POOL #0750445 5.000% 100.7512 138,541.520 140,316.58 139,582.30 0.04% -734.28 11/01/2018 DD 11/01/03SEC ID: 31403JWE2 8 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED • OCSG000l0000 8/31/2005 Status: FINAL Net Unrealized Price Cost Market Value % of Gain/Loss Description Base Shares Par Base Base Total Base FNMA POOL #0751960 5.000% 100.7512 655,835.580 664,238.49 660,762.47 0.20% -3,476.02 12/01/2018 DD ll/0l/03SEC ID: 31403LMH1 FNMA POOL #0753425 5.000% 100.8480 685,625.990 693,553.53 691,440.10 0.21% -2, 113.43 11/01/2018 DD ll/01/03SEC ID: 31403NA23 FNMA POOL #0755165 5.000% 100.8480 486,046.520 492,273.99 490,168.19 0.15% -2, 105.80 12/01/2018 DD ll/01/03SEC ID: 31403Q6A3 FNMA POOL #0756372 5.000% 100.8480 812,438.380 821,832.20 819,327.86 0.25% -2,504.34 11/01/2018 DD ll/01/03SEC ID: 31403SJR8 FNMA POOL #0784251 5.000% 100.8140 2,889,453.030 2,928,731.54 2,912,973.18 0.87% -15,758.36 11/01/2019 DD ll/01/04SEC ID: 31405BH46 FNMA POOL #0789670 5.000% 100.8140 824,878.230 836,091.42 831,592.74 0.25% -4,498.68 12/01/2019 DD 12/0l/04SEC ID: 31405HJP4 FNMA POOL #0792432 5.000% 100.8170 824,840.240 836,052.91 831,579.18 0.25% -4,473.73 10/01/2019 DD 10/01/04SEC ID: 31405LLM9 FNMA POOL #0792437 5.000% 100.8170 4,761,399.590 4,761,399.59 4,800,300.22 1.44% 38,900.63 10/01/2019 DD 10/01/04SEC ID: 31405LLS6 FNMA POOL #0794195 5.000% 100.8140 878,943.390 890,891.54 886,097.99 0.27% -4,793.55 11/01/2019 DD 11/01/04SEC ID: 31405NKG9 FNMA POOL #0797160 5.000% 100.8140 2,986,752.530 3,027,353.69 3,011,064.70 0.90% -16,288.99 12/01/2019 DD 12/01/04SEC ID: 31405RTR7 FNMA POOL #0797408 5.000% 100.8140 788,119.470 798,832.97 794,534.76 0.24% -4,298.21 12/01/2019 DD 12/01/04SEC ID: 31405R3R5 FNMA POOL #0797414 5.000% 100.8140 777,201.620 787,766.69 783,528.04 0.23% -4,238.65 12/01/2019 DD 12/01/04SEC ID: 31405R3X2 FNMA POOL #0800370 5.000% 100.8140 355,801.980 355,412.83 358,698.21 0.11% 3,285.38 12/01/2019 DD 11/01/04SEC ID: 31405VFK8 9 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED -OCSG000l0000 8/31/2005 Status: FINAL --- Net Unrealized Price Cost Market Value % of Gain/Loss Description Base Shares Par Base Base Total Base ----- FNMA POOL #0800998 5.500% 101.1580 301,489.090 301,230.01 304,980.33 0.09% 3,750.32 11/01/2034 DD 11/01/04SEC ID: 31405V3F2 FNMA POOL #0803923 5.000% 100.8140 2,899,933.270 2,939,354.24 2,923,538.73 0.88% -15,815.51 12/01/2019 DD 12/01/04SEC ID: 31406AD41 FNMA POOL #0807711 5.000% 100.8140 2,911,907.670 2,951,491.41 2,935,610.60 0.88% -15,880.81 01/01/2020 DD 01/01/05SEC ID: 31406EKY9 FNMA POOL #0808933 5.500% 101.1580 331,646.410 331,361.40 335,486.88 0.10% 4,125.48 01/01/2035 DD 01/01/05SEC ID: 31406FV24 FNMA POOL #0809350 5.500% 101.1580 316,781.440 316,509.21 320,449.77 0.10% 3,940.56 12/01/2034 DD 01/01/05SEC ID: 31406GEX3 FNMA POOL #0814930 5.500% 101.0050 324,521.630 324,242.74 327,783.03 0.10% 3,540.29 04/01/2035 DD 04/01/05SEC ID: 31406NLK8 FNMA POOL #0815923 5.500% 101.1580 323,498.400 323,220.40 327,244.51 0.10% 4,024.11 03/01/2035 DD 03/01/05SEC ID: 31406PPG8 FNMA POOL #0816246 5.000% 100.8140 619,956.250 619,278.17 625,002.69 0.19% 5,724.52 03/01/2020 DD 03/0l/05SEC ID: 31406PZK8 FNMA POOL #0819566 5.500% 101.1580 324,277.050 323,998.38 328,032.18 0.10% 4,033.80 04/01/2035 DD 04/0l/05SEC ID: 31406TQT1 FNMA POOL #0822731 5.500% 101.1580 329,597.670 329,314.42 333,414.41 0.10% 4,099.99 05/01/2035 DD 05/01/05SEC ID: 31406XA85 FNMA POOL #0823232 5.500% 101.1580 331,391.410 331,106.61 335,228.92 0.10% 4,122.31 06/01/2035 DD 05/0l/05SEC ID: 31406XSV5 FNMA POOL #0823787 5.000% 100.8140 1,938,413.060 1,936,292.91 1,954,191.74 0 .59% 17,898.83 05/01/2020 DD 05/01/05SEC ID: 31406YF47 GNMA POOL #0421389 6.500% 104.2850 7,913.460 8,305.43 8,252.55 0.00% -52.88 04/15/2026 DD 04/01/96SEC ID: 36206UC23 10 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED-OCSG000l0000 8/31/2005 Status: FINAL Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base GNMA POOL #0449851 6.500% 104.1862 11,947.310 12,539.07 12,447.45 0.00% -91.62 01/15/2028 DD 01/01/98SEC ID: 36208FWL0 GNMA POOL #0466845 6.500% 104.2600 32,330.190 33,931.55 33,707.46 0.01% -224.09 06/15/2028 DD 06/01/98SEC ID: 36209BTA6 GNMA POOL #0468052 6.500% 104.2570 39,958.060 41,937.23 41,659.07 0.01% -278.16 07/15/2028 DD 07 /01/98SEC ID: 36209C5M4 GNMA POOL #0476041 6.500% 104.2600 115,828.400 121,384.56 120,762.69 0.04% -621.87 06/15/2028 DD 06/01/98SEC ID: 36209MZE7 GNMA POOL #0478626 6.500% 104.2430 119,126.890 124,841.26 124,181.44 0.04% -659.82 01/15/2029 DD 0l/0l/99SEC ID: 36209QVT9 GNMA POOL #0480598 6.500% 104.2480 28,454.200 29,819.10 29,662.93 0.01% -156.17 10/15/2028 DD 10/01/98SEC ID: 36209S3F6 GNMA POOL #0512235 6.500% 104.2140 5,811.330 6,099.17 6,056.22 0.00% -42.95 11/15/2029 DD 1 l/01/99SEC ID: 36211GBC6 GNMA POOL #0514326 6.500% 104.2250 76,936.720 80,627.27 80,187.30 0.02% -439.97 07/15/2029 DD 07 /01/99SEC ID: 36211JLF2 GNMA II POOL #0080023VAR RT 101.5040 131,306.680 133,481.44 133,281.53 0.04% -199.91 12/20/2026 DD 12/01/96SEC ID: 36225CAZ9 GNMA II POOL #080088M 7.375% 101.1660 159,476.430 162,964.97 161,335.93 0.05% -1,629.04 06/20/2027 DD 06/01/97SEC ID: 36225CC20 GNMA II POOL #0080395VAR RT 101.2550 137,509.150 136,262.98 139,234.89 0.04% 2,971.91 04/20/2030 DD 04/01/00SEC ID: 36225CNM4 GNMA II POOL #080408XVAR RT 101.2530 1,221,758.770 1,209,350.28 1,237,067.41 0.37% 27,717.13 05/20/2030 DD 05/01/00SEC ID: 36225CN28 GNMA II POOL #0080965VAR RT 100.6930 1,149,886.720 1,149,168.03 1,157,855.43 0.35% 8,687.40 07/20/2034 DD 07 /01/04SEC ID: 36225DCB8 11 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED -OCSG000l0000 8/31/2005 Status: FINAL Net Unrealized Price Cost Market Value %of Gain/Loss Description Base Shares Par Base Base Total Base ------- GENERAL ELEC CO NTVAR RT 99.9840 6,500,000.000 6,502,203.50 6,498,960.00 1.95% -3,243.50 10/24/2005 DD 10/24/03SEC ID: 369604AZ6 GOLDMAN SACHS GRP MTN 100.0780 2,000,000.000 2,001,900.00 2,001,560.00 0 .60% -340.00 #TR00203VAR RT 03/30/2007 DD 04/01/04SECID:38141EJL4 GOLDMAN SACHS GRP MTN 100.5150 800,000.000 800,000.00 804,120.00 0.24% 4,120.00 #TR00207VAR RT 07/23/2009 DD 07/23/04SECID:38141EJQ3 GOLDMAN SACHS GRPVAR RT 100.2180 4,250,000.000 4,250,000.00 4,259,265.00 1.28% 9,265.00 06/28/2010 DD 06/28/05SEC ID: 38143UBD2 GNMA GTD REMIC TR 2000-9 100.6760 412,129.020 412,129.02 414,915.01 0.12% 2,785.99 FHVAR RT 02/ 16/2030SEC ID: 3837H4NX9 HSBC BK USA MTN #SR00012VAR 100.1250 250,000.000 250,170.00 250,312.50 0.08% 142.50 RT 09/21/2007 DD 09/21/04SEC ID: 4042Q0AM1 HSBC FIN CORP MTN # TR 100.0460 3,000,000.000 3,000,000.00 3,001,380.00 0.90% 1,380.00 00002VAR RT 02/28/2007 DD 03/29/05SECID:40429JAB3 HSBC FIN CORP MTN # TR 99.9840 3,000,000.000 2,995,830.00 2,999,520.00 0.90% 3,690.00 00007VAR RT 05/10/2010 DD 05/ 10/05SEC ID: 40429JAG2 HOUSEHOLD FIN CORP NT 7.250% 101.9840 500,000.000 511,620.00 509,920.00 0.15% -1,700.00 05/15/2006 DD 05/ 15/96SEC ID: 441812FT6 HOUSEHOLD FIN CORP NT7 .200% 102.3430 2,500,000.000 2,591,500.00 2,558,575.00 0.77% -32,925.00 07/15/2006 DD 07 / 15/99SEC ID: 441812GH1 MORGAN STANLEYVAR RT 100.0620 2,000,000.000 2,002,980.00 2,001,240.00 0.60% -1,740.00 01/12/2007 DD 01/ 13/04SEC ID: 61746BAK2 MORGAN STANLEY NT 3.875% 98.4370 3,200,000.000 3,149,248.00 3,149,984.00 0.94% 736.00 01/15/2009 DD 0l/13/04SEC ID: 61746BALO MORGAN STANLEY NTVAR RT 100.0310 650,000.000 650,000.00 650,201.50 0.19% 201.50 11/09/2006 DD ll/12/04SEC ID: 61746SAZ2 12 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED -OCSG000l0000 8/31/2005 Status: FINAL Net Unrealized Price Cost Market Value % of Gain/Loss Description Base Shares Par Base Base Total Base --- PUBLIC SVC ELEC & GAS CO 99.9840 1,400,000.000 1,400,000.00 1,399,776.00 0.42% -224.00 lSTVAR RT 06/23/2006 DD 06/25/04SECID:744567FN3 RESIDENTIAL ASSET 03-RS 11 100.0800 373,496.210 373,496.21 373,795.01 0.11% 298.80 AIIBVAR RT 12/25/2033 DD 12/30/03SECID:760985K83 SALOMON SMITH MTN # SR 100.2030 2,300,000.000 2,308,514.60 2,304,669.00 0.69% -3,845.60 00206VAR RT 05/18/2007 DD 05/28/02SECID:79548EJP8 SBA GTD DEV PARTN 2001-20C 16. 107.0950 2,774,342.070 2,774,342.07 2,971,181.64 0.89% 196,839.57 340% 03/01/2021SEC ID: 83162CWO SBA GTD PARTN CTFS SBIC-PS 01 101.0920 1,146,403.330 1,146,403.33 1,158,922.05 0.35% 12,518.72 6.640% 02/10/2011 DD 02/21/0lSEC ID: 831641DD4 SOUTHWESTERN BELL TEL CO 100.4680 1,000,000.000 1,007,520.00 1,004,680.00 0.30% -2,840.00 MED6.560% 11/15/2005 DD 11/15/96SECID:84534EDS4 TOYOTA MTR CR MTN #TR00413VAR 99.9840 2,000,000.000 1,998,188.00 1,999,680.00 0.60% 1,492.00 RT 09/18/2006 DD 03/16/05SEC ID:89233PTE6 UNITED AIRLS PASSTHRU 01-1 C 6. 65.5480 1,600,000.000 1,600,000.00 1,048,768.00 0.31% -551,232.00 831% 03/01/2010 DD 08/22/01SECID:909317BC2 US TREASURY INFLATION INDEX 103.6875 8,487,695.540 7,548,38;2.86 8,800,679.31 2.64% 1,252,296.45 NT 3.375% 01/15/2007 DD 01/15/97SECID:9128272M3 US TREASURY INFLATION INDEX NT 106.0940 2,528,211.000 2,743,408.60 2,682,280.18 0.80% -61,128.42 3.625% 01/15/2008 DD 01/15/98SECID:9128273T7 US TREASURY INFLATION INDEX NT 108.7500 11,266,620.000 12,446,596.76 12,252,449.25 3.67% -194,147.51 3.875% 01/15/2009 DD Ol/15/99SECID:9128274Y5 US TREASURY NOTES05.750% 100.4690 3,900,000.000 4,193,993.62 3,918,291.00 1.17% -275, 702.62 11/15/2005 DD 11/ 15/00SEC ID: 9128276N7 U S TREASURY NOTES 4.250% 101.7970 2,100,000.000 2,102,478.74 2,137,737.00 0.64% 35,258.26 08/15/2013 DD 08/ 15/03SEC ID: 912828BH2 13 Workbench Asset Detail Report ID: GL8013 Base Currency: USD by Currency Alternate Base Currency: Exchange Rate: OCSD-CONSOLIDATED · OCSG000l0000 8/31/2005 Status: FINAL . Net Unrealized Price Cost Market Value % of Gain/Loss Description Base Shares Par Base Base Total Base I U S TREASURY NOTES 3.375% 98.5900 10,900,000.000 10,644,845.28 10,746,310.00 3.22% 101,464.72 12/15/2008 DD 12/ 15/03SEC ID: 912828BT6 US TREASURY INFLATION INDEXED 103.1200 105,262.000 107,467.37 108,546.17 0.03% 1,078.80 2.000% 01/15/2014 DD 01/15/04SEC ID: 912828BW9 US TREASURY NOTES 2.750% 99.1900 12,500,000.000 12,483,394.83 12,398,750.00 3.72% -84,644.83 06/30/2006 DD 06/30/04SEC ID: 912828CM0 US TREASURY INFLATION INDEX 103.2400 3,198,673.000 3,286,540.88 3,302,310.01 0.99% 15,769.13 NT 2.000% 07/15/2014 DD 07/15/04SECID:912828CP3 US TREASURY NOTES 2.750% 99.1000 14,000,000.000 14,029,693.55 13,874,000.00 4.16% -155,693.55 07/31/2006 DD 07/31/04SEC ID: 912828CQ1 US TREASURY NOTES 2.375% 98.6600 35,300,000.000 35,120,197.62 34,826,980.00 10.44% -293,217.62 08/31/2006 DD 08/31/04SEC ID: 912828CU2 U S TREASURY NOTES 2.875% 98.9000 20,800,000.000 20,640,268.90 20,571,200.00 6.16% -69,068.90 11/30/2006 DD 1 l/30/04SEC ID: 912828DD9 U S TREASURY NOTES 3.500% 98.6300 13,920,000.000 13,733,493.75 13,729,296.00 4.11% -4,197.75 12/15/2009 DD 12/ 15/04SEC ID: 912828DE7 U S TREASURY NOTES 4.000% 100.5900 31,200,000.000 31,051,201.06 31,384,080.00 9.40% 332,878.94 03/15/2010 DD 03/ 15/0SSEC ID: 912828DP2 US TREASURY NOTES 3.750% 99.9000 11,200,000.000 11,166,717.52 11,188,800.00 3.35% 22,082.48 03/31/2007 DD 03/31/05SEC ID: 912828DQ0 U S TREASURY NOTES 3.500% 99.4700 11,000,000.000 10,902,179.20 10,941,700.00 3.28% 39,520.80 05/31/2007 DD 05/31/05SEC ID: 912828DW7 U S TREASURY NOTES 3.625% 99.6500 20,000,000.000 19,853,379.98 19,930,000.00 5.97% 76,620.02 06/30/2007 DD 06/30/0SSEC ID: 912828DY3 VIRGINIA ELEC & PWR 01 SER AS. 100.9370 1,750,000.000 1,743,840.00 1,766,397.50 0.53% 22,557.50 750% 03/31/2006 DD 03/27/01SECID:927804EN0 TOTAL FIXED INCOME SECURITIES 348,626,301.110 348,735,972.63 349,062,251.06 104.60% 326,278.43 14 Workbench OCSD-CONSOLIDATED -OCSG000l0000 Price Description Base TOTAL ASSETS U.S. DOLLAR TOTAL ASSETS -BASE: Shares Par Asset Detail by Currency 8/31/2005 Cost --Base 387,427,521.080 333,393,098.18 387,427,521.080 333,393,098.18 15 Report ID: GL8013 Base Currency: USD Alternate Base Currency: Exchange Rate: Status: FINAL Net Unrealized Market Value %of Gain/Loss Base Total Base 333,719,376.61 100.00% 326,278.43 333,719,376.61 100.00% 326,278.43 Workbench OCSD-CONSOLJDATED -OCSG000l0000 Transaction Detail Reported by Transaction Category 8/1/2005 -8/31/2005 Tran Type Description Trade Date Settle Date Reported Date RECEIPTS AND DISBURSEMENT TRANSACTIONS DISTRIBUTION TO PLAN ADMINISTRATOR U.S. DOLLAR CW TRAN TO ORANGE COUNTYSEC ID: NA9123459OCSF07522202: LONG TERM OPER-PIMCO CW TRAN TO ORANGE COUNTYSEC ID: NA9123459OCSF07522202: LONG TERM OPER-PIMCO CW TRAN TO ORANGE COUNTYSEC ID: NA9123459OCSF07522202: LONG TERM OPER-PIMCO 8/4/2005 8/4/2005 8/11/2005 8/11/2005 8/31/2005 8/31/2005 Local Price Base Price Base Ex Rate TOTAL DISTRIBUTION TO PLAN ADMINISTRATOR U.S. DOLLAR: TOTAL DISTRIBUTION TO PLAN ADMINISTRATOR BASE: TOTAL RECEIPTS AND DISBURSEMENT TRANSACTIONS BASE: PURCHASES B CASH & CASH EQUIVALENTS U.S. DOLLAR BANKAMERICA CORP DISC 11/21/2005SEC ID: 0660P0YM9BROKE-R: BANC OF AMERICA SEC LLC, SAN FRA.NCISCOOCSF0751 l 102: Ll.QUI.D OPER-PIMCO ·.• Actual Settle Date 8/23/2005 8/23/2005 8/23/2005 99.0675 1 Shares/Par 0.000 0.000 0.000 0.000 0.000 0.000 1,100,000.000 Cost Base -10,000,000.00 -10,000,000.00 -10,000,000.00 -30,000,000.00 -30,000,000.00 -30,000,000.00 1,089,742.50 Report ID: EWBA09 Base Currency: USD Status: FINAL Amount Base -10,000,000.00 -10,000,000.00 -10,000,000.00 -30,000,000.00 -30,000,000.00 -30,000,000.00 -1,089,742.50 Net Gain/Loss Base 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 OCSD-CONSOLIDATED -OCSG000 10000 8/1/2005-8/31/2005 Status: FINAL -. -----Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss 1 Type Description Reported Date Base Ex Rate Shares/Par Base Base Base B CfTrBANK NA NY BRH INSTL C/D 3.720% 8/9/2005 100.0000 1,500,000.000 1,500,000.00 -1,500,000.00 0.00 11/09/2005 DD 08/09/0SSEC ID: 8/9/2005 l 7304TXA6BROKER: CITIGROUP GBL MKTS/SALOMON, NEW YORKOCSF07511102:!