UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C.   20549

FORM 11-K

(Mark One)

x

ANNUAL REPORT PURSUANT TO SECTION 15 (d) OF THE SECURITIES EXCHANGE ACT OF 1934

 

 

 

For the fiscal year ended December 31, 2006

 

 

 

OR

 

 

o

TRANSITION REPORT PURSUANT TO SECTION 15 (d) OF THE SECURITIES EXCHANGE ACT OF 1934

 

For the transition period from                   to                 

Commission file number 1-2360

A.                     Full title of the plan and address of the plan, if different from that of the issuer named below:

IBM Savings Plan

Director of Compensation and Benefits

Capital Accumulation Programs

IBM Corporation

North Castle Drive

Armonk, New York 10504

B.       Name of issuer of the securities held pursuant to the plan and the address of its principal executive office:

INTERNATIONAL BUSINESS MACHINES CORPORATION

New Orchard Road

Armonk, New York 10504

 



IBM SAVINGS PLAN

Table of Contents

Report of Independent Registered Public Accounting Firm

 

 

 

 

 

Financial Statements and Schedule

 

 

 

 

 

Financial Statements:

 

 

 

 

 

Statements of Net Assets Available for Benefits at December 31, 2006 and 2005

 

 

 

 

 

Statement of Changes in Net Assets Available for Benefits for the Year Ended December 31, 2006

 

 

 

 

 

Notes to Financial Statements

 

 

 

 

 

Supplemental Schedule*:

 

 

 

 

 

Schedule H, Line 4i - Schedule of Assets (Held at End of Year)

 

 

 

 

 

Exhibits

 

 

 

 

 

Exhibit 23 - Consent of Independent Registered Public Accounting Firm

 

 

 

*                    Other schedules required by Section 2520.103-10 of the Department of Labor Rules and Regulations for Reporting and Disclosures under the Employee Retirement Income Security Act of 1974 are omitted because they are not applicable.

2



SIGNATURE

The Plan.  Pursuant to the requirements of the Securities Exchange Act of 1934, the trustees (or other persons who administer the employee benefit plan) have duly caused this annual report to be signed on its behalf by the undersigned thereunto duly authorized.

 

IBM Savings Plan

 

 

 

 

 

 

 

 

 

 

 

Date: June 27, 2007

 

By:

 

/s/ Timothy S. Shaughnessy

 

 

 

 

Timothy S. Shaughnessy

 

 

 

 

Vice President and Controller

 

 

3



Report of Independent Registered Public Accounting Firm

To the Members of the International Business Machines Corporation (“IBM”) Retirement Plans Committee and the Participants of the IBM Savings Plan:

In our opinion, the accompanying statements of net assets available for benefits and the related statement of changes in net assets available for benefits present fairly, in all material respects, the net assets available for benefits of the IBM Savings Plan (the “Plan”) at December 31, 2006 and 2005, and the changes in net assets available for benefits for the year ended December 31, 2006 in conformity with accounting principles generally accepted in the United States of America.  These financial statements are the responsibility of the Plan’s management.  Our responsibility is to express an opinion on these financial statements based on our audits.  We conducted our audits of these statements in accordance with the standards of the Public Company Accounting Oversight Board (United States).  Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement.  An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation.  We believe that our audits provide a reasonable basis for our opinion.

Our audits were conducted for the purpose of forming an opinion on the basic financial statements taken as a whole. The supplemental schedule of assets (held at end of year) is presented for the purpose of additional analysis and is not a required part of the basic financial statements but is supplementary information required by the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. This supplemental schedule is the responsibility of the Plan’s management.  The supplemental schedule has been subjected to the auditing procedures applied in the audits of the basic financial statements and, in our opinion, is fairly stated in all material respects in relation to the basic financial statements taken as a whole.

/s/ PricewaterhouseCoopers LLP

 

 

New York, NY

June 27, 2007

 

4



IBM SAVINGS PLAN
STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS
AT DECEMBER 31,

 

 

2006

 

2005

 

 

 

(Dollars in thousands)

 

Assets:

 

 

 

 

 

Investments:

 

 

 

 

 

Investments, at fair value (Note 7)

 

$

34,233,370

 

$

28,556,211

 

Participant loans, at fair value

 

290,576

 

291,865

 

Total investments

 

34,523,946

 

28,848,076

 

 

 

 

 

 

 

Receivables:

 

 

 

 

 

Participant contributions

 

39,805

 

35,538

 

Employer contributions

 

11,865

 

10,914

 

Income, sales proceeds and other receivables

 

10,791

 

8,794

 

Total receivables

 

62,461

 

55,246

 

 

 

 

 

 

 

Total assets

 

34,586,407

 

28,903,322

 

 

 

 

 

 

 

Liabilities:

 

 

 

 

 

Payable for cash collateral

 

3,724,956

 

1,909,001

 

Accrued expenses and other liabilities

 

4,835

 

10,577

 

Total liabilities

 

3,729,791

 

1,919,578

 

 

 

 

 

 

 

Net assets available for benefits, at fair value

 

30,856,616

 

26,983,744

 

 

 

 

 

 

 

Adjustment from fair value to contract value for fully benefit-responsive investment contracts

 

(106,555

)

(134,781

)

 

 

 

 

 

 

Net assets available for benefits

 

$

30,750,061

 

$

26,848,963

 

 

The accompanying notes are an integral part of these financial statements.

5



IBM SAVINGS PLAN
STATEMENT OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS
FOR THE YEAR ENDED DECEMBER 31,

 

 

2006

 

 

 

(Dollars in thousands)

 

Additions to net assets attributed to:

 

 

 

 

 

 

 

Investment income:

 

 

 

Net appreciation in fair value of investments (Note 7)

 

$

3,203,564

 

Interest income from investments

 

419,314

 

Dividends

 

104,439

 

 

 

3,727,317

 

 

 

 

 

Contributions:

 

 

 

Participants

 

1,262,615

 

Employer

 

340,606

 

 

 

1,603,221

 

 

 

 

 

Transfers from other benefit plans, net

 

78,342

 

 

 

 

 

Total additions

 

5,408,880

 

 

 

 

 

Deductions from net assets attributed to:

 

 

 

 

 

 

 

Distributions to participants

 

1,485,126

 

 

 

 

 

Administrative expenses

 

22,656

 

 

 

 

 

Total deductions

 

1,507,782

 

 

 

 

 

Net increase in net assets during the year

 

3,901,098

 

 

 

 

 

Net assets available for benefits:

 

 

 

 

 

 

 

Beginning of year

 

26,848,963

 

 

 

 

 

End of year

 

$

30,750,061

 

 

The accompanying notes are an integral part of these financial statements.

6



IBM SAVINGS PLAN
NOTES TO FINANCIAL STATEMENTS

NOTE 1 - DESCRIPTION OF THE PLAN

The following description of the IBM Savings Plan (the “Plan”) provides only general information.  Participants should refer to the Plan prospectus for a complete description of the Plan’s provisions.

General

The Plan was established by resolution of IBM’s Retirement Plans Committee (the “Committee”) effective July 1, 1983 and Plan assets are held in trust for the benefit of its participants.  The Plan offers all eligible active, full-time and part-time regular and long-term supplemental United States (U.S.) employees of IBM and certain of its domestic related companies and partnerships an opportunity to defer from one to eighty percent of their eligible compensation for contribution to any of twenty-three investment funds.  The investment objectives of the twenty-three funds are described in Note 3, Description of Investment Funds.  In addition, participants are able to contribute up to ten percent of their eligible compensation on an after-tax basis.   (After-tax contributions are not available for employees working in Puerto Rico.)  Annual contributions are subject to the legal limits permitted by Internal Revenue Service (“IRS”) regulations.

Effective January 1, 2005, the Plan allowed participants to invest their account balances in more than 175 mutual fund investment options through a “mutual fund window”.  Participants may direct investments into this mutual fund window in addition to the various primary investment funds offered by the Plan.

Effective January 1, 2005, participants also were provided the choice to enroll in a “disability protection program” under which a portion of the participant’s account is used to pay premiums to purchase term insurance (underwritten by Metropolitan Life Insurance Company), which will pay the amount of their 401(k) deferral contributions and/or matching contributions into their accounts in the event the participant becomes disabled while insured.

At December 31, 2006 and 2005, the number of participants with an account balance in the Plan was 223,348 and 223,186, respectively.

The Plan qualifies under Section 401(a) of the Internal Revenue Code of 1986, as amended, and is subject to the provisions of the Employee Retirement Income Security Act of 1974 (“ERISA”), as amended.

Administration

The Plan is administered by the Committee, which appointed certain officials of IBM to assist in administering the Plan.  The Committee appointed State Street Bank and Trust Corporation (“SSBT”), as Trustee, to safeguard the assets of the funds and State Street Global Advisors (“SSGA”), the institutional investment management affiliate of State Street Bank and Trust Corporation, The Vanguard Group and other investment managers to direct investments in the various funds.  Hewitt Associates (“Hewitt”) is the provider of record keeping, participant services, and operator of the IBM Savings Plan Service Center in Lincolnshire, Illinois.  Communications services are provided by Hewitt as well as The Vanguard Group.

Fidelity Investments Institutional Operations Company, Inc. is the provider of administrative services related to the mutual fund window that became effective January 1, 2005.

Contributions

For eligible employees hired prior to January 1, 2005 (and certain employees hired thereafter in connection with a particular transaction, as noted in the IBM Savings Plan document), IBM contributes to the Plan a “matching contribution” equal to fifty percent of the first six percent of annual eligible compensation the employee defers (such that the maximum match is three percent of eligible compensation).

Effective January 1, 2005, other eligible employees (i.e., generally those hired on and after January 1, 2005) participate in the IBM Savings Plan under certain new Plan provisions referred to as the “IBM Pension Program offered through the IBM Savings Plan.”  These employees are automatically enrolled to make 401(k) contributions at three percent of eligible compensation after approximately thirty days of employment with IBM unless they elect otherwise.  After completing one

7



year of service, IBM contributes to the Plan a “matching contribution” equal to one hundred percent of the first six percent of annual eligible compensation the employee defers (such that the maximum match is six percent of eligible compensation).

IBM matching contributions for all employees who make 401(k) contributions (except executives who participate in a non-qualified deferred compensation plan) are automatically adjusted after year-end to provide the full IBM matching contribution for their aggregate 401(k) deferral contributions for the year.

Starting January 1, 2008, IBM intends to introduce an enhanced plan design that will be called the 401(k) Plus Plan and will provide employer contributions for eligible participants as follows, based upon which, if any, IBM pension formula the employee was eligible for on December 31, 2007:

IBM Pension Plan
Eligibility at 12/31/07

 

2008 Automatic
Contribution

 

2008 IBM Matching
Contribution

 

Pension Credit Formula

 

4%

 

100% on 6% of eligible compensation

 

Personal Pension Account

 

2%

 

100% on 6% of eligible compensation

 

401(k) Pension Program

 

1%

 

100% on 5% of eligible compensation

 

 

Under the intended 2008 plan design, some participants who were eligible to participate in the Personal Pension Account may also receive transition credits contributed to the IBM Savings Plan, if they had been eligible for transition credits under the IBM Personal Pension Account formula.  In addition, a contribution equal to five percent of eligible compensation (referred to as a “Special Savings Award”) will be added to the accounts of participants who are non-exempt employees and who participated in the Pension Credit Formula as of December 31, 2007.

Eligible compensation under the IBM Savings Plan includes regular salary, commissions, overtime, shift premium and similar additional compensation payments for nonscheduled workdays, recurring payments under any form of employee variable compensation plan, regular IBM Short-Term Disability Income Plan payments, holiday pay and vacation pay, but excludes payments made under any executive incentive compensation plan.

Participants may choose to have their contributions invested entirely in one of, or in any combination of, the following funds in multiples of one percent.  These funds and their investment objectives are more fully described in Note 3, Description of Investment Funds.

Life Strategy Funds (4)

Income Plus Life Strategy Fund
Conservative Life Strategy Fund
Moderate Life Strategy Fund
Aggressive Life Strategy Fund

Core Funds (6)

Stable Value Fund
Inflation Protected Bond Fund
Total Bond Market Fund
Total International Stock Market Index Fund
Total Stock Market Index Fund
Real Estate Investment Trust (REIT) Index Fund

Extended Choice Funds (13)

Money Market Fund
Long-Term Corporate Bond Fund
High Yield and Emerging Markets Bond Fund
Equity Income Fund
European Stock Index Fund

Pacific Stock Index Fund
Large Company Index Fund
Large-Cap Value Index Fund

8



Large-Cap Growth Index Fund
Small/Mid-Cap Stock Index Fund

Small-Cap Value Index Fund

Small-Cap Growth Index Fund
IBM Stock Fund

IBM Savings Plan participants also have access to the “mutual fund window” investments effective January 1, 2005, as described above.

Participants may change their deferral percentage and investment selection for future contributions at any time.  The changes will take effect for the next eligible pay cycle so long as the request is completed before the respective cutoff dates.  Also, the participant may transfer part or all of existing account balances among funds in the Plan once daily, subject to the IBM Savings Plan restrictions on trading.  The restrictions include:

·                  Direct transfers from the Stable Value Fund to the Money Market Fund are prohibited.  Any funds that are transferred out of the Stable Value Fund cannot be transferred into the Money Market Fund for a period of 90 days.

·                  30-Day Trading Block.  When funds are transferred out of an investment fund other than the Stable Value Fund, the Money Market Fund or the Mutual Fund Window, the participant must wait 30 calendar days before being able to transfer funds back into that fund.

A service fee is assessed for each transfer in excess of eight in a calendar year.

IBM is committed to preserving the integrity of the IBM Savings Plan as a long-term savings vehicle for its employees.  Frequent, short-term trading that is intended to attempt to take advantage of pricing lags in mutual funds can harm long-term investors, or increase trading expense in general.  Therefore, the IBM Savings Plan reserves the right to take appropriate action to curb short-term round trip transactions (buying/selling) into the same fund within five (5) business days.

Participant Accounts

The Plan record keeper (Hewitt) maintains an account in the name of each participant to which each participant’s contributions and share of the net earnings, losses and expenses, if any, of the various investment funds are recorded.  The earnings on the assets held in each of the funds and all proceeds from the sale of such assets are held and reinvested in the respective funds.

Participants may transfer rollover contributions of pre-tax dollars from other qualified savings plans or conduit Individual Retirement Accounts (IRAs that exclusively hold a pre-tax distribution from a qualified plan) into their Plan accounts.  Rollovers must be made in cash within the time limits specified by the IRS; stock or in-kind rollovers cannot be accepted.  These rollovers are limited to active employees on the payroll of IBM (or affiliated companies) who have existing accounts in the Plan.  Retirees are not eligible for such rollovers, except that a retiree or separated employee who has an existing account in the Plan may rollover a lump-sum distribution from an IBM-sponsored qualified retirement plan, including the IBM Personal Pension Plan.  After-tax funds may also be rolled over in the Plan. 

The interest of each participant in each of the funds is represented by units/shares credited to the participant’s account.

On each valuation date, the unit/share value of each fund is determined by dividing the current investment value of the assets in that fund on that date by the number of units/shares in the fund.  The investment value of assets equals the market value of assets for all funds except the Stable Value Fund for which the investment value of assets equals the contract value of assets.  In determining the unit/share value, new contributions that are to be allocated as of the valuation date are excluded from the calculation.  The number of additional units to be credited to a participant’s account for each fund, due to new contributions, is equal to the amount of the participant’s new contributions to the fund divided by the unit value for the applicable fund as determined on the valuation date.

Contributions made to the Plan as well as interest, dividends or other earnings of the Plan are generally not included in the taxable income of the participant until withdrawal, at which time all earnings and contributions withdrawn generally are taxed as ordinary income to the participant.  Additionally, withdrawals by the participant before attaining age 59 1/2 generally are subject to a penalty tax of 10 percent.

9



Consistent with provisions established by the IRS, the Plan’s 2006 limit on employee salary deferrals was $15,000.  (The limit increases to $15,500 for 2007.)  Participants who were age 50 or older during 2006 could take advantage of a higher pre-tax contribution limit of $20,000 (which increases to $20,500 for 2007).  The IRS scheduled increases for the maximum contribution limit stopped in 2006.  The 2006 maximum annual deferral amount for employees residing in Puerto Rico was limited by local government regulations to the lesser of $8,000 or ten percent of eligible compensation.

Vesting

Participants in the Plan are at all times fully vested in their account balance, including deferral contributions, employer matching contributions and earnings thereon, if any.

Distributions

Participants who have attained age 59 1/2 may request a distribution of all or part of the value in their account.  Up to four distributions are allowed each year and the minimum amount of any such distribution shall be the lesser of the participant’s account balance or $500.

In addition, participants who (1) retire under the prior IBM Retirement Plan provisions of the IBM Personal Pension Plan, or (2) become eligible for benefits under the IBM Long-Term Disability Plan or the IBM Medical Disability Income Plan, or (3) separate and have attained age 55, may also elect to receive the balance of their account either in annual installments over a period not to exceed ten years or over the participant’s life expectancy, recalculated annually, or defer distribution until age 70 1/2.

Withdrawals for financial hardship are permitted provided they are for a severe and immediate financial need, and the distribution is necessary to satisfy that need.  Employees are required to fully use the Plan loan program, described below, before requesting a hardship withdrawal.  Only an employee’s deferral contributions are eligible for hardship withdrawal; earnings and IBM matching contributions are not eligible for withdrawal.  Employees must submit evidence of hardship to Hewitt, who will determine whether the situation qualifies for a hardship withdrawal based on direction from IBM.  A hardship withdrawal is taxed as ordinary income to the employee and may be subject to the 10 percent additional tax on early distributions.

Upon the death of a participant, the value of the participant’s account will be distributed to the participant’s beneficiary in a lump-sum payment.  If the participant is married, the beneficiary must be the participant’s spouse, unless the participant’s spouse has previously given written, notarized consent to designate another person as beneficiary.  If the participant marries or remarries, any prior beneficiary designation is canceled and the spouse automatically becomes the beneficiary.  If the participant is single, the beneficiary may be anyone previously designated by the participant under the Plan.  In the absence of an effective designation under the Plan at the time of death, the proceeds normally will be paid in the following order:  the participant’s spouse, the participant’s children in equal shares, or to surviving parents equally.  If no spouse, child, or parent is living, payments will be made to the executors or administrators of the participant’s estate.

Participant Loans

Participants may borrow up to one-half of the value of the account balance, not to exceed $50,000 within a twelve month period.  Loans will be granted in $1 increments subject to a minimum loan amount of $500.  Participants are limited to two simultaneous outstanding Plan loans.  Repayment of a loan shall be made through semi-monthly payroll deductions over a term of one to four years.  The loan shall bear a fixed rate of interest, set quarterly, for the term of the loan, determined by the plan administrator to be 1.25 percent above the prime rate.  The interest shall be credited to the participant’s account as the semi-monthly repayments of principal and interest are made.  Interest rates on outstanding loans at December 31, 2006 and 2005 ranged from 4.25 percent to 11.00 percent and 5.00 percent to 11.00 percent, respectively.

Participants may prepay the entire remaining loan principal after payments have been made for three full months.  Employees on an approved leave of absence may elect to make scheduled loan payments directly to the Plan.  Participants may continue to contribute to the Plan while having an outstanding loan, provided that the loan is not in default.

Participants who retire or separate from IBM and have outstanding Plan loans may make coupon payments to continue monthly loan repayments according to their original amortization schedule.

10



Termination of Service

If the value of a participant’s account is $1,000 or less, it will be distributed to the participant in a lump-sum payment as soon as practical following the termination of the participant’s employment with IBM.  If the account balance is greater than $1,000 at the time of separation, the participant may defer distribution of the account until age 70 ½.

Termination of the Plan

IBM reserves the right to terminate this Plan at any time by action of the Committee.  In that event, each participant or beneficiary receiving or entitled to receive payments under the Plan would receive the balance of the account at such time and in such manner as the Committee shall determine at its discretion.

In the event of a full or partial termination of the Plan, or upon complete discontinuance of contributions under the Plan, the rights of all affected participants in the value of their accounts would be nonforfeitable.

Risks and Uncertainties

The Plan provides for various investment options that include in any combination of mutual funds, commingled funds, life-cycle funds, equities, fixed income securities, synthetic guaranteed investment contracts (“GICs”) and derivative contracts.  Investment securities are exposed to various risks, such as interest rates, credit and overall market volatility.  Due to the level of risk associated with certain investment securities and the level of uncertainty related to changes in the value of investment securities, it is reasonably possible that changes in risks in the near term could materially affect participants’ account balances and the amounts reported in the statement of net assets available for benefits.

The Plan is exposed to credit loss in the event of non-performance by the companies with whom the investment contracts are placed.  However, the Committee does not anticipate non-performance by these companies at this time.

NOTE 2 - SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Basis of Accounting

The accompanying financial statements are prepared under the accrual basis of accounting, except distributions, which are recorded when paid.

Beginning as of January 1, 2006, the Plan adopted the requirements as described in Financial Accounting Standards Board Staff Position, FSP AAG INV-1 and SOP 94-4-1, Reporting of Fully Benefit-Responsive Investment Contracts Held by Certain Investment Companies Subject to the AICPA Investment Company Guide and Defined-Contribution Health and Welfare and Pension Plans (FSP AAG INV-1 and SOP 94-4-1).  These requirements are effective for financial statements issued for periods ending after December 15, 2006.  The provisions of FSP AAG INV-1 and SOP 94-4-1 have been retroactively applied to the statement of net assets available for benefits presented as of December 31, 2005, as required.  FSP AAG INV-1 and SOP 94-4-1 requires investment contracts held by a defined-contribution plan to be reported at fair value. However, contract value is the relevant measurement attribute for that portion of the net assets available for benefits of a defined contribution plan attributable to fully benefit responsive investment contracts because contract value is the amount participants would receive if they were to initiate permitted transactions under the terms of the Plan.  Contract value represents the cost plus contributions made under the contracts plus interest at the contract rates less withdrawals and administrative expenses.  In particular, FSP AAG INV-1 and SOP 94-4-1 affected the presentation of the amounts related to the Plan’s participation in the Stable Value Fund.  The statements of net assets available for benefits present the fair value of the investment in the Stable Value Fund as well as the adjustment from fair value to contract value for the fully benefit responsive investment contracts within the Stable Value Fund.  The statement of changes in net assets available for benefits is prepared on a contract value basis.

Valuation of Investments

The Plan’s investments are stated at fair value, which generally equals the quoted market price on the last business day of the Plan year.  Investments in mutual funds and commingled funds are valued at the net asset values per share as quoted by such companies or funds as of the valuation date.  IBM common stock is valued daily at the New York Stock Exchange closing price.  Other equity securities are valued at the last reported sales price or closing price.  Fixed income securities traded in the

11



over-the-counter market are valued at the bid prices.  Short-term securities are valued at amortized cost, which includes cost and accrued interest, which approximates fair value.  Participant loans are valued at cost plus accrued interest, which approximates fair value.

Investment Contracts

The Plan entered into benefit-responsive investment contracts, such as synthetic investment contracts (“GICs”), (through the Stable Value Fund — “the Fund”) with various third parties, i.e., insurance companies and banks.  Fair value generally equals the quoted market price on the last business day of the Plan year.  Contract value represents contributions made to investment contracts, plus earnings, less participant withdrawals and administrative expenses.  The fair value of the wrap contract for the synthetic GIC is determined using a discounted cash flow model which considers recent rebids as determined by recognized dealers, discount rate and the duration of the underlying portfolio.

A synthetic GIC provides for a fixed return on principal over a specified period of time, e.g., monthly crediting rate, through fully benefit-responsive wrapper contracts issued by a third party, which are backed by underlying assets owned by the Plan.  The contract value of the synthetic GIC held by the Stable Value Fund was $5,965 million and $5,713 million at December 31, 2006 and 2005, respectively.  The fair value of the synthetic GIC was $14 million and $13 million at December 31, 2006 and 2005, respectively.  The adjustment from the sum of the fair value of the underlying assets and the fair value of the synthetic GIC to the contract value of the synthetic GIC was $107 million and $135 million at December 31, 2006 and 2005, respectively.

Management has adopted the FSP described in Note 2 in the Plan’s financial statements for the years ended December 31, 2006.

Wrap contracts accrue interest using a formula called the “crediting rate.”  Wrap contracts use the crediting rate formula to convert market value changes in the covered assets into income distributions in order to minimize the difference between the market and contract value of the covered assets over time.  Using the crediting rate formula, an estimated future market value is calculated by compounding the Fund’s current market value at the Fund’s current yield to maturity for a period equal to the Fund’s duration.  The crediting rate is the discount rate that equates estimated future market value with the Fund’s current contract value.  The crediting rate is most impacted by the change in the annual effective yield to maturity of the underlying securities, but is also affected by differential between the contract value and the market value of the covered investments.  The difference is amortized over the duration of the investments. Depending on the change in duration from reset period to reset period, the magnitude of the impact to the crediting rate of the contract “contract to market” difference is heightened or lessened.  Crediting rates are reset monthly.  The wrap contracts provide a guarantee that the crediting rate will not fall below 0%.

If the Fund experiences significant redemptions when the market value is below the contract value, the Fund’s yield may be reduced significantly, to a level that is not competitive with other investment options. This may result in additional redemptions, which would tend to lower the crediting rate further. If redemptions continued, the Fund’s yield could be reduced to zero.  If redemptions continued thereafter, the Fund might have insufficient assets to meet redemption requests, at which point the Fund would require payments from the wrap issuer to pay further shareholder redemptions.

 The crediting rate, and hence the Fund’s return, may be affected by many factors, including purchases and redemptions by participants.  The precise impact on the Fund depends on whether the market value of the covered assets is higher or lower than the contract value of those assets. If the market value of the covered assets is higher than their contract value, the crediting rate will ordinarily be higher than the yield of the covered assets.  Under these circumstances, cash from new investors will tend to lower the crediting rate and the Fund’s return, and redemptions by existing participants will tend to increase the crediting rate and the Fund’s return.

The Fund and the wrap contracts purchased by the Fund are designed to pay all participant-initiated transactions at contract value.  Participant-initiated transactions are those transactions allowed by Plan (typically this would include withdrawals for benefits, loans, or transfers to non-competing funds within the Plan).  However, the wrap contracts limit the ability of the Fund to transact at contract value upon the occurrence of certain events.  At this time, the occurrence of any of these events is not probable.  These events include:

·      The Plan’s failure to qualify under Section 401(a) or Section 401(k) of the Internal Revenue Code.

·      The establishment of a defined contribution plan that competes with the Plan for employee contributions.

·      Any substantive modification of the Plan or the administration of the Plan that is not consented to by the wrap issuer.

·      Complete or partial termination of the Plan.

·      Any change in law, regulation or administrative ruling applicable to the Plan that could have a material adverse effect on the Fund’s cashflow.

·      Merger or consolidation of the Plan with another plan, the transfer of plan assets to another plan, or the sale, spin-off or merger of a subsidiary or division of the plan sponsor.

·      Any communication given to participants by the Plan sponsor or any other plan fiduciary that is designed to induce or influence participants not to invest in the Fund or to transfer assets out of the Fund.

·      Exclusion of a group of previously eligible employees from eligibility in the Plan.

·      Any early retirement program, group termination, group layoff, facility closing, or similar program.

·      Any transfer of assets from the Fund directly to a competing option.

12



·      Bankruptcy of the plan sponsor or other plan sponsor events which cause a significant withdrawal from the Plan.

·      A wrap issuer may terminate a wrap contract at any time.  In the event that the market value of the Fund’s covered assets is below their contract value at the time of such termination, the trustee, may elect to keep the wrap contract in place until such time as the market value of the Fund’s covered assets is equal to their contract value.  A wrap issuer may also terminate a wrap contract if the trustee’s investment management authority over the Fund is limited or terminated as well as if all of the terms of the wrap contract fail to be met.  In the event that the market value of the Fund’s covered assets is below their contract value at the time of such termination, the terminating wrap provider would not be required to make a payment to the Fund.

·      Synthetic investment contracts generally impose conditions on both the Plan and the issuer. If an event of default occurs and is not cured, the non-defaulting party may terminate the contract.  The following may cause the Plan to be in default: a breach of material obligation under the contract; a material misrepresentation; or a material amendment to the Plan agreement.  The issuer may be in default if it breaches a material obligation under the investment contract; makes a material misrepresentation; has a decline in its long term credit rating below a threshold set forth in the contract; is acquired or reorganized and the successor issuer does not satisfy the investment or credit guidelines applicable to issuers.  If, in the event of default of an issuer, the Plan were unable to obtain a replacement investment contract, withdrawing plans may experience losses if the value of the Plan’s assets no longer covered by the contract is below contract value.  The Plan may seek to add additional issuers over time to diversify the Plan’s exposure to such risk, but there is no assurance the Plan may be able to do so.  The combination of the default of an issuer and an inability to obtain a replacement agreement could render the Plan unable to achieve its objective of maintaining a stable contract value.  The terms of an investment contract generally provide for settlement of payments only upon termination of the contract or total liquidation of the covered investments.  Generally, payments will be made pro-rata, based on the percentage of investments covered by each issuer.  Contract termination occurs whenever the contract value or market value of the covered investments reaches zero or upon certain events of default.  If the contract terminates due to issuer default (other than a default occurring because of a decline in its rating), the issuer will generally be required to pay to the Plan the excess, if any, of contract value over market value on the date of termination.  If a synthetic GIC terminates due to a decline in the ratings of the issuer, the issuer may be required to pay to the Plan the cost of acquiring a replacement contract (i.e. replacement cost) within the meaning of the contract.  If the contract terminates when the market value equals zero, the issuer will pay the excess of contract value over market value to the Plan to the extent necessary for the Plan to satisfy outstanding contract value withdrawal requests.  Contract termination also may occur by either party upon election and notice.

The investment contracts owned by the Stable Value Fund earned the following average yields:

 

Year Ended
December 31,

 

 

 

2006

 

2005

 

Earned by the Plan

 

5.01

%

2.62

%

Credited to participants

 

5.67

%

5.54

%

 

Use of Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets, liabilities and changes therein, and disclosures of contingent assets and liabilities at the date of the financial statements.  Actual results could differ from those estimates.

Security Transactions and Related Investment Income

Security transactions are recorded on a trade-date basis.  Dividend income is recorded on the ex-dividend date, and interest income is recorded on the accrual basis.

The Plan presents in the Statement of Changes in Net Assets Available for Benefits the net appreciation in the fair value of its investments, which consists of realized gains and losses and the unrealized appreciation and depreciation on those investments.

Administrative Expenses and Investment Management Fees

All administrative costs of the Plan are deducted from participants’ account balances.  These costs include (a) brokerage fees and commissions, which are included in the cost of investments and in determining net proceeds on sales of investments, (b) investment management fees, which are paid from the assets of the respective funds; those fees comprise fixed annual charges and charges based on a percentage of net asset value and are included as part of administrative expenses, and (c) operational expenses required for administration of the Plan including trustee, recordkeeping, participant reports and communications, and service center expenses, which are charged against the fund’s assets on a pro rata basis throughout the year and are included as part of administrative expenses.

New Standard to be Implemented

In September 2006, the FASB issued SFAS No. 157, Fair Value Measurements (the “Standard”).  The Standard defines fair value, sets out a framework for measuring fair value under U.S. GAAP, and expands fair value measurement disclosures.  The Standard does not require new fair value measurements and is effective for financial statements issued for fiscal years

13



beginning after November 15, 2007.  Management is currently assessing the impact the adoption of the Standard will have, if any, on the Plan’s financial statements.

NOTE 3 - DESCRIPTION OF INVESTMENT FUNDS 

The objectives of the twenty-three investment funds to which employees may contribute funds are described below:

Life Strategy Funds - four blended funds that build a portfolio of diversified investments — U.S. stocks, international stocks, real estate equity stocks and fixed-income investments — from the existing core funds noted below.  The funds are structured by the IBM Retirement Fund organization and managed by the underlying funds’ managers.

x           Income Plus Life Strategy Fund - target allocation 30% stocks, 70% bonds; seeks returns that modestly outpace inflation on a fairly consistent basis.

x           Conservative Life Strategy Fund - target allocation 50% stocks, 50% bonds; seeks returns that moderately outpace inflation over the long term.

x           Moderate Life Strategy Fund - target allocation 65% stocks, 35% bonds; seeks relatively high returns at a moderate risk level.

x           Aggressive Life Strategy Fund - target allocation 85% stocks, 15% bonds; seeks high returns over the long term.

Core Funds - six funds that provide an opportunity to custom-build a portfolio from a selection of broadly diversified U.S. and international stock funds and from funds tracking the fixed-income markets.

x           Stable Value Fund - seeks to preserve principal and provide income at a stable rate of interest that is competitive with intermediate-term rates of return.  The fund is managed by multiple money managers.

x           Inflation Protected Bond Fund - seeks over the long term to provide a rate of return similar to the Lehman U.S. Treasury Inflation Protected Securities (TIPS) Index.  The fund is managed by State Street Global Advisors.

x           Total Bond Market Fund - seeks to modestly exceed the return of its benchmark index (Lehman Brothers Aggregate Bond Index), which consists of more than 5,000 U.S. Treasury, federal agency, mortgage-backed, and corporate securities.   The fund is managed by State Street Global Advisors.

x           Total International Stock Market Index Fund - seeks long-term capital growth with a market rate of return for a diversified group of non-U.S. equities in such major markets as Europe and Asia plus the emerging markets of the world.  It attempts to match the performance of the Morgan Stanley Capital International (MSCI) All Country World Ex-U.S. Free Index.  The fund is managed by State Street Global Advisors.

x           Total Stock Market Index Fund - seeks long-term growth of capital and income.  It attempts to match the performance of the Dow Jones Wilshire 5000 Total Market Index. The fund is managed by The Vanguard Group.

x           Real Estate Investment Trust (REIT) Index Fund - seeks a total rate of return approximating the returns of the MSCI U.S. REIT index.  Investment consists of U.S. publicly traded real estate equity securities.  The fund is managed by Barclays Global Investors.

Extended Choice Funds - thirteen funds that provide an opportunity to build an investment portfolio with funds that are less broadly diversified, focusing instead on discrete sectors of the stock and bond markets.

x           Money Market Fund - seeks liquidity and preservation of capital while providing a variable rate of income based on current short-term market interest rates.  The fund is managed by State Street Global Advisors.

x           Long-Term Corporate Bond Fund - seeks a high and sustainable level of interest income by investing in a widely diversified group of long-term bonds issued by corporations with strong credit ratings.  The fund is managed by Lehman Brothers Asset Management.

x           High Yield and Emerging Markets Bond Fund - seeks to modestly exceed the returns of the Lehman U.S. High Yield/Emerging Markets Bond Index.  The fund invests in “below investment grade” U.S. corporate and emerging market dollar bonds and is managed by Pacific Investment Management Company, LLC (PIMCO).

x           Equity Income Fund - seeks both long-term capital appreciation and dividend income by investing in large- and mid-cap U.S. stocks.  The fund is managed by State Street Global Advisors.

x           European Stock Index Fund - seeks long-term growth of capital that corresponds to an index of European stocks.   It attempts to match the investment results of the MSCI Europe Index.  The fund is managed by The Vanguard Group.

x           Pacific Stock Index Fund - seeks long-term growth of capital by attempting to match the performance of the MSCI Pacific Index.  The fund is managed by The Vanguard Group.

x           Large Company Index Fund - seeks long-term growth of capital and income from dividends by holding all the stocks that make up the Standard & Poor’s 500 Index.  The fund is managed by The Vanguard Group.

14



x           Large-Cap Value Index Fund - seeks long-term growth of capital and income from dividends.  The fund holds all the stocks in the Russell 1000 Value Index in approximately the same proportion as those stocks represented in the index.   The fund is managed by The Vanguard Group.

x           Large-Cap Growth Index Fund - seeks long-term growth of capital by holding all the stocks in the Russell 1000 Growth Index in approximately the same proportion as those stocks represented in the index.  The fund is managed by The Vanguard Group.

x           Small/Mid-Cap Stock Index Fund - seeks long-term growth of capital with a market rate of return from a diversified group of medium- and small-company stocks.  The fund holds stocks in the Russell 3000 index that are not part of the Standard and Poor’s 500 index and attempts to match the performance of the Russell SmallCap Completeness Index.   The fund is managed by State Street Global Advisors.

x           Small-Cap Value Index Fund - seeks long-term growth of capital by attempting to replicate the performance of the Russell 2000 Value Index.  The fund is managed by The Vanguard Group.

x           Small-Cap Growth Index Fund - seeks long-term growth of capital by attempting to match the performance of the Russell 2000 Growth Index.  The fund is managed by The Vanguard Group.

x           IBM Stock Fund - invests in IBM common stock and holds a small interest-bearing cash balance of approximately 0.25% for liquidity purposes.  The fund is managed by State Street Bank and Trust Company.

IBM Savings Plan participants also have access to the “mutual fund window” investments — which expands the Plan’s investment options to include more than 175 mutual funds, most of which are actively managed.  This feature gives more choice to participants who are interested in investing in brand-name funds, or in simply having a broader range of investment options from which to choose.

Securities Lending

Stock loan transactions are permitted with the objective to add investment return to the portfolio.  Certain funds may lend securities held in that fund to unaffiliated broker-dealers registered under the Securities Exchange Act of 1934, or banks organized in the United States of America.  At all times, the borrower must maintain cash or equivalent collateral equal in value to at least 102 percent of the value of the domestic securities loaned and 105 percent of the value of international securities loaned.  The cash collateral is reinvested to generate income that is credited to the portfolio return.

The primary risk in lending securities is a borrower may default during a sharp rise in the price of the security that was borrowed, resulting in a deficiency in the collateral posted by the borrower.  The funds seek to minimize this risk by requiring that the value of the securities that are loaned to be computed each day and that additional collateral is furnished each day, if necessary.   The addition of the securities lending provision does not change the investment objectives for the funds.  The value of  loaned securities in the State Street Bank agency program amounted to $3,615 million and  $1,852 million at December 31, 2006 and 2005, respectively.   The value of cash collateral obtained and reinvested in short-term investments of $3,725 million and $1,909 million for December 31, 2006 and 2005, respectively, is reflected as a liability in the Plan’s financial statements.  Securities lending is also permitted in the Barclays Global Investors, SSGA and Vanguard commingled funds.

NOTE 4 - PLAN TRANSFERS

The transfers below represent participant investment account balances attributable to employees transferred to IBM in 2006 primarily as a result of IBM acquisitions:

Significant transfers were:

MRO Software, Inc.

 

– net transfer totaling $47,208,261

 

 

Micromuse, Inc.

 

– net transfer totaling $13,605,576

 

 

Bowstreet

 

– net transfer totaling $3,536,537

 

 

Viacore, Inc,

 

– net transfer totaling $2,400,516

 

 

iPhrase

 

– net transfer totaling $1,716,538

 

 

 

15



In 2006, there were also transfers into the Plan totaling $9,874,560 related to participant account balances from other companies.   Total plan transfers were $78,341,988, which includes participant loan balances in addition to the transfers noted above.

NOTE 5 - TAX STATUS

The Trust established under the Plan is qualified under Section 401(a) of the Internal Revenue Code and the Trustee intends to continue it as a qualified trust.  The Plan received a favorable determination letter from the IRS on September 10, 2004.    Subsequent to this determination letter by the IRS, the Plan was amended.  The Plan administrator and Counsel continue to believe the Plan is designed and is being operated in compliance with the applicable requirements of the Internal Revenue Code.   Accordingly, a provision for federal income taxes has not been made.

NOTE 6 - RECONCILIATION OF FINANCIAL STATEMENTS TO FORM 5500

The following is a reconciliation of net assets available for benefits per the financial statements to the Form 5500 as of:

 

 

2006

 

2005

 

 

 

(Dollars in thousands)

 

Net assets available for benefits per the financial statements

 

$

30,750,061

 

$

26,848,963

 

Plus:

 

 

 

 

 

Adjustment from contract value to fair value for fully benefit-responsive investment contracts held by the Stable Value Fund

 

106,555

 

134,781

 

Less:

 

 

 

 

 

Benefit obligations currently payable

 

6,710

 

7,116

 

Net assets available for benefits per the Form 5500

 

$

30,849,906

 

$

26,976,628

 

 

The following is a reconciliation of investment income per the financial statements to the Form 5500:

 

Year Ended
December 31,
2006

 

 

 

(Dollars in thousands)

 

Total investment income per the financial statements

 

$

3,727,317

 

Plus:

 

 

 

Adjustment from fair value to contract value for fully benefit-responsive investment contracts

 

106,555

 

Total investment income per the Form 5500

 

$

3,833,872

 

 

The following is a reconciliation of benefits paid to participants per the financial statements to the Form 5500:

 

Year Ended
December 31,
2006

 

 

 

(Dollars in thousands)

 

Benefits paid to participants per the financial statements

 

$

1,485,126

 

Less:

 

 

 

Amounts payable at December 31, 2005

 

7,116

 

Plus:

 

 

 

Amounts payable at December 31, 2006

 

6,710

 

Benefits paid to participants per the Form 5500

 

$

1,484,720

 

 

16



NOTE 7 - INVESTMENT VALUATIONS

The following schedules summarize the value of investments, and the related net appreciation in the fair value of investments by type of investment:

 

 

Value Determined By

 

 

 

Quoted
Market
Prices

 

Fair
Value

 

Total

 

 

 

(Dollars in thousands)

 

At December 31, 2006

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments at Fair Value

 

 

 

 

 

 

 

Commingled Funds

 

$

21,454,650

 

—

 

$

21,454,650

 

Short-Term Investments

 

3,971,790

 

—

 

3,971,790

 

IBM Common Stock

 

1,645,492

 

—

 

1,645,492

 

Mutual Funds

 

630,610

 

—

 

630,610

 

Fixed Income Securities

 

299,646

 

—

 

299,646

 

Common Stock—non-employer

 

159,199

 

—

 

159,199

 

Total

 

$

28,161,387

 

—

 

$

28,161,387

 

 

 

 

 

 

 

 

 

Investment Contracts at Fair Value

 

 

 

 

 

 

 

Investment contracts

 

—

 

$

6,071,983

 

6,071,983

 

Total

 

$

28,161,387

 

$

6,071,983

 

$

34,233,370

 

 

 

 

 

 

 

 

 

At December 31, 2005

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investments at Fair Value

 

 

 

 

 

 

 

Commingled Funds

 

$

14,207,603

 

—

 

$

14,207,603

 

Common Stock—non-employer

 

3,141,918

 

—

 

3,141,918

 

IBM Common Stock

 

2,044,358

 

—

 

2,044,358

 

Short-Term Investments

 

2,144,121

 

—

 

2,144,121

 

Mutual Funds

 

1,098,412

 

—

 

1,098,412

 

Fixed Income Securities

 

71,761

 

—

 

71,761

 

Total

 

$

22,708,173

 

—

 

$

22,708,173

 

 

 

 

 

 

 

 

 

Investment Contracts at Fair Value

 

 

 

 

 

 

 

Investment contracts

 

—

 

$

5,848,038

 

5,848,038

 

 

 

$

22,708,173

 

$

5,848,038

 

$

28,556,211

 

 

17



Net Appreciation in Fair Value of Investments (including gains and losses on investments bought and sold, as well as held during the year): 

 

 

2006

 

 

 

(Dollars in thousands)

 

Investments at fair value as determined by quoted market price:

 

 

 

Commingled Funds

 

$

2,870,004

 

IBM Common Stock

 

269,958

 

Mutual Funds

 

41,946

 

Common Stock—non-employer

 

18,780

 

Fixed Income Securities

 

2,876

 

Total

 

$

3,203,564

 

 

Investments

The investments that represent 5% or more of the Plan’s net assets available for benefits at December 31, 2006 and 2005 are as follows:

Investments

 

2006

 

2005

 

 

 

(Dollars in thousands)

 

Large Company Index Fund (Vanguard)

 

$

4,720,752

 

$

4,562,615

 

Small/Mid-Cap Stock Index Fund (State Street Global Advisors)

 

3,142,427

 

3,025,056

 

Total Stock Market Index Fund (Vanguard)

 

2,862,713

 

2,201,984

 

Total International Stock Market Index Fund (State Street Global Advisors)

 

2,768,095

 

1,931,666

 

IBM Common Stock

 

1,645,492

 

2,044,358

 

Investment Contract—Royal Bank of Canada, 5.75% (5.57%—2005)

 

1,517,996

 

1,428,314

 

Investment Contract —JPMorgan Chase, 5.75% (5.57%—2005)

 

1,517,996

 

1,428,314

 

 

NOTE 8 - RELATED-PARTY TRANSACTIONS

At December 31, 2006, a significant portion of the Plan’s assets were invested in State Street Global Advisors funds.  State Street Global Advisors’ parent company, State Street Bank and Trust Corporation, also acts as the trustee for the Plan and, therefore, these investments qualify as party-in-interest transactions.  The Plan also pays a fee to the trustee and the trustee also is a security lending agent.  These transactions qualify as party-in-interest transactions as well.  In addition, Fidelity Investments Institutional Operations Company, Inc. is the provider of administrative services related to the mutual fund window as well the investment manager of Fidelity funds within the mutual fund window.

At December 31, 2006 the Plan held 16,931,921 shares of IBM common stock valued at $1,645,492,419.  At December 31, 2005, the Plan held 24,862,508 shares of IBM common stock valued at $2,044,358,384.

