1999 12 08 IABAGENDA
INVESTMENT ADVISORY BOARD
Study Session Room
78-495 Calle Tampico- La Quinta, CA 92253
December 8, 1999 - 5:30 P.M.
I CALL TO ORDER
A. Pledge of Allegiance
B. Roll Call
II PUBLIC COMMENT- (This is the time set aside for public comment on any matter not scheduled on the agenda.)
III CONFIRMATION OF AGENDA
IV CONSENT CALENDAR
A. Approval of Minutes of Meeting on November 10, 1999 for the
Investment Advisory Board.
V BUSINESS SESSION
A. Transmittal of Treasury Report for October, 1999
VI CORRESPONDENCE AND WRITTEN MATERIAL
A. Month End Cash Report and Selected Interest Rates - November 1999
B. Pooled Money Investment Board Reports - September, 1999
C. LAIF Answer Book update for September 30, 1999
VII BOARD MEMBER ITEMS
VIII ADJOURNMENT
INVESTMENT ADVISORY BOARD Business Session: A
Meeting Date: December 8, 1999
ITEM TITLE:
Transmittal of Treasury Report
for October, 1999
BACKGROUND:
Attached please find the Treasury Report for October, 1999.
RECOMMENDATION:
Review, Receive and File the Treasury Report for October, 1999.
hn M. Falconer, Finance Director
T a 4hf 4 QK&rA
MEMORANDUM
TO: La Quinta City Council
FROM: John M. Falconer, Finance Director/Treasurer
SUBJECT: Treasurer's Report for October 31, 1999
DATE: December 1, 1999
Attached is the Treasurer's Report for the month ending October 31, 1999. The report is submitted to
the City Council each month after a reconciliation of accounts is accomplished by the Finance Dept.
The following table summarizes the changes in investment types for the month:
Investment
Beginning
Purchased
Sold/Matured
Other
Ending
Change
Cash
$200,960
$948,458
$1,149,418
$948,458
LAIF
11,348,346
691,651
850,000
11,189,997
(158,349)
US Treasuries
14,066,046
0
0
14,066,046
0
US Gov't Agencies
17,584,905
0
0
22,191
17,607,096
22,191
Commercial Paper
0
0
0
0
0
Mutual Funds
9,454,386
0
433,688
9,020,698
(433,688)
Total
$52 654 643
1 $2 945 988
1 $1 283 688
$970 649
1 $53 033 255
1 $378 612
I certify that this report accurately reflects all pooled investments and is in compliance with the California
Government Code; and ins in conformity with the City Investment Policy.
As Treasurer of the City of La Quinta, I hereby certify that sufficient investment liquidity and anticipated
revenues are available to meet the pools expenditure requirements for the next six months. the City of
La Quinta used the Bureau of the Public Debt, U.S. Bank Monthly Statement and the Bank of New York
Monthly Custodian Report to determine the fair market value of investments at month end.
John M. Falconer Date
Finance Director/Treasuer
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CITY OF LA QUINTA
CITY
CITY RDA
RDA FA
BALANCE SHEET 10/31/99
FIXED
LONG TERM FIXED
LONG TERM FINANCING LONG TERM
GRAND
CITY ASSETS
DEBT RDA ASSETS
DEBT AUTHORITY DEBT
TOTAL
ASSETS:
POOLED CASH
4,051,921.83
6,432,291.32
(994.24)
10,483,218.91
LQRP INVESTMENT IN POOLED CASH
705,000.00
705,000.00
INVESTMENT T-BILL/NOTES & OTHER
26,000,000.00
26,000,000.00
AUTO MALL CASH
1,097,691.01
1,097,691.01
LQRP CASH
44,507.09
44,507.09
BOND REDEMPTION CASH
367,454.19
28.73
367,482.92
BOND RESERVE CASH
BOND PROJECT CASH
14,064,990.78
588,224.69
14,653,215.47
BOND ESCROW CASH
PETTY CASH
1,000.00
1,000 00
CASH & INVESTMENT TOTAL
31,150,612.84
21,614,243.38
587,259.18
53,352,115.40
INVESTMENT IN LAND HELD FOR RESALE
ACCOUNTS RECEIVABLE
47,154.46
60,900.00
8,260,000.00 6,368,054.46
PREMIUM/DISCOUNT ON INVESTMENT
(322,664.78)
3,804.86
(318,859.92)
LQRP-ACCOUNTS RECEIVABLE
50,130.38
50,130.38
INTEREST RECEIVABLE
200,495.81
176,397.56
376,893.37
LOAN/NOTES RECEIVABLE
25,841.74
2,668,850.80
2,694,692.54
DUE FROM OTHER AGENCIES
127,984.00
127,984.00
DUE FROM OTHER GOVERNMENTS
DUE FROM OTHER FUNDS
785,357.14
741,656.90
1,527,014.04
DUE FROM RDA
6,890,277.20
6,890,277.20
INTEREST ADVANCE -DUE FROM RDA
1,317,980.34
1,317,980.34
ADVANCES TO OTHER FUNDS
719,105.82
719,105.82
NSF CHECKS RECEIVABLE
2,021.49
2,021.49
ACCRUED REVENUE
833.40
833.40
TRAVEL ADVANCES
978.00
978.00
EMPLOYEE ADVANCES
PREPAID EXPENSES
60,300.00
60,300.00 ,
RECEIVABLE TOTAL
9,854,831.22
3,702,573.90
8,260,000.00 21,817,405.12
WORKER COMPENSATION DEPOSIT
37,637.00
37.637.00
RENT DEPOSITS
UTILITY DEPOSITS
75.00
75.00
MISC. DEPOSITS
2,100.00
2,100.00
DEPOSITS TOTAL
39,812.00
39,812.00
GENERAL FIXED ASSETS
1,289,694.28 15,146,522.00
10,233,506.05
26,669,722.33
ACCUMULATED DEPRECIATION
(585,360.27)
(585,360.27)
AMOUNT AVAILABLE TO RETIRE L/T DEBT
3,395,117.03
3,395,117.03
AMOUNT TO BE PROVIDED FOR L/T DEBT
1,677,482.02
94,762,526.06
8,260,000.00 104,700,008.08
TOTAL OTHER ASSETS
704,334.01 15,146,522.00
1,677,482.02 10,233,506.05
98,157,643.09
8,260,000.00 134,179,487.17
TOTAL ASSETS
41 749 590.07 15 146 522.00
1,677,482.02 25 316 817.28 10,233,506.05
98 157 643.09
8,847,259.18 8,260 0 00.00 209,388,819.69
LIABILITY
ACCOUNTS PAYABLE
21,251.93
11,999.44 17,195.00
50,446.37
DUE TO OTHER AGENCIES
805,873.88
805,873.88
DUE TO OTHER FUNDS
575.00
1,517,134.04
9,305.00
1,527,014.04
INTEREST ADVANCE -DUE TO CITY
ACCRUED EXPENSES
PAYROLL LIABILITIES
43,386.02
43,386.02
STRONG MOTION INSTRUMENTS
2,820.48
2,820.48
FRINGE TOED LIZARD FEES
19,640.00
19,640.00
SUSPENSE
129,128.81
129,128.81
DUE TO THE CITY OF LA QUINTA
PAYABLES TOTAL
1,022,676.12
11.999.44 1,534,329.04
9,305.00
2,578,309.60
ENGINEERING TRUST DEPOSITS
198.00
198.00
SO. COAST AIR QUALITY DEPOSITS
ARTS IN PUBLIC PLACES DEPOSITS
496,551.06
496,551.06
LQRP DEPOSITS
15,064.00
15,064.00
DEVELOPER DEPOSITS
1,276,852.33
1,276,852.33
MISC. DEPOSITS
329,760.95
329,760.95
AGENCY FUND DEPOSITS
790,078.33
790,078.33
TOTAL DEPOSITS
2,893,440.67
15,064.00
2,908,504.67
DEFERRED REVENUE
8,270.67
8,260,000.00
8,268,270.67
OTHER LIABILITIES TOTAL
8,270.67
8,260,000.00
8,268,270.67
COMPENSATED ABSENCES PAYABLE
337,880.86
337,880.86
DUE TO THE CITY OF LA QUINTA
1,327,601.72
8,208,257.34
9,535,859.06
DUE TO COUNTY OF RIVERSIDE
12,466,237.00
12,466,237.00
DUE TO C.V. UNIFIED SCHOOL DIST.
10,068,148.75
10,068,148.75
DUE TO DESERT SANDS SCHOOL DIST.
BONDS PAYABLE
67,415,000.00
(504.08) 8,260,000.00
75,674,495.92
TOTAL LONG TERM DEBT
1,665,482.58
98,157,643.09
(504.08) 8,260,000.00
108,082,621.59
TOTAL LIABILITY
3,924,387.46
1,677,482.02 1,549,393.04
98,157,643.09
8,268,800.92 8,260,000.00
121,837,706.53
EQUITY -FUND BALANCE
37,825,202.61 15,146,522.00
23,767,424.24 10,233,506.05
578,458.26
87,551,113.16
TOTAL LIABILITY & EQUITY 41 749 590.07 15 146 522.00 1,677,482.02 25 316 817.28 10 233 506.05 98,157,643.09 8,847,259.18 8,260,000.00 209,388,819.69
(0.00) (0.00) (0.00) (0.00)
CASH & INVESTMENT TOTAL 53,352,115.40
PREMIUM/DISCOUNT ON INVESTMENT (318,859.92)
TOTAL 63,033,255.48
000
INVESTMENT ADVISORY BOARD
Meeting Date: December 8, 1999
TITLE:
Month End Cash Report and Selected
Interest Rates - November 1999
BACKGROUND:
Correspondence & Written
Material Item A
This cash report is not a complete Treasury Report (exclude petty cash, deferred
compensation and fiscal agent balances) but would report in a timely fashion
selected cash balances.
The Interest Rates are submitted for information only.
RECOMMENDATION:
Information item only.
hn'M. Falconef, Finance Director
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Federal Reserve Statistical Release H.15 - Daily Update
http://www.federalreserve.gov/Releases/H 15/update/
Selected Interest Rates
Release Date: December 1, 1999
H.15: Release I Release dates I About I ASCII I Historical data I Daily update
H.15 Daily Update
The weekly release is posted on Monday. Daily updates of the weekly release are posted
Tuesday through Friday on this site.