//~0~5 . LI.QUID OPER-PIMCO l O 2 05 • B DU PONT DE NEMOUR DISC 09/28/2005SEC 8/8/2005 99.5013 1,900,000.000 1,890,525.33 -1,890,525.33 0.00 'ID: 26354AWU48ROKER: GOLDMAN SACHS 8/8/2005 B·, CO, NYOCSF07511102: LIQmD OPER-8/8/2005 PIMCO B FEDERAL HOME LN BK CONS DISC N MAT 8/2/2005 99.9913 1,900,000.000 1,899,833.75 -1,899,833.75 0.00 08/03/2005SEC ID: 313385JY3BROKER: 8/2/2005 BARCLAYS CAPITAL INC, NEW 8/2/2005 YORKOCSF07511102: LIQUID OPER-PIMCO B FEDEARL HOME LN BK CONS DISC N MAT 8/3/2005 99.9914 2,600,000.000 2,599,776.83 -2,599,776.83 0.00 08/04/2005SEC ID: 313385JZ0BROKER: 8/3/2005 MERRILL LYNCH PIERCE FENNER SMITH INC 8/3 /2005 NYOCSF0751 I 102: LIQUID OPER-PIMCO B FEDERAL HOME LN BK CONS DISC MAT 8/4/2005 99.9911 2,300,000.000 2,299,794.28 -2,299,794.28 0.00 8/5/2005SEC ID: 313385KA3BROKER: 8/4/2005 BARCLAYS CAPITAL INC, NEW 8/4/2005 YORKOCSF07511102: LIQUID OPER-PIMCO B FEDERAL HOME LN BK CONS DISC N MAT 8/5/2005 99.9725 400,000.000 399,890.00 -399,890.00 0.00 08/08/2005SEC ID: 313385KD7BROKER: 8/5/2005 MERRILL LYNCH PrERCE FENN ER SMITH INC NYOCSF07511102: LIQUID OPER-Pfli'ICO 3/5/2oo5 B FEDERAL HOME LN BK CONS DISC MAT 8/8/2005 99.9906 700,000.000 699,934.28 -699,934.28 0.00 08/09/2005SEC ID: 313385KESBROKER: 8/8/2005 CREDIT SUISSE, NEW YORKOCSF0751 l 102: 8 /8/2005 LIQUID OPER-PIMCO B FEDERAL HOME LN BK CONS DISC N MAT 8/10/2005 99.9908 800,000.000 799,926.67 -799,926.67 0.00 08/11/2005SEC1D:313385KG0BROKER: 8/10/2005 LEHMAN GOVT SECS INC, NYOCSF0751 l 102; 8/ l0/2005 LIQUID OPER-PIMCO Workbench ·> Actual Settle Date 2 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000l0000 8/1/2005-8/31/2005 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 DISCSEC ID: 8/5/2005 98.1042 1,900,000.000 1,863,979.17 -1,863,979.17 0.00 3133B5SQOHROKER: BANC OF AMERICA SEC8/5/2005 LLC, SAN FRANC1SCOOCSF07511102: LlQUID 8 /5/2005 OPER-PIMCO B FEDERAL HOME LN BK CONS DISC N MAT 8/30/2005 98.1227 300,000.000 294,368.00 -294,368.00 0.00 02/22/2006SEC JD: 313385TK2BRQKER: JP 8/30/2005 MORGAN CHASE BANK/HSBCI, NEW YORKOCSF07511102: LIQULD OPER-PIMCO 8/3o/2oo 5 B FEDERAL HOME LN MTG CORP DISC MAT 8/9/2005 99.0923 I,100,000.000 1,090,015.03 -1,090,015.03 0.00 1V08/2005SEC ID: 313397NZ0BROKER: 8/9/2005 MERRILL LYNCH PIERCE FENNii;R SMITH INC 8/9/2005 NYOCSF075 I I 102: LIQUID OPER-PIMCO B FED HOME LN MTG CORP DISC NTS MAT 8/15/2005 99.0749 2,700,000.000 2,675,022.00 -2,675,022.00 0.00 ll/,15/20~5SEC ID: 3l3397PG0~ROKER: 8/15/2005 LEHMAN GOVT S_ECS INC, NYOCSF07522202: 8/ 1512005 LONG TERM OPER-PIMCO B FEDERAL HOME LN MTG CORP DISC MAT 8/24/2005 98.8694 200,000.000 197,738.89 -197,738.89 0.00 12/ 12/2005SEC ID: 313397QK0BROKER: 8/24/2005 CREDIT SUISSE, NEW YORKOCSF07522202: 8/24/2005 LONG TERM OPER-PIMCO B FEDERAL NATL MTG ASSN DISCOUNT MAT 8/8/2005 99.9906 1,300,000.000 1,299,877.94 -1,299,877.94 0.00 08/09/2005SEC ID: 313589KE2BROKER: 8/8/2005 GOLDMAN SACHS & CO, NYOCSF0751 l 102: 8/8/2005 LIQUID OPER-PIMCO B FEDERAL NATL MTG ASSN DISCOUNT MAT 8/9/2005 99.9907 1,100,000.000 1,099,897.33 -1,099,897.33 0.00 08/ 10/2005SEC ID: 313589KF9BROKER: 8/9/2005 GOLDMAN SACHS & CO, NYOCSF07511102: 8/9/2005 LIQUID OPER-PIMCO B FEDERAL NATL MTG ASSN DISCOUNT MAT 8/10/2005 99.9909 2,800,000.000 2,799,744.89 -2,799,744.89 0.00 8/11/2005SEC ID: 313589KG7BROKER: 8/10/2005 BANC OF AMERICA SEC LLC, SAN 8/10/2005 FRANCISCOOCSF07511102: LIQUID OPER- PIMCO Workbench ·• Actual Settle Date 3 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USO OCSD-CONSOLIDATED -OCSGO00l0000 8/1/2005-8/31/2005 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 FED):::RAL NATL-MTG ASSN DISCOUNT MAT 8/11/2005 99.9909 1,100,000.000 1,099,899.78 -1,099,899.78 0.00 08/ 12/2005SEC TD: 313589K.H.5BROKER: 8/11/2005 MERRILL LYNCH PIERCE FENNER SMJTH INC NYOCSF07511102: LIQUID OPER-PIMCO 8/ll/2005 B FEDERAL NATL MTG ASSN DISC NTS MAT 8/12/2005 99.9725 1,100,000.000 1,099,697.50 -1,099,697.50 0.00 08/ 15/2005SEC ID: 313589KL6BROKER: 8/12/2005 GOLDMAN SACHS & CO, NYOCSF07511102: 8/12/2005 LIQUID OPER-PIMCO B FEDERAL NATL MTG ASSN DISC NT MAT 8/15/2005 99.9908 1,100,000.000 1,099,898.56 -1,099,898.56 0.00 08/ 16/2005SEC ID: 313589KM4BROKER: 8/15/2005 MERRILL LYNCH PIERCE FENNER SMITH INC 8/ 1512005 NYOCSF07511102: LIQUID OPER-PIMCO B FEDERAL NATL MTG ASSN DISC NTS MAT 8/16/2005 99.9906 1,100,000.000 1,099,896.72 -1,099,896. 72 0.00 08/ 17 /2005SEC ID: 313589KN2BROKER: 8/16/2005 BANC OF AMERICA SEC LLC, SAN 8/16/2005 FRANCISCOOCSF0751 l 102: LIQUID OFER- PIMCO B FEDERAL NATL-MTG ASSN DISCOUNTSEC 8/17/2005 99.9906 1,100,000.000 1,099,896.72 -1,099,896. 72 0.00 ID: 313589KP7BROKER: BANC OF AMERJCA 8/17/2005 SEC LLC, SAN FRANCJSCOOCSF0751 l 102: 8/ 17 ;2oo5 LIQUTD OPEN-PIMCO B J<EDE:RAL NATL MTG ASSN DfSCOVNT MAT 8/18/2005 99.9906 1,100,000.000 1,099,896.72 -1, 099 ,896. 72 0.00 08/ 19/2005SEC ID: 313589KQ5BRO.KER: 8/18/2005 MERRILL LYNCH PIERCE FENNER SMlTH INC 8;18;2oo5 NYOCSF07511102: LIQUID OPER~PIMCO B FEDERAL NATL MTG ASSN DISCOUNT MAT 8/19/2005 99.9719 1,100,000.000 1,099,691.08 -1,099,691.08 0.00 08/22/2005SEC ID: 313589KT98ROKER: 8/19/2005 MERRILL LYNCH PIERCE FENNER SMITH INC 8;1912005 NYOCSF07511102: LIQUID OPER-PIMCO B FEDERAi., NATL MTG ASSN DISCNTS MAT 8/22/2005 99.9906 1,100,000.000 1,099,897.03 -1,099,897.03 0.00 08/23/2005SEC lD; 3 13589KU6BROKER: 8/22/2005 MER:RlLL LYNCH PIERCE FENNER SMITH INC 8;2212005 NYOCSF0751 ll02: LIQUID OPER-P!MCO Workbench ' Actual Settle Date 4 Transaction Detail Reported by Transaction Category OCSD-CONSOLIDATED • OCSG000l0000 Trade Date Tran Settle Date Type Description Reported Date B B B B B B 8 B FEDERAL NATL MTG ASSN DISCOUNT MAT 8/24/2005 12/ 19/2005SEC ID: 313589QS5BROKER: 8/24/2005 LEHMAN GOVT SECS INC, NYOCSF07511102:8/24/2005 LIQUID OPER-PIMCO FEDERAL NATL MTG ASSN DISCOUNT MAT 8/30/2005 02/08/2006SEC ID: 313589SV6BROKER: 8/30/2005 UBS SECURITIES LLC, 8/30/2005 STAMFORDOCSF07511102: LIQUID OPER- PIMCO GENERAL ELEC CAP DISC 09/09/2005SEC 8/4/2005 ID; 36959HW94BROl~ER: MORGAN STANLEY 8/4/2005 & CO INC, NYOCSF0,511102: LIQUID OPER-8/4/2005 PlMCO GENERAL ELEC CAP DISC 09/09/2005SEC 8/8/2005 ID: 36959HW94BROKER: BANC OF AMERICA 8/8/2005 SEC Ll..C, SAN FRANCISCOOCSF07511102: 8;8;2005 LLQUID OPER-PIMCO US TREASURY BILL 0.000% 09/01/2005 DD 8/11/2005 03/03/05SEC ID: 9 I279 5VP3BROKER: BANC 8/11/2005 OF AM ERIC/\ SEC LLC, SAN FRANCISCOOCSF075l 1102: LIQUID OPER-8/ ll/2005 PIMCO WELLS FARGO BANK NA INSTL C/D 3.500% 8/ I 1/2005 09/06/2005 DD 08/12/0SSEC ID: 8/12/2005 9497P2H678ROKER: WELl,$ FARGO 8/11/2005 BROKERAGE SVCS LLC, MINNEAPOCSF07511102: LIQUID OPER- L~N CAT 1 REPO REPO 03.240% 8/1/2005 08/02/2005 DD 08/01/05SEC ID: 8/1/2005 99438U669BROKER: LEHMAN GOVT SECS 1 INC, NYOCSF0751 l 102; LIQ UID OPER-PIMCO 3 / /2oo5 LEHMAN CAT 2 REPO 03.170% 08/03/2005 8/2/2005 DD 08 /02/0SSEC ID: 99438W475BROKER: 8/2/2005 LEHMAN GOVT SECS INC, NYOCSF07Sll l02: 8;2;2oo5 LJQUID OPER-PIMCO ·> Actual Settle Date 8/1/2005 -8/31/2005 Local Price Base Price Base Ex Rate Shares/Par 98.7943 3,000,000.000 98.2698 900,000.000 99.6520 1,096,000.000 99.6907 800,000.000 99.8116 800,000.000 100.0000 1,800,000.000 100.0000 7,800,000.000 100.0000 7,800,000.000 5 Report ID: EWBA09 Base Currency: USD Status: FINAL Cost Amount Net Gain/Loss Base Base Base 2,963,827.50 -2,963,827.50 0.00 884,427.75 -884,427.75 0.00 1,092,185.92 -1,092,185.92 0.00 797,525.33 -797,525.33 0.00 798,492.67 -798,492.67 0.00 1,800,000.00 -1,800,000.00 0.00 7,800,000.00 -7,800,000.00 0.00 7,800,000.00 -7,800,000.00 0.00 Workbench OCSD-CONSOLIDATED -OCSG000 10000 Transaction Detail Reported by Transaction Category 8/1/2005-8/31/2005 B B B B B B 8 B Tran Type Description Trade Date Settle Date Reported Date CS FOB CAT 2 REPO REPO 03. 100% 08/04/2005 DD 08/03/05SEC ID: 99438Y0838ROKER: CREDIT SUISSE, NEW YORKOCSF0751 I 102: LIQUID OPER-PIMCO 8/3/2005 8/3/2005 8/3/2005 LEHMAN CAT 1 REPO REPO 03.120% 8/3/2005 08/04/2005 DD 08/03/05SEC ID: 8/3/2005 99438Yl 74BROKER: LEHMAN GOVT SECS 8/3 /2005 INC, NYOCSF07511102: LIQUID OPER-PIMCO LEHMAN CAT 1 REPO REPO 03.260% 8/4/2005 08/05/2005 DD 08/04/05SEC ID: 8/4/2005 99438Z676BROKER: LEHMAN GOVT SECS 8;4;2oo5 INC, NYOCSF07511102: LIQUID OPER-PIMCO LEHMAN CAT 2 REPO 03.350% 08/08/2005 8/5/2005 DD 08/05/05SEC ID: 99439B298BROKER: 8/5/2005 l,IJ:HMAN GOVT SECS INC, NYOCSF07511102: 81512005 LIQUID OPER-PIMCO LEHMAN CAT 1 REPO REPO 03.430% 8/8/2005 08/09/2005 DD 08/08/05SEC ID: 8/8/2005 99439C908BROKER: LEHMAN GOVT SECS 8/8/2005 INC, NYOCSF07511102: LIQUID OPER-PIMCO LEHMAN CAT 2 REPO 03.350% 08/10/2005 8/9/2005 DD 08/09/05SEC ID: 99439E714BROKER: 8/9/2005 LEHl\llAN GOVT SECS INC, NYOCSF0751 l 102: 8;9;2oo 5 LlQlJID OPE.R-?IM.CO LEHMAN CAT 2 REPO 03.320% 08/11/2005 8/10/2005 DD 08/10/05SEC ID: 99439G321BROKER: 8/10/2005 LEHMAN GOVT SECS INC, NYOCSF075 l l 102: 8/ l0/2005 LIQUID OPER-PIMCO LEHMAN CAT 1 REPO REPO 03.370% 8/11/2005 08/12/2005 DD 08/ ll/05SEC ID: 8/11/2005 99439H980BROKER: LEHMAN GOVT SECS 8/ l l/2005 INC, NYOCSF0751 l 102: 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 6 Shares/Par 5,800,000.000 1,300,000.000 7,800,000.000 7,800,000.000 7,800,000.000 7,800,000.000 7,800,000.000 7,800,000.000 Cost Base 5,800,000.00 1,300,000.00 7,800,000.00 7,800,000.00 7,800,000.00 7,800,000.00 7,800,000.00 7,800,000.00 ReportID: EWBA09 Base Currency: USD Status: FINAL Amount Base Net Gain/Loss Base -5,800,000.00 0.00 -1,300,000.00 0.00 -7,800,000.00 0.00 -7,800,000.00 0.00 -7,800,000.00 0.00 -7,800,000.00 0.00 -7,800,000.00 0.00 -7,800,000.00 0.00 Workbench Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSGO00lO000 8/1/2005 -8/31/2005 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 03.430% 08/15/2005 8/12/2005 100.0000 7,800,000.000 7,800,000.00 -7,800,000.00 0.00 DD 08/ 12/0SSEC ID: 99439K520BROKER: 8/12/2005 LEHMAN GOVT SECS INC, NYOCSF07511102: 8/ l2/2005 LJQUJD OPER-PlMCO B LEHMAN CAT 2 REPO 03.490% 08/16/2005 8/15/2005 100.0000 7,800,000.000 7,800,000.00 -7,800,000.00 0.00 DD 08/15/05SEC ID: 99439M187BROKER: 8/15/2005 LEHMAN GOVT SECS INC, NYOCSF0751 l 102: 8/ 15;2005 LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 03.380% 08/17/2005 8/16/2005 100.0000 7,800,000.000 7,800,000.00 -7,800,000.00 0.00 DD 08/ 16/05SEC ID: 99439N763BROKER: 8/16/2005 LEHMAN GOVT SECS INC, NYOCSF0751 l 102: 8/ 16;2oo5 LIQUID OPER-PIMCO B LEHMAN CAT 2 REPO 03.400% 08/18/2005 8/17/2005 100.0000 7,800,000.000 7,800,000.00 -7,800,000.00 0.00 DD 08/ 17 /05SEC ID: 99439Q337BROKER: 8/17/2005 LEHMAN GOVT SECS INC, NYOCSF0751 l 102: 8/ 17 ;2005 LIQlJID OPER-PJMCO B LEHMAN CAT 1 REPO REPO 03.490% 8/18/2005 100.0000 7,800,000.000 7,800,000.00 -7,800,000.00 0.00 08/19/2005 DD 08/ 18/05SEC ID: 8/18/2005 99439R921BROKER: LEHMAN GOVT SECS B/l8/2oos INC, NYOCSF075 l 1102: LIQUID OPER-PIMCO B LEHMAN CAT 1 REPO REPO 03.450% 8/19/2005 100.0000 900,000.000 900,000.00 -900,000.00 0.00 08/22/2005 DD 08/19/05SEC ID: 8/19/2005 99439T448BROKER: LEHMAN GOVT SECS 8/19/2005 INC, NYOCSF07522202: LONG TERM OPER- PIMCO B LEHMAN CAT 1 REPO REPO 03.450% 8/19/2005 100.0000 7,800,000.000 7,800,000.00 -7,800,000.00 0.00 08/22/2005 DD 08/ 19/05SEC ID: 8/19/2005 99439T448BROKER: LEHMAN GOVT SECS 8/ 19;2oo5 INC, NYOCSF075 l 1102: LIQUID OPER-PIMCO B CREDIT SUISSE FB REPO 03.450% 8/22/2005 100.0000 1,200,000.000 1,200,000.00 -1,200,000.00 0.00 08/23/2005 DD 08/22/05SEC ID: 8/22/2005 99439T844BROKER: CREDIT SUISSE, NEW 8/22/2005 YORKOCSF07522202: LONG TERM OPER- PIMCO Workbench • Actual Settle Date 7 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000l0000 8/1/2005 -8/31/2005 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 1 REPO REPO 03.450% 8/22/2005 100.0000 7,800,000.000 7,800,000.00 -7,800,000.00 0.00 08/23/2005 DD 08/22/05SEC ID: 8/22/2005 99439V005BROKER: LEHMAN GOVT SECS 8/22/2005 INC, NYOCSF075 l 1 l 02: LIQUID OPER-PIMCO B CS FOB CAT 2 REPO REPO 03.460% 8/23/2005 100.0000 1,300,000.000 1,300,000.00 -1,300,000.00 0.00 08/24/2005 DD 08/23/05SEC ID: 8/23/2005 99439W466BROKER: CREDIT SUISSE, NEW 8/23/2005 YORKOCSF07522202: LONG TERM OPER- PIMCO B LEHMAN CAT 2 REPO 03.460% 08/24/2005 8/23/2005 100.0000 7,800,000.000 7,800,000.00 -7,800,000.00 0.00 DD 08/_23/05~EC ID: 99439W664BROKER: 8/23/2005 LEH.MAN GOV f SECS lNC, NYOCSF07511102: 8123/2005 LlQUID OPER-PIMCO B LEHMAN CAT 1 REPO REPO 03.450% 8/24/2005 100.0000 4,300,000.000 4,300,000.00 -4,300,000.00 0.00 08/25/2005 DD 08/24/05SEC ID: 8/24/2005 99439Y0 17BROKER: LEHMAN GOVT SECS 4 s INC, NYOCSF07511102: LIQUID OPER-PIMCO 8 /2 /200 B LEHMAN CAT 1 REPO REPO 03.480% 8/25/2005 100.0000 4,400,000.000 4,400,000.00 -4,400,000.00 0.00 08/26/2005 DD 08/25/05SEC ID: 8/25/2005 99439Z6268ROKER: LEHMAN GOVT SECS 5 2 INC, NYOCSF07511102: LIQUID OPER-PIMCO 812 / oo5 B LEHMAN CAT 1 REPO REPO 03.510% 8/26/2005 100.0000 4,400,000.000 4,400,000.00 -4,400,000.00 0.00 08/29/2005 DD 08/26/05SEC ID: 8/26/2005 994408188BROKER: LEHMAN GOVT SECS 8/26/2005 INC, NYOCSF0751 l 102: LIQUID OPER-PIMCO B LEHMAN CAT 1 REPO REPO 03.520% 8/29/2005 100.0000 4,400,000.000 4,400,000.00 -4,400,000.00 0.00 08/30/2005 DD 08/29/05SEC ID: 8/29/2005 99440C889BROKER: LEHMAN GOVT SECS 8/29/2005 INC, NYOCSF07511102: LIQUID OPER-PIMCO B LEHMAN CAT 1 REPO REPO 03.470% 8/30/2005 100.0000 3,200,000.000 3,200,000.00 -3,200,000.00 0.00 08/31/2005 DD 08/30/0SSEC ID: 8/30/2005 99440E323BROKER: LEHMAN GOVT SECS 8/30/2005 INC, NYOCSF0751 l 102: LIQUID OPER-PIMCO Workbench ·• Actual Settle Date 8 Transaction Detail ReportlD: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000l0000 8/1/2005-8/31/2005 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 CS FOB CAT 2 REPO REPO 03.500% 8/31/2005 100.0000 3,200,000.000 3,200,000.00 -3,200,000.00 0.00 09/01/2005 DD 08/31/05SEC ID: 8/31/2005 99440F718BROKER: CREDIT SUISSE, NEW 8/31/2005 YORKOCSF07511102: LIQUID OPER-PIMCO B DREYFUS TREASURY CASH MGMTSEC ID : 8/1/2005 1.0000 192,501.320 192,501.32 -192,501.32 0.00 996085247OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/1/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 8/1/2005 1.0000 2,922,791.500 2,922,791.50 -2,922,791.50 0.00 99608524 7OCSF0751 l 102: LIQUID OPER-8/1/2005 PIMCO 8/1/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 8/2/2005 1.0000 35,325.780 35,325.78 -35,325.78 0.00 996085247OCSF07522202: LONG TERM 8/2/2005 OPER-PIMCO 8/2/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 8/3/2005 1.0000 2,258.790 2,258.79 -2,258.79 0.00 99608524 7OCSF07511102: LIQUID OPER-8/3/2005 PIMCO 8/3/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 8/3/2005 1.0000 9,695,112.580 9,695,112.58 -9,695,112.58 0.00 99608524 7OCSF07522202: LONG TERM 8/3/2005 OPER-PIMCO 8/3/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 8/5/2005 1.0000 36,837.160 36,837.16 -36,837.16 0.00 99608524 7OCSF07511102: LIQUID OPER-8/5/2005 PIMCO 8/5/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 8/8/2005 1.0000 414,314.620 414,314.62 -414,314.62 0.00 996085247OCSF0751 l 102: LIQUID OPER-8/8/2005 PIMCO 8/8/2005 Workbench • Actual Settle Date 9 Transaction Detail ReportID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED · OCSG000l0000 8/1/2005-8/31/2005 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: 8/9/2005 1.0000 5,462.560 5,462.56 -5,462.56 0.00 996085247OCSF07522202: LONG TERM 8/9/2005 OPER-PIMCO 8/9/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 8/9/2005 1.0000 1,138,762.750 1,138,762.75 -1,138,762.75 0.00 996085247OCSF0751 l 102: LIQUID OPER-8/9/2005 PIMCO 8/9/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 8/10/2005 1.0000 533,345.550 533,345.55 -533,345.55 0.00 996085247OCSF07522202: LONG TERM 8/10/2005 OPER-PIMCO 8/10/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 8/11/2005 1.0000 777,277.560 777,277.56 -777,277.56 0.00 996085247OCSF07522202: LONG TERM 8/11/2005 OPER-PIMCO 8/11/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 8/11/2005 1.0000 1,702,326.880 l, 702,326.88 -1,702,326.88 0.00 996085247OCSF0751 l 102: LIQUID OPER-8/11/2005 PIMCO 8/11/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 8/12/2005 1.0000 1,349,457.460 1,349,457.46 -1,349,457.46 0.00 996085247OCSF07522202: LONG TERM 8/12/2005 OPER-PIMCO 8/12/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 8/15/2005 1.0000 54,018.440 54,018.44 -54,018.44 0.00 996085247OCSF07511102: LIQUID OPER-8/15/2005 PIMCO 8/15/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 8/16/2005 1.0000 11,494.590 11,494.59 -11,494.59 0.00 996085247OCSF07522202: LONG TERM 8/16/2005 OPER-PIMCO 8/16/2005 Workbench > Actual Settle Date 10 Transaction Detail Report ID: EWBA09 I OCSD-CONSOLIDATED -OCSG000l0000 Reported by Transaction Category Base Currency: USD 8/1/2005 -8/31/2005 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: 8/16/2005 1.0000 859.450 859.45 -859.45 0.00 996085247OCSF0751 l 102: LIQUID OPER-8/16/2005 PIMCO 8/16/2005 8 DREYFUS TREASURY CASH MGMTSEC ID: 8/17/2005 1.0000 835.610 835.61 -835.61 0.00 996085247OCSF07511102: LIQUID OPER-8/17/2005 PIMCO 8/17/2005 8 DREYFUS TREASURY CASH MGMTSEC ID: 8/17/2005 1.0000 1,191,896.670 1,191,896.67 -1,191,896.67 0.00 996085247OCSF07522202: LONG TERM 8/17/2005 OPER-PIMCO 8/17/2005 8 DREYFUS TREASURY CASH MGMTSEC ID: 8/18/2005 1.0000 839.950 839.95 -839.95 0.00 99608524 7OCSF075 l 1102: LIQUID OPER-8/18/2005 PIMCO 8/18/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 8/19/2005 1.0000 1,065.090 1,065.09 -1,065.09 0.00 996085247OCSF0751 l 102: LIQUID OPER-8/19/2005 PIMCO 8/19/2005 8 DREYFUS TREASURY CASH MGMTSEC ID: 8/22/2005 1.0000 2,345.470 2,345.47 -2,345.47 0.00 996085247OCSF07511102: LIQUID OPER-8/22/2005 PIMCO 8/22/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 8/23/2005 1.0000 11,005.000 11,005.00 -11,005.00 0.00 996085247OCSF0751 