18



IBM SAVINGS PLAN
Schedule H, line 4i - Schedule of Assets (Held at End of  Year)

AT DECEMBER 31, 2006

(a)

 

(b) Identity of issue, borrower, lessor, or similar
party

 

(c) Description of investment
including maturity date, rate
of interest, collateral, par, or
maturity value

 

(d) Cost

 

(e) Fair value

 

 

 

 

 

 

 

 

 

 

 

IBM Stock Fund

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

*

 

Managed by State Street Global Advisors

 

IBM Common Stock
16,931,921 shares

 

 

 

$

1,645,492,419

*

 

Managed by State Street Global Advisors

 

SSBT Short-Term
Investments

 

 

 

1,437,666

 

 

 

 

 

 

 

 

 

 

 

Mutual Funds

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

*

 

Managed by Fidelity Investments

 

Mutual Fund Window

 

 

 

630,609,906

 

 

 

 

 

 

 

 

 

 

 

Commingled Trust Funds

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Managed by The Vanguard Group

 

Large Company Index

 

 

 

4,720,751,563

 

 

Managed by The Vanguard Group

 

Total Stock Market Index

 

 

 

2,862,712,647

 

 

Managed by Barclays Global Investors

 

BGI Real Estate Investment
Trust

 

 

 

1,245,712,241

*

 

Managed by State Street Global Advisors

 

SSBT Money Market

 

 

 

1,051,462,158

 

 

Managed by The Vanguard Group

 

Small Cap Value Index

 

 

 

996,315,771

 

 

Managed by The Vanguard Group

 

Large Cap Value Index

 

 

 

891,387,319

 

 

 

 

 

 

 

 

 

*

 

Party-In-Interest

 

 

 

 

 

 

 

19



 

(a)

 

(b) Identity of issue, borrower, lessor, or similar party

 

(c) Description of investment
including maturity date, rate
of interest, collateral, par, or
maturity value

 

(d) Cost

 

(e) Fair value

 

 

 

 

 

 

 

 

 

 

 

Commingled Trust Funds - continued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Managed by The Vanguard Group

 

European Stock Index

 

 

 

$

642,058,398

 

 

Managed by The Vanguard Group

 

Pacific Stock Index

 

 

 

477,942,743

 

 

Managed by The Vanguard Group

 

Small Cap Growth Index

 

 

 

364,395,386

 

 

Managed by The Vanguard Group

 

Large Cap Growth Index

 

 

 

351,142,026

 

 

 

 

 

 

 

 

 

 

 

Separately-Managed Funds—IBM

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

*

 

Managed by State Street Global Advisors

 

SSBT Small/Mid Cap Stock Index (refer to Exhibit A - investments)

 

 

 

3,142,426,587

*

 

Managed by State Street Global Advisors

 

SSBT Total International Stock Market Index (refer to Exhibit B - investments)

 

 

 

2,768,095,303

*

 

Managed by State Street Global Advisors

 

SSBT Inflation Protected Bond (refer to Exhibit C - investments)

 

 

 

1,049,787,078

*

 

Managed by State Street Global Advisors

 

SSBT Total Bond Market (refer to Exhibit D - investments)

 

 

 

890,461,447

 

 

Managed by Lehman Brothers

 

Long-Term Corporate Bond (refer to Exhibit E - investments)

 

 

 

175,755,927

*

 

Managed by State Street Global Advisors

 

SSBT Equity Income (refer to Exhibit F - investments)

 

 

 

159,198,802

 

 

Managed by Pacific Management Investment Company (PIMCO)

 

High Yield and Emerging Markets Bond (refer to Exhibit G — investments)

 

 

 

123,889,601

*

 

Party-In-Interest

 

 

 

 

 

 

 

20



 

(a)

 

(b) Identity of issue, borrower, lessor, or similar party

 

(c) Description of investment including maturity date, rate of interest, collateral, par, or maturity value

 

(d) Cost

 

(e) Fair value

 

 

 

 

 

 

 

 

 

 

 

Short-Term Investments

 

 

 

 

 

 

 

 

Managed by JPMorgan Chase Bank N.A.

 

Short-Term Investments purchased with cash collateral from securities lending(refer to Exhibit H - investments)

 

 

 

$

3,724,955,826

 

 

 

 

 

 

 

 

 

 

 

Stable Value Fund—Investment Contracts†

 

 

 

 

 

 

 

 

Underlying assets managed by various investment companies

 

Synthetic GIC Global Wrapper (the fair value of wrap contract is $14 million, Rate of Interest 5.75%, refer to Exhibit I - investments)

 

 

 

6,071,983,030

 

 

 

 

 

 

 

 

 

 

 

Short-Term Investments

 

 

 

 

 

 

*

 

Managed by State Street Global Advisors

 

SSGA Short-Term Investments

 

 

 

245,396,134

 

 

 

 

 

 

 

 

 

 *

 

Loans to Participants

 

Interest rates range: 4.25% - 11.00%, Terms: one to four years

 

 

 

290,575,562

 

 

 

 

 

 

 

 

 

*

 

Party-In-Interest

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

†

 

Royal Bank of Canada

 

 

 

 

 

$1,517,995,758

 

 

 

 

 

 

 

 

 

†

 

JPMorgan Chase

 

 

 

 

 

$1,517,995,758

 

 

 

 

 

 

 

 

 

†

 

UBS

 

 

 

 

 

1,214,396,606

 

 

 

 

 

 

 

 

 

†

 

Bank of America

 

 

 

 

 

1,214,396,606

 

 

 

 

 

 

 

 

 

†

 

State Street Bank and Trust

 

 

 

 

 

607,198,302

 

21



EXHIBIT A - Small/Mid-Cap Stock Index
(Managed by State Street Global Advisors)

IBM SAVINGS PLAN AT DECEMBER 31, 2006

Schedule H, line 4i-Schedule of Assets  (Held At End of Year)

(a)

 

(b) Identity of issue, borrower, lessor, or similar party

 

(c) Description of investment including maturity date,
rate of interest, collateral, par, or maturity value          

 

(d) Cost

 

(e) Fair 
value

 

 

 

 

 

 

 

Shares

 

(n / a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

1ST SOURCE CORP

 

COM

 

11,319

 

 

 

$

363,679

 

 

 

21ST CENTURY INS GROUP

 

COM

 

27,600

 

 

 

487,140

 

 

 

24 / 7 REAL MEDIA INC

 

COM NEW

 

54,810

 

 

 

496,031

 

 

 

3COM CORP

 

COM

 

407,250

 

 

 

1,673,798

 

 

 

3D SYS CORP DEL

 

COM NEW

 

14,715

 

 

 

234,851

 

 

 

99 CENTS ONLY STORES

 

COM

 

49,464

 

 

 

601,977

 

 

 

A C MOORE ARTS + CRAFTS INC

 

COM

 

15,700

 

 

 

340,219

 

 

 

A S V INC

 

COM

 

22,900

 

 

 

372,583

 

 

 

AAON INC

 

COM PAR 0.004

 

10,650

 

 

 

279,882

 

 

 

AAR CORP

 

COM

 

37,800

 

 

 

1,103,382

 

 

 

AARON RENTS INC

 

COM

 

41,075

 

 

 

1,182,139

 

 

 

ABAXIS INC

 

COM

 

25,900

 

 

 

498,575

 

 

 

ABERCROMBIE + FITCH CO

 

COM CL A

 

91,130

 

 

 

6,345,382

 

 

 

ABIOMED INC

 

COM

 

22,700

 

 

 

320,070

 

 

 

ABM INDS INC

 

COM

 

43,500

 

 

 

987,885

 

 

 

ABRAXIS BIOSCIENCE INC

 

COM

 

22,900

 

 

 

626,086

 

 

 

ABX AIR INC

 

COM

 

66,454

 

 

 

460,526

 

 

 

ACACIA RESH CORP

 

AR ACACIA TECHNOLOGIES COM

 

25,700

 

 

 

343,866

 

 

 

ACADIA PHARMACEUTICALS INC

 

COM

 

23,000

 

 

 

202,170

 

 

 

ACADIA RLTY TR

 

COM

 

31,600

 

 

 

790,632

 

 

 

ACCESS INTEGRATED TECHNOLOGIES

 

CL A

 

3,600

 

 

 

31,392

 

 

 

ACCO BRANDS CORP

 

COM

 

44,436

 

 

 

1,176,221

 

 

 

ACCREDITED HOME LENDERS HLDG

 

COM

 

23,737

 

 

 

647,545

 

 

 

ACCURIDE CORP

 

COM

 

5,295

 

 

 

59,622

 

 

 

ACTEL CORP

 

COM

 

34,300

 

 

 

622,888

 

 

 

ACTIVISION INC NEW

 

COM NEW

 

278,298

 

 

 

4,797,858

 

 

 

ACTUANT CORP

 

CL A NEW

 

27,200

 

 

 

1,296,080

 

 

 

ACTUATE CORP

 

COM

 

8,578

 

 

 

50,953

 

 

 

ACUITY BRANDS INC

 

COM

 

49,100

 

 

 

2,555,164

 

 

 

ACXIOM CORP

 

COM

 

86,700

 

 

 

2,223,855

 

 

 

ADAMS RESPIRATORY THERAPEUTICS

 

COM

 

32,663

 

 

 

1,332,977

 

 

 

ADAPTEC INC

 

COM

 

125,400

 

 

 

584,364

 

 

 

ADESA INC

 

COM

 

95,800

 

 

 

2,658,450

 

 

 

ADMINISTAFF INC

 

COM

 

23,100

 

 

 

987,987

 

 

 

ADOLOR CORP

 

COM

 

47,242

 

 

 

355,260

 

 

 

ADTRAN INC

 

COM

 

70,300

 

 

 

1,595,810

 

 

 

ADVANCE AMER CASH ADVANCE

 

COM

 

63,800

 

 

 

934,670

 

 

 

ADVANCE AUTO PARTS

 

COM

 

109,000

 

 

 

3,876,040

 

 

 

ADVANCED ANALOGIC TECHNOLOGIES

 

COM

 

14,900

 

 

 

80,311

 

 

 

ADVANCED ENERGY INDS INC

 

COM

 

29,100

 

 

 

549,117

 

 

 

ADVANCED MAGNETICS INC

 

COM

 

7,900

 

 

 

471,788

 

 

 

ADVANCED MED OPTICS INC

 

COM

 

59,864

 

 

 

2,107,213

 

 

 

ADVANTA CORP

 

CLASS B

 

23,000

 

 

 

1,003,490

 

 

 

ADVENT SOFTWARE INC

 

COM

 

25,698

 

 

 

906,882

 

 

 

ADVISORY BRD CO

 

COM

 

21,400

 

 

 

1,145,756

 

 

 

ADVO INC

 

COM

 

35,050

 

 

 

1,142,630

 

 

 

AEP INDS INC

 

COM

 

6,200

 

 

 

330,522

 

 

 

AEROFLEX INC

 

COM

 

84,200

 

 

 

986,824

 

 

 

AEROPOSTALE

 

COM

 

60,900

 

 

 

1,879,983

 

 

 

AFC ENTERPRISES INC

 

COM

 

16,175

 

 

 

285,812

 

 

 

AFFILIATED MANAGERS GROUP INC

 

COM

 

31,855

 

 

 

3,348,916

 

 

 

AFFORDABLE RESIDENTIAL CMNTYS

 

COM

 

21,900

 

 

 

255,135

 

 

 

AFFYMETRIX INC

 

OC CAP STK

 

71,100

 

 

 

1,639,566

 

 

 

AFTERMARKET TECHNOLOGY CORP

 

COM

 

25,861

 

 

 

550,322

 

 

 

AGCO CORP

 

COM

 

90,500

 

 

 

2,800,070

 

 

 

AGERE SYS INC

 

COM

 

170,200

 

 

 

3,262,734

 

 

 

AGILE SOFTWARE CORP DEL

 

COM

 

57,200

 

 

 

351,780

 

 

 

AGILYSYS INC

 

COM

 

36,880

 

 

 

617,371

 

 

 

AGL RES INC

 

COM

 

81,200

 

 

 

3,159,492

 

 



 

 

 

 

AGREE RLTY CORP

 

COM

 

2,640

 

 

 

90,737

 

 

 

AIR METHODS CORP

 

COM NEW

 

9,900

 

 

 

276,408

 

 

 

AIRGAS INC

 

COM

 

69,600

 

 

 

2,820,192

 

 

 

AIRTRAN HOLDINGS INC

 

COM

 

93,400

 

 

 

1,096,516

 

 

 

AK STL HLDG CORP

 

COM

 

120,527

 

 

 

2,036,906

 

 

 

AKAMAI TECHNOLOGIES INC

 

COM

 

156,348

 

 

 

8,305,206

 

 

 

AKORN INC

 

COM

 

1,000

 

 

 

6,250

 

 

 

ALABAMA NATL BANCORPORATION DE

 

COM

 

17,880

 

 

 

1,228,892

 

 

 

ALASKA AIR GROUP INC

 

COM

 

42,700

 

 

 

1,686,650

 

 

 

ALASKA COMMUNICATIONS SYS INC

 

COM

 

42,200

 

 

 

641,018

 

 

 

ALBANY INTL CORP

 

NEW CLASS A

 

26,260

 

 

 

864,217

 

 

 

ALBANY MOLECULAR RESH INC

 

COM

 

34,300

 

 

 

362,208

 

 

 

ALBEMARLE CORP

 

COM

 

40,200

 

 

 

2,886,360

 

 

 

ALBERTO CULVER CO NEW

 

COM

 

70,000

 

 

 

1,501,500

 

 

 

ALEXANDER + BALDWIN INC

 

COM

 

46,824

 

 

 

2,076,176

 

 

 

ALEXANDERS INC

 

COM

 

2,300

 

 

 

965,195

 

 

 

ALEXANDRIA REAL ESTATE EQUIT

 

COM

 

27,700

 

 

 

2,781,080

 

 

 

ALEXION PHARMACEUTICALS INC

 

COM

 

35,600

 

 

 

1,437,884

 

 

 

ALFA CORP

 

COM

 

37,900

 

 

 

712,899

 

 

 

ALICO INC

 

COM

 

5,500

 

 

 

278,465

 

 

 

ALIGN TECHNOLOGY INC

 

COM

 

54,000

 

 

 

754,380

 

 

 

ALKERMES INC

 

COM

 

98,400

 

 

 

1,315,608

 

 

 

ALLEGHANY CORP DEL

 

COM

 

5,176

 

 

 

1,881,994

 

 

 

ALLETE INC

 

COM NEW

 

24,300

 

 

 

1,130,922

 

 

 

ALLIANCE DATA SYSTEMS CORP

 

COM

 

82,100

 

 

 

5,128,787

 

 

 

ALLIANCE IMAGING INC DEL

 

COM

 

12,800

 

 

 

85,120

 

 

 

ALLIANCE ONE INTL INC

 

COM

 

85,000

 

 

 

600,100

 

 

 

ALLIANT ENERGY CORP

 

COM

 

117,000

 

 

 

4,419,090

 

 

 

ALLIANT TECHSYSTEMS INC

 

COM

 

35,734

 

 

 

2,794,041

 

 

 

ALLIED CAP CORP NEW

 

COM

 

141,552

 

 

 

4,625,919

 

 

 

ALLIS CHALMERS ENERGY INC

 

COM

 

19,100

 

 

 

440,064

 

 

 

ALLSCRIPTS HEATHCARE SOLUT

 

COM

 

49,600

 

 

 

1,338,704

 

 

 

ALNYLAM PHARMACEUTICALS INC

 

COM

 

30,000

 

 

 

642,000

 

 

 

ALON USA ENERGY INC

 

COM

 

10,700

 

 

 

281,517

 

 

 

ALPHA NAT RES INC

 

COM

 

50,745

 

 

 

722,101

 

 

 

ALPHARMA INC

 

CL A

 

41,621

 

 

 

1,003,066

 

 

 

ALTIRIS INC

 

COM

 

22,200

 

 

 

563,436

 

 

 

AMB PPTY CORP

 

COM

 

88,300

 

 

 

5,175,263

 

 

 

AMBASSADORS GROUP INC

 

COM

 

13,200

 

 

 

400,620

 

 

 

AMBASSADORS INTL INC

 

COM

 

7,200

 

 

 

328,464

 

 

 

AMCOL INTL CORP

 

COM

 

24,800

 

 

 

687,952

 

 

 

AMCORE FINL INC

 

COM

 

21,100

 

 

 

689,337

 

 

 

AMEDISYS INC

 

COM

 

24,267

 

 

 

797,645

 

 

 

AMERCO

 

COM

 

11,483

 

 

 

999,136

 

 

 

AMERICAN AXLE + MFG HLDGS INC

 

COM

 

47,750

 

 

 

906,773

 

 

 

AMERICAN CAMPUS CMNTYS INC

 

COM

 

22,700

 

 

 

646,269

 

 

 

AMERICAN CAP STRATEGIES LTD

 

COM

 

144,943

 

 

 

6,705,063

 

 

 

AMERICAN COML LINES INC

 

COM NEW

 

30,600

 

 

 

2,004,606

 

 

 

AMERICAN EAGLE OUTFITTERS INC

 

COM

 

172,650

 

 

 

5,388,407

 

 

 

AMERICAN ECOLOGY CORP

 

COM NEW

 

14,700

 

 

 

272,097

 

 

 

AMERICAN EQUITY INVT LIFE

 

COM

 

64,700

 

 

 

843,041

 

 

 

AMERICAN FINL GROUP INC OHIO

 

COM

 

83,100

 

 

 

2,984,121

 

 

 

AMERICAN FINL RLTY TR

 

COM

 

120,800

 

 

 

1,381,952

 

 

 

AMERICAN GREETINGS CORP

 

CL A

 

52,800

 

 

 

1,260,336

 

 

 

AMERICAN HOME MTG INVT CORP

 

COM

 

49,428

 

 

 

1,735,911

 

 

 

AMERICAN MED SYS HLDGS

 

C0M

 

67,700

 

 

 

1,253,804

 

 

 

AMERICAN NATL INS CO

 

COM

 

14,100

 

 

 

1,608,951

 

 

 

AMERICAN ORIENTAL BIOENGINEE

 

COM

 

44,300

 

 

 

516,981

 

 

 

AMERICAN PHYSICIANS CAP INC

 

COM

 

15,300

 

 

 

612,612

 

 

 

AMERICAN RAILCAR INDS INC

 

COM

 

9,200

 

 

 

313,168

 

 

 

AMERICAN REPROGRAPHICSCO

 

COM

 

25,500

 

 

 

849,405

 

 

 

AMERICAN SCIENCE + ENGR INC

 

COM

 

10,756

 

 

 

640,090

 

 

 

AMERICAN STS WTR CO

 

COM

 

14,900

 

 

 

575,438

 

 

 

AMERICAN SUPERCONDUCTOR CORP

 

COM

 

41,900

 

 

 

411,039

 

 

 

AMERICAN TOWER CORP

 

CL A

 

430,764

 

 

 

16,058,882

 

 

 

AMERICAN VANGUARD CORP

 

COM

 

19,399

 

 

 

308,444

 

 

 

AMERICAN WOODMARK CORP

 

COM

 

14,100

 

 

 

590,085

 

 

 

AMERICANWEST BANCORPORATION

 

COM

 

13,980

 

 

 

338,596

 

 

 

AMERICAS CAR MART INC

 

COM

 

8,850

 

 

 

104,961

 

 

 

AMERICREDIT CORP

 

COM

 

117,200

 

 

 

2,949,924

 

 

 

AMERIGROUP CORP

 

COM

 

57,200

 

 

 

2,052,908

 

 

 

AMERIS BANCORP

 

COM

 

12,480

 

 

 

351,686

 

 

 

AMERISTAR CASINOS INC

 

COM

 

27,700

 

 

 

851,498

 

 

 

 



 

 

 

 

AMERON INTL CORP

 

COM

 

9,400

 

 

 

717,878

 

 

 

AMETEK INC NEW

 

COM

 

106,200

 

 

 

3,381,408

 

 

 

AMIS HLDGS INC

 

COM

 

33,300

 

 

 

351,981

 

 

 

AMKOR TECHNOLOGY INC

 

COM

 

119,400

 

 

 

1,115,196

 

 

 

AMN HEALTHCARE SVCS INC

 

COM

 

31,190

 

 

 

858,973

 

 

 

AMPCO PITTSBURGH CORP

 

COM

 

6,300

 

 

 

210,924

 

 

 

AMPHENOL CORP NEW

 

CL A

 

90,400

 

 

 

5,612,032

 

 

 

AMR CORP DEL

 

COM

 

215,900

 

 

 

6,526,657

 

 

 

AMSURG CORP

 

COM

 

31,600

 

 

 

726,800

 

 

 

AMYLIN PHARMACEUTICALS INC

 

COM

 

115,500

 

 

 

4,166,085

 

 

 

ANADIGICS INC

 

COM

 

43,900

 

 

 

388,954

 

 

 

ANALOGIC CORP

 

COM PAR 0.05

 

15,900

 

 

 

892,626

 

 

 

ANAREN INC

 

COM

 

22,100

 

 

 

392,496

 

 

 

ANCHOR BANCORP WIS INC

 

COM

 

18,660

 

 

 

537,781

 

 

 

ANDERSONS INC

 

COM

 

12,850

 

 

 

544,712

 

 

 

ANDREW CORP

 

COM

 

172,100

 

 

 

1,760,583

 

 

 

ANGIODYNAMICS INC

 

COM

 

11,100

 

 

 

238,539

 

 

 

ANIXTER INTL INC

 

COM

 

35,050

 

 

 

1,903,215

 

 

 

ANNALY CAPITAL MANAGEMENT INC

 

COM

 

201,200

 

 

 

2,798,692

 

 

 

ANNTAYLOR STORES CORP

 

COM

 

73,150

 

 

 

2,402,246

 

 

 

ANSOFT CORP

 

COM

 

15,252

 

 

 

424,006

 

 

 

ANSYS INC

 

COM

 

33,207

 

 

 

1,444,172

 

 

 

ANTHRACITE CAP INC

 

COM

 

55,500

 

 

 

706,515

 

 

 

ANWORTH MTG ASSET CORP 1

 

COM

 

58,800

 

 

 

559,188

 

 

 

APOGEE ENTERPRISES INC

 

COM

 

26,520

 

 

 

512,101

 

 

 

APOLLO INVT CORP

 

COM

 

85,661

 

 

 

1,918,806

 

 

 

APPLEBEES INTL INC

 

COM

 

74,412

 

 

 

1,835,744

 

 

 

APPLERA CORP CELERA GENOMICS

 

COM

 

88,434

 

 

 

1,237,192

 

 

 

APPLIED INDL TECHNOLOGIES INC

 

COM

 

48,925

 

 

 

1,287,217

 

 

 

APPLIED MICRO CIRCUITS CORP

 

CDT COM

 

299,700

 

 

 

1,066,932

 

 

 

APRIA HEALTHCARE GROUP INC

 

COM

 

53,100

 

 

 

1,415,115

 

 

 

APTARGROUP INC

 

COM

 

37,800

 

 

 

2,231,712

 

 

 

AQUA AMER INC

 

COM

 

129,100

 

 

 

2,940,898

 

 

 

AQUANTIVE INC

 

COM

 

75,900

 

 

 

1,871,694

 

 

 

AQUILA INC DEL NEW

 

COM

 

383,066

 

 

 

1,800,410

 

 

 

ARAMARK CORP

 

CL B

 

119,400

 

 

 

3,993,930

 

 

 

ARBITRON INC

 

COM

 

33,660

 

 

 

1,462,190

 

 

 

ARBOR RLTY TR INC

 

COM REITS

 

8,900

 

 

 

267,801

 

 

 

ARCH CHEMICALS INC

 

COM

 

24,800

 

 

 

826,088

 

 

 

ARCH COAL INC

 

COM

 

140,846

 

 

 

4,229,605

 

 

 

ARCTIC CAT INC

 

COM

 

13,800

 

 

 

242,742

 

 

 

ARDEN GROUP INC

 

CL A

 

2,100

 

 

 

260,001

 

 

 

ARENA PHARMACEUTICALS INC

 

COM

 

54,080

 

 

 

698,173

 

 

 

ARENA RES INC

 

COM

 

9,700

 

 

 

414,287

 

 

 

ARES CAP CORP

 

COM

 

49,973

 

 

 

954,984

 

 

 

ARGON ST INC

 

COM

 

8,295

 

 

 

178,674

 

 

 

ARGONAUT GROUP INC

 

COM

 

31,500

 

 

 

1,098,090

 

 

 

ARIAD PHARMACEUTICALS INC

 

COM

 

64,300

 

 

 

330,502

 

 

 

ARIBA INC

 

COM NEW

 

73,011

 

 

 

565,105

 

 

 

ARKANSAS BEST CORP

 

COM

 

27,900

 

 

 

1,004,400

 

 

 

ARMOR HLDGS INC

 

COM

 

29,800

 

 

 

1,634,530

 

 

 

ARRAY BIOPHARMA INC

 

COM

 

29,001

 

 

 

374,693

 

 

 

ARRIS GROUP INC

 

COM

 

115,200

 

 

 

1,441,152

 

 

 

ARROW ELECTRS INC

 

COM

 

123,450

 

 

 

3,894,848

 

 

 

ARROW FINL CORP

 

COM

 

10,133

 

 

 

250,994

 

 

 

ARROW INTERNATIONAL INC

 

COM

 

26,000

 

 

 

919,880

 

 

 

ART TECHNOLOGY GROUP INC

 

OC COM

 

101,100

 

 

 

235,563

 

 

 

ARTHROCARE CORP

 

COM

 

26,600

 

 

 

1,061,872

 

 

 

ARVINMERITOR INC

 

COM

 

76,512

 

 

 

1,394,814

 

 

 

ASBURY AUTOMOTIVE GROUP INC

 

COM

 

15,500

 

 

 

365,180

 

 

 

ASHFORD HOSPITALITY TR INC

 

COM SHS

 

61,100

 

 

 

760,695

 

 

 

ASPECT MED SYS INC

 

COM

 

14,900

 

 

 

280,269

 

 

 

ASPEN TECHNOLOGY INC

 

COM

 

46,480

 

 

 

512,210

 

 

 

ASSET ACCEP CAP CORP

 

COM

 

7,000

 

 

 

117,740

 

 

 

ASSOCIATED BANC CORP

 

COM

 

134,115

 

 

 

4,677,931

 

 

 

ASSURANT INC

 

COM

 

130,500

 

 

 

7,210,125

 

 

 

ASTA FDG INC

 

COM

 

7,998

 

 

 

243,459

 

 

 

ASTEC INDS INC

 

COM

 

17,600

 

 

 

617,760

 

 

 

ASTORIA FINL CORP

 

COM

 

91,700

 

 

 

2,765,672

 

 

 

ASYST TECHNOLOGIES INC

 

COM

 

54,700

 

 

 

399,857

 

 

 

AT RD INC

 

COM

 

55,800

 

 

 

407,340

 

 

 

ATHEROGENICS INC

 

COM

 

44,200

 

 

 

438,022

 

 

 

ATHEROS COMMUNICATIONS INC

 

COM

 

54,200

 

 

 

1,155,544

 

 



 

 

 

 

ATLANTIC TELE NETWORK INC

 

COM NEW

 

100

 

 

 

2,930

 

 

 

ATLAS AIR WORLDWIDE HLDGS INC

 

COM NEW

 

19,600

 

 

 

872,200

 

 

 

ATLAS AMER INC

 

COM

 

17,862

 

 

 

910,426

 

 

 

ATMEL CORP

 

COM

 

443,580

 

 

 

2,683,659

 

 

 

ATMI INC

 

COM

 

34,600

 

 

 

1,056,338

 

 

 

ATMOS ENERGY CORP

 

COM

 

82,850

 

 

 

2,643,744

 

 

 

ATP OIL + GAS CORPORATION

 

COM

 

15,780

 

 

 

624,415

 

 

 

ATWOOD OCEANICS INC

 

COM

 

29,500

 

 

 

1,444,615

 

 

 

AUDIBLE INC

 

COM NEW

 

21,030

 

 

 

166,768

 

 

 

AUDIOVOX CORP

 

CL A

 

20,200

 

 

 

284,618

 

 

 

AURORA OIL + GAS CORP

 

COM

 

59,500

 

 

 

190,995

 

 

 

AUTOLIV

 

COM

 

83,850

 

 

 

5,056,155

 

 

 

AUXILIUM PHARMACEUTICALS INC

 

COM

 

21,100

 

 

 

309,959

 

 

 

AVALONBAY CMNTYS INC

 

COM

 

76,400

 

 

 

9,935,820

 

 

 

AVANEX CORP

 

COM

 

144,100

 

 

 

272,349

 

 

 

AVANIR PHARMACEUTICALS

 

CL A NEW

 

28,890

 

 

 

66,736

 

 

 

AVATAR HLDGS INC

 

COM

 

6,400

 

 

 

517,440

 

 

 

AVENTINE RENEWABLE ENGY HLDGS

 

COM

 

29,960

 

 

 

705,858

 

 

 

AVI BIOPHARMA INC

 

COM

 

2,300

 

 

 

7,314

 

 

 

AVID TECHNOLOGY INC

 

COM

 

43,925

 

 

 

1,636,646

 

 

 

AVIS BUDGET GROUP INC

 

COM

 

102,168

 

 

 

2,216,024

 

 

 

AVISTA CORP

 

COM

 

51,400

 

 

 

1,300,934

 

 

 

AVNET INC

 

COM

 

128,174

 

 

 

3,272,282

 

 

 

AVOCENT CORP

 

COM

 

48,875

 

 

 

1,654,419

 

 

 

AVX CORP NEW

 

COM

 

62,000

 

 

 

916,980

 

 

 

AXCELIS TECHNOLOGIES INC

 

COM

 

122,100

 

 

 

711,843

 

 

 

AZTAR CORP

 

COM

 

38,230

 

 

 

2,080,477

 

 

 

BADGER METER INC

 

COM

 

17,670

 

 

 

489,459

 

 

 

BALCHEM CORP

 

COM

 

14,932

 

 

 

383,454

 

 

 

BALDOR ELEC CO

 

COM

 

35,200

 

 

 

1,176,384

 

 

 

BALDWIN + LYONS INC

 

CL B

 

9,250

 

 

 

236,245

 

 

 

BALLY TECHNOLOGIES INC

 

COM

 

57,300

 

 

 

1,070,364

 

 

 

BALLY TOTAL FITNESS HLDG CORP

 

COM

 

32,700

 

 

 

80,115

 

 

 

BANCFIRST CORP

 

COM

 

9,100

 

 

 

491,400

 

 

 

BANCORP INC DEL

 

COM

 

4,025

 

 

 

119,140

 

 

 

BANCORPSOUTH INC

 

COM

 

77,660

 

 

 

2,082,841

 

 

 

BANCTRUST FINL GROUP INC

 

COM

 

8,734

 

 

 

222,892

 

 

 

BANDAG INC

 

COM

 

10,300

 

 

 

519,429

 

 

 

BANK GRANITE CORP

 

COM

 

18,562

 

 

 

352,121

 

 

 

BANK HAWAII CORP

 

COM

 

52,700

 

 

 

2,843,165

 

 

 

BANK MUTUAL CORP

 

COM

 

54,692

 

 

 

662,320

 

 

 

BANK OF THE OZARKS INC

 

COM

 

12,400

 

 

 

409,944

 

 

 

BANKATLANTIC BANCORP INC

 

CL A

 

51,800

 

 

 

715,358

 

 

 

BANKFINANCIAL CORP

 

COM

 

16,168

 

 

 

287,952

 

 

 

BANKRATE INC

 

COM

 

12,000

 

 

 

455,400

 

 

 

BANKUNITED FINL CORP

 

COM

 

36,600

 

 

 

1,023,336

 

 

 

BANNER CORP

 

COM

 

11,800

 

 

 

523,212

 

 

 

BANTA CORP

 

COM STK

 

23,090

 

 

 

840,476

 

 

 

BARE ESCENTUALS INC

 

COM

 

18,700

 

 

 

581,009

 

 

 

BARNES + NOBLE INC

 

COM

 

54,600

 

 

 

2,168,166

 

 

 

BARNES GROUP INC

 

COM

 

44,000

 

 

 

957,000

 

 

 

BARRET BUSINESS SVCS INC

 

COM

 

100

 

 

 

2,342

 

 

 

BARRETT BILL CORP

 

COM

 

27,700

 

 

 

753,717

 

 

 

BASIC ENERGY SVCS INC NEW

 

COM

 

13,500

 

 

 

332,775

 

 

 

BE AEROSPACE INC

 

COM

 

80,800

 

 

 

2,074,944

 

 

 

BEA SYS INC

 

COM

 

385,360

 

 

 

4,847,829

 

 

 

BEACON ROOFING SUPPLY INC

 

COM

 

42,950

 

 

 

808,319

 

 

 

BEARINGPOINT INC

 

COM

 

179,800

 

 

 

1,415,026

 

 

 

BEAZER HOMES USA INC

 

COM

 

45,188

 

 

 

2,124,288

 

 

 

BEBE STORES INC

 

COM

 

20,137

 

 

 

398,511

 

 

 

BECKMAN COULTER INC

 

COM

 

63,650

 

 

 

3,806,270

 

 

 

BEL FUSE INC

 

CL B

 

11,600

 

 

 

403,564

 

 

 

BELDEN CDT INC

 

COM

 

42,050

 

 

 

1,643,735

 

 

 

BELO CORP

 

COM SER A

 

95,400

 

 

 

1,752,498

 

 

 

BENCHMARK ELECTRS INC

 

COM

 

68,223

 

 

 

1,661,912

 

 

 

BENTLEY PHARMACEUTICALS INC

 

COM

 

23,200

 

 

 

235,944

 

 

 

BERKLEY W R CORP

 

COM

 

164,171

 

 

 

5,665,541

 

 

 

BERKSHIRE HILL BANCORP INC

 

COM

 

5,500

 

 

 

184,030

 

 

 

BERRY PETE CO

 

CL A

 

38,900

 

 

 

1,206,289

 

 

 

BFC FINL CORP

 

CL A

 

9,975

 

 

 

63,740

 

 

 

BIG 5 SPORTING GOODS CORP

 

COM

 

20,641

 

 

 

504,053

 

 

 

BIO RAD LABORATORIES INC

 

CLASS A

 

20,200

 

 

 

1,666,904

 

 

 

BIO REFERENCE LABS INC

 

COM PAR 0.01 NEW

 

11,445

 

 

 

257,398

 

 



 

 

 

 

BIOCRYST PHARMACEUTICALS INC

 

COM

 

20,500

 

 

 

236,980

 

 

 

BIOENVISION INC

 

COM

 

49,685

 

 

 

230,538

 

 

 

BIOMARIN PHARMACEUTICAL INC

 

COM

 

96,400

 

 

 

1,579,996

 

 

 

BIOMED RLTY TR INC

 

COM

 

65,600

 

 

 

1,876,160

 

 

 

BIOSITE INC

 

COM

 

17,000

 

 

 

830,450

 

 

 

BISYS GROUP INC

 

COM

 

135,800

 

 

 

1,753,178

 

 

 

BJS RESTAURANTS INC

 

COM

 

13,800

 

 

 

278,898

 

 

 

BJS WHSL CLUB INC

 

COM

 

75,750

 

 

 

2,356,583

 

 

 

BLACK BOX CORP

 

COM

 

20,400

 

 

 

856,596

 

 

 

BLACK HILLS CORP

 

COM

 

34,650

 

 

 

1,279,971

 

 

 

BLACKBAUD INC

 

COM

 

42,500

 

 

 

1,105,000

 

 

 

BLACKBOARD INC

 

COM

 

26,700

 

 

 

802,068

 

 

 

BLACKROCK INC

 

CL A

 

21,400

 

 

 

3,250,660

 

 

 

BLOCKBUSTER INC

 

CL A

 

197,600

 

 

 

1,045,304

 

 

 

BLOUT INTL INC NEW

 

COM

 

46,100

 

 

 

620,506

 

 

 

BLUE COAT SYS INC

 

COM NEW

 

9,100

 

 

 

217,945

 

 

 

BLUE NILE INC

 

COM

 

13,100

 

 

 

483,259

 

 

 

BLUEGREEN CORP

 

COM

 

25,400

 

 

 

325,882

 

 

 

BLUELINX HLDGS INC

 

COM

 

13,100

 

 

 

136,240

 

 

 

BLYTH INC

 

COM

 

30,300

 

 

 

628,725

 

 

 

BOB EVANS FARMS INC

 

COM

 

36,800

 

 

 

1,259,296

 

 

 

BOIS D ARC ENERGY LLC 1

 

COM

 

12,500

 

 

 

182,875

 

 

 

BOK FINL CORP

 

COM NEW

 

23,752

 

 

 

1,305,885

 

 

 

BON TON STORES INC

 

COM

 

7,100

 

 

 

246,015

 

 

 

BOOKHAM INC

 

COM

 

2,000

 

 

 

8,140

 

 

 

BOOKS A MILLION INC

 

COM

 

8,500

 

 

 

192,780

 

 

 

BORDERS GROUP INC

 

COM

 

64,000

 

 

 

1,430,400

 

 

 

BORG WARNER INC

 

COM

 

59,800

 

 

 

3,529,396

 

 

 

BORLAND SOFTWARE CORP

 

COM

 

91,200

 

 

 

496,128

 

 

 

BOSTON BEER INC

 

CL A

 

7,900

 

 

 

284,242

 

 

 

BOSTON PRIVATE FINL HLDGS INC

 

COM

 

40,500

 

 

 

1,142,505

 

 

 

BOTTOMLINE TECHNOLOGIES DEL

 

COM

 

15,235

 

 

 

174,441

 

 

 

BOWATER INC

 

COM

 

55,450

 

 

 

1,247,625

 

 

 

BOWNE + CO INC

 

COM

 

33,000

 

 

 

526,020

 

 

 

BOYD GAMING CORP

 

COM

 

44,000

 

 

 

1,993,640

 

 

 

BRADLEY PHARMACEUTICALS INC

 

COM

 

15,700

 

 

 

323,106

 

 

 

BRADY CORP

 

CL A

 

48,400

 

 

 

1,804,352

 

 

 

BRANDYWINE RLTY TR

 

SH BEN INT NEW

 

91,822

 

 

 

3,053,082

 

 

 

BRE PPTYS INC

 

COM

 

50,800

 

 

 

3,303,016

 

 

 

BRIGGS + STRATTON CORP

 

COM

 

55,700

 

 

 

1,501,115

 

 

 

BRIGHAM EXPL CO

 

COM

 

21,500

 

 

 

157,165

 

 

 

BRIGHT HORIZONS FAMILY SOLUT

 

COM

 

28,200

 

 

 

1,090,212

 

 

 

BRIGHTPOINT INC

 

COM NEW

 

55,660

 

 

 

748,627

 

 

 

BRINKER INTL INC

 

COM

 

122,700

 

 

 

3,700,632

 

 

 

BRINKS CO

 

COM

 

48,200

 

 

 

3,080,944

 

 

 

BRISTOL WEST HLDGS INC

 

COM

 

10,500

 

 

 

166,215

 

 

 

BRISTOW GROUP INC

 

COM

 

25,500

 

 

 

920,295

 

 

 

BROADWING CORP

 

COM

 

77,570

 

 

 

1,211,643

 

 

 

BROCADE COMMUNICATIONS SYS INC

 

COM

 

285,300

 

 

 

2,342,313

 

 

 

BRONCO DRILLING CO INC

 

COM

 

15,100

 

 

 

259,569

 

 

 

BROOKDALE SR LIVING INC

 

COM

 

19,000

 

 

 

912,000

 

 

 

BROOKFIELD HOMES CORP

 

COM

 

17,223

 

 

 

646,724

 

 

 

BROOKLINE BANCORP INC DEL

 

COM

 

71,017

 

 

 

935,294

 

 

 

BROOKS AUTOMATION INC NEW

 

COM

 

83,585

 

 

 

1,203,624

 

 

 

BROWN + BROWN INC

 

COM

 

116,400

 

 

 

3,283,644

 

 

 

BROWN SHOE INC NEW

 

COM

 

28,750

 

 

 

1,372,525

 

 

 

BRUKER BIOSCIENCES CORP

 

COM

 

22,307

 

 

 

167,526

 

 

 

BRUSH ENGINEERED MATLS INC

 

COM

 

22,399

 

 

 

756,414

 

 

 

BUCKEYE TECHNOLOGIES INC

 

COM

 

34,350

 

 

 

411,513

 

 

 

BUCKLE INC

 

COM

 

10,700

 

 

 

544,095

 

 

 

BUCYRUS INTL INC NEW

 

CL A

 

32,349

 

 

 

1,674,384

 

 

 

BUFFALO WILD WINGS INC

 

COM

 

9,100

 

 

 

484,120

 

 

 

BUILD A BEAR WORKSHOP INC

 

COM

 

10,000

 

 

 

280,200

 

 

 

BUILDERS FIRSTSOURCE INC

 

COM

 

7,600

 

 

 

135,508

 

 

 

BUILDING MATLS HLDG CORP

 

COM

 

33,500

 

 

 

827,115

 

 

 

BURGER KING HLDGS INC

 

COM

 

23,400

 

 

 

493,740

 

 

 

C COR NET CORPORATION

 

COM

 

58,100

 

 

 

647,234

 

 

 

C D I CORP

 

COM

 

16,710

 

 

 

416,079

 

 

 

C H ROBINSON WORLDWIDE INC

 

COM NEW

 

176,000

 

 

 

7,196,640

 

 

 

CABELAS INC

 

COM

 

28,400

 

 

 

685,292

 

 

 

CABLEVISION SYS CORP

 

CABLEVISION NY GROUP COM

 

214,475

 

 

 

6,108,248

 

 

 

CABOT CORP

 

COM

 

65,800

 

 

 

2,866,906

 

 

 

CABOT MICROELECTRONICS CORP

 

COM

 

29,155

 

 

 

989,521

 

 



 

 

 

CABOT OIL + GAS CORP

 

COM

 

49,950

 

 

 

3,029,468

 

 

 

CACHE INC

 

COM NEW

 

7,600

 

 

 

191,824

 

 

 

CACI INTL INC

 

CL A

 

30,316

 

 

 

1,712,854

 

 

 

CADENCE DESIGN SYS INC

 

COM

 

279,518

 

 

 

5,006,167

 

 

 

CADENCE FINL CORP

 

COM

 

6,266

 

 

 

135,784

 

 

 

CALAMOS ASSET MGMT INC

 

CL A

 

21,780

 

 

 

584,357

 

 

 

CALAMP CORP

 

COM

 

10,300

 

 

 

86,932

 

 

 

CALGON CARBON CORP

 

COM STK

 

42,100

 

 

 

261,020

 

 

 

CALIFORNIA COASTAL CMNTYS INC

 

COM NEW

 

8,980

 

 

 

192,621

 

 

 

CALIFORNIA PIZZA KITCHEN INC

 

COM

 

22,800

 

 

 

759,468

 

 

 

CALIFORNIA WATER SERVICE GRP

 

COM

 

19,900

 

 

 

803,960

 

 

 

CALLAWAY GOLF CO

 

COM

 

82,150

 

 

 

1,183,782

 

 

 

CALLON PETE CO DEL

 

COM

 

24,300

 

 

 

365,229

 

 

 

CAMBREX CORP

 

COM

 

31,700

 

 

 

720,224

 

 

 

CAMDEN NATL CORP

 

COM

 

9,900

 

 

 

456,588

 

 

 

CAMDEN PPTY TR

 

COM

 

57,283

 

 

 

4,230,350

 

 

 

CAMERON INTL CORP

 

COM

 

116,700

 

 

 

6,190,935

 

 

 

CANDELA CORP

 

COM

 

25,200

 

 

 

311,724

 

 

 

CAPITAL CITY BK GROUP INC

 

COM

 

13,781

 

 

 

486,469

 

 

 

CAPITAL CORP OF THE WEST

 

COM NEW

 

6,460

 

 

 

207,301

 

 

 

CAPITAL LEASE FDG INC

 

COM

 

24,300

 

 

 

281,880

 

 

 

CAPITAL SOUTHWEST CORP

 

COM

 

3,400

 

 

 

429,216

 

 

 

CAPITAL TR INC MD

 

CL A NEW

 

11,700

 

 

 

584,298

 

 

 

CAPITALSOURCE INC

 

COM

 

93,473

 

 

 

2,552,748

 

 

 

CAPITOL BANCORP LTD

 

COM

 

16,400

 

 

 

757,680

 

 

 

CAPITOL FED FINL

 

COM

 

25,300

 

 

 

972,026

 

 

 

CAPSTONE TURBINE CORP

 

COM

 

89,400

 

 

 

109,962

 

 

 

CARACO PHARMACEUTICAL LABS

 

COM

 

4,400

 

 

 

61,600

 

 

 

CARAUSTAR INDS INC

 

COM

 

32,800

 

 

 

265,352

 

 

 

CARBO CERAMICS INC

 

COM

 

22,650

 

 

 

846,431

 

 

 

CARDINAL FINL CORP

 

COM

 

17,194

 

 

 

176,239

 

 

 

CAREER ED CORP

 

COM

 

98,500

 

 

 

2,440,830

 

 

 

CARLISLE COS INC

 

COM

 

31,100

 

 

 

2,441,350

 

 

 

CARMAX INC

 

COM

 

104,600

 

 

 

5,609,698

 

 

 

CARMIKE CINEMAS INC

 

COM

 

10,000

 

 

 

203,900

 

 

 

CARPENTER TECHNOLOGY CORP

 

COM

 

25,500

 

 

 

2,614,260

 

 

 

CARRIZO OIL + GAS INC

 

COM

 

25,340

 

 

 

735,367

 

 

 

CARTER HOLDINGS

 

COM

 

48,000

 

 

 

1,224,000

 

 

 

CASCADE BANCORP

 

COM

 

22,600

 

 

 

701,278

 

 

 

CASCADE CORP

 

COM

 

12,600

 

 

 

666,540

 

 

 

CASCADE NAT GAS CORP

 

COM

 

14,000

 

 

 

362,880

 

 

 

CASELLA WASTE SYS INC

 

CL A

 

13,500

 

 

 

165,105

 

 

 

CASEYS GEN STORES INC

 

COM

 

53,250

 

 

 

1,254,038

 

 

 

CASH AMER INTL INC

 

COM

 

31,800

 

 

 

1,491,420

 

 

 

CASS INFORMATION SYSTEMS INC

 

COM

 

200

 

 

 

7,236

 

 

 

CASTLE A MCO

 

COM

 

11,900

 

 

 

302,855

 

 

 

CASUAL MALE RETAIL GROUP INC

 

COM

 

32,700

 

 

 

426,735

 

 

 

CATALINA MARKETING CORP

 

COM

 

45,700

 

 

 

1,256,750

 

 

 

CATHAY GENERAL BANCORP

 

COM

 

52,082

 

 

 

1,797,350

 

 

 

CATO CORP NEW

 

CL A

 

33,550

 

 

 

768,631

 

 

 

CAVCO INDS INC DEL

 

COM

 

5,600

 

 

 

196,224

 

 

 

CBEYOND INC

 

COM

 

15,000

 

 

 

458,850

 

 

 

CBIZ INC

 

COM

 

83,643

 

 

 

582,992

 

 

 

CBL + ASSOC PPTYS INC

 

COM

 

65,500

 

 

 

2,839,425

 

 

 

CBOT HLDGS INC

 

CL A

 