H.15 DAILY UPDATE: WEB RELEASE ONLY For immediate release
SELECTED INTEREST RATES December 1, 1999
Yields in percent per annum
Mon Tue
Nov 29 Nov 30
Instruments
SELECTED INTEREST RATES
Federal funds (effective) 1 2 3
5.61
5.63
Commercial paper 3 4 5 6
Nonfinancial
1-month
5.49
5.47
2-month
5.84
5.87
3-month
5.85
5.81
Financial
1-month
5.52
5.46
2-month
5.89
5.91
3-month
5.83
5.88
Bankers acceptances (top rated) 3 4 7
3-month
5.91
5.90
6-month
5.80
5.83
CDs (secondary market)
1-month
5.61
6.40
3-month
5.55
6.00
6-month
5.99
6.01
Eurodollar deposits (London) 3 9
1-month
6.41
6.38
3-month
6.03
6.03
6-month
6.00
6.00
Bank prime loan 2 3 10
8.50
8.50
Discount window borrowing 2 11
5.00
5.00
U.S. Government securities
Treasury bills
. Auction high 3 4 12
3-month
5.20
6-month
5.33
1-year
Secondary market 3 4
3-month
5.17
5.15
003
1 of 3 12/01/1999 2:53 PM
Federal Reserve Statistical Release H.15 - Daily Update
http://www.federalreserve.gov/Releases/H 15/update/
6-month
5.35
5.33
1-year
5.39
5.37
Treasury constant maturities
3-month
5.36
5.30
6-month
5.58
5.57
1-year
5.72
5.70
2-year
6.04
6.01
3-year
6.10
6.05
5-year
6.14
6.11
7-year
6.32
6.28
10-year
6.21
6.18
20-year
6.66
6.62
30-year
6.31
6.29
Composite
Over 10 years (long-term) 14
6.60
6.57
Corporate bonds
Moody's seasoned
Aaa
7.52
7.50
Baa
8.20
8.17
State & local bonds 15
Conventional mortgages 16
FOOTNOTES
1. The daily effective federal funds rate is a weighted average of rates
on trades through N.Y. brokers.
2. Weekly figures are averages of 7 calendar days ending on Wednesday of
the current week; monthly figures include each calendar day in the
month.
3. Annualized using a 360-day year or bank interest.
4. On a discount basis.
S. Interest rates interpolated from data on certain commercial paper
trades settled by The Depository Trust Company. The trades represent
sales of commercial paper by dealers or direct issuers to investors
(that is, the offer side). See Board's Commercial Paper Web pages
(http://www.federalreserve.gov/releases/cp) for more information.
6. The 1-, 2-, and 3-month rates are equivalent to the 30-, 60-, and
90-day dates reported on the Board's Commercial Paper Web page.
7. Representative closing yields for acceptances of the highest rated
money center banks. Source: Telerate, Inc.
8. An average of dealer offering rates on nationally traded certificates
of deposit.
9. Bid rates for Eurodollar deposits collected around 9:30 a.m. Eastern time.
10. Rate posted by a majority of top 25 (by assets in domestic offices)
insured U.S.-chartered commercial banks. Prime is one of several base
rates used by banks to price short-term business loans.
11. Rate for the Federal Reserve Bank of New York.
12. Auction date for daily data; weekly and monthly averages computed
on an issue -date basis. Data are stop yields from uniform -price
auctions, rounded to two decimal places. (The U.S. Treasury
publishes stop yields to three decimal places at
http://www.publicdebt.treas.gov).
13. Yields on actively traded issues adjusted to constant maturities.
Source: U.S. Treasury.
14. Unweighted average of rates on all outstanding bonds neither due nor
callable in less than 10 years.
15. Bond Buyer Index, general obligation, 20 years to maturity, mixed
quality; Thursday quotations.
16. Contract interest rates on commitments for fixed-rate first mortgages.
Source: FHLMC.
oar
2 of 3 12/01/1999 2:53 PM
Federal Reserve Statistical Release H.15 - Daily Update http://www.federalreserve.gov/Releases/H15/update/
DESCRIPTION OF THE TREASURY CONSTANT MATURITY SERIES
Yields on Treasury securities at "constant maturity" are interpolated
by the U.S. Treasury from the daily yield curve. This curve, which
relates the yield on a security to its time to maturity, is based on
the closing market bid yields on actively traded Treasury securities in
the over-the-counter market. These market yields are calculated from
composites of quotations obtained by the Federal Reserve Bank of New
York. The constant maturity yield values are read from the yield curve
at fixed maturities, currently 3 and 6 months and 1, 2, 3, 5, 7,.10, 20,
and 30 years. This method provides a yield for a 10-year maturity, for
example, even if no outstanding security has exactly 10 years remaining
to maturity. In estimating the 20-year constant maturity, the Treasury
incorporates the prevailing market yield on an outstanding Treasury bond
with approximately 20 years remaining to maturity.
H.15: Release I Release dates I About I ASCII I Historical data I Daily update
Home I Statistical releases
To comment on this site, please fill out our feedback form.
Last update: December 1, 1999
005
3 of 3 12/01/1999 2:53 PM
FRB:Commercial Paper Rates and Outstandings
http://www.federalreserve.gov/Releases/CP/
Federal R� Release
Release I About I Outstandin;;s I Historical discount rates I Historical outstanding
Data as of November 30, 1999
Commercial Paper Rates and Outstandin s st tstics
1999: 3
Derived from data supplied by The Depository Trust Company
Posted December 1, 1999
Discount rates
Yield curve
Money market basis
Percent
1 7 15 3D E0 9D
Days to Maturity
Fin ane"kiI——— Nonfineneial ••••• A2/P2
Discount rate spread
Thirty -day A2/P2 less AA nonfinancial commercial paper (daily)
01 MAAY98 09AUG98 17NOV98 25 FE999 OM U N99 135 EP99
2". `F:e ra— — — A2/P29pread, 5—day wooing average
1 of 3
Basis points
6.5
6.4
8.3
8.2
�.1
B.0
5.9
5.7
5.6
5.5
5.4
I
90
so
70
60
50
4-0
20
10
-4- 22DEC99
OJO
12/01/1999 2:55 PM
FRB:Commercial Paper Rates and Outstandings
http://www.federalreserve.gov/Releases/CP/
Disi
Thirl
.ount rate history
y-day commercial paper (daily)
�1
Percent
6.1
�.0
� 1 III
if 1 5.9
1 �
5.7
i #FJ�i i j1
� '� 1
s
r
1 # r 5.4
53
01 MAY98 OQAUG98
IN
1 -1.1
y
got tier f.0
4.9
it 4-.S
4.7
17 NOV98 28FE B99 05J U N99 13S EP99 22 D EC9g
Fnonaial — — — Nanfinandal ••••• A2/P2
Outstandings
Weekly (Wednesday), seasonally adjusted
Billions of dollars
11001
`i•,d
9C,
8DO
01 MAY98
Billions of dollars
2S0
270
260
20
240
230
220
210
09AUG98 17NOV98 25FES99 05JU N99 13SEP99
— Fine ncia I — — — Nonfinancial
Commercial paper outstanding
Commercial paper outstanding, miscellaneous categories
Release I About I OutstandI Historical discount rates I Historical outstandinas
Home I Statistical releases
22DEC99
007
2 of 3 12/01 / 1999 2:55 PM
INVESTMENT ADVISORY BOARD
Meeting Date: December 8, 1999
TITLE:
Pooled Money Investment Board Report
for September 1999
BACKGROUND:
Correspondence & Written
Material Item B
The Pooled Money Investment Board Report for September 1999 is included in the
agepda packet.
RECOMMENDATION:
Receive & File
inance Director
STATE OF CALIFORNIA
STATE TREASURER'S OFFICE
POOLED MONEY INVESTMENT BOARD REPORT
SEPTEMBER 1999
TABLE OF CONTENTS
SUMMARY.....
SELECTED INVESTMENT DATA.............................................2
PORTFOLIO COMPOSITION...................................................3
INVESTMENT TRANSACTIONS...............................................4
TIMEDEPOSITS..................................................................16
DEMAND BANK DEPOSITS...................................................22
POOLED MONEY INVESTMENT BOARD DESIGNATION .......... 23
POOLED MONEY INVESTMENT ACCOUNT
SUMMARY OF INVESTMENT DATA
A COMPARISON OF SEPTEMBER 1999 WITH SEPTEMBER 1998
(Dollars in Thousands)
Average Daily Portfolio
$32,879,155
$309542,398
+$293369757
Accrued Earnings
$142,130
$141,571
+559
Effective Yield
5.274
5.639
-.365
Average Life --Month End (in days)
193
198
-5
Total Security Transactions
Amount
$17,460,262
$18,9159783
-$19455,521
Number
385
431
-46
Total Time Deposit Transactions
Amount $875,640 $689,600 +$186,040
Number 79 58 +21