l 102: LIQUID OPER-8/23/2005 PIMCO 8/23/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 8/24/2005 1.0000 1,102,386.050 1,102,386.05 -1,102,386.05 0.00 996085247OCSF07522202: LONG TERM 8/24/2005 OPER-PIMCO 8/24/2005 Workbench ·• Actual Settle Date 11 Transaction Detail ReportID: EWBA09 Reported by Transaction Category Base Currency: USO OCSD-CONSOLIDATED · OCSG000 10000 8/1/2005 -8/31/2005 Status: FINAL I --------- Net Gain/Lo::-i Trade Date Local Price Tran Settle Date Base Price Cost Amount Type Description Reported Date Base Ex Rate Shares/Par Base Base __ Base I B DREYFUS TREASURY CASH MGMTSEC ID: 8/24/2005 1.0000 536,922.170 536,922.17 -536, 922.17 0.00 996085247OCSF07511102: LIQUID OPER-8/24/2005 PIMCO 8/24/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 8/25/2005 1.0000 1,257,650.370 1,257,650.37 -1,257,650.37 0.00 996085247OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 8/29/2005 1.0000 1,287.000 1,287.00 -1,287.00 0.00 996085247OCSF0751 l 102: LIQUID OPER-8/29/2005 PIMCO 8/29/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 8/29/2005 1.0000 26,959.390 26,959.39 -26,959.39 0.00 996085247OCSF07522202: LONG TERM 8/29/2005 OPER-PIMCO 8/29/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 8/30/2005 1.0000 21,634.470 21 ,634.47 -21,634.47 0.00 996085247OCSF0751 l 102: LIQUID OPER-8/30/2005 PIMCO 8/30/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 8/31/2005 1.0000 308.440 308.44 -308.44 0.00 996085247OCSF07511102: LIQUID OPER-8/31/2005 PIMCO 8/31/2005 B DREYFUS TREASURY CASH MGMTSEC ID: 8/31/2005 1.0000 181,092.200 181,092.20 -181,092.20 0.00 996085247OCSF07522202: LONG TERM 8/31/2005 OPER-PIMCO 8/31/2005 TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: 224,204,374.870 224,043,675.04 -224,043,675.04 0.00 Workbench ·• Actual Settle Date 12 OCSD-CONSOLIDATED -OCSG000lO000 l Tran Type Description Transaction Detail Reported by Transaction Category 8/1/2005 -8/31/2005 Trade Date Settle Date Reported Date Local Price Base Price Base Ex Rate Shares/Par Cost Base TOTAL CASH & CASH EQUIVALENTS BASE: 224,204,374.870 224,043,675.04 FIXED INCOME SECURITIES U.S. DOLLAR B 1B B 1B B 1B CIT GROUP INC GLOBAL SR NT 4.125% 02/21/2006 DD 02/20/03SEC ID: 125577AN6BROKER: JEFFERIES & CO INC, NEW YORKOCSF07511102: LIQUID OPER- PIMCO CIT GROUP INC GLOBAL SR NT 4.125% 02/21/2006 DD 02/20/03SEC ID: 125577AN6BROKER: JEFFERIES & CO INC, NEW YORKOCSF07511102: LIQUID OPER- PIMCO 8/23/2005 8/26/2005 8/23/2005 8/23/2005 8/26/2005 8/23/2005 FNMA POOL #0735856 5.000% 6/22/2005 08/01/2020 DD 08/01/05SEC ID: 8/16/2005 31402RQH5BROKER: BARCLAYS CAPITAL 8 /1/2005 INC, NEW YORKOCSF07522202: LONG TERM OPER-PIMCO 8/18/2005 * FNMA POOL #0735856 5.000% 6/22/2005 08/01/2020 DD 08/01/05SEC ID: 8/16/2005 31402RQH5BROKER: BARCLAYS CAPITAL 8/ l/2005 INC, NEW YORKOCSF07522202: LONG TERM / OPER-PIMCO 8/ 18 2005 • HOUSEHOLD FIN CORP NT 7.250% 05/15/2006 DD 05/ 15/96SEC ID: 441812FT6BROKER: FIRST TENNESSEE BK NA-BOND DIV, MEMPHISOCSF075 l l 102: LIQUID OPER-PIMCO HOUSEHOLD FIN CORP NT 7.250% 05/15/2006 DD 05/ 15/96SEC ID: 441812FT6BROKER: FIRST TENNESSEE BK NA-BOND DIV, MEMPHISOCSF07511102: LIQUID OPER-PIMCO 8/1/2005 8/4/2005 8/1/2005 8/1/2005 8/4/2005 8/1/2005 ·> Actual Settle Date 99.9640 500,000.000 499,820.00 99.9640 0.000 0.00 100.9688 500,000.000 504,843.75 100.9688 0.000 0.00 102.3240 500,000.000 511,620.00 102.3240 0.000 0.00 13 Report ID: EWBA09 Base Currency: USD Status: FINAL Amount Base -224,043,675.04 -499,820.00 -343.75 -504,843.75 -1,041.67 -511,620.00 -7,954.86 Net Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Workbench OCSD-CONSOLIDATED -OCSGO00l0000 Transaction Detail Reported by Transaction Category 8/1/2005 -8/31/2005 Tran Trade Date Settle Date Reported Date Type Description B 1B B 1B B B 1B SALOMON SMITH MTN # SR 00206 VAR RT 8/23/2005 05/18/2007 DD 05/28/02SEC ID: 8/26/2005 79548EJP8BROKER: CITIGROUP GEL 8/23/2005 MKTS/SALOMON, NEW YORKOCSF07522202: LONG TERM OPER-PIMCO SALOMON SMITH MTN# SR 00206 VAR RT 8/23/2005 05/18/2007 DD 05/28/02SEC ID: 8/26/2005 79548EJP8BROKER: CITIGROUP GBL 8/23/2005 MKTS/SALOMON, NEW YORKOCSF07522202: LONG TERM OPER-PIMCO U STREASURY NOTES 05.750% 11/15/2005 8/2/2005 DD 11/15/00SEC lD: 9128276N7BROKER: 8/17/2005 LEHMAN GOVT SECS lNC, NYOCSF07522202: 81212005 LONG TERM OPER-PlMCO US TREASURY NOTES 05.750% 11/15/2005 8/2/2005 DD 11/ 15/00SEC ID: 9128276N7BR~KER: 8/17/2005 LEHMAN GOVT SECS INC, NYOCSF0 I 522202: 81212005 LONG TERM OPER-PIMCO US TREASURY NOTES 4.250% 08/15/2013 8/2/2005 DD 08/ 15/03SEC ID: 912828BH2BROKER: 8/15/2005 LEHMAN GOVT SECS INC, NYOCSF07522202: 81212005 LONG TERM OPER-PIMCO U S TREASURY NOTES 4.250% 08/15/2013 DD 08/ 15/03SEC ID: 912828BH2BROKER: GOLDMAN SACHS & CO, NYOCSF07522202: LONG TERM OPER-PIMCO US TREASURY NOTES 4.250% 08/15/2013 DD 08 / 15 / 03SEC ID: 9 l 2828BH2BROKER: GOLDMAN SACHS & CO, NYOCSF07522202: LONG TERM OPER-PIMCO 8/12/2005 9/15/2005 8/12/2005 8/12/2005 9/15/2005 8/12/2005 Local Price Base Price Base Ex Rate 100.3702 100.3702 100.5370 100.5370 99.8232 100.1180 100.1180 Shares/Par 2,300,000.000 0.000 1,000,000.000 0.000 2,100,000.000 2,100,000.000 0.000 Cost Base 2,308,514.60 0.00 1,005,369.90 0.00 2,096,288.10 2,102,478.74 0.00 B US TREASURY NOTES 3.375% 12/15/2008 8/10/2005 DD 12/15/03SEC ID: 912828BT6BROKER: 8/17/2005 GOLDMAN SACHS & CO, NYOCSF07522202: 8/ l0/2005 LONG TERM OPER-PIMCO 97.4377 10,900,000.000 10,620,707.67 ·• Actual Settle Date 14 Report ID: EWBA09 Base Currency: USD Status: FINAL Amount Base -2,308,514.60 -13,432.34 -1,005,369.90 -14,687.50 -2,096,288.10 -2,102,478.74 -7,518.34 -10,620, 707.67 Net Gain/Loss 1 Base 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Workbench OCSD-CONSOLIDATED-OCSG000l0000 Transaction Detail Reported by Transaction Category 8/1/2005 -8/31/2005 Tran Type Description Trade Date Settle Date Reported Date 1B B 1B U S TREASURY NOTES 3.375% 12/15/2008 8/10/2005 DD 12/ 15/03SEC ID: 912828BT6BROKER: 8/17/2005 GOLDMAN SACHS & CO, NYOCSF07522202: 8/ l0/2005 LONG TERM OPER-PIMCO U S TREASURY NOTES 3.375% 12/15/2008 8/16/2005 DD 12/15/03SEC ID: 9121328BT6BROKER: 9/21/2005 ~1ERRILL LYNCH PlERCE FENNER SMITH INC 8/ 1612005 NYOCSF07522202: .L.ONG TERM OPER-PtMCO US TREASURY NOTES 3.375% 12/15/2008 8/16/2005 DD 12/15/03SEC ID: 912828BT6BROKER: 9/21/2005 MERRILL LYNCH PIERCE FENNER SMITH INC 8/ 1612005 NYOCSF07522202: LONG TERM OPER-PIMCO Local Price Base Price Base Ex Rate 97.4377 97.8806 97.8806 Shares/Par 0.000 10,900,000.000 0.000 Cost Base 0.00 10,668,982.89 0.00 8 US TREASURY NOTES 4.000% 03/15/2010 8/16/2005 DD 03/15/05SEC ID: 912828DP2BROKER: 9/21/2005 GOLDMAN SACHS & CO, NYOCSF07522202: 8/ 1612005 LONG TERM OPER-PIMCO 99.5459 20,700,000.000 20,605,997.78 1B 8 1B 8 US TREASURY NOTES 4.000% 03/15/2010 DD 03/ 15/05SEC ID: 912828DP2BROKER: GOLDMAN SACHS & CO, NYOCSF07522202: LONG TERM OPER-PIMCO 8/16/2005 9/21/2005 8/16/2005 US TREASURY NOTES 4.000% 03/15/2010 8/17/2005 DD 03/ 15/05SEC ID: 912828DP28ROKER: 8/18/2005 MORGAN STANLEY & CO INC, NYOCSF07522202: LONG TERM OPER-PIMCO 3 / 17 /2oo5 US TREASURY NOTES 4.000% 03/15/2010 8/17/2005 DD 03/15/05SEC ID: 912828DP2BROKER: 8/18/2005 MORGAN STANLEY & CO INC, NYOCSF07522202: LONG TERM OPER-PIMCO 3/ 17 J2oo 5 US TREASURY NOTES 4.000% 03/15/2010 8/18/2005 DD 03/ 15/0SSEC ill: 912828DP2BROKER: 9/21/2005 MERRlLL LYNCH PlERCE FENNER SMJTH LNC 8/18/2005 NYOCSF07522202: LONG TERM OPER-PTh>ICO ·• Actual Settle Date 99.5459 0.000 0.00 99.4492 10,500,000.000 10,442,167.97 99.4492 0.000 0.00 99.5520 10,500,000.000 10,452,958.74 15 Report ID: EWBA09 Base Currency: USD Status: FINAL Amount Base -63,322.74 -10,668,982.89 -98,502.05 -20,605, 997. 78 -13,723.76 -10,442,167.97 -178,043.48 -10,452,958.74 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 ease currency: uso OCSD-CONSOLIDATED-OCSG000l0000 8/1/2005 -8/31/2005 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 4.000% 03/15/2010 8/18/2005 99.5520 0.000 0.00 -6,961.32 0.00 DD 03/15/05SEC ID: 912828DP2BROKER: 9/21/2005 MERRILL LYNCH PIERCE FENNER SMITH INC 8/ l8/2005 NYOCSF07522202: LONG TERM OPER-PIMCO B USTREASURYNOTES 3.750%03/31/2007 8/16/2005 99.6053 11,200,000.000 11,155,796.85 -11,155,796.85 0.00 DD 03/31/0SSEC ID: 912828DQOBROKER: 9/21/2005 MERRILL LYNCH PIERCE FENNER SMITH INC 8/ l6/2005 NYOCSF07522202: LONG TERM OPER-PIMCO 1B U S TREASURY NOTES 3.750% 03/3 1/2007 8/16/2005 99.6053 0.000 0.00 -199,672.13 0.00 DD 03/31/05SEC ID : 912828DQOBROKER: 9/21/2005 MERRILL LYNCH PIERCE FENNER SM'ITJ:l JNC 8/ l6/2005 NYOCSF07522202: LO NG TERM OPER-PJMCO B US TREASURY NOTES 3.500% 05/31/2007 8/16/2005 99.1107 11,000,000.000 10,902,179.20 -10,902, 179.20 0.00 DD 05/31/0SSEC ID: 912828DW7BROKER: 9/21/2005 GOLDMAN SACHS & CO, NYOCSF07522202: 8116/2005 LONG TERM OPER-PIMCO 1B US TREASURY NOTES 3.500% 05/31/2007 8/16/2005 99.1107 0.000 0.00 -118,866.12 0.00 DD 05/31/0SSEC ID: 912828DW7B~OKER: 9/21/2005 GOl,DMAN SACHS & CO, NYOCSFO 1522202: 8/ 1612005 LONG TERM OPER-PIMCO B US TREASURY NOTES 3.625% 06/30/2007 8/11/2005 99.1758 20,000,000.000 19,835,156.25 -19,835, 156.25 0.00 DD 06/30/05SEC ID: 912828DY3BROKER: 8/12/2005 CHASE/GREENWICH CAP, NEW 8/11/2005 YORKOCSF07522202: LONG TERM OPER- PIMCO LB US TREASURY NOTES 3.625% 06/30/2007 8/11/2005 99.1758 0.000 0.00 -84,714.67 0.00 DD 06/30/05SEC ID: 912828DY3BROKER: 8/12/2005 CHASE/GREENWICH CAP, NEW YORKOCSF07522202: LONG TERM OPER-8/ l l/2oo5 PIMCO B US TREASURY NOTES 3.625% 06/30/2007 8/30/2005 99.3676 9,500,000.000 9,439,922.95 -9,439,922.95 0.00 DD 06/30/05SEC ID: 912828DY3BROKER: 9/21/2005 MERRILL LYNCH PIERCE FENNER SMITH INC 8/30/2005 NYOCSF07522202: LONG TERM OPER-PIMCO Workbench • Actual Settle Date 16 OCSD-CONSOLIDATED · OCSG000l0000 Transaction Detail Reported by Transaction Category 8/1/2005-8/31/2005 Tran Type Description Trade Date Settle Date Reported Date 18 US TREASURY NOTES 3.625% 06/30/2007 8/30/2005 DD 06/30/05SEC ID: 912828DY3BROKER: 9/21/2005 MERRILL LYNCH PIERCE FENNER SMITH INC 8;30;2oo5 NYOCSF07522202: J..ONG TERM OPER-PlMCO Local Price Base Price Base Ex Rate 99.3676 TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: TOTAL FIXED INCOME SECURITIES BASE: TOTAL PURCHASES BASE: PAY UPS FIXED INCOME SECURITIES U.S. DOLLAR PU PU PU PU US TREASURY INFLATION INDEX NT 3.375% 7/15/2005 0)/ 15/2007 DD 01/ 15/97SEC ID: 9128272M3OCSF07522202: LONG TERM O.PER-P1MCO 7/15/2005 8/1/2005 9/1/2005 * US TREASURY INFLATION INDEX NT 3.625% 7/15/2005 01/15/2008 DD 01/15/98SEC ID: 7/15/2005 9128273T7OCSF07522202: LONG TERM 8/ l/2005 OPER-PIMCO B/3l/2005 • 3.875% 7/15/2005 US TREASURY INFLATION INDEX NT 01/15/2009 DD 01/ 15/99SEC ID: 9128274Y5OCSF07522202: LONG TERM OPER-PIMCO US TREASURY INFLATION INDEXED 2.000% 01/15/2014 DD 0l/15/04SEC ID: 912828BW9OCSF07522202: LONG TERM OPER-PIMCO 7/15/2005 8/1/2005 8/31/2005 * 7/15/2005 7/15/2005 8/1/2005 8/31/2005 * ' Actual Settle Date 100.0000 100.0000 100.0000 100.0000 17 Shares/Par 0.000 124,200,000.000 124,200,000.000 348,404,374.870 3,940.980 1,176.000 5,225.000 49.000 Cost Base 0.00 123,152,805.39 123,152,805.39 347,196,480.43 3,940.98 1,176.00 5,225.00 49.00 Report ID: EWBA09 Base Currency: USD Status: FINAL Amount Base -77,671.54 -124,039,261.66 -124,039,261.66 -348,082,936. 70 -3,940.98 -1,176.00 -5,225.00 -49.00 Net Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Workbench OCSD-CONSOLIDATED -OCSG000l0000 Transaction Detail Reported by Transaction Category 8/1/2005 -8/31/2005 Tran Type Description Trade Date Settle Date Reported Date Local Price Base Price Base Ex Rate PU US TREASURY INFLATION INDEX NT 2.000% 7/15/2005 100.0000 07 / 15/201 '1-DD 07 / 15/04SEC ID: 7/15/2005 912828CP3OCSF07522 202: LONG TERM 8/ l/2005 OPER-PlMCO 8/3 l /2005 * TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: TOTAL FIXED INCOME SECURITIES BASE: TOTAL PAY UPS BASE: SALES CASH & CASH EQUIVALENTS U.S. DOLLAR s IS FEDERAL HOME LN MTG CORP DISC MAT 8/3/2005 ll/01/2005SEC ID: 313397NS6BROKER: 8/3/2005 CREDIT SUISSE, NEW YORKOCSF07522202: 81312005 LONG TERM OPER-PIMCO FEDERAL HOME LN MTG CORP DISC MAT ll/01/2005SEC ID: 313397NS68ROKER: CREDIT SUISSE, NEW YORKOCSF07522202: LONG TERM OPER-PIMCO 8/3/2005 8/3/2005 8/3/2005 99.0083 99.0083 Shares/Par 1,488.000 11,878.980 11,878.980 11,878.980 -100,000.000 0.000 Cost Base 1,488.00 11,878.98 11,878.98 11,878.98 -99,008.33 0.00 s FED HOME LN MTG CORP DISC NTS MAT ll/15/2005SEC ID: 313397PG0BROKER: 8/17/2005 8/17/2005 8/17/2005 99.0749 -2,300,000.000 -2,278,722.44 IS CHASE SECURITIES, NEW YORKOCSF07522202: LONG TERM OPER- PIMCO FED HOME LN MTG CORP DISC NTS MAT 11/ 15/2005SEC ID: 313397PG0BROKER: CHASE SECURITIES, NEW YORKOCSF07522202: LONG TERM OPER- PIMCO ·• Actual Settle Date 8/17/2005 8/17/2005 8/17/2005 99.0749 18 0.000 0.00 ReportID: EWBA09 Base Currency: USD Status: FINAL Amount Base -1,488.00 -11,878.98 -11,878.98 -11,878.98 99,008.33 121.67 2,278,722.44 865.06 Net Gain/Loss 1 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 -OCSG000lO000 8/1/2005 -8/31/2005 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 FED HOME LN MTG CORP DISC NTS MAT 8/18/2005 99.0749 -400,000.000 -396,299.56 396,299.56 0.00 11 / 15/2005SEC ID: 313397PG0BROKER: 8/18/2005 CHASE SECURITIES, NEW 8/18/2005 YORKOCSF07522202: LONG TERM OPER- PIMCO IS FED HOME LN MTG CORP DISC NTS MAT 8/18/2005 99.0749 0.000 0.00 150.33 0.00 11/15/2005SEC ID: 313397PG0BROKER: 8/18/2005 CHASE SECURITIES, NEW 8/18/2005 YORKOCSF07522202: LONG TERM OPER- PIMCO s FEDERAL HOME LN MTG CORP DISC MAT 8/3/2005 98.5540 -2,900,000.000 -2,858,066.80 2,858,066.80 0.00 12/ 12/2005SEC ID: 313397QK0BROKER: 8/3/2005 GOLDMAN SACHS & CO, NYOCSF07522202: 8/3/2005 LONG TERM OPER-PIMCO IS FEDERAL HOME LN MTG CORP DISC MAT 8/3/2005 98.5540 0.000 0.00 3,943.20 0.00 12/ 12/2005SEC ID: 313397QK0BROKER: 8/3/2005 GOLDMAN SACHS & CO, NYOCSF07522202: 8/3/2005 LONG TERM OPER-PIMCO s GENERAL ELEC CAP DISC 10/20/2005SEC 8/3/2005 99.1125 -3,600,000.000 -3,568,050.00 3,568,050.00 0.00 ID: 36959HXL6BROKER: MERRILL LYNCH 8/3/2005 PIERCE FENNER SMITH INC NYOCSF07522202: LONG TERM OPER-PIMCO 3/3/2oo5 IS GENERAL ELEC CAP DISC 10/20/2005SEC 8/3/2005 99.1125 0.000 0.00 4,104.00 0.00 fD: 36959HXL6BROKER: MERRILL 1.,YNCH 8/3/2005 PJERCE FENNER SMlTH INC NYOCSF'07522202: LONG TERM OPER-PIMCO 3/3/2oo5 s GENERAL ELEC CAP DISC 10/20/2005SEC 8/11/2005 99.1125 -100,000.000 -99,112.50 99,112.50 0.00 ID: 36959HXL6BROKER: CREDIT SUISSE, 8/11/2005 NEW YORKOCSF07522202: LONG TERM 8/11/2005 OPER-PIMCO IS GENERAL ELEC CAP DISC 10/20/2005SEC 8/11/2005 99.1125 0.000 0.00 185.56 0.00 ID: 36959HXL6BROKER: CREDIT SUISSE, 8/11/2005 NEW YORKOCSF07522202: LONG TERM 8/11/2005 OPER-PIMCO Workbenc/1 ., Actual Settle Date 19 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000 10000 8/1/2005-8/31/2005 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 CREDIT SUISSE FB REPO 03.210% 8/1/2005 100.0000 -7,800,000.000 -7,800,000.00 7,800,000.00 0.00 08/01/2005 DD 07 /29/05SEC ID: 8/1/2005 99438T225BROKER: CREDIT SUISSE, NEW 8/1/2005 YORKOCSF0751 l 102: LIQUID OPER-PIMCO IS CREDIT SUISSE FB REPO 03.210% 8/1/2005 100.0000 0.000 0.00 2,086.50 0.00 08/01/2005 DD 07 /29/05SEC ID: 8/1/2005 99438T225BROKER: CREDIT SUISSE, NEW 8/1/2005 YORKOCSF07511102: LIQUID OPER-PIMCO s LEHMAN CAT 1 REPO REPO 03.240% 8/2/2005 100.0000 -7,800,000.000 -7,800,000.00 7,800,000.00 0.00 08/02/2005 DD 08/0l/05SEC ID: 8/2/2005 99438U669BROKER: LEHMAN GOVT SECS 8/2/2005 INC, NYOCSF075 l l 102: LIQUID OPER-PIMCO IS LEHMAN CAT 1 REPO REPO 03.240% 8/2/2005 100.0000 0.000 0.00 702.00 0.00 08/02/2005 DD 08/0l/05SEC ID: 8/2/2005 99438U669BROKER: LEHMAN GOVT SECS 8;2/2005 INC, NYOCSF075 l l l 02: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 03.170% 08/03/2005 8/3/2005 100.0000 -7,800,000.000 -7,800,000.00 7,800,000.00 0.00 DD 08/02/05SEC ID: 99438W475BROKER: 8/3/2005 LEHMAN GOVT SECS INC, NYOCSF075 l l 102: 81312005 LIQUID OPER-PIMCO JS LEHMAN CAT 2 REPO 03.170% 08/03/2005 8/3/2005 100.0000 0.000 0.00 686.83 0.00 DD 08/02/05SEC ID: 99438W475BROKER: 8/3/2005 LEHMAN GOVT SECS INC, NYOCSF07511102: 81312005 LIQUID OPER-PJMCO s CS FOB CAT 2 REPO REPO 03. 