53,400

 

 

 

8,088,498

 

 

 

CBRL GROUP INC

 

COM

 

30,500

 

 

 

1,365,180

 

 

 

CDW CORP

 

COM

 

59,300

 

 

 

4,169,976

 

 

 

CEC ENTMT INC

 

COM

 

32,725

 

 

 

1,317,181

 

 

 

CEDAR SHOPPING CTRS INC

 

COM NEW

 

34,800

 

 

 

553,668

 

 

 

CELADON GROUP INC

 

COM

 

21,300

 

 

 

356,775

 

 

 

CELANESE CORP DE

 

COM SER A

 

75,500

 

 

 

1,953,940

 

 

 

CELL GENESYS INC

 

COM

 

59,200

 

 

 

200,688

 

 

 

CENTENE CORP DEL

 

COM

 

43,600

 

 

 

1,071,252

 

 

 

CENTENNIAL BK HLDGS INC DEL

 

COM

 

71,013

 

 

 

671,783

 

 

 

CENTENNIAL COMMUNICATIONS CORP

 

CL A NEW

 

32,800

 

 

 

235,832

 

 

 

CENTER FINL CORP CA

 

COM

 

12,004

 

 

 

287,736

 

 

 

CENTRACORE PPTYS TR

 

COM

 

11,500

 

 

 

371,795

 

 

 

CENTRAL EUROPEAN DISTR CORP

 

COM

 

34,919

 

 

 

1,037,094

 

 

 

CENTRAL GARDEN + PET CO

 

COM

 

22,400

 

 

 

1,084,608

 

 

 

CENTRAL PAC FINL CORP

 

COM

 

29,863

 

 

 

1,157,490

 

 

 

CENTRAL PKG CORP

 

COM

 

18,200

 

 

 

327,600

 

 

 

CENTURY ALUM CO

 

COM

 

22,000

 

 

 

982,300

 

 

 

CENVEO INC

 

COM

 

59,045

 

 

 

1,251,754

 

 

 



 

 

 

 

CEPHALON INC

 

COM

 

61,538

 

 

 

4,332,891

 

 

 

CEPHEID

 

COM

 

39,800

 

 

 

338,300

 

 

 

CERADYNE INC CALIF

 

COM

 

26,874

 

 

 

1,518,381

 

 

 

CERIDIAN CORP NEW

 

COM

 

148,000

 

 

 

4,141,040

 

 

 

CERNER CORP

 

COM

 

66,900

 

 

 

3,043,950

 

 

 

CERUS CORP

 

COM

 

500

 

 

 

2,930

 

 

 

CF INDS HLDGS INC

 

COM

 

45,100

 

 

 

1,156,364

 

 

 

CH ENERGY GROUP INC

 

COM

 

17,700

 

 

 

934,560

 

 

 

CHAMPION ENTERPRISES INC

 

COM

 

83,600

 

 

 

782,496

 

 

 

CHAPARRAL STL CO DEL

 

COM

 

47,926

 

 

 

2,121,684

 

 

 

CHARLES RIV LABORATORIES INTL

 

COM

 

68,636

 

 

 

2,968,507

 

 

 

CHARLOTTE RUSSE HLDG INC

 

COM

 

14,745

 

 

 

453,409

 

 

 

CHARMING SHOPPES INC

 

COM

 

131,700

 

 

 

1,781,901

 

 

 

CHARTER COMMUNICATIONS INC DEL

 

CL A

 

373,900

 

 

 

1,144,134

 

 

 

CHARTER FINL CORP WEST PT GA

 

COM

 

5,200

 

 

 

267,904

 

 

 

CHARTERMAC

 

SH BEN INT

 

42,700

 

 

 

916,769

 

 

 

CHATTEM INC

 

COM

 

17,900

 

 

 

896,432

 

 

 

CHECKFREE CORP NEW

 

COM

 

83,900

 

 

 

3,369,424

 

 

 

CHECKPOINT SYS INC

 

COM

 

37,800

 

 

 

763,560

 

 

 

CHEESECAKE FACTORY

 

COM

 

82,450

 

 

 

2,028,270

 

 

 

CHEMED CORP NEW

 

COM

 

25,400

 

 

 

939,292

 

 

 

CHEMICAL FINL CORP

 

COM

 

28,256

 

 

 

940,925

 

 

 

CHEMTURA CORP

 

COM

 

261,125

 

 

 

2,514,634

 

 

 

CHENIERE ENERGY INC

 

COM NEW

 

52,500

 

 

 

1,515,675

 

 

 

CHEROKEE INC DEL NEW

 

COM

 

7,700

 

 

 

330,407

 

 

 

CHESAPEAKE CORP

 

COM

 

25,700

 

 

 

437,414

 

 

 

CHICOS FAS INC

 

COM

 

181,700

 

 

 

3,759,373

 

 

 

CHILDRENS PL RETAIL STORES INC

 

COM

 

22,000

 

 

 

1,397,440

 

 

 

CHINA BAK BATTERY INC

 

COM

 

23,800

 

 

 

155,176

 

 

 

CHIPOTLE MEXICAN GRILL INC

 

CL A

 

8,500

 

 

 

484,500

 

 

 

CHIPOTLE MEXICAN GRILL INC

 

CL B

 

16,000

 

 

 

832,000

 

 

 

CHIQUITA BRANDS INTL INC

 

COM

 

45,200

 

 

 

721,844

 

 

 

CHITTENDEN CORP

 

COM

 

46,087

 

 

 

1,414,410

 

 

 

CHOICE HOTELS INC

 

COM

 

32,400

 

 

 

1,364,040

 

 

 

CHOICEPOINT INC

 

COM

 

86,899

 

 

 

3,422,083

 

 

 

CHORDIANT SOFTWARE INC

 

COM

 

18,496

 

 

 

61,222

 

 

 

CHRISTOPHER + BANKS CORP

 

COM

 

42,275

 

 

 

788,852

 

 

 

CHURCH + DWIGHT INC

 

COM

 

64,655

 

 

 

2,757,536

 

 

 

CHURCHILL DOWNS INC

 

COM

 

10,700

 

 

 

457,318

 

 

 

CIBER INC

 

COM

 

61,000

 

 

 

413,580

 

 

 

CIMAREX ENERGY CO

 

COM

 

85,368

 

 

 

3,115,932

 

 

 

CINCINNATI BELL INC NEW

 

COM

 

264,532

 

 

 

1,208,911

 

 

 

CIRCOR INTL INC

 

COM

 

15,900

 

 

 

584,961

 

 

 

CIRRUS LOGIC INC

 

COM

 

98,200

 

 

 

675,616

 

 

 

CITADEL BROADCASTING CORP

 

COM

 

58,400

 

 

 

581,664

 

 

 

CITI TRENDS INC

 

COM

 

6,300

 

 

 

249,732

 

 

 

CITIZENS BKG CORP MICH

 

COM

 

44,782

 

 

 

1,186,723

 

 

 

CITIZENS FIRST BANCORP INC

 

COM

 

4,300

 

 

 

132,182

 

 

 

CITY BK LYNNWOOD WASH

 

CMT CAP STK

 

14,550

 

 

 

520,890

 

 

 

CITY HLDG CO

 

COM

 

22,700

 

 

 

928,203

 

 

 

CITY NATL CORP

 

COM

 

43,400

 

 

 

3,090,080

 

 

 

CKE RESTAURANTS INC

 

COM

 

68,700

 

 

 

1,264,080

 

 

 

CKX INC

 

COM

 

49,265

 

 

 

577,878

 

 

 

CLAIRE S STORES INC

 

COM

 

102,530

 

 

 

3,397,844

 

 

 

CLARCOR INC

 

COM

 

55,700

 

 

 

1,883,217

 

 

 

CLARK INC

 

COM

 

16,800

 

 

 

279,384

 

 

 

CLEAN HBRS INC

 

COM

 

15,010

 

 

 

726,634

 

 

 

CLEAR CHANNEL OUTDOOR HLDGS IN

 

COM CL A

 

36,200

 

 

 

1,010,342

 

 

 

CLECO CORP NEW

 

COM

 

48,600

 

 

 

1,226,178

 

 

 

CLEVELAND CLIFFS INC

 

COM

 

44,600

 

 

 

2,160,424

 

 

 

CLIFTON SVGS BANCORP INC

 

COM

 

11,691

 

 

 

142,513

 

 

 

CMG INFORMATION SVCS INC

 

COM

 

485,600

 

 

 

650,704

 

 

 

CNA FINL CORP

 

COM

 

24,524

 

 

 

988,808

 

 

 

CNA SURETY CORP

 

COM

 

22,300

 

 

 

479,450

 

 

 

CNET NETWORKS INC

 

COM

 

147,108

 

 

 

1,337,212

 

 

 

CNX GAS CORP

 

COM

 

32,200

 

 

 

821,100

 

 

 

COASTAL FINL CORP DEL

 

COM

 

18,063

 

 

 

302,555

 

 

 

COBIZ INC

 

COM

 

13,950

 

 

 

307,458

 

 

 

COCA COLA BOTTLING CO CONS

 

COM

 

6,100

 

 

 

417,423

 

 

 

COEUR D ALENE MINES CORP IDAHO

 

COM

 

301,500

 

 

 

1,492,425

 

 

 

COGENT COMMUNICATIONS GRP INC

 

COM NEW

 

10,319

 

 

 

167,374

 

 

 

COGENT INC

 

COM

 

41,500

 

 

 

456,915

 

 

 

COGNEX CORP

 

COM

 

46,900

 

 

 

1,117,158

 

 



 

 

 

 

COHEN + STEERS INC

 

COM

 

11,700

 

 

 

469,989

 

 

 

COHERENT INC

 

COM

 

30,500

 

 

 

962,885

 

 

 

COHU INC

 

COM

 

20,500

 

 

 

413,280

 

 

 

COINMACH SVC CORP

 

CL A

 

17,869

 

 

 

212,641

 

 

 

COINSTAR INC

 

COM

 

26,600

 

 

 

813,162

 

 

 

COLDWATER CREEK INC

 

COM

 

59,821

 

 

 

1,466,811

 

 

 

COLE KENNETH PRODTNS INC

 

CL A

 

7,400

 

 

 

177,526

 

 

 

COLEY PHARMACEUTICAL GROUP INC

 

COM

 

9,200

 

 

 

89,148

 

 

 

COLONIAL BANCGROUPINC

 

COM

 

156,140

 

 

 

4,019,044

 

 

 

COLONIAL PPTYS TR

 

SH BEN INT

 

47,760

 

 

 

2,238,989

 

 

 

COLOR KINETICS INC

 

COM

 

12,000

 

 

 

256,200

 

 

 

COLUMBIA BANKCORP ORE

 

COM

 

8,700

 

 

 

230,115

 

 

 

COLUMBIA BKY SYS INC

 

COM

 

19,427

 

 

 

682,276

 

 

 

COLUMBIA SPORTSWEAR CO

 

COM

 

15,950

 

 

 

888,415

 

 

 

COLUMBUS MCKINNON CORP NY

 

COM

 

22,500

 

 

 

472,950

 

 

 

COMFORT SYS USA INC

 

COM

 

40,100

 

 

 

506,864

 

 

 

COMMERCE BANCSHARES INC

 

COM

 

70,604

 

 

 

3,417,944

 

 

 

COMMERCE GROUP INC MASS

 

COM

 

56,760

 

 

 

1,688,610

 

 

 

COMMERCIAL METALS CO

 

COM

 

123,272

 

 

 

3,180,418

 

 

 

COMMERCIAL VEH GROUP INC

 

COM

 

16,469

 

 

 

359,024

 

 

 

COMMONWEALTH TEL ENTERPRISES

 

COM

 

24,050

 

 

 

1,006,733

 

 

 

COMMSCOPE INC

 

COM

 

61,900

 

 

 

1,886,712

 

 

 

COMMUNITY BANCORP NEV

 

COM

 

2,800

 

 

 

84,532

 

 

 

COMMUNITY BK SYS INC

 

COM

 

38,200

 

 

 

878,600

 

 

 

COMMUNITY BKS INC MILLERSBURG

 

COM

 

26,094

 

 

 

724,369

 

 

 

COMMUNITY HEALTH SYS INC NEW

 

COM

 

102,200

 

 

 

3,732,344

 

 

 

COMMUNITY TR BANCORP INC

 

COM

 

16,857

 

 

 

700,071

 

 

 

COMPASS MINERALS INTL INC

 

COM

 

31,100

 

 

 

981,516

 

 

 

COMPLETE PRODTN SVCS INC

 

COM

 

25,000

 

 

 

530,000

 

 

 

COMPUCREDIT CORP

 

COM

 

23,038

 

 

 

917,143

 

 

 

COMPUTER PROGRAMS + SYS INC

 

COM

 

7,900

 

 

 

268,521

 

 

 

COMPX INTL INC

 

CL A

 

9,000

 

 

 

181,440

 

 

 

COMSTOCK RES INC

 

COM NEW

 

42,500

 

 

 

1,320,050

 

 

 

COMSYS IT PARTNERS INC

 

COM

 

19,894

 

 

 

402,058

 

 

 

COMTECH GROUP INC

 

COM NEW

 

20,452

 

 

 

372,022

 

 

 

COMTECH TELECOMMUNICATIONS

 

COM

 

24,295

 

 

 

924,911

 

 

 

CON WAY INC

 

COM

 

52,000

 

 

 

2,290,080

 

 

 

CONCEPTUS INC

 

COM

 

23,520

 

 

 

500,741

 

 

 

CONCUR TECHNOLOGIES INC

 

COM

 

38,300

 

 

 

614,332

 

 

 

CONEXANT SYS INC

 

COM

 

511,451

 

 

 

1,043,360

 

 

 

CONMED CORP

 

COM

 

32,890

 

 

 

760,417

 

 

 

CONNETICS CORP

 

COM

 

37,000

 

 

 

647,500

 

 

 

CONNS INC

 

COM

 

10,200

 

 

 

237,354

 

 

 

CONOR MEDSYSTEMS INC

 

COM

 

26,100

 

 

 

817,713

 

 

 

CONSECO INC

 

COM NEW

 

157,600

 

 

 

3,148,848

 

 

 

CONSOLIDATED COMM HOLDINGS INC

 

COM

 

18,200

 

 

 

380,380

 

 

 

CONSOLIDATED GRAPHICS INC

 

COM

 

13,600

 

 

 

803,352

 

 

 

CONSOLIDATED TOMOKA LD CO

 

COM

 

6,600

 

 

 

477,840

 

 

 

CONTINENTAL AIRLS INC

 

COM CL B

 

87,000

 

 

 

3,588,750

 

 

 

CONVERA CORP

 

CL A

 

500

 

 

 

2,295

 

 

 

COOPER COS INC

 

COM NEW

 

47,988

 

 

 

2,135,466

 

 

 

COOPER TIRE + RUBR CO

 

COM

 

51,150

 

 

 

731,445

 

 

 

COPART INC

 

COM

 

72,650

 

 

 

2,179,500

 

 

 

CORE MARK HLDG CO INC

 

COM

 

9,200

 

 

 

307,740

 

 

 

CORINTHIAN COLLEGES INC

 

COM

 

99,200

 

 

 

1,352,096

 

 

 

CORN PRODUCTS INTL INC

 

COM

 

78,200

 

 

 

2,701,028

 

 

 

CORNELL COMPANIES INC

 

COM

 

200

 

 

 

3,666

 

 

 

CORPORATE EXECUTIVE BRD CO

 

COM

 

40,600

 

 

 

3,560,620

 

 

 

CORPORATE OFFICE PPTYS TR

 

COM

 

33,500

 

 

 

1,690,745

 

 

 

CORRECTIONS CORP AMER NEW

 

COM NEW

 

63,243

 

 

 

2,860,481

 

 

 

CORUS BANKSHARES INC

 

COM

 

43,900

 

 

 

1,012,773

 

 

 

CORVEL CORP

 

COM

 

9,750

 

 

 

463,808

 

 

 

COST PLUS INC CALIF

 

COM

 

21,350

 

 

 

219,905

 

 

 

COSTAR GROUP INC

 

COM

 

18,000

 

 

 

964,080

 

 

 

COTHERIX INC

 

COM

 

19,400

 

 

 

261,706

 

 

 

COURIER CORP

 

COM

 

12,550

 

 

 

489,074

 

 

 

COUSINS PPTYS INC

 

COM

 

37,900

 

 

 

1,336,733

 

 

 

COVAD COMMUNICATIONS GROUP INC

 

COM

 

279,900

 

 

 

386,262

 

 

 

COVANCE INC

 

COM

 

48,500

 

 

 

2,857,135

 

 

 

COVANSYS CORP

 

COM

 

29,833

 

 

 

684,667

 

 

 

COVANTA HLDG CORP

 

COM

 

122,510

 

 

 

2,700,120

 

 

 

COX RADIO INC

 

CL A

 

40,700

 

 

 

663,410

 

 

 

CRA INTL INC

 

COM

 

13,200

 

 

 

691,680

 

 



 

 

 

CRANE CO

 

COM

 

53,287

 

 

 

1,952,436

 

 

 

CRAWFORD + CO

 

COM CLASS B

 

15,825

 

 

 

115,523

 

 

 

CREDENCE SYSTEMS CORP

 

COM

 

112,679

 

 

 

585,931

 

 

 

CREDIT ACCEPTANCE CORP

 

COM

 

8,090

 

 

 

269,640

 

 

 

CREE INC

 

COM

 

81,000

 

 

 

1,402,920

 

 

 

CRESCENT REAL ESTATE EQUITIES

 

COM

 

81,400

 

 

 

1,607,650

 

 

 

CROCS INC

 

COM

 

12,900

 

 

 

557,280

 

 

 

CROSS CTRY HEALTHCARE INC

 

COM

 

29,791

 

 

 

650,040

 

 

 

CROSSTEX ENERGY INC

 

COM

 

31,800

 

 

 

1,007,742

 

 

 

CROWN CASTLE INTL CORP

 

COM

 

203,600

 

 

 

6,576,280

 

 

 

CROWN HLDGS INC

 

COM

 

179,900

 

 

 

3,763,508

 

 

 

CROWN MEDIA HLDGS INC

 

CL A

 

16,100

 

 

 

58,443

 

 

 

CSG SYS INTL INC

 

COM

 

56,200

 

 

 

1,502,226

 

 

 

CSK AUTO CORP

 

COM

 

52,200

 

 

 

895,230

 

 

 

CSS INDS INC

 

COM

 

7,495

 

 

 

265,098

 

 

 

CT COMMUNICATIONS INC

 

COM NEW

 

23,800

 

 

 

545,496

 

 

 

CTC MEDIA INC

 

COM

 

25,600

 

 

 

614,656

 

 

 

CTS CORP

 

COM

 

40,130

 

 

 

630,041

 

 

 

CUBIC CORP

 

COM

 

20,050

 

 

 

435,085

 

 

 

CUBIST PHARMACEUTICALS INC

 

COM

 

57,450

 

 

 

1,040,420

 

 

 

CULLEN FROST BANKERS INC

 

COM

 

64,026

 

 

 

3,573,909

 

 

 

CUMULUS MEDIA INC

 

CL A

 

52,720

 

 

 

547,761

 

 

 

CURTISS WRIGHT CORP

 

COM

 

45,900

 

 

 

1,701,972

 

 

 

CV THERAPEUTICS INC

 

COM

 

39,100

 

 

 

545,836

 

 

 

CVB FINL CORP

 

COM

 

68,488

 

 

 

990,336

 

 

 

CYBERONICS INC

 

COM

 

26,350

 

 

 

543,864

 

 

 

CYBERSOURCE CORP DEL

 

COM

 

26,754

 

 

 

294,829

 

 

 

CYMER INC

 

COM

 

40,800

 

 

 

1,793,160

 

 

 

CYPRESS BIOSCIENCE INC

 

COM PAR .02

 

40,000

 

 

 

310,000

 

 

 

CYPRESS SEMICONDUCTOR CORP

 

COM

 

145,800

 

 

 

2,459,646

 

 

 

CYTEC INDS INC

 

COM

 

44,700

 

 

 

2,525,997

 

 

 

CYTYC CORP

 

COM

 

122,100

 

 

 

3,455,430

 

 

 

DADE BEHRING HLDGS INC

 

COM

 

92,800

 

 

 

3,694,368

 

 

 

DAKTRONICS INC

 

COM

 

41,800

 

 

 

1,540,330

 

 

 

DARLING INTL INC

 

COM

 

65,600

 

 

 

361,456

 

 

 

DATASCOPE CORP

 

COM

 

15,750

 

 

 

573,930

 

 

 

DAVITA INC

 

COM

 

104,384

 

 

 

5,937,362

 

 

 

DAWSON GEOPHYSICAL CO

 

COM

 

5,100

 

 

 

185,793

 

 

 

DEALERTRACK HOLDINGS INC

 

COM

 

7,985

 

 

 

234,919

 

 

 

DEB SHOPS INC

 

COM

 

8,700

 

 

 

229,680

 

 

 

DECKERS OUTDOOR CORP

 

COM

 

10,700

 

 

 

641,465

 

 

 

DECODE GENETICS INC

 

COM

 

56,770

 

 

 

257,168

 

 

 

DEERFIELD TRIARC CAP CORP

 

COM

 

49,800

 

 

 

843,114

 

 

 

DEL MONTE FOODS CO

 

COM

 

201,600

 

 

 

2,223,648

 

 

 

DELIA S INC NEW

 

COM

 

22,250

 

 

 

233,403

 

 

 

DELPHI FINL GROUP INC

 

COM

 

46,347

 

 

 

1,875,200

 

 

 

DELTA + PINE LD CO

 

COM

 

37,400

 

 

 

1,512,830

 

 

 

DELTA PETE CORP

 

COM NEW

 

52,498

 

 

 

1,215,854

 

 

 

DELTIC TIMBER CORP

 

COM

 

10,100

 

 

 

563,378

 

 

 

DELUXE CORP

 

COM

 

56,250

 

 

 

1,417,500

 

 

 

DENBURY RES INC

 

COM NEW

 

119,296

 

 

 

3,315,236

 

 

 

DENDREON CORP

 

COM

 

61,900

 

 

 

258,123

 

 

 

DENDRITE INTL INC

 

COM

 

37,800

 

 

 

404,838

 

 

 

DENNYS CORP

 

COM

 

78,315

 

 

 

368,864

 

 

 

DENTSPLY INTL INC NEW

 

COM

 

159,654

 

 

 

4,765,672

 

 

 

DEVELOPERS DIVERSIFIED RLTY

 

COM

 

108,698

 

 

 

6,842,539

 

 

 

DEVRY INC DEL

 

COM

 

64,700

 

 

 

1,811,600

 

 

 

DIAMOND FOODS INC

 

COM

 

2,200

 

 

 

41,822

 

 

 

DIAMOND MGMT TECHNOLOGY

 

COM

 

31,800

 

 

 

395,592

 

 

 

DIAMOND OFFSHORE DRILLING INC

 

COM

 

60,000

 

 

 

4,796,400

 

 

 

DIAMONDROCK HOSPITALITY CO

 

COM

 

62,725

 

 

 

1,129,677

 

 

 

DICKS SPORTING GOODS INC

 

OC COM

 

36,616

 

 

 

1,793,818

 

 

 

DIEBOLD INC

 

COM

 

69,125

 

 

 

3,221,225

 

 

 

DIGENE CORP

 

COM

 

19,600

 

 

 

939,232

 

 

 

DIGI INTL INC

 

COM

 

28,579

 

 

 

394,104

 

 

 

DIGITAL INSIGHT CORP

 

COM

 

40,200

 

 

 

1,547,298

 

 

 

DIGITAL RIV INC

 

COM

 

42,500

 

 

 

2,371,075

 

 

 

DIGITAL RLTY TR INC

 

COM

 

25,200

 

 

 

862,596

 

 

 

DIGITAS INC

 

COM

 

87,228

 

 

 

1,169,727

 

 

 

DIME CMNTY BANCORP INC

 

COM

 

36,000

 

 

 

504,360

 

 

 

DIODES INC

 

COM

 

21,100

 

 

 

748,628

 

 

 

DIONEX CORP

 

COM

 

21,700

 

 

 

1,230,607

 

 

 

DIRECT GEN CORP

 

COM

 

16,900

 

 

 

348,816

 

 



 

 

 

DISCOVERY HLDG CO

 

COM SER A

 

282,915

 

 

 

4,552,102

 

 

 

DITECH NETWORKS INC

 

COM

 

32,000

 

 

 

221,440

 

 

 

DIVERSA CORP

 

COM

 

28,000

 

 

 

304,640

 

 

 

DJO INC

 

COM

 

20,550

 

 

 

879,951

 

 

 

DOBSON COMMUNICATIONS CORP

 

CL A

 

160,742

 

 

 

1,400,063

 

 

 

DOLBY LABORATORIES INC

 

CL A

 

31,740

 

 

 

984,575

 

 

 

DOLLAR FINL CORP

 

COM

 

12,400

 

 

 

345,464

 

 

 

DOLLAR THRIFTY AUTOMOTIVE GRP

 

COM

 

27,100

 

 

 

1,236,031

 

 

 

DOLLAR TREE STORES INC

 

COM

 

106,055

 

 

 

3,192,256

 

 

 

DOMINOS PIZZA INC

 

COM

 

35,300

 

 

 

988,400

 

 

 

DONALDSON CO INC

 

COM

 

74,100

 

 

 

2,572,011

 

 

 

DONEGAL GROUP INC

 

CL A

 

6,933

 

 

 

135,817

 

 

 

DORAL FINL CORP

 

COM

 

95,675

 

 

 

274,587

 

 

 

DOUGLAS EMMETT INC

 

COM

 

77,000

 

 

 

2,047,430

 

 

 

DOVER DOWNS GAMING + ENTMT INC

 

COM

 

18,879

 

 

 

252,412

 

 

 

DOVER MOTORSPORTS INC

 

COM

 

16,100

 

 

 

85,491

 

 

 

DOWNEY FINL CORP

 

COM

 

22,000

 

 

 

1,596,760

 

 

 

DPL INC

 

COM

 

115,369

 

 

 

3,204,951

 

 

 

DREAMWORKS ANIMATION SKG

 

CL A

 

43,900

 

 

 

1,294,611

 

 

 

DRESS BARN INC

 

COM

 

46,022

 

 

 

1,073,693

 

 

 

DRESSER RAND GROUP INC

 

COM

 

25,300

 

 

 

619,091

 

 

 

DREW INDS INC NEW

 

COM

 

19,700

 

 

 

512,397

 

 

 

DRIL QUIP INC

 

COM

 

24,600

 

 

 

963,336

 

 

 

DRS TECHNOLOGIES INC

 

COM

 

41,144

 

 

 

2,167,466

 

 

 

DRUGSTORE COM INC

 

COM

 

42,500

 

 

 

155,550

 

 

 

DSP GROUP INC

 

COM

 

33,100

 

 

 

718,270

 

 

 

DST SYS INC DEL

 

COM

 

59,500

 

 

 

3,726,485

 

 

 

DSW INC

 

CL A

 

16,300

 

 

 

628,691

 

 

 

DTS INC

 

COM

 

17,800

 

 

 

430,582

 

 

 

DUKE RLTY CORP

 

COM NEW

 

136,300

 

 

 

5,574,670

 

 

 

DUN + BRADSTREET CORP DEL NEW

 

COM

 

62,500

 

 

 

5,174,375

 

 

 

DUQUESNE LT HLDGS INC

 

COM

 

89,100

 

 

 

1,768,635

 

 

 

DURECT CORP INC

 

COM

 

33,900

 

 

 

150,516

 

 

 

DYCOM INDS INC

 

COM

 

39,200

 

 

 

827,904

 

 

 

DYNAMEX INC

 

COM

 

11,314

 

 

 

264,295

 

 

 

DYNAMIC MATLS CORP

 

COM

 

13,950

 

 

 

391,995

 

 

 

DYNCORP INTL INC

 

COM CL A

 

22,100

 

 

 

350,727

 

 

 

EAGLE MATLS INC

 

COM

 

50,348

 

 

 

2,176,544

 

 

 

EARTHLINK INC

 

COM

 

123,822

 

 

 

879,136

 

 

 

EAST WEST BANCORP INC

 

COM

 

59,200

 

 

 

2,096,864

 

 

 

EASTGROUP PPTYS INC

 

COM

 

25,100

 

 

 

1,344,356

 

 

 

EATON VANCE CORP

 

COM NON VTG

 

116,970

 

 

 

3,861,180

 

 

 

ECHELON CORP

 

OC COM

 

34,000

 

 

 

272,000

 

 

 

ECHOSTAR COMMUNICATIONS CORP N

 

CL A

 

208,127

 

 

 

7,915,070

 

 

 

ECLIPSYS CORP

 

COM

 

43,700

 

 

 

898,472

 

 

 

ECOLLEGE COM

 

COM

 

17,700

 

 

 

277,005

 

 

 

EDGE PETE CORP DEL

 

COM

 

13,146

 

 

 

239,783

 

 

 

EDO CORP

 

COM

 

21,100

 

 

 

500,914

 

 

 

EDUCATE INC

 

COM

 

18,800

 

 

 

133,856

 

 

 

EDUCATION RLTY TR INC

 

COM

 

32,500

 

 

 

480,025

 

 

 

EDWARDS A G INC

 

COM

 

78,100

 

 

 

4,942,949

 

 

 

EDWARDS LIFESCIENCES CORP

 

COM

 

63,735

 

 

 

2,998,094

 

 

 

EFUNDS CORP

 

COM

 

42,300

 

 

 

1,163,250

 

 

 

EGL INC

 

COM

 

33,700

 

 

 

1,003,586

 

 

 

EL PASO ELEC CO

 

COM NEW

 

51,700

 

 

 

1,259,929

 

 

 

ELECTRO RENT

 

COM

 

25,400

 

 

 

424,180

 

 

 

ELECTRO SCIENTIFIC INDS INC

 

COM

 

27,300

 

 

 

549,822

 

 

 

ELETRONICS FOR IMAGING INC

 

COM

 

64,600

 

 

 

1,717,068

 

 

 

ELIZABETH ARDEN INC

 

COM

 

22,300

 

 

 

424,815

 

 

 

ELKCORP

 

COM

 

23,450

 

 

 

963,561

 

 

 

ELLIS PERRY INTL INC

 

COM

 

8,100

 

 

 

332,100

 

 

 

EMAGEON INC

 

COM

 

16,000

 

 

 

245,760

 

 

 

EMC INS GROUP INC

 

COM

 

3,700

 

 

 

126,244

 

 

 

EMCOR GROUP INC

 

COM

 

31,000

 

 

 

1,762,350

 

 

 

EMCORE CORP

 

COM

 

38,168

 

 

 

211,069

 

 

 

EMDEON CORP

 

COM

 

138,000

 

 

 

1,709,820

 

 

 

EMISPHERE TECHNOLOGIES INC

 

COM

 

39,700

 

 

 

210,013

 

 

 

EMMIS COMMUNICATIONS CORP

 

CL A

 

36,216

 

 

 

298,420

 

 

 

EMPIRE DIST ELEC CO

 

COM

 

31,200

 

 

 

770,328

 

 

 

EMS TECHNOLOGIES INC

 

COM

 

19,800

 

 

 

396,594

 

 

 

EMULEX CORP

 

COM NEW

 

90,600

 

 

 

1,767,606

 

 

 

ENCORE AQUISITION CO

 

COM

 

58,650

 

 

 

1,438,685

 

 

 

ENCORE WIRE CORP

 

COM

 

18,300

 

 

 

402,783

 

 



 

 

 

ENCYSIVE PHARMACEUTICALS INC

 

COM

 

67,750

 

 

 

285,228

 

 

 

ENDO PHARMACEUTICALS HLDGS

 

COM

 

134,200

 

 

 

3,701,236

 

 

 

ENERGEN CORP

 

COM

 

76,400

 

 

 

3,586,216

 

 

 

ENERGIZER HLDGS INC

 

COM

 

57,781

 

 

 

4,101,873

 

 

 

ENERGY CONVERSION DEVICES INC

 

COM

 

38,700

 

 

 

1,315,026

 

 

 

ENERGY EAST CORP

 

COM

 

148,744

 

 

 

3,688,851

 

 

 

ENERGY PARTNERS LTD

 

OC COM

 

36,400

 

 

 

888,888

 

 

 

ENERGYSOUTH INC

 

COM

 

8,250

 

 

 

330,825

 

 

 

ENERSYS

 

COM

 

41,700

 

 

 

667,200

 

 

 

ENGLOBAL CORP

 

COM

 

400

 

 

 

2,572

 

 

 

ENNIS INC

 

COM

 

29,900

 

 

 

731,354

 

 

 

ENPRO INDS INC

 

COM

 

23,400

 

 

 

777,114

 

 

 

ENSCO INTL INC

 

COM

 

156,138

 

 

 

7,816,268

 

 

 

ENSTAR GROUP INC GA

 

COM

 

2,805

 

 

 

269,000

 

 

 

ENTEGRIS INC

 

COM

 

126,906

 

 

 

1,373,123

 

 

 

ENTERCOM COMMUNICATIONS CORP

 

COM

 

39,600

 

 

 

1,115,928

 

 

 

ENTERPRISE FINL SVCS CORP

 

COM

 

6,258

 

 

 

203,886

 

 

 

ENTERTAINMENT PPTYS TR

 

COM SH BEN INT

 

29,100

 

 

 

1,700,604

 

 

 

ENTRAVISION COM CORP

 

COM

 

70,000

 

 

 

575,400

 

 

 

ENZO BIOCHEM INC

 

COM

 

33,808

 

 

 

482,440

 

 

 

ENZON PHARMACEUTICALS INC

 

COM

 

47,120

 

 

 

400,991

 

 

 

EPICOR SOFTWARE CORP

 

COM

 

59,600

 

 

 

805,196

 

 

 

EPIQ SYS INC

 

COM

 

15,200

 

 

 

257,944

 

 

 

EQUINIX INC

 

COM NEW

 

28,400

 

 

 

2,147,608

 

 

 

EQUITABLE RES INC

 

COM

 

122,800

 

 

 

5,126,900

 

 

 

EQUITY INNS INC

 

COM

 

58,285

 

 

 

930,229

 

 

 

EQUITY LIFESTYLE PPTYS INC

 

COM

 

20,600

 

 

 

1,121,258

 

 

 

EQUITY ONE INC

 

COM

 

38,800

 

 

 

1,034,408

 

 

 

ERESEARCH TECHNOLOGY INC

 

COM

 

47,700

 

 

 

321,021

 

 

 

ERIE INDTY CO

 

CL A

 

54,000

 

 

 

3,130,920

 

 

 

ESCO TECHNOLOGIES INC

 

COM

 

28,000

 

 

 

1,272,320

 

 

 

ESPEED INC

 

CL A

 

29,325

 

 

 

256,007

 

 

 

ESSEX CORP

 

COM

 

19,370

 

 

 

463,137

 

 

 

ESSEX PROPERTY TRUST

 

COM

 

24,228

 

 

 

3,131,469

 

 

 

ESTERLINE TECHNOLOGIES CORP

 

COM

 

27,700

 

 

 

1,114,371

 

 

 

ETHAN ALLEN INTERIORS INC

 

COM

 

33,100

 

 

 

1,195,241

 

 

 

EURONET WORLDWIDE INC

 

COM

 

38,300

 

 

 

1,137,127

 

 

 

EV3 INC

 

COM

 

17,834

 

 

 

307,280

 

 

 

EVERGREEN ENERGY INC NEW

 

COM

 

78,370

 

 

 

775,079

 

 

 

EVERGREEN SOLAR INC

 

COM

 

65,015

 

 

 

492,164

 

 

 

EXAR CORP

 

COM

 

35,043

 

 

 

455,559

 

 

 

EXCEL TECHNOLOGY INC

 

COM

 

16,100

 

 

 

411,999

 

 

 

EXCO RES INC

 

COM

 

53,900

 

 

 

911,449

 

 

 

EXELIXIS INC

 

COM

 

90,700

 

 

 

816,300

 

 

 

EXPEDIA INC DEL

 

COM

 

231,368

 

 

 

4,854,101

 

 

 

EXPEDITORS INTL WA INC

 

COM

 

214,700

 

 

 

8,695,350

 

 

 

EXPLORATION CO

 

COM NEW

 

31,200

 

 

 

416,208

 

 

 

EXPONENT INC

 

COM

 

18,600

 

 

 

347,076

 

 

 

EXPRESSJET HOLDINGS INC

 

COM

 

37,300

 

 

 

302,130

 

 

 

EXTRA SPACE STORAGE INC

 

COM

 

54,100

 

 

 

987,866

 

 

 

EXTREME NETWORKS INC

 

COM

 

120,000

 

 

 

502,800

 

 

 

EZCORP INC

 

CL A NON VTG

 

35,100

 

 

 

570,375

 

 

 

F N B CORP PA

 

COM

 

68,328

 

 

 

1,248,353

 

 

 

F N B CORP VA

 

COM

 

7,325

 

 

 

304,354

 

 

 

F5 NETWORKS INC

 

COM

 

42,061

 

 

 

3,121,347

 

 

 

FACTSET RESH SYS INC

 

COM

 

37,650

 

 

 

2,126,472

 

 

 

FAIR ISAAC CORPORATION

 

COM

 

68,960

 

 

 

2,803,224

 

 

 

FAIRCHILD SEMICONDUCTOR INTL

 

COM

 

131,400

 

 

 

2,208,834

 

 

 

FAIRPOINT COMMUNICATIONS INC

 

COM

 

23,700

 

 

 

449,115

 

 

 

FALCONSTOR SOFTWARE INC

 

COM

 

42,600

 

 

 

368,490

 

 

 

FARMER BROS CO

 

COM

 

6,300

 

 

 

134,505

 

 

 

FARMERS CAP BK CORP

 

COM

 

5,900

 

 

 

201,367

 

 

 

FASTENAL CO

 

COM

 

125,500

 

 

 

4,502,940

 

 

 

FBL FINL GROUP INC

 

CL A

 

13,695

 

 

 

535,201

 

 

 

FEDERAL AGRIC MTG CORP

 

CL C

 

14,780

 

 

 

400,981

 

 

 

FEDERAL RLTY INVT TR

 

SH BEN INT NEW

 

54,800

 

 

 

4,658,000

 

 

 

FEDERAL SIGNAL CORP

 

COM STK

 

54,850

 

 

 

879,794

 

 

 

FEI CO

 

COM

 

29,700

 

 

 

783,189

 

 

 

FELCOR LODGING TR INC

 

COM

 

63,000

 

 

 

1,375,920

 

 

 

FERRO CORP

 

COM STK

 

47,050

 

 

 

973,465

 

 

 

FIBERTOWER CORP

 

COM

 

118,700

 

 

 

697,956

 

 

 

FIDELITY BANKSHARES INC NEW

 

COM

 

25,050

 

 

 

993,734

 

 

 

FIDELITY NATIONAL FINANCIAL

 

CL A

 

212,057

 

 

 

5,063,921

 

 



 

 

 

FIELDSTONE INVT CORP

 

COM

 

47,100

 

 

 

206,298

 

 

 

FINANCIAL FED CORP

 

COM

 

29,400

 

 

 

864,654

 

 

 

FINISAR CORP

 

COM

 

246,100

 

 

 

794,903

 

 

 

FINISH LINE INC

 

CL A

 

52,900

 

 

 

755,412

 

 

 

FIRST ACCEP CORP

 

COM

 

23,000

 

 

 

246,560

 

 

 

FIRST ADVANTAGE CORP

 

CL A

 

3,690

 

 

 

84,722

 

 

 

FIRST AMERICAN CORP

 

COM

 

88,450

 

 

 

3,598,146

 

 

 

FIRST BANCORP N C

 

COM

 

13,050

 

 

 

285,012

 

 

 

FIRST BANCORP P R

 

COM

 

82,300

 

 

 

784,319

 

 

 

FIRST BUSE CORP

 

CL A

 

19,000

 

 

 

437,950

 

 

 

FIRST CASH FINANCIAL SERVICES

 

COM

 

33,316

 

 

 

861,885

 

 

 

FIRST CHARTER CORP

 

COM

 

32,700

 

 

 

804,420

 

 

 

FIRST CMNTY BANCORP CALIF

 

COM

 

21,200

 

 

 

1,108,124

 

 

 

FIRST CMNTY BANCSHARES INC NEW

 

COM

 

10,890

 

 

 

430,808

 

 

 

FIRST COMWLTH FINL CORP PA

 

COM

 

78,661

 

 

 

1,056,417

 

 

 

FIRST CTZNS BANCSHARES INC N C

 

CL A

 

6,400

 

 

 

1,296,896

 

 

 

FIRST FINL BANCORP

 

COM

 

39,625

 

 

 

658,171

 

 

 

FIRST FINL BANKSHARES INC

 

COM

 

21,716

 

 

 

909,032

 

 

 

FIRST FINL CORP IND

 

COM

 

15,200

 

 

 

538,840

 

 

 

FIRST FINL HLDGS INC

 

COM

 

14,600

 

 

 

572,028

 

 

 

FIRST IND CORP

 

COM

 

12,730

 

 

 

322,833

 

 

 

FIRST INDL RLTY TR INC

 

COM

 

45,800

 

 

 

2,147,562

 

 

 

FIRST MARBLEHEAD CORP

 

COM

 

45,150

 

 

 

2,467,448

 

 

 

FIRST MERCHANTS CORP

 

COM

 

22,966

 

 

 

624,446

 

 

 

FIRST MIDWEST BANCORP INC DEL

 

COM

 

51,300

 

 

 

1,984,284

 

 

 

FIRST NIAGARA FINL GROUP INC

 

COM

 

125,311

 

 

 

1,862,121

 

 

 

FIRST PL FINL CORP DEL

 

COM

 

12,500

 

 

 

293,625

 

 

 

FIRST POTOMAC RLTY TR

 

COM

 

24,330

 

 

 

708,246

 

 

 

FIRST REGL BANCORP

 

COM

 

11,100

 

 

 

378,399

 

 

 

FIRST REP BK SAN FRANCISCO CA

 

COM

 

25,000

 

 

 

977,000

 

 

 

FIRST SOLAR INC

 

COM

 

22,300

 

 

 

664,540

 

 

 

FIRST SOUTH BACORP INC VA

 

COM

 

1,372

 

 

 

43,753

 

 

 

FIRST ST BANCORPORATION

 

COM

 

16,200

 

 

 

400,950

 

 

 

FIRSTFED FINL CORP DEL

 

COM

 

17,100

 

 

 

1,145,187

 

 

 

FIRSTMERIT CORP

 

COM

 

81,400

 

 

 

1,964,996

 

 

 

FISHER COMMUNICATIONS INC

 

COM

 

8,000

 

 

 

353,680

 

 

 

FIVE STAR QUALITY CARE INC

 

COM

 

32,684

 

 

 

364,427

 

 

 

FLAGSTAR BANCORP INC

 

COM

 

38,200

 

 

 

566,888

 

 

 

FLANDERS CORP

 

COM

 

1,900

 

 

 

18,810

 

 

 

FLEETWOOD ENTERPRISES INC

 

COM

 

77,120

 

 

 

610,019

 

 

 

FLEXTRONICS INTERNATIONAL LTD

 

SHS

 

2,000

 

 

 

22,960

 

 

 

FLIR SYS INC

 

COM

 

63,200

 

 

 

2,011,656

 

 

 

FLORIDA EAST COAST IND INC

 

COM

 

35,500

 

 

 

2,115,800

 

 

 

FLORIDA ROCK INDS INC

 

COM

 

48,350

 

 

 

2,081,468

 

 

 

FLOWERS COM INC

 

CL A

 

23,700

 

 

 

145,992

 

 

 

FLOWERS FOODS INC

 

COM

 

58,545

 

 

 

1,580,130

 

 

 

FLOWSERVE CORP

 

COM

 

58,900

 

 

 

2,972,683

 

 

 

FLUSHING FINL CORP

 

COM

 

17,650

 

 

 

301,286

 

 

 

FMC CORP

 

COM NEW

 

40,100

 

 

 

3,069,655

 

 

 

FMC TECHNOLOGIES INC

 

COM

 

68,932

 

 

 

4,248,279

 

 

 

FOOT LOCKER INC

 

COM

 

155,200

 

 

 

3,403,536

 

 

 

FOREST CITY ENTERPRISES INC

 

COM

 

70,000

 

 

 

4,088,000

 

 

 

FOREST OIL CORP

 

COM PAR 0.01

 

57,100

 

 

 

1,866,028

 

 

 

FORMFACTOR INC

 

COM

 

42,923

 

 

 

1,598,882

 

 

 

FORRESTER RESH INC

 

COM

 

15,800

 

 

 

428,338

 

 

 

FORWARD AIR CORP

 

COM

 

31,090

 

 

 

899,434

 

 

 

FOSSIL INC

 

COM

 

42,062

 

 

 

949,760

 

 

 

FOSTER L B CO

 

CL A

 

14,500

 

 

 

375,695

 

 

 

FOUNDATION COAL HLDGS INC

 

COM

 

47,331

 

 

 

1,503,233

 

 

 

FOUNDRY NETWORKS INC

 

COM

 

135,100

 

 

 

2,023,798

 

 

 

FOXHOLLOW TECHNOLOGIES INC

 

COM

 

14,000

 

 

 

302,120

 

 

 

FPIC INS GROUP INC

 

COM

 

8,452

 

 

 

329,374

 

 

 

FRANKLIN BANK CORP

 

COM

 

12,700

 

 

 

260,858

 

 

 

FRANKLIN ELEC INC

 

COM

 

24,900

 

 

 

1,279,611

 

 

 

FRANKLIN STR PPTYS CORP

 

COM

 

48,500

 

 

 

1,020,925

 

 

 

FREDS INC

 

CL A

 

46,309

 

 

 

557,560

 

 

 

FREIGHTCAR AMER INC

 

COM

 

10,350

 

 

 

573,908

 

 

 

FREMONT GEN CORP

 

COM

 

64,900

 

 

 

1,052,029

 

 

 

FRIEDMAN BILLINGS RAMSEY GROUP

 

CL A

 

151,660

 

 

 

1,213,280

 

 

 

FRONTIER AIRLS HLDGS INC

 

COM

 

42,400

 

 

 

313,760

 

 

 

FRONTIER FINL CORP WA

 

CDT COM

 

44,325

 

 

 

1,295,620

 

 

 

FRONTIER OIL CORP

 

COM

 

113,700

 

 

 

3,267,738

 