Average Workday Investment Activity $873,138 $933,590-$60,452
Prescribed Demand Account Balances
For Services $208,462 $168,347 +$40,115
For Uncollected Funds $178,339 $172,827 +$5,512
—1—
PHILIP ANGELIDES
STATE TREASURER
STATE OF CALIFORNIA
INVESTMENT DIVISION
SELECTED INVESTMENT DATA
ANALYSIS OF THE POOLED MONEY INVESTMENT ACCOUNT PORTFOLIO (000 OMITTED)
Change in
September 30,1999 Percent From
Tyke of SecuritX Amount Percent Previous Month
Governments
Bills
$293559125
6.78
- .36
Bonds
0
0
0
Notes
$299979,164
8.63
- .47
Strips
0
0
0
Total Governments
$5,3529289
15.41
- .83
Federal Agency Coupons
$3,2709182
9.41
- 1.31
Certificates of Deposit
$65488,964
18.69
+ 4.32
Bank Notes
$19957,972
5.64
+ 1.17
Bankers Acceptances
0
0
0
Repurchases
0
0
- .15
Federal Agency Discount Notes
$397939257
10.92
- .43
Time Deposits
$2,474,490
7.12
- .18
GNMA's
$1,619
.00
0
Commercial Paper
$853979217
24.17
- .19
FHLMC
$15,521
.04
- .01
Corporate Bonds
$2,290,693
6.59
- .41
Pooled Loans
$2,3319,955
6.71
- .57
GF Loans
0
0
0
Reversed Repurchases
<$196329103>
<4.70>
+ 1.41
Total, All Types
$3497429,056
100
INVESTMENT ACTIVITY
September 1999
August 1999
Num er
Amount
Number
Amount
Pooled Money 385
$ 17,4605,262
471
$ 2196929158
Other 20
$ 119409
13
$ 499887
Time Deposits 79
$ 875,640
75
$ 19219,700
TOTALS 484
$ 185,347,311
559
$ 22,961,745
PMIA Monthly Average
Effective Yield 5.274 5.225
Year to Date Yield for
Last Day of Month 5.224 5.201
—2—
Corporate
Bonds
6.59% A
Commercial
Paper
24.17%
Pooled Money Investment Account
Portfolio Composition
$34.7 Billion
Reverses
Loans -4.70%
6.71 %
CD's/BN's
24.33%
Treasuries
15.41 %
Time Deposits
k 7.12%
Mortgages
0.04%
Agencies
20.33%
9/30/99
S Treasuries
B Time Deposits
® Mortgages
0 Agencies
■ CD's/BN's
El Bankers Acceptances
■ Repo
E3 Commercial Paper
® Corporate Bonds
D Loans
E9 Reverses
—3—
09/01/99 REDEMPTIONS
CP
Baxter
09/01/99
5.650
$30,000
1
$4,708.33
5.729
CP
Baxter
09/01/99
5.650
50,000
1
7,847.22
5.729
CP
GMAC
09/01/99
5.600
50,000
1
7,777.78
5.678
CP
GMAC
09/01/99
5.600
50,000
1
7,777.78
5.678
CP
GMAC
09/01/99
5.600
50,000
1
7,777.78
5.678
CP
GMAC
09/01/99
5.600
50,000
1
7,777.78
5.678
CP
GE
09/01/99
5.270
50,000
5
36,597.22
5.347
CP
GE
09/01/99
5.270
50,000
5
36,597.22
5.347
CP
GECC
09/01/99
5.150
50,000
9
64,375.00
5.228
CP
GECC
09/01/99
5.150
50,000
9
64,375.00
5.228
CP
GECC
09/01/99
5.150
50,000
9
64,375.00
5.228
CP
GECC
09/01/99
5.150
50,000
9
64,375.00
5.228
CP
GECC
09/01/99
5.150
50,000
9
64,375.00
5.228
CP
GECC
09/01/99
5.150
50,000
9
64,375.00
5.228
CP
GECC
09/01/99
5.150
50,000
9
64,375.00
5.228
CP
GECC
09/01/99
5.150
50,000
9
64,375.00
5.228
CP
ConAgra
09/01/99
5.230
25,000
26
94,430.56
5.322
CP
ConAgra
09/01/99
5.210
5,000
28
20,261.11
5.303
CP
ConAgra
09/01/99
5.210
50,000
28
202,611.11
5.303
CP
SRAC
09/01/99
5.090
50,000
28
197,944.44
5.181
CP
U/B Calif
09/01/99
5.120
50,000
28
199,111.11
5.211
CP
U/B Calif
09/01/99
5.120
50,000
28
199,111.11
5.211
CP
JC Penney
09/01/99
5.320
20,000
29
85,711.11
5.417
CP
Heller
09/01/99
5.200
25,000
29
104,722.22
5.294
CP
ConAgra
09/01/99
5.250
50,000
30
218,750.00
5.346
CP
JP Morgan
09/01/99
4.820
50,000
121
810,027.78
4.967
CP
JP Morgan
09/01/99
4.820
50,000
121
810,027.78
4.967
CP
Amer Exp
09/01/99
4.780
50,000
134
889,611.11
4.934
CP
Amer Exp
09/01/99
4.780
50,000
134
889,611.11
4.934
CP
Amer Exp
09/01/99
4.780
50,000
138
916,166.67
4.936
CP
Amer Exp
09/01/99
4.780
50,000
138
916,166.67
4.936
MTN
Assoc
7.250%
09/01/99
6.030
15,000
651
1,636,375.00
6.030
FFCB
5.500%
09/01/99
5.150
50,000
350
2,475,416.67
5.150
FFCB
5.500%
09/01/99
5.160
50,000
350
2,479,766.67
5.160
FFCB
5.500%
09/01/99
5.160
50,000
350
2,479,766.67
5.160
SALES .a/
FHLB
5.750%
08/09/00
5.250
11,210
6
9,620.62
5.322
FHLB
6.140%
07/09/02
5.250
14,750
6
12,716.37
5.322
FHLB
5.890%
03/30/04
5.250
14,950
6
12,760.12
5.322
FHLMC
6.440%
08/21/01
5.250
10,000
6
8,652.87
5.322
PURCHASES
CP
Amer Exp
09/02/99
5.420
50,000
CP
Amer Exp
09/02/99
5.420
50,000
CP
Amer Exp
09/02/99
5.420
50,000
CP
GMAC
09/02/99
5.420
50,000
CP
GMAC
09/02/99
5.420
50,000
:m
09/01/99 PURCHASES (continued)
CP
GMAC
CP
Heller
09/02/99 REDEMPTIONS
CP
Amer Exp
CP
Amer Exp
CP
Amer Exp
CP
GMAC
CP
GMAC
CP
GMAC
CP
Amer Exp
CP
FMCC
CP
FMCC
CP
FMCC
CP
FMCC
CP
SRAC
CP
Amer Exp
CP
Amer Exp.
PURCHASES
BN
FNB Chic
CD
Nova Scot
CD
Nova Scot
CP
Amer Exp
CP
Amer Exp
CP
Amer Exp
CP
Amer Exp
CP
Hertz
CP
SRAC
CP
JC Penney
PURCHASES .cI
Treas
Notes
Treas
Notes
Treas
Notes
09/03/99 REDEMPTIONS
CP
Pfizer
CP
Text Fin
CP
Text Fin
CP
Heller
SALES .c/
Treas
Notes
Treas
Notes
09/02/99 5.420 50,000
09/27/99 5.380 30,000
09/02/99
5.420
50,000
1
7,527.78
5.496
09/02/99
5.420
50,000
1
7,527.78
5.496
09/02/99
5.420
50,000
1
7,527.78
5.496
09/02/99
5.420
50,000
1
7,527.78
5.496
09/02/99
5.420
50,000
1
7,527.78
5.496
09/02/99
5.420
50,000
1
7,527.78
5.496
09/02/99
5.230
50,000
7
50,847.22
5.308
09/02/99
5.160
50,000
13
93,166.67
5.241
09/02/99
5.160
50,000
13
93,166.67
5.241
09/02/99
5.160
50,000
13
93,166.67
5.241
09/02/99
5.160
50,000
13
93,166.67
5.241
09/02/99
5.090
50,000
29
205,013.89
5.181
09/02/99
4.780
50,000
139
922,805.56
4.937
09/02/99
4.780
50,000
139
922,805.56
4.937
5.390% 11 /30/99
5.390
50,000
5.420% 12/02/99
5.420
50,000
5.420% 12/02/99
5.420
50,000
09/09/99
5.270
50,000
09/09/99
5.270
50,000
09/09/99
5.270
50,000
09/09/99
5.270
50,000
09/28/99
5.280
25,000
09/28/99
5.280
50,000
11 /02/99
5.580
50,000
5.125% 08/31/00 5.270 2,386
5.125% 08/31/00 5.270 50,000
5.125% 08/31/00 5.270 50,000
09/03/99
5.120
50,000
28
199,111.11
5.211
09/03/99
5.180
45,000
28
181,300.00
5.273
09/03/99
5.180
50,000
28
201,444.44
5.273
09/03/99
5.180
50,000
28
201,444.44
5.273
5.125% 08/31/00
5.270
2,386
1
341.09
5.343
5.125% 08/31/00
5.270
50,000
1
7,148.90
5.343
—5—
09/03/99 SALES rl (continued)
Treas Notes
PURCHASES
CD
Soc Gen
CD
RB Canada
CD
RB Canada
CD
RB Canada
CP
Text Fin
CP
GECC
CP
GECC
CP
GECC
CP
GECC
09/07/99 REDEMPTIONS
CP
Text Fin
CP
GECC
CP
GECC
CP
GECC
CP
GECC
CP
Heller
CP
GMAC
CP
GMAC
CP
JC Penney
PURCHASES
CD
Westdeut
CD
RB Canada
CD
RB Canada
CP
GECC
CP
GECC
CP
GECC
CP
GECC
09/08/99 REDEMPTIONS
CP
GECC
CP
GECC
CP
GECC
CP
GECC
CP
ConAgra
CP
GMAC
CP
GMAC
CP
GECC
CP
GECC
CP
GECC
5.125% 08/31/00 5.270 50,000
5.440%
12/29/99
5.400
13,000
5.390%
12/29/99
5.380
44,000
5.390%
12/29/99
5.380
50,000
5.390%
12/29/99
5.380
50,000
09/07/99
5.250
19,000
09/07/99
5.180
50,000
09/07/99
5.180
50,000
09/07/99
5.180
50,000
09/07/99
5.180
50,000
1 7,148.90 5.343
09/07/99
5.250
19,000
4
11,083.33
5.326
09/07/99
5.180
50,000
4
28,777.78
5.254
09/07/99
5.180
50,000
4
28,777.78
5.254
09/07/99
5.180
50,000
4
28,777.78
5.254
09/07/99
5.180
50,000
4
28,777.78
5.254
09/07/99
5.320
50,000
14
103,444.44
5.405
09/07/99
5.230
50,000
15
108,958.33
5.314
09/07/99
5.230
50,000
15
108,958.33
5.314
09/07/99
5.350
10,739
32
51,069.91
5.450
5.400% 12/29/99
5.400
50,000
5.410% 12/29/99
5.410
50,000
5.410% 11 /21 /36
5.410
50,000
09/08/99
5.340
50,000
09/08/99
5.340
50,000
09/08/99
5.340
50,000
09/08/99
5.340
50,000
09/08/99
5.340
50,000
1
7,416.67
5.414
09/08/99
5.340
50,000
1
7,416.67
5.414
09/08/99
5.340
50,000
1
7,416.67
5.414
09/08/99
5.340
50,000
1
7,416.67
5.414
09/08/99
5.390
23,306
9
31,404.84
5.472
09/08/99
5.230
50,000
16
116,222.22
5.314
09/08/99
5.230
50,000
16
116,222.22
5.314
09/08/99
5.150
50,000
20
143,055.56
5.236
09/08/99
5.150
50,000
20
143,055.56
5.236
09/08/99
5.150
50,000
20
143,055.56
5.236
Im.
09/08/99 PURCHASES
CD
Soc Gen
CD
Soc Gen
CD
Westdeut
CD
Westdeut
CD
Westdeut
CD
Bayer Ver
CD
Bayer Ver
09/09/99 REDEMPTIONS
CD
Dresdner
CD
Dresdner
CP
Amer Exp
CP
Amer Exp
CP
Amer Exp
CP
Amer Exp
CP
GECC
FHLB
FHLB
RRP
Treas
Bills
Treas
Bills
PURCHASES
CD
CIBC
CD
CIBC
CP
Rohm
CP
Rohm
PURCHASES!