100% 8/4/2005 100.0000 -5,800,000.000 -5,800,000.00 5,800,000.00 0 .00 08/04/2005 DD 08/03/05SEC JD: 8/4/2005 99438Y083BROKER: CREDIT SUISSE, NEW 8/4/2005 YORKOCSF0751 l 102: LIQUID OPER-PIMCO JS CS FOB CAT 2 REPO REPO 03.100% 8/4/2005 100.0000 0.000 0.00 499.44 0.00 08/04/2005 DD 08/03/05SEC JD : 8/4/2005 99438Y083BROKER: CREDIT SUISSE, NEW 8/4/2005 YORKOCSF07511102: LIQUID OPER-PIMCO Workbench ·• Actual Settle Date 20 OCSD-CONSOLIDATED -OCSG000lO000 Transaction Detail Reported by Transaction Category 8/1/2005-8/31/2005 Tran Trade Date Settle Date Reported Date Type Description s IS s IS s IS s IS LEHMAN CAT 1 REPO REPO 03.120% 8/4/2005 08/04/2005 DD 08/03/05SEC ID: 8/4/2005 99438Yl 74BROKER: LEHMAN GOVT SECS 8;4;2005 INC, NYOCSF07511102: LIQUID OPER-PIMCO LEHMAN CAT 1 REPO REPO 03.120% 8/4/2005 08/04/2005 DD 08/03/05SEC ID: 8/4/2005 99438Y174BROKER: LEHMAN GOVT SECS 8/4/2005 INC, NYOCSF07511102: LIQUID OPER-PIMCO LEHMAN CAT 1 REPO REPO 03.260% 8/5/2005 08/05/2005 DD 08/04/05SEC ID: 8/5/2005 99438Z676BROKER: LEHMAN GOVT SECS INC, NYOCSF07511102: LIQUID OPER-PIMCO 3 / 5/2oo5 LEHMAN CAT 1 REPO REPO 03.260% 8/5/2005 08/05/2005 DD 08/04/05SEC ID: 8/5/2005 99438Z676BROKER: LEHMAN GOVT SECS INC, NYOCSF07511102: LIQUID OPER-PIMCO 3/ 5/2oo5 LEHMAN CAT 2 REPO 03.350% 08/08/2005 8/8/2005 DD 08/05/0SSEC m: 99439B298BROKER: 8/8/2005 LERMAN GOVT SECS INC, NYOCSF07511102: 81812005 LTQUID OPER-PJMCO LEHMAN CAT 2 REPO 03.350% 08/08/2005 8/8/2005 JJD 08/05/0SSEC ID: 99439B298BR2KER: 8/8/2005 .LEHMAN GOVT SECS INC, .NYOCSF01511102: 81812005 LIQULD OPER-PIMCO LEHMAN CAT 1 REPO REPO 03.430% 8/9/2005 08/09/2005 DD 08/08/05SEC ID: 8/9/2005 99439C908BROKER: LEHMAN GOVT SECS INC, NYOCSF07511102: LIQUID OPER-PIMCO 3/9/2oo5 LEHMAN CAT 1 REPO REPO 03.430% 8/9/2005 08/09/2005 DD 08/08/0SSEC ID: 8/9/2005 99439C908BROKER: LEHMAN GOVT SECS 8/9 /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 21 Shares/Par -1,300,000.000 0.000 -7,800,000.000 0.000 -7,800,000.000 0.000 -7,800,000.000 0.000 Cost Base -1,300,000.00 0.00 -7,800,000.00 0.00 -7,800,000.00 0.00 -7,800,000.00 0.00 Report ID: EWBA09 Base Currency: USD Status: FINAL Amount Base 1,300,000.00 112.67 7,800,000.00 706.33 7,800,000.00 2,177.50 7,800,000.00 743.17 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 OCSD-CONSOLIDATED · OCSG000l0000 8/1/2005-8/31/2005 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 2 REPO 03.350% 08/10/2005 8/10/2005 100.0000 -7,800,000.000 -7,800,000.00 7,800,000.00 0.00 DD 08/09/05SEC ID: 99439E714BROKER: 8/10/2005 LEHMAN GOVT SECS INC, NYOCSF07511102: 8/ l0/2005 LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 03.350% 08/10/2005 8/10/2005 100.0000 0.000 0.00 725.83 0.00 DD 08/09/05SEC ID: 99439E714BROKER: 8/10/2005 LEHMAN GOVT SECS INC, NYOCSF0751 l 102: 8/ l0/2005 LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 03.320% 08/11/2005 8/11/2005 100.0000 -7,800,000.000 -7,800,000.00 7,800,000.00 0.00 DD 08/ 10/05SEC ID: 99439G321BROKER: 8/11/2005 LEHMAN GOVT SECS INC, NYOCSF075 l 1102: 8/ l l/2005 LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 03.320% 08/11/2005 8/11/2005 100.0000 0.000 0.00 719.33 0.00 DD 08/10/05SEC ID: 99439G321BROKER: 8/11/2005 LEHMAN GOVT SECS INC, NYOCSF07511102: 8/ll/2005 LIQUID OPER-PIMCO s LEHMAN CAT 1 REPO REPO 03.370% 8/12/2005 100.0000 -7,800,000.000 -7,800,000.00 7,800,000.00 0.00 08/12/2005 DD 08/ 1 l/05SEC ID: 8/12/2005 99439H980BROKER: LEHMAN GOVT SECS l INC, NYOCSF075 l l 102: LIQUID OPER-PIMCO 8/ 2/2005 IS LEHMAN CAT 1 REPO REPO 03.370% 8/12/2005 100.0000 0.000 0.00 730.17 0.00 08/12/2005 DD 08/ l l/05SEC ID: 8/12/2005 99439H980BROKER: LEHMAN GOVT SECS 8/12/2005 INC, NYOCSF0751 l 102: LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 03.430% 08/15/2005 8/15/2005 100.0000 -7,800,000.000 -7,800,000.00 7,800,000.00 0.00 DD 08/ 12/05SEC ID: 99439K520BROKER: 8/15/2005 LEHMAN GOVT SECS INC, NYOCSF07511102: 8 /15/2005 LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 03.430% 08/15/2005 8/15/2005 100.0000 0.000 0.00 2,229.50 0.00 DD 08/ 12/0SSEC ID: 99439K520BR~ICER: 8/15/2005 LEHMAN GOVT SECS INC. NYOCSF0r511102: 8/ 15;20o5 LIQUID OPER-PIMCO Workbench ·• Actual Settle Date 22 Transaction Detail ReportlD: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000IO000 8/1/2005 -8/31/2005 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 2 REPO 03.490% 08/16/2005 8/16/2005 100.0000 -7,800,000.000 -7,800,000.00 7,800,000.00 0.00 DD 08/ 15/05SEC ID: 99439M187BROKER: 8/16/2005 LEHMAN GOVT SECS INC, NYOCSF07511102: 8/ 1612005 LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 03.490% 08/16/2005 8/16/2005 100.0000 0.000 0.00 756.17 0.00 DD 08/ 15/05SEC ID: 99439M187BROKER: 8/16/2005 LEHMAN GOVT SECS INC, NYOCSF07511102: 8 / 1612005 LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 03.380% 08/17/2005 8/17/2005 100.0000 -7,800,000.000 -7,800,000.00 7,800,000.00 0.00 DJ) OB / l 6/05SEC ID: 99439N763BR~KER: 8/17/2005 LEHMAN GOVT SECS INC, NYOCSIT0r51 l 102: 8 /17/2005 L!QlflD OPER-PIMOO IS LEHMAN CAT 2 REPO 03.380% 08/17/2005 8/17/2005 100.0000 0.000 0.00 732.33 0.00 DD 08/16/0SSEC ID: 99439N763BR~KER: 8/17/2005 LEHMAN GOVT SECS INC, NYOCSF0 rS 11102: 8/ l 7 ;2005 LIQUID OPER-PIMCO s LEHMAN CAT 2 REPO 03.400% 08/18/2005 8/18/2005 100.0000 -7,800,000.000 -7,800,000.00 7,800,000.00 0.00 DD 08/ 17 /05SEC ID: 99439Q337BROKER: 8/18/2005 LEHMAN GOVT SECS INC, NYOCSF0751 l 102: 8/18/2005 LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 03.400% 08/18/2005 8/18/2005 100.0000 0.000 0.00 736.67 0.00 DD 08/ 17 /05SEC ID: 99439Q337BROKER: 8/18/2005 LEHMAN GOVT SECS INC, NYOCSF0751 l 102: 8/ 18;2oo5 LIQUID OPER-PIMCO s LEHMAN CAT 1 REPO REPO 03.490% 8/19/2005 100.0000 -7,800,000.000 -7,800,000.00 7,800,000.00 0.00 08/19/2005 DD 08/18/05SEC ID: 8/19/2005 99439R921BROKER: LEHMAN GOVT SECS 8;19/2005 INC, NYOCSF075 ll 102: LIQUID OPER-PIMCO IS LEHMAN CAT 1 REPO REPO 03.490% 8/19/2005 100.0000 0.000 0.00 756.17 0.00 08/19/2005 DD 08/ 18/05SEC ID: 8/19/2005 99439R921BROKER: LEHMAN GOVT SECS 8;19/2005 INC, NYOCSF0751 l 102: LIQUID OPER-PIMCO Workbench ·• Actual Settle Date 23 OCSD-CONSOLIDATED · OCSGOOOlOOOO Transaction Detail Reported by Transaction Category 8/1/2005 -8/31/2005 Tran Trade Date Settle Date Reported Date Type Description s s IS IS LEHMAN CAT 1 REPO REPO 03.450% 8/22/2005 08/22/2005 DD 08/19/05SEC ID: 8/22/2005 99439T448BROKER: LEHMAN GOVT SECS 8122;2oo5 INC, NYOCSF0751 l 102: LIQUID OPER-PIMCO LEHMAN CAT 1 REPO REPO 03.450% 08/22/2005 DD 08/19/05SEC ID: 99439T448BROKER: LEHMAN GOVT SECS INC, NYOCSF07522202: LONG TERM OPER- PIMCO LEHMAN CAT 1 REPO REPO 03.450% 08/22/2005 DD 08/19/05SEC ID: 99439T448BROKER: LEHMAN GOVT SECS INC, NYOCSF07522202: LONG TERM OPER- PIMCO 8/22/2005 8/22/2005 8/22/2005 8/22/2005 8/22/2005 8/22/2005 LEHMAN CAT 1 REPO REPO 03.450% 8/22/2005 08/22/2005 DD 08/19/05SEC ID: 8/22/2005 99439T448BROKER: LEHMAN GOVT SECS INC, NYOCSF0751 l 102: LIQUID OPER-PIMCO 8i22/2005 Local Price Base Price Base Ex Rate 100.0000 100.0000 100.0000 100.0000 Shares/Par -7,800,000.000 -900,000.000 0.000 0.000 Cost Base -7,800,000.00 -900,000.00 0.00 0.00 s CREDIT SUISSE FB REPO 03.450% 08/23/2005 DD 08/22/05SEC ID: 99439T844BROKER: CREDIT SUISSE, NEW YORKOCSF07522202: LONG TERM OPER- PIMCO 8/23/2005 8/23/2005 8/23/2005 100.0000 -1,200,000.000 -1,200,000.00 IS s IS CREDIT SUISSE FB REPO 03.450% 08/23/2005 DD 08/22/05SEC ID: 99439T844BROKER: CREDIT SUISSE, NEW YORKOCSF07522202: LONG TERM OPER- PIMCO 8/23/2005 8/23/2005 8/23/2005 LEHMAN CAT 1 REPO REPO 03.450% 8/23/2005 08/23/2005 DD 08/22/05SEC ID: 8/23/2005 99439V005BROKER: LEHMAN GOVT SECS 8;23/2005 INC, NYOCSF075 l l 102: LIQUID OPER-PIMCO LEH MAN CA:T 1 REPO REPO 03.450% 8/23/2005 08/23/2005 DD 08/22 /0SSEC ID: 8/23/2005 99439V005BRQ.KER: LEHMAN GOVT SECS 8/23/2005 INC, NYOCSF0751 l 102: LIQUID OPER-PIMCO ·• Actual Settle Date 100.0000 0.000 0.00 100.0000 -7,800,000.000 -7,800,000.00 100.0000 0.000 0.00 24 Report ID: EWBA09 Base Currency: USO Status: FINAL Amount Base 7,800,000.00 900,000.00 258.75 2,242.50 1,200,000.00 115.00 7,800,000.00 747.50 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 OCSD-CONSOLIDATED -OCSGO00lO000 8/1/2005 -8/31/2005 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 03.460% 8/24/2005 100.0000 -1,300,000.000 -1,300,000.00 1,300,000.00 0.00 08/24/2005 DD 08/23/05SEC ID: 8/24/2005 99439W466BROKER: CREDIT SUISSE, NEW 8/24/2005 YORKOCSF07522202: LONG TERM OPER- PIMCO IS CS FOB CAT 2 REPO REPO 03.460% 8/24/2005 100.0000 0.000 0.00 124.94 0.00 08/24/2005 DD 08/23/05SEC ID: 8/24/2005 99439W4668ROKER: CREDIT SUISSE, NEW 8/24/2005 YORKOCSF07522202: LONG TERM OPER- PIMCO s LEHMAN CAT 2 REPO 03.460% 08/24/2005 8/24/2005 100.0000 -7,800,000.000 -7,800,000.00 7,800,000.00 0.00 DD 08/23/05SEC ID: 99439W664BROKER: 8/24/2005 LEHMAN GOVT SECS INC, NYOCSF07511102: 8/24/2005 LIQUID OPER-PIMCO IS LEHMAN CAT 2 REPO 03.460% 08/24/2005 8/24/2005 100.0000 0.000 0.00 749.67 0.00 DD 08/23/05SEC ID: 99439W664BROKER: 8/24/2005 LEHMAN GOVT SECS INC, NYOCSF075 l l 102: 8/2412005 LIQUID OPER-PIMCO s LEHMAN CAT 1 REPO REPO 03.450% 8/25/2005 100.0000 -4,300,000.000 -4,300,000.00 4,300,000.00 0.00 08/25/2005 DD 08/24/05SEC ID: 8/25/2005 99439¥017BROKER: LEHMAN GOVT SECS 8;25/2005 INC, NYOCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 1 REPO REPO 03 .450% 8/25/2005 100.0000 0.000 0.00 412.08 0.00 08/25/2005 DD 08/24/05SEC ID: 8/25/2005 99439Y017BROKER: LEHMAN GOVT SECS 8/25/2005 INC, NYOCSF0751 l 102: LIQUID OPER-PIMCO s LEHMAN CAT 1 REPO REPO 03.480% 8/26/2005 100.0000 -4,400,000.000 -4,400,000.00 4,400,000.00 0.00 08/26/2005 DD 08/25/05SEC ID: 8/26/2005 99439Z626BROKER: LEHMAN GOVT SECS 8/26/2005 INC, NYOCSF07511102: LIQUID OPER-PIMCO IS LEHMAN CAT 1 REPO REPO 03.480% 8/26/2005 100.0000 0.000 0.00 425.33 0.00 08/26/2005 DD 08/25/05SEC ID: 8/26/2005 99439Z626BROKER: LEHMAN GOVT SECS 8/26/2005 INC, NYOCSF07511102: LIQUID OPER-PIMCO Workbench ·• Actual Settle Date 25 OCSD-CONSOLIDATED -OCSG000l0000 Transaction Detail Reported by Transaction Category 8/1/2005 -8/31/2005 Tran Trade Date Settle Date Reported Date Type Description s IS s IS s IS s s LEHMAN CAT 1 REPO REPO 03.510% 8/29/2005 08/29/2005 DD 08/26/05SEC ID: 8/29/2005 994408188BROKER: LEHMAN GOVT SECS 8/29/2005 INC, NYOCSF075 l l 102: LIQUID OPER-PIMCO LEHMAN CAT 1 REPO REPO 03.510% 8/29/2005 08/29/2005 DD 08/26/05SEC ID: 8/29/2005 994408188BROKER: LEHMAN GOVT SECS 8/29/2005 INC, NYOCSF075 l 1102: LIQUID OPER-PIMCO LEHMAN CAT 1 REPO REPO 03.520% 8/30/2005 08/30/2005 DD 08/29/05SEC ID: 8/30/2005 99440C889BROKER: LEHMAN GOVT SECS 8 ;3o/2005 INC, NYOCSF07511102: LIQUID OPER-PIMCO LEHMAN CAT 1 REPO REPO 03.520% 8/30/2005 08/30/2005 DD 08/29/05SEC ID: 8/30/2005 99440C889BROKER: LEHMAN GOVT SECS INC, NYOCSF07511102: LIQUID OPER-PIMCO 8 /30/2oo 5 LEHMAN CAT 1 REPO REPO 03.470% 8/31/2005 08/31/2005 DD 08/30/05SEC ID: 8/31/2005 99440E323BROKER: LEHMAN GOVT SECS 8/3 l/2005 INC, NYOCSF07511102: LIQUID OPER-PIMCO LEHMAN CAT 1 REPO REPO 03.470% 8/31/2005 08/31/2005 DD 08/30/05SEC ID: 8/31/2005 99440E323BROKER: LEHMAN GOVT SECS 8/31/2005 INC, NYOCSF07511102: LIQUID OPER-PIMCO DREYFUS TREASURY CASH MGMTSEC ID: 9960852470CSF07511102: LIQUID OPER- PIMCO DREYFUS TREASURY CASH MGMTSEC ID: 996085247OCSF07522202: LONG TERM OPER-PIMCO 8/2/2005 8/2/2005 8/2/2005 8/4/2005 8/4/2005 8/4/2005 '' 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 26 Shares/Par -4,400,000.000 0.000 -4,400,000.000 0.000 -3,200,000.000 0 .000 -2,920,682.860 -10,000,000.000 Cost Base -4,400,000.00 0.00 -4,400,000.00 0.00 -3,200,000.00 0.00 -2,920,682.86 -10,000,000.00 Report ID: EWBA09 Base Currency: USD Status: FINAL Amount Base 4,400,000.00 1,287.00 4,400,000.00 430.22 3,200,000.00 308.44 2,920,682.86 10,000,000.00 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 · OCSGO00l0000 8/ 1/2005-8/31/2005 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: 8/4/2005 1.0000 -10,942.950 -10,942.95 10,942.95 0.00 996085247OCSF0751 l 102: LIQUID OPER-8/4/2005 PIMCO 8/4/2005 s DREYFUS TREASURY CASH MGMTSEC ID: 8/10/2005 1.0000 -1,498,945.730 -1,498,945.73 1,498,945.73 0.00 996085247OCSF0751 l 102: LIQUID OPER-8/10/2005 PIMCO 8/10/2005 s DREYFUS TREASURY CASH MGMTSEC ID: 8/12/2005 1.0000 -1, 798,967.330 -1,798,967.33 1,798,967.33 0.00 996085247OCSF0751 l 102: LIQUID OPER-8/12/2005 PIMCO 8/12/2005 s DREYFUS TREASURY CASH MGMTSEC ID : 8/15/2005 1.0000 -2,575,297.760 -2,575,297.76 2,575,297.76 0.00 99608524 7OCSF07522202: LONG TERM 8/15/2005 OPER-PIMCO 8/15/2005 s DREYFUS TREASURY CASH MGMTSEC ID: 8/18/2005 1.0000 -88,492.460 -88,492.46 88,492.46 0.00 996085247OCSF07522202: LONG TERM 8/18/2005 OPER-PIMCO 8/18/2005 s DREYFUS TREASURY CASH MGMTSEC ID: 8/19/2005 1.0000 -900,000.000 -900,000.00 900,000.00 0.00 99608524 7OCSF07522202: LONG TERM 8/19/2005 OPER-PIMCO 8/19/2005 s DREYFUS TREASURY CASH MGMTSEC ID: 8/22/2005 1.0000 -182,680.420 -182,680.42 182,680.42 0.00 996085247OCSF07522202: LONG TERM 8/22/2005 OPER-PIMCO 8/22/2005 s DREYFUS TREASURY CASH MGMTSEC ID: 8/23/2005 1.0000 -70,979.060 -70,979.06 70,979.06 0.00 996085247OCSF07522202: LONG TERM 8/23/2005 OP ER-PIM CO 8/23/2005 Workbench ·> Actual Settle Date 27 OCSD-CONSOLIDATED -OCSGOOOlOOOO Transaction Detail Reported by Transaction Category 8/1/2005 -8/31/2005 s s s Tran Type Description Trade Date Settle Date Reported Date DREYFUS TREASURY CASH MGMTSEC ID: 9960852470CSF0751 l l02: LIQUID OPER- PIMCO DREYFUS TREASURY CASH MGMTSEC ID: 9960852470CSF07522202: LONG TERM OPER-PIMCO DREYFUS TREASURY CASH MGMTSEC ID: 9960852470CSF0751 l 102: LlQUID OPER- PIMCO 8/25/2005 8/25/2005 8/25/2005 8/26/2005 8/26/2005 8/26/2005 8/26/2005 8/26/2005 8/26/2005 Local Price Base Price Base Ex Rate 1.0000 1.0000 1.0000 TOTAL CASH & CASH EQUIVALENTS U.S. DOLLAR: TOTAL CASH & CASH EQUIVALENTS BASE: FIXED INCOME SECURITIES s JS s U.S. DOLLAR US TREASURY NUTE$ 06.250% 02 /15/2007 DD 02/ 15/97SEC ID: 9128272JOBROKER GOLDMAN SACH_S & CO, NYOCS.F07522202: LONG TERM OPER-P!MCO U S TREASURY NOTES 06.250% 02/15/2007 DD 02/ 15/97SEC ID: 9128272J OBROKER: GOLDMAN SACHS & CO, NYOCSF07522202: LONG TERM OPE R-PlMCO 8/11/2005 8/12/2005 8/11/2005 8/11/2005 8/12/2005 8/11/2005 US TREASURY NOTES 05.750% 11/15/2005 8/2/2005 DD 11/15/00SEC ID: 9 128276N78ROKER: 8/3/2005 LEHMAN GOVT SECS INC, NYOCSF07522202: 81212005 LONG TERM OPER-PIMCO ' Actu al Settle Date 103.2734 103.2734 100.6250 28 Shares/Par -99,587.920 -2,321,946.940 -499, 738.420 -196,168,261.850 -196,168,261.850 -20,000,000.000 0.000 -1,000,000.000 Cost Base -99,587.92 -2,321,946.94 -499,738.42 -196,067,521.48 -196,067,521.48 -22,620,312.50 0.00 -1,099,525.42 Report ID: EWBA09 Base Currency: USD Status: FINAL Amount Base 99,587.92 2,321,946.94 499,738.42 196,099,093.34 196,099,093.34 20,654,687.50 614,640.88 1,006,250.00 Net Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 -1,965,625.00 0.00 -93,275.42 Workbench OCSD-CONSOLIDATED -OCSG000l0000 Transaction Detail Reported by Transaction Category 8/1/2005 -8/31/2005 Tran Trade Date Settle Date Reported Date Type Description IS s IS s US TREASURY NOTES 05.750% 11/15/2005 8/2/2005 DD ll/15/00SElC JD; 9 128276N7BROKER: 8/3/2005 LEHMAN GOVT SECS INC, NYOCSF07522202: 8/2/2005 LONG TERM OPER-P.LMCO US TREASURY NOTES 4.250% 08/15/2013 8/2/2005 DD 08/15/03SEC ID: 912828BH2BROKER: 8/3/2005 LEHMAN GOVT SECS INC, NYOCSF07522202: 81212005 LONG TERM OPER-PIMCO US TREASURY NOTES 4.250% 08/15/2013 8/2/2005 DD 08/ 15/03SEC ID: 