 

 

FTI CONSULTING INC

 

COM

 

46,000

 

 

 

1,282,940

 

 



 

 

 

FUEL SYS SOLUTIONS INC

 

COM

 

12,100

 

 

 

267,168

 

 

 

FUELCELL ENERGY INC

 

COM

 

51,300

 

 

 

331,398

 

 

 

FULLER H B CO

 

COM

 

59,700

 

 

 

1,541,454

 

 

 

FULTON FINL CORP PA

 

COM

 

185,536

 

 

 

3,098,451

 

 

 

FURNITURE BRANDS INTL INC

 

COM

 

44,500

 

 

 

722,235

 

 

 

G + K SERVICES

 

CL A

 

24,000

 

 

 

933,360

 

 

 

GAIAM INC

 

COM

 

6,440

 

 

 

88,099

 

 

 

GALLAGHER ARTHUR J + CO

 

COM

 

96,200

 

 

 

2,842,710

 

 

 

GAMCO INVS INC

 

COM CL A

 

8,100

 

 

 

311,526

 

 

 

GAMESTOP CORP NEW

 

CL A

 

33,860

 

 

 

1,866,025

 

 

 

GAMESTOP CORP NEW

 

CL B

 

30,000

 

 

 

1,642,800

 

 

 

GARDNER DENVER INC

 

COM

 

55,300

 

 

 

2,063,243

 

 

 

GARTNER INC

 

COM

 

57,400

 

 

 

1,135,946

 

 

 

GASCO ENERGY INC

 

DILL DILL CARR STONBRAKER

 

79,300

 

 

 

194,285

 

 

 

GATEWAY INC

 

COM

 

142,400

 

 

 

286,224

 

 

 

GATX CORPORATION

 

COM

 

45,100

 

 

 

1,954,183

 

 

 

GAYLORD ENTMT CO NEW

 

COM

 

45,400

 

 

 

2,312,222

 

 

 

GB+T BANCSHARES INC

 

COM

 

9,750

 

 

 

216,158

 

 

 

GEHL CO

 

COM

 

11,725

 

 

 

322,789

 

 

 

GEMSTAR TV GUIDE INTL INC

 

COM

 

252,800

 

 

 

1,013,728

 

 

 

GEN PROBE INC NEW

 

COM

 

53,100

 

 

 

2,780,847

 

 

 

GENCORP INC

 

COM

 

63,000

 

 

 

883,260

 

 

 

GENENTECH INC

 

COM

 

473,400

 

 

 

38,406,942

 

 

 

GENERAL COMMUNICATION INC

 

CL A

 

65,195

 

 

 

1,025,517

 

 

 

GENERAL GROWTH PPTYS INC

 

COM

 

176,505

 

 

 

9,218,856

 

 

 

GENERALE CABLE CORP DEL NEW

 

COM

 

56,400

 

 

 

2,465,244

 

 

 

GENESCO INC

 

COM

 

26,200

 

 

 

977,260

 

 

 

GENESEE + WYO INC

 

CL A

 

34,350

 

 

 

901,344

 

 

 

GENESIS HEALTHCARE CORP

 

COM

 

24,100

 

 

 

1,138,243

 

 

 

GENESIS MICROCHIP INC DEL

 

COM

 

38,100

 

 

 

386,334

 

 

 

GENITOPE CORP

 

COM

 

28,965

 

 

 

101,957

 

 

 

GENLYTE GROUP INC

 

COM

 

26,800

 

 

 

2,093,348

 

 

 

GENTEK INC

 

COM NEW

 

9,100

 

 

 

314,769

 

 

 

GENTEX CORP

 

COM

 

157,200

 

 

 

2,446,032

 

 

 

GENTIVA HEALTH SVCS INC

 

COM

 

26,700

 

 

 

508,902

 

 

 

GEO GROUP INC

 

COM

 

22,000

 

 

 

825,440

 

 

 

GEOGLOBAL RES INC

 

COM

 

8,500

 

 

 

66,725

 

 

 

GEORGIA GULF CORP

 

COM

 

34,700

 

 

 

670,057

 

 

 

GERBER SCIENTIFIC INC

 

COM

 

29,800

 

 

 

374,288

 

 

 

GERON CORP

 

COM

 

66,336

 

 

 

582,430

 

 

 

GETTY IMAGES INC

 

COM

 

52,100

 

 

 

2,230,922

 

 

 

GETTY RLTY CORP NEW

 

COM

 

16,800

 

 

 

519,120

 

 

 

GEVITY HR INC

 

COM

 

25,400

 

 

 

601,726

 

 

 

GFI GROUP INC

 

COM

 

11,400

 

 

 

709,764

 

 

 

GIANT INDS INC

 

COM

 

16,600

 

 

 

1,244,170

 

 

 

GIBRALTAR INDS INC

 

COM

 

29,800

 

 

 

700,598

 

 

 

GLACIER BANCORP INC

 

COM

 

52,719

 

 

 

1,288,452

 

 

 

GLADSTONE CAP CORP

 

COM

 

14,600

 

 

 

348,356

 

 

 

GLADSTONE INVT CORP

 

COM

 

8,772

 

 

 

134,299

 

 

 

GLATFELTER

 

COM

 

51,400

 

 

 

796,700

 

 

 

GLIMCHER RLTY TR

 

COM

 

39,027

 

 

 

1,042,411

 

 

 

GLOBAL CASH ACCESS HLDGS INC

 

COM

 

31,600

 

 

 

512,868

 

 

 

GLOBAL IMAGING SYS INC

 

COM

 

55,400

 

 

 

1,216,030

 

 

 

GLOBAL INDUSTRIES INC

 

COM

 

98,100

 

 

 

1,279,224

 

 

 

GLOBAL PMTS INC

 

COM

 

67,878

 

 

 

3,142,751

 

 

 

GLOBAL SIGNAL INC

 

COM

 

15,100

 

 

 

795,317

 

 

 

GMH CMNTYS TR

 

COM

 

33,600

 

 

 

341,040

 

 

 

GMX RES INC

 

COM

 

8,000

 

 

 

284,000

 

 

 

GOLD KIST INC

 

COM

 

59,000

 

 

 

1,240,180

 

 

 

GOLDEN TELECOM INC

 

COM

 

20,995

 

 

 

983,406

 

 

 

GOODMAN GLOBAL INC

 

COM

 

21,600

 

 

 

371,520

 

 

 

GOODRICH PETE CORP

 

COM NEW

 

13,415

 

 

 

485,355

 

 

 

GORMAN RUPP CO

 

COM

 

11,000

 

 

 

406,670

 

 

 

GRACE W R + CO DEL NEW

 

COM

 

77,300

 

 

 

1,530,540

 

 

 

GRACO INC

 

COM

 

67,975

 

 

 

2,693,170

 

 

 

GRAFTECH INTL LTD

 

COM

 

110,100

 

 

 

761,892

 

 

 

GRAMERCY CAP CORP

 

COM

 

14,900

 

 

 

460,261

 

 

 

GRANITE CONSTR INC

 

COM

 

34,400

 

 

 

1,731,008

 

 

 

GRANT PRIDECO INC

 

COM

 

132,400

 

 

 

5,265,548

 

 

 

GRAPHIC PACKAGING CORP DEL

 

COM

 

80,900

 

 

 

350,297

 

 

 

GRAY TELEVISION INC

 

COM

 

48,700

 

 

 

356,971

 

 

 

GREAT AMERICAN FINL RES INC

 

COM

 

11,600

 

 

 

267,380

 

 

 

GREAT ATLANTIC + PAC TEA INC

 

COM

 

23,100

 

 

 

594,594

 

 



 

 

 

GREAT PLAINS ENERGY INC

 

COM

 

80,400

 

 

 

2,556,720

 

 

 

GREAT SOUTHN BANCORP INC

 

COM

 

12,600

 

 

 

371,826

 

 

 

GREAT WOLF RESORTS INC

 

COM

 

16,246

 

 

 

226,794

 

 

 

GREATBATCH INC

 

COM

 

24,700

 

 

 

664,924

 

 

 

GREATER BAY BANCORP

 

COM

 

56,458

 

 

 

1,486,539

 

 

 

GREEN MTN COFFEE ROASTERS

 

COM

 

6,261

 

 

 

308,229

 

 

 

GREENBRIER COS INC

 

COM

 

12,600

 

 

 

378,000

 

 

 

GREENE CNTY BANCSHARES INC

 

COM NEW

 

9,280

 

 

 

368,694

 

 

 

GREENHILL + CO INC

 

COM

 

17,300

 

 

 

1,276,740

 

 

 

GREIF INC

 

CL A

 

17,400

 

 

 

2,060,160

 

 

 

GREY WOLF INC

 

COM

 

193,400

 

 

 

1,326,724

 

 

 

GRIFFON CORP

 

COM

 

32,570

 

 

 

830,535

 

 

 

GROUP 1 AUTOMOTIVE INC

 

COM

 

27,300

 

 

 

1,411,956

 

 

 

GSI COMM INC

 

COM

 

40,500

 

 

 

759,375

 

 

 

GTX INC DEL

 

COM

 

3,300

 

 

 

58,872

 

 

 

GUESS INC

 

COM

 

20,097

 

 

 

1,274,753

 

 

 

GUITAR CTR INC

 

COM

 

31,500

 

 

 

1,431,990

 

 

 

GULF IS FABRICATION INC

 

COM

 

8,900

 

 

 

328,410

 

 

 

GULFMARK OFFSHORE INC

 

COM

 

14,000

 

 

 

523,740

 

 

 

GULFPORT ENERGY CORP

 

COM NEW

 

2,500

 

 

 

33,975

 

 

 

GYMBOREE CORP

 

COM

 

35,500

 

 

 

1,354,680

 

 

 

H + E EQUIP SVCS INC

 

COM

 

13,500

 

 

 

334,395

 

 

 

HAEMONETICS CORP MASS

 

COM

 

29,600

 

 

 

1,332,592

 

 

 

HAIN CELESTIAL GROUP INC

 

COM

 

30,847

 

 

 

962,735

 

 

 

HANCOCK HLDG CO

 

COM

 

27,155

 

 

 

1,434,870

 

 

 

HANESBRANDS INC

 

COM

 

90,300

 

 

 

2,132,886

 

 

 

HANMI FINL CORP

 

COM

 

35,420

 

 

 

798,013

 

 

 

HANOVER COMPRESSOR CO

 

COM

 

91,300

 

 

 

1,724,657

 

 

 

HANOVER INS GROUP INC

 

COM

 

50,900

 

 

 

2,483,920

 

 

 

HANSEN NAT CORP

 

COM

 

61,900

 

 

 

2,084,792

 

 

 

HARLAND JOHN H CO

 

COM

 

29,300

 

 

 

1,470,860

 

 

 

HARLEYSVILLE GROUP INC

 

COM

 

18,100

 

 

 

630,242

 

 

 

HARLEYSVILLE NATL CORP PA

 

COM

 

33,248

 

 

 

642,019

 

 

 

HARMONIC INC

 

COM

 

84,114

 

 

 

611,509

 

 

 

HARRIS + HARRIS GROUP INC

 

COM

 

27,600

 

 

 

333,684

 

 

 

HARRIS CORP DEL

 

COM

 

136,500

 

 

 

6,259,890

 

 

 

HARRIS INTERACTIVE INC

 

COM

 

49,300

 

 

 

248,472

 

 

 

HARSCO CORP

 

COM

 

42,325

 

 

 

3,220,933

 

 

 

HARTE HANKS INC

 

COM

 

60,850

 

 

 

1,686,154

 

 

 

HARTMARX CORP

 

COM

 

28,630

 

 

 

202,128

 

 

 

HARVEST NAT RES INC

 

COM

 

46,500

 

 

 

494,295

 

 

 

HAVERTY FURNITURE COS INC

 

COM

 

29,400

 

 

 

435,120

 

 

 

HAWAIIAN ELEC INDS INC

 

COM

 

85,000

 

 

 

2,307,750

 

 

 

HCC INS HLDGS INC

 

COM

 

115,699

 

 

 

3,712,781

 

 

 

HEADWATERS INC

 

COM

 

44,700

 

 

 

1,071,012

 

 

 

HEALTH CARE PPTY INVS INC

 

COM

 

203,651

 

 

 

7,498,430

 

 

 

HEALTH CARE REIT INC

 

COM

 

70,006

 

 

 

3,011,674

 

 

 

HEALTH NET INC

 

COM

 

117,300

 

 

 

5,707,818

 

 

 

HEALTHCARE RLTY TR

 

COM

 

51,500

 

 

 

2,036,310

 

 

 

HEALTHCARE SVCS GROUP INC

 

COM

 

31,375

 

 

 

908,620

 

 

 

HEALTHEXTRAS INC

 

COM

 

31,600

 

 

 

761,560

 

 

 

HEALTHSPRING INC

 

COM

 

20,300

 

 

 

413,105

 

 

 

HEALTHTRONICS INC

 

COM

 

31,115

 

 

 

207,226

 

 

 

HEALTHWAYS INC

 

COM

 

37,600

 

 

 

1,793,896

 

 

 

HEARST ARGYLE TELEVISION INC

 

COM

 

25,400

 

 

 

647,700

 

 

 

HEARTLAND EXPRESS INC

 

COM

 

63,610

 

 

 

955,422

 

 

 

HEARTLAND FINL USA INC

 

COM

 

10,350

 

 

 

298,598

 

 

 

HEARTLAND PMT SYS INC

 

COM

 

12,800

 

 

 

361,600

 

 

 

HECLA MNG CO

 

COM

 

134,700

 

 

 

1,031,802

 

 

 

HEICO CORP NEW

 

COM

 

22,100

 

 

 

858,143

 

 

 

HEIDRICK + STRUGGLES INTL INC

 

COM

 

20,300

 

 

 

859,908

 

 

 

HELIX ENERGY SOLUTIONS GROUP

 

COM

 

94,794

 

 

 

2,973,688

 

 

 

HELMERICH AND PAYNE INC

 

COM

 

105,522

 

 

 

2,582,123

 

 

 

HENRY JACK + ASSOC INC

 

COM

 

84,100

 

 

 

1,799,740

 

 

 

HERCULES OFFSHORE INC

 

COM

 

23,211

 

 

 

670,798

 

 

 

HERITAGE COMM CORP

 

COM

 

9,317

 

 

 

248,205

 

 

 

HERLEY INDUSTRIES INC

 

COM

 

8,100

 

 

 

131,139

 

 

 

HERSHA HOSPITALITY TR

 

PRIORITY CL A SHS BEN INT

 

10,170

 

 

 

115,328

 

 

 

HERTZ GLOBAL HLDGS INC

 

COM

 

89,400

 

 

 

1,554,666

 

 

 

HEWITT ASSOCS INC

 

CLASS A

 

113,859

 

 

 

2,931,869

 

 

 

HEXCEL CORP NEW

 

COM

 

96,200

 

 

 

1,674,842

 

 

 

HI TECH PHARMACAL CO INC

 

COM

 

10,049

 

 

 

122,296

 

 

 

HIBBETT SPORTING GOODS INC

 

COM

 

39,075

 

 

 

1,192,960

 

 



 

 

 

HIGHLAND HOSPITALITY CORP

 

COM

 

63,000

 

 

 

897,750

 

 

 

HIGHWOODS PPTYS INC

 

COM

 

56,400

 

 

 

2,298,864

 

 

 

HILB ROGAL + HOBBS CO

 

COM

 

36,300

 

 

 

1,528,956

 

 

 

HILLENBRAND INDS INC

 

COM

 

62,600

 

 

 

3,563,818

 

 

 

HITTE MICROWAVE CORP

 

COM

 

12,100

 

 

 

391,072

 

 

 

HNI CORP

 

COM

 

54,400

 

 

 

2,415,904

 

 

 

HOLLY CORP

 

COM PAR 0.01

 

49,600

 

 

 

2,549,440

 

 

 

HOLOGIC INC

 

COM

 

53,060

 

 

 

2,508,677

 

 

 

HOME BANCSHARES INC

 

COM

 

10,300

 

 

 

247,612

 

 

 

HOME PROPERTIES INC

 

COM

 

36,900

 

 

 

2,187,063

 

 

 

HOME SOLUTIONS AMER INC

 

COM

 

33,600

 

 

 

196,896

 

 

 

HOMEBANC CORP GA

 

COM

 

65,500

 

 

 

277,065

 

 

 

HOOKER FURNITURE CORP

 

COM

 

4,800

 

 

 

75,264

 

 

 

HORACE MANN EDUCATORS CORP NEW

 

NEW COM

 

51,000

 

 

 

1,030,200

 

 

 

HORIZON FINL CORP WASH

 

COM

 

16,250

 

 

 

390,975

 

 

 

HORIZON HEALTH CORP

 

COM

 

10,690

 

 

 

209,203

 

 

 

HORIZON LINES INC

 

COM

 

15,700

 

 

 

423,272

 

 

 

HORMEL FOODS CORP

 

COM

 

76,600

 

 

 

2,860,244

 

 

 

HORNBECK OFFSHORE SVCS INC NEW

 

COM

 

23,900

 

 

 

853,230

 

 

 

HOSPITALITY PPTYS TR

 

COM SH BEN INT

 

72,400

 

 

 

3,441,172

 

 

 

HOST HOTELS + RESORTS INC

 

COM

 

531,300

 

 

 

13,043,415

 

 

 

HOT TOPIC INC

 

COM

 

44,075

 

 

 

587,961

 

 

 

HOUSTON EXPL CO

 

COM

 

32,600

 

 

 

1,688,028

 

 

 

HOVNANIAN ENTERPRISES INC

 

CL A

 

49,800

 

 

 

1,688,220

 

 

 

HRPT PPTYS TR

 

COM SH BEN INT

 

210,563

 

 

 

2,600,453

 

 

 

HUB GROUP INC

 

CL A

 

41,980

 

 

 

1,156,549

 

 

 

HUBBELL INC

 

CLB

 

63,022

 

 

 

2,849,225

 

 

 

HUDSON CITY BANCORP INC

 

COM

 

587,243

 

 

 

8,150,933

 

 

 

HUDSON HIGHLAND GROUP INC

 

COM

 

20,200

 

 

 

336,936

 

 

 

HUMAN GENOME SCIENCES INC

 

COM

 

143,303

 

 

 

1,782,689

 

 

 

HUNT J B TRANS SVCS INC

 

COM

 

109,400

 

 

 

2,272,238

 

 

 

HUNTSMAN CORP

 

COM

 

89,700

 

 

 

1,701,609

 

 

 

HURON CONSULTING GRP INC

 

COM

 

16,600

 

 

 

752,644

 

 

 

HUTCHINSON TECHNOLOGY INC

 

COM

 

28,500

 

 

 

671,745

 

 

 

HYDRIL COMPANY

 

COM

 

19,000

 

 

 

1,428,610

 

 

 

HYPERCOM CORP

 

COM

 

67,700

 

 

 

429,895

 

 

 

HYPERION SOLUTIONS CORP

 

COM

 

64,349

 

 

 

2,312,703

 

 

 

I FLOW CORP

 

COM NEW

 

29,793

 

 

 

445,405

 

 

 

I2 TECHNOLOGIES INC

 

COM NEW

 

3,596

 

 

 

82,061

 

 

 

IBERIABANK CORP

 

COM

 

10,875

 

 

 

642,169

 

 

 

ICONIX BRAND GROUP INC

 

COM

 

39,200

 

 

 

760,088

 

 

 

ICOS CORP

 

COM

 

67,560

 

 

 

2,282,852

 

 

 

ICT GROUP INC

 

COM

 

1,100

 

 

 

34,749

 

 

 

ICU MEDICAL INC

 

COM

 

15,700

 

 

 

638,676

 

 

 

IDACORP INC

 

COM

 

44,900

 

 

 

1,735,385

 

 

 

IDEARC INC

 

COM

 

125,000

 

 

 

3,581,250

 

 

 

IDENIX PHARMACEUTICALS INC

 

COM

 

9,600

 

 

 

83,424

 

 

 

IDEX CORP

 

COM

 

55,425

 

 

 

2,627,699

 

 

 

IDEXX LABS INC

 

COM

 

31,600

 

 

 

2,505,880

 

 

 

IDT CORP

 

CL B

 

61,400

 

 

 

803,112

 

 

 

IGATE CORP

 

COM

 

24,000

 

 

 

165,120

 

 

 

IHOP CORP NEW

 

COM

 

17,900

 

 

 

943,330

 

 

 

IHS INC

 

COM CL A

 

23,500

 

 

 

927,780

 

 

 

II VI INC

 

COM

 

30,100

 

 

 

840,994

 

 

 

IKANOS COMMUNICATIONS

 

COM

 

18,300

 

 

 

159,027

 

 

 

IKON OFFICE SOLUTIONS INC

 

COM

 

114,500

 

 

 

1,874,365

 

 

 

ILLUMINA INC

 

COM

 

41,521

 

 

 

1,632,191

 

 

 

IMATION CORP

 

COM

 

35,610

 

 

 

1,653,372

 

 

 

IMCLONE SYS INC

 

COM

 

73,556

 

 

 

1,968,359

 

 

 

IMMUCOR CORP

 

COM

 

67,570

 

 

 

1,975,071

 

 

 

IMPAC MORT HOLDINGS INC

 

COM

 

76,300

 

 

 

671,440

 

 

 

IMPERIAL SUGAR CO NEW

 

COM NEW

 

9,800

 

 

 

237,258

 

 

 

INCYTE CORP

 

COM

 

108,800

 

 

 

635,392

 

 

 

INDEPENDENCE HLDG CO NEW

 

COM NEW

 

4,100

 

 

 

89,503

 

 

 

INDEPENDENT BK CORP MASS

 

COM

 

18,900

 

 

 

680,967

 

 

 

INDEPENDENT BK CORP MI

 

COM

 

29,649

 

 

 

749,823

 

 

 

INDEVUS PHARMACEUTICALS INC

 

COM

 

41,700

 

 

 

296,070

 

 

 

INDYMAC BANCORP INC

 

COM

 

72,800

 

 

 

3,287,648

 

 

 

INFINITY PPTY + CAS CORP

 

COM

 

22,200

 

 

 

1,074,258

 

 

 

INFOCROSSING INC

 

COM

 

21,058

 

 

 

343,245

 

 

 

INFORMATICA CORP

 

COM

 

90,400

 

 

 

1,103,784

 

 

 

INFOSPACE INC

 

COM NEW

 

35,600

 

 

 

730,156

 

 

 

INFOUSA INC NEW

 

COM

 

37,100

 

 

 

441,861

 

 



 

 

 

INFRASOURCE SVCS INC

 

COM

 

16,700

 

 

 

363,559

 

 

 

INGLES MKTS INC

 

COM

 

13,400

 

 

 

399,186

 

 

 

INGRAM MICRO INC

 

CL A

 

133,300

 

 

 

2,720,653

 

 

 

INLAND REAL ESTATE CORP

 

COM NEW

 

63,900

 

 

 

1,196,208

 

 

 

INNKEEPERS USA TR

 

COM

 

45,294

 

 

 

702,057

 

 

 

INNOSPEC INC

 

COM

 

12,500

 

 

 

581,875

 

 

 

INNOVATIVE SOLUTIONS + SUPPORT

 

COM

 

15,000

 

 

 

255,450

 

 

 

INPHONIC INC

 

COM

 

16,800

 

 

 

186,312

 

 

 

INPUT/OUTPUT INC

 

COM

 

77,700

 

 

 

1,059,051

 

 

 

INSIGHT ENTERPRISES INC

 

COM

 

56,150

 

 

 

1,059,551

 

 

 

INSITUFORM TECHNOLOGIES INC

 

CL A

 

26,100

 

 

 

674,946

 

 

 

INSTEEL INDS INC

 

COM

 

12,400

 

 

 

220,596

 

 

 

INTEGRA BK CORP

 

COM

 

18,540

 

 

 

510,221

 

 

 

INTEGRA LIFESCIENCES CORP

 

COM NEW

 

23,100

 

 

 

983,829

 

 

 

INTEGRAL SYS INC MD

 

COM

 

12,290

 

 

 

284,759

 

 

 

INTEGRATED DEVICE TECHNOLOGY

 

COM

 

208,110

 

 

 

3,221,543

 

 

 

INTEGRATED ELECTRICAL SVCS INC

 

COM NEW

 

13,700

 

 

 

243,723

 

 

 

INTER PARFUMS INC

 

COM

 

8,175

 

 

 

156,878

 

 

 

INTER TEL INC

 

COM

 

23,250

 

 

 

515,220

 

 

 

INTERACTIVE DATA CORP

 

COM

 

42,900

 

 

 

1,031,316

 

 

 

INTERCHANGE FINL SVCS CORP

 

COM

 

22,400

 

 

 

514,976

 

 

 

INTERCONTINENTALEXCHANGE INC

 

COM

 

19,700

 

 

 

2,125,630

 

 

 

INTERDIGITAL COMM CORP

 

COM

 

51,400

 

 

 

1,724,470

 

 

 

INTERFACE INC

 

CL A

 

52,200

 

 

 

742,284

 

 

 

INTERLINE BRANDS INC

 

COM

 

26,000

 

 

 

584,220

 

 

 

INTERMEC INC

 

COM

 

55,600

 

 

 

1,349,412

 

 

 

INTERMUNE INC

 

COM

 

30,400

 

 

 

934,800

 

 

 

INTERNAP NETWORK SVCS CORP

 

COM PAR .001

 

28,665

 

 

 

569,574

 

 

 

INTERNATIONAL BANCSHARES CORP

 

COM

 

47,498

 

 

 

1,468,163

 

 

 

INTERNATIONAL COAL GROUP INC

 

COM

 

110,700

 

 

 

603,315

 

 

 

INTERNATIONAL RECTIFIER CORP

 

COM

 

74,600

 

 

 

2,874,338

 

 

 

INTERNATIONAL SPEEDWAY CORP

 

CL A

 

36,000

 

 

 

1,837,440

 

 

 

INTERNET CAP GROUP INC

 

COM NEW

 

38,700

 

 

 

397,062

 

 

 

INTERPOOL INC

 

COM

 

10,600

 

 

 

247,616

 

 

 

INTERSIL CORP

 

CL A

 

152,248

 

 

 

3,641,772

 

 

 

INTERVEST BANCSHARES CORP

 

CL A COM

 

100

 

 

 

3,441

 

 

 

INTERVOICE BRITE INC

 

COM

 

42,400

 

 

 

324,784

 

 

 

INTERWOVEN INC

 

COM NEW

 

43,024

 

 

 

631,162

 

 

 

INTEVAC INC

 

COM

 

22,000

 

 

 

570,900

 

 

 

INTL SECS EXCHANGE HLDGS INC

 

CL A

 

37,730

 

 

 

1,765,387

 

 

 

INTRALASE CORP

 

COM

 

18,100

 

 

 

405,078

 

 

 

INTUITIVE SURGICAL INC

 

COM NEW

 

36,900

 

 

 

3,538,710

 

 

 

INVACARE CORP

 

COM

 

35,600

 

 

 

873,980

 

 

 

INVENTIV HEALTH INC

 

COM

 

30,900

 

 

 

1,092,315

 

 

 

INVERNESS MED INNOVATIONS INC

 

COM

 

27,400

 

 

 

1,060,380

 

 

 

INVESTMENT TECHNOLOGY GROUP

 

COM

 

46,200

 

 

 

1,981,056

 

 

 

INVESTOOLS INC

 

COM

 

41,700

 

 

 

575,043

 

 

 

INVESTORS BANCORP INC

 

COM

 

55,400

 

 

 

871,442

 

 

 

INVESTORS FINL SERVICES CORP

 

COM

 

66,400

 

 

 

2,833,288

 

 

 

INVESTORS REAL ESTATE TR

 

SH BEN INT

 

47,300

 

 

 

485,298

 

 

 

INVITROGEN CORP

 

COM

 

48,750

 

 

 

2,758,763

 

 

 

IONATRON INC

 

COM

 

30,975

 

 

 

126,998

 

 

 

IOWA TELECOMMUNICATION SVCS

 

COM

 

19,600

 

 

 

386,316

 

 

 

IPASS INC

 

COM

 

46,600

 

 

 

274,008

 

 

 

IPCS INC DEL

 

COM NEW

 

16,300

 

 

 

902,368

 

 

 

IRIS INTL INC

 

COM

 

27,665

 

 

 

349,962

 

 

 

IROBOT CORP

 

COM

 

6,200

 

 

 

111,972

 

 

 

IRON MTN INC PA

 

COM

 

114,602

 

 

 

4,737,647

 

 

 

IRWIN FINL CORP

 

COM

 

24,600

 

 

 

556,698

 

 

 

ISIS PHARMACEUTICALS

 

COM

 

70,900

 

 

 

788,408

 

 

 

ISLE CAPRI CASINOS INC

 

COM

 

15,800

 

 

 

419,964

 

 

 

ISTAR FINL INC

 

COM

 

129,618

 

 

 

6,198,333

 

 

 

ITC HLDGS CORP

 

COM

 

14,700

 

 

 

586,530

 

 

 

ITLA CAP CORP

 

COM

 

5,900

 

 

 

341,669

 

 

 

ITRON INC

 

COM

 

29,000

 

 

 

1,503,360

 

 

 

ITT EDL SVCS INC

 

COM

 

45,300

 

 

 

3,006,561

 

 

 

IXIA

 

COM

 

28,800

 

 

 

276,480

 

 

 

IXYS CORP DEL

 

COM

 

21,800

 

 

 

194,020

 

 

 

J + J SNACK FOODS CORP

 

COM

 

14,600

 

 

 

604,440

 

 

 

J CREW GROUP INC

 

COM

 

21,700

 

 

 

836,535

 

 

 

J2 GLOBAL COMMUNICATIONS

 

COM NEW

 

48,201

 

 

 

1,313,477

 

 

 

JACK IN THE BOX INC

 

COM

 

36,500

 

 

 

2,227,960

 

 

 

JACKSON HEWITT TAX SVC INC

 

COM

 

41,600

 

 

 

1,413,152

 

 



 

 

 

JACOBS ENGR GROUP INC

 

COM

 

59,000

 

 

 

4,810,860

 

 

 

JACUZZI BRANDS INC

 

COM

 

93,300

 

 

 

1,159,719

 

 

 

JAKKS PAC INC

 

COM

 

29,500

 

 

 

644,280

 

 

 

JAMES RIV COAL CO

 

COM NEW

 

10,335

 

 

 

95,909

 

 

 

JAMES RIV GROUP INC

 

COM

 

7,900

 

 

 

255,328

 

 

 

JARDEN CORP

 

COM

 

47,975

 

 

 

1,669,050

 

 

 

JDA SOFTWARE GROUP INC

 

COM

 

35,200

 

 

 

484,704

 

 

 

JEFFRIES GROUP INC NEW

 

COM

 

119,300

 

 

 

3,199,626

 

 

 

JER INVS TR INC

 

COM

 

25,800

 

 

 

533,286

 

 

 

JETBLUE AWYS CORP

 

COM

 

170,725

 

 

 

2,424,295

 

 

 

JO ANN STORES INC

 

COM

 

21,900

 

 

 

538,740

 

 

 

JONES LANG LASALLE INC

 

COM

 

38,400

 

 

 

3,539,328

 

 

 

JONES SODA CO

 

COM

 

15,800

 

 

 

194,340

 

 

 

JOS A BANK CLOTHIERS INC

 

COM

 

18,470

 

 

 

542,095

 

 

 

JOURNAL COMMUNICATIONS INC

 

CL A

 

41,700

 

 

 

525,837

 

 

 

JOURNAL REGISTER CO

 

COM

 

37,500

 

 

 

273,750

 

 

 

JOY GLOBAL INC

 

COM

 

129,475

 

 

 

6,258,822

 

 

 

JUPITERMEDIA CORP

 

COM

 

25,090

 

 

 

198,713

 

 

 

K SWISS INC

 

A CL A

 

26,200

 

 

 

805,388

 

 

 

K V PHARMACEUTICAL COMPANY

 

CL A

 

40,650

 

 

 

966,657

 

 

 

K+ F INDS HLDGS INC

 

COM

 

13,800

 

 

 

313,398

 

 

 

K2 INC

 

COM

 

53,200

 

 

 

701,708

 

 

 

KADANT INC

 

COM

 

10,844

 

 

 

264,377

 

 

 

KAMAN CORP

 

COM

 

26,100

 

 

 

584,379

 

 

 

KANBAY INTL INC

 

COM

 

33,296

 

 

 

957,926

 

 

 

KANSAS CITY LIFE INS CO

 

COM

 

5,740

 

 

 

287,459

 

 

 

KANSAS CITY SOUTHERN

 

COM NEW

 

84,550

 

 

 

2,450,259

 

 

 

KAYDON CORP

 

COM

 

31,100

 

 

 

1,235,914

 

 

 

KBR INC

 

COM

 

12,200

 

 

 

319,152

 

 

 

KEANE INC

 

COM

 

42,400

 

 

 

504,984

 

 

 

KEARNY FINL CORP

 

COM

 

13,000

 

 

 

208,780

 

 

 

KELLWOOD CO

 

COM

 

28,700

 

 

 

933,324

 

 

 

KELLY SVCS INC

 

CL A

 

19,800

 

 

 

573,012

 

 

 

KEMET CORP

 

COM

 

100,900

 

 

 

736,570

 

 

 

KENDLE INTL INC

 

COM

 

12,294

 

 

 

386,646

 

 

 

KENEXA CORP

 

COM

 

10,900

 

 

 

362,534

 

 

 

KENNAMETAL INC

 

COM

 

39,650

 

 

 

2,333,403

 

 

 

KENSEY NASH CORP

 

COM

 

9,600

 

 

 

305,280

 

 

 

KERYX BIOPHARMACEUTICALS INC

 

COM

 

41,455

 

 

 

551,352

 

 

 

KEYSTONE AUTOMOTIVE INDS INC

 

COM

 

15,900

 

 

 

540,441

 

 

 

KFORCE INC

 

COM

 

28,600

 

 

 

348,062

 

 

 

KILROY RLTY CORP

 

COM

 

33,100

 

 

 

2,581,800

 

 

 

KIMBALL INTL INC

 

CL B

 

29,100

 

 

 

707,130

 

 

 

KIMCO RLTY CORP

 

COM

 

300

 

 

 

13,485

 

 

 

KINDRED HEALTHCARE INC

 

COM

 

28,600

 

 

 

722,150

 

 

 

KINETIC CONCEPTS INC

 

COM NEW

 

43,800

 

 

 

1,732,290

 

 

 

KIRBY CORP

 

COM

 

54,500

 

 

 

1,860,085

 

 

 

KITE RLTY GROUP TR

 

COM

 

19,100

 

 

 

355,642

 

 

 

KKR FINL CORP

 

COM

 

80,100

 

 

 

2,145,879

 

 

 

KNBT BANCORP INC

 

COM

 

32,400

 

 

 

542,052

 

 

 

KNIGHT CAP GROUP INC

 

COM CL A

 

112,400

 

 

 

2,154,708

 

 

 

KNIGHT TRANSN INC

 

COM

 

58,787

 

 

 

1,002,318

 

 

 

KNOLL INC

 

COM NEW

 

31,800

 

 

 

699,600

 

 

 

KNOT INC

 

COM

 

13,200

 

 

 

346,368

 

 

 

KOMAG INC

 

COM NEW

 

31,600

 

 

 

1,197,008

 

 

 

KOPIN CORP

 

COM

 

79,550

 

 

 

283,994

 

 

 

KOPPERS HLDGS INC

 

COM

 

2,700

 

 

 

70,389

 

 

 

KORN / FERRY INTL

 

COM NEW

 

36,200

 

 

 

831,152

 

 

 

KRAFT FOODS INC

 

CL A

 

213,460

 

 

 

7,620,522

 

 

 

KRISPY KREME DOUGHNUTS INC

 

COM

 

60,000

 

 

 

666,000

 

 

 

KRONOS INC

 

COM

 

31,700

 

 

 

1,164,658

 

 

 

KRONOS WORLDWIDE INC

 

COM

 

4,974

 

 

 

161,953

 

 

 

KULICKE + SOFFA INDS INC

 

COM

 

68,800

 

 

 

577,920

 

 

 

KYPHON INC

 

COM

 

46,599

 

 

 

1,882,600

 

 

 

L 1 IDENTITY SOLUTIONS INC

 

COM

 

69,255

 

 

 

1,047,828

 

 

 

LA Z BOY INC

 

COM

 

59,900

 

 

 

711,013

 

 

 

LABOR READY INC

 

COM NEW

 

57,150

 

 

 

1,047,560

 

 

 

LABRANCHE + CO INC

 

COM

 

62,500

 

 

 

614,375

 

 

 

LACLEDE GROUP INC

 

COM

 

20,600

 

 

 

721,618

 

 

 

LADISH COMPANY INC

 

COM NEW

 

16,500

 

 

 

611,820

 

 

 

LAIDLAW INTL INC

 

COM

 

82,811

 

 

 

2,519,939

 

 

 

LAKELAND BANCORP INC

 

COM

 

15,952

 

 

 

237,685

 

 

 

LAKELAND FINANCIAL CORP

 

COM

 

13,200

 

 

 

336,996

 

 



 

 

 

LAKES ENTMT INC

 

COM

 

20,100

 

 

 

216,879

 

 

 

LAM RESH CORP

 

COM

 

142,200

 

 

 

7,198,164

 

 

 

LAMAR ADVERTISING CO

 

CL A

 

83,700

 

 

 

5,473,143

 

 

 

LAMSON + SESSIONS CO

 

COM RTS CALLABLE THRU 07SEP98

 

12,700

 

 

 

308,102

 

 

 

LANCASTER COLONY CORP

 

COM

 

26,450

 

 

 

1,172,000

 

 

 

LANCE INC

 

COM

 

30,000

 

 

 

602,400

 

 

 

LANDAMERICA FINL GROUP INC

 

COM

 

17,600

 

 

 

1,110,736

 

 

 

LANDAUER INC

 

COM

 

10,300

 

 

 

540,441

 

 

 

LANDRYS RESTAURANTS INC

 

COM

 

20,600

 

 

 

619,854

 

 

 

LANDSTAR SYS INC

 

COM

 

60,600

 

 

 

2,313,708

 

 

 

LAS VEGAS SANDS CORP

 

COM

 

140,400

 

 

 

12,562,992

 

 

 

LASALLE HOTEL PPTYS

 

COM SH BEN INT

 

42,100

 

 

 

1,930,285

 

 

 

LATTICE SEMICONDUCTOR CORP

 

COM

 

128,100

 

 

 

830,088

 

 

 

LAUREATE ED INC

 

COM

 

43,600

 

 

 

2,120,268

 

 

 

LAWSON PRODS INC

 

COM

 

4,300

 

 

 

197,327

 

 

 

LAWSON SOFTWARE INC NEW

 

COM

 

121,100

 

 

 

894,929

 

 

 

LAYNE CHRISTENSEN CO

 

COM

 

12,800

 

 

 

420,224

 

 

 

LCA VISION INC

 

COM PAR .001

 

22,050

 

 

 

757,638

 

 

 

LEAP WIRELESS INTL INC

 

COM NEW

 

49,000

 

 

 

2,914,030

 

 

 

LEAPFROG ENTERPRISES INC

 

COM

 

24,800

 

 

 

235,104

 

 

 

LEAR CORP

 

COM

 

66,200

 

 

 

1,954,886

 

 

 

LECG CORP

 

COM

 

16,015

 

 

 

295,957

 

 

 

LEE ENTERPRISES INC

 

COM

 

46,050

 

 

 

1,430,313

 

 

 

LENNOX INTL INC

 

COM

 

63,600

 

 

 

1,946,796

 

 

 

LEUCADIA NATL CORP

 

COM

 

166,358

 

 

 

4,691,296

 

 

 

LEVEL 3 COMMUNICATIONS INC

 

COM

 

1,182,930

 

 

 

6,624,408

 

 

 

LEVITT CORP FLA

 

CL A

 

17,825

 

 

 

218,178

 

 

 

LEXICON GENETICS INC

 

COM

 

64,337

 

 

 

232,257

 

 

 

LEXINGTON CORPORATE PPTY TR

 

COM

 

62,300

 

 

 

1,396,766

 

 

 

LHC GROUP INC

 

COM

 

3,600

 

 

 

102,636

 

 

 

LIBERTY GLOBAL INC

 

COM SER A

 

372,203

 

 

 

10,849,717

 

 

 

LIBERTY GLOBAL INC

 

COM SER C

 

40,000

 

 

 

1,120,000

 

 

 

LIBERTY MEDIA HLDG CORP

 

CAP COM SER A

 

142,432

 

 

 

13,955,487

 

 

 

LIBERTY MEDIA HLDG CORP

 

INTERACTIVE COM SER A

 

667,263

 

 

 

14,392,863

 

 

 

LIBERTY PROPERTY

 

SH BEN INT SUPP

 

90,900

 

 

 

4,466,826

 

 

 

LIFE TIME FITNESS INC

 

COM

 

28,100

 

 

 

1,363,131

 

 

 

LIFECELL CORP

 

COM

 

36,300

 

 

 

876,282

 

 

 

LIFEPOINT HOSPS INC

 

COM

 

58,670

 

 

 

1,977,179

 

 

 

LIFETIME BRANDS INC

 

COM

 

10,600

 

 

 

174,158

 

 

 

LIGHTBRIDGE INC

 

COM

 

26,779

 

 

 

362,588

 

 

 

LIN TV CORP

 

CL A

 

32,600

 

 

 

324,370

 

 

 

LINCARE HLDGS INC

 

COM

 

101,500

 

 

 

4,043,760

 

 

 

LINCOLN ELEC HLDGS INC

 

COM

 

43,750

 

 

 

2,643,375

 

 

 

LINDSAY CORP

 

COM

 

12,900

 

 

 

421,185

 

 

 

LIONBRIDGE TECHNOLOGIES INC

 

COM

 

49,400

 

 

 

318,136

 

 

 

LITHIA MTRS INC

 

CL A

 

15,800

 

 

 

454,408

 

 

 

LITTELFUSE INC

 

COM

 

26,700

 

 

 

851,196

 

 

 

LIVE NATION INC

 

COM

 

70,000

 

 

 

1,568,000

 

 

 

LKQ CORP

 

COM

 

43,366

 

 

 

996,984

 

 

 

LO JACK CORP

 

COM

 

20,105

 

 

 

343,393

 

 

 

LODGENET ENTMT CORP

 

COM

 

24,100

 

 

 

603,223

 

 

 

LODGIAN INC

 

COM PAR .01 REVERSE SPLIT

 

13,685

 

 

 

186,116

 

 

 

LOEWS CORP

 

CAROLINA GROUP STK

 

94,200

 

 

 

6,096,624

 

 

 

LONE STAR TECHNOLOGIES INC

 

COM

 

33,300

 

 

 

1,612,053

 

 

 

LONGS DRUG STORES CORP

 

COM

 

34,100

 

 

 

1,445,158

 

 

 

LONGVIEW FIBRE CO WASHINGTON

 

COM

 

68,961

 

 

 

1,513,694

 

 

 

LORAL SPACE + COMMUNICATIONS I

 

COM

 

10,200

 

 

 

415,344

 

 

 

LOUISIANA PAC CORP

 

COM

 

104,600

 

 

 

2,252,038

 

 

 

LSI INDS INC

 

COM

 

21,387

 

 

 

424,532

 

 

 

LTC PROPERTIES

 

COM

 

25,300

 

 

 

690,943

 

 

 

LTX CORP

 

COM

 

56,929

 

 

 

318,802

 

 

 

LUBRIZOL CORP

 

COM

 

69,200

 

 

 

3,468,996

 

 

 

LUBYS CAFETERIAS INC

 

COM

 

20,300

 

 

 

221,067

 

 

 

LUFKIN INDS INC

 

COM

 

14,800

 

 

 

859,584

 

 

 

LUMINENT MTG CAP INC

 

COM

 

49,000

 

 

 

475,790

 

 

 

LUMINEX CORP DEL

 

COM

 

23,700

 

 

 

300,990

 

 

 

LYONDELL CHEMICAL CO

 

COM

 

213,860

 

 

 

5,468,400

 

 

 

M + F WORLDWIDE CORP

 

COM

 

11,500

 

 

 

290,490

 

 

 

M.D.C. HOLDINGS INC

 

COM

 

34,865

 

 

 

1,989,048

 

 

 

M/I HOMES INC

 

COM

 

14,400

 

 

 

549,936

 

 

 

MACATAWA BK CORP

 

COM

 

17,470

 

 

 

371,412

 

 

 

MACDERMID INC

 

COM

 

31,900

 

 

 

1,087,790

 

 

 

MACERICH CO

 

COM

 

74,100

 

 

 

6,414,837

 

 



 

 

 

MACK CA RLTY CORP

 

COM

 

66,150

 

 

 

3,373,650

 

 

 

MACROVISION CORP

 

COM

 

51,700

 

 

 

1,461,042

 

 

 

MADDEN STEVEN LTD

 

COM

 

22,300

 

 

 

782,507

 

 

 

MAF BANCORP INC

 

COM

 

33,415

 

 

 

1,493,316

 

 

 

MAGELLAN HEALTH SVCS INC

 

COM NEW

 

36,800

 

 

 

1,590,496

 

 

 

MAGMA DESIGN AUTOMATION INC

 

COM

 

28,600

 

 

 

255,398

 

 

 

MAGNA ENTMT CORP

 

CL A

 

48,700

 

 

 

219,637

 

 

 

MAGUIRE PPTYS INC

 

COM

 

36,900

 

 

 

1,476,000

 

 

 

MAIDENFORM BRANDS INC

 

COM

 

20,500

 

 

 

371,460

 

 

 

MAINSOURCE FINL GROUP INC

 

COM

 

15,182

 

 

 

257,182

 

 

 

MANHATTAN ASSOCS INC

 

COM

 

31,800

 

 

 

956,544

 

 

 

MANITOWOC INC

 

COM

 

62,405

 

 

 

3,708,729

 

 

 

MANNATECH INC

 

COM

 

8,200

 

 

 

120,786

 

 

 

MANNKIND CORP

 

COM

 

30,000

 

 

 

494,700

 

 

 

MANPOWER INC WIS

 

COM

 

88,033

 

 

 

6,596,313

 

 

 

MANTECH INTL CORP

 

CL A

 

16,600

 

 

 

611,378

 

 

 

MAPINFO CORP

 

COM

 

28,745

 

 

 

375,122

 

 

 

MARCHEX INC

 