FHLB
FHLB
09/10/99 REDEMPTIONS
BN
NationsBk
BN
NationsBk
CD
Bayer Ver
CD
Bayer Ver
CP
Rohm
CP
Rohm
CP
ConAgra
CP
GMAC
CP
GMAC
5.440%
12/29/99
5.435
25,000
5.440%
12/29/99
5.435
50,000
5.400%
12/29/99
5.400
25,000
5.400%
12/29/99
5.400
50,000
5.400% '
12/29/99
5.400
50,000
5.420%
12/29/99
5.415
50,000
5.420%
12/29/99
5.415
50,000
5.120%
09/09/99
5.110
50,000
31
220,015.94
5.180
5.120%
09/09/99
5.110
50,000
31
220,015.94
5.180
09/09/99
5.270
50,000
7
51,236.11
5.348
09/09/99
5.270
50,000
7
51,236.11
5.348
09/09/99
5.270
50,000
7
51,236.11
5.348
09/09/99
5.270
50,000
7
51,236-.11
5.348
09/09/99
5.230
40,000
17
98,788.89
5.315
6.085%
09/09/99
5.200
50,000
357
2,560,388.89
5.200
6.085%
09/09/99
5.200
50,000
357
2,560,388.89
5.200
05/25/00
4.800
50,000
31
(190,232.36)
-4.663
05/25/00
4.800
50,000
31
(190,232.36)
-4.663
5.405% 12/29/99
5.400
50,000
5.405% 12/29/99
5.400
50,000
09/10/99
5.320
50,000
09/10/99
5.320
50,000
5.750% 12/15/00 5.280 42,260
5.570% 08/12/02 5.280 50,000
4.900%
09/10/99
4.900
50,000
150
1,020,833.33
4.968
4.900%
09/10/99
4.900
50,000
150
1,020,833.33
4.968
4.890%
09/10/99
4.880
50,000
150
1,016,708.18
4.947
4.890%
09/10/99
4.880
50,000
150
1,016,708.18
4.947
09/10/99
5.320
50,000
1
7,388.89
5.394
09/10/99
5.320
50,000
1
7,388.89
5.394
09/10/99
5.390
28,535
11
46,995.56
5.473
09/10/99
5.230
50,000
18
130,750.00
5.316
09/10/99
5.230
50,000
18
130,750.00
5.316
—7—
09/10/99 SALES rI
FHLB
5.750%
12/15/00
5.280
42,260
FHLB
5.570%
08/12/02
5.280
50,000
PURCHASES
CID
GECC
09/13/99
5.170
25,000
CID
GECC
09/13/99
5.170
50,000
CID
GECC
09/13/99
5.170
50,000
CID
GECC
09/13/99
5.170
50,000
09/13/99 SALES
CID
GECC
09/13/99
5.170
25,000
CID
GECC
09/13/99
5.170
50,000
CID
GECC
09/13/99
5.170
50,000
CID
GECC
09/13/99
5.170
50,000
CID
GMAC
09/13/99
5.170
50,000
CID
GMAC
09/13/99
5.170
50,000
RRP
Treas
Bills
12/09/99
4.800
50,000
Treas
Bills
12/09/99
4.800
50,000
PURCHASES
BN
Banc One
5.400%
12/08/99
5.400
25,000
BN
Banc One
5.400%
12/08/99
5.400
50,000
BN
Banc One
5.400%
12/08/99
5.400
50,000
CD
BNParis
5.400%
12/29/99
5.395
50,000
CD
BNParis
5.400%
12/29/99
5.395
50,000
CID
Heller
09/28/99
5.350
50,000
CID
ComnWealth
10/27/99
5.500
26,000
09/14/99 NO SALES
PURCHASES
CD
BNParis
5.400%
12/29/99
5.390
50,000
09/15/99 REDEMPTIONS
MTN
World
7.750%
09/15/99
5.000
5,500
PURCHASES
CD
Bayer Ver
5.390%
12/29/99
5.385
50,000
CD
Bayer Ver
5.390%
12/29/99
5.385
50,000
CID
Heller
11 /05/99
5.400
50,000
CID
Merrill
11/08/99
5.480
50,000
_8_
1
1
3
3
3
3
32
32
32
32
275
6,136.39 5.353
7,063.61 5.353
10,770.83
5.244
21,541.67
5.244
21,541.67
5.244
21,541.67
5.244
229,777.78
5.266
229,777.78
5.266
(209,493.33) -4.866
(209,493.33) -4.866
211,146.53 5.001
09/15/99 PURCHASES (continued)
CID
SRAC
11 /09/99
5.340
50,000
CID
SRAC
11 /10/99
5.340
50,000
CID
FMCC
12/27/99
5.280
50,000
CID
FMCC
12/27/99
5.280
50,000
CI'
FMCC
12/29/99
5.280
50,000
CID
FMCC
12/29/99
5.280
50,000
CID
FMCC
12/29/99
5.280
50,000
CID
FMCC
12/29/99
5.280
50,000
CID
Assoc
02/08/00
5.730
50,000
CID
Salomon
02/10/00
5.760
50,000
CID
Assoc
02/11 /00
5.730
50,000
CID
Salomon
02/11 /00
5.760
50,000
09/16/99 NO SALES
PURCHASES
CID
Assoc
11 /09/99
5.280
50,000
CID
ConAgra
11 /10/99
5.460
20,000
CID
Assoc
11 /10/99
5.280
50,000
CID
Amer Exp
11 /10/99
5.280
50,000
CID
U/B Cal
11 /18/99
5.290
50,000
CID
U/B Cal
11/24/99
5.290
50,000
CID
Hertz
01 /10/00
5.750
40,000
CID
Bear
01 /27/00
5.840
50,000
CID
Bear
01 /27/00
5.840
50,000
CID
GMAC
02/14/00
5.780
50,000
CID
GMAC
02/14/00
5.780
50,000
CID
GMAC
02/16/00
5.780
50,000
CID
GMAC
02/16/00
5.780
50,000
09/17/99 NO SALES
PURCHASES
BN
B/A
5.850% 02/29/00
5.850
50,000
BN
B/A
5.850% 02/29/00
5.850
50,000
BN
B/A
5.850% 02/29/00
5.850
50,000
CID
GECC
11/24/99
5.320
50,000
CID
GECC
11/24/99
5.320
50,000
CID
GECC
11 /30/99
5.320
50,000
CID
Salomon
02/01 /00
5.790
50,000
CID
SRAC
02/16/00
5.800
50,000
CID
GMAC
02/29/00
5.750
50,000
CID
GMAC
02/29/00
5.750
50,000
CID
GMAC
02/29/00
5.750
50,000
CID
GMAC
02/29/00
5.750
50,000
09/20/99 REDEMPTIONS
MTN FR
GMAC
PURCHASES
BN
B/A
BN
B/A
CD
Nova Scot
CD
Nova Scot
CD
Bayer Ver
CD
Bayer Ver
CD
U/B Calif
CD
U/B Calif
CID
ConAgra
CID
SRAC
CID
ConAgra
CID
Salomon
CID
Salomon
CID
Bear
CID
Bear
09/21 /99 NO SALES
PURCHASES
CID
FMCC
CID
FMCC
CID
ConAgra
CID
FMCC
CID
FMCC
CID
GMAC
CID
GMAC
CID
Amer Exp
CID
Amer Exp
09/22/99 RRS
Treas
Bills
Treas
Bills
PURCHASES g/
CD
Toronto
CD
Toronto
PURCHASES
BN
B/A
BN
B/A
CD
Dresdner
CD
Dresdner
5.916% 09/20/99 5.687 12,000 558 1,159,073.95 6.316
5.860%
01 /27/00
5.860
5.860%
01 /27/00
5.860
5.840%
01/27/00
5.840
5.840%
01 /27/00
5.840
5.860%
01 /27/00
5.850
5.860%
01 /27/00
5.850
5.910%
01 /27/00
5.910
5.910%
01/27/00
5.910
01 /27/00
6.040
01 /27/00
5.820
02/08/00
6.050
02/29/00
5.760
02/29/00
5.760
02/29/00
5.830
02/29/00
5.830
09/27/99
5.240
09/27/99
5.240
09/28/99
5.250
09/28/99
5.240
09/28/99
5.240
09/28/99
5.240
09/28/99
5.240
09/30/99
5.230
09/30/99
5.230
12/09/99 4.645
12/09/99 4.645
5.370% 12/09/99 5.370
5.370% 12/09/99 5.370
5.850%
02/29/00
5.850
5.850%
02/29/00
5.850
5.850%
01 /27/00
5.845
5.850%
01 /01 /00
5.845
50,000
50,000
25,000
50,000
50,000
50,000
50,000
50,000
30,000
50,000
29,547
50,000
50,000
50,000
50,000
50,000
50,000
15,000
50,000
50,000
50,000
50,000
10,000
50,000
50,000
50,000
50,000
50,000
50,000
50,000
20,000
50,000
—10-
09/22/99 PURCHASES (continued)
CD
BkBoston
CP
Enron
CP
Amer Exp
CP
Amer Exp
CP
ConAgra
CP
Rohm
CP
ConAgra
CP
GMAC
CP
GMAC
09/23/99 RRS
Treas
Bills
Treas
Bills
Treas
Bills
Treas
Bills
Treas
Bills
Treas
Bills
PURCHASES g/
CD
Fst Union
CD
Fst Union
CP
Morg Stan
CP
Morg Stan
Disc Notes
FNMA
Disc Notes
FNMA
PURCHASES
BN
Banc One
BN
Banc One
CD
BkBoston
CD
Dresdner
CD
Dresdner
CP
Merrill
CP
W/F
CP
W/F
09/24/99 RRS
Treas
Bills
Treas
Bills
Treas
Bills
Treas
Bills
REDEMPTIONS
CP
Enron
5.910% 02/29/00
5.910
50,000
09/24/99
5.270
35,000
09/30/99
5.200
50,000
09/30/99
5.200
50,000
10/05/99
5.440
20,000
10/06/99
5.450
7,952
02/08/00
6.050
20,000
02/16/00
5.780
50,000
02/16/00
5.780
50,000
12/09/99
4.660
50,000
12/09/99
4.660
50,000
12/09/99
4.660
50,000
12/09/99
4.660
50,000
12/09/99
4.670
50,000
12/09/99
4.670
50,000
5.370% 12/09/99
5.370
50,000
5.370% 12/09/99
5.370
50,000
12/09/99
5.350
50,000
12/09/99
5.350
50,000
12/09/99
5.190
50,000
12/09/99
5.190
50,000
5.830%
02/29/00
5.830
50,000
5.830%
02/29/00
5.830
50,000
5.910%
01 /27/00
5.910
50,000
5.850%
01 /27/00
5.845
50,000
5.850%
01 /27/00
5.845
50,000
10/05/99
5.300
30,000
02/29/00
5.750
50,000
02/29/00
5.750
50,000
12/09/99
4.660
50,000
12/09/99
4.660
50,000
12/09/99
4.660
50,000
12/09/99
4.660
50,000
09/24/99 5.270 35,000
2 10,247.22 5.344
—11—
09/24/99 PURCHASES g/
CD
Montreal
5.380%
12/09/99
5.380
50,000
CD
Montreal
5.380%
12/09/99
5.380
50,000
CP
Lehman
12/09/99
5.400
50,000
CID
Lehman
12/09/99
5.400
50,000
PURCHASES
CB
W/F
6.500%
09/03/02
6.487
25,000
CP
FMCC
10/07/99
5.270
50,000
CP
FMCC
10/07/99
5.270
50,000.