912828BH2BROKER: 8/3/2005 LEHMAN GOVT SECS INC, NYOCS.F07522202: 81212005 LONG TERM OPER-PIMCO US TREASURY NOTES 4.250% 08/15/2013 DD 08/15/03SEC ID: 912828BH2BROKER: GOLDMAN SACHS & CO, NYOCSF07522202: LONG TERM OPER-PIMCO 8/12/2005 8/15/2005 8/12/2005 Local Price Base Price Base Ex Rate 100.6250 99.8750 99.8750 100.2344 Shares/Par 0.000 -2, 100,000.000 0.000 -2, 100,000.000 Cost Base 0.00 -2, 122,295.78 0.00 -2, 122,295.77 s US TREASURY NOTES 3.375% 12/15/2008 DD 12/ 15/03SEC ID: 912828BT6BROKER: 8/10/2005 8/11/2005 8/10/2005 97.4375 -10,900,000.000 -10,684, 196.02 IS s IS GOLDMAN SACHS & CO, NYOCSF07522202: LONG TERM OPER-PIMCO U S TREASURY NOTES 3.375% 12/15/2008 DD 12/15/03SEC ID: 912828BT6BROKER: GOLDMAN SACHS & CO, NYOCSF07522202: LONG TERM OPER-PIMCO 8/10/2005 8/11/2005 8/10/2005 U S TREASURY NOTES 3.375% 12/15/2008 8/16/2005 DD 12 / 15/0.3SEC ID: 912828BT6BROKER: 8/17/2005 MERRI.LL L YNCFI PIERCE FENNER SWTH INC NYOCSF07522202: LONG TERM OPER-l?lMCO 8/ 1612005 US TREASURY NOTES 3.375% 12/15/2008 8/16/2005 DD_ 12 /15/03SEC lD: 912828BT6BRO~R: 8/17/2005 MERRJLL 1,YNCH P.!ERC~ FENNER SMJfl,t INC 8/ 1612005 NYOCSF07522202: LONG TERM OPER-PTh1 CO •• Actual Settle Date 97.4375 0.000 0.00 97.8750 -10,900,000.000 -10,644,845.28 97.8750 0.000 0.00 29 ReportID: EWBA09 Base Currency: USD Status: FINAL Amount Base 12,500.00 2,097,375.00 41,666.44 2,104,921.88 10,620,687.50 57,292.00 10,668,375.00 63,322.75 Net Gain/Loss Base 0.00 -24,920.78 0.00 -17,373.89 -63,508.52 0.00 23,529.72 0.00 Workbench Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED • OCSG000l000O 8/ 1/2005-8/31/2005 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 US 'TREASURY NOTES 2.375% 08/31/2006 8/31/2005 98.6055 -20,000,000.000 -19,898,128.97 19,721,093.75 -177,035.22 DD 08/31/04SEC ID: 912828CU2BROKER: 9/1/2005 GOLDMAN SACHS & CO, NYOCSF07522202: 8/31/2005 LONG TERM OPER-PIMCO IS US TREASURY NOTES 2.375% 08/31/2006 8/31/2005 98.6055 0 .000 0.00 1,312.15 0.00 DD 08/31/04SEC ID: 912828CU2BROKER: 9/1/2005 GOLDMAN SACHS & CO, NYOCSF07522202: 8/31/2005 LONG TERM OPER-PIMCO s US TREASURY NOTES 4.000% 03/15/2010 8/16/2005 99.5938 -20, 700,000.000 -20,765,970.28 20,615,906.25 -150,064.03 DD 03/ 15/05SEC ID: 912828DP2BROKER: 8/17/2005 GOLDMAN SACHS & CO, NYOCSF07522202: 8/16/2005 LONG TERM OPER-PIMCO IS US TREASURY NOTES 4.000% 03/15/2010 8/16/2005 99.5938 0.000 0.00 348,750.00 0.00 DD 03/15/05SEC ID: 912828DP2BROKER: 8/17/2005 GOLDMAN SACHS & CO, NYOCSF07522202: 8/16/2005 LONG TERM OPER-PIMCO s US TREASURY NOTES 4.000% 03/15/2010 8/18/2005 99.5938 -10,500,000.000 -10,449,923.43 10,457,343.75 7,420.32 DD 03/ 15/05SEC ID: 912828DP2BROKER: 8/18/2005 MERRILL LYNCH PIERCE FENNER SMITH INC 8/ 1812005 NYOCSF07522202: LONG TERM OPER-PIMCO IS US TREASURY NOTES 4.000% 03/15/2010 8/18/2005 99.5938 0.000 0.00 178,043.48 0.00 DD 03/15/05SEC ID: 91282$DP2BROKER: 8/18/2005 MERRILL LYNCH PIE RCE FENNER SMITE lNC NYOCSF07522202: LONG TERM OPER-PlMCO 3/ l 3/2oo5 s U S TREASURY NOTES 3. 750% 03/31 /2007 8/16/2005 99.6250 -11,200,000.000 -11,166,717.52 11,158,000.00 -8,717.52 DD 03/31/0SSEC ill: 912828DQOBROKER: 8/17/2005 MERRILL LYNCH PIERCE FENNER SMITH INC l 5 NYOCSF07522202: LONG TERM 0PER-PlMCO 3 / 6/200 IS US TREASURY NOTES 3.750% 03/31/2007 8/16/2005 99.6250 0.000 0.00 159,508.20 0.00 DD 03/31/05SEC ID: 912828DQOBROKER: 8/17/2005 MERRILL LYNCH PIERCE FENNER SMITH INC 8 /16/2005 NYOCSF07522202: LONG TERM OPER-PIMCO Workbench ·• Actual Settle Date 30 OCSD-CONSOLIDATED -OCSGOOOlOOOO Transaction Detail Reported by Transaction Category 8/1/2005-8/31/2005 Tran Type Description Trade Date Settle Date Reported Date s IS s IS US TREASURY NOTES 3.500% 05/31/2007 8/16/2005 DD 05/31/05SEC ID: 912828DW7BROKER: 8/17/2005 GOLDMAN SACHS & CO, NYOCSF07522202: 8/ 16;2oo5 LONG TERM OPER-PIMCO US TREASURY NOTES 3.500% 05/31/2007 DD 05/31/05SEC ID: 912828DW7BROKER: GOLDMAN SACHS & CO, NYOCSF07522202: LONG TERM OPER-PIMCO 8/16/2005 8/17/2005 8/16/2005 US TREASURY NOTES 3.625% 06/30/2007 8/30/2005 DD 06/30/05SEC ID: 912828DY3BROKER: 8/31/2005 MERRILL LYNCH PIERCE FENNER SMITH INC 8 ;3o/2005 NYOCSF07522202: LONG TERM OPER-PIMCO US TREASURY NOTES 3.625% 06/30/2007 8/30/2005 DD 06/30/0SSEC ID: 912828DY3BROKER: 8/31/2005 MERRILLLYNCB PlERCE-FENNER SMITH INC 8/30/2005 NYOCSF07522202: LONG TERM OPER-PlMCO Local Price Base Price Base Ex Rate 99.1250 99.1250 99.3750 99.3750 TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: TOTAL FIXED INCOME SECURITIES BASE: TOTAL SALES BASE: PRINCIPAL PAYMENTS FIXED INCOME SECURITIES U.S. DOLLAR PD WMP/HUNTOON PAIGE #000-11150 7.500% 8/1/2005 100.0000 12/01/2030 DD 10/21/99SEC ID: 8/1/2005 302998GE3OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/29/2005 * ., Actual Settle Date 31 Shares/Par -11,000,000.000 0.000 -9,500,000.000 0.000 -129,900,000.000 -129,900,000.000 -326,068,261.850 -884.330 Cost Base -10,927,852.54 0.00 -9,421,699.22 0.00 -131,923,762.73 -131,923,762.73 -327,991,284.21 -865.12 Report ID: EWBA09 Base Currency: USD Status: FINAL Amount Base 10,903,750.00 82,049.18 9,440,625.00 58,019.70 131,066,120.41 131,066,120.41 327,165,213.75 884.33 Net Gain/Loss Base -24,102.54 0.00 18,925.78 0.00 -2,474,747.10 -2,474,747.10 -2,474,747.10 19.21 Workbench Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED • OCSG000l0000 8/1/2005-8/31/2005 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 FHLMC MULTICLASS MTG SER E3 A VAR RT 8/1/2005 100.0000 -13,104.100 -13,118.06 13,104.10 -13.96 08/15/2032 DD J2/01/97SEC ID: 8/1/2005 3133TCE95OCSF07522202: LONG TERM 8/1/2005 OPER~PIMCO PD FHLMC GROUP #78-6064 6.384% 8/1/2005 100.0000 -205.290 -200.29 205.29 5.00 01/01/2028 DD 12/01/97SEC ID: 8/1/2005 31348SWZ3OCSF07522202: LONG TERM 8/1/2005 OP ER-PIM CO PD FNMA POOL #0254510 5.000% 8/1/2005 100.0000 -11, 981.310 -12,340.75 11,981.31 -359.44 11/01/2017 DD 10/0l/02SEC ID: 8/1/2005 31371KVB4OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0254631 5.000% 8/1/2005 100.0000 -2,553.050 -2,629.64 2,553.05 -76.59 02/01/2018 DD 01/01/03SEC ID: 8/1/2005 31371KY47OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0254760 5.000% 8/1/2005 100.0000 -2,367.040 -2,438.05 2,367.04 -71.01 06/01/2018 DD 05/01/03SEC ID: 8/1/2005 31371K5V9OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0254866 5.000% 8/1/2005 100.0000 -841. 100 -866.33 841.10 -25.23 09/01/2018 DD 08/0l/03SEC ID: 8/1/2005 31371LCB3OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0254907 5.000% 8/1/2005 100.0000 -7,623.980 -7,623.98 7,623.98 0.00 10/01/2018 DD 09/01/03SEC ID: 8/1/2005 31371LDL0OCSF07522202: LONG TERM 8/1/2005 OPER-PlMCO 8/25/2005 * PD FNMA POOL #0254953 5.000% 8/1/2005 100.0000 -5,116.000 -5, 181.55 5,116.00 -65.55 11/01/2018 DD 10/0l/03SEC ID: 8/1/2005 31371LE210CSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * Workbench ., Actual Settle Date 32 Transaction Detail ReportID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000l0000 8/1/2005 -8/31/2005 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 #0254987 5.000% 8/1/2005 100.0000 -15,790.740 -15,993.06 15,790.74 -202.32 12/01/2018 DD ll/01/03SEC ID: 8/1/2005 31371LF46OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0323980 6.000% 8/1/2005 100.0000 -3,261.810 -3,405.53 3,261.81 -143.72 04/01/2014 DD 09/0l/99SEC ID: 8/1/2005 31374T2M0OCSF07522202: LONG TERM 8/1/2005 OP ER-PIM CO 8/25/2005 * PD FNMA POOL #0357328 5.000% 8/1/2005 100.0000 -534.430 -550.46 534.43 -16.03 01/01/2018 DD 0l/01/03SEC ID: 8/1/2005 31376J4M8OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0357430 5.000% 8/1/2005 100.0000 -17,007.000 -17,198.33 17,007.00 -191.33 09/01/2018 DD 09/01/03SEC ID: 8/1/2005 31376KA71OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0456482 6.000% 8/1/2005 100.0000 -376.200 -392.78 376.20 -16.58 02/01/2014 DD 02/01/99SEC ID: 8/1/2005 31381CCT2OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0509649 6.000% 8/1/2005 100.0000 -811.140 -846.88 811.14 -35.74 09/01/2014 DD 09/0l/99SEC ID: 8/1/2005 31383QEW0OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0535451 6.000% 8/1/2005 100.0000 -2,238.940 -2,337.59 2,238.94 -98.65 06/01/2015 DD 07 /01/00SEC ID: 8/1/2005 31384VZQ8OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0555363 5.000% 8/1/2005 100.0000 -5,834.840 -6,009.89 5,834.84 -175.05 04/01/2018 DD 03/01/03SEC ID: 8/1/2005 31385W5YlOCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * Wo1·kbenc/1 ., Actual Settle Date 33 Transaction Detail ReportID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000l0000 8/1/2005-8/31/2005 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 #0555453 5.000% 8/1/2005 100.0000 -532.750 -539.58 532.75 -6.83 05/01/2018 DD 04/01/03SEC ID: 8/1/2005 31385XBW6OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0555545 5.000% 8/1/2005 100.0000 -4,338.540 -4,468.70 4,338.54 -130.16 06/01/2018 DD 05/0l/03SEC ID: 8/1/2005 31385XES2OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0555621 5.000% 8/1/2005 100.0000 -12,741.020 -12,884.36 12,741.02 -143.34 07/01/2018 DD 06/0l/03SEC ID: 8/1/2005 31385XG68OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0681309 5.000% 8/1/2005 100.0000 -6,024.270 -6,205.00 6,024.27 -180.73 02/01/2018 DD 02/01/03SEC ID: 8/1/2005 31391 Y3S4OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 • PD FNMA POOL #0681334 5.000% 8/1/2005 100.0000 -634.510 -653.55 634.51 -19.04 02/01/2018 DD 01/01/03SEC ID: 8/1/2005 31391 Y4TlOCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 • PD FNMA POOL #0684798 5.500% 8/1/2005 100.0000 -3,780.480 -3,777.23 3,780.48 3.25 03/01/2033 DD 03/01/03SEC ID: 8/1/2005 31400DX310CSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0684908 5.000% 8/1/2005 100.0000 -7,699.850 -7,798.50 7,699.85 -98.65 06/01/2018 DD 05/01/03SEC ID: 8/1/2005 31400D3RlOCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0685200 5.000% 8/1/2005 100.0000 -2,015.640 -2,041.47 2,015.64 -25.83 03/01/2018 DD 03/01/03SEC ID: 8/1/2005 31400EGH7OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * Workbench ·., Actual Settle Date 34 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000l0000 8/1/2005 -8/31/2005 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 #0685665 5.000% 8/1/2005 100.0000 -380.940 -392.37 380.94 -11.43 02/01/2018 DD 02/01/03SEC ID: 8/1/2005 31400EW22OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0686318 5.000% 8/1/2005 100.0000 -3,689.440 -3,800.12 3,689.44 -110.68 03/01/2018 DD 03/01/03SEC ID: 8/1/2005 31400FPB7OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0688739 5.000% 8/1/2005 100.0000 -1,174.770 -1,210.01 1,174.77 -35.24 06/01/2018 DD 06/01/03SEC ID: 8/1/2005 31400JEL9OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0689859 5.000% 8/1/2005 100.0000 -399.210 -404.32 399.21 -5.11 05/01/2018 DD 05/0l/03SEC ID: 8/1/2005 31400KMG8OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 • PD FNMA POOL #0693834 5.000% 8/1/2005 100.0000 -11,821.890 -12, 176.55 11,821.89 -354.66 03/01/2018 DD 03/01/03SEC ID: 8/1/2005 31400PY74OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0695852 5.000% 8/1/2005 100.0000 -3,706.090 -3,817.27 3,706.09 -111.18 05/01/2018 DD 05/01/03SEC ID: 8/1/2005 31400SBV0OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0695889 5.000% 8/1/2005 100.0000 -7,707.320 -7,938.54 7,707.32 -231.22 05/01/2018 DD 05/01/03SEC ID: 8/1/2005 31400SC23OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0697026 5.000% 8/1/2005 100.0000 -113.600 -117.01 113.60 -3.41 05/01/2018 DD 04/01/03SEC ID: 8/1/2005 31400TLF2OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * Workbench • Actual Settle Date 35 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000 10000 8/1/2005-8/31/2005 Status: FINAL J ----- Trade Date Local Price I Tran Settle Date Base Price Cost Amount Net Gain/Loss Type Description Reported Date Base Ex Rate Shares/Par Base Base Base J -- PD FNMA POOL #0702210 5.000% 8/1/2005 100.0000 -6,662.910 -6,862.80 6,662.91 -199.89 05/01/2018 DD 05/01/03SEC ID: 8/1/2005 31401ADP9OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0702328 5.000% 8/1/2005 100.0000 -1,517.010 -1,536.45 1,517.01 -19.44 05/01/2018 DD 04/01/03SEC ID: 8/1/2005 31401AHD2OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 • PD FNMA POOL #0709148 5.000% 8/1/2005 100.0000 -6,630.190 -6,829.10 6,630.19 -198.91 06/01/2018 DD 06/0l/03SEC ID: 8/1/2005 31401HZM7OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0709360 5.000% 8/1/2005 100.0000 -8.842.250 -8,955.54 8,842.25 -113.29 07/01/2018 DD 06/0l/03SEC ID: 8/1/2005 31401J856OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0709826 5.000% 8/1/2005 100.0000 -2,393.310 -2,423.97 2,393.31 -30.66 06/01/2018 DD 06/01/03SEC ID: 8/1/2005 31401JSP40CSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 • PD FNMA POOL #0709917 5.000% 8/1/2005 100.0000 -3,602.550 -3,648.71 3,602.55 -46.16 06/01/2018 DD 06/01/03SEC ID: 8/1/2005 31401JVJ4OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0709963 5.000% 8/1/2005 100.0000 -80.330 -81.36 80.33 -1.03 06/01/2018 DD 06/01/03SEC ID: 8/1/2005 31401JWY0OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 • PD FNMA POOL #0710235 5.000% 8/1/2005 100.0000 -10,290.060 -10,598.76 10,290.06 -308.70 06/01/2018 DD 06/0l/03SEC ID: 8/1/2005 31401KBC8OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 • Workbench ., Actual Settle Date 36 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000l0000 8/1/2005 -8/31/2005 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 #0713344 5.000% 8/1/2005 100.0000 -60.770 -62.59 60.77 -1.82 06/01/2018 DD 06/01/03SEC ID: 8/1/2005 31401NP52OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0713365 5.000% 8/1/2005 100.0000 -4,763.210 -4,824.24 4,763.21 -61.03 07/01/2018 DD 07 /01/03SEC ID: 8/1/2005 31401NQS10CSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0720319 5.000% 8/1/2005 100.0000 -11,861.230 -12,013.20 11,861.23 -151.97 07/01/2018 DD 07 /0l/03SEC ID: 8/1/2005 31401WG45OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0720369 5.000% 8/1/2005 100.0000 -10,761.880 -11,084.74 10,761.88 -322.86 06/01/2018 DD 06/01/03SEC ID: 8/1/2005 31401WJN0OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0721629 5.000% 8/1/2005 100.0000 -4,833.890 -4,978.91 4,833.89 -145.02 07/01/2018 DD 06/01/03SEC ID: 8/1/2005 31401XVW4OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0723487 5.000% 8/1/2005 100.0000 -1,020.450 -1,031.93 1,020.45 -11.48 06/01/2018 DD 06/01/03SEC ID: 8/1/2005 31402AXQ4OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0725530 5.000% 8/1/2005 100.0000 -51,999.180 -52,706.04 51,999.18 -706.86 06/01/2019 DD 05/01/04SEC ID: 8/1/2005 31402DA75OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0729601 5.000% 8/1/2005 100.0000 -3,386.020 -3,429.40 3,386.02 -43.38 07/01/2018 DD 07 /0l/03SEC ID: 8/1/2005 31402HRW3OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * Workbench • Actual Settle Date 37 Transaction Detail ReportID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000l000O 8/1/2005 -8/31/2005 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 #0732873 5.000% 8/1/2005 100.0000 -130.310 -131.98 130.31 -1.67 11/01/2018 DD 10/01/03SEC ID: 8/1/2005 31402MFN5OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0735227 5.500% 8/1/2005 100.0000 -20,651.840 -20,826.09 20,651.84 -174.25 02/01/2035 DD 0l/01/05SEC ID: 8/1/2005 31402QYY10CSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0737130 5.000% 8/1/2005 100.0000 -39,032.280 -39,532.38 39,032.28 -500.10 10/01/2018 DD 10/01/03SEC ID: 8/1/2005 31402S4P9OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0738211 5.000% 8/1/2005 100.0000 -3,331.270 -3,373.95 3,331.27 -42.68 10/01/2018 DD 10/0l/03SEC ID: 8/1/2005 31402UDQ2OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 • PD FNMA POOL #0738487 5.000% 8/1/2005 100.0000 -2,217.250 -2,245.66 2,217.25 -28.41 10/01/2018 DD 10/0l/03SEC ID: 8/1/2005 31402UNC2OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0740457 5.000% 8/1/2005 100.0000 -28,585.580 -28,974.17 28,585.58 -388.59 10/01/2018 DD 10/01/03SEC ID: 8/1/2005 31402WTN8OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0740471 5.000% 8/1/2005 100.0000 -2,965.570 -3,003.57 2,965.57 -38.00 10/01/2018 DD 10/01/03SEC ID: 8/1/2005 31402WT40OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0740748 5.000% 8/1/2005 100.0000 -3,881.550 -3,931.28 3,881.55 -49.73 10/01/2018 DD ll/01/03SEC ID: 8/1/2005 31402W5H7OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * Workbench ·• Actual Settle Date 38 Transaction Detail ReportID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED • OCSG000l0000 8/1/2005-8/31/2005 Status: FINAL Trade Date Local Price Tran Settle Date Base Price Cost Amount Net Gain/Loss I Type Description Reported Date Base Ex Rate Shares/Par Base Base Base PD FNMA POOL #0743868 5.000% 8/1/2005 100.0000 -602.440 -610.16 602.44 -7.72 11/01/2018 DD 10/01/03SEC ID: 8/1/2005 31403BMR1OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0744008 5.000% 8/1/2005 100.0000 -4,302.670 -4,357.80 4,302.67 -55.13 07/01/2018 DD 09/01/03SEC ID: 8/1/2005 31403BR54OCSF07522202: LONG TERM 8/1/2005 OP ER-PIM CO 8/25/2005 * PD FNMA POOL #0744316 5.000% 8/1/2005 100.0000 -1,500.630 -1,519.86 1,500.63 -19.23 09/01/2018 DD 09/01/03SEC ID: 8/1/2005 31403B3Z4OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0747914 5.000% 8/1/2005 100.0000 -9,653.520 -9,777.21 9,653.52 -123.69 11/01/2018 DD ll/01/03SEC ID: 8/1/2005 31403F3X0OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0748400 5.000% 8/1/2005 100.0000 -7,010.600 -7,100.42 7,010.60 -89.82 08/01/2018 DD 09/01/03SEC ID: 8/1/2005 31403GNR9OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0748899 5.000% 8/1/2005 100.0000 -10,195.700 -10,326.33 10,195.70 -130.63 12/01/2018 DD 11/01/03SEC ID: 8/1/2005 31403G7L0OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0750377 5.000% 8/1/2005 100.0000 -47,937.190 -48,551.39 47,937.19 -614.20 11/01/2018 DD 11/0l/03SEC ID: 8/1/2005 31403JUA2OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0750380 5.000% 8/1/2005 100.0000 -44, 118.460 -44,683.73 44,118.46 -565.27 11/01/2018 DD 11/0l/03SEC ID: 8/1/2005 31403JUD6OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * Workbench • Actual Settle Date 39 Transaction Detail ReportID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED-OCSG000l0000 8/1/2005 -8/31/2005 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 #0750445 5.000% 8/1/2005 100.0000 -617.040 -624.95 617.04 -7.91 11/01/2018 DD 11/01/03SEC ID: 8/1/2005 31403JWE2OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0751960 5.000% 8/1/2005 100.0000 -8,672.080 -8,783.19 8,672.08 -111.11 12/01/2018 DD 11/01/03SEC ID: 8/1/2005 31403LMH10CSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0753425 5.000% 8/1/2005 100.0000 -23,888.750 -24,164.96 23,888.75 -276.21 11/01/2018 DD ll/0l/03SEC ID: 8/1/2005 31403NA23OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0755165 5.000% 8/1/2005 100.0000 -2,462.690 -2,494.24 2,462.69 -31.55 12/01/2018 DD 11/01/03SEC ID: 8/1/2005 31403Q6A3OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0756372 5.000% 8/1/2005 100.0000 -3,922.190 -3,967.54 3,922.19 -45.35 11/01/2018 DD 11/01/03SEC ID: 8/1/2005 31403SJR8OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 • PD FNMA POOL #0784251 5.000% 8/1/2005 100.0000 -94,190.000 -95,470.40 94,190.00 -1,280.40 11/01/2019 DD ll/01/04SEC ID: 8/1/2005 314058H46OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0789670 5.000% 8/1/2005 100.0000 -4,594.290 -4,656.74 4,594.29 -62.45 12/01/2019 DD 12/01/04SEC ID: 8/1/2005 31405HJP4OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 • PD FNMA POOL #0792432 5.000% 8/1/2005 100.0000 -12,337.330 -12,505.04 12,337.33 -167.71 10/01/2019 DD 10/01/04SEC ID: 8/1/2005 31405LLM9OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * Workbench ·> Actual Settle Date 40 Transaction Detail ReportID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000l0000 8/1/2005-8/31/2005 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 #0792437 5.000% 8/1/2005 100.0000 -122,138.270 -122,138.27 122,138.27 0.00 10/01/2019 DD 10/01/04SEC ID: 8/1/2005 31405LLS6OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0794195 5.000% 8/1/2005 100.0000 -3,575.380 -3,623.98 3,575.38 -48.60 11/01/2019 DD 11/01/04SEC ID: 8/1/2005 31405NKG9OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0797160 5.000% 8/1/2005 100.0000 -108,812.820 -110,291.99 108,812.82 -1,479.17 12/01/2019 DD 12/01/04SEC ID: 8/1/2005 31405RTR7OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0797408 5.000% 8/1/2005 100.0000 -3,013.180 -3,054.14 3,013.18 -40.96 12/01/2019 DD 12/01/04SEC ID: 8/1/2005 31405R3R5OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0797414 5.000% 8/1/2005 100.0000 -3,821.620 -3,873.57 3,821.62 -51.95 12/01/2019 DD 12/01/04SEC ID: 8/1/2005 31405R3X2OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0800370 5.000% 8/1/2005 100.0000 -1,471.200 -1,469.59 1,471.20 1.61 12/01/2019 DD 11/01/04SEC ID: 8/1/2005 31405VFK8OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0800998 5.500% 8/1/2005 100.0000 -29,983.360 -29,957.59 29,983.36 25.77 11/01/2034 DD 11/01/04SEC ID: 8/1/2005 31405V3F2OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0803923 5.000% 8/1/2005 100.0000 -12,179.770 -12,345.34 12,179.77 -165.57 12/01/2019 DD 12/01/04SEC ID: 8/1/2005 31406AD41OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 • Workbench ., Actual Settle Date 41 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED · OCSG000l0000 8/1/2005 -8/31/2005 Status: FINAL I Trade Date Local Price -1 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 #0807711 5.000% 8/1/2005 100.0000 -12,760.220 -12,933.68 12,760.22 -173.46 01/01/2020 DD 01/01/05SEC ID: 8/1/2005 31406EKY9OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0808933 5.500% 8/1/2005 100.0000 -329.460 -329.18 329.46 0.28 01/01/2035 DD 01/01/05SEC JD: 8/1/2005 31406FV24OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 • PD FNMA POOL #0809350 5.500% 8/1/2005 100.0000 -7,083.100 -7,077.01 7,083.10 6.09 12/01/2034 DD 0l/0l/05SEC ID: 8/1/2005 31406GEX3OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005" PD FNMA POOL #0814930 5.500% 8/1/2005 100.0000 -4,027.580 -4,024.12 4,027.58 3.46 04/01/2035 DD 04/01/05SEC JD: 8/1/2005 31406NLK8OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0815923 5.500% 8/1/2005 100.0000 -10,445.790 -10,436.81 10,445.79 8.98 03/01/2035 DD 03/01/05SEC ID: 8/1/2005 31406PPG8OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0816246 5.000% 8/1/2005 100.0000 -2,663.880 -2,660.97 2,663.88 2.91 03/01/2020 DD 03/01/05SEC ID: 8/1/2005 31406PZK8OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0819566 5.500% 8/1/2005 100.0000 -3,947.420 -3,944.03 3,947.42 3.39 04/01/2035 DD 04/01/05SEC ID: 8/1/2005 31406TQT10CSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0822731 5.500% 8/1/2005 100.0000 -353.190 -352.89 353.19 0.30 05/01/2035 DD 05/01/05SEC ID : 8/1/2005 31406XA85OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * Workbench ., Actual Settle Date 42 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000 10000 8/1/2005 -8/31/2005 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 #0823232 5.500% 8/1/2005 100.0000 -372.730 -372.41 372.73 0.32 06/01/2035 DD 05/01/05SEC ID: 8/1/2005 31406XSV5OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/25/2005 * PD FNMA POOL #0823787 5.000% 8/1/2005 100.0000 -7,622.220 -7,613.88 7,622.22 8.34 05/01/2020 DD 05/01/05SEC ID: 8/1/2005 31406YF47OCSF07522202: LONG TERM 8/1/2005 OP ER-PIM CO 8/25/2005 * PD GNMA POOL #0421389 6.500% 8/1/2005 100.0000 -19.040 -19.98 19.04 -0.94 04/15/2026 DD 04/01/96SEC ID: 8/1/2005 36206UC23OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/15/2005 * PD GNMA POOL #0449851 6.500% 8/1/2005 100.0000 -19.930 -20.92 19.93 -0.99 01/15/2028 DD 01/01/98SEC ID: 8/1/2005 36208FWL0OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/15/2005 * PD GNMA POOL #0466845 6.500% 8/1/2005 100.0000 -48.680 -51.09 48.68 -2.41 06/15/2028 DD 06/01/98SEC ID: 8/1/2005 36209BTA6OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/15/2005 * PD GNMA POOL #0468052 6.500% 8/1/2005 100.0000 -69,386.460 -72,823.25 69,386.46 -3,436.79 07/15/2028 DD 07/01/98SEC ID: 8/1/2005 36209C5M4OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/15/2005 * PD GNMA POOL #0476041 6.500% 8/1/2005 100.0000 -215.020 -225.33 215.02 -10.31 06/15/2028 DD 06/01/98SEC ID: 8/1/2005 36209MZE7OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/15/2005 * PD GNMA POOL #0478626 6.500% 8/1/2005 100.0000 -190.930 -200.09 190.93 -9.16 01/15/2029 DD 0l/01/99SEC ID: 8/1/2005 36209QVT9OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/15/2005 * Workbench ··• Actual Settle Date 43 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000I0000 8/1/2005-8/31/2005 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 #0480598 6.500% 8/1/2005 100.0000 -40.870 -42.83 40.87 -1.96 10/15/2028 DD 10/01/98SEC ID: 8/1/2005 36209S3F60CSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/ J 5/2005 * PD GNMA POOL #0512235 6.500% 8/1/2005 100.0000 -8.270 -8.68 8.27 -0.41 11/15/2029 DD ll/01/99SEC ID: 8/1/2005 36211GBC60CSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/15/2005 * PD GNMA POOL #0514326 6.500% 8/1/2005 100.0000 -284.680 -298.34 284.68 -13.66 07/15/2029 DD 07/01/99SEC ID: 8/1/2005 362 l 1JLF20CSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/15/2005 * PD GNMA JI POOL #0080023 VAR RT 12/20/2026 8/1/2005 100.0000 -2,804.070 -2,850.51 2,804.07 -46.44 DD 12/0l/96SEC ID: 8/1/2005 36225CAZ90CSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/22/2005 • PD GNMA II POOL #080088M 7.375% 8/1/2005 100.0000 -8, 159.440 -8,337.93 8,159.44 -178.49 06/20/2027 DD 06/01/97SEC ID: 8/1/2005 36225CC200CSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/22/2005 • PD GNMA II POOL #0080395 VAR RT 8/1/2005 100.0000 -6,004.640 -5,950.22 6,004.64 54.42 04/20/2030 DD 04/01/00SEC ID: 8/1/2005 36225CNM40CSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/22/2005 * PD GNMA II POOL #080408X VAR RT 8/1/2005 100.0000 -52,854.490 -52,317.69 52,854.49 536.80 05/20/2030 DD 05/01/00SEC ID: 8/1/2005 36225CN280CSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/22/2005 • PD GNMA II POOL #0080965 VAR RT 8/1/2005 100.0000 -37,532.440 -37,508.98 37,532.44 23.46 07/20/2034 DD 07 /01/04SEC ID: 8/1/2005 36225DCB80CSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/22/2005 * Workbench ·• Actual Settle Date 44 OCSD-CONSOLIDATED -OCSGOOOlOOOO Transaction Detail Reported by Transaction Category 8/1/2005 -8/31/2005 Tran Type Description Trade Date Settle Date Reported Date PD PD PD GNMA GTD REMIC TR 2000-9 FH VAR RT 02/ 16/2030SEC ID: 3837H4NX9OCSF07522202: LONG TERM OPER-PIMCO RESIDENTIAL ASSET 03-RSl 1 AIIB VAR RT 12/25/2033 DD 12/30/03SEC ID: 760985K83OCSF07522202: LONG TERM OPER-PIMCO SBA GTD PARTN CTFS SBIC-PS 01 6.640% 02/10/20 11 DD 02/21/0lSEC ID: 83164 lDD4OCSF07522202: LONG TERM OPER-PIMCO 8/16/2005 8/16/2005 8/16/2005 8/25/2005 8/25/2005 8/25/2005 8/1/2005 8/1/2005 8/1/2005 8/10/2005 • Local Price Base Price Base Ex Rate 100.0000 100.0000 100.0000 TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: TOTAL FIXED INCOME SECURITIES BASE: TOTAL PRINCIPAL PAYMENTS BASE: MATURITIES CASH & CASH EQUIVALENTS U.S. DOLLAR MT FEDERAL HOME LN BK CONS DISC N MAT 8/1/2005 100.0000 08/01/2005SEC ID: 8/1/2005 313385JW7OCSF075 l l l 02: LIQUID OPER-8/1/2005 PIMCO MT FEDERAL HOME LN BK CONS DISC N MAT 8/3/2005 100.0000 08/03/2005SEC ID: 8/3/2005 313385JY3OCSF07511102: LIQUID OPER-8/3/2005 PIMCO ·• Actual Settle Date 45 Shares/Par -10,119.210 -37,501.300 -479,454.480 -1, 702,043.230 -1, 702,043.230 -1, 702,043.230 -1,900,000.000 -1,900,000.000 Cost Base -10,119.21 -37,501.30 -4 79,454.48 -1, 717,133.93 -1,717,133.93 -1,717,133.93 -1,899,509.17 -1,899,833.75 ReportID: EWBA09 Base Currency: USO Status: FINAL Amount Base 10,119.21 37,501.30 479,454.48 1,702,043.23 1,702,043.23 1,702,043.23 1,899,509.17 1,899,833.75 Net Gain/Loss Base 0.00 0.00 0.00 -15,090.70 -15,090.70 -15,090.70 0.00 0.00 Workbench Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USO OCSD-CONSOLIDATED -OCSG000l0000 8/1/2005 -8/31/2005 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 FEDEARL HOME LN BK CONS DISC N MAT 8/4/2005 100.0000 -2,600,000.000 -2,599,776.83 2,599,776.83 0.00 08/04/2005SEC ID: 8/4/2005 313385JZ0OCSF07511102: LIQUID OPER-8/4/2005 PIMCO MT FEDERAL HOME LN BK CONS DISC MAT 8/5/2005 100.0000 -2,300,000.000 -2,299,794.28 2,299,794.28 0 .00 8/5/2005SECID:313385KA3OCSF07511102:8/5/2005 LIQUID OPER-PIMCO 8/5/2005 MT FEDERAL HOME LN BK CONS DISC N MAT 8/8/2005 100.0000 -400,000.000 -399,890.00 399,890.00 0.00 08/08/2005SEC ID: 8/8/2005 313385KD7OCSF075 l ll 02: LIQUID OPER-8/8/2005 PIMCO MT FEDERAL HOME LN BK CONS DISC MAT 8/9/2005 100.0000 -700,000.000 -699,934.28 699,934.28 0.00 08/09/2005SEC ID: 8/9/2005 313385KE5OCSF075 l l 102: LIQUID OPER-8/9/2005 PIMCO MT FEDERAL HOME LN BK CONS DISC N MAT 8/11/2005 100.0000 -800,000.000 -799,926.67 799,926.67 0.00 08/ 11/2005SEC ID: 8/11/2005 313385KG0OCSF07511102: LIQUID OPER-8/11/2005 PIMCO MT FEDERAL HOME LN MTG CORP DISC MAT 8/9/2005 100.0000 -1,300,000.000 -1,290,180.66 1,290,180.66 0.00 08/09/2005SEC ID: 8/9/2005 313397KE0OCSF07511102: LIQUID OPER-8/9/2005 PIMCO MT FEDERAL NATL MTG ASSN DISC 8/1/2005 100.0000 -1,000,000.000 -988,461.67 988,461.67 0.00 08/01/2005SEC ID: 8/1/2005 313589JW4OCSF07511102: LIQUID OPER-8/1/2005 PIMCO MT FEDERAL NATL MTG ASSN DISCOUNT MAT 8/8/2005 100.0000 -1,200,000.000 -1,190,138.33 1,190,138.33 0.00 08/08/2005SEC ID: 8/8/2005 313589KD4OCSF0751 l 102: LIQUID OPER-8/8/2005 PIMCO Workbench ·• Actual Settle Date 46 Transaction Detail ReportID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000l0000 8/1/2005 -8/31/2005 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 NATL MTG ASSN DISCOUNT MAT 8/9/2005 100.0000 -1,300,000.000 -1,299,877.94 1,299,877.94 0.00 08/09/2005SEC ID: 8/9/2005 313589KE2OCSF075 l l 102: LIQUID OPER-8/9/2005 PIMCO MT FEDERAL NATL MTG ASSN DISCOUNT MAT 8/10/2005 100.0000 -3,600,000.000 -3,580,433.44 3,580,433.44 0.00 08/ 10/2005SEC ID: 8/10/2005 313589KF9OCSF07511102: LIQUID OPER-8/10/2005 PIMCO MT FEDERAL NATL MTG ASSN DISCOUNT MAT 8/11/2005 100.0000 -2,800,000.000 -2,799,744.89 2,799,744.89 0.00 8/ l 1/2005SEC ID: 8/11/2005 313589KG7OCSF07511102: LIQUID OPER-8/11/2005 PIMCO MT FEDERAL NATL MTG ASSN DISCOUNT MAT 8/12/2005 100.0000 -1,100,000.000 -1,099,899.78 1,099,899.78 0.00 08/ 12/2005SEC ID: 8/12/2005 313589KH5OCSF07511102: LIQUID OPER-8/12/2005 PIMCO MT FEDERAL NATL MTG ASSN DISC NTS MAT 8/15/2005 100.0000 -1, 100,000.000 -1,099,697.50 1,099,697.50 0.00 08/ 15/2005SEC ID: 8/15/2005 313589KL6OCSF0751 l 102: LIQUID OPER-8/15/2005 PIMCO MT FEDERAL NATL MTG ASSN DISC NT MAT 8/16/2005 100.0000 -1,100,000.000 -1,099,898.56 1,099,898.56 0.00 08/ 16/2005SEC ID: 8/16/2005 313589KM4OCSF0751 l 102: LIQUID OPER-8/16/2005 PIMCO MT FEDERAL NATL MTG ASSN DISC NTS MAT 8/17/2005 100.0000 -1, 100,000.000 -1,099,896.72 1,099,896.72 0.00 08/ 17 /2005SEC ID: 8/17/2005 313589KN2OCSF07511102: LIQUID OPER-8/17/2005 PIMCO MT FEDERAL NATL MTG ASSN DISCOUNT BOND 8/18/2005 100.0000 -1,100,000.000 -1,099,896.72 1,099,896.72 0.00 M.ATURITYSEC ID: 8/18/2005 313589KP7OCSF07511102: LIQUID OPER-8/18/2005 PIMCO Workbench ·• Actual Settle Date 47 OCSD-CONSOLIDATED -OCSG000l0000 Transaction Detail Reported by Transaction Category 8/1/2005-8/31/2005 Tran Trade Date Settle Date