CL B

 

16,200

 

 

 

216,756

 

 

 

MARCUS CORP

 

COM

 

22,600

 

 

 

578,108

 

 

 

MARINE PRODS CORP

 

COM

 

10,425

 

 

 

122,390

 

 

 

MARINEMAX INC

 

COM

 

19,850

 

 

 

514,711

 

 

 

MARINER ENERGY INC

 

COM

 

72,200

 

 

 

1,415,120

 

 

 

MARKEL CORP

 

COM

 

10,100

 

 

 

4,849,010

 

 

 

MARKETAXESS HLDGS INC

 

COM

 

18,100

 

 

 

245,617

 

 

 

MARLIN BUSINESS SVCS CORP

 

COM

 

3,500

 

 

 

84,105

 

 

 

MARTEK BIOSCIENCES CORP

 

COM

 

35,000

 

 

 

816,900

 

 

 

MARTEN TRANS LTD

 

COM

 

19,299

 

 

 

353,751

 

 

 

MARTHA STEWART LIVING INC

 

CL A

 

25,100

 

 

 

549,690

 

 

 

MARTIN MARIETTA MATLS INC

 

COM

 

46,100

 

 

 

4,790,251

 

 

 

MARVEL ENTMT INC

 

COM

 

49,900

 

 

 

1,342,809

 

 

 

MASSEY ENERGY CORP

 

COM

 

84,700

 

 

 

1,967,581

 

 

 

MASTEC INC

 

COM

 

49,300

 

 

 

568,922

 

 

 

MASTERCARD INC

 

CL A

 

61,800

 

 

 

6,086,682

 

 

 

MATRIA HEALTHCARE INC

 

COM NEW

 

21,849

 

 

 

627,722

 

 

 

MATRIX SVC CO

 

COM

 

22,800

 

 

 

367,080

 

 

 

MATTHEWS INTL CORP

 

CL A

 

35,500

 

 

 

1,396,925

 

 

 

MATTSON TECHNOLOGY INC

 

COM

 

41,600

 

 

 

387,712

 

 

 

MAUI LD + PINEAPPLE INC

 

COM

 

6,400

 

 

 

217,088

 

 

 

MAXIMUS INC

 

COM

 

21,582

 

 

 

664,294

 

 

 

MAXWELL TECHNOLOGIES INC

 

COM

 

12,800

 

 

 

178,560

 

 

 

MAXYGEN INC

 

COM

 

28,500

 

 

 

306,945

 

 

 

MB FINL INC

 

COM

 

29,692

 

 

 

1,116,716

 

 

 

MBT FINL CORP

 

COM

 

16,876

 

 

 

258,540

 

 

 

MCAFEE INC

 

COM

 

160,855

 

 

 

4,565,065

 

 

 

MCCLATCHY CO

 

CL A

 

56,100

 

 

 

2,429,130

 

 

 

MCCORMICK + SCHMICKS SEAFOOD

 

COM

 

4,700

 

 

 

112,988

 

 

 

MCDATA CORPORATION

 

CL A

 

128,000

 

 

 

710,400

 

 

 

MCG CAP CORP

 

COM

 

55,500

 

 

 

1,127,760

 

 

 

MCGRATH RENTCORP

 

COM

 

25,348

 

 

 

776,409

 

 

 

MCMORAN EXPLORATION CO

 

COM

 

14,800

 

 

 

210,456

 

 

 

MDU RES GROUP INC

 

COM

 

181,275

 

 

 

4,647,891

 

 

 

MEADOWBROOK INS GROUP INC

 

COM

 

25,000

 

 

 

247,250

 

 

 

MEASUREMENT SPECIALTIES INC

 

COM

 

14,700

 

 

 

318,108

 

 

 

MEDALLION FINL CORP

 

COM

 

300

 

 

 

3,711

 

 

 

MEDAREX INC

 

COM

 

130,700

 

 

 

1,933,053

 

 

 

MEDCATH CORP

 

COM

 

2,400

 

 

 

65,664

 

 

 

MEDIA GEN INC

 

CL A

 

25,000

 

 

 

929,250

 

 

 

MEDIACOM COMMUNICATIONS CORP

 

CL A

 

65,000

 

 

 

522,600

 

 

 

MEDICAL ACTION IND INC

 

COM

 

7,700

 

 

 

248,248

 

 

 

MEDICAL PPTYS TR INC

 

COM

 

37,400

 

 

 

572,220

 

 

 

MEDICINES CO

 

COM

 

51,400

 

 

 

1,630,408

 

 

 

MEDICIS PHARMACEUTICAL CORP

 

CL A NEW

 

61,500

 

 

 

2,160,495

 

 

 

MEDIS TECHNOLOGIES LTD

 

COM

 

12,160

 

 

 

211,949

 

 

 

MEMC ELECTR MATLS INC

 

COM

 

148,800

 

 

 

5,824,032

 

 

 

MENS WEARHOUSE INC

 

COM

 

47,400

 

 

 

1,813,524

 

 

 

MENTOR CORP MINN

 

COM

 

38,200

 

 

 

1,866,834

 

 

 

MENTOR GRAPHICS CORP

 

COM

 

78,900

 

 

 

1,422,567

 

 

 

MERCANTILE BANKCORP

 

COM

 

9,679

 

 

 

364,898

 

 

 

MERCANTILE BANKSHARES CORP

 

COM

 

122,994

 

 

 

5,754,889

 

 

 

MERCER INTL INC

 

SH BEN INT

 

34,530

 

 

 

409,871

 

 

 

MERCURY COMPUTER SYS INC

 

COM

 

27,300

 

 

 

364,728

 

 

 

MERCURY GEN CORP

 

COM

 

28,000

 

 

 

1,476,440

 

 

 

MERGE TECHNOLOGIES INC

 

COM

 

19,443

 

 

 

127,546

 

 



 

 

 

MERIDIAN BIOSCIENCE INC

 

COM

 

21,712

 

 

 

532,595

 

 

 

MERIDIAN RESOURCE CORP

 

COM

 

103,300

 

 

 

319,197

 

 

 

MERIT MED SYS INC

 

COM

 

37,176

 

 

 

588,868

 

 

 

MERITAGE HOME CORP

 

COM

 

24,300

 

 

 

1,159,596

 

 

 

MESA AIR GROUP INC

 

COM

 

45,400

 

 

 

389,078

 

 

 

METAL MGMT INC

 

COM NEW

 

28,200

 

 

 

1,067,370

 

 

 

METHODE ELECTRS INC

 

COM

 

29,860

 

 

 

323,384

 

 

 

METRETEK TECHNOLOGIES

 

COM

 

13,700

 

 

 

168,784

 

 

 

METTLER TOLEDO INTL INC

 

COM

 

40,900

 

 

 

3,224,965

 

 

 

MFA MTG INVTS INC

 

COM

 

100,200

 

 

 

770,538

 

 

 

MGE ENERGY INC

 

COM

 

22,500

 

 

 

823,050

 

 

 

MGI PHARMA INC

 

COM

 

84,600

 

 

 

1,557,486

 

 

 

MGM MIRAGEINC

 

COM

 

120,800

 

 

 

6,927,880

 

 

 

MGP INGREDIENTS INC

 

COM

 

12,800

 

 

 

289,408

 

 

 

MICREL INC

 

COM

 

70,200

 

 

 

756,756

 

 

 

MICROCHIP TECHNOLOGY INC

 

COM

 

217,002

 

 

 

7,095,965

 

 

 

MICROS SYS INC

 

COM

 

39,900

 

 

 

2,102,730

 

 

 

MICROSEMI CORP

 

COM

 

76,800

 

 

 

1,509,120

 

 

 

MICROSTRATEGY INC

 

CL A NEWREVERSE SPLIT

 

9,800

 

 

 

1,117,298

 

 

 

MICROTUNE INC DEL

 

COM

 

60,963

 

 

 

286,526

 

 

 

MID AMER APT CMNTYS INC

 

COM

 

21,212

 

 

 

1,214,175

 

 

 

MID STATE BANCSHARES

 

COM

 

29,000

 

 

 

1,055,310

 

 

 

MIDAS INC

 

COM

 

17,500

 

 

 

402,500

 

 

 

MIDDLEBY CORP

 

COM

 

6,800

 

 

 

711,756

 

 

 

MIDLAND CO

 

COM

 

12,600

 

 

 

528,570

 

 

 

MIDWAY GAMES INC

 

COM

 

22,410

 

 

 

156,422

 

 

 

MIDWEST BANC HLDGS INC

 

COM

 

16,960

 

 

 

402,800

 

 

 

MILLENNIUM PHARMACEUTICALS

 

COM

 

333,317

 

 

 

3,633,155

 

 

 

MILLER HERMAN INC

 

COM

 

70,500

 

 

 

2,563,380

 

 

 

MILLER INDS INC TENN

 

COM NEW

 

300

 

 

 

7,200

 

 

 

MILLS CORP

 

COM

 

59,255

 

 

 

1,185,100

 

 

 

MINDSPEED TECHNOLOGIES INC

 

COM

 

97,700

 

 

 

186,607

 

 

 

MINE SAFETY APPLIANCES CO

 

COM

 

34,100

 

 

 

1,249,765

 

 

 

MINERALS TECHNOLOGIES INC

 

COM

 

19,600

 

 

 

1,152,284

 

 

 

MIPS TECHNOLOGIES INC COM

 

COM

 

54,046

 

 

 

448,582

 

 

 

MIRANT CORP NEW

 

COM

 

262,793

 

 

 

8,296,375

 

 

 

MKS INSTRS INC

 

COM

 

38,670

 

 

 

873,169

 

 

 

MOBILE MINI INC

 

COM

 

33,831

 

 

 

911,407

 

 

 

MOBILITY ELECTRONICS INC

 

COM

 

35,071

 

 

 

117,488

 

 

 

MODINE MFG CO

 

COM

 

32,500

 

 

 

813,475

 

 

 

MOHAWK INDS INC

 

COM

 

53,472

 

 

 

4,002,914

 

 

 

MOLECULAR DEVICES CORP

 

COM

 

17,978

 

 

 

378,796

 

 

 

MOLINA HEALTHCARE INC

 

COM

 

13,000

 

 

 

422,630

 

 

 

MOMENTA PHARMACEUTICALS INC

 

COM

 

9,700

 

 

 

152,581

 

 

 

MONACO COACH CORP

 

COM

 

30,175

 

 

 

427,278

 

 

 

MONARCH CASINO + RESORT INC

 

COM

 

7,145

 

 

 

170,623

 

 

 

MONEYGRAM INTL INC

 

COM

 

85,100

 

 

 

2,668,736

 

 

 

MONOGRAM BIOSCIENCES INC

 

COM

 

100,935

 

 

 

179,664

 

 

 

MONOLITHIC PWR SYS INC

 

COM

 

19,300

 

 

 

214,423

 

 

 

MONRO MUFFLER BRAKE INC

 

COM

 

14,050

 

 

 

493,155

 

 

 

MOOG INC

 

CL A

 

39,175

 

 

 

1,496,093

 

 

 

MORGANS HOTEL GROUP CO

 

COM

 

19,400

 

 

 

328,442

 

 

 

MORNINGSTAR INC

 

COM

 

10,400

 

 

 

468,520

 

 

 

MORTGAGEIT HLDGS INC

 

COM

 

19,700

 

 

 

290,575

 

 

 

MOSAIC CO

 

COM

 

148,200

 

 

 

3,165,552

 

 

 

MOVADO GROUP INC

 

COM

 

24,900

 

 

 

722,100

 

 

 

MOVE INC

 

COM

 

95,091

 

 

 

523,951

 

 

 

MPS GROUP INC

 

COM

 

116,700

 

 

 

1,654,806

 

 

 

MRV COMMUNICATIONS INC

 

COM

 

130,150

 

 

 

460,731

 

 

 

MSC INDL DIRECT INC

 

CL A

 

37,700

 

 

 

1,475,955

 

 

 

MTC TECHNOLOGIES INC

 

COM

 

6,300

 

 

 

148,365

 

 

 

MTR GAMING GROUP INC

 

COM

 

26,900

 

 

 

328,718

 

 

 

MTS SYS CORP

 

COM

 

17,650

 

 

 

681,643

 

 

 

MUELLER INDS INC

 

COM

 

41,500

 

 

 

1,315,550

 

 

 

MUELLER WTR PRODS INC

 

COM SER A

 

23,000

 

 

 

342,010

 

 

 

MUELLER WTR PRODS INC

 

COM SER B

 

71,386

 

 

 

1,063,645

 

 

 

MULTI FINELINE ELECTRONIX INC

 

COM

 

8,200

 

 

 

166,378

 

 

 

MULTIMEDIA GAMES INC

 

COM

 

37,200

 

 

 

357,120

 

 

 

MVC CAP INC

 

COM

 

17,200

 

 

 

229,792

 

 

 

MYERS IND INC

 

COM

 

30,643

 

 

 

479,869

 

 

 

MYRIAD GENETICS INC

 

COM

 

45,400

 

 

 

1,421,020

 

 

 

NABI BIOPHARMACEUTICALS

 

COM

 

74,000

 

 

 

501,720

 

 

 

NACCO INDS INC

 

CL A

 

5,870

 

 

 

801,842

 

 



 

 

 

NALCO HLDG CO

 

COM

 

106,000

 

 

 

2,168,760

 

 

 

NARA BANCORP INC

 

COM

 

23,400

 

 

 

489,528

 

 

 

NASB FINL INC

 

COM

 

4,400

 

 

 

181,940

 

 

 

NASDAQ STK MKT INC

 

COM ACCREDITED INVS

 

94,835

 

 

 

2,919,970

 

 

 

NASH FINCH CO

 

COM

 

12,800

 

 

 

349,440

 

 

 

NASTECH PHARMACEUTICAL INC

 

COM PAR 0.006

 

25,938

 

 

 

392,442

 

 

 

NATCO GROUP INC

 

CL A

 

13,900

 

 

 

443,132

 

 

 

NATIONAL BEVERAGE CORP

 

COM

 

9,900

 

 

 

138,897

 

 

 

NATIONAL CITY CORP

 

COM

 

1,000

 

 

 

36,560

 

 

 

NATIONAL FINL PARTNERS CORP

 

COM

 

42,100

 

 

 

1,851,137

 

 

 

NATIONAL FUEL GAS CO N J

 

COM

 

85,810

 

 

 

3,307,117

 

 

 

NATIONAL HEALTH INVS INC

 

COM

 

25,500

 

 

 

841,500

 

 

 

NATIONAL HEALTHCARE CORP

 

COM

 

8,200

 

 

 

452,640

 

 

 

NATIONAL INSTRS CORP

 

COM

 

57,650

 

 

 

1,570,386

 

 

 

NATIONAL INTST CORP

 

COM

 

14,600

 

 

 

354,780

 

 

 

NATIONAL PENN BANCSHARES INC

 

COM

 

44,956

 

 

 

910,359

 

 

 

NATIONAL PRESTO INDS INC

 

COM

 

6,300

 

 

 

377,181

 

 

 

NATIONAL RETAIL PPTYS INC

 

COM

 

59,292

 

 

 

1,360,751

 

 

 

NATIONAL WESTN LIFE INS CO

 

CL A

 

2,300

 

 

 

529,322

 

 

 

NATIONWIDE FINL SVCS INC

 

CL A

 

48,900

 

 

 

2,650,380

 

 

 

NATIONWIDE HEALTH PPTYS INC

 

COM

 

80,900

 

 

 

2,444,798

 

 

 

NATUS MED INC DEL

 

COM

 

21,100

 

 

 

350,471

 

 

 

NAUTILUS INC

 

COM

 

32,687

 

 

 

457,618

 

 

 

NAVIGANT CONSULTING CO

 

COM

 

41,500

 

 

 

820,040

 

 

 

NAVIGATORS GROUP INC

 

COM

 

13,600

 

 

 

655,248

 

 

 

NAVISTAR INTL CORP INC

 

COM

 

63,100

 

 

 

2,109,433

 

 

 

NAVTEQ CORP

 

COM

 

98,400

 

 

 

3,441,048

 

 

 

NBT BANCORP INC

 

COM

 

37,614

 

 

 

959,533

 

 

 

NBTY INC

 

COM

 

54,600

 

 

 

2,269,722

 

 

 

NCI BLDG SYS INC

 

COM

 

23,220

 

 

 

1,201,635

 

 

 

NEENAH PAPER INC

 

COM

 

19,100

 

 

 

674,612

 

 

 

NEKTAR THERAPEUTICS

 

COM

 

96,100

 

 

 

1,461,681

 

 

 

NELNET INC

 

CL A

 

19,400

 

 

 

530,784

 

 

 

NEOWARE SYSTEMS INC

 

COM

 

18,500

 

 

 

244,385

 

 

 

NESS TECHNOLOGIES INC

 

COM

 

22,300

 

 

 

317,998

 

 

 

NET 1 UEPS TECHNOLOGIES INC

 

COM

 

47,400

 

 

 

1,401,144

 

 

 

NETBANK INC

 

COM

 

57,600

 

 

 

267,264

 

 

 

NETFLIX COM INC

 

COM

 

38,000

 

 

 

982,680

 

 

 

NETGEAR INC

 

COM

 

27,700

 

 

 

727,125

 

 

 

NETLOGIC MICROSYSTEMS INC

 

COM

 

11,845

 

 

 

256,918

 

 

 

NETRATINGS INC

 

COM

 

12,800

 

 

 

224,128

 

 

 

NETSCOUT SYS INC

 

COM

 

22,500

 

 

 

186,750

 

 

 

NEUROCRINE BIOSCIENCES INC

 

COM

 

38,200

 

 

 

398,044

 

 

 

NEUROMETRIX INC

 

COM

 

7,100

 

 

 

105,861

 

 

 

NEUSTAR INC

 

CL A

 

62,300

 

 

 

2,021,012

 

 

 

NEW CENTY FINL CORP MD

 

COM

 

45,700

 

 

 

1,443,663

 

 

 

NEW JERSEY RES CORP

 

COM

 

27,850

 

 

 

1,352,953

 

 

 

NEW PLAN EXCEL RLTY TR INC

 

COM

 

104,840

 

 

 

2,881,003

 

 

 

NEW RIV PHARMACEUTICALS INC

 

COM

 

15,400

 

 

 

842,534

 

 

 

NEW YORK + CO INC

 

COM

 

14,000

 

 

 

183,120

 

 

 

NEW YORK CMNTY BANCORP INC

 

COM

 

297,984

 

 

 

4,797,542

 

 

 

NEWALLIANCE BANCSHARES INC

 

COM

 

119,800

 

 

 

1,964,720

 

 

 

NEWCASTLE INVT CORP NEW

 

COM

 

42,100

 

 

 

1,318,572

 

 

 

NEWFIELD EXPL CO

 

COM

 

130,000

 

 

 

5,973,500

 

 

 

NEWKIRK RLTY TR INC

 

COM

 

15,600

 

 

 

281,424

 

 

 

NEWMARKET CORP

 

COM

 

17,100

 

 

 

1,009,755

 

 

 

NEWPARK RES INC

 

COM PAR USD0.01 NEW

 

95,700

 

 

 

689,997

 

 

 

NEWPORT CORP

 

COM

 

41,800

 

 

 

875,710

 

 

 

NGP CAP RES CO

 

COM

 

18,271

 

 

 

306,039

 

 

 

NIC INC

 

COM

 

37,100

 

 

 

184,387

 

 

 

NIGHTHAWK RADIOLOGY HLDGS INC

 

COM

 

2,900

 

 

 

73,950

 

 

 

NII HLDGS INC

 

CL B NEW

 

139,400

 

 

 

8,982,936

 

 

 

NL INDS INC

 

COM NEW

 

11,100

 

 

 

114,774

 

 

 

NN INC

 

COM

 

12,400

 

 

 

154,132

 

 

 

NOBLE ENERGY INC

 

COM

 

179,486

 

 

 

8,807,378

 

 

 

NOBLE INTL LTD

 

COM

 

1,700

 

 

 

34,085

 

 

 

NORDSON CORP

 

COM

 

32,000

 

 

 

1,594,560

 

 

 

NORTH PITTSBURGH SYS INC

 

COM

 

18,500

 

 

 

446,590

 

 

 

NORTHEAST UTILS

 

COM

 

155,444

 

 

 

4,377,303

 

 

 

NORTHERN EMPIRE BANCSHARES

 

COM

 

9,040

 

 

 

267,042

 

 

 

NORTHFIELD LABORATORIES INC

 

COM

 

17,600

 

 

 

71,632

 

 

 

NORTHSTAR RLTY FIN CORP

 

COM

 

28,610

 

 

 

474,068

 

 

 

NORTHWEST BANCORP INC PA

 

COM

 

16,500

 

 

 

453,090

 

 



 

 

 

NORTHWEST NAT GAS CO

 

COM

 

29,400

 

 

 

1,247,736

 

 

 

NORTHWESTERN CORP

 

COM NEW

 

33,695

 

 

 

1,192,129

 

 

 

NOVASTAR FINL INC

 

COM

 

31,600

 

 

 

842,140

 

 

 

NOVATEL WIRELESS INC

 

COM NEW

 

19,800

 

 

 

191,466

 

 

 

NOVAVAX INC

 

COM

 

54,900

 

 

 

225,090

 

 

 

NOVEN PHARMACEUTICALS INC

 

COM

 

29,200

 

 

 

743,140

 

 

 

NPS PHARMACEUTICALS INC

 

COM

 

42,500

 

 

 

192,525

 

 

 

NRG ENERGY INC

 

COM NEW

 

129,800

 

 

 

7,270,098

 

 

 

NSTAR

 

COM

 

107,510

 

 

 

3,694,044

 

 

 

NTELOS HLDGS CORP

 

COM

 

9,653

 

 

 

172,596

 

 

 

NTL INC DEL

 

COM

 

295,511

 

 

 

7,458,698

 

 

 

NU SKIN ENTERPRISES INC

 

CL A

 

57,500

 

 

 

1,048,225

 

 

 

NUANCE COMMUNICATIONS INC

 

COM

 

136,238

 

 

 

1,561,287

 

 

 

NUCO2 INC

 

COM

 

19,100

 

 

 

469,669

 

 

 

NUTRI SYS INC NEW

 

COM

 

32,005

 

 

 

2,028,797

 

 

 

NUVASIVE INC

 

COM

 

31,500

 

 

 

727,650

 

 

 

NUVEEN INVTS INC

 

CL A

 

78,600

 

 

 

4,077,768

 

 

 

NUVELO INC

 

COM NEW

 

51,025

 

 

 

204,100

 

 

 

NVR INC

 

COM

 

4,800

 

 

 

3,096,000

 

 

 

NYMAGIC INC

 

COM

 

7,600

 

 

 

278,160

 

 

 

NYMEX HLDGS INC

 

COM

 

6,600

 

 

 

818,466

 

 

 

NYSE GROUP INC

 

COM

 

157,000

 

 

 

15,260,400

 

 

 

O CHARLEYS INC

 

COM

 

27,500

 

 

 

585,200

 

 

 

O REILLY AUTOMOTIVE INC

 

COM

 

108,600

 

 

 

3,481,716

 

 

 

OAKLEY INC

 

COM

 

27,800

 

 

 

557,668

 

 

 

OCEANEERING INTL INC

 

COM

 

54,300

 

 

 

2,155,710

 

 

 

OCEANFIRST FINL CORP

 

COM

 

8,450

 

 

 

193,759

 

 

 

OCWEN FINL CORP

 

COM NEW

 

32,900

 

 

 

521,794

 

 

 

ODYSSEY HEALTHCARE INC

 

COM

 

39,075

 

 

 

518,135

 

 

 

ODYSSEY RE HLDGS CORP

 

COM

 

16,000

 

 

 

596,800

 

 

 

OGE ENERGY CORP

 

COM

 

93,400

 

 

 

3,736,000

 

 

 

OHIO CAS CORP

 

COM

 

65,700

 

 

 

1,958,517

 

 

 

OIL STATES INTL INC

 

COM

 

49,300

 

 

 

1,588,939

 

 

 

OLD DOMINION FGHT LINES INC

 

COM

 

34,487

 

 

 

830,102

 

 

 

OLD NATL BANCORP IND

 

COM RTS CALLABLE THRU 3/2/20

 

66,521

 

 

 

1,258,577

 

 

 

OLD REP INTL CORP

 

COM

 

226,837

 

 

 

5,280,765

 

 

 

OLD SECOND BANCORP INC DEL

 

COM

 

16,732

 

 

 

490,248

 

 

 

OLIN CORP

 

COM PAR  1

 

71,032

 

 

 

1,173,449

 

 

 

OLYMPIC STL INC

 

COM

 

7,609

 

 

 

169,148

 

 

 

OM GROUP INC

 

COM

 

28,500

 

 

 

1,290,480

 

 

 

OMEGA FINL CORP

 

COM

 

17,000

 

 

 

542,640

 

 

 

OMEGA HEALTHCARE INVESTORS

 

REAL ESTATE

 

65,200

 

 

 

1,155,344

 

 

 

OMNICARE INC

 

COM

 

123,500

 

 

 

4,770,805

 

 

 

OMNICELL INC

 

COM

 

25,000

 

 

 

465,750

 

 

 

OMNIVISION TECHNOLOGIES INC

 

COM

 

58,600

 

 

 

799,890

 

 

 

OMNOVA SOLUTIONS INC

 

COM

 

36,200

 

 

 

165,796

 

 

 

ON ASSIGNMENT INC

 

COM

 

22,900

 

 

 

269,075

 

 

 

ON SEMICONDUCTOR CORP

 

COM

 

188,600

 

 

 

1,427,702

 

 

 

ONEOK INC NEW

 

COM

 

118,382

 

 

 

5,104,632

 

 

 

ONLINE RES CORP

 

COM

 

29,930

 

 

 

305,585

 

 

 

ONYX PHARMACEUTICALS INC

 

COM

 

38,900

 

 

 

411,562

 

 

 

OPEN SOLUTIONS INC

 

COM

 

22,400

 

 

 

843,136

 

 

 

OPENWAVE SYS INC

 

COM NEW

 

92,599

 

 

 

854,689

 

 

 

OPLINK COMMUNICATIONS INC

 

COM NEW

 

17,242

 

 

 

354,496

 

 

 

OPSWARE INC

 

COM

 

61,100

 

 

 

538,902

 

 

 

OPTICAL COMMUNICATION PRODS

 

CL A

 

16,100

 

 

 

26,404

 

 

 

OPTION CARE INC

 

COM

 

30,325

 

 

 

432,131

 

 

 

OPTIONSXPRESS HLDGS INC

 

COM

 

16,700

 

 

 

378,923

 

 

 

ORASURE TECHNOLOGIES INC

 

COM

 

50,010

 

 

 

413,083

 

 

 

ORBITAL SCIENCES CORP

 

A COM

 

66,200

 

 

 

1,220,728

 

 

 

OREGON STL MLS INC

 

COM

 

37,400

 

 

 

2,334,134

 

 

 

ORIENTAL FINL GROUP INC

 

COM

 

30,462

 

 

 

394,483

 

 

 

ORLEANS HOMEBUILDERS INC

 

COM

 

3,900

 

 

 

73,320

 

 

 

ORMAT TECHNOLOGIES INC

 

COM

 

8,900

 

 

 

327,698

 

 

 

OSHKOSH TRUCK CORP

 

COM

 

72,900

 

 

 

3,529,818

 

 

 

OSI PHARMACEUTICALS INC

 

COM

 

57,635

 

 

 

2,016,072

 

 

 

OSI RESTAURANT PARTNERS INC

 

COM

 

66,900

 

 

 

2,622,480

 

 

 

OSI SYS INC

 

COM

 

16,100

 

 

 

336,973

 

 

 

OTTER TAIL CORP

 

COM

 

30,900

 

 

 

962,844

 

 

 

OUTDOOR CHANNEL HLDGS INC

 

COM NEW

 

12,400

 

 

 

159,092

 

 

 

OVERSEAS SHIPHOLDING GROUP INC

 

COM

 

31,100

 

 

 

1,750,930

 

 

 

OVERSTOCK COM INC DEL

 

COM

 

14,200

 

 

 

224,360

 

 

 

OWENS + MINOR INC NEW

 

COM

 

41,900

 

 

 

1,310,213

 

 



 

 

 

OWENS ILL INC

 

COM NEW

 

160,800

 

 

 

2,966,760

 

 

 

OXFORD INDS INC

 

COM

 

15,700

 

 

 

779,505

 

 

 

P A M TRANSN SVCS INC

 

COM

 

7,490

 

 

 

164,930

 

 

 

P F CHANGS CHINA BISTRO INC

 

COM

 

28,000

 

 

 

1,074,640

 

 

 

PACER INTL INC TN

 

COM

 

40,800

 

 

 

1,214,616

 

 

 

PACIFIC CAP BANCORP NEW

 

COM

 

52,300

 

 

 

1,756,234

 

 

 

PACIFIC ETHANOL INC

 

COM

 

20,125

 

 

 

309,724

 

 

 

PACIFIC SUNWEAR OF CALIF

 

COM

 

72,762

 

 

 

1,424,680

 

 

 

PACKAGING CORP AMER

 

COM

 

80,900

 

 

 

1,787,890

 

 

 

PACKETEER INC

 

COM

 

30,435

 

 

 

413,916

 

 

 

PAIN THERAPEUTICS INC

 

COM

 

31,200

 

 

 

277,680

 

 

 

PALM HBR HOMES INC

 

COM

 

10,500

 

 

 

147,210

 

 

 

PALM INC NEW

 

COM

 

87,600

 

 

 

1,234,284

 

 

 

PALOMAR MED TECHNOLOGIES INC

 

COM NEW

 

19,200

 

 

 

972,864

 

 

 

PANACOS PHARMACEUTICALS INC

 

COM

 

44,700

 

 

 

179,247

 

 

 

PANERA BREAD CO

 

CL A

 

30,100

 

 

 

1,682,891

 

 

 

PANTRY INC

 

COM

 

22,400

 

 

 

1,049,216

 

 

 

PAPA JOHNS INTL INC

 

COM

 

25,900

 

 

 

751,359

 

 

 

PAR PHARMACEUTICAL COS INC

 

COM

 

33,100

 

 

 

740,447

 

 

 

PARALLEL PETE CORP DEL

 

COM

 

42,730

 

 

 

750,766

 

 

 

PAREXEL INTL CORP

 

COM

 

32,000

 

 

 

927,040

 

 

 

PARK ELECTROCHEMICAL CORP

 

COM

 

22,350

 

 

 

573,278

 

 

 

PARK NATL CORP

 

COM

 

11,737

 

 

 

1,161,963

 

 

 

PARKER DRILLING CO

 

COM

 

106,600

 

 

 

870,922

 

 

 

PARKERVISION INC

 

COM

 

1,500

 

 

 

16,725

 

 

 

PARKWAY PPTYS INC

 

COM

 

15,142

 

 

 

772,393

 

 

 

PARLUX FRAGRANCES INC

 

COM

 

16,600

 

 

 

92,462

 

 

 

PARTNERS TR FINL GROUP INC NEW

 

COM

 

53,226

 

 

 

619,551

 

 

 

PATHMARK STORES INC NEW

 

COM

 

54,800

 

 

 

611,020

 

 

 

PATTERSON UTI ENERGY INC

 

COM

 

172,500

 

 

 

4,007,175

 

 

 

PAXAR CORP

 

COM

 

37,900

 

 

 

873,974

 

 

 

PAYLESS SHOESOURCE INC

 

COM

 

72,330

 

 

 

2,373,871

 

 

 

PDF SOLUTIONS INC

 

COM

 

18,600

 

 

 

268,770

 

 

 

PDL BIOPHARMA INC

 

COM

 

117,100

 

 

 

2,358,394

 

 

 

PEDIATRIX MED GROUP

 

COM

 

53,000

 

 

 

2,591,700

 

 

 

PEETS COFFEE AND TEA INC

 

COM

 

13,400

 

 

 

351,616

 

 

 

PEGASYSTEMS INC

 

COM

 

12,400

 

 

 

122,388

 

 

 

PENN NATL GAMING INC

 

COM

 

73,700

 

 

 

3,067,394

 

 

 

PENN VA CORP

 

COM

 

18,900

 

 

 

1,323,756

 

 

 

PENNFED FINL SVCX INC

 

COM

 

11,200

 

 

 

216,384

 

 

 

PENNSYLVANIA REAL ESTATE INVT

 

SH BEN INT

 

36,518

 

 

 

1,438,079

 

 

 

PENTAIR INC

 

COM

 

103,400

 

 

 

3,246,760

 

 

 

PENWEST PHARMACEUTICALS CO

 

COM

 

20,605

 

 

 

342,455

 

 

 

PEOPLES BANCORP INC

 

COM

 

12,495

 

 

 

371,102

 

 

 

PEOPLES BK BRIDGEPORT CONN

 

COM

 

58,573

 

 

 

2,613,527

 

 

 

PEOPLESUPPORT INC

 

COM

 

16,200

 

 

 

341,010

 

 

 

PEP BOYS MANNY MOE + JACK

 

COM

 

52,480

 

 

 

779,853

 

 

 

PEPCO HLDGS INC

 

COM

 

192,176

 

 

 

4,998,498

 

 

 

PEPSIAMERICAS INC

 

COM

 

65,084

 

 

 

1,365,462

 

 

 

PER SE TECHNOLOGIES INC

 

COM NEW

 

37,965

 

 

 

1,054,668

 

 

 

PEREGRINE PHARMACEUTICALS INC

 

COM

 

156,800

 

 

 

181,888

 

 

 

PERFICIENT INC

 

COM

 

18,400

 

 

 

301,944

 

 

 

PERFORMANCE FOOD GROUP CO

 

COM

 

38,700

 

 

 

1,069,668

 

 

 

PERICOM SEMICONDUCTOR CORP

 

COM

 

26,100

 

 

 

299,367

 

 

 

PERINI CORP

 

COM

 

18,500

 

 

 

569,430

 

 

 

PEROT SYS CORP

 

CDT CL A

 

89,400

 

 

 

1,465,266

 

 

 

PERRIGO CO

 

COM

 

79,700

 

 

 

1,378,810

 

 

 

PETMED EXPRESS COM INC

 

COM

 

16,500

 

 

 

220,275

 

 

 

PETROHAWK ENERGY CORP

 

COM

 

143,444

 

 

 

1,649,606

 

 

 

PETROLEUM DEV CORP

 

COM

 

17,700

 

 

 

761,985

 

 

 

PETROQUEST ENERGY INC

 

COM

 

48,065

 

 

 

612,348

 

 

 

PETSMART INC

 

COM

 

141,400

 

 

 

4,080,804

 

 

 

PFF BANCORP INC

 

COM

 

22,580

 

 

 

779,236

 

 

 

PHARMACEUTICAL PROD DEV INC

 

COM

 

101,300

 

 

 

3,263,886

 

 

 

PHARMANET DEV GROUP INC

 

COM

 

20,000

 

 

 

441,400

 

 

 

PHARMION CORP

 

COM

 

18,000

 

 

 

463,320

 

 

 

PHASE FORWARD INC

 

COM

 

22,500

 

 

 

337,050

 

 

 

PHH CORP

 

COM NEW

 

54,400

 

 

 

1,570,528

 

 

 

PHI INC

 

COM NON VTG

 

12,900

 

 

 

422,217

 

 

 

PHILADELPHIA CONS HLDG CORP

 

COM

 

56,700

 

 

 

2,526,552

 

 

 

PHILLIPS VAN HEUSEN CORP

 

COM

 

58,357

 

 

 

2,927,771

 

 

 

PHOENIX COS INC NEW

 

COM

 

121,800

 

 

 

1,935,402

 

 

 

PHOTON DYNAMICS INC

 

COM

 

19,850

 

 

 

232,047

 

 



 

 

 

PHOTRONICS INC

 

COM

 

42,800

 

 

 

699,352

 

 

 

PICO HLDGS INC

 

COM NEW

 

12,400

 

 

 

431,148

 

 

 

PIEDMONT NAT GAS INC

 

COM

 

81,400

 

 

 

2,177,450

 

 

 

PIER 1 IMPORTS INC

 

COM

 

102,550

 

 

 

610,173

 

 

 

PIKE ELEC CORP

 

COM

 

14,700

 

 

 

240,051

 

 

 

PILGRIMS PRIDE CORP

 

COM

 

39,800

 

 

 

1,171,314

 

 

 

PINNACLE ENTMT INC

 

COM

 

51,800

 

 

 

1,716,652

 

 

 

PINNACLE FINL PARTNERS INC

 

COM

 

9,560

 

 

 

317,201

 

 

 

PIONEER COS INC

 

COM NEW

 

11,485

 

 

 

329,160

 

 

 

PIONEER DRILLING CO

 

COM

 

48,705

 

 

 

646,802

 

 

 

PIONEER NAT RES CO

 

COM

 

130,655

 

 

 

5,185,697

 

 

 

PIPER JAFFRAY COS

 

COM

 

23,000

 

 

 

1,498,450

 

 

 

PLACER SIERRA BANCSHARES

 

COM

 

5,308

 

 

 

126,171

 

 

 

PLAINS EXPL + PRODTN CO

 

COM

 

81,621

 

 

 

3,879,446

 

 

 

PLANTRONICS INC NEW

 

COM

 

50,300

 

 

 

1,066,360

 

 

 

PLAYBOY ENTERPRISES INC

 

COM CL B

 

29,200

 

 

 

334,632

 

 

 

PLAYTEX PRODS INC

 

COM

 

43,900

 

 

 

631,721

 

 

 

PLEXUS CORP

 

COM

 

46,600

 

 

 

1,112,808

 

 

 

PLUG PWR INC

 

COM

 

33,742

 

 

 

131,256

 

 

 

PLX TECHNOLOGY INC

 

COM

 

29,400

 

 

 

383,376

 

 

 

PMA CAP CORP

 

CL A

 

27,300

 

 

 

251,706

 

 

 

PMI GROUP INC

 

COM

 

81,500

 

 

 

3,844,355

 

 

 

PNM RES INC

 

COM

 

68,050

 

 

 

2,116,355

 

 

 

POGO PRODUCING CO

 

COM

 

56,600

 

 

 

2,741,704

 

 

 

POLARIS INDS INC

 

COM

 

42,587

 

 

 

1,994,349

 

 

 

POLO RALPH LAUREN CORP

 

CL A

 

61,700

 

 

 

4,791,622

 

 

 

POLYCOM INC

 

COM

 

91,142

 

 

 

2,817,199

 

 

 

POLYMEDICA CORP

 

COM

 

24,753

 

 

 

1,000,269

 

 

 

POLYONE CORP

 

COM

 

113,125

 

 

 

848,438

 

 

 

POOL CORP

 

COM

 

56,374

 

 

 

2,208,170

 

 

 

POPULAR INC

 

COM

 

284,247

 

 

 

5,102,234

 

 

 

PORTALPLAYER INC

 

COM

 

12,600

 

 

 

169,470

 

 

 

PORTFOLIO RECOVERY ASSOCS INC

 

COM

 

15,400

 

 

 

719,026

 

 

 

PORTLAND GEN ELEC CO

 

COM

 

26,000

 

 

 

708,500

 

 

 

POST PPTYS INC

 

COM

 

44,200

 

 

 

2,019,940

 

 

 

POTLATCH CORP NEW

 

COM

 

39,305

 

 

 

1,722,345

 

 

 

POWELL INDS INC

 

COM

 

10,800

 

 

 

340,956

 

 

 

POWER ONE INC

 

COM

 

60,000

 

 

 

436,800

 

 

 

POWERWAVE TECHNOLOGIES INC

 

COM

 

113,410

 

 

 

731,495

 

 

 

POZEN INC

 

COM

 

28,200

 

 

 

479,118

 

 

 

PRA INTL

 

COM

 

17,820

 

 

 

450,311

 

 

 

PRE PAID LEGAL SVCS INC

 

COM

 

11,900

 

 

 

465,647

 

 

 

PRECISION CASTPARTS CORP

 

COM

 

136,830

 

 

 

10,711,052

 

 

 

PREFERRED BK LOS ANGELES CA

 

COM

 

1,800

 

 

 

108,162

 

 

 

PREMIERE GLOBAL SVCS INC

 

COM

 

82,000

 

 

 

774,080

 

 

 

PREMIERWEST BANCORP

 

COM

 

18,398

 

 

 

293,632

 

 

 

PREMIUM STD FARMS INC

 

COM

 

13,800

 

 

 

256,266

 

 

 

PRESIDENTIAL LIFE CORP

 

COM

 

20,300

 

 

 

445,585

 

 

 

PRESSTEK INC

 

COM

 

40,900

 

 

 

260,124

 

 

 

PRESTIGE BRANDS HLDGS INC

 

COM

 

30,800

 

 

 

401,016

 

 

 

PRICELINE COM INC

 

COM NEW

 

24,932

 

 

 

1,087,285

 

 

 

PRIDE INTERNATIONAL INC

 

COM

 

162,500

 

 

 

4,876,625

 

 

 

PRIMEDIA INC

 

COM

 

148,063

 

 

 

250,226

 

 

 

PRIVATEBANKCORP INC

 

COM

 

17,400

 

 

 

724,362

 

 

 

PROASSURANCE CORP

 

COM

 

34,370

 

 

 

1,715,750

 

 

 

PROGENICS PHAARMACEUTICALS INC

 

COM

 

22,105

 

 

 

568,983

 

 

 

PROGRESS SOFTWARE CORP

 

COM

 

47,500

 

 

 

1,326,675

 

 

 

PROGRESSIVE GAMING INTL CORP

 

COM

 

34,685

 

 

 

314,593

 

 

 

PROQUEST COMPANY

 

COM

 

26,300

 

 

 

274,835

 

 

 

PROSPERITY BANCSHARES INC

 

COM

 

28,300

 

 

 

976,633

 

 

 

PROTECTIVE LIFE CORP

 

COM

 

69,700

 

 

 

3,310,750

 

 

 

PROVIDENCE SVC CORP

 

COM

 

14,755

 

 

 

370,793

 

 

 

PROVIDENT BANKSHARES CORP

 

COM

 

32,604

 

 

 

1,160,702

 

 

 

PROVIDENT FINACIAL SERVICES

 

COM

 

78,110

 

 

 

1,416,134

 

 

 

PROVIDENT NEW YORK BANCORP

 

COM

 

42,999

 

 

 

644,125

 

 

 

PS BUSINESS PKS INC CA

 

COM

 

15,700

 

 

 

1,110,147

 

 

 

PSS WORLD MED INC

 

COM

 

66,300

 

 

 

1,294,839

 

 

 

PSYCHIATRIC SOLUTIONS INC

 

COM

 

52,276

 

 

 

1,961,396

 

 

 

PUGET ENERGY INC

 

COM

 

120,200

 

 

 

3,048,272

 

 

 

PW EAGLE INC

 

COM

 

9,500

 

 

 

327,750

 

 

 

QAD INC

 

COM

 

13,600

 

 

 

114,104

 

 

 

QUALITY SYSTEMS

 

COM

 

17,300

 

 

 

644,771

 

 

 

QUANEX CORP

 

COM

 

41,055

 

 

 

1,420,092

 

 



 

 

 

QUANTA SERVICES INC

 

COM

 

109,894

 

 

 

2,161,615

 

 

 

QUANTUM CORP

 

DSSG COM

 

179,300

 

 

 

415,976

 

 

 

QUANTUM FUEL SYS TECHN WORLDWI

 

COM

 

58,835

 

 

 

94,136

 

 

 

QUEST RESOURCE CORP

 

COM NEW

 

17,400

 

 

 

175,740

 

 

 

QUEST SOFTWARE INC

 

COM

 

65,300

 

 

 

956,645

 

 

 

QUICKSILVER RES INC

 

COM

 

62,750

 

 

 

2,296,023

 

 

 

QUIDEL CORP

 

COM

 

32,638

 

 

 

444,530

 

 

 

QUIKSILVER INC

 

COM

 

133,700

 

 

 

2,105,775

 

 

 

R + G FINANCIAL CORP

 

CL B

 

34,150

 

 

 

261,248

 

 

 

RACKABLE SYS INC

 

COM

 

30,400

 

 

 

941,488

 

 

 

RADIAN GROUP INC

 

COM

 

83,280

 

 

 

4,489,625

 

 

 

RADIANT SYS INC

 

COM

 

28,175

 

 

 

294,147

 

 

 

RADIATION THERAPY SVCS INC

 

COM

 

8,800

 

 

 

277,376

 

 

 

RADIO ONE INC

 

NON VTG CL D

 

96,600

 

 

 

651,084

 

 

 

RADISYS CORP

 

COM

 

23,150

 

 

 

385,911

 

 

 

RADYNE COMSTREAM INC

 

COM

 

1,900

 

 

 

20,406

 

 

 

RAILAMERICA INC

 

COM

 

49,600

 

 

 

797,568

 

 

 

RAIT FINANCIAL TRUST

 

COM

 

28,200

 

 

 

972,336

 

 

 

RALCORP HLDGS INC NEW

 

COM

 

26,850

 

 

 

1,366,397

 

 

 

RAMBUS INC DEL

 

COM

 

88,100

 

 

 

1,667,733

 

 

 

RAMCO GERSHENSON PPTYS TR

 

COM SH BEN INT

 

19,100

 

 

 

728,474

 

 

 

RANGE RES CORP

 

COM

 

136,850

 

 

 

3,757,901

 

 

 

RARE HOSPITALITY INTL INC

 

COM

 

40,974

 

 

 

1,349,274

 

 

 

RAVEN INDS INC

 

COM

 

18,400

 

 

 

493,120

 

 

 

RAYMOND JAMES FINANCIAL INC

 

COM

 

93,612

 

 

 

2,837,380

 

 

 

RAYONIER INC

 

COM

 

80,986

 

 

 

3,324,475

 

 

 

RBC BEARINGS INC

 

COM

 

20,600

 

 

 

590,396

 

 

 

RC2 CORP

 

COM

 

16,900

 

 

 

743,600

 

 

 

RCN CORP

 

COM NEW

 

28,300

 

 

 

853,245

 

 

 

READERS DIGEST ASSN INC

 

COM

 

95,400

 

 

 

1,593,180

 

 

 

REALNETWORKS INC

 

COM

 

113,800

 

 

 

1,244,972

 

 

 

REALTY INCOME CORP

 

COM

 

98,800

 

 

 

2,736,760

 

 

 

RECKSON ASSOCS RLTY CORP

 

COM

 

86,800

 

 

 

3,958,080

 

 

 

RED HAT INC

 

COM

 

185,700

 

 

 

4,271,100

 

 

 

RED ROBIN GOURMET BURGERS INC

 

COM

 

12,000

 

 

 

430,200

 

 

 

REDBACK NETWORKS INC

 

COM NEW

 

59,965

 

 

 

1,495,527

 

 

 

REDDY ICE HLDGS INC

 

COM

 

12,400

 

 

 

320,168

 

 

 

REDWOOD TR INC.