CP
FMCC
10/07/99
5.270
50,000
CP
FMCC
10/07/99
5.280
50,000
CP
FMCC
10/07/99
5.280
50,000
CP
FMCC
10/07/99
5.280
50,000
09/27/99 REDEMPTIONS
CP
FMCC
09/27/99
5.240
50,000
6
43,666.67
5.317
CP
FMCC
09/27/99
5.240
50,000
6
43,666.67
5.317
CP
Heller
09/27/99
5.380
30,000
26
116,566.67
5.476
CP
GECC
09/27/99
4.790
50,000
164
1,091,055.56
4.964
CP
GECC
09/27/99
4.790
50,000
164
1,091,055.56
4.964
PURCHASES
CP
GMAC
09/28/99
5.300
50,000
CP
GMAC
09/28/99
5.300
50,000
CP
W/F
02/29/00
5.750
50,000
CP
W/F
02/29/00
5.750
50,000
09/28/99 REDEMPTIONS
CD
BNParis
4.870%
09/28/99
4.860
50,000
166
1,120,550.54
4.927
CD
BNParis
4.870%
09/28/99
4.860
50,000
166
1,120,550.54
4.927
CD
Bayer Lnds
4.900%
09/28/99
4.890
50,000
173
1,175,013.50
4.957
CD
Bayer Lnds
4.900%
09/28/99
4.890
50,000
173
1,175,013.50
4.957
CP
GMAC
09/28/99
5.300
50,000
1
7,361.11
5.374
CP
GMAC
09/28/99
5.300
50,000
1
7,361.11
5.374
CP
ConAgra
09/28/99
5.250
15,000
7
15,312.50
5.328
CP
GMAC
09/28/99
5.240
50,000
7
50,944.44
5.318
CP
GMAC
09/28/99
5.240
50,000
7
50,944.44
5.318
CP
FMCC
09/28/99
5.240
50,000
7
50,944.44
5.318
CP
FMCC
09/28/99
5.240
50,000
7
50,944.44
5.318
CP
Heller
09/28/99
5.350
50,000
15
111,458.33
5.436
CP
Hertz
09/28/99
5.280
25,000
26
95,333.33
5.373
CP
Hertz
09/28/99
5.280
50,000
26
190,666.67
5.373
CID
FMCC
09/28/99
5.160
50,000
56
401,333.33
5.273
CP
FMCC
09/28/99
5.160
50,000
56
401,333.33
5.273
CP
Lehman
09/28/99
5.240
50,000
95
691,388.89
5.387
CID
Lehman
09/28/99
5.240
50,000
95
691,388.89
5.387
—12—
09/28/99 REDEMPTIONS (continued)
CP
Bear
09/28/99
4.830
50,000
152
1,019,666.67
4.999
CP
Bear
09/28/99
4.830
50,000
152
1,019,666.67
4.999
CP
Bear
09/28/99
4.830
50,000
152
1,019,666.67
4.999
CP
GECC
09/28/99
4.790
15,000
159
317,337.50
4.961
CP
GECC
09/28/99
4.790
50,000
159
1,057,791.67
4.961
CP
GECC
09/28/99
4.790
50,000
159
1,057,791.67
4.961
CP
GECC
09/28/99
4.790
50,000
159
1,057,791.67
4.961
CP
Amer Exp
09/28/99
4.780
50,000
159
1,055,583.33
4.950
CP
Amer Exp
09/28/99
4.780
50,000
159
1,055,583.33
4.950
CP
GECC
09/28/99
4.790
50,000
165
1,097,708.33
4.965
CP
GECC
09/28/99
4.790
50,000
165
1,097,708.33
4.965
CP
GECC
09/28/99
4.800
50,000
172
1,146,666.67
4.980
CP
GECC
09/28/99
4.800
50,000
172
1,146,666.67
4.980
PURCHASES
CD
Dresdner
5.850% 01/27/00
5.845
50,000
CD
Dresdner
5.850% 01/27/00
5.845
50,000
CP
Heller
10/05/99
5.400
50,000
CP
Bear
02/29/00
5.800
50,000
CP
Bear
02/29/00
5.800
50,000
09/29/99 RRS
Treas
Bills
12/09/99
4.660
50,000
Treas
Bills
12/09/99
4.660
50,000
Treas
Bills
12/09/99
4.660
50,000
PURCHASES g/
CD
Montreal
5.330% 12/09/99
5.330
50,000
Disc Notes
FNMA
12/09/99
5.150
50,000
Disc Notes
FNMA
12/09/99
5.150
50,000
PURCHASES
CD
ANZ
5.950% 01 /10/00
5.920
50,000
w CD
ANZ
5.950% 01 /10/00
5.920
50,000
CP
Assoc
09/30/99
5.400
50,000
x CP
Assoc
09/30/99
5.400
50,000
CP
Amer Exp
09/30/99
5.400
50,000
CP
Amer Exp
09/30/99
5.400
50,000
CP
Merrill
09/30/99
5.400
50,000
CP
ConAgra
10/08/99
5.600
14,200
CP
Country
10/12/99
5.410
33,000
CP
Text Fin
10/18/99
5.400
15,450
CP
Heller
10/18/99
5.400
50,000
CP
GECC
10/18/99
5.310
50,000
CP
GECC
10/18/99
5.310
50,000
CP
GECC
10/21/99
5.310
50,000
—13—
09/29/99 PURCHASES (continued)
CP
GECC
10/21/99
5.310
50,000
CP
GECC
10/27/99
5.310
25,000
CP
GECC
10/27/99
5.310
50,000
CP
Household
10/27/99
5.310
50,000
CP
Household
10/27/99
5.310
50,000
CP
Bear
02/16/00
5.820
50,000
CP
Bear
02/16/00
5.820
50,000
09/30/99 REDEMPTIONS
CP
Amer Exp
09/30/99
5.400
50,000
1
7,500.00
5.475
CP
Amer Exp
09/30/99
5.400
50,000
1
7,500.00
5.475
CP
Amer Exp
09/30/99
5.400
50,000
1
7,500.00
5.475
CP
Amer Exp
09/30/99
5.400
50,000
1
7,500.00
5.475
CP
Merrill
09/30/99'
5.400
50,000
1
7,500.00
5.475
CP
Amer Exp
09/30/99
5.200
50,000
8
57,777.78
5.278
CP
Amer Exp
09/30/99
5.200
50,000
8
57,777.78
5.278
CP
Amer Exp
09/30/99
5.230
10,000
9
13,075.00
5.309
CP
Amer Exp
09/30/99
5.230
50,000
9
65,375.00
5.309
CP
Amer Exp
09/30/99
4.780
50,000
161
1,068,861.11
4.952
CP
Amer Exp
09/30/99
4.780
50,000
161
1,068,861.11
4.952
Disc Notes
FHLMC
09/30/99
5.030
50,000
98
684,638.89
5.170
Disc Notes
FHLMC
09/30/99
5.030
50,000
98
684,638.89
5.170
Disc Notes
FHLMC
09/30/99
5.010
50,000
99
688,875.00
5.150
MTN
Bkrs Trst
6.000% 09/30/99
6.088
15,000
680
1,701,500.00
6.098
PURCHASES
CP
GECC
10/01/99
5.550
50,000
CP
GECC
10/01/99
5.550
50,000
CP
GECC
10/01/99
5.550
50,000
CP
GECC
10/01/99
5.550
50,000
CP
ComnWealth
10/05/99
5.650
10,000
CP
GECC
02/29/00
5.760
40,000
CP
GECC
02/29/00
5.760
50,000
CP
GECC
02/29/00
5.760
50,000
—14—
a/ The abbreviations indicate the type of security purchased or sold;
i.e., (U.S.) Bills, Bonds, Notes, Debentures, Discount Notes,
and Participation Certificates: Federal National Mortgage Association
(FNMA), Farmers Home Administration Notes (FHA), Student Loan
Marketing Association (SLMA), Small Business Association (SBA),
Negotiable Certificates of Deposit (CD), Negotiable Certificates of
Deposit Floating Rate (CD FR), Export Import Notes (EXIW,
Bankers Acceptances (BA), Commercial Paper (CP), Government
National Mortgage Association (GNMA), Federal Home Loan Bank
Notes (FHLB), Federal Land Bank Bonds (FLB), Federal Home Loan
Mortgage Corporation Obligation (FHLMC PC) & (FHLMC GMC),
Federal Farm Credit Bank Bonds (FFCB), Federal Farm Credit Discount
Notes (FFC), Corporate Securities (CB), U.S. Ship Financing Bonds
(TITLE MIS), International Bank of Redevelopment (IBRD), Tennessee
Valley Authority (TVA) Medium Term Notes (MTN).
Purchase or sale yield based on 360 day calculation for discount
obligations and Repurchase Agreements.
c/ Repurchase Agreement.
d/ Par amount of securites purchased, sold, or redeemed.
e/ Securities were purchased and sold as of the same date.
f/ Repurchase Agreement against Reverse Repurchase Agreement.
g/ Outright purchase against Reverse Repurchase Agreement.
Security "SWAP" transactions.
Y Buy back agreement.
RRS Reverse Repurchase Agreement.
RRP Termination of Reverse Repurchase Agreement.
-15-
NAME
ALHAMBRA
East West Bank
East West Bank
East West Bank
East West Bank
Grand National Bank
Grand National Bank
Grand National Bank
Grand National Bank
Grand National Bank
BEVERLY HILLS
City National Bank
City National Bank
City National Bank
City National Bank
City National Bank
Roseville First National Bank
Western Sierra National Bank
CHICO
North State National Bank
North State National Bank
North State National Bank
North State National Bank
North State National Bank
Tri Counties Bank
Tri Counties Bank
Tri Counties Bank
Tri Counties Bank
EverTrust Bank
EverTrust Bank
Valley Independent Bank
Valley Independent Bank
FRESNO
United Security Bank
07/06/99
4.720
35,000,000.00
10/07/99
07/12/99
4.700
8,000,000.00
10/14/99
08/17/99
4.740
38,000,000.00
11 /15/99
07/16/99
4.710
27,000,000.00
01 /21 /00
10/15/98
4.180
1,000,000.00
10/15/99
09/08/99
4.910
3,000,000.00
12/07/99
07/16/99
4.730
2,000,000.00
01/14/00
09/20/99
4.830
3,095,000.00
01 /20/00
08/13/99
5.140
3,000,000.00
02/07/00
05/19/99
4.820
20,000,000.00
02/28/00
03/31/99
4.740
50,000,000.00
03/31/00
05/04/99
4.820
25,000,000.00
05/03/00
07/27/99
5.040
10,000,000.00
07/26/00
09/15/99
5.280
20,000,000.00
09/15/00
07/26/99
4.740
1,000,000.00
01 /24/00 ,
08/04/99
4.970
3,000,000.00
11 /05/99
04/05/99
4.530
1,000,000.00
10/04/99
04/06/99
4.730
1,000,000.00
04/06/00
08/24/99
5.210
1,000,000.00
08/24/00
09/07/99
5.240
500,000.00
09/01 /00
08/30/99
5.160
1,000,000.00
09/01/00
09/09/99
4.920
10,000,000.00
12/09/99
09/16/99
4.860
10,000,000.00
12/16/99
09/21 /99
4.730
10,000,000.00
12/21 /99
07/14/99
4.740
10,000,000.00
01 /11 /00
09/14/99 4.760 1,000,000.00 12/13/99
09/22/99 4.670 2,000,000.00 12/21 /99
08/11/99 5.150 3,750,000.00 02/07/00
08/11 /99 5.250 3,750,000.00 08/11 /00
08/20/99 5.090 10,000,000.00 02/16/00
—16—
INGLEWOOD
Imperial Bank
04/15/99
4.550
20,000,000.00
10/14/99
Imperial Bank
05/25/99
4.750
25,000,000.00
10/21/99
Imperial Bank
06/14/99
4.900
20,000,000.00
10/28/99
Imperial Bank
05/19/99
4.860
25,000,000.00
11/18/99
Imperial Bank
06/28/99
5.100
25,000,000.00
12/22/99
Imperial Bank
09/16/99
4.970
25,000,000.00
01/27/00
Imperial Bank
07/15/99
4.800
50,000,000.00
02/03/00 -
Imperial Bank
09/23/99
5.050
18,000,000.00
02/24/00
Imperial Bank
08/23/99
5.040
25,000,000.00
03/02/00
Imperial Bank
09/09/99
5.220
25,000,000.00
03/09/00
Imperial Bank
07/29/99
4.840
18,000,000.00
03/30/00
Imperial Bank
08/12/99
5.100
26,000,000.00
04/27/00
Bank of Lodi
09/16/99
4.860
1,000,000.00
12115/99
LOS ANGELES
Broadway Federal Bank
07/01 /99
5.160
1,250,000.00
12/28/99
Broadway Federal Bank
07/01 /99
5.200
1,250,000.00
06/30/00
Broadway Federal Bank
09/29/99
5.230
2,500,000.00
10/02/00
Community Bank
04/28/99
4.600
5,000,000.00
10/25/99
Community Bank
06/10/99
5.000
5,000,000.00
12/07/99
Community Bank
06/14/99
5.070
10,000,000.00
12/13/99
Community Bank
07/13/99
4.750
20,000,000.00
01/10/00
Community Bank
06/22/99
5.030
5,000,000.00
06/22/00
Community Bank
08/11/99
5.230
15,000,000.00
08/11/00
Founders National Bank of L.A.