Reported Date Type Description MT MT MT MT FEDERAL NATL MTG ASSN DISCOUNT MAT 08/19/2005SEC ID: 313589KQ5OCSF0751 l 102: LIQUID OPER- PIMCO FEDERAL NATL MTG ASSN DISCOUNT MAT 08/22/2005SEC ID: 313589KT9OCSF075 l l l 02: LIQUID OPER- PIMCO FEDERAL NATL MTG ASSN DISCNTS MAT 08/23/2005SEC ID: 313589KU6OCSF0751 l 102: LIQUID OPER- PIMCO 8/19/2005 8/19/2005 8/19/2005 8/22/2005 8/22/2005 8/22/2005 8/23/2005 8/23/2005 8/23/2005 US TREASURY BILL 0.000% 08/04/2005 DD 8/4/2005 02/03/05SECID:912795VK4OCSF07511102:3;4;2005 LIQUID OPER-PIMCO 8/4/2005 Local Price Base Price Base Ex Rate 100.0000 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 BANK AMER NA TRANCHE IITR 00255 VAR RT8/8/2005 100.0000 08/08/2005 DD 02/07 /05SEC ID: 8/8/2005 060S0VLQ8OCSF07511102: LIQUID OPER-8/8/2005 PIMCO MT CITICORP 6.750% 08/15/2005SEC ID: 8/15/2005 100.0000 173034GH6OCSF075 l l 102: LIQUID OPER-8/15/2005 PIMCO 8/15/2005 • Actual Settle Date 48 Shares/Par -1,100,000.000 -1,100,000.000 -1, 100,000.000 -2,000,000.000 -32,600,000.000 -32,600,000.000 -3,500,000.000 -50,000.000 Cost Base -1,099,896.72 -1,099,691.08 -1,099,897.03 -1,982,359.44 -32,528,635.46 -32,528,635.46 -3,499,940.20 -50,115.00 Report ID: EWBA09 Base Currency: USD Status: FINAL Amount Base 1,099,896.72 1,099,691.08 1,099,897.03 1,982,359.44 32,528,635.46 32,528,635.46 3,500,000.00 50,000.00 Net Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 59.80 -115.00 Workbench OCSD-CONSOLIDATED -OCSG000 10000 Transaction Detail Reported by Transaction Category 8/1/2005 -8/31/2005 Tran Type Description Trade Date Settle Date Reported Date MT FIRST UNION CORP 7.050% 08/01/2005 DD 8/1/2005 08/01/95SECID:337358BB0OCSF07511102:8/1/2005 LIQUID OPER-PIMCO 8/1/2005 Local Price Base Price Base Ex Rate 100.0000 TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: TOTAL FIXED INCOME SECURITIES BASE: TOTAL MATURITIES BASE: INTEREST CASH & CASH EQUIVALENTS U.S. DOLLAR IT IT IT IT FEDERAL HOME LN BK CONS DISC N MAT 08/01/2005SEC ID: 313385JW7OCSF07511102: LIQUID OPER- PIMCO FEDERAL HOME LN BK CONS DISC N MAT 08/03/2005SEC ID: 313385JY3OCSF07511102: LIQUID OPER- PIMCO FEDEARL HOME LN BK CONS DISC N MAT 08/04/2005SEC ID: 313385JZ0OCSF07511102: LIQUID OPER- PIMCO 8/1/2005 8/1/2005 8/1/2005 8/3/2005 8/3/2005 8/3/2005 8/4/2005 8/4/2005 8/4/2005 FEDERAL HOME LN BK CONS DISC MAT 8/5/2005 8/5/2005SECID:313385KA3OCSF07511102:8/5/2005 LIQUID OPSR-PIMCO 8/5/2005 ., Actual Settle Date 49 Shares/Par -20,000.000 -3,570,000.000 -3,570,000.000 -36, 170,000.000 1,900,000.000 1,900,000.000 2,600,000.000 2,300,000.000 Cost Base -20,028.60 -3,570,083.80 -3,570,083.80 -36,098, 719.26 490.83 166.25 223.17 205.72 Report ID: EWBA09 Base Currency: USO Status: FINAL Amount Base 20,000.00 3,570,000.00 3,570,000.00 36,098,635.46 490.83 166.25 223.17 205.72 Net Gain/Loss Base -28.60 -83.80 -83.80 -83.80 0.00 0.00 0.00 0.00 Workbench Transaction Detail ReportID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED-OCSG000l0000 8/1/2005 -8/31/2005 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 8/8/2005 400,000.000 110.00 110.00 0.00 08/08/2005SEC ID: 8/8/2005 313385KD7OCSF075 l l 102: LIQUID OPER-8/8/2005 PIMCO IT FEDERAL HOME LN BK CONS DISC MAT 8/9/2005 700,000.000 65.72 65.72 0.00 08/09/2005SEC ID: 8/9/2005 313385KE5OCSF075 l l 102: LIQUID OPER-8/9/2005 PIMCO IT FEDERAL HOME LN BK CONS DISC N MAT 8/11/2005 800,000.000 73.33 73.33 0 .00 08/ ll/2005SEC ID: 8/11/2005 313385KG0OCSF075 l l 102: LIQUID OPER-8/11/2005 PIMCO IT FEDERAL HOME LN MTG CORP DISC MAT 8/9/2005 1,300,000.000 9,819.34 9,819.34 0.00 08/09/2005SEC ID: 8/9/2005 313397KE0OCSF0751 l 102: LIQUID OPER-8/9/2005 PIMCO IT FEDERAL NATL MTG ASSN DISC 8/1/2005 1,000,000.000 11,538.33 11,538.33 0.00 08/01/2005SEC ID: 8/1/2005 313589JW4OCSF07511102: LIQUID OPER-8/1/2005 PIMCO IT FEDERAL NATL MTG ASSN DISCOUNT MAT 8/8/2005 1,200,000.000 9,861.67 9,861.67 0.00 08/08/2005SEC ID: 8/8/2005 313589KD4OCSF07511102: LIQUID OPER-8/8/2005 PIMCO IT FEDERAL NATL MTG ASSN DISCOUNT MAT 8/9/2005 1,300,000.000 122.06 122.06 0 .00 08/09/2005SEC ID: 8/9/2005 313589KE2OCSF075 l l 102: LIQUID OPER-8/9/2005 PIMCO IT FEDERAL NATL MTG ASSN DISCOUNT MAT 8/10/2005 3,600,000.000 19,566.56 19,566.56 0.00 08/ 10/2005SEC ID: 8/10/2005 313589KF9OCSF075 l l 102: LIQUID OPER-8/10/2005 PIMCO Workbench ·• Actual Settle Date 50 Transaction Detail ReportlD: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000l0000 8/1/2005 -8/31/2005 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 NATL MTG ASSN DISCOUNT MAT 8/11/2005 2,800,000.000 255.11 255.11 0.00 8/ 11/2005SEC ID: 8/11/2005 313589KG7OCSF07511102: LIQUID OFER-8/11/2005 FIMCO IT FEDERAL NATL MTG ASSN DISCOUNT MAT 8/12/2005 1,100,000.000 100.22 100.22 0.00 08/ 12/2005SEC ID: 8/12/2005 313589KH5OCSF07511 l 02: LIQUID OFER-8/12/2005 PIMCO IT FEDERAL NATL MTG ASSN DISC NTS MAT 8/15/2005 l, l 00,000.000 302.50 302.50 0.00 08/15/2005SEC ID: 8/15/2005 313589KL6OCSF07511102: LIQUID OFER-8/15/2005 FIMCO IT FEDERAL NATL MTG ASSN DISC NT MAT 8/16/2005 1,100,000.000 101.44 101.44 0.00 08/ 16/2005SEC ID: 8/16/2005 313589KM4OCSF07511102: LIQUID OFER-8/16/2005 FIMCO IT FEDERAL NATL MTG ASSN DISC NTS MAT 8/17/2005 1,100,000.000 103.28 103.28 0.00 08/ 17 /2005SEC ID: 8/17/2005 313589KN2OCSF0751 l 102: LIQUID OFER-8/17/2005 FIMCO IT FEDERAL NATL MTG ASSN DISCOUNTSEC 8/18/2005 1,100,000.000 103.28 103.28 0.00 ID; 313.589KF7OCSF0751 l 102: LIQUID OFER-8/ 18/2005 PrMCO 8/18/2005 IT FEDERAL NATL MTG ASSN DISCOUNT MAT 8/19/2005 1,100,000.000 103.28 103.28 0.00 08/ 19/2005SEC ID: 8/19/2005 313589KQ5OCSF07511102: LIQUID OFER-8/19/2005 FIMCO IT FEDERAL NATL MTG ASSN DISCOUNT MAT 8/22/2005 1,100,000.000 308.92 308.92 0.00 08/22/2005SEC ID: 8/22/2005 313589KT9OCSF07511102: LIQUID OPER-8/22/2005 FIMCO Workbench ·• Actual Settle Date 51 OCSD-CONSOLIDATED -OCSGOOOlOOOO Transaction Detail Reported by Transaction Category 8/ 1/2005-8/31/2005 Tran Trade Date Settle Date Reported Date Type Description IT IT IT IT IT FEDERAL NATL MTG ASSN DISCNTS MAT 08/23/2005SEC ID: 313589KU6OCSF07511102: LIQUID OPER- PIMCO 8/23/2005 8/23/2005 8/23/2005 US TRE;ASURY BILL 0.000% 08/04/2005 DD 8/4/2005 02/03/05S.EC ill: 912795VK4OCSF0751J 102: 8/4/2005 LIQU!D OPER-PIMCO 8/4/2005 DREYFUS TREASURY CASH MGMTSEC ID: 8/3/2005 996085247OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/3/2005 8/3/2005 * DREYFUS TREASURY CASH MGMTSEC ID: 8/3/2005 99608524 7OCSF0751 l 102: LIQUID OPER-8/1/2005 PIMCO 8/3/2005 8/3/2005 * BSDT-LATE MONEY DEPOSIT ACCTSEC ID: 8/1/2005 996087094OCSF07522202: LONG TERM 8/1/2005 OPER-PIMCO 8/1/2005 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 AIG SUNAMERICA GLOBAL REG S 5.850% 08/01/2008 DD 08/08/0lSEC ID: U00907 AA0OCSF07522202: LONG TERM OPER-PIMCO ·• Actual Settle Date 8/1/2005 8/1/2005 8/1/2005 52 Shares/Par 1,100,000.000 2,000,000.000 0 .000 0.000 0.000 32,600,000.000 32,600,000.000 752,000.000 Cost Base 102.97 17,640.56 4,027.14 1,348.79 1.32 76,741.79 76,741.79 21,996.00 Report ID: EWBA09 Base Currency: USD Status: FINAL Amount Base 102.97 17,640.56 4,027.14 1,348.79 1.32 76,741.79 76,741.79 21,996.00 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 8/1/2005 -8/31/2005 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 BANK AMER NA TRANCHE #TR00255 VAR RT8/9/2005 3,500,000.000 27,931.94 27,931.94 0.00 08/08/2005 DD 02/07 /05SEC LD: 8/8/2005 06050VLQ8OCSF0751U02: LIQUID OPER-8/9/2005 PIMCO 8/9/2005 * IT CIT GROUP INC MTN #SR00092 VAR RT 8/23/2005 3,300,000.000 28,905.94 28,905.94 0.00 05/23/2008 DD 05/25/05SEC ID: 8/23/2005 12560PDV0OCSF07522202: LONG TERM 8/23/2005 OPER-PIMCO IT CITIGROUP INC GLOBAL SR NT VAR RT 8/2/2005 1,600,000.000 13,329.78 13,329.78 0.00 05/02/2008 DD 05/02/05SEC ID: 8/2/2005 l 72967CW9OCSF07522202: LONG TERM 8/2/2005 OPER-PIMCO IT CITICORP 6.750% 08/15/2005SEC ID: 8/15/2005 50,000.000 1,687.50 1,687.50 0.00 l 73034GH6OCSF07511102: LIQUID OPER-8/15/2005 PIMCO 8/15/2005 IT WMP/HUNTOON PAIGE #000-11150 7.500% 8/29/2005 884.330 5,813.96 5,813.96 0.00 12/01/2030 DD 10/21/99SEC ID: 8/1/2005 302998GE3OCSF07522202: LONG TERM 8/29/2005 OPER-PIMCO 8/29/2005 * IT FHLMC MULTICLASS MTG SER E3 A VAR RT 8/15/2005 15,347.750 2,442.84 2,442.84 0.00 01.l/ I 5/2032 DD 12/0l/97SEC ID: 7/1/2005 3133TCE95OCSl1"07522202: LONG TERM 8/15/2005 OPER-PIMCO 8/15/2005 * IT FEDERAL HOME LN BKS CONS BD VAR RT 8/29/2005 2,700,000.000 20,261.10 20,261.10 0.00 02/27/2012 DD 02/27 /04SEC ID: 8/27/2005 3133X3SQ7OCSF07522202: LONG TERM 8/29/2005 OPER-PIMCO 8/29/2005 * IT FHLMC GROUP #78-6064 6.384% 8/15/2005 149.790 181.72 181.72 0.00 01/01/2028 DD 12/01/97SEC ID: 7/1/2005 31348SWZ3OCSF07522202: LONG TERM 8/15/2005 OPER-PIMCO 8/15/2005 * Workbench ·• Actual Settle Date 53 Transaction Detail ReportID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000l0000 8/1/2005 -8/31/2005 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% 8/25/2005 11,981.310 2,406.08 2,406.08 0.00 11/01/2017 DD 10/01/02SEC ID: 8/1/2005 31371KVB4OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0254631 5.000% 8/25/2005 2,553.050 514.34 514.34 0.00 02/01/2018 DD 0l/01/03SEC ID: 8/1/2005 31371KY47OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0254760 5.000% 8/25/2005 2,367.040 465.62 465.62 0.00 06/01/2018 DD 05/01/03SEC ID: 8/1/2005 31371K5V9OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0254866 5.000% 8/25/2005 841.100 211.96 211.96 0.00 09/01/2018 DD 08/0l/03SEC ID: 8/1/2005 31371LCB3OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0254907 5.000% 8/25/2005 7,623.980 1,581.41 1,581.41 0.00 10/01/2018 DD 09/01/03SEC ID: 8/1/2005 31371LDL0OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 • IT FNMA POOL #0254953 5.000% 8/25/2005 5,116.000 1,125.20 1,125.20 0.00 11/01/2018 DD 10/01/03SEC ID: 8/1/2005 31371LE21OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 • IT FNMA POOL #0254987 5.000% 8/25/2005 15,790.740 3,023.20 3,023.20 0.00 12/01/2018 DD 11/01/03SEC ID: 8/1/2005 31371LF46OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 • IT FNMA POOL #0323980 6.000% 8/25/2005 3,261.810 597.88 597.88 0.00 04/01/2014 DD 09/0l/99SEC ID: 8/1/2005 31374T2M0OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * Workbench ·.• Actual Settle Date 54 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000l0000 8/1/2005-8/31/2005 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% 8/25/2005 534.430 86.45 86.45 0.00 01/01/2018 DD 0l/01/03SEC ID: 8/1/2005 31376J4M8OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0357430 5.000% 8/25/2005 17,007.000 4,584.35 4,584.35 0.00 09/01/2018 DD 09/01/03SEC ID: 8/1/2005 31376KA710CSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0456482 6.000% 8/25/2005 376.200 175.08 175.08 0.00 02/01/2014 DD 02/01/99SEC ID: 8/1/2005 31381CCT2OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0509649 6.000% 8/25/2005 811.140 469.55 469.55 0.00 09/01/2014 DD 09/01/99SEC ID: 8/1/2005 31383QEW0OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8 /25/2005 * IT FNMA POOL #0535451 6.000% 8/25/2005 2,238.940 465.42 465.42 0.00 06/01/2015 DD 07 /01/00SEC ID: 8/1/2005 31384VZQ8OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0555363 5.000% 8/25/2005 5,834.840 1,111.52 1,111.52 0.00 04/01/2018 DD 03/01/03SEC ID: 8/1/2005 31385W5YlOCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 • IT FNMA POOL #0555453 5.000% 8/25/2005 532.750 115.48 115.48 0.00 05/01/2018 DD 04/01/03SEC ID: 8/1/2005 31385XBW6OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0555545 5.000% 8/25/2005 4,338.540 925.84 925.84 0.00 06/01/2018 DD 05/01/03SEC ID: 8/1/2005 3138SXES2OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 • Workbench • Actual Settle Date 55 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSGO00l0000 8/1/2005-8/31/2005 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% 8/25/2005 12,741.020 3,170.33 3,170.33 0.00 07/01/2018 DD 06/01/03SEC ID: 8/1/2005 31385XG68OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0681309 5.000% 8/25/2005 6,024.270 1,754.93 1,754.93 0.00 02/01/2018 DD 02/0l/03SEC ID: 8/1/2005 31391Y3S4OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0681334 5.000% 8/25/2005 634.510 210.20 210.20 0.00 02/01/2018 DD 01/01/03SEC ID: 8/1/2005 31391Y4TlOCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0684798 5.500% 8/25/2005 3,780.480 1,424.90 1,424.90 0.00 03/01/2033 DD 03/0l/03SEC ID: 8/1/2005 31400DX310CSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0684908 5.000% 8/25/2005 7,699.850 1,163.75 1,163.75 0.00 06/01/2018 DD 05/0l/03SEC ID: 8/1/2005 31400D3R1OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0685200 5.000% 8/25/2005 2,015.640 625.64 625.64 0.00 03/01/2018 DD 03/01/03SEC ID: 8/1/2005 31400EGH7OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0685665 5.000% 8/25/2005 380.940 104.82 104.82 0.00 02/01/2018 DD 02/0l/03SEC ID: 8/1/2005 31400EW22OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0686318 5.000% 8/25/2005 3,689.440 941.31 941.31 0.00 03/01/2018 DD 03/0l/03SEC ID: 8/1/2005 31400FPB7OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * Wo,-kbench ·• Actual Settle Date 56 Transaction Detail ReportID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000lO000 8/1/2005 -8/31/2005 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% 8/25/2005 1,174.770 368.59 368.59 0.00 06/01/2018 DD 06/01/03SEC ID: 8/1/2005 31400JEL9OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0689859 5.000% 8/25/2005 399.210 336.05 336.05 0.00 05/01/2018 DD 05/01/03SEC ID: 8/1/2005 31400KMG8OCSF07522202: LONG TERM 8/25/2005 OP ER-PIM CO 8/25/2005 * IT FNMA POOL #0693834 5.000% 8/25/2005 11,821.890 1,979.63 1,979.63 0.00 03/01/2018 DD 03/01/03SEC ID: 8/1/2005 31400PY74OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0695852 5.000% 8/25/2005 3,706.090 734.69 734.69 0.00 05/01/2018 DD 05/01/03SEC ID: 8/1/2005 31400SBV0OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0695889 5.000% 8/25/2005 7,707.320 2,598.81 2,598.81 0.00 05/01/2018 DD 05/01/03SEC ID: 8/1/2005 31400SC23OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0697026 5.000% 8/25/2005 113.600 77.39 77.39 0.00 05/01/2018 DD 04/01/03SEC ID: 8/1/2005 31400TLF2OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0702210 5.000% 8/25/2005 6,662.910 745.99 745.99 0.00 05/01/2018 DD 05/01/03SEC ID: 8/1/2005 31401ADP9OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0702328 5.000% 8/25/2005 1,517.010 434.13 434.13 0.00 05/01/2018 DD 04/01/03SEC ID: 8/1/2005 31401AHD2OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * Workbench ·• Actual Settle Date 57 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000 10000 8/1/2005-8/31/2005 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% 8/25/2005 6,630.190 970.30 970.30 0.00 06/01/2018 DD 06/01/03SEC ID: 8/1/2005 31401HZM7OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0709360 5.000% 8/25/2005 8,842.250 2,150.60 2,150.60 0.00 07/01/2018 DD 06/0l/03SEC ID: 8/1/2005 31401J856OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0709826 5.000% 8/25/2005 2,393.310 371.60 371.60 0.00 06/01/2018 DD 06/0l/03SEC ID: 8/1/2005 31401JSP4OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0709917 5.000% 8/25/2005 3,602.550 765.83 765.83 0.00 06/01/2018 DD 06/01/03SEC ID: 8/1/2005 31401JVJ4OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 • IT FNMA POOL #0709963 5.000% 8/25/2005 80.330 72.58 72.58 0.00 06/01/2018 DD 06/01/03SEC ID: 8/1/2005 31401JWY0OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 • IT FNMA POOL #0710235 5.000% 8/25/2005 10,290.060 1,948.75 1,948.75 0.00 06/01/2018 DD 06/0l/03SEC ID: 8/1/2005 31401KBC8OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 • IT FNMA POOL #0713344 5.000% 8/25/2005 60.770 51.50 51.50 0.00 06/01/2018 DD 06/01/03SEC ID: 8/1/2005 