 

COM

 

21,800

 

 

 

1,266,144

 

 

 

REGAL BELOIT CORP

 

COM

 

32,900

 

 

 

1,727,579

 

 

 

REGAL ENTMT GROUP

 

CL A

 

62,300

 

 

 

1,328,236

 

 

 

REGENCY CTRS CORP

 

COM

 

68,780

 

 

 

5,376,533

 

 

 

REGENERON PHARMACEUTICALS INC

 

COM

 

44,600

 

 

 

895,122

 

 

 

REGIS CORP MINNESOTA

 

COM

 

47,235

 

 

 

1,867,672

 

 

 

REHABCARE GROUP INC

 

COM

 

18,700

 

 

 

277,695

 

 

 

REINSURANCE GROUP AMER INC

 

COM

 

30,875

 

 

 

1,719,738

 

 

 

RELIANCE STL + ALUM CO

 

COM

 

69,842

 

 

 

2,750,378

 

 

 

RELIANT ENERGY INC

 

COM

 

309,961

 

 

 

4,404,546

 

 

 

RENAISSANCE LEARNING INC

 

COM

 

9,500

 

 

 

168,435

 

 

 

RENASANT CORP

 

COM

 

19,875

 

 

 

608,771

 

 

 

RENOVIS INC

 

COM

 

24,900

 

 

 

78,684

 

 

 

RENT A CTR INC NEW

 

COM

 

77,350

 

 

 

2,282,599

 

 

 

RENTECH INC

 

COM

 

132,600

 

 

 

499,902

 

 

 

REPUBLIC AWYS HLDGS INC

 

COM

 

30,900

 

 

 

518,502

 

 

 

REPUBLIC BANCORP INC

 

COM

 

72,609

 

 

 

977,317

 

 

 

REPUBLIC BANCORP INC KY

 

CDT CL A

 

12,848

 

 

 

322,356

 

 

 

REPUBLIC PPTY TR

 

COM

 

27,000

 

 

 

311,580

 

 

 

REPUBLIC SVCS INC

 

COM

 

120,055

 

 

 

4,882,637

 

 

 

RES CARE INC

 

COM

 

26,300

 

 

 

477,345

 

 

 

RESMED INC

 

COM

 

76,150

 

 

 

3,748,103

 

 

 

RESOURCE AMER INC

 

COM NEW

 

16,700

 

 

 

440,880

 

 

 

RESOURCES CONNECTION INC

 

COM

 

48,600

 

 

 

1,547,424

 

 

 

RESPIRONICS INC

 

COM

 

73,500

 

 

 

2,774,625

 

 

 

RESTORATION HARDWARE INC DEL

 

COM

 

47,300

 

 

 

402,523

 

 

 

RETAIL VENTURES INC

 

COM

 

16,000

 

 

 

304,640

 

 

 

REVLON INC

 

CL A

 

171,121

 

 

 

219,035

 

 

 

REVLON INC

 

SUBSRIPTION RT EXP 19JAN07

 

171,121

 

 

 

8,556

 

 

 

RF MICRO DEVICES INC

 

COM

 

213,140

 

 

 

1,447,221

 

 

 

RH DONNELLEY CORP

 

COM NEW

 

67,370

 

 

 

4,226,120

 

 

 

RIGEL PHARMACEUTICALS INC

 

COM NEW

 

21,700

 

 

 

257,579

 

 

 

RIGHTNOW TECHNOLOGIES INC

 

COM

 

12,000

 

 

 

206,640

 

 

 

RITE AID CORP

 

COM

 

529,700

 

 

 

2,881,568

 

 

 

RLI CORP

 

COM

 

25,800

 

 

 

1,455,636

 

 

 

ROBBINS + MYERS INC

 

COM

 

10,600

 

 

 

486,752

 

 



 

 

 

ROCK TENN CO

 

COM CL A

 

28,600

 

 

 

775,346

 

 

 

ROCKWOOD HLDGS INC

 

COM

 

34,200

 

 

 

863,892

 

 

 

ROFIN SINAR TECHNOLOGIES INC

 

COM

 

18,100

 

 

 

1,094,326

 

 

 

ROGERS CORP

 

COM

 

19,100

 

 

 

1,129,765

 

 

 

ROLLINS INC

 

COM

 

32,550

 

 

 

719,681

 

 

 

ROPER INDS

 

COM

 

91,500

 

 

 

4,596,960

 

 

 

ROSETTA RES INC

 

COM

 

54,000

 

 

 

1,008,180

 

 

 

ROSS STORES INC

 

COM

 

142,600

 

 

 

4,178,180

 

 

 

ROYAL BANCSHARES PA INC

 

CL A

 

1,803

 

 

 

47,379

 

 

 

ROYAL GOLD INC

 

COM

 

22,900

 

 

 

823,942

 

 

 

RPC INC

 

COM

 

33,075

 

 

 

558,306

 

 

 

RPM INTL INC

 

COM

 

118,700

 

 

 

2,479,643

 

 

 

RTI INTL METALS INC

 

COM

 

23,900

 

 

 

1,869,458

 

 

 

RUBY TUESDAY INC

 

COM

 

58,400

 

 

 

1,602,496

 

 

 

RUDDICK CORP

 

COM

 

37,100

 

 

 

1,029,525

 

 

 

RUDOLPH TECHNOLOGIES INC

 

COM

 

28,906

 

 

 

460,184

 

 

 

RUSH ENTERPRISES INC

 

CL A

 

16,615

 

 

 

281,126

 

 

 

RUSS BERRIE + CO INC

 

COM

 

17,900

 

 

 

276,555

 

 

 

RUSSELL E MINI 2000 INDEX FTRS

 

7-Mar-07

 

34,200

 

 

 

—

 

 

 

RUTHS CHRIS STEAK HSE INC

 

COM

 

14,858

 

 

 

271,604

 

 

 

RYERSON INC

 

COM

 

26,900

 

 

 

674,921

 

 

 

RYLAND GROUP INC

 

COM

 

46,600

 

 

 

2,545,292

 

 

 

S + P MID 400 EMINI INDEX FTRS

 

7-Mar-07

 

34,900

 

 

 

—

 

 

 

S + T BANCORP INC

 

COM

 

32,300

 

 

 

1,119,841

 

 

 

S Y BANCORP INC

 

COM

 

17,010

 

 

 

476,280

 

 

 

S1 CORP

 

COM

 

88,010

 

 

 

484,935

 

 

 

SAFEGUARD SCIENTIFICS INC

 

COM

 

106,000

 

 

 

256,520

 

 

 

SAFENET INC

 

COM

 

23,524

 

 

 

563,165

 

 

 

SAFETY INS GROUP INC

 

COM

 

15,600

 

 

 

791,076

 

 

 

SAIA INC

 

COM

 

14,650

 

 

 

340,027

 

 

 

SAIC INC

 

COM

 

87,500

 

 

 

1,556,625

 

 

 

SAKS INC

 

COM

 

133,550

 

 

 

2,379,861

 

 

 

SALEM COMMUNICATIONS CORP DEL

 

CL A

 

9,800

 

 

 

117,110

 

 

 

SALESFORCE COM INC

 

COM

 

81,000

 

 

 

2,952,450

 

 

 

SALIX PHARMACEUTICALS LTD

 

COM

 

47,550

 

 

 

578,684

 

 

 

SALLY BEAUTY HLDGS INC

 

COM

 

70,000

 

 

 

546,000

 

 

 

SANDERS MORRIS HARIS GROUP INC

 

COM

 

10,207

 

 

 

130,343

 

 

 

SANDERSON FARMS INC

 

COM

 

20,750

 

 

 

628,518

 

 

 

SANDY SPRING BANCORP INC

 

CMT COM

 

19,350

 

 

 

738,783

 

 

 

SANTANDER BANCORP

 

COM

 

7,066

 

 

 

126,128

 

 

 

SANTARUS INC

 

COM

 

41,200

 

 

 

322,596

 

 

 

SAPIENT CORP

 

COM

 

96,500

 

 

 

529,785

 

 

 

SAUER DANFOSS INC

 

COM

 

11,500

 

 

 

370,875

 

 

 

SAUL CTRS INC

 

COM

 

13,335

 

 

 

735,959

 

 

 

SAVIENT PHARMACEUTICALS INC

 

COM

 

64,836

 

 

 

726,812

 

 

 

SAVVIS INC

 

COM NEW

 

32,400

 

 

 

1,157,004

 

 

 

SBA COMMUNCATIONS CORP

 

COM

 

112,000

 

 

 

3,080,000

 

 

 

SCANA CORP NEW

 

COM

 

117,606

 

 

 

4,777,156

 

 

 

SCANSOURCE INC

 

COM

 

26,400

 

 

 

802,560

 

 

 

SCBT FINL CORP

 

COM

 

8,736

 

 

 

364,553

 

 

 

SCHAWK INC

 

CL A

 

10,700

 

 

 

209,078

 

 

 

SCHEIN HENRY INC

 

COM

 

90,700

 

 

 

4,442,486

 

 

 

SCHNITZER STL INDS INC

 

CL A

 

26,534

 

 

 

1,053,400

 

 

 

SCHOLASTIC CORP

 

COM

 

40,300

 

 

 

1,444,352

 

 

 

SCHOOL SPECIALTY INC

 

COM

 

22,346

 

 

 

837,752

 

 

 

SCHULMAN A INC

 

COM

 

29,200

 

 

 

649,700

 

 

 

SCHWEITZER MAUDUIT INTL INC

 

COM

 

18,600

 

 

 

484,530

 

 

 

SCIELE PHARMA INC

 

COM

 

30,695

 

 

 

736,680

 

 

 

SCIENTIFIC GAMES CORP

 

CL A

 

65,900

 

 

 

1,992,157

 

 

 

SCORE BRD INC

 

COM NEW

 

137

 

 

 

0

 

 

 

SCOTTS MIRACLE GRO CO

 

CL A

 

50,400

 

 

 

2,603,160

 

 

 

SCPIE HLDGS INC

 

COM

 

2,800

 

 

 

73,192

 

 

 

SEABORD CORP DEL

 

COM

 

420

 

 

 

741,300

 

 

 

SEABRIGHT INS HLDGS INC

 

COM

 

13,800

 

 

 

248,538

 

 

 

SEACOAST BKG CORP FLA

 

COM

 

18,480

 

 

 

458,304

 

 

 

SEACOR HLDGS INC

 

COM

 

20,562

 

 

 

2,038,517

 

 

 

SEALY CORP

 

COM

 

17,700

 

 

 

261,075

 

 

 

SECURE COMPUTING CORP

 

COM

 

47,269

 

 

 

310,085

 

 

 

SECURITY BK CORP

 

COM

 

7,696

 

 

 

175,623

 

 

 

SEI INVESTMENTS CO

 

COM

 

65,100

 

 

 

3,877,356

 

 

 

SELECT COMFORT CORP

 

OC CAP STK

 

58,300

 

 

 

1,013,837

 

 

 

SELECTIVE INS GROUP INC

 

COM

 

27,700

 

 

 

1,586,933

 

 

 

SEMITOOL INC

 

COM

 

20,400

 

 

 

271,524

 

 



 

 

 

SEMTECH CORP

 

COM

 

72,900

 

 

 

952,803

 

 

 

SENIOR HSG PPTSY TR

 

SH BEN INT

 

62,590

 

 

 

1,532,203

 

 

 

SENOMYX INC

 

COM

 

17,285

 

 

 

224,532

 

 

 

SENSIENT TECHNOLOGIES CORP

 

COM

 

45,400

 

 

 

1,116,840

 

 

 

SEPRACOR INC

 

COM

 

110,000

 

 

 

6,773,800

 

 

 

SEQUA CORP

 

CL A

 

5,900

 

 

 

678,854

 

 

 

SERVICE CORP INTL

 

COM

 

308,720

 

 

 

3,164,380

 

 

 

SERVICE MASTER COMPANY

 

COM

 

304,400

 

 

 

3,990,684

 

 

 

SHAW GROUP INC

 

COM

 

82,600

 

 

 

2,767,100

 

 

 

SHENANDOAH TELECOMMUNICATIONS

 

CDT COM

 

7,400

 

 

 

347,874

 

 

 

SHOE CARNIVAL INC

 

COM

 

9,400

 

 

 

297,040

 

 

 

SHORE BANCSHARES INC

 

COM

 

7,300

 

 

 

220,168

 

 

 

SHUFFLE MASTER INC

 

COM

 

39,325

 

 

 

1,030,315

 

 

 

SI INTL INC

 

COM

 

8,935

 

 

 

289,673

 

 

 

SIERRA BANCORP

 

COM

 

3,700

 

 

 

108,558

 

 

 

SIERRA HEALTH SVCS INC

 

COM

 

57,700

 

 

 

2,079,508

 

 

 

SIERRA PAC RES NEW

 

COM

 

217,200

 

 

 

3,655,476

 

 

 

SIGMA DESIGNS

 

COM

 

21,447

 

 

 

545,826

 

 

 

SIGNATURE BK NEW YORK NY

 

COM

 

28,800

 

 

 

892,224

 

 

 

SILGAN HLDGS INC

 

COM

 

26,000

 

 

 

1,141,920

 

 

 

SILICON IMAGE INC

 

COM

 

91,000

 

 

 

1,157,520

 

 

 

SILICON LABORATORIES INC

 

OC COM

 

50,700

 

 

 

1,756,755

 

 

 

SILICON STORAGE TECHNOLOGY INC

 

COM

 

95,300

 

 

 

429,803

 

 

 

SIMMONS 1ST NATL CORP

 

CL A 5 PAR

 

16,200

 

 

 

511,110

 

 

 

SIMPSON MFG INC

 

COM

 

37,900

 

 

 

1,199,535

 

 

 

SINCLAIR BROADCAST GROUP INC

 

CL A

 

47,600

 

 

 

499,800

 

 

 

SIRENZA MICRODEVICES INC

 

COM

 

22,200

 

 

 

174,492

 

 

 

SIRF TECHNOLOGY HLDGS INC

 

COM

 

51,100

 

 

 

1,304,072

 

 

 

SIRIUS SATELLITE RADIO INC

 

COM

 

1,419,900

 

 

 

5,026,446

 

 

 

SIRNA THERAPEUTICS INC

 

COM

 

41,300

 

 

 

537,313

 

 

 

SIRONA DENTAL SYS INC

 

COM

 

16,100

 

 

 

620,011

 

 

 

SIRVA INC

 

COM

 

21,400

 

 

 

74,472

 

 

 

SITEL CORP

 

COM

 

51,100

 

 

 

215,642

 

 

 

SIX FLAGS INC

 

COM

 

86,700

 

 

 

454,308

 

 

 

SJW CORP

 

COM

 

14,200

 

 

 

550,392

 

 

 

SKECHERS U S A INC

 

CL A

 

9,400

 

 

 

313,114

 

 

 

SKY FINL GROUP INC

 

COM

 

101,015

 

 

 

2,882,968

 

 

 

SKYLINE CORP

 

COM

 

4,900

 

 

 

197,078

 

 

 

SKYWEST INC

 

COM

 

67,800

 

 

 

1,729,578

 

 

 

SKYWORKS SOLUTIONS INC

 

COM

 

161,086

 

 

 

1,140,489

 

 

 

SL GREEN RLTY CORP

 

COM

 

47,000

 

 

 

6,240,660

 

 

 

SMART + FINAL INC

 

COM

 

16,800

 

 

 

317,520

 

 

 

SMITH + WESSON HLDG CORP

 

COM

 

29,300

 

 

 

302,962

 

 

 

SMITH A O CORP

 

COM

 

19,928

 

 

 

748,496

 

 

 

SMITH MICRO SOFTWARE INC

 

COM

 

19,364

 

 

 

274,775

 

 

 

SMITHFIELD FOODS INC

 

COM

 

97,850

 

 

 

2,510,831

 

 

 

SMITHTOWN BANCORP INC

 

COM

 

300

 

 

 

8,136

 

 

 

SMUCKER J M CO

 

COM NEW

 

57,865

 

 

 

2,804,717

 

 

 

SMURFIT STONE CONTAINER CORP

 

COM

 

267,910

 

 

 

2,829,130

 

 

 

SOHU COM INC

 

COM

 

28,500

 

 

 

684,000

 

 

 

SOLEXA INC

 

COM

 

23,700

 

 

 

311,655

 

 

 

SONIC AUTOMOTIVE INC

 

CL A

 

32,900

 

 

 

955,416

 

 

 

SONIC CORP

 

COM

 

74,953

 

 

 

1,795,124

 

 

 

SONIC SOLUTIONS

 

COM

 

21,800

 

 

 

355,340

 

 

 

SONICWALL INC

 

COM

 

66,300

 

 

 

558,246

 

 

 

SONOCO PRODS CO

 

COM

 

102,100

 

 

 

3,885,926

 

 

 

SONOSITE INC

 

COM

 

17,900

 

 

 

553,647

 

 

 

SONUS NETWORKS INC

 

COM

 

236,315

 

 

 

1,557,316

 

 

 

SOTHEBYS

 

CL A

 

62,400

 

 

 

1,935,648

 

 

 

SOURCE INTERLINK COS INC

 

COM NEW

 

32,326

 

 

 

263,780

 

 

 

SOUTH FINL GROUP INC

 

COM

 

77,060

 

 

 

2,049,025

 

 

 

SOUTH JERSEY INDS INC

 

COM

 

28,500

 

 

 

952,185

 

 

 

SOUTHERN COPPER CORP DEL

 

COM

 

13,150

 

 

 

708,654

 

 

 

SOUTHERN UN CO NEW

 

COM

 

100,543

 

 

 

2,810,177

 

 

 

SOUTHSIDE BANCSHARES INC

 

CMT COM

 

15,436

 

 

 

397,168

 

 

 

SOUTHWEST BANCORP INC OKLA

 

COM

 

18,000

 

 

 

501,480

 

 

 

SOUTHWEST GAS CORP

 

COM

 

40,900

 

 

 

1,569,333

 

 

 

SOUTHWEST WTR CO

 

COM

 

30,178

 

 

 

415,249

 

 

 

SOUTHWESTERN ENERGY CO

 

COM

 

171,000

 

 

 

5,993,550

 

 

 

SOVRAN SELF STORAGE INC

 

COM

 

17,002

 

 

 

973,875

 

 

 

SPANISH BROADCASTING SYS INC

 

CL A NEW

 

37,906

 

 

 

155,794

 

 

 

SPANSION INC

 

COM CL A

 

45,500

 

 

 

676,130

 

 

 

SPARTAN STORES INC

 

COM

 

26,058

 

 

 

545,394

 

 



 

 

 

SPARTECH CORP

 

COM NEW

 

34,825

 

 

 

913,112

 

 

 

SPECTRANETICS CORP

 

COM

 

35,894

 

 

 

405,243

 

 

 

SPECTRUM BRANDS INC

 

COM

 

35,400

 

 

 

385,860

 

 

 

SPEEDWAY MOTORSPORTSINC

 

COM

 

18,100

 

 

 

695,040

 

 

 

SPHERION CORP

 

COM

 

71,500

 

 

 

531,245

 

 

 

SPIRIT AEROSYSTEMS HLDGS INC

 

CL A

 

61,500

 

 

 

2,058,405

 

 

 

SPIRIT FIN CORP

 

COM

 

98,700

 

 

 

1,230,789

 

 

 

SPSS INC

 

COM

 

20,600

 

 

 

619,442

 

 

 

SPX CORP

 

COM

 

61,200

 

 

 

3,742,992

 

 

 

SRA INTL INC

 

CL A

 

34,000

 

 

 

909,160

 

 

 

ST JOE CO

 

COM

 

75,200

 

 

 

4,028,464

 

 

 

ST MARY LD + EXPL CO

 

COM

 

60,500

 

 

 

2,228,820

 

 

 

STAGE STORES INC

 

COM NEW

 

30,099

 

 

 

914,709

 

 

 

STAMPS COM INC

 

COM NEW

 

22,050

 

 

 

347,288

 

 

 

STANCORP FINL GROUP INC

 

COM

 

54,900

 

 

 

2,473,245

 

 

 

STANDARD MICROSYSTEMS CORP

 

COM

 

21,450

 

 

 

600,171

 

 

 

STANDARD PAC CORP NEW

 

COM

 

66,200

 

 

 

1,773,498

 

 

 

STANDARD REGISTER

 

COM

 

25,200

 

 

 

302,400

 

 

 

STANDEX INTL CORP

 

COM

 

12,300

 

 

 

370,599

 

 

 

STANLEY FURNITURE CO INC

 

COM NEW

 

15,100

 

 

 

323,895

 

 

 

STARTEK INC

 

COM

 

12,600

 

 

 

170,604

 

 

 

STATE AUTO FINL CORP

 

COM

 

16,300

 

 

 

566,099

 

 

 

STATE NATL BANCSHARES INC

 

CDT COM

 

9,700

 

 

 

373,353

 

 

 

STATION CASINOS INC

 

COM

 

50,950

 

 

 

4,161,087

 

 

 

STEEL DYNAMICS INC

 

COM

 

94,520

 

 

 

3,067,174

 

 

 

STEEL TECHNOLOGIES INC

 

COM

 

12,500

 

 

 

219,375

 

 

 

STEELCASE INC

 

CL A

 

71,200

 

 

 

1,292,992

 

 

 

STEIN MART INC

 

COM

 

33,200

 

 

 

440,232

 

 

 

STEINWAY MUSICAL INSTRS INC

 

ORD COM

 

4,900

 

 

 

152,145

 

 

 

STEPAN CHEM CO

 

COM

 

4,400

 

 

 

139,348

 

 

 

STEREOTAXIS INC

 

COM

 

20,500

 

 

 

211,560

 

 

 

STERICYCLE INC

 

COM

 

45,600

 

 

 

3,442,800

 

 

 

STERIS CORP

 

COM

 

67,200

 

 

 

1,691,424

 

 

 

STERLING BANCORP

 

COM(RTS CALLABLE THRU 03MAR99)

 

14,712

 

 

 

289,826

 

 

 

STERLING BANCSHARES INC

 

COM

 

69,075

 

 

 

899,357

 

 

 

STERLING CONSTR INC

 

COM

 

10,000

 

 

 

217,600

 

 

 

STERLING FINL CORP

 

COM

 

29,807

 

 

 

705,532

 

 

 

STERLING FINL CORP WASH

 

COM

 

38,485

 

 

 

1,301,178

 

 

 

STEWART ENTERPRISES INC

 

CL A

 

117,700

 

 

 

735,625

 

 

 

STEWART INFORMATION SVCS CORP

 

COM

 

18,000

 

 

 

780,480

 

 

 

STIFEL FINL CORP

 

COM

 

12,700

 

 

 

498,221

 

 

 

STILLWATER MNG CO

 

COM

 

43,043

 

 

 

537,607

 

 

 

STONE ENERGY CORP

 

COM

 

26,077

 

 

 

921,822

 

 

 

STRATASYS INC

 

COM

 

10,800

 

 

 

339,228

 

 

 

STRATEGIC HOTELS + RESORTS INC

 

COM

 

72,600

 

 

 

1,581,954

 

 

 

STRATEX NETWORKS INC

 

COM

 

88,800

 

 

 

428,904

 

 

 

STRAYER ED INC

 

COM

 

16,000

 

 

 

1,696,800

 

 

 

STRIDE RITE CORP

 

COM

 

47,200

 

 

 

711,776

 

 

 

STUDENT LN CORP

 

COM

 

4,400

 

 

 

912,120

 

 

 

SUFFOLK BANCORP

 

COM

 

13,000

 

 

 

495,690

 

 

 

SULPHCO INC

 

COM

 

30,700

 

 

 

144,904

 

 

 

SUN BANCORP INC N J

 

COM

 

11,545

 

 

 

243,253

 

 

 

SUN CMNTYS INC

 

COM

 

20,400

 

 

 

660,144

 

 

 

SUN HEALTHCARE GROUP INC

 

COM NEW

 

22,900

 

 

 

289,227

 

 

 

SUN TIMES MEDIA GROUP INC

 

COM

 

64,150

 

 

 

314,977

 

 

 

SUNPOWER CORP

 

COM CL A

 

8,200

 

 

 

304,794

 

 

 

SUNRISE SENIOR LIVING INC

 

COM

 

48,500

 

 

 

1,489,920

 

 

 

SUNSTONE HOTEL INVS INC NEW

 

COM

 

57,700

 

 

 

1,542,321

 

 

 

SUPERGEN INC

 

COM

 

49,500

 

 

 

251,460

 

 

 

SUPERIOR BANCORP

 

COM

 

9,371

 

 

 

106,267

 

 

 

SUPERIOR ENERGY SVCS INC

 

COM

 

85,674

 

 

 

2,799,813

 

 

 

SUPERIOR ESSEX INC

 

COM

 

14,305

 

 

 

475,641

 

 

 

SUPERIOR INDS INTL INC

 

COM

 

21,100

 

 

 

406,597

 

 

 

SUPERIOR WELL SVCS INC

 

COM

 

8,500

 

 

 

217,260

 

 

 

SUPERTEX INC

 

COM

 

11,298

 

 

 

443,447

 

 

 

SUREWEST COMMUNICATIONS

 

COM

 

17,100

 

 

 

470,934

 

 

 

SURMODICS INC

 

COM

 

16,200

 

 

 

504,144

 

 

 

SUSQUEHANNA BANCSHARES INC PA

 

COM

 

54,145

 

 

 

1,455,418

 

 

 

SVB FINL GROUP

 

COM

 

38,000

 

 

 

1,771,560

 

 

 

SWIFT ENERGY CO

 

COM

 

30,050

 

 

 

1,346,541

 

 

 

SWIFT TRANSN INC

 

COM

 

53,100

 

 

 

1,394,937

 

 

 

SWS GROUP INC

 

COM

 

17,673

 

 

 

630,926

 

 

 

SYBASE INC

 

COM

 

89,807

 

 

 

2,218,233

 

 



 

 

 

SYCAMORE NETWORKS INC

 

COM

 

200,700

 

 

 

754,632

 

 

 

SYKES ENTERPRISES INC

 

COM

 

28,600

 

 

 

504,504

 

 

 

SYMBION INC DE

 

COM

 

20,000

 

 

 

370,200

 

 

 

SYMMETRICOM INC

 

COM

 

49,300

 

 

 

439,756

 

 

 

SYMMETRY MED INC

 

COM

 

33,600

 

 

 

464,688

 

 

 

SYMS CORP

 

COM

 

11,500

 

 

 

228,965

 

 

 

SYMYX TECHNOLOGIES INC

 

COM

 

31,500

 

 

 

680,085

 

 

 

SYNAGRO TECHNOLOGIES INC

 

COM NEW

 

53,800

 

 

 

237,796

 

 

 

SYNAPTICS INC

 

COM

 

21,400

 

 

 

635,366

 

 

 

SYNIVERSE HLDGS INC

 

COM

 

20,500

 

 

 

307,295

 

 

 

SYNNEX CORP

 

COM

 

11,300

 

 

 

247,922

 

 

 

SYNOPSYS INC

 

COM

 

151,138

 

 

 

4,039,919

 

 

 

SYNTEL INC

 

COM

 

6,100

 

 

 

163,480

 

 

 

SYNTROLEUM CORP

 

COM

 

44,572

 

 

 

154,219

 

 

 

SYSTEMAX INC

 

COM

 

9,800

 

 

 

171,010

 

 

 

T HQ INC

 

COM

 

70,212

 

 

 

2,283,294

 

 

 

TAKE TWO INTERACTIVE SOFTWARE

 

CDT COM

 

71,250

 

 

 

1,265,400

 

 

 

TAL INTL GROUP INC

 

COM

 

14,785

 

 

 

394,612

 

 

 

TALBOTS INC

 

COM

 

26,000

 

 

 

626,600

 

 

 

TALX CORP

 

COM

 

28,780

 

 

 

790,011

 

 

 

TANGER FACTORY OUTLET CTRS INC

 

COM

 

33,696

 

 

 

1,316,840

 

 

 

TANOX INC

 

COM

 

28,500

 

 

 

567,150

 

 

 

TARRAGON CORPORATION

 

COM

 

11,647

 

 

 

141,744

 

 

 

TASER INTL INC

 

COM

 

51,600

 

 

 

392,676

 

 

 

TAUBMAN CENTERS INC

 

REIT

 

53,800

 

 

 

2,736,268

 

 

 

TAYLOR CAP GROUP INC

 

COM

 

5,000

 

 

 

183,050

 

 

 

TCF FINANCIAL CORP

 

COM

 

131,500

 

 

 

3,605,730

 

 

 

TD AMERITRADE HLDG CORP

 

COM

 

315,000

 

 

 

5,096,700

 

 

 

TD BANKNORTH INC

 

COM

 

101,311

 

 

 

3,270,319

 

 

 

TECH DATA CORP

 

COM

 

55,575

 

 

 

2,104,625

 

 

 

TECHNE CORP

 

COM

 

40,800

 

 

 

2,262,360

 

 

 

TECHNICAL OLYMPIC USA INC

 

COM

 

17,287

 

 

 

175,809

 

 

 

TECHNITROL INC

 

COM

 

42,100

 

 

 

1,005,769

 

 

 

TECHNOLOGY INVT CAP CORP

 

COM

 

14,875

 

 

 

240,083

 

 

 

TECUMSEH PRODS CO

 

CL A

 

22,384

 

 

 

378,290

 

 

 

TEJON RANCH CO

 

COM

 

10,600

 

 

 

591,904

 

 

 

TEKELEC INC

 

COM

 

59,800

 

 

 

886,834

 

 

 

TELEDYNE TECHNOLOGIES INC

 

COM

 

35,411

 

 

 

1,421,043

 

 

 

TELEFLEX INC

 

COM

 

39,300

 

 

 

2,537,208

 

 

 

TELEPHONE + DATA SYS INC

 

COM

 

109,700

 

 

 

5,960,001

 

 

 

TELETECH HLDGS INC

 

COM

 

43,400

 

 

 

1,036,392

 

 

 

TELIK INC

 

COM

 

52,400

 

 

 

232,132

 

 

 

TEMPUR PEDIC INTL INC

 

COM

 

41,750

 

 

 

854,205

 

 

 

TENNANT CO

 

COM

 

18,200

 

 

 

527,800

 

 

 

TENNECO INC

 

COM

 

52,100

 

 

 

1,287,912

 

 

 

TERRA INDS INC

 

COM

 

106,200

 

 

 

1,272,276

 

 

 

TERREMARK WORLDWIDE INC

 

COM NEW

 

25,270

 

 

 

169,814

 

 

 

TESORO CORP

 

COM

 

69,900

 

 

 

4,597,323

 

 

 

TESSERA TECHNOLOGIES INC

 

COM

 

52,800

 

 

 

2,129,952

 

 

 

TETRA TECH INC NEW

 

COM

 

63,675

 

 

 

1,151,881

 

 

 

TETRA TECHNOLOGIES INC DEL

 

COM

 

71,705

 

 

 

1,834,214

 

 

 

TEXAS CAP BANCSHARES INC

 

COM

 

20,917

 

 

 

415,830

 

 

 

TEXAS INDS INC

 

COM

 

23,163

 

 

 

1,487,759

 

 

 

TEXAS ROADHOUSE INC

 

COM CL A

 

42,074

 

 

 

557,901

 

 

 

TEXAS UTD BANCSHARES INC

 

OC COM

 

8,100

 

 

 

278,154

 

 

 

THE STEAK AND SHAKE COMPANY

 

COM

 

34,010

 

 

 

598,576

 

 

 

THERMOGENESIS CORP

 

COM NEW

 

63,381

 

 

 

273,172

 

 

 

THOMAS + BETTS CORP

 

COM

 

64,000

 

 

 

3,025,920

 

 

 

THOR INDS INC

 

COM

 

36,300

 

 

 

1,596,837

 

 

 

THORATEC CORP

 

COM NEW

 

53,345

 

 

 

937,805

 

 

 

THORNBURG MTG INC

 

COM

 

118,400

 

 

 

2,975,392

 

 

 

TIBCO SOFTWARE INC

 

COM

 

235,500

 

 

 

2,223,120

 

 

 

TIDEWATER INC

 

COM

 

61,000

 

 

 

2,949,960

 

 

 

TIERONE CORP

 

COM

 

17,800

 

 

 

562,658

 

 

 

TIM HORTONS INC

 

COM

 

189,800

 

 

 

5,496,608

 

 

 

TIMBERLAND CO

 

CL A

 

50,300

 

 

 

1,588,474

 

 

 

TIME WARNER TELECOM INC

 

CL A

 

145,800

 

 

 

2,905,794

 

 

 

TIMKEN CO

 

COM

 

83,700

 

 

 

2,442,366

 

 

 

TITAN INTL INC ILL

 

COM

 

20,900

 

 

 

421,135

 

 

 

TITANIUM METALS CORP

 

COM NEW

 

74,900

 

 

 

2,210,299

 

 

 

TIVO INC

 

COM

 

85,400

 

 

 

437,248

 

 

 

TNS INC

 

COM

 

22,700

 

 

 

436,975

 

 

 

TODCO

 

COMMON STOCK

 

63,700

 

 

 

2,176,629

 

 



 

 

 

TOLL BROS INC

 

COM

 

129,300

 

 

 

4,167,339

 

 

 

TOMPKINS TRUSTCO INC

 

COM

 

10,081

 

 

 

458,181

 

 

 

TOOTSIE ROLL INDS INC

 

COM

 

31,270

 

 

 

1,022,529

 

 

 

TOPPS COMPANY INC

 

COM

 

39,300

 

 

 

349,770

 

 

 

TOREADOR RES CORP

 

COM

 

11,010

 

 

 

283,728

 

 

 

TORO CO

 

COM

 

43,700

 

 

 

2,037,731

 

 

 

TOTAL SYS SVCS INC

 

COM

 

34,800

 

 

 

918,372

 

 

 

TOWER GROUP INC

 

COM

 

16,469

 

 

 

511,692

 

 

 

TRACTOR SUPPLY CO

 

COM

 

33,683

 

 

 

1,505,967

 

 

 

TRADESTATION GROUP INC

 

COM

 

25,760

 

 

 

354,200

 

 

 

TRANSACTION SYS ARCHITECTS INC

 

CL A

 

43,000

 

 

 

1,400,510

 

 

 

TRANSATLANTIC HLDGS INC

 

COM

 

26,950

 

 

 

1,673,595

 

 

 

TRANSDIGM GROUP INC

 

COM

 

9,700

 

 

 

257,147

 

 

 

TRANSMERIDIAN EXPLORATION IN

 

COM

 

63,000

 

 

 

217,350

 

 

 

TRANSMETA CORP DEL

 

COM

 

175,700

 

 

 

195,027

 

 

 

TRANSWITCH CORP

 

COM

 

105,793

 

 

 

148,110

 

 

 

TRAVELZOO INC

 

COM

 

3,600

 

 

 

107,820

 

 

 

TREDEGAR INDS INC

 

COM

 

36,800

 

 

 

832,048

 

 

 

TREEHOUSE FOODS INC

 

COM

 

29,884

 

 

 

932,381

 

 

 

TREX INC

 

COM

 

9,600

 

 

 

219,744

 

 

 

TRIAD GTY INC

 

COM

 

12,100

 

 

 

663,927

 

 

 

TRIAD HOSPS INC

 

COM

 

89,543

 

 

 

3,745,584

 

 

 

TRIARC COS INC

 

CL B SER 1

 

60,300

 

 

 

1,206,000

 

 

 

TRICO BANCSHARES

 

COM

 

14,100

 

 

 

383,661

 

 

 

TRICO MARINE SVCS INC

 

COM NEW

 

10,900

 

 

 

417,579

 

 

 

TRIDENT MICROSYSTEMS INC

 

COM

 

63,300

 

 

 

1,150,794

 

 

 

TRIMBLE NAVIGATION LTD

 

COM

 

54,750

 

 

 

2,777,468

 

 

 

TRIMERIS INC

 

COM

 

17,050

 

 

 

216,706

 

 

 

TRINITY INDS INC

 

COM

 

81,100

 

 

 

2,854,720

 

 

 

TRIQUINT SEMICONDUCTOR INC

 

COM

 

161,370

 

 

 

726,165

 

 

 

TRIUMPH GROUP INC NEW

 

COM

 

18,600

 

 

 

975,198

 

 

 

TRIZETTO GROUP INC

 

COM

 

46,500

 

 

 

854,205

 

 

 

TRONOX INC

 

COM CL B

 

43,600

 

 

 

688,444

 

 

 

TRUMP ENTMT RESORTS INC

 

COM

 

26,700

 

 

 

487,008

 

 

 

TRUSTCO BK CORP N Y

 

COM

 

77,933

 

 

 

866,615

 

 

 

TRUSTMARK CORP

 

COM

 

46,200

 

 

 

1,511,202

 

 

 

TRUSTREET PPTYS INC

 

COM

 

79,900

 

 

 

1,346,315

 

 

 

TRW AUTOMOTIVE HLDGS CORP

 

COM

 

49,200

 

 

 

1,272,804

 

 

 

TTM TECHNOLOGIES

 

COM

 

43,200

 

 

 

489,456

 

 

 

TUESDAY MORNING CORP

 

COM NEW

 

28,850

 

 

 

448,618

 

 

 

TUPPERWARE BRANDS CORP

 

COM

 

58,000

 

 

 

1,311,380

 

 

 

TURBOCHEF TECHNOLOGIES INC

 

COM NEW

 

18,000

 

 

 

306,360

 

 

 

TWEEN BRANDS INC

 

COM

 

37,900

 

 

 

1,513,347

 

 

 

TYLER TECHNOLOGIES INC

 

COM

 

46,330

 

 

 

651,400

 

 

 

U S B HLDG INC

 

COM

 

18,069

 

 

 

435,463

 

 

 

U S CONCRETE INC

 

COM

 

30,600

 

 

 

217,872

 

 

 

U S I HLDGS CORP

 

COM

 

46,200

 

 

 

709,632

 

 

 

U S XPRESS ENTERPRISES INC

 

CL A

 

7,800

 

 

 

128,466

 

 

 

U STORE IT TR

 

COM

 

43,900

 

 

 

902,145

 

 

 

UAL CORP

 

COM NEW

 

113,700

 

 

 

5,002,800

 

 

 

UAP HLDG CORP

 

COM

 

50,200

 

 

 

1,264,036

 

 

 

UCBH HLDGS INC

 

COM

 

101,600

 

 

 

1,784,096

 

 

 

UGI CORP NEW

 

COM

 

105,200

 

 

 

2,869,856

 

 

 

UIL HLDG CORP

 

COM

 

26,933

 

 

 

1,136,303

 

 

 

ULTICOM INC

 

COM

 

14,000

 

 

 

134,260

 

 

 

ULTIMATE SOFTWARE GROUP INC

 

COM

 

22,543

 

 

 

524,350

 

 

 

ULTRATECH INC

 

COM

 

30,700

 

 

 

383,136

 

 

 

UMB FINL CORP

 

COM

 

33,202

 

 

 

1,212,205

 

 

 

UMPQUA HLDGS CORP

 

COM

 

55,733

 

 

 

1,640,222

 

 

 

UNDER ARMOUR INC

 

CL A

 

20,200

 

 

 

1,019,090

 

 

 

UNIFIRST CORP

 

COM

 

9,600

 

 

 

368,736

 

 

 

UNION BANKSHARES CORP

 

COM

 

15,600

 

 

 

477,204

 

 

 

UNIONBANCAL CORP

 

COM

 

55,261

 

 

 

3,384,736

 

 

 

UNISOURCE ENERGY CORP

 

COM

 

36,700

 

 

 

1,340,651

 

 

 

UNIT CORP

 

COM

 

47,750

 

 

 

2,313,488

 

 

 

UNITED AUTO GROUP INC

 

COM

 

60,300

 

 

 

1,421,271

 

 

 

UNITED BANKSHARES INC W VA

 

COM

 

36,800

 

 

 

1,422,320

 

 

 

UNITED CMNTY BKS INC BLAIRSVIL

 

CDT CAP STK

 

33,750

 

 

 

1,090,800

 

 

 

UNITED DOMINION RLTY TR INC

 

COM

 

135,200

 

 

 

4,298,008

 

 

 

UNITED FIRE CAS CO

 

COM

 

21,800

 

 

 

768,450

 

 

 

UNITED INDL CORP

 

COM

 

10,500

 

 

 

532,875

 

 

 

UNITED NAT FOODS INC

 

COM

 

45,800

 

 

 

1,645,136

 

 

 

UNITED ONLINE INC

 

COM

 

68,000

 

 

 

903,040

 

 



 

 

 

UNITED PANAM FINL CORP

 

COM

 

5,200

 

 

 

71,552

 

 

 

UNITED RENTALS INC

 

COM

 

72,200

 

 

 

1,836,046

 

 

 

UNITED SEC BANCSHARES CA

 

COM

 

100

 

 

 

2,410

 

 

 

UNITED STATES CELLULAR CORP

 

COM

 

19,050

 

 

 

1,325,690

 

 

 

UNITED STATIONERS INC

 

COM

 

31,330

 

 

 

1,462,798

 

 

 

UNITED SURGICAL PARTNERS

 

COM

 

46,049

 

 

 

1,305,489

 

 

 

UNITED THERAPEUTICS CORP DEL

 

COM

 

24,105

 

 

 

1,310,589

 

 

 

UNITRIN INC

 

COM

 

47,500

 

 

 

2,380,225

 

 

 

UNIVERSAL AMERN FINL CORP

 

COM

 

30,000

 

 

 

559,200

 

 

 

UNIVERSAL COMPRESSION HLDGS

 

COM

 

30,819

 

 

 

1,914,168

 

 

 

UNIVERSAL CORP VA

 

COM

 

26,400

 

 

 

1,293,864

 

 

 

UNIVERSAL DISPLAY CORP

 

COM

 

27,300

 

 

 

409,773

 

 

 

UNIVERSAL ELECTRS INC

 

COM

 

16,300

 

 

 

342,626

 

 

 

UNIVERSAL FST PRODS INC

 

COM

 

19,300

 

 

 

899,766

 

 

 

UNIVERSAL HEALTH RLTY INCOME

 

SH BEN INT

 

12,800

 

 

 

498,944

 

 

 

UNIVERSAL HEALTH SVCS INC

 

CL B

 

47,200

 

 

 

2,616,296

 

 

 

UNIVERSAL TECHNICAL INST INC

 

COM

 

20,000

 

 

 

444,200

 

 

 

UNIVERSAL TRUCKLOAD SVCS INC

 

COM

 

8,000

 

 

 

190,000

 

 

 

UNIVEST CORP PA

 

COM

 

14,150

 

 

 

431,292

 

 

 

URBAN OUTFITTERS INC

 

COM

 

114,394

 

 

 

2,634,494

 

 

 

URS CORP NEW

 

COM

 

51,300

 

 

 

2,198,205

 

 

 

URSTADT BIDDLE PPTYS INC

 

CL A

 

22,500

 

 

 

429,525

 

 

 

US AWYS GROUP INC

 

COM

 

61,100

 

 

 

3,290,235

 

 

 

USA MOBILITY INC

 

COM

 

25,060

 

 

 

560,592

 

 

 

USA TRUCK INC

 

COM

 

13,500

 

 

 

216,675

 

 

 

USANA HEALTH SCIENCES

 

CDT SHS

 

9,000

 

 

 

464,940

 

 

 

USEC INC

 

COM

 

95,700

 

 

 

1,217,304

 

 

 

USG CORP

 

COM NEW

 

77,500

 

 

 

4,247,000

 

 

 

UTD COMMUNITY FINL

 

COM

 

35,000

 

 

 

428,400

 

 

 

UTSTARCOM INC

 

COM

 

101,500

 

 

 

888,125

 

 

 

VA SOFTWARE CORP

 

COM

 

54,400

 

 

 

273,632

 

 

 

VAALCO ENERGY INC

 

COM

 

54,100

 

 

 

365,175

 

 

 

VAIL RESORTS INC

 

COM

 

32,900

 

 

 

1,474,578

 

 

 

VALASSIS COMMUNICATIONS INC

 

COM

 

47,300

 

 

 

685,850

 

 

 

VALEANT PHARMACEUTICALS INTL

 

COM

 

91,700

 

 

 

1,580,908

 

 

 

VALHI INC NEW

 

COM

 

9,700

 

 

 

252,006

 

 

 

VALLEY NATL BANCORP

 

COM

 

115,670

 

 

 

3,066,412

 

 

 

VALMONT INDS INC

 

COM

 

16,900

 

 

 

937,781

 

 

 

VALSPAR CORP

 

COM

 

102,524

 

 

 

2,833,763

 

 

 

VALUE LINE INC

 

COM

 

1,800

 

 

 

81,810

 

 

 

VALUECLICK INC

 

COM

 

98,200

 

 

 

2,320,466

 

 

 

VALUEVISION MEDIA INC

 

COM CL A

 

35,300

 

 

 

463,842

 

 

 

VARIAN INC

 

COM

 

30,600

 

 

 

1,370,574

 

 

 

VARIAN MED SYS INC

 

COM

 

132,600

 

 

 

6,307,782

 

 

 

VARIAN SEMI EQUIP ASSOC INC

 

COM

 

63,150

 

 

 

2,874,588

 

 

 

VASCO DATA SEC INTL INC

 

COM

 

26,945

 

 

 

319,298

 

 

 

VCA ANTECH INC

 

COM

 

88,300

 

 

 

2,842,377

 

 

 

VECTOR GROUP LTD

 

COM

 

37,897

 

 

 

672,672

 

 

 

VECTREN CORP

 

COM

 

83,490

 

 

 

2,361,097

 

 

 

VEECO INSTRS INC DEL

 

COM

 

30,900

 

 

 

578,757

 

 

 

VENTANA MED SYS INC

 

COM

 

28,500

 

 

 

1,226,355

 

 

 

VENTAS INC

 

COM

 

105,000

 

 

 

4,443,600

 

 

 

VERASUN ENERGY CORP

 

COM

 

18,400

 

 

 

363,400

 

 

 