06/17/99
5.020
95,000.00
12/14/99
General Bank
09/09/99
4.280
10,000,000.00
10/12/99
General Bank
09/20/99
4.450
28,000,000.00
10/25/99
General Bank
07/20/99
4.680
7,000,000.00
01/21/00
General Bank
07/27/99
4.730
15,000,000.00
02/02/00
General Bank
08/03/99
4.900
15,000,000.00
02/14/00
General Bank
08/13/99
5.110
25,000,000.00
03/10/00
Manufacturers Bank
08/11/99
4.900
10,000,000.00
11/09/99
Manufacturers Bank
09/07/99
4.970
10,000,000.00
12/06/99
Preferred Bank
08/18/99
4.840
4,000,000.00
11/16/99
Preferred Bank
08/26/99
4.970
2,000,000.00
11/30/99
Preferred Bank
09/03/99
4.940
5,000,000.00
12/03/99
Preferred Bank
09/16/99
4.820
9,000,000.00
12/15/99
Preferred Bank
09/20/99
4.710
9,000,000.00
12/20/99
Preferred Bank
09/28/99
4.820
3,000,000.00
01/04/00
Preferred Bank
07/16/99
4.700
3,000,000.00
01 /18/00
Wilshire State Bank
08/31 /99
5.290
4,000,000.00
08/31 /00
-17-
NAME
OAKDALE
Oak Valley Community Bank
TIME
DEPOSIT DATE
DEPOSIT
YIELD
4.630
PAR AMOUNT ($) MATURITY
DATE
1,000,000.00
01/31/00
03/30/99
Oak Valley Community Bank
09/20/99
5.070
1,000,000.00
03/24/00
Oak Valley Community Bank
03/30/99
4.750
1,000,000.00
03/31/00
Oak Valley Community Bank
05/06/99
4.830
500,000.00
05/22/00
Oak Valley Community Bank
08/10/99
5.220
500,000.00
08/09/00
Oak Valley Community Bank
ONTARIO
09/27/99
5.190
500,000.00
09/29/00
Citizens Business Bank
03/09/99
4.850
5,000,000.00
03/08/00
Citizens Business Bank
03/23/99
4.780
10,000,000.00
03/22/00
Citizens Business Bank
04/07/99
4.720
10,000,000.00
04/06/00
Citizens Business Bank
08/23/99
4.970
20,000,000.00
05/25/00
Citizens Business Bank
06/16/99
5.150
10,000,000.00
06/15/00
Citizens Business Bank
07/07/99
5.100
5,000,000.00
07/06/00
Citizens Business Bank
08/10/99
5.220
10,000,000.00
08/09/00
PALO ALTO
Cupertino National Bank
07/22/99
4.660
10,000,000.00
10/19/99
Cupertino National Bank
08/06/99
4.980
10,000,000.00
02/04/00
Cupertino National Bank
08/30/99
5.120
10,000,000.00
02/25/00
Mid -Peninsula Bank
08/06/99
4.980
15,000,000.00
02/04/00
Mid -Peninsula Bank
08/30/99
5.120
10,000,000.00
02/25/00
Mid -Peninsula Bank
POMONA
03/10/99
5.180
10,000,000.00
03/08/00
PFF Bank and Trust
05/25/99
4.900
8,000,000.00
11/30/99
PFF Bank and Trust
PETALUMA
09/08/99
5.600
10,000,000.00
03/10/00
Bank of Petaluma
REDDING
08/10/99
5.140
1,000,000.00
02/07/00
North Valley Bank
03/23/99
4.780
3,000,000.00
03/22/00
Mechanics Bank
03/08/99
4.840
10,000,000.00
03/07/00
Mechanics Bank
04/05/99
4.740
10,000,000.00
04/04/00
Mechanics Bank
05/06/99
4.810
10,000,000.00
05/05/00
Mechanics -Bank
06/11 /99
5.150
10,000,000.00
06/12/00
Mechanics Bank
08/12/99
5.250
10,000,000.00
08/11 /00
—18—
SACRAMENTO
American River Bank
09/29/99
4.990
1,000,000.00
04/03/00
Bank of Sacramento
09/02/99
5.060
500,000.00
12/03/99
River City Bank
07/13/99
4.780
5,000,000.00
01/10/00
River City Bank
07/30/99
4.870
5,000,000.00
01 /31 /00
River City Bank
08/18/99
5.210
5,000,000.00
08/18/00
Sanwa Bank of California
08/03/99
4.900
7,000,000.00
02/07/00
Sanwa Bank of California
07/15/99
5.000
10,000,000.00
07/14/00
Sanwa Bank of California
07/27/99
5.010
5,000,000.00
07/26/00
Sanwa Bank of California
08/16/99
5.190
50,000,000.00
08/15/00
Sanwa Bank of California
08/23/99
5.180
10,000,000.00
08/22/00
Union Bank of California
07/28/99
4.720
50,000,000.00
10/27/99
Union Bank of California
08/03/99
4.740
100,000,000.00
11/02/99
Union Bank of California
08/17/99
4.730
50,000,000.00
11/16/99
Union Bank of California
08/26/99
5.160
100,000,000.00
02/23/00
Union Bank of California
09/28/99
5.040
100,000,000.00
03/28/00
SALIN
Bank of Salinas
07/22/99
4.680
8,000,000.00
01/26/00
Bank of Salinas
09/16/99
4.930
12,000,000.00
01 /27/00
SAN DIEGO
San Diego First Bank
06/01 /99
4.840
1,500,000.00
11 /30/99
San Diego First Bank
06/22/99
5.030
1,500,000.00
06/21 /00
San Diego First Bank
08/04/99
5.150
1,000,000.00
08/07/00
SAN FRA_NCISCO
Bank of Canton California
05/06/99
4.810
5,000,000.00
05/05/00
Bank of Canton California
05/13/99
4.780
5,000,000.00
05/12/00
Bank of Canton California
06/01/99
5.000
5,000,000.00
05/31/00
Bank of Canton California
06/02/99
5.000
5,000,000.00
05/31/00
Bank of Canton California
07/21/99
4.950
5,000,000.00
07/21/00
Bank of Canton California
09/01/99
5.280
5,000,000.00
09/01/00
Bank of Canton California
09/13/99
5.290
5,000,000.00
09/13/00
Bank of the West
07/07/99
4.990
34,000,000.00
01 /05/00
Bank of the West
07/13/99
4.770
25,000,000.00
01 /12/00
Bank of the West
07/13/99
4.770
25,000,000.00
01 /12/00
Bank of the West
07/21 /99
4.680
25,000,000.00
01 /31 /00
Bank of the West
06/08/99
4.820
25,000,000.00
02/16/00
Bank of the West
04/29/99
4.760
51,500,000.00
04/29/00
Bank of the West
08/27/99
4.960
25,000,000.00
05/25/00
Bank of the West
05/19/99
4.890
30,000,000.00
05/25/00
Bank of the West
05/26/99
4.860
87,000,000.00
05/25/00
California Federal Bank
04/06/99
4.480
5,000,000.00
10/04/99
California Federal Bank
09/27/99
4.840
3,000,000.00
01 /05/00
California Federal Bank
07/16/99
4.720
100,000,000.00
01 /18/00
-19-
NAME
SAN FRANCISCO
Millennium Bank
TIME DEPOSIT
DEPOSIT DATE
YIELD
4.760
PAR AMOUNT (S) MATURITY
DATE
10/27/99
07/29/99
2,000,000.00
Oceanic Bank
03/05/99
4.920
2,000,000.00
03/07/00
Oceanic Bank
03/12/99
4.780
2,000,000.00
03/15/00
Trans Pacific National Bank
09/13/99
5.260
800,000.00
03/17/00
United Commercial Bank
07/06/99
4.730
20,000,000.00
10/04/99
United Commercial Bank
08/13/99
5.150
20,000,000.00
02/11 /00
United Commercial Bank
09/20/99
5.100
20,000,000.00
04/27/00
United Commercial Bank
09/03/99
5.310
20,000,000.00
09/01/00
SAN JOSE
San Jose National Bank
SAN LEANDRO
07/12/99
5.010
5,000,000.00
07/11/00
Bay Bank of Commerce
04/07/99
4.53
5,000,000.00
4/29/00
First Bank of San Luis Obispo
07/06/99
4.730
1,000,000.00
10/04/99
First Bank of San Luis Obispo
07/30/99
4.750
1,000,000.00
10/27/99
First Bank of San Luis Obispo
08/02/99
4.750
3,600,000.00
11/03/99
First Bank of San Luis Obispo
08/10/99
4.880
2,000,000.00
11/08/99
First Bank of San Luis Obispo
08/24/99
4.930
2,500,000.00
11/22/99
San Luis Trust Bank
07/28/99
4.710
1,000,000.00
10/27/99
San Luis Trust Bank
SAN RAFAEL
09/23/99
4.850
350,000.00
01 /13/00
Westamerica Bank
08/13/99
4.860
50,000,000.00
11/15/99
Westamerica Bank
07/13/99
4.770
25,000,000.00
01/12/00
Westamerica Bank
07/21/99
4.680
25,000,000.00
01/27/00
Westamerica Bank
07/20/99
4.680
25,000,000.00
01/31/00
Westamerica Bank
SANTA BARBARA
07/27/99
4.770
25,000,600.00
01/31/00
First Bank Of Central California
08/11/99
5.140
5,000,000.00
02/07/00
Santa Barbara Bank & Trust
07/06/99
4.730
5,000,000.00
10/04/99
Santa Barbara Bank & Trust
07/08/99
4.670
5,000,000.00
10/08/99
Santa Barbara Bank & Trust
07/08/99
4.760
5,000,000.00
01/07/00
Santa Barbara Bank & Trust
07/16/99
4.740
5,000,000.00
01/14/00
Santa Barbara Bank & Trust
07/19/99
4.740
5,000,000.00
01 /21 /00
Santa Barbara Bank & Trust
08/13/99
5.150
5,000,000.00
02/11 /00
Santa Barbara Bank & Trust
08/31 /99
5.200
5,000,000.00
03/03/00
Santa Barbara Bank & Trust
09/13/99
5.180
5,000,000.00
03/17/00
—20—
NAME
SANTA CLARITA
Valencia Bank & Trust
TIME DEPOSIT
DEPOSIT DATE
9/23/99
YIELD PAR
5.28
AMOUNT ($1 MATURITY
1,000,000.00
D
9/22/00
SANTA CRUZ
Coast Commercial Bank
09/15/99
4.820
20,000,000.00
12/14/99
Saratoga National Bank
04/01/99
4.610
5,000,000.00
10/01/99
Saratoga National Bank
06/22/99
5.100
1,750,000.00
06/30/00
STOCKTON
Union Safe Deposit Bank
08/16/99
5.140
10,000,000.00
02/15/00
Washington Mutual Bank
09/17/99
5.260
15,000,000.00
09/15/00
TORRANCE
China Trust Bank (USA)
07/27/99
4.690
15,000,000.00
10/25/99
China Trust Bank (USA)
08/16/99
4.810
5,000,000.00
11 /15/99
China Trust Bank (USA)
09/07/99
4.950
10,000,000.00
12/06/99
China Trust Bank (USA)
09/15/99
4.860
10,000,000.00
12/10/99
China Trust Bank (USA)
09/20/99
4.730
5,000,000.00
12/17/99
China Trust Bank (USA)
09/27/99
4.840
10,000,000.00
01 /05/00
South Bay Bank
05/06/99
4.780
2,000,000.00
11 /02/99
South Bay Bank
06/15/99
5.140
2,000,000.00
12/13/99
South Bay Bank
07/21 /99
4.750
1,000,000.00
01 /31 /00
TUSTIN
First Fidelity Thrift and Loan
07/27/99
4.690
4,000,000.00
10/25/99
Sunwest Bank
07/06/99
4.720
3,300,000.00
10/07/99
Sunwest Bank
07/12/99
4.700
3,500,000.00
10/12/99
Sunwest Bank
07/20/99
4.680
1,000,000.00
01 /21 /00
Sunwest Bank
09/10/99
5.170
1,000,000.00
03/08/00
TOTAL TIME DEPOSITS AS OF SEPTEMBER 30,1999
2,474,490,000.00
—21—
DEMAND BANK DEPOSITS
(000 omitted)
DAILY BALANCES
WARRANTS
SEPTEMBER
PER BANKS
OUTSTANDING
1.