31401NP52OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0713365 5.000% 8/25/2005 4,763.210 791.54 791.54 0.00 07/01/2018 DD 07/01/03SEC ID: 8/1/2005 31401NQS1OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * Workbench ·> Actual Settle Date 58 Transaction Detail ReportID: EWBA09 Reported by Transaction Category Base Currency: USO OCSD-CONSOLIDATED -OCSG000l0000 8/1/2005-8/31/2005 Status: FINAL I Trade Date Local Price Net Gain/Loss 1 Tran Settle Date Base Price Cost Amount Type Description Reported Date Base Ex Rate Shares/Par Base Base Base IT FNMA POOL #0720319 5.000% 8/25/2005 11,861.230 2,415.47 2,415.47 0.00 07/01/2018 OD 07/01/03SEC ID: 8/1/2005 31401 WG45OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0720369 5.000% 8/25/2005 10,761.880 7,807.66 7,807.66 0.00 06/01/2018 OD 06/01/03SEC ID: 8/1/2005 31401WJN0OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0721629 5.000% 8/25/2005 4,833.890 1,037.28 1,037.28 0.00 07/01/2018 DD 06/0l/03SEC ID: 8/1/2005 31401XVW4OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0723487 5.000% 8/25/2005 1,020.450 767.83 767.83 0.00 06/01/2018 DD 06/01/03SEC ID: 8/1/2005 31402AXQ4OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0725530 5.000% 8/25/2005 51,999.180 11,883.91 11,883.91 0.00 06/01/2019 DD 05/01/04SEC ID: 8/1/2005 31402DA75OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0729601 5.000% 8/25/2005 3,386.020 1,381.68 1,381.68 0.00 07/01/2018 DD 07 /01/03SEC ID: 8/1/2005 31402HRW3OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0732873 5.000% 8/25/2005 130.310 123.31 123.31 0.00 11/01/2018 DD 10/01/03SEC ID: 8/1/2005 31402MFN5OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0735227 5.500% 8/25/2005 20,651.840 4,441.93 4,441.93 0.00 02/01/2035 DD 01/01/05SEC ID: 8/1/2005 31402QYY1OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * Workbench • Actual Settle Date 59 Transaction Detail ReportID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000l0000 8/1/2005 -8/31/2005 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 #0737130 5.000% 8/25/2005 39,032.280 2,218.93 2,218.93 0.00 10/01/2018 DD 10/0l/03SEC ID: 8/1/2005 31402S4P9OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0738211 5.000% 8/25/2005 3,331.270 1,808.06 1,808.06 0.00 10/01/2018 DD 10/01/03SEC ID: 8/1/2005 31402UDQ2OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0738487 5.000% 8/25/2005 2,217.250 658.55 658.55 0.00 10/01/2018 DD 10/0l/03SEC ID: 8/1/2005 31402UNC2OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0740457 5.000% 8/25/2005 28,585.580 7,708.04 7,708.04 0.00 10/01/2018 DD 10/01/03SEC ID: 8/1/2005 31402WTN8OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0740471 5.000% 8/25/2005 2,965.570 2,678.61 2,678.61 0.00 10/01/2018 DD 10/01/03SEC ID: 8/1/2005 31402WT40OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 • IT FNMA POOL #0740748 5.000% 8/25/2005 3,881.550 2,665.62 2,665.62 0.00 10/01/2018 DD 11/01/03SEC ID: 8/1/2005 31402W5H7OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0743868 5.000% 8/25/2005 602.440 128.57 128.57 0.00 11/01/2018 DD 10/01/03SEC ID: 8/1/2005 314038MR10CSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 • IT FNMA POOL #0744008 5.000% 8/25/2005 4,302.670 3,612.88 3,612.88 0.00 07/01/2018 DD 09/01/03SEC ID: 8/1/2005 31403BR54OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * Workbench ·• Actual Settle Date 60 -:: -, Transaction Detail ReportID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSGO00lO000 8/1/2005 -8/31/2005 Status: FINAL Trade Date Local Price -1 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% 8/25/2005 1,500.630 560.56 560.56 0.00 09/01/2018 DD 09/01/03SEC ID: 8/1/2005 3 l 40383Z4OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0747914 5.000% 8/25/2005 9,653.520 1,074.40 1,074.40 0.00 11/01/2018 DD 11/01/03SEC ID: 8/1/2005 31403F3X0OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0748400 5.000% 8/25/2005 7,010.600 664.36 664.36 0.00 08/01/2018 DD 09/0l/03SEC ID: 8/1/2005 31403GNR9OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0748899 5.000% 8/25/2005 10,195.700 3,418.85 3,418.85 0.00 12/01/2018 DD 11/01/03SEC ID: 8/1/2005 31403G7L0OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0750377 5.000% 8/25/2005 47,937.190 7,404.19 7,404.19 0.00 11/01/2018 DD 11/01/03SEC ID: 8/1/2005 31403JUA2OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0750380 5.000% 8/25/2005 44,118.460 6,285.92 6,285.92 0.00 11/01/2018 DD 11/0l/03SEC ID: 8/1/2005 31403JUD6OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0750445 5.000% 8/25/2005 617.040 579.83 579.83 0.00 11/01/2018 DD 11/01/03SEC ID: 8/1/2005 31403JWE2OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0751960 5.000% 8/25/2005 8,672.080 2,768.78 2,768.78 0.00 12/01/2018 DD 11/01/03SEC ID: 8/1/2005 31403LMH10CSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * Workbench ., Actual Settle Date 61 Transaction Detail Report ID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000 10000 8/1/2005-8/31/2005 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 ·1 ----- IT FNMA POOL #0753425 5.000% 8/25/2005 23,888.750 2,956.31 2,956.31 0.00 11/01/2018 DD 11/01/03SEC ID: 8/1/2005 31403NA23OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 • IT FNMA POOL #0755165 5.000% 8/25/2005 2,462.690 2,035.46 2,035.46 0.00 12/01/2018 DD ll/01/03SEC ID: 8/1/2005 31403Q6A3OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 • IT FNMA POOL #0756372 5.000% 8/25/2005 3,922.190 3,401.50 3,401.50 0.00 11/01/2018 DD 11/0l/03SEC ID: 8/1/2005 31403SJR8OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0784251 5.000% 8/25/2005 94,190.000 12,431.85 12,431.85 0.00 11/01/2019 DD 11/01/04SEC ID: 8/1/2005 31405BH46OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0789670 5.000% 8/25/2005 4,594.290 3,456.14 3,456.14 0.00 12/01/2019 DD 12/01/04SEC ID: 8/1/2005 31405HJP4OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 • IT FNMA POOL #0792432 5.000% 8/25/2005 12,337.330 3,488.24 3,488.24 0.00 10/01/2019 DD 10/01/04SEC ID: 8/1/2005 31405LLM9OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0792437 5.000% 8/25/2005 122,138.270 20,348.07 20,348.07 0.00 10/01/2019 DD 10/0l/04SEC ID: 8/1/2005 31405LLS6OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 • IT FNMA POOL #0794195 5.000% 8/25/2005 3,575.380 3,677.17 3,677.17 0.00 11/01/2019 DD 11/0l/04SEC ID: 8/1/2005 31405NKG9OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * Workbench ·• Actual Settle Date 62 Transaction Detail ReportID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSGO00l0000 8/1/2005 -8/31/2005 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% 8/25/2005 108,812.820 12,898.19 12,898.19 0.00 12/01/2019 DD 12/01/04SEC ID: 8/1/2005 31405RTR7OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0797408 5.000% 8/25/2005 3,013.180 3,296.39 3,296.39 0.00 12/01/2019 DD 12/01/04SEC ID: 8/1/2005 31405R3R5OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0797414 5.000% 8/25/2005 3,821.620 3,254.26 3,254.26 0.00 12/01/2019 DD 12/0l/04SEC ID: 8/1/2005 31405R3X2OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0800370 5.000% 8/25/2005 1,471.200 1,488.64 1,488.64 0.00 12/01/2019 DD 11/01/04SEC ID: 8/1/2005 31405VFK8OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0800998 5.500% 8/25/2005 29,983.360 1,519.25 1,519.25 0.00 11/01/2034 DD 11/01/04SEC ID: 8/1/2005 31405V3F2OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0803923 5.000% 8/25/2005 12,179.770 12,133.81 12,133.81 0.00 12/01/2019 DD 12/01/04SEC ID: 8/1/2005 31406AD41OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0807711 5.000% 8/25/2005 12,760.220 12,186.12 12,186.12 0.00 01/01/2020 DD 01/01/05SEC ID: 8/1/2005 31406EKY9OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0808933 5.500% 8/25/2005 329.460 1,521.56 1,521.56 0.00 01/01/2035 DD 0l/0l/05SEC ID: 8/1/2005 31406FV24OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * Workbench ·> Actual Settle Date 63 Transaction Detail ReportID: EWBA09 Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000l0000 8/1/2005 -8/31/2005 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% 8/25/2005 7,083.100 1,484.38 1,484.38 0.00 12/01/2034 DD 0l/01/05SEC ID: 8/1/2005 31406GEX3OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0814930 5.500% 8/25/2005 4,027.580 1,505.85 1,505.85 0.00 04/01/2035 DD 04/01/05SEC ID: 8/1/2005 31406NLK8OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0815923 5.500% 8/25/2005 10,445.790 1,530.58 1,530.58 0.00 03/01/2035 DD 03/01/05SEC ID: 8/1/2005 31406PPG8OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0816246 5.000% 8/25/2005 2,663.880 2,594.25 2,594.25 0.00 03/01/2020 DD 03/01/05SEC ID: 8/1/2005 31406PZK8OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0819566 5.500% 8/25/2005 3,947.420 1,504.36 1,504.36 0.00 04/01/2035 DD 04/01/05SEC ID: 8/1/2005 31406TQT10CSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0822731 5.500% 8/25/2005 353.190 1,512.27 1,512.27 0.00 05/01/2035 DD 05/01/05SEC ID: 8/1/2005 31406XA85OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0823232 5.500% 8/25/2005 372.730 1,520.58 1,520.58 0.00 06/01/2035 DD 05/01/05SEC ID: 8/1/2005 31406XSV5OCSF07522202: LONG TERM 8/25/2005 OPER-PIMCO 8/25/2005 * IT FNMA POOL #0823787 5.000% 8/25/2005 7,622.220 8,108.48 8,108.48 0.00 o~· ,'.G,!-020 DD 05/0l/05SEC ID: 8/1/2005 3~•,t>tl'l"P'470CSF07522202: LONG TERM OPER-PIMCO 8/25/2005 8/25/2005 * Workbench ·• Actual Settle Date 64 Transaction Detail ReportID: EWBA09 Reported by Transaction Category Base Currency: USO OCSD-CONSOLIDATED -OCSG000 10000 8/1/2005 -8/31/2005 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 FIRST UNION CORP 7.050% 08/01/2005 DD 8/1/2005 20,000.000 705.00 705.00 0.00 08/01/95SECID:337358BB0OCSF07511102:3;1;2005 LIQUID OPER-PIMCO 8/1/2005 IT GNMA POOL #0421389 6.500% 8/15/2005 19.040 42.97 42.97 0.00 04/15/2026 DD 04/01/96SEC ID: 8/1/2005 36206UC23OCSF07522202: LONG TERM 8/15/2005 OPER-PIMCO 8/15/2005" IT GNMA POOL #0449851 6.500% 8/15/2005 19.930 64.82 64.82 0.00 01/15/2028 DD 01/01/98SEC ID: 8/1/2005 36208FWL0OCSF07522202: LONG TERM 8/15/2005 OPER-PIMCO 8/15/2005 * IT GNMA POOL #0466845 6.500% 8/15/2005 48.680 175.39 175.39 0.00 06/15/2028 DD 06/01/98SEC ID: 8/1/2005 36209BTA6OCSF07522202: LONG TERM 8/15/2005 OPER-PIMCO 8/15/2005 * IT GNMA POOL #0468052 6.500% 8/15/2005 69,386.460 592.28 592.28 0.00 07/15/2028 DD 07 /01/98SEC ID: 8/1/2005 36209C5M4OCSF07522202: LONG TERM 8/15/2005 OPER-PIMCO 8/15/2005 * IT GNMA POOL #0476041 6.500% 8/15/2005 215.020 628.57 628.57 0.00 06/15/2028 DD 06/01/98SEC ID: 8/1/2005 36209MZE7OCSF07522202: LONG TERM 8/15/2005 OPER-PIMCO 8/15/2005 * IT GNMA POOL #0478626 6.500% 8/15/2005 190.930 646.30 646.30 0.00 01/15/2029 DD 01/01/99SEC ID: 8/1/2005 36209QVT9OCSF07522202: LONG TERM 8/15/2005 OPER-PIMCO 8/15/2005 * IT GNMA POOL #0480598 6.500% 8/15/2005 40.870 154.35 154.35 0.00 10/15/2028 DD 10/0l/98SEC ID: 8/1/2005 36209S3F6OCSF07522202: LONG TERM 8/15/2005 OPER-PIMCO 8/15/2005 * Workbench ·• Actual Settle Date 65 Transaction Detail Report ID: EWBA09 J Reported by Transaction Category Base Currency: USD OCSD-CONSOLIDATED -OCSG000l0000 8/1/2005 -8/31/2005 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 #0512235 6.500% 8/15/2005 8.270 31.52 31.52 0.00 11/15/2029 DD 11/01/99SEC ID: 8/1/2005 36211GBC6OCSF07522202: LONG TERM 8/15/2005 OPER-PIMCO 8/15/2005 * IT GNMA POOL #0514326 6.500% 8/15/2005 284.680 418.28 418.28 0.00 07/15/2029 DD 07 /01/99SEC ID: 8/1/2005 36211JLF2OCSF07522202: LONG TERM 8/15/2005 OPER-PIMCO 8/15/2005 * IT GNMA 11 POOl-#0080023 VAR RT 12/20/20268/22/2005 2,804.070 461.01 461.01 0.00 DD 12/01/96SEC ID : 8/1/2005 36225CAZ9OCSf07522202: LONG TERM 8/22/2005 OPER-PIMCO 8/22/2005 * IT GNMA II POOL #080088M 7.375% 8/22/2005 8,159.440 611.17 611.17 0.00 06/20/2027 DD 06/0l/97SEC ID: 8/1/2005 36225CC20OCSF07522202: LONG TERM 8/22/2005 OPER-PIMCO 8/22/2005 * IT GNMA II POOL #0080395 VAR RT 8/22/2005 6,004.640 523.23 523.23 0.00 04/20/2030 DD 04/01/00SEC ID: 8/1/2005 36225CNM4OCSF07522202: LONG TERM 8/22/2005 OPER-PIMCO 8/22/2005 • IT GNMA II POOL #080408X VAR RT 8/22/2005 52,854.490 4,647.03 4,647.03 0.00 05/20/2030 DD 05/01/00SEC ID: 8/1/2005 36225CN28OCSF07522202: LONG TERM 8/22/2005 OPER-PIMCO 8/22/2005 * IT GNMA II POOL #0080965 VAR RT 8/22/2005 37,532.440 3,463.31 3,463.31 0.00 07/20/2034 DD 07/01/04SEC ID: 8/1/2005 36225DCB8OCSF07522202: LONG TERM 8/22/2005 OPER-PIMCO 8/22/2005 * IT GNMA GTD REMIC TR 2000-9 FH VAR RT 8/16/2005 10,119.210 1,375.38 1,375.38 0.00 02/ 16/2030SEC ID: 8/16/2005 3837H4NX9OCSF07522202: LONG TERM 8/16/2005 OPER-PIMCO Workbench • Actual Settle Date 66 OCSD-CONSOLIDATED -OCSG000 10000 Transaction Detail Reported by Transaction Category 8/1/2005-8/31/2005 Tran Type Description Trade Date Settle Date Reported Date IT IT IT IT IT IT CD CD HSBC FIN CORP MTN # TR 00002 VAR RT 02/28/2007 DD 03/29/05SEC ID: 40429JAB3OCSF07522202: LONG TERM OPER-PIMCO HSBC FIN CORP MTN# TR 00007 VAR RT 05/10/2010 DD 05/10/05SEC ID: 40429JAG2OCSF07522202: LONG TERM OP ER-PIM CO 8/31/2005 8/31/2005 8/31/2005 8/10/2005 8/10/2005 8/10/2005 MORGAN STANLEY NT VAR RT 11/09/2006 8/9/2005 DD 11 / 12/04SEC ID: 61746SAZ2OCSF07522202: LONG TERM OPER-PIMCO RESIDENTlALASSET 03-RSll AIIB VAR RT 12/25/2033 DD 12/30/03SEC ID: 760985K83OCSF07522202: LONG TERM OPER-PIMCO SBA GTD PARTN CTFS SBIC-PS 01 6.640% 02/10/2011 DD 02/21/0lSEC ID: 831641DD4OCSF07522202: LONG TERM OPER-PIMCO TOYOTA MTR CR MTN #TR00413 VAR RT 09/18/2006 DD 03/16/05SEC ID: 89233PTE6OCSF07522202: LONG TERM OPER-PIMCO 8/9/2005 8/9/2005 8/25/2005 8/25/2005 8/25/2005 8/10/2005 8/1/2005 8/10/2005 8/10/2005 * 8/18/2005 8/18/2005 8/18/2005 US TREASURY INFLATION INDEX NT 3.625% 8/31/2005 01/15/2008 DD 01/ 15/98SEC ID: 9128273T7OCSF07522202: LONG TERM OPER-PlMCO 8/31/2005 US TREASURY INFLATION INDEX NT 3.875% 8/31/2005 01/15/2009 DD 01/ 15/99SEC ID: 9l28274Y5OCSF07522202: LONG TERM OPER-PIMCO 8/31/2005 • Actual Settle Date Local Price Base Price Base Ex Rate 67 Shares/Par 3,000,000.000 3,000,000.000 650,000.000 37,501.300 479,454.480 2,000,000.000 0.000 0.000 Cost Base 25,760.00 26,680.00 5,462.56 1,341.34 27,211.07 5,767.29 1,176.00 5,225.00 ReportlD: EWBA09 Base Currency: USD Status: FINAL Amount Base 25,760.00 26,680.00 5,462.56 1,341.34 27,211.07 5,767.29 1,176.00 5,225.00 Net Gain/Loss Base 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Workbench \ '\ OCSD-CONSOLIDATED • OCSGOOOlOOOO Transaction Detail Reported by Transaction Category 8/1/2005-8/31/2005 Tran Trade Date Settle Date Reported Date Local Price Base Price Base Ex Rate Type Description CD CD IT IT US TREASURY JNFL/\TION INDEXED 2.000% 8/31/2005 01/15/2014 DD 01f15/04SEC LO: 9l.2828BW9OCSF07522202: LONG TERM OPER-PIMCO 8/31/2005 US TREASURY INl?LATION INDEX NT 2.000% 8/31/2005 07/15/2014 DD 07 / l5/04SEC ID: 9J2828CP3OCSF07522202: LONG TERM OPER-PIMCO 8/31/2005 US TREASURY NOTES 2.750% 07/31/2006 8/1/2005 DD 07/31/04SEC ID: 9 l 2828CQ l OCSF07522202: LONG TERM OP.E:R-PJMCO 7/31/2005 8/1/2005 8/1/2005 • U S TREASURY NOTES 2.375% 08/31/2006 8/31/2005 8/28/2005 8/31/2005 DD 08/31/04SEC ID: 912828CU2OCSF07522202: LONG TERM OPER-PIMCO 8/31/2005 * TOTAL FIXED INCOME SECURITIES U.S. DOLLAR: TOTAL FIXED INCOME SECURITIES BASE: TOTAL INTEREST BASE: Shares/Par 0.000 0.000 14,000,000.000 55,300,000.000 91,576,231.380 91,576,231.380 124,176,231.380 Cost Base 49.00 1,488.00 192,500.00 656,687.50 1,322,041.32 1,322,041.32 1,398,783.11 Report ID: EWBA09 Base Currency: USD Status: FINAL Amount Base Net Gain/Loss Base 49.00 0.00 1,488.00 0.00 192,500.00 0.00 656,687.50 0.00 1,322,041.32 o.oo 1,322,041.32 0.00 1,398,783.11 o.oo TOTAL TRANSACTIONS: 108,652,180.150 -47,199,994.88 -11,730,140.13 -2,489,921.60 Wo1·kbench ·> Actual Settle Date 68