VERIFONE HLDGS INC

 

COM

 

38,135

 

 

 

1,349,979

 

 

 

VERINT SYS INC

 

COM

 

14,500

 

 

 

497,060

 

 

 

VERITAS DGC INC

 

COM

 

36,200

 

 

 

3,099,806

 

 

 

VERTEX PHARMACEUTICALS INC

 

COM

 

117,360

 

 

 

4,391,611

 

 

 

VERTRUE INC

 

COM

 

7,000

 

 

 

268,870

 

 

 

VIAD CORP

 

COM NEW

 

23,994

 

 

 

974,156

 

 

 

VIASAT INC

 

COM

 

25,880

 

 

 

771,483

 

 

 

VIASYS HEALTHCARE INC

 

COM NEW

 

36,100

 

 

 

1,004,302

 

 

 

VICOR CORP

 

COM

 

23,300

 

 

 

258,863

 

 

 

VIGNETTE CORP

 

COM

 

29,080

 

 

 

496,396

 

 

 

VINEYARD NATL BANCORP

 

COM

 

9,993

 

 

 

230,039

 

 

 

VIRGINIA COMM BANCORP INC

 

COM

 

16,134

 

 

 

320,744

 

 

 

VIRGINIA FINL GROUP INC

 

COM

 

12,000

 

 

 

335,880

 

 

 

VIROPHARMA INC

 

COM

 

65,800

 

 

 

963,312

 

 

 

VISHAY INTERTECHNOLOGY INC

 

COM

 

168,832

 

 

 

2,285,985

 

 

 

VISTACARE INC

 

CL A

 

12,600

 

 

 

127,890

 

 

 

VISTEON CORP

 

COM

 

134,000

 

 

 

1,136,320

 

 

 

VITAL IMAGES INC

 

COM

 

11,800

 

 

 

410,640

 

 

 

VITAL SIGNS INC

 

COM

 

6,900

 

 

 

344,448

 

 

 

VOLCOM INC

 

COM

 

9,100

 

 

 

269,087

 

 



 

 

 

VOLT INFORMATION SCIENCES INC

 

COM

 

6,700

 

 

 

336,407

 

 

 

VOLTERRA SEMICONDUCTOR CORP

 

COM

 

14,700

 

 

 

220,500

 

 

 

VONAGE HLDGS CORP

 

COM

 

28,100

 

 

 

195,014

 

 

 

W H ENERGY SVCS INC

 

COM

 

33,300

 

 

 

1,621,377

 

 

 

W HLDG CO INC

 

COM

 

133,755

 

 

 

797,180

 

 

 

W+T OFFSHORE INC

 

COM

 

17,400

 

 

 

534,528

 

 

 

WABASH NATL CORP

 

COM

 

39,500

 

 

 

596,450

 

 

 

WABTEC

 

COM

 

48,268

 

 

 

1,466,382

 

 

 

WADDELL + REED FINL INC

 

CL A

 

86,140

 

 

 

2,356,790

 

 

 

WALTER INDS INC

 

COM

 

43,200

 

 

 

1,168,560

 

 

 

WARNACO GROUP INC

 

COM

 

53,300

 

 

 

1,352,754

 

 

 

WARNER MUSIC GROUP CORP

 

COM

 

92,570

 

 

 

2,124,482

 

 

 

WARREN RES INC

 

COM

 

51,498

 

 

 

603,557

 

 

 

WASHINGTON FED INC

 

COM

 

86,743

 

 

 

2,041,063

 

 

 

WASHINGTON GROUP INTL INC

 

COM NEW

 

32,900

 

 

 

1,967,091

 

 

 

WASHINGTON POST CO

 

CL B

 

5,621

 

 

 

4,191,018

 

 

 

WASHINGTON REAL ESTATE INVT TR

 

SH BEN INT

 

42,100

 

 

 

1,684,000

 

 

 

WASHINGTON TR BANCORP INC

 

COM

 

17,400

 

 

 

485,286

 

 

 

WASTE CONNECTIONS INC

 

COM

 

44,350

 

 

 

1,842,743

 

 

 

WASTE INDS USA

 

COM

 

1,900

 

 

 

57,988

 

 

 

WASTE SVCS INC DEL

 

COM NEW

 

13,568

 

 

 

133,645

 

 

 

WATSCO INC

 

COM

 

27,700

 

 

 

1,306,332

 

 

 

WATSON WYATT WORLDWIDE INC

 

CL A

 

43,900

 

 

 

1,982,085

 

 

 

WATTS WATER TECHNOLOGIES INC

 

CL A

 

27,500

 

 

 

1,130,525

 

 

 

WAUSAU PAPER CORP

 

COM

 

48,200

 

 

 

722,518

 

 

 

WCI CMNTYS INC

 

COM

 

36,500

 

 

 

700,070

 

 

 

WD 40 CO

 

COM

 

19,100

 

 

 

666,017

 

 

 

WEBEX COMMUNICATIONS

 

COM

 

38,200

 

 

 

1,332,798

 

 

 

WEBMD HEALTH CORP

 

CL A

 

7,300

 

 

 

292,146

 

 

 

WEBMETHODS INC

 

COM

 

55,538

 

 

 

408,760

 

 

 

WEBSENSE INC

 

COM

 

51,400

 

 

 

1,173,462

 

 

 

WEBSIDESTORY INC

 

COM

 

12,400

 

 

 

156,984

 

 

 

WEBSTER FINL CORP WATERBURY

 

COM

 

53,858

 

 

 

2,623,962

 

 

 

WEIGHT WATCHERS INTL INC NEW

 

COM

 

46,100

 

 

 

2,421,633

 

 

 

WEINGARTEN RLTY INVS

 

SH BEN INT

 

80,050

 

 

 

3,691,106

 

 

 

WEIS MKTS INC

 

COM

 

8,800

 

 

 

352,968

 

 

 

WELLCARE HEALTH PLANS INC

 

COM

 

32,500

 

 

 

2,239,250

 

 

 

WERNER ENTERPRISES INC

 

COM

 

57,332

 

 

 

1,002,163

 

 

 

WESBANCO INC

 

COM

 

28,300

 

 

 

948,899

 

 

 

WESCO FINL CORP

 

COM

 

1,500

 

 

 

690,000

 

 

 

WESCO INTL INC

 

COM

 

49,000

 

 

 

2,881,690

 

 

 

WEST BANCORPORATION INC

 

CDT CAP STK

 

19,624

 

 

 

348,915

 

 

 

WEST COAST BANCORP ORE NEW

 

COM

 

17,500

 

 

 

606,200

 

 

 

WEST MARINE INC

 

COM

 

21,700

 

 

 

374,759

 

 

 

WEST PHARMACEUTICAL SVCS INC

 

COM

 

34,900

 

 

 

1,787,927

 

 

 

WESTAMERICA BANCORPORATION

 

COM

 

31,300

 

 

 

1,584,719

 

 

 

WESTERN ALLIANCE BANCORPORATIO

 

COM

 

12,300

 

 

 

427,671

 

 

 

WESTERN DIGITAL CORP

 

COM

 

220,400

 

 

 

4,509,384

 

 

 

WESTERN REFNG INC

 

COM

 

24,300

 

 

 

618,678

 

 

 

WESTFIELD FINANCIAL INC

 

COM

 

4,100

 

 

 

141,860

 

 

 

WESTLAKE CHEM CORP

 

COM

 

13,000

 

 

 

407,940

 

 

 

WESTMORELAND COAL CO

 

COM

 

100

 

 

 

1,967

 

 

 

WESTSTAR ENERGY INC

 

COM

 

93,700

 

 

 

2,432,452

 

 

 

WESTWOOD ONE INC

 

COM

 

80,300

 

 

 

566,918

 

 

 

WET SEAL INC

 

CL A

 

84,497

 

 

 

563,595

 

 

 

WEYCO GROUP INC

 

COM

 

7,000

 

 

 

173,950

 

 

 

WGL HLDGS INC

 

COM

 

48,400

 

 

 

1,576,872

 

 

 

WHEELING PITTSBURGH CORP

 

COM NEW

 

12,881

 

 

 

241,261

 

 

 

WHITING PETE CORP NEW

 

COM

 

35,900

 

 

 

1,672,940

 

 

 

WHITNEY HLDG CORP

 

COM

 

65,800

 

 

 

2,146,396

 

 

 

WILD OATS MKTS INC

 

COM

 

31,100

 

 

 

447,218

 

 

 

WILEY JOHN + SON

 

CLASS A

 

44,400

 

 

 

1,708,068

 

 

 

WILLIAMS CLAYTON ENERGY INC

 

COM

 

8,100

 

 

 

294,111

 

 

 

WILLIAMS SCOTSMAN INTL INC

 

COM

 

28,570

 

 

 

560,543

 

 

 

WILLIAMS SONOMA INC

 

COM

 

95,900

 

 

 

3,015,096

 

 

 

WILLOW FINL BANCORP INC

 

COM

 

13,000

 

 

 

193,960

 

 

 

WILMINGTON TR CORP

 

COM

 

68,500

 

 

 

2,888,645

 

 

 

WILSHIRE BANCORP INC

 

COM

 

16,600

 

 

 

314,902

 

 

 

WIND RIV SYS INC

 

COM

 

79,066

 

 

 

810,427

 

 

 

WINNEBAGO IND INC.

 

COM

 

32,000

 

 

 

1,053,120

 

 

 

WINSTON HOTELS

 

COM

 

29,500

 

 

 

390,875

 

 

 

WINTHROP RLTY TR

 

SH BEN INT

 

400

 

 

 

2,740

 

 

 

WINTRUST FINL CORP

 

COM

 

27,650

 

 

 

1,327,753

 

 



 

 

 

WIRELESS FACS INC

 

COM

 

42,800

 

 

 

121,980

 

 

 

WISCONSIN ENERGY CORP

 

COM

 

115,750

 

 

 

5,493,495

 

 

 

WITNESS SYS INC

 

COM

 

33,400

 

 

 

585,502

 

 

 

WMS INDUSTRIES INC

 

COM

 

26,352

 

 

 

918,631

 

 

 

WOLVERINE WORLD WIDE INC

 

COM

 

59,000

 

 

 

1,682,680

 

 

 

WOODWARD GOVERNOR CO

 

COM

 

33,000

 

 

 

1,310,430

 

 

 

WORLD ACCEPTANCE CORP

 

COM

 

20,900

 

 

 

981,255

 

 

 

WORLD FUEL SERVICES CORP.

 

COM

 

30,100

 

 

 

1,338,246

 

 

 

WORLD WRESTLING ENTMT INC

 

CL A

 

17,500

 

 

 

285,250

 

 

 

WORTHINGTON INDS IN

 

COM

 

77,700

 

 

 

1,376,844

 

 

 

WPS RES CORP

 

COM

 

43,100

 

 

 

2,328,693

 

 

 

WRIGHT EXPRESS CORP

 

COM

 

40,581

 

 

 

1,264,910

 

 

 

WRIGHT MED GROUP INC

 

COM

 

29,200

 

 

 

679,776

 

 

 

WSFS FINL CORP

 

COM

 

7,100

 

 

 

475,203

 

 

 

WYNN RESORTS LTD

 

COM

 

52,000

 

 

 

4,880,200

 

 

 

X RITE INC

 

COM

 

25,600

 

 

 

314,880

 

 

 

XENOPORT INC

 

COM

 

14,700

 

 

 

360,885

 

 

 

XM SATELLITE RADIO HLDGS INC

 

CL A

 

287,668

 

 

 

4,156,803

 

 

 

YANKEE CANDLE INC

 

COM

 

43,700

 

 

 

1,498,036

 

 

 

YARDVILLE NATIONAL BANCORP

 

COM

 

9,000

 

 

 

339,480

 

 

 

YORK RESH CORP

 

WT CL B EXP 01DEC02

 

70

 

 

 

—

 

 

 

YOUNG INNOVATIONS INV

 

COM

 

5,200

 

 

 

173,160

 

 

 

YRC WORLDWIDE INC

 

COM

 

58,059

 

 

 

2,190,566

 

 

 

ZALE CORP NEW

 

COM

 

56,600

 

 

 

1,596,686

 

 

 

ZEBRA TECHNOLOGIES CORP

 

CL A

 

70,925

 

 

 

2,467,481

 

 

 

ZENITH NATL INS CORP

 

COM

 

38,450

 

 

 

1,803,690

 

 

 

ZHONE TECHNOLOGIES INC NEW

 

COM

 

49,339

 

 

 

64,634

 

 

 

ZOLL MED CORP

 

COM

 

14,150

 

 

 

824,096

 

 

 

ZOLTEK COMPANIES INC

 

COM

 

14,700

 

 

 

289,149

 

 

 

ZORAN CORP

 

COM

 

55,719

 

 

 

812,383

 

 

 

ZUMIEZ INC

 

COM

 

11,000

 

 

 

324,940

 

 

 

ZYGO CORP

 

COM

 

16,400

 

 

 

269,780

 

 

 

ZYMOGENETICS INC

 

COM

 

29,207

 

 

 

454,753

 

 

 

Unsettled Transactions

 

 

 

 

 

 

 

506,492

 

 

 

 

 

Total :

 

 

 

 

 

$

3,142,426,587

 

 

n / a  Cost is not applicable

 

 

 

 



EXHIBIT B - Total International Stock Market Index
(Managed by State Street Global Advisors)

IBM SAVINGS PLAN AT DECEMBER 31, 2006

Schedule H, line 4i-Schedule of Assets  (Held At End of Year)

(a)

 

(b) Identity of issue, borrower, lessor, or similar party

 

(c) Description of investment including maturity date, 
 rate of interest, collateral, par, or maturity value          

 

(d) Cost

 

(e) Fair
value

 

 

 

 

 

 

 

 

 

Shares

 

(n/a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ALPARGATAS

 

ARP1

 

ARGENTINA

 

153

 

 

 

$

248

 

 

 

CRESUD

 

ARS1

 

ARGENTINA

 

4

 

 

 

7

 

 

 

GPO FIN GALICIA

 

B ARSI

 

ARGENTINA

 

8

 

 

 

7

 

 

 

PETROBRAS ENER

 

B ARS1

 

ARGENTINA

 

7

 

 

 

8

 

 

 

TELEC ARGENTINA SA

 

CL B ARS1

 

ARGENTINA

 

6

 

 

 

23

 

 

 

TRANSPORT GAS SUR

 

CLASS B ARS1

 

ARGENTINA

 

3

 

 

 

4

 

 

 

ABC LEARNING CENTR

 

NPV

 

AUSTRALIA

 

59,284

 

 

 

392,512

 

 

 

AGL ENERGY

 

NPV

 

AUSTRALIA

 

77,886

 

 

 

993,286

 

 

 

ALINTA LTD

 

NPV

 

AUSTRALIA

 

89,603

 

 

 

834,788

 

 

 

ALUMINA LIMITED

 

NPV

 

AUSTRALIA

 

198,550

 

 

 

992,191

 

 

 

AMCOR LIMITED

 

NPV

 

AUSTRALIA

 

157,146

 

 

 

898,003

 

 

 

AMP LIMITED

 

NPV

 

AUSTRALIA

 

324,903

 

 

 

2,586,493

 

 

 

ANSELL LTD

 

NPV

 

AUSTRALIA

 

24,528

 

 

 

217,496

 

 

 

APN NEWS + MEDIA

 

NPV

 

AUSTRALIA

 

49,600

 

 

 

236,523

 

 

 

ARISTOCRAT LEISURE

 

NPV(POST RECONSTRUCTION)

 

AUSTRALIA

 

59,256

 

 

 

742,618

 

 

 

ASX LIMITED

 

NPV

 

AUSTRALIA

 

29,309

 

 

 

881,316

 

 

 

AUST + NZ BANK GRP

 

NPV

 

AUSTRALIA

 

318,862

 

 

 

7,089,933

 

 

 

AXA ASIA PAC HLDGS

 

NPV

 

AUSTRALIA

 

148,750

 

 

 

854,714

 

 

 

BABCOCK + BROWN LTD

 

NPV

 

AUSTRALIA

 

38,374

 

 

 

750,110

 

 

 

BHP BILLITON LTD

 

NPV

 

AUSTRALIA

 

607,399

 

 

 

12,112,418

 

 

 

BILLABONG INTERNATL

 

NPV

 

AUSTRALIA

 

28,150

 

 

 

386,068

 

 

 

BLUESCOPE STEEL LTD

 

NPV

 

AUSTRALIA

 

121,849

 

 

 

827,876

 

 

 

BORAL LIMITED NEW

 

NPV

 

AUSTRALIA

 

100,342

 

 

 

603,453

 

 

 

BRAMBLES LTD

 

NPV

 

AUSTRALIA

 

165,763

 

 

 

1,676,295

 

 

 

BRAMBLES LTD

 

NPV

 

AUSTRALIA

 

124,511

 

 

 

1,240,365

 

 

 

CALTEX AUSTRALIA

 

NPV

 

AUSTRALIA

 

22,905

 

 

 

415,235

 

 

 

CENTRO PROPS GP

 

UNITS NPV(STAPLED)

 

AUSTRALIA

 

137,572

 

 

 

986,751

 

 

 

CFS RETAIL PROP

 

NPV

 

AUSTRALIA

 

256,333

 

 

 

470,757

 

 

 

CHALLENGER FIN SER

 

NPV

 

AUSTRALIA

 

68,743

 

 

 

223,235

 

 

 

CMNWLTH BK OF AUST

 

NPV

 

AUSTRALIA

 

222,971

 

 

 

8,695,896

 

 

 

COCA COLA AMATIL

 

NPV(POST RECONSTRUCTION)

 

AUSTRALIA

 

89,511

 

 

 

547,488

 

 

 

COCHLEAR LTD

 

NPV

 

AUSTRALIA

 

9,375

 

 

 

428,584

 

 

 

COLES GROUP LTD

 

ORD NPV

 

AUSTRALIA

 

204,261

 

 

 

2,253,978

 

 

 

COMMONWEALTH PROPE

 

UNITS NPV

 

AUSTRALIA

 

263,227

 

 

 

304,989

 

 

 

COMPUTERSHARE REG

 

NPV(POST REC)

 

AUSTRALIA

 

76,353

 

 

 

535,615

 

 

 

CSL

 

ORD NPV

 

AUSTRALIA

 

31,065

 

 

 

1,600,612

 

 

 

CSR LIMITED

 

NPV

 

AUSTRALIA

 

156,049

 

 

 

461,242

 

 

 

DB RREEF TRUST

 

NPV (STAPLED)

 

AUSTRALIA

 

452,127

 

 

 

632,550

 

 

 

DOWNER GROUP

 

NPV

 

AUSTRALIA

 

50,792

 

 

 

279,839

 

 

 

FAIRFAX(JOHN)

 

NPV

 

AUSTRALIA

 

173,993

 

 

 

662,392

 

 

 

FOSTERS GROUP

 

NPV

 

AUSTRALIA

 

345,843

 

 

 

1,886,346

 

 

 

FUTURIS CORP LTD

 

NPV

 

AUSTRALIA

 

92,045

 

 

 

142,923

 

 

 

GOODMAN FIELDER

 

NPV

 

AUSTRALIA

 

177,596

 

 

 

310,758

 

 

 

GPT GROUP

 

NPV (UNITS)

 

AUSTRALIA

 

336,989

 

 

 

1,487,442

 

 

 

HARVEY NORMAN HLDG NPV

 

COM

 

AUSTRALIA

 

90,796

 

 

 

271,948

 

 

 

ILUKA RESOURCES

 

NPV

 

AUSTRALIA

 

40,040

 

 

 

209,871

 

 

 

ING INDUSTRIAL FD

 

UNITS NPV

 

AUSTRALIA

 

135,132

 

 

 

252,431

 

 

 

INSURANCE AUST GRP

 

NPV

 

AUSTRALIA

 

300,838

 

 

 

1,505,715

 

 

 

INVESTA PROPERTY GROUP

 

UNITS NPV

 

AUSTRALIA

 

254,114

 

 

 

502,734

 

 

 

LEIGHTON HOLDINGS

 

NPV

 

AUSTRALIA

 

23,768

 

 

 

378,800

 

 

 

LEND LEASE CORP

 

NPV

 

AUSTRALIA

 

61,496

 

 

 

893,808

 

 

 

LION NATHAN LTD

 

NPV(AUST LIST)

 

AUSTRALIA

 

49,895

 

 

 

320,910

 

 

 

MACQUARIE AIRPORTS

 

NPV STAPLED FULLY PAID

 

AUSTRALIA

 

115,170

 

 

 

326,797

 

 

 

MACQUARIE BANK LTD

 

NPV

 

AUSTRALIA

 

43,020

 

 

 

2,676,386

 

 

 

MACQUARIE COMM INF

 

NPV (STAPLED SECURITY)

 

AUSTRALIA

 

58,346

 

 

 

289,726

 

 

 

MACQUARIE GOODM G

 

NPV (SAPLED UNITS)

 

AUSTRALIA

 

239,397

 

 

 

1,434,064

 

 

 

MACQUARIE INFRASTRUCTURE GRP

 

NPV (STAPLED)

 

AUSTRALIA

 

427,355

 

 

 

1,165,470

 

 

 

MACQUARIE OFFICE UNITS NPV

 

UNITS NPV

 

AUSTRALIA

 

328,657

 

 

 

398,933

 

 

 

MAYNE PHARMA LTD NPV

 

NPV

 

AUSTRALIA

 

109,307

 

 

 

350,654

 

 

 

MIRVAC GROUP

 

STAPLED SECS

 

AUSTRALIA

 

168,986

 

 

 

744,558

 

 

 

MULTIPLEX GROUP

 

NPV

 

AUSTRALIA

 

107,802

 

 

 

339,028

 

 

 

NATL AUSTRALIA BK

 

NPV

 

AUSTRALIA

 

279,680

 

 

 

8,905,925

 

 

 

NEWCREST MINING

 

NPV

 

AUSTRALIA

 

57,002

 

 

 

1,183,878

 

 

 

ONESTEEL

 

NPV

 

AUSTRALIA

 

97,313

 

 

 

358,966

 

 

 

ORICA LTD

 

NPV

 

AUSTRALIA

 

52,892

 

 

 

1,013,054

 

 

 

ORIGIN ENERGY

 

NPV

 

AUSTRALIA

 

148,797

 

 

 

969,920

 

 

 

PACIFIC BRANDS

 

NPV

 

AUSTRALIA

 

87,055

 

 

 

179,090

 

 

 

PALADIN RES (AU)

 

NPV

 

AUSTRALIA

 

70,877

 

 

 

497,201

 

 

 

PAPERLINX

 

NPV

 

AUSTRALIA

 

76,943

 

 

 

238,341

 

 

 

PERPETUAL LIMITED

 

NPV

 

AUSTRALIA

 

6,931

 

 

 

427,262

 

 

 

PUBLISHING + BROADCASTING LTD

 

NPV

 

AUSTRALIA

 

22,853

 

 

 

384,572

 

 

 

QANTAS AIRWAYS

 

NPV

 

AUSTRALIA

 

162,159

 

 

 

667,187

 

 

 

QBE INS GROUP

 

NPV

 

AUSTRALIA

 

138,434

 

 

 

3,147,928

 

 

 

RINKER GROUP

 

NPV

 

AUSTRALIA

 

156,345

 

 

 

2,224,321

 

 

 

RIO TINTO LIMITED

 

NPV

 

AUSTRALIA

 

49,651

 

 

 

2,907,723

 

 

 

SANTOS LTD

 

NPV

 

AUSTRALIA

 

101,420

 

 

 

789,000

 

 

 

SONIC HEALTHCARE LTD

 

NPV

 

AUSTRALIA

 

44,815

 

 

 

525,609

 

 

 

STOCKLAND

 

NPV

 

AUSTRALIA

 

237,755

 

 

 

1,551,659

 

 

 

SUNCORP METWAY

 

NPV

 

AUSTRALIA

 

96,741

 

 

 

1,551,712

 

 

 

SYDNEY ROADS GRP

 

NPV (STAPLED SECURITY)

 

AUSTRALIA

 

136,788

 

 

 

142,317

 

 



 

 

 

SYMBION HEALTH LIMITED

 

NPV

 

AUSTRALIA

 

109,011

 

 

 

326,505

 

 

 

TABCORP HLDGS LTD

 

NPV

 

AUSTRALIA

 

89,809

 

 

 

1,192,768

 

 

 

TATTERSALLS LTD

 

NPV

 

AUSTRALIA

 

185,480

 

 

 

571,624

 

 

 

TELSTRA CORP

 

NPV

 

AUSTRALIA

 

493,980

 

 

 

1,611,929

 

 

 

TELSTRA CORP

 

NPV(INST RCPTS PPD 31MAR08)

 

AUSTRALIA

 

250,378

 

 

 

530,866

 

 

 

TOLL HLDGS LIMITED

 

NPV

 

AUSTRALIA

 

92,055

 

 

 

1,325,630

 

 

 

TRANSURBAN GROUP

 

STAPLED UNITS NPV

 

AUSTRALIA

 

140,458

 

 

 

843,602

 

 

 

WESFARMERS

 

NPV

 

AUSTRALIA

 

64,764

 

 

 

1,916,303

 

 

 

WESTFIELD GROUP

 

NPV DFD STAPLED SECURITIES

 

AUSTRALIA

 

261,596

 

 

 

4,327,926

 

 

 

WESTPAC BKG CORP

 

NPV

 

AUSTRALIA

 

319,558

 

 

 

6,105,463

 

 

 

WOODSIDE PETROLEUM

 

NPV

 

AUSTRALIA

 

81,086

 

 

 

2,435,685

 

 

 

WOOLWORTHS LTD

 

NPV

 

AUSTRALIA

 

205,755

 

 

 

3,876,007

 

 

 

WORLEYPARSONS LIMITED

 

NPV

 

AUSTRALIA

 

23,998

 

 

 

402,516

 

 

 

ZINIFEX

 

NPV

 

AUSTRALIA

 

82,562

 

 

 

1,222,766

 

 

 

ANDRITZ AG

 

NPV BR

 

AUSTRIA

 

1,672

 

 

 

362,246

 

 

 

BOEHLER UDDEHOLM

 

NPV

 

AUSTRIA

 

6,995

 

 

 

489,792

 

 

 

BWIN INTERACTIVE ENTERTAINMENT

 

NPV

 

AUSTRIA

 

3,601

 

 

 

77,115

 

 

 

ERSTE BANK DER OST

 

NPV

 

AUSTRIA

 

31,672

 

 

 

2,426,506

 

 

 

FLUGHAFEN WIEN AG

 

NPV

 

AUSTRIA

 

1,743

 

 

 

171,002

 

 

 

IMMOEAST AG

 

NPV (BR)

 

AUSTRIA

 

47,643

 

 

 

669,081

 

 

 

IMMOFINANZ IMMOBIL NPV

 

NPV

 

AUSTRIA

 

76,701

 

 

 

1,092,332

 

 

 

MAYR MELNHOF KARTO

 

ATS100

 

AUSTRIA

 

721

 

 

 

135,006

 

 

 

OEST ELEKTRIZITATS

 

CLASS A NPV

 

AUSTRIA

 

13,207

 

 

 

703,931

 

 

 

OMV AG

 

NPV(VAR)

 

AUSTRIA

 

28,277

 

 

 

1,602,989

 

 

 

RAIFFEIS INTL BANK HOLDING AG

 

NPV (REGD)

 

AUSTRIA

 

6,118

 

 

 

931,877

 

 

 

RHI AG

 

NPV

 

AUSTRIA

 

4,336

 

 

 

221,274

 

 

 

TELEKOM AUSTRIA

 

NPV

 

AUSTRIA

 

64,265

 

 

 

1,720,285

 

 

 

VOESTALPINE AG

 

NPV

 

AUSTRIA

 

15,488

 

 

 

873,503

 

 

 

WIENER STADT VERSI AG

 

NPV (BR)

 

AUSTRIA

 

5,401

 

 

 

378,892

 

 

 

WIENERBERGER AG

 

NPV

 

AUSTRIA

 

12,078

 

 

 

716,700

 

 

 

AGFA GEVAERT NV

 

ORD NPV

 

BELGIUM

 

16,812

 

 

 

429,195

 

 

 

BARCO

 

NPV

 

BELGIUM

 

1,884

 

 

 

171,419

 

 

 

BEKAERT SA

 

NEW NPV

 

BELGIUM

 

2,249

 

 

 

280,847

 

 

 

BELGACOM SA

 

NPV

 

BELGIUM

 

28,314

 

 

 

1,245,911

 

 

 

CMB(CIE MARITIME)

 

NPV (POST SPLIT)

 

BELGIUM

 

2,928

 

 

 

125,908

 

 

 

COFINIMMO SA

 

NPV

 

BELGIUM

 

1,134

 

 

 

227,592

 

 

 

COLRUYT SA

 

NPV(POST SPLIT)

 

BELGIUM

 

2,778

 

 

 

592,708

 

 

 

D IETEREN TRADING

 

NPV

 

BELGIUM

 

462

 

 

 

164,306

 

 

 

DELHAIZE GROUP

 

NPV

 

BELGIUM

 

13,315

 

 

 

1,108,777

 

 

 

DEXIA

 

NPV

 

BELGIUM

 

99,810

 

 

 

2,731,001

 

 

 

EURONAV NV

 

NPV

 

BELGIUM

 

3,146

 

 

 

93,921

 

 

 

FORTIS

 

UNIT(FORTIS SA/NV NPV/0.42)

 

BELGIUM

 

203,683

 

 

 

8,680,722

 

 

 

GPE BRUXELLES LAM

 

NPV (NEW)

 

BELGIUM

 

12,798

 

 

 

1,536,568

 

 

 

INBEV

 

NPV

 

BELGIUM

 

31,893

 

 

 

2,100,263

 

 

 

KBC GROUP NV

 

NPV

 

BELGIUM

 

31,877

 

 

 

3,905,017

 

 

 

MOBISTAR

 

NPV

 

BELGIUM

 

5,502

 

 

 

469,050

 

 

 

OMEGA PHARMA

 

NPV

 

BELGIUM

 

3,388

 

 

 

255,323

 

 

 

SOLVAY

 

NPV

 

BELGIUM

 

11,048

 

 

 

1,692,854

 

 

 

UCB

 

NPV

 

BELGIUM

 

19,613

 

 

 

1,343,567

 

 

 

UMICORE

 

NPV

 

BELGIUM

 

4,294

 

 

 

730,435

 

 

 

BRILLIANCE CHINA

 

USD0.01

 

BERMUDA

 

400,000

 

 

 

67,376

 

 

 

CENT EURO MEDIA

 

COM USD0.08 CLASS A

 

BERMUDA

 

3,661

 

 

 

257,821

 

 

 

CHEUNG KONG INFRAS

 

HKD1

 

BERMUDA

 

77,000

 

 

 

238,606

 

 

 

COFCO INTERNATIONAL LTD

 

HKD0.10

 

BERMUDA

 

104,000

 

 

 

104,973

 

 

 

COSCO PACIFIC LTD

 

HKD0.10

 

BERMUDA

 

198,000

 

 

 

462,842

 

 

 

CREDICORP LTD

 

SHS

 

BERMUDA

 

8,300

 

 

 

339,802

 

 

 

ESPRIT HOLDINGS

 

HKD0.10

 

BERMUDA

 

179,781

 

 

 

2,012,271

 

 

 

FRONTLINE LTD

 

USD2.50

 

BERMUDA

 

8,930

 

 

 

288,280

 

 

 

GIORDANO INTL LTD

 

HKD0.05

 

BERMUDA

 

254,000

 

 

 

138,802

 

 

 

GOME ELECTRICAL AP

 

HKD0.1(POST CON)

 

BERMUDA

 

194,000

 

 

 

152,162

 

 

 

HOPSON DEVELOPMENT

 

HKD0.10

 

BERMUDA

 

116,000

 

 

 

328,137

 

 

 

JOHNSON ELEC HLDGS

 

HKD0.0125

 

BERMUDA

 

250,736

 

 

 

171,837

 

 

 

KERRY PROPERTIES

 

HKD1

 

BERMUDA

 

86,301

 

 

 

403,361

 

 

 

LI + FUNG

 

HKD0.025

 

BERMUDA

 

384,000

 

 

 

1,197,338

 

 

 

NINE DRAGONS PAPER

 

HKD0.1

 

BERMUDA

 

188,000

 

 

 

324,886

 

 

 

NOBLE GROUP

 

HKD0.25

 

BERMUDA

 

166,000

 

 

 

119,012

 

 

 

ORIENT O/SEAS INTL

 

USD0.10

 

BERMUDA

 

37,900

 

 

 

241,223

 

 

 

SCMP GROUP

 

HKD0.10

 

BERMUDA

 

395

 

 

 

150

 

 

 

SHANGRI LA ASIA LTD

 

HKD1

 

BERMUDA

 

216,242

 

 

 

564,430

 

 

 

SINOFERT HOLDINGS

 

HKD0.10 (POST CONS)

 

BERMUDA

 

300,000

 

 

 

124,594

 

 

 

TEXWINCA HLDGS

 

HKD0.05

 

BERMUDA

 

102,000

 

 

 

70,822

 

 

 

TPV TECHNOLOGY

 

USD0.01

 

BERMUDA

 

208,000

 

 

 

131,316

 

 

 

YUE YUEN INDL HLDG

 

HKD0.25

 

BERMUDA

 

113,738

 

 

 

359,761

 

 

 

ALL AMERICA LATINA

 

UNITS (REP 4 PRF + 1 COM ST)

 

BRAZIL

 

66,000

 

 

 

685,349

 

 

 

AMBEV CIA DE BEBID

 

PRF NPV

 

BRAZIL

 

3,427,767

 

 

 

1,692,193

 

 

 

ARACRUZ CELULOS SA

 

PRF B NPV

 

BRAZIL

 

30,400

 

 

 

186,956

 

 

 

BANCO NOSSA CAIXA

 

NPV

 

BRAZIL

 

5,236

 

 

 

117,718

 

 

 

BCO BRADESCO SA

 

PRF NPV

 

BRAZIL

 

81,428

 

 

 

3,299,074

 

 

 

BCO BRADESCO SA

 

PRF NPV (RECEIPTS DECEMBER 06)

 

BRAZIL

 

1,729

 

 

 

68,148

 

 

 

BCO ITAU HOLDING F

 

PRF NPV

 

BRAZIL

 

87,930

 

 

 

3,187,720

 

 

 

BRASIL TELECOM PAR

 

COM NPV

 

BRAZIL

 

12,933,021

 

 

 

212,017

 

 

 

BRASKEM S A

 

NEW PRF A NPV

 

BRAZIL

 

26,760

 

 

 

188,009

 

 

 

BRAXIL TELECOM PAR

 

PRF NPV

 

BRAZIL

 

24,869,185

 

 

 

213,281

 

 

 

CEMIG CIA ENERG MG

 

PREF BRL0.01

 

BRAZIL

 

15,438,789

 

 

 

759,212

 

 

 

CESP CIA ENERG SP

 

PRF NPV CLASS B

 

BRAZIL

 

25,170,048

 

 

 

294,731

 

 

 

CIA DE CONCESSOES

 

COM NPV

 

BRAZIL

 

24,100

 

 

 

325,660

 

 

 

CIA GAS SAO PAULO

 

PREF NPV

 

BRAZIL

 

370,000

 

 

 

61,349

 

 

 

CIA VALE RIO

 

COM STK NPV

 

BRAZIL

 

115,500

 

 

 

3,446,066

 

 

 

COPEL PARANA ENERG

 

PREF B NPV

 

BRAZIL

 

17,507,400

 

 

 

205,005

 

 

 

COSAN SA INDUSTRIA

 

COM NPV

 

BRAZIL

 

8,872

 

 

 

185,751

 

 

 

COTEMINAS CIA TEC

 

PREF SHS NPV

 

BRAZIL

 

556,100

 

 

 

65,117

 

 

 

CYRELA BRAZIL REAL

 

COM NPV

 

BRAZIL

 

30,000

 

 

 

286,511

 

 

 

DIAGNOSTICOS DA AM

 

COM NPV

 

BRAZIL

 

6,300

 

 

 

134,705

 

 



 

 

 

DURATEX SA

 

PRF NPV

 

BRAZIL

 

9,576

 

 

 

148,910

 

 

 

ELECTROBRAS (CENTR)

 

PREF B SHS NPV

 

BRAZIL

 

15,252,892

 

 

 

342,208

 

 

 

ELETROBRAS (CENTR)

 

COM NPV

 

BRAZIL

 

19,238,590

 

 

 

460,375

 

 

 

ELETROPAULO ELEC

 

PREF B NPV

 

BRAZIL

 

3,424,384

 

 

 

174,828

 

 

 

EMBRAER EMP AER BR

 

NEW COM NPV

 

BRAZIL

 

69,470

 

 

 

717,477

 

 

 

ENERGIAS DO BRASIL COM STK

 

NPV

 

BRAZIL

 

8,500

 

 

 

131,382

 

 

 

GAFISA SA

 

COM NPV

 

BRAZIL

 

9,240

 

 

 

138,232

 

 

 

GERDAU SA SIDERURG

 

COM NPV

 

BRAZIL

 

9,485

 

 

 

138,388

 

 

 

GERDAU SA SIDERURG

 

PRF NPV

 

BRAZIL

 

51,702

 

 

 

845,394

 

 

 

GOL LINHAS AEREAS

 

PRF NPV

 

BRAZIL

 

8,800

 

 

 

261,486

 

 

 

KLABIN SA

 

PRF NPV

 

BRAZIL

 

97,000

 

 

 

243,068

 

 

 

LOJAS AMERICANAS

 

LOJAS AMERICANAS PN

 

BRAZIL

 

6,800,000

 

 

 

380,609

 

 

 

LOJAS RENNER SA

 

COM NPV

 

BRAZIL

 

20,000

 

 

 

287,588

 

 

 

NATURA COSMETICOS

 

COM NPV

 

BRAZIL

 

18,200

 

 

 

254,289

 

 

 

PAO DE ACUCAR CIA

 

PREF NPV

 

BRAZIL

 

4,888,844

 

 

 

171,671

 

 

 

PERDIGAO SA

 

COM NPV

 

BRAZIL

 

14,102

 

 

 

198,022

 

 

 

PETROL BRASILEIROS

 

PREF NPV

 

BRAZIL

 

219,952

 

 

 

5,130,496

 

 

 

PETROL BRASILIEROS

 

COM NPV

 

BRAZIL

 

195,272

 

 

 

4,983,780

 

 

 

SABESP CIA SANEAM

 

COM NPV

 

BRAZIL

 

2,430,000

 

 

 

333,485

 

 

 

SADIA SA

 

PRF NPV

 

BRAZIL

 

72,666

 

 

 

243,695

 

 

 

SIDER NACIONAL CIA

 

COM

 

BRAZIL

 

23,098

 

 

 

697,808

 

 

 

SOUZA CRUZ (CIA)

 

COM NPV

 

BRAZIL

 

13,053

 

 

 

232,631

 

 

 

SUBMARINO SA

 

COM NPV

 

BRAZIL

 

7,657

 

 

 

251,013

 

 

 

TAM SA

 

PRF NPV

 

BRAZIL

 

11,064

 

 

 

344,616

 

 

 

TELE NORTE LESTE P

 

COM NPV

 

BRAZIL

 

11,147

 

 

 

290,814

 

 

 

TELE NORTE LESTE P

 

PRF NPV

 

BRAZIL

 

38,030

 

 

 

570,005

 

 

 

TELEMIG CELULAR PA

 

PRF NPV

 

BRAZIL

 

38,414,331

 

 

 

72,870

 

 

 

TIMPARTICIPACOES

 

PRF NPV

 

BRAZIL

 

104,735,635

 

 

 

364,980

 

 

 

TRACTEBEL ENERGIA

 

COM NPV

 

BRAZIL

 

21,400

 

 

 

180,422

 

 

 

UNIBANCO UNIAO DE

 

UNITS COMP 1B PRF 1 PRF HLDG

 

BRAZIL

 

181,388

 

 

 

1,716,177

 

 

 

USIMINAS USI SD MG

 

PRF A NPV

 

BRAZIL

 

19,060

 

 

 

718,656

 

 

 

VALE RIO DOCE(CIA)

 

PREF A NPV

 

BRAZIL

 

118,308

 

 

 

3,019,486

 

 

 

VIVO PARTICIPACOES

 

PRF NPV

 

BRAZIL

 

85,764

 

 

 

351,090

 

 

 

VOTORANTIM CELULOS

 

NEW PRF STK NPV

 

BRAZIL

 

15,799

 

 

 

307,618

 

 

 

WEG SA

 

PRF NVP

 

BRAZIL

 

31,100

 

 

 

221,997

 

 

 

ABER DIAMOND CORP

 

COM

 

CANADA

 

9,900

 

 

 

365,816

 

 

 

ABITIBI CONSOLIDATED INC

 

COM

 

CANADA

 

67,089

 

 

 

172,378

 

 

 

ACE AVIATION HLDGS INC

 

SHS CL A VAR VTG

 

CANADA

 

12,600

 

 

 

409,172

 

 

 

AGNICO EAGLE MINES LTD

 

COM

 

CANADA

 

19,900

 

 

 

822,369

 

 

 

AGRIUM INC

 

COM

 

CANADA

 

22,387

 

 

 

702,948

 

 

 

ALCAN INC

 

COM

 

CANADA

 

63,257

 

 

 

3,086,476

 

 

 

ALGOMA STL INC

 

COM NEW

 

CANADA

 

6,500

 

 

 

183,767

 

 

 

ALIMENTATION COUCHE TARD INC

 

SUB VTG SH

 

CANADA

 

22,700

 

 

 

494,496

 

 

 

ANGIOTECH PHARMACEUTICALS INC

 

COM

 

CANADA

 

14,300

 

 

 

117,846

 

 

 

ARC ENERGY TR

 

TR UNIT

 

CANADA

 

16,000

 

 

 

306,608

 

 

 

ASTRAL MEDIA INC

 

CL A

 

CANADA

 

8,300

 

 

 

284,798

 

 

 

BANK MONTREAL QUE

 

COM

 

CANADA

 

84,944

 

 

 

5,036,638

 

 

 

BANK N S HALIFAX

 

COM

 

CANADA

 

168,000

 

 

 

7,521,526

 

 

 

BARRICK GOLD CORP

 

COM

 

CANADA

 

146,525

 

 

 

4,513,982

 

 

 

BCE INC

 

COM NEW

 

CANADA

 

47,967

 

 

 

1,294,289

 

 

 

BEMA GOLD CORP

 

COMMON SHARES

 

CANADA

 

81,500

 

 

 

427,215

 

 

 

BIOVAIL CORP

 

COM

 

CANADA

 

23,277

 

 

 

492,063

 

 

 

BOMBARDIER INC

 

CLASS B

 

CANADA

 

244,099

 

 

 

828,556

 

 

 

BROOKFIELD ASSET MGMT INC

 

VOTING SHS CL A

 

CANADA

 

59,267

 

 

 

2,870,403

 

 

 

BROOKFIELD PPTYS CORP

 

COM

 

CANADA

 

20,795

 

 

 

821,114

 

 

 

CAE INC

 

COM

 

CANADA

 

42,651

 

 

 

394,000

 

 

 

CAMECO CORP

 

COM

 

CANADA

 

59,668

 

 

 

2,420,151

 

 

 

CANADIAN NATL RY CO

 

COM

 

CANADA

 

90,242

 

 

 

3,882,802

 

 

 

CANADIAN NATURAL RES LTD

 

COM

 

CANADA

 

91,320

 

 

 

4,877,149

 

 

 

CANADIAN OIL SANDS TR NEW

 

UNIT

 

CANADA

 

38,800

 

 

 

1,087,280

 

 

 

CANADIAN PAC RY

 

LTD COM

 

CANADA

 

26,852

 

 

 

1,416,785

 

 

 

CANADIAN TIRE LTD

 

CL A

 

CANADA

 

13,462

 

 

 

819,959

 

 

 

CANETIC RES TR

 

COM

 

CANADA

 

34,100

 

 

 

481,743

 

 

 

CANFOR CORPORATION NEW

 

COM

 

CANADA

 

15,900

 

 

 

147,427

 

 

 

CDN IMPERIAL BK OF COMMERCE

 

COM

 

CANADA

 

57,015

 

 

 

4,816,168

 

 

 

CELESTICA INC

 

SUB VTG SHS

 

CANADA

 

33,280

 

 

 

259,674

 

 

 

CGI GROUPE INC

 

CL A SUB VTG

 

CANADA

 

47,330

 

 

 

330,663

 

 

 

CI FINL INCOME FD

 

FUND UNITS

 

CANADA

 

10,019

 

 

 

230,049

 

 

 

COGNOS INC

 

COM

 

CANADA

 

15,703

 

 

 

668,629

 

 

 

COTT CORP QUE

 

COM

 

CANADA

 

10,500

 

 

 

150,593

 

 

 

DOMTAR INC

 

COM NPV

 

CANADA

 

33,288

 

 

 

281,762

 

 

 

DUVERNAY OIL CORP

 

COM

 

CANADA

 

6,800

 

 

 

201,774

 

 

 

ELDORADO GOLD CORP

 

COM

 

CANADA

 

55,900

 

 

 

303,110

 

 

 

ENBRIDGE INC

 

COM

 

CANADA

 

56,720

 

 

 

1,962,803

 

 

 

ENCANA CORP

 

COM

 

CANADA

 

140,292

 

 

 

6,469,080

 

 

 

ENERPLUS RES FD

 

TR UNIT NEW

 

CANADA

 

20,800

 

 

 

905,855

 

 

 

ENSIGN ENERGY SVCS INC

 

COM

 

CANADA

 

21,200

 

 

 

335,024

 

 

 

FAIRFAX FINL HLDGS LTD

 

SUB VTG

 

CANADA

 

2,960

 

 

 

589,278

 

 

 

FINNING INTL INC

 

COM NEW

 

CANADA

 

15,200

 

 

 

624,223

 

 

 

FIRST CALGARY PETROLEUMS LTD

 

COM

 

CANADA

 

36,100

 

 

 

216,222

 

 

 

FIRST QUANTUM MINERALS LTD

 

COM

 

CANADA

 

10,900

 

 

 

587,759

 

 

 

FORTIS INC

 

COM

 

CANADA

 

17,000

 

 

 

434,897

 

 

 

FOUR SEASONS HOTELS INC

 

LTD VTG SHS

 

CANADA

 

4,307

 

 

 

351,681

 

 

 