$ 4909770
$195449410
2.
5869419
195419089
3.
3879760
19683,946
4.
3879760
196839946
5.
3875,760
196839946
6.
3879760
196839946
7.
2423,773
194939450
8.
4669740
1,5979162
9.
2329,141
1,3169018
10.
4589,904
195149623
11.
4589904
195149623
12.
4589904
19514,623
13.
289,276
19234,994
14.
401,539
191629357
15.
4259378
9521,099
16.
4419162
190779923
17.
5679732
194009256
18.
5679732
194001,256
19.
567,732
1,4009256
20.
4729659
192069057
21.
5469195
190149089
22.
2459242
8089823
23.
2733,849
9479418
24.
3999152
19,234,313
25.
3999152
1,234,313
26.
3999152
19234,313
27.
4609234
15,0549802
28.
718,500
191409620
29.
299596
. 9895,840
30.
3559051
291439723
a/
AVERAGE DOLLAR DAYS $4169864
a/ The prescribed bank balance for SEPTEMBER was $386,800. This consisted
of $195,876 in compensating balances for services, $184,631 uncollected funds
and a deduction of $6,293 for AUGUST delayed deposit credit.
—22—
DESIGNATION BY POOLED MONEY INVESTMENT BOARD
OF TREASURY POOLED MONEY INVESTMENTS AND DEPOSITS
No. 1603
In accordance with sections 16480 through 16480.8 of the Government Code, the Pooled Money Investment Board, at its
meeting on September 15, 1999, has determined and designated the amount of money available for deposit and investment
under said sections. In accordance with sections 16480.1 and 16480.2 of the Government Code, it is the intent that the
money available for deposit or investment be deposited in bank accounts and savings and loan associations or invested in
securities in such a manner so as to realize the maximum return consistent with safe and prudent treasury management,
and the Board does hereby designate the amount of money available for deposit in bank accounts, savings and loan associ-
ations, and for investment in securities and the type of such deposits and investments as follows:
1. In accordance with law, for deposit in demand
bank accounts as Compensating Balance for Services $ 217,406,000
The active non interest-bea ring bank accounts designation constitutes a calendar month average balance. For -purposes
of computing the compensating balances, the Treasurer shall exclude from the daily balances any amounts contained therein
as a result of nondelivery of securities purchased for "cash" for the Pooled Money Investment Account and shall adjust for
any deposits not credited by the bank as of the date of deposit. The balances in such accounts may fall below the above
amount provided that the balances computed by dividing the sum of daily balances of that calendar month by the number
of days in the calendar month reasonably approximates that amount. The balances may exceed this amount during heavy
collection periods or in anticipation of large impending warrant presentations to the Treasury, but the balances are to be
maintained in such a manner as to realize the maximum return consistent with safe and prudent treasury management.
2. in accordance with law, for investment in securities authorized by section 16430, Government Code, or in term interest -
bearing deposits in banks and savings and loan associations as follows:
From To Transactions
09/13/99
09/20/99
09/27/99
10/04/99
10/11/99
10/18/99
09/17/99 $
09/24/99 $
10/01 /99 $
10/08/99 $
10/15/99 $
10/22/99 $
3,085,600,000
2,563,200,000
(2,585,800,000)
389,600,000
675,800,000
830,100,000
Time Deposits in
various Financial
Institutions
In Securities
(sections 16503a
(section 16430)'
and 16602)"
$ 31,934,560,000
$
2,454,140,000
$ 34,497,760,000
$
2,454,140,000
$ 31,911,960,000
$
2,454,140,000
$ 32,301,560,000
$
2,454,140,000
$ 32,977,360,000
$
2,454,140,000
$ 33,807,460,000
$
2,454,140,000
Estimated
Total
$ 34,388,700,000
$ 36,951,900,000
$ 34,366,100,000
$ 34,755,700,000
$ 35,431,500,000
$ 36,261,600,000
From any of the amounts specifically designated above, not more than 30 percent in the aggregate may be invested in
prime commercial paper under section 16430(e), Government Code.
Additional amounts available in treasury trust account and in the Treasury from time to time, in excess of the
amounts and for the same types of investments as specifically designated above.
Provided, that the availability of the amounts shown under paragraph 2 is subject to reduction in the amount by
which the bank accounts under paragraph 1 would otherwise be reduced below the calendar month average balance
of $ 217,406,000.
POOLED MgKEY-tNV TMENT BOARD:
w
air erson
Member
Dated: September 15, 1999
'Government Code Member
_23_
v
INVESTMENT ADVISORY BOARD
Meeting Date: December 8, 1999
TITLE:
LAIF Answer Book Update
BACKGROUND:
Written Correspondence C
From time to time LAIF updates their answer book. No significant changes to the
updated information was noted by staff. These changes are for the period ending
September 30, 1999
RECOMMENDATION:
Receive and file.
ohn M. Faldoner, Finance Director
SEPTEMBER 30, 1999
QUARTERLY
- ANSWER BOOK
UPDATE
REPLACEMENT PAGES
29 3, 4, 59 129 139 14, 25, 279 28, 349 35, 36, 379 389
399 409 41, 429 45, 469 489 51 AND- 52
Additionally, the PMIA has Policies, Goals and Objectives for the portfolio to
make certain that our goals of Safety, Liquidity and Yield are not jeopardized and that
prudent management prevails. These policies are formulated by investment staff and
reviewed by both the PMIB and the LAIF Board on an annual basis.
The State Treasurer's Office is audited by the Bureau of State Audits on an annual
basis. The resulting opinion is included in the subsequent Pooled Money monthly report
following its publication. The Bureau of State Audits also has a continuing audit
process throughout the year. All investment and LAIF claims are audited on a daily
basis by the State Controller's Office as well as an in-house audit process involving three
separate divisions.
It has been determined that the State of California cannot declare bankruptcy
under Federal regulations, thereby allowing the Government Code Section 16429.3 to
stand. This Section states that "money placed with the state treasurer for deposit in the
LAIF shall not be subject to either: (a) transfer or loan pursuant to Sections 16310,
16312, or 16313, or (b) impoundment or seizure by any state official or state agency."
The LAIF has grown from 293 participants and $468 million in 1977 to 2,747
participants and $12.7 billion in 1999.
State Treasurer's Office
Local Agency Investment Fund
P.O. Box 942809
Sacramento, CA 94209-0001
(916) 653-3001
http://www.treasurer.ca.gov
2
Revised September 30, 1999
BOARD MEMBERS
Local Agency Advisory Board
Chairman: PHILIP ANGELIDES
State Treasurer
Members: PATRICIA ELLIOTT
Manager, Financial Resources
Eastern Municipal Water District
ROBERT S. TORREZ
CFO/Director of Financial Management
City of Long Beach
LESLIE WELLS
Vice President
Union Bank of California
Capital Markets Group
Pooled Money Investment Board
Chairman: PHILIP ANGELIDES
State Treasurer
Members: KATHLEEN CONNELL
State Controller
B. TIMOTHY GAGE
Director of Finance
3
Revised September 30, 1999
Local Agency Investment Fund
Participation as of 9/30/99
2,747 Agencies
178 BONDS 54 COUNTIES
222 TRUSTEES 6% 2%
1831 DISTRICTS
67%
462 CITIES
7%
■ 54 COUNTIES
❑ 462 CITIES
■ 1831 DISTRICTS
■ 222 TRUSTEES
■ 178 BONDS
0
Revised September 30, 1999
'
PHILIP ANGELIDES
STATE TREASURER
STATE OF CALIFORNIA
INVESTMENT DIVISION
SELECTED INVESTMENT DATA
ANALYSIS OF THE POOLED MONEY INVESTMENT ACCOUNT PORTFOLIO (000 OMITTED)
Change in
September 30,1999
Percent From
Type of Security
Amount Percent
Previous Month
Governments
Bills
S2,355,125 6.78
- .36
Bonds
0 0
0
Notes
$2,997,164 8.63
- •47
Strips
0 0
0
Total Governments
55,352,289 15.41
- .83
Federal Agency Coupons
$3,270,182 9.41
- 1.31
Certificates of Deposit
56,488,964 18.69
+ 4.32
Bank Notes
S1,9571972 5.64
+ 1.17
Bankers Acceptances
0 0
0
Repurchases
0 0
- .15
Federal Agency Discount Notes
53,793,257 10.92
- .43
Time Deposits
$2,474,490 7.12
- .18
GNMA's
$1,619 .00
0
Commercial Paper
58,397,217 24.17
- .19
FHLMC
$15,521 .04
- .01
Corporate Bonds
52,290,693 6.59
- .41
Pooled Loans
$29331,955 6.71
- .57
GF Loans
0 0
0
Reversed Repurchases
<S196329103> <4.70>
+ 1.41
Total, All Types
534,742,056 100
AVERAGE LIFE OF PORTFOLIO AS OF SEPTEMBER 30,1999 IS 193 DAYS
5 Revised September 30, 1999
State of California
Pooled Money Investment Account
I Market Valuation
9/30/99
United States Treasury:
Bills $ 2,355,124,639.93 $ 2,435,049,402.18 $ 2,434,134,722.45 NA
Notes $ 2,997,163,646.30 $ 2,996,762,006.96 $ 2,990,410,000.00 $ 39,731,676.00
Federal Agency:
Bonds
$
2,658,382,794.35
$
2,658,382,794.35
$
2,642,863,272.10
$
30,261,258.83
Floaters
$
100,000,000.00
$
100,000,000.00
$
100,000,000.00
$
796,354.00
MBS
$
244,768,575.00
$
244,768,575.00
$
235,841,198.71
$
1,248,756.19
GNMA
$
1,619,562.05
$
1,619,562.05
$
1,822,658.95
$
15,964.07
SBA
$
267,030,909.55
$
267,030,909.55
$
266,473,135.77
$
2,363,890.26
FHLMC PC
$
15,520,893.60
$
15,520,893.60
$
16,400,882.63
1
$
249,163.07
Discount Notes
$
3,793,257,487.10
$
3,867,835,392.65
$
3,868,963,662.24
NA
ikers Acceptances $ - $ - $ - NA
corporate:
Bonds $ 978,262,847.42 $ 977,331,034.48 $ 970,828,879.90 $ 16,170,179.75
Floaters $ 1,312,429,660.76 $ 1,312,429,660.76 $ 1,314,893,058.50 $ 14,781,339.42
CDs
$
6,488,963,829.91
$
6,487,532,329.90
$
6,475,870,895.37
$
80,659,366.14
Bank Notes
$
1,957,972,091.43
$
1,957,972,091.43
$
1,954,244,135.18
$
33,699,490.29
Repurchase Agreements
$
-
$
-
$
-
NA
Time Deposits
$
2,474,490,000.00
$
2,474,490,000.00
$
2,474,490,000.00
NA
AB 55 & GF Loans
$
2,331,955,448.03
$
2,331,955,448.03
$
2,331,955,448.03
NA
Commercial Paper
$
8,397,217,201.50
$
8,456,228,852.39
$
8,457,010,990.69
NA
Reverse Repurchase
$
(1,632,103,433.37)
$
(1,632,103,433.37)
$
(1,632,103,433.37)
$
(7,489,445.35)
TOTAL
$
34,742,056,153.56
1 $
34,952,805,519.96
$
34,904,099,507.15
$
212,487,992.67
Fair Value Including Accrued Interest
$ 35,116,587,499.82
Repurchase Agreements, Time Deposits, AB 55 & General Fund loans, and
Reverse Repurchase agreements are carried at portfolio book value (carrying cost).