GILDAN ACTIVEWEAR INC

 

SUB VTG SHS CL A

 

CANADA

 

10,200

 

 

 

477,613

 

 

 

GOLDCORP INC NEW

 

COM

 

CANADA

 

119,168

 

 

 

3,390,610

 

 

 

GREAT WEST LIFECO INC

 

COM

 

CANADA

 

45,718

 

 

 

1,327,892

 

 

 

HARVEST ENERGY TR

 

TR UNIT

 

CANADA

 

17,600

 

 

 

396,707

 

 

 

HUSKY ENERGY INC

 

COM

 

CANADA

 

21,690

 

 

 

1,454,574

 

 

 

IGM FINL INC

 

COM

 

CANADA

 

20,300

 

 

 

856,518

 

 

 

IMPERIAL OIL LTD

 

COM NEW

 

CANADA

 

57,840

 

 

 

2,133,773

 

 

 

IPSCO INC

 

COM

 

CANADA

 

8,200

 

 

 

772,154

 

 

 

IVANHOE MINES LTD

 

COM

 

CANADA

 

39,500

 

 

 

390,350

 

 

 

JEAN COUTU GROUP PJC INC

 

CL A SUB VTG

 

CANADA

 

24,600

 

 

 

290,668

 

 



 

 

 

KINROSS GOLD CORP

 

COM

 

CANADA

 

59,200

 

 

 

703,054

 

 

 

LOBLAW COS LTD

 

COM

 

CANADA

 

18,711

 

 

 

784,489

 

 

 

MAGNA INTL INC

 

CL A SUB VTG

 

CANADA

 

18,428

 

 

 

1,486,497

 

 

 

MANULIFE FINL CORP

 

COM

 

CANADA

 

267,934

 

 

 

9,060,070

 

 

 

MDS INC

 

COM

 

CANADA

 

24,060

 

 

 

439,766

 

 

 

MERIDIAN GOLD INC

 

COM

 

CANADA

 

17,200

 

 

 

479,330

 

 

 

METHANEX CORP

 

COM

 

CANADA

 

19,900

 

 

 

545,510

 

 

 

MI DEVS INC

 

CL A SUB VTG SHS

 

CANADA

 

8,214

 

 

 

294,340

 

 

 

NATIONAL BK CDA MONTREAL QUE

 

COM

 

CANADA

 

28,235

 

 

 

1,597,484

 

 

 

NEXEN INC

 

COM

 

CANADA

 

44,590

 

 

 

2,459,979

 

 

 

NIKO RES LTD

 

COM

 

CANADA

 

5,400

 

 

 

386,775

 

 

 

NORTEL NETWORKS CORP

 

COM

 

CANADA

 

72,806

 

 

 

1,957,009

 

 

 

NOVA CHEMICALS CORP

 

COM

 

CANADA

 

13,951

 

 

 

389,626

 

 

 

NOVELIS INC

 

COM

 

CANADA

 

12,671

 

 

 

354,858

 

 

 

ONEX CORP

 

SUB VTG

 

CANADA

 

20,055

 

 

 

488,579

 

 

 

OPEN TEXT CORP

 

COM

 

CANADA

 

7,100

 

 

 

145,941

 

 

 

OPTI CDA INC

 

COM

 

CANADA

 

29,000

 

 

 

492,928

 

 

 

PAN AMERICAN SILVER CORP

 

COM

 

CANADA

 

11,900

 

 

 

300,645

 

 

 

PENN WEST ENERGY TR

 

TR UNIT

 

CANADA

 

40,040

 

 

 

1,223,875

 

 

 

PETRO CDA

 

COM

 

CANADA

 

86,104

 

 

 

3,533,098

 

 

 

POTASH CORP SASK INC

 

COM

 

CANADA

 

17,844

 

 

 

2,560,753

 

 

 

POWER CORP CDA

 

COM

 

CANADA

 

57,422

 

 

 

1,741,362

 

 

 

POWER FINL CORP

 

COM

 

CANADA

 

42,000

 

 

 

1,360,299

 

 

 

PRECISION DRILLING TR

 

TR UNIT

 

CANADA

 

10,100

 

 

 

234,339

 

 

 

PRIMEWEST ENERGY TR

 

TR UNIT NEW

 

CANADA

 

13,100

 

 

 

242,030

 

 

 

PROVIDENT ENERGY TR

 

TR UNIT

 

CANADA

 

30,900

 

 

 

340,944

 

 

 

QLT INC

 

COM

 

CANADA

 

13,678

 

 

 

116,011

 

 

 

QUEBECOR WORLD INC

 

COM SUB VTG

 

CANADA

 

14,036

 

 

 

162,831

 

 

 

RESEARCH IN MOTION LTD

 

COM

 

CANADA

 

28,500

 

 

 

3,649,136

 

 

 

RITCHIE BROS AUCTIONEERS INC

 

COM

 

CANADA

 

4,900

 

 

 

263,127

 

 

 

ROGERS COMMUNICATIONS INC

 

CL B

 

CANADA

 

74,542

 

 

 

2,222,744

 

 

 

RONA INC

 

COM

 

CANADA

 

19,500

 

 

 

351,895

 

 

 

ROYAL BK CDA MONTREAL QUE

 

COM

 

CANADA

 

218,860

 

 

 

10,438,025

 

 

 

S+P/TSE 60 INDEX FUTURE

 

7-Mar-07

 

CANADA

 

5,600

 

 

 

—

 

 

 

SAPUTO INC

 

COM

 

CANADA

 

8,000

 

 

 

254,086

 

 

 

SHAW COMMUNICATIONS

 

CL B NV

 

CANADA

 

30,716

 

 

 

974,244

 

 

 

SHELL CDA LTD

 

COM

 

CANADA

 

35,340

 

 

 

1,321,340

 

 

 

SHOPPERS DRUG MART CORP

 

COM

 

CANADA

 

32,700

 

 

 

1,407,530

 

 

 

SNC LAVALIN GROUP INC

 

COM

 

CANADA

 

25,900

 

 

 

700,415

 

 

 

SUN LIFE FINL INC

 

COM

 

CANADA

 

98,497

 

 

 

4,174,505

 

 

 

SUNCOR ENERGY INC

 

COM NPV

 

CANADA

 

78,067

 

 

 

6,157,747

 

 

 

TALISMAN ENERGY INC

 

COM

 

CANADA

 

184,949

 

 

 

3,146,851

 

 

 

TECK COMINCO LTD

 

CL B SUB VTG

 

CANADA

 

35,763

 

 

 

2,701,356

 

 

 

TELUS CORP

 

COM

 

CANADA

 

10,800

 

 

 

496,705

 

 

 

TELUS CORP

 

NON VTG SHS

 

CANADA

 

27,324

 

 

 

1,221,679

 

 

 

THOMSON CORP

 

COM

 

CANADA

 

39,049

 

 

 

1,623,434

 

 

 

TRANSALTA CORP

 

COM

 

CANADA

 

33,896

 

 

 

775,964

 

 

 

TRANSCANADA CORP

 

COM

 

CANADA

 

81,965

 

 

 

2,860,358

 

 

 

TRICAN WELL SVC LTD

 

COM

 

CANADA

 

18,700

 

 

 

326,531

 

 

 

TSX GROUP INC

 

COM

 

CANADA

 

11,700

 

 

 

468,623

 

 

 

UTS ENERGY CORP

 

COM

 

CANADA

 

69,500

 

 

 

269,352

 

 

 

WESTERN OIL SANDS INC

 

COM

 

CANADA

 

24,600

 

 

 

691,472

 

 

 

WESTON GEORGE LTD

 

COM

 

CANADA

 

8,815

 

 

 

572,668

 

 

 

YAMANA GOLD INC

 

COM

 

CANADA

 

52,600

 

 

 

692,022

 

 

 

YELLOW PAGES INCOME FD

 

UNIT

 

CANADA

 

42,700

 

 

 

472,243

 

 

 

AGILE PROPERTY HLD

 

HKD0.10

 

CAYMAN ISLANDS

 

220,000

 

 

 

206,217

 

 

 

ASM PACIFIC TECH

 

HKD0.10

 

CAYMAN ISLANDS

 

29,500

 

 

 

164,242

 

 

 

CHAODA MODERN AGRICULTURE

 

HKD0.10

 

CAYMAN ISLANDS

 

300,000

 

 

 

193,256

 

 

 

CHINA MENGNIU DAIRY

 

HKD0.1

 

CAYMAN ISLANDS

 

161,000

 

 

 

422,309

 

 

 

CHINA RESOURCES LAND LIMITED

 

HKD0.10

 

CAYMAN ISLANDS

 

198,000

 

 

 

237,022

 

 

 

FOXCONN INTERNATIONAL HLDGS

 

USD0.04

 

CAYMAN ISLANDS

 

362,000

 

 

 

1,191,578

 

 

 

FU JI FOOD + CATER

 

HKD0.01

 

CAYMAN ISLANDS

 

38,000

 

 

 

98,454

 

 

 

GLOBAL BIO CHEM TECH

 

HKD0.10

 

CAYMAN ISLANDS

 

254,000

 

 

 

85,568

 

 

 

HUTCHISON TELECOM

 

HKD0.25

 

CAYMAN ISLANDS

 

246,000

 

 

 

621,860

 

 

 

KINGBOARD CHEMICAL

 

HKD0.10

 

CAYMAN ISLANDS

 

94,000

 

 

 

369,244

 

 

 

LI NING CO LTD

 

HKD0.1

 

CAYMAN ISLANDS

 

120,000

 

 

 

192,562

 

 

 

SEMICONDUCTOR MFG

 

USD0.0004

 

CAYMAN ISLANDS

 

2,161,000

 

 

 

280,640

 

 

 

SOLOMON SYSTECH

 

HKD0.1

 

CAYMAN ISLANDS

 

418,386

 

 

 

65,093

 

 

 

TCL MULTIMEDIA TEC

 

 HKD0.10

 

CAYMAN ISLANDS

 

232,000

 

 

 

16,705

 

 

 

XINAO GAS HOLDINGS

 

HKD0.10

 

CAYMAN ISLANDS

 

104,000

 

 

 

117,677

 

 

 

AIR CHINA LTD

 

H CNY1

 

CHINA

 

438,000

 

 

 

237,099

 

 

 

ALUMINIUM CORP CHN

 

 H CNY1

 

CHINA

 

572,000

 

 

 

531,015

 

 

 

ANGANG STEEL COMPANY LTD.

 

H CNY1

 

CHINA

 

162,000

 

 

 

237,878

 

 

 

ANHUI CONCH CEMENT

 

H CNY1

 

CHINA

 

78,000

 

 

 

259,758

 

 

 

BANK OF CHINA LTD

 

H HKD1

 

CHINA

 

4,123,000

 

 

 

2,268,982

 

 

 

BANK OF COMMUNICAT

 

H CNY1.00

 

CHINA

 

1,043,000

 

 

 

1,255,261

 

 

 

BEIJING CAPITAL IN

 

H CNY1

 

CHINA

 

228,000

 

 

 

178,536

 

 

 

BYD CO

 

H SHS CNY1

 

CHINA

 

26,000

 

 

 

99,624

 

 

 

CHINA CONST BK

 

H CNY1

 

CHINA

 

4,468,000

 

 

 

2,843,756

 

 

 

CHINA COSCO HLDGS

 

CNY1.00 H SHS

 

CHINA

 

285,500

 

 

 

186,118

 

 

 

CHINA EAST AIRLINE

 

H CNY1

 

CHINA

 

264,000

 

 

 

57,367

 

 

 

CHINA INTL MARINE

 

B CNY1

 

CHINA

 

113,390

 

 

 

237,358

 

 

 

CHINA LIFE INSURANCE

 

HCNY1

 

CHINA

 

1,278,000

 

 

 

4,346,408

 

 

 

CHINA PETROLIUM + CHEMICAL

 

H SHS

 

CHINA

 

3,034,000

 

 

 

2,808,808

 

 

 

CHINA SHIPPING CONTAINER LINES

 

CNY1

 

CHINA

 

375,000

 

 

 

101,257

 

 

 

CHINA SHIPPING DEV

 

H CNY1

 

CHINA

 

235,000

 

 

 

359,574

 

 

 

CHINA TELECOM CORP

 

H CNY1

 

CHINA

 

2,510,000

 

 

 

1,374,856

 

 

 

DATANG INTL POWER

 

H CNY1

 

CHINA

 

259,000

 

 

 

269,748

 

 

 

DONGFENG MOTOR GRO

 

H CNY1

 

CHINA

 

440,000

 

 

 

213,289

 

 

 

GUANGDON ELECTRIC

 

B CNY1

 

CHINA

 

112,000

 

 

 

68,981

 

 

 

GUANGSHEN RAILWAY

 

H CNY1

 

CHINA

 

261,000

 

 

 

177,865

 

 

 

GUANGZHOU R+F PROP

 

H CNY0.25(POST SUBD)

 

CHINA

 

184,000

 

 

 

396,994

 

 

 

HUADIAN POWER INTL

 

H CNY1

 

CHINA

 

262,000

 

 

 

103,085

 

 



 

 

 

HUANENG POWER INTL

 

H CNY1

 

CHINA

 

448,000

 

 

 

399,771

 

 

 

HUNAN NONFERROUS M

 

H CNY1

 

CHINA

 

234,000

 

 

 

135,395

 

 

 

INDUSTRIAL + COM B

 

H CNY1

 

CHINA

 

5,254,000

 

 

 

3,276,467

 

 

 

JIANGSU EXPRESSWAY

 

H CNY1

 

CHINA

 

222,000

 

 

 

139,869

 

 

 

JIANGXI COPPER CO

 

H CNY 1

 

CHINA

 

252,000

 

 

 

256,625

 

 

 

MAANSHAN IRON + ST

 

H CNY1

 

CHINA

 

316,000

 

 

 

173,496

 

 

 

PETROCHINA CO

 

H CNY1

 

CHINA

 

3,432,000

 

 

 

4,862,984

 

 

 

PICC PROPERTY + CA

 

H CNY1

 

CHINA

 

422,000

 

 

 

215,958

 

 

 

PING AN INSURANCE

 

H CNY1

 

CHINA

 

193,000

 

 

 

1,065,846

 

 

 

QINGLING MOTORS

 

CNYU1 H SHS

 

CHINA

 

86,045

 

 

 

14,051

 

 

 

SHANGHAI ELECTRIC

 

CNY1 H SHS

 

CHINA

 

512,000

 

 

 

213,957

 

 

 

SHANGHAI FORTE LAN

 

H CNY0.20

 

CHINA

 

178,000

 

 

 

79,648

 

 

 

SHENZHEN EXPRESSWAY

 

H CNY1

 

CHINA

 

130,000

 

 

 

78,061

 

 

 

SINOPEC S/PETROCHE

 

ORD H CNY1

 

CHINA

 

407,000

 

 

 

200,955

 

 

 

SINOPEC YIZHENG CHEM

 

H CNY1

 

CHINA

 

230,000

 

 

 

52,049

 

 

 

SINOTRANS LIMITED

 

 H SHARES CNY1

 

CHINA

 

277,000

 

 

 

100,083

 

 

 

TSINGTAO BREWERY

 

SER H CNYU1

 

CHINA

 

54,000

 

 

 

91,096

 

 

 

WEICHAI POWER CO

 

H CNY1

 

CHINA

 

23,000

 

 

 

81,179

 

 

 

WEIQIAO TEXTILE CO

 

H CNY1

 

CHINA

 

69,500

 

 

 

93,653

 

 

 

YANZHOU COAL MININ

 

H CNY1

 

CHINA

 

354,800

 

 

 

286,951

 

 

 

ZHEJIANG EXPRESSWA

 

H CNY1

 

CHINA

 

260,000

 

 

 

199,248

 

 

 

ZHEJIANG SOUTHEAST

 

B CNY1

 

CHINA

 

116,300

 

 

 

64,314

 

 

 

ZIJIN MINING GROUP CO LTD

 

H CNY0.01

 

CHINA

 

580,000

 

 

 

404,205

 

 

 

ZTE CORPN

 

H CNY1

 

CHINA

 

29,200

 

 

 

134,413

 

 

 

CEZ

 

CZK100

 

CZECH REPUBLIC

 

35,807

 

 

 

1,639,938

 

 

 

KOMERCNI BANKA

 

ORD CZK500

 

CZECH REPUBLIC

 

1,457

 

 

 

216,383

 

 

 

PHILIP MORRIS CR AS

 

CZK1000

 

CZECH REPUBLIC

 

101

 

 

 

52,427

 

 

 

TELEFONICA O2 CZEC

 

CZK100

 

CZECH REPUBLIC

 

20,090

 

 

 

461,883

 

 

 

UNIPETROL

 

CZK100

 

CZECH REPUBLIC

 

8,580

 

 

 

96,184

 

 

 

A P MOLLER MAERSK

 

SER B DKK1000

 

DENMARK

 

205

 

 

 

1,929,207

 

 

 

BANG + OLUFSEN A/S

 

DKK10 SER B

 

DENMARK

 

2,081

 

 

 

267,989

 

 

 

CARLSBERG

 

B DKK20

 

DENMARK

 

5,118

 

 

 

507,898

 

 

 

CODAN

 

DKK20

 

DENMARK

 

2,350

 

 

 

228,220

 

 

 

COLOPLAST

 

SER B DKK5

 

DENMARK

 

4,254

 

 

 

384,531

 

 

 

DANISCO

 

DKK20

 

DENMARK

 

8,636

 

 

 

734,803

 

 

 

DANSKE BANK A/S

 

DKK10

 

DENMARK

 

84,100

 

 

 

3,734,075

 

 

 

DSV

 

DKK2

 

DENMARK

 

3,689

 

 

 

673,444

 

 

 

FLSMIDTH + CO A/S

 

DKK20

 

DENMARK

 

4,383

 

 

 

278,342

 

 

 

GN STORE NORD

 

DKK4

 

DENMARK

 

38,246

 

 

 

564,919

 

 

 

H LUNDBECK A S

 

DKK5

 

DENMARK

 

9,872

 

 

 

271,986

 

 

 

JYSKE BANK A/S

 

DKK10

 

DENMARK

 

7,988

 

 

 

566,625

 

 

 

NKT HOLDING

 

DKK20

 

DENMARK

 

3,595

 

 

 

317,649

 

 

 

NOVO NORDISK AS

 

DKK2 SER B

 

DENMARK

 

41,370

 

 

 

3,443,170

 

 

 

NOVO NORDISK AS

 

DKK2 SER B

 

DENMARK

 

2,550

 

 

 

212,233

 

 

 

NOVOZYMES AS B SHS

 

SER B DKK10

 

DENMARK

 

8,423

 

 

 

724,130

 

 

 

OSTASIATISKE KOMPA

 

DKK70

 

DENMARK

 

3,071

 

 

 

171,664

 

 

 

SYDBANK

 

DKK10

 

DENMARK

 

10,330

 

 

 

493,375

 

 

 

TOPDANMARK ARIN

 

DKK10(REGD)

 

DENMARK

 

3,410

 

 

 

563,397

 

 

 

TORM D/S

 

DKK10

 

DENMARK

 

2,200

 

 

 

143,992

 

 

 

TRYGVESTA A/S

 

DKK25.00

 

DENMARK

 

4,302

 

 

 

328,371

 

 

 

VESTAS WIND SYSTEMS

 

DKK1

 

DENMARK

 

33,717

 

 

 

1,423,986

 

 

 

WILLIAM DEMANT HOL

 

DKK1

 

DENMARK

 

4,817

 

 

 

390,261

 

 

 

AL WATANY BK EGYPT

 

EGP10

 

EGYPT

 

8,253

 

 

 

47,369

 

 

 

ALEXANDRIA MINERAL

 

EGP10

 

EGYPT

 

2,992

 

 

 

40,857

 

 

 

ALEXANDRIA NAT IRON

 

EGP100

 

EGYPT

 

475

 

 

 

79,260

 

 

 

CALYON BANK EGYPT

 

EGP10

 

EGYPT

 

9,960

 

 

 

28,164

 

 

 

COMMERCIAL INTL BK

 

EGP10

 

EGYPT

 

28,759

 

 

 

292,059

 

 

 

EASTERN TOBACCO CO

 

EGP15

 

EGYPT

 

1,954

 

 

 

106,061

 

 

 

EFG HERMES HLDGS

 

EGP5

 

EGYPT

 

30,272

 

 

 

213,077

 

 

 

EGYPT INT PHARM ID

 

EGP10

 

EGYPT

 

5,929

 

 

 

27,095

 

 

 

EGYPT MEDIA PRODUCT

 

EGP10

 

EGYPT

 

6,705

 

 

 

13,372

 

 

 

EGYPTIAN FIN + IND

 

EGP40

 

EGYPT

 

1,128

 

 

 

14,167

 

 

 

EL EZZ STEEL REBAR

 

EGP5

 

EGYPT

 

5,228

 

 

 

48,470

 

 

 

MISR BENI SUEF CEMENT

 

EGP10

 

EGYPT

 

2,431

 

 

 

46,822

 

 

 

MOBINIL

 

EGP10

 

EGYPT

 

5,992

 

 

 

188,848

 

 

 

OLYMPIC GRP FIN IV

 

EGP10

 

EGYPT

 

5,233

 

 

 

47,655

 

 

 

ORASCOM CONSTR IND

 

EGP5

 

EGYPT

 

14,023

 

 

 

677,425

 

 

 

ORASCOM FOR PROJEC

 

EGP5

 

EGYPT

 

12,156

 

 

 

88,351

 

 

 

ORASCOM TEL HLDG

 

EGP10

 

EGYPT

 

17,194

 

 

 

1,136,573

 

 

 

ORIENTAL WEAVERS

 

EGP5

 

EGYPT

 

2,780

 

 

 

38,488

 

 

 

SIDI KRIER PETROCH

 

COM STK

 

EGYPT

 

4,557

 

 

 

90,522

 

 

 

TELECOM EGYPT

 

EGP10 (POST SUBDIVISION)

 

EGYPT

 

59,249

 

 

 

147,312

 

 

 

AMER SPORTS CORP

 

A NPV

 

FINLAND

 

12,400

 

 

 

272,739

 

 

 

CARGOTEC CORP

 

NPV ORD B

 

FINLAND

 

6,606

 

 

 

366,733

 

 

 

ELISA CORPORATION

 

SER A EUR0.5

 

FINLAND

 

27,385

 

 

 

749,308

 

 

 

FORTUM OYJ

 

EUR3.40

 

FINLAND

 

76,750

 

 

 

2,182,011

 

 

 

KESKO OYJ

 

NPV SER B

 

FINLAND

 

11,200

 

 

 

591,051

 

 

 

KONE CORPORATION NPV

 

ORD B

 

FINLAND

 

13,182

 

 

 

746,403

 

 

 

KONECRANES OYJ

 

NPV

 

FINLAND

 

9,500

 

 

 

279,356

 

 

 

METSO OYJ

 

FIM50

 

FINLAND

 

26,000

 

 

 

1,311,055

 

 

 

NESTE OIL OYJ

 

NPV

 

FINLAND

 

22,236

 

 

 

675,274

 

 

 

NOKIA OYJ

 

EUR0.06

 

FINLAND

 

738,520

 

 

 

15,075,196

 

 

 

NOKIAN RENKAAT OYJ

 

EUR0.20

 

FINLAND

 

17,450

 

 

 

357,122

 

 

 

OKO BANK

 

NPV SER A

 

FINLAND

 

16,000

 

 

 

267,950

 

 

 

ORION CORPORATION

 

SER B NPV

 

FINLAND

 

13,590

 

 

 

294,792

 

 

 

OUTOKUMPU OYJ

 

NPV

 

FINLAND

 

17,300

 

 

 

676,623

 

 

 

RAUTARUUKKI OY

 

K FIM10

 

FINLAND

 

14,400

 

 

 

572,505

 

 

 

SAMPO OYJ

 

SER A NPV

 

FINLAND

 

78,000

 

 

 

2,085,894

 

 

 

SANOMA WSOY OYJ

 

ORDINARY

 

FINLAND

 

10,520

 

 

 

296,172

 

 

 

STORA ENSO OYJ

 

NPV SER R

 

FINLAND

 

102,124

 

 

 

1,615,990

 

 

 

TIETOENATOR OYJ

 

ORD NPV

 

FINLAND

 

13,670

 

 

 

440,554

 

 

 

UPM KYMMENE OY

 

NPV

 

FINLAND

 

90,916

 

 

 

2,292,229

 

 



 

 

 

UPONOR OYJ

 

EUR2

 

FINLAND

 

10,300

 

 

 

385,188

 

 

 

WARTSILA

 

B EUR3.5

 

FINLAND

 

11,150

 

 

 

600,028

 

 

 

YIT CORP

 

EUR0.5(POST SUBDIVISION)

 

FINLAND

 

21,557

 

 

 

595,528

 

 

 

ACCOR

 

EUR3

 

FRANCE

 

34,593

 

 

 

2,677,664

 

 

 

AIR FRANCE KLM

 

EUR8.50

 

FRANCE

 

20,506

 

 

 

862,314

 

 

 

AIR LIQUIDE(L )

 

EUR11

 

FRANCE

 

20,561

 

 

 

4,877,588

 

 

 

ALCATEL LUCENT

 

EUR2

 

FRANCE

 

393,803

 

 

 

5,660,245

 

 

 

ALSTOM

 

EUR14

 

FRANCE

 

18,760

 

 

 

2,540,581

 

 

 

ATOS ORIGIN

 

EUR1

 

FRANCE

 

11,526

 

 

 

682,881

 

 

 

AUTOROUTES PARIS

 

EUR0.30

 

FRANCE

 

3,722

 

 

 

296,935

 

 

 

AXA

 

EUR2.29

 

FRANCE

 

284,494

 

 

 

11,505,795

 

 

 

BIC

 

EUR3.82

 

FRANCE

 

5,115

 

 

 

355,793

 

 

 

BNP PARIBAS

 

EUR2

 

FRANCE

 

142,905

 

 

 

15,574,712

 

 

 

BOUYGUES

 

EUR1

 

FRANCE

 

34,762

 

 

 

2,229,147

 

 

 

BUSINESS OBJECTS

 

EUR0.10

 

FRANCE

 

16,450

 

 

 

644,897

 

 

 

CAC 40 INDEX FUTURE

 

7-Mar-07

 

FRANCE

 

550

 

 

 

—

 

 

 

CAP GEMINI

 

EUR8

 

FRANCE

 

23,339

 

 

 

1,463,398

 

 

 

CARREFOUR

 

EUR2.50

 

FRANCE

 

102,247

 

 

 

6,194,001

 

 

 

CASINO GUICH PERR

 

EUR1.53

 

FRANCE

 

7,334

 

 

 

680,837

 

 

 

CIE DE ST GOBAIN

 

EUR4

 

FRANCE

 

53,858

 

 

 

4,520,416

 

 

 

CNP ASSURANCES

 

EUR4

 

FRANCE

 

7,097

 

 

 

791,726

 

 

 

CREDIT AGRICOLE SA

 

EUR3

 

FRANCE

 

102,207

 

 

 

4,293,942

 

 

 

DASSAULT SYSTEMES

 

EUR1

 

FRANCE

 

9,622

 

 

 

510,060

 

 

 

ESSILOR INTL

 

EUR0.35

 

FRANCE

 

16,780

 

 

 

1,802,241

 

 

 

FRANCE TELECOM

 

EUR4

 

FRANCE

 

288,737

 

 

 

7,976,570

 

 

 

GAZ DE FRANCE

 

EUR1

 

FRANCE

 

33,579

 

 

 

1,543,122

 

 

 

GECINA

 

EUR7.5

 

FRANCE

 

2,089

 

 

 

399,426

 

 

 

GROUPE DANONE

 

EUR0.50

 

FRANCE

 

40,464

 

 

 

6,125,484

 

 

 

HERMES INTL

 

NPV

 

FRANCE

 

10,950

 

 

 

1,368,116

 

 

 

IMERYS

 

EUR2

 

FRANCE

 

5,405

 

 

 

480,380

 

 

 

KLEPIERRE

 

EUR4

 

FRANCE

 

3,151

 

 

 

594,175

 

 

 

LAFARGE

 

EUR4

 

FRANCE

 

25,554

 

 

 

3,797,629

 

 

 

LAGARDERE SCA

 

EUR6.10(REGD)

 

FRANCE

 

20,641

 

 

 

1,660,314

 

 

 

LOREAL

 

EUR0.2

 

FRANCE

 

49,114

 

 

 

4,915,603

 

 

 

LVMH MOET HENNESSY LOUIS VUITT

 

EUR0.30

 

FRANCE

 

41,804

 

 

 

4,407,233

 

 

 

METROPOLE TV (M6)

 

EUR0.4

 

FRANCE

 

11,253

 

 

 

401,537

 

 

 

MICHELIN(CGDE)

 

EUR2(REGD)

 

FRANCE

 

24,470

 

 

 

2,339,385

 

 

 

NEOPOST

 

EUR1

 

FRANCE

 

5,374

 

 

 

674,274

 

 

 

PAGESJAUNES GROUPE

 

EUR0.20

 

FRANCE

 

21,076

 

 

 

418,824

 

 

 

PERNOD RICARD

 

NPV

 

FRANCE

 

12,841

 

 

 

2,946,306

 

 

 

PEUGEOT SA

 

EUR1

 

FRANCE

 

26,024

 

 

 

1,722,691

 

 

 

PPR

 

EUR4

 

FRANCE

 

11,293

 

 

 

1,685,720

 

 

 

PUBLICIS GROUPE SA

 

EUR0.40

 

FRANCE

 

23,732

 

 

 

999,850

 

 

 

RENAULT (REGIE NATIONALE)

 

EUR3.81

 

FRANCE

 

31,606

 

 

 

3,792,632

 

 

 

SAFRAN SA

 

EUR0.20

 

FRANCE

 

27,991

 

 

 

648,884

 

 

 

SANOFI AVENTIS

 

EUR2

 

FRANCE

 

173,578

 

 

 

16,010,767

 

 

 

SCHNEIDER ELECTRIC

 

EUR8

 

FRANCE

 

38,672

 

 

 

4,288,667

 

 

 

SCOR

 

EUR0.7876972

 

FRANCE

 

170,742

 

 

 

504,334

 

 

 

SOC GENERALE

 

EUR1.25

 

FRANCE

 

62,892

 

 

 

10,665,129

 

 

 

SODEXHO ALLIANCE

 

EUR4

 

FRANCE

 

16,282

 

 

 

1,020,482

 

 

 

SUEZ

 

EUR 2

 

FRANCE

 

172,291

 

 

 

8,912,728

 

 

 

SUEZ

 

EUR2

 

FRANCE

 

1,262

 

 

 

65,534

 

 

 

SUEZ LYONN EAUX

 

VVPR STRIP

 

FRANCE

 

16,360

 

 

 

216

 

 

 

TECHNIP

 

NPV

 

FRANCE

 

18,033

 

 

 

1,236,520

 

 

 

TF1 TV FRANCAISE

 

EUR0.20

 

FRANCE

 

20,165

 

 

 

747,461

 

 

 

THALES

 

EUR3

 

FRANCE

 

14,468

 

 

 

720,776

 

 

 

THOMSON SA

 

EUR3.75

 

FRANCE

 

44,378

 

 

 

866,668

 

 

 

TOTAL SA

 

EUR2.5 (POSTDIVISION)

 

FRANCE

 

373,431

 

 

 

26,911,027

 

 

 

UNIBAIL

 

EUR5

 

FRANCE

 

7,834

 

 

 

1,912,140

 

 

 

VALEO

 

EUR3

 

FRANCE

 

11,790

 

 

 

490,193

 

 

 

VALLOUREC USIN A T

 

EUR4 POST SUBDIVISION

 

FRANCE

 

6,784

 

 

 

1,970,743

 

 

 

VEOLIA ENVIRONNEMENT

 

EUR5.00

 

FRANCE

 

48,722

 

 

 

3,752,042

 

 

 

VINCI

 

EUR5

 

FRANCE

 

36,472

 

 

 

4,655,482

 

 

 

VIVENDI SA

 

EUR5.5

 

FRANCE

 

197,091

 

 

 

7,695,466

 

 

 

ZODIAC

 

NPV

 

FRANCE

 

7,010

 

 

 

470,506

 

 

 

ADIDAS AG

 

NPV

 

GERMANY

 

33,208

 

 

 

1,652,187

 

 

 

ALLIANZ SE

 

NPV(REGD)(VINKULIERT)

 

GERMANY

 

71,450

 

 

 

14,581,113

 

 

 

ALTANA AG

 

NPV

 

GERMANY

 

11,582

 

 

 

717,813

 

 

 

BASF AG

 

NPV

 

GERMANY

 

84,360

 

 

 

8,215,175

 

 

 

BAYER AG

 

ORD NPV

 

GERMANY

 

119,971

 

 

 

6,432,405

 

 

 

BEIERSDORF AG

 

NPV

 

GERMANY

 

8,329

 

 

 

539,487

 

 

 

BILFINGER BERGER AG

 

DEM5

 

GERMANY

 

5,870

 

 

 

429,751

 

 

 

CELESIO AG

 

NPV

 

GERMANY

 

14,026

 

 

 

751,653

 

 

 

COMMERZBANK AG

 

NPV

 

GERMANY

 

102,567

 

 

 

3,901,964

 

 

 

CONTINENTAL AG

 

ORD NPV

 

GERMANY

 

21,444

 

 

 

2,491,216

 

 

 

DAIMLERCHRYSLER AG

 

ORD NPV(REGD)

 

GERMANY

 

151,401

 

 

 

9,343,387

 

 

 

DAX INDEX

 

7-Mar-07

 

GERMANY

 

925

 

 

 

—

 

 

 

DEUTSCHE BANK AG

 

ORD NPV (REGD)

 

GERMANY

 

85,817

 

 

 

11,467,902

 

 

 

DEUTSCHE BOERSE AG

 

NPV

 

GERMANY

 

16,830

 

 

 

3,094,133

 

 

 

DEUTSCHE LUFTHANSA

 

ORD NPV (REGD)(VINK)

 

GERMANY

 

37,480

 

 

 

1,030,470

 

 

 

DEUTSCHE POST AG

 

NPV REGD

 

GERMANY

 

127,192

 

 

 

3,830,766

 

 

 

DEUTSCHE TELEKOM

 

NPV(REGD)

 

GERMANY

 

468,351

 

 

 

8,547,464

 

 

 

DOUGLAS HLDG AG

 

NPV

 

GERMANY

 

4,753

 

 

 

245,500

 

 

 

DT POSTBANK AG

 

NPV

 

GERMANY

 

13,548

 

 

 

1,142,829

 

 

 

E ON AG

 

NPV

 

GERMANY

 

102,899

 

 

 

13,952,779

 

 

 

FRESENIUS MEDICAL CARE AG+CO

 

NPV

 

GERMANY

 

10,336

 

 

 

1,376,178

 

 

 

HEIDELBERGER DRUCK

 

ORD NPV

 

GERMANY

 

9,608

 

 

 

454,585

 

 

 

HENKEL KGAA

 

NON VTG PRF NPV

 

GERMANY

 

9,776

 

 

 

1,437,103

 

 

 

HOCHTIEF AG

 

NPV

 

GERMANY

 

6,743

 

 

 

490,820

 

 

 

HYPO REAL ESTATE

 

NPV

 

GERMANY

 

22,071

 

 

 

1,389,422

 

 

 

INFINEON TECHNOLOGIES AG

 

ORD NPV

 

GERMANY

 

124,208

 

 

 

1,749,245

 

 

 

IVG IMMOBILEN AG

 

NPV

 

GERMANY

 

13,884

 

 

 

595,747

 

 

 

KARSTADT QUELLE AG

 

NPV

 

GERMANY

 

10,510

 

 

 

304,344

 

 



 

 

 

LINDE AG

 

NPV

 

GERMANY

 

18,150

 

 

 

1,873,036

 

 

 

MAN AG

 

ORD NPV

 

GERMANY

 

20,872

 

 

 

1,884,216

 

 

 

MERCK KGAA

 

ORD NPV

 

GERMANY

 

8,444

 

 

 

874,518

 

 

 

METRO AG

 

ORD NPV

 

GERMANY

 

26,775

 

 

 

1,705,675

 

 

 

MLP AG

 

NPV

 

GERMANY

 

9,051

 

 

 

179,504

 

 

 

MUENCHENER RUCKVERS AG

 

NPV(REGD)

 

GERMANY

 

34,795

 

 

 

5,983,989

 

 

 

PORSCHE AG

 

NON VTG PRF NPV

 

GERMANY

 

1,278

 

 

 

1,624,668

 

 

 

PREMIERE AG

 

NPV (REGD)

 

GERMANY

 

9,887

 

 

 

165,576

 

 

 

PROSIEBENSAT1 MEDIA AG

 

NPV PREF

 

GERMANY

 

13,419

 

 

 

439,720

 

 

 

PUMA AG

 

NPV

 

GERMANY

 

1,901

 

 

 

741,172

 

 

 

RHEINMETALL AG

 

NPV

 

GERMANY

 

5,749

 

 

 

435,751

 

 

 

RWE AG (NEU)

 

NON VTG PFD NPV

 

GERMANY

 

6,438

 

 

 

611,242

 

 

 

RWE AG (NEU)

 

NPV

 

GERMANY

 

73,102

 

 

 

8,049,066

 

 

 

SALZGITTER AG

 

ORD NPV

 

GERMANY

 

6,766

 

 

 

883,723

 

 

 

SAP AG

 

NPV

 

GERMANY

 

145,728

 

 

 

7,736,535

 

 

 

SIEMENS AG

 

NPV (REGD)

 

GERMANY

 

139,864

 

 

 

13,858,201

 

 

 

SOLARWORLD AG

 

ORD SHS

 

GERMANY

 

5,802

 

 

 

364,179

 

 

 

SUEDZUCKER AG

 

NPV

 

GERMANY

 

11,002

 

 

 

265,928

 

 

 

THYSSENKRUPP AG

 

NPV

 

GERMANY

 

58,832

 

 

 

2,768,789

 

 

 

TUI AG

 

NPV (REGD)

 

GERMANY

 

36,837

 

 

 

735,428

 

 

 

VOLKSWAGEN AG

 

NON VTG PRF NPV

 

GERMANY

 

16,403

 

 

 

1,223,167

 

 

 

VOLKSWAGEN AG

 

ORD NPV

 

GERMANY

 

28,597

 

 

 

3,238,865

 

 

 

WINCOR NIXDORF AG

 

NPV

 

GERMANY

 

2,570

 

 

 

399,420

 

 

 

ALPHA BANK

 

EUR5.0(CR)

 

GREECE

 

65,031

 

 

 

1,963,748

 

 

 

BK OF PIRAEUS

 

EUR4.77(REGD)

 

GREECE

 

36,758

 

 

 

1,183,661

 

 

 

COCA COLA HELL BOT

 

EUR0.50(CB)

 

GREECE

 

18,338

 

 

 

715,770

 

 

 

COSMOTE MOBILE TEL

 

EUR0.47

 

GREECE

 

19,431

 

 

 

573,948

 

 

 

EFG EUROBANK ERGAS

 

EUR3.30(CR)

 

GREECE

 

39,319

 

 

 

1,422,710

 

 

 

FOLLI FOLLIE

 

EUR0.30 (CR)

 

GREECE

 

2,830

 

 

 

111,580

 

 

 

HELLENIC EXCHANGES SA HOLDING

 

EUR1.75(CR)

 

GREECE

 

7,820

 

 

 

143,747

 

 

 

HELLENIC PETROLEUM

 

EUR2.18

 

GREECE

 

18,301

 

 

 

251,945

 

 

 

HELLENIC TECHNODOM TEV

 

EUR0.81(REGD)

 

GREECE

 

20,357

 

 

 

227,098

 

 

 

INTRACOM HOLDINGS EUR1.41

 

GRD700

 

GREECE

 

14,618

 

 

 

99,079

 

 

 

NATL BK OF GREECE

 

EUR5.00 (REGD)

 

GREECE

 

63,842

 

 

 

2,938,067

 

 

 

OPAP (ORG OF FOOTB)

 

EUR0.30 (CR)

 

GREECE

 

38,193

 

 

 

1,474,635

 

 

 

OTE (HELLENIC TLCM)

 

EUR2.39(CR)

 

GREECE

 

50,341

 

 

 

1,510,859

 

 

 

PUBLIC POWER CORP

 

EUR4.60

 

GREECE

 

17,861

 

 

 

452,206

 

 

 

TECHNIKI OLYMPIAKI

 

EUR1

 

GREECE

 

13,640

 

 

 

45,685

 

 

 

TITAN CEMENT CO

 

EUR2

 

GREECE

 

9,828

 

 

 

535,236

 

 

 

VIOHALCO

 

EUR0.30

 

GREECE

 

18,783

 

 

 

233,812

 

 

 

BANK OF EAST ASIA

 

HKD 2.50

 

HONG KONG

 

253,304

 

 

 

1,439,588

 

 

 

BEIJING ENTERPRISE

 

ORD HKD0.10 H SHS

 

HONG KONG

 

54,000

 

 

 

115,954

 

 

 

BOC HONG KONG HOLDINGS LTD

 

HKD5

 

HONG KONG

 

641,500

 

 

 

1,744,540

 

 

 

CATHAY PACIFIC AIR

 

HKD0.20

 

HONG KONG

 

175,000

 

 

 

432,029

 

 

 

CHEUNG KONG(HLDGS)

 

HKD0.50

 

HONG KONG

 

261,000

 

 

 

3,216,670

 

 

 

CHINA EVERBRIGHT

 

HKD1

 

HONG KONG

 

128,000

 

 

 

149,770

 

 

 

CHINA MERCHANTS HLDGS INTL

 

HKD0.10

 

HONG KONG

 

194,180

 

 

 

796,469

 

 

 

CHINA MOBILE LTD

 

HKD0.10

 

HONG KONG

 

898,500

 

 

 

7,780,896

 

 

 

CHINA O/SEAS LAND

 

HKD0.10

 

HONG KONG

 

582,000

 

 

 

779,767

 

 

 

CHINA RES PWR HLDG

 

HKD1

 

HONG KONG

 

208,000

 

 

 

316,657

 

 

 

CHINA RESOURCES EN

 

HKD1

 

HONG KONG

 

210,000

 

 

 

603,491

 

 

 

CHINA STHN AIRLINE

 

 H  CNY1

 

HONG KONG

 

194,000

 

 

 

78,825

 

 

 

CHINA TRAVEL INTL

 

HKD0.10

 

HONG KONG

 

458,000

 

 

 

151,347

 

 

 

CITIC PACIFIC LTD

 

HKD0.40

 

HONG KONG

 

198,000

 

 

 

683,571

 

 

 

CLP HOLDINGS

 

HKD5

 

HONG KONG

 

313,000

 

 

 

2,318,146

 

 

 

CNOOC LTD

 

HKD0.02

 

HONG KONG

 

2,741,500

 

 

 

2,601,468

 

 

 

DENWAY MOTORS LTD

 

HKD0.10

 

HONG KONG

 

884,400

 

 

 

358,206

 

 

 

GUANGDONG INVEST

 

ORD HKD0.50

 

HONG KONG

 

438,000

 

 

 

197,677

 

 

 

GUANGZHOU INVMNT

 

HKD0.10

 

HONG KONG

 

608,000

 

 

 

170,425

 

 

 

HANG LUNG PROP

 

HKD1

 

HONG KONG

 

395,500

 

 

 

989,608

 

 

 

HANG SENG BANK

 

HKD5

 

HONG KONG

 

132,600

 

 

 

1,812,386

 

 

 

HENDERSON LAND DEV

 

HKD2

 

HONG KONG

 

152,000

 

 

 

849,195

 

 

 

HONG KONG ELECTRIC

 

HKD1

 

HONG KONG

 

240,500

 

 

 

1,173,548

 

 

 

HONG KONG EXCHANGE

 

HKD1

 

HONG KONG

 

184,000

 

 

 

2,025,189

 

 

 

HONGKONG+CHINA GAS

 

HKD0.25

 

HONG KONG

 

621,090

 

 

 

1,397,547

 

 

 

HOPEWELL HLDGS

 

HKD2.50

 

HONG KONG

 

109,000

 

 

 

382,616

 

 

 

HUTCHISON WHAMPOA

 

HKD0.25

 

HONG KONG

 

369,100

 

 

 

3,749,256

 

 

 

HYSAN DEVELOPMENT

 

HKD5

 

HONG KONG

 

111,452

 

 

 

291,626

 

 

 

LENOVO GROUP LTD

 

HKD0.025

 

HONG KONG

 

618,000

 

 

 

251,102

 

 

 

LINK REAL ESTATE I

 

NPV

 

HONG KONG

 

368,698

 

 

 

762,309

 

 

 

MELCO INTL DEV

 

HKD 0.50

 

HONG KONG

 

128,000

 

 

 

304,478

 

 

 

MTR CORP

 

HKD1

 

HONG KONG

 

241,387

 

 

 

603,991

 

 

 

NEW WORLD DEVEL CO

 

HKD1

 

HONG KONG

 

444,687

 

 

 

895,406

 

 

 

PCCW LIMITED

 

HKD0.25

 

HONG KONG

 

638,028

 

 

 

388,039

 

 

 

S/INDUSTRIAL HLDG

 

HKD0.10

 

HONG KONG

 

79,000

 

 

 

168,214

 

 

 

SHENZHEN INVESTMEN

 

HKD0.05

 

HONG KONG

 

256,800

 

 

 

106,653

 

 

 

SHUN TAK HLDGS

 

HKD0.25

 

HONG KONG

 

172,000

 

 

 

263,178

 

 

 

SINO LAND CO

 

HKD1.00

 

HONG KONG

 

228,938

 

 

 

534,574

 

 

 

SUN HUNG KAI PROPS

 

HKD0.50

 

HONG KONG

 

238,000

 

 

 

2,735,826

 

 

 

SWIRE PACIFIC

 

 A HKD0.60

 

HONG KONG

 

161,500

 

 

 

1,742,242

 

 

 

TECHTRONIC INDUSTR

 

ORD HKD0.1

 

HONG KONG

 

186,522

 

 

 

241,269

 

 

 

TELEVISION BROADCT

 

HKD0.05

 

HONG KONG

 

49,000

 

 

 

299,270

 

 

 

TRAVELSKY TECHNOLO

 

CLS H CNY1

 

HONG KONG

 

52,000

 

 

 

79,432

 

 

 

WHARF(HLDGS)

 