-tee value of each participating dollar equals the fair value divided by the amortized cost (.998606521).
an example: if an agency has an account balance of $20,000,000.00, then the agency would report its
participation in the LAIF valued at $19,972,130.41, or $20,000,000.00 x .998606521.
12 Revised September 30, 1999
W
a
H
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14
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The law provides that reimbursements cannot exceed one-half of I percent
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earnings (costs) per quarter.
28
Revised September 30, 1999
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DISCLOSURE STATEMENT
PORTFOLIO HOLDINGS: DERIVATIVES
STRUCTURED NOTES, AND ASSET -BACKED SECURITIES
The Treasury Investment Division has received a number of
inquiries concerning our various portfolio holdings. Questions
involving structured notes, derivative products, and asset -backed
securities are the most notable. We have found that the lack of
acceptable definitions regarding these financial products has led to
confusion and disagreement with our reported positions.
In an effort to clarify the information provided in our monthly
statements, we would like to share with you our understanding of
these financial products, as defined by the U.S. General
Accounting Office (GAO) .
In a recent survey of sales practices for these financial products
the GAO provided definitions and examples of what they
considered 1) plain vanilla OTC derivatives, 2) more complex OTC
derivatives, 3) structured notes, and 4) asset -backed securities.
Following are the GAO definitions, as well as the State of California
Treasurer's holdings in each category as of October 1, 1999:
39
Revised September 30,1999
* 1. Plain Vanilla OTC Derivative Products
A derivative product is a financial instrument whose market value is
derived from a reference rate, index, or value of an underlying asset. OTC
derivatives are privately negotiated contracts and are not traded on organized
exchanges.
U.S. $
0 As of: 10/01 /99
* 2 . More Complex OTC Derivative Products
Other more complex OTC derivatives have at least one of the following
characteristics:
a. Their prices tend to be difficult to obtain because they are often
available from only a few dealers.
b. The payments required by the derivative contract are calculated
on the basis of more than one interest rate, currency, asset, or other factor.
C. The derivative contract has terms that are not determined until
some future date.
d. The contract involves a term that acts as a multiplier or increases
the leverage of the rate (s) used to compute payments.
e. The contract CAN entail potentially unlimited risk.
U.S. $ 0 As of: 10/01 /99
The Pooled Money Investment Account Portfolio has not invested
in, nor will it invest in, Derivative Products as defined in General
Accounting definitions #1 & #2. The GAO separation of derivatives,
structured notes, and asset -backed securities is consistent with GASB
94-1.
40
Revised September 30, 1999
3. Structured Notes
Structured notes are debt securities (other than asset -backed securities) whose cash -
flow characteristics (coupon rate, redemption amount, or stated maturity) depend
upon one or more indices and/or that have embedded forwards or options. They are
issued by corporations and by government -sponsored enterprises such as the Federal
National Mortgage Association and the Federal Home Loan Bank System.
U.S. $1,462.350 million As of: 10/01/99
4. Asset -Backed Securities
Asset -backed securities, the bulk of which are mortgage -backed securities, entitle
their purchasers to receive a share of the cash flows from a pool of assets such as
principal and interest repayments from a pool of mortgages (such as CMOs) or
credit card receivables.
U.S. $528.822 million As of: 10/01 /99
Securities Accountability
1)
Vanilla Derivatives 0
2)
Complex Derivatives 0
3)
Structured Notes
a.
Callable Agency
$
00.000 million
b.
3 month LIBOR Agency Floater
$
100.000 million
c.
3 month LIBOR Corporate Floater
$
1,362.350 million
d.
2 year CMT Corporate Floater
$
00.000 million
e.
3 month T-Bill Agency Floater
$
00.000 million
f .
3 month T--Bill Corporate Floater
$
00.000 million
Revised September 30, 1999
41
4) Asset -Backed
a. Small Business Association Pools $ 267.010 million
b. Agency CMOs $ 244.672 million
C. GNMA Pools $ 1.619 million
d. FHLMC PC Pools $ 15.521 million
Total Portfolio As of: 10/01/99 $34706777561989.15
Financial Products as a percent of portfolio: 5.84%
42
Revised September 30, 1999
45
Revised September 30, 1999
46
Revised September 30, 1999
Bond Proceeds
In addition to a regular account, a participating Agency may open
a Bond Proceed account. There is no maximum on the amount of
bond proceeds that may be deposited. A separate bond account
will be opened for each bond issue and will have its own 30-day
maturity.
How to Open a Bond Proceed Account- An Agency may make
application to deposit bond proceeds by filing with the State
Treasurer a Resolution, passed by the governing body of that
agency, allowing for the deposit of bond proceeds and by
completing and submitting a bond proceed application, a bank
authorization form and an Official Statement for each bond issue
to be deposited.
LIQUIDITY
Bond proceeds may be withdrawn every 30-calendar day from
date of deposit. If the maturity date falls on a holiday or weekend,
the withdrawal date will move to the next business day and each
30th calendar day thereafter.
Trustees - Trustees may open an account for a participating
agency for the purpose of depositing bond proceeds. These
accounts are opened and maintained by the trustee. To open a
trustee account, an agency must file a Resolution to deposit bond
proceeds and must submit a Trustee Bond Proceed Application
signed by the agency, a bank signature card signed by the trustee,
and an Official Statement for each bond issue.
48 Revised September 30, 1999
REPORTING DOCUMENTS
EACH MONTH YOU CAN EXPECT:
1) Your agency's statement of activity, which includes your beginning and ending balances and all
transactions and or adjustments which took place for the previous month.
2) A "Summary of Investment Data" for the previous month (included in the LAIF monthly
newsletter). This analysis of the Pooled Portfolio indicates the monthly changes for the portfolio in
comparison to the previous year, and LAIF deposit information for the previous month.
3) The "Market Valuation" of the Pooled Portfolio indicating the estimated market value for the
previous month. The Market Valuation is available on the STO home page at www.treasurer.ca.gov.
4) The "Pooled Money Investment Report," a summarization of the pool including investment data,
portfolio composition, investment transactions, time deposits and Pooled Money Board designations. Since
information for this report is gathered from several sources, it represents investment activity for the month
prior to the statements.
EACH QUARTER YOU WILL RECEIVE (IN ADDITION TO THE MONTHLY INFORMATION):
1) A "Maturity Schedule" for the Pooled Portfolio. This indicates the par values maturing by date
and type and the percentages represented by maturity range.
2) The synopsis of the most recent LAIF Advisory Board meeting. These notes indicate action
taken by the Board and other points of interest to the participating agencies.
3) LAIF "Answer Book" updates. The initial book was sent to all participating agencies in
January,1997, with updates following on a quarterly basis. This book is specific to the LAIF and
includes information such as how and when the fund was created, how interest is calculated, the
percentage of fees charged and specific questions relating to the Pool and how it functions. The "Answer
Book" is available upon request.
ANNUALLY YOU WILL RECEIVE:
1) The "Pooled Money Investment Board Annual Report." This report is a year in review of the
previous fiscal year and includes information about the Pooled Money Investment Account (PMIA),
Surplus Money Investment Fund (SMIF), and the LAIF.
51 Revised September 30, 1999
2) Annual Updates. This form is sent to participating agencies to assist LAIF staff in
maintaining the most current information possible about your account with LAIF. We ask each agency to
have authorized person/s review, sign and return this form to LAIF as quickly as possible, whether or not
changes are needed.
3) LAIF calendar which indicates the dates the State of California (LAIF) is open for business.
4) Conference information. Approximately three months prior to the LAIF conference you will
receive a "save -the -date" notice, two months prior to the conference you will receive your registration
packet.
LAIF Monthlv Statement Monthly Mail 20th of month
LAIF Newsletter which includes
the PMIA Summary of Investment
Data _ Monthly Website_ 20th of month
PMIA Market Valuation available
-)n the STO home page Monthly Website 20th of month
PMIA Monthly Report Monthly_ On Request 20th of month
PMIA Maturit _Schedule Quarterly Mail 20th of month
Synopsis of Board Meetinq Minute. Quarterly Mail 20th of month
LAIF Answer Book Quarterly Mail 20th of month
PMIA Annual Reports Annually Mail 20th of month
LAIF Updates Annually Mail Janua
LAIF Calendar Annual�__� Mail _December
Two months prior to
LAIF Conference Material Annually Mail conference
We hope you will find this listing useful for your reporting requirements. If you do not receive any
of the above mentioned documents, please call LAIF at (916) 653-3001.
STO Website address: www.treasurer.ca.gov
52 Revised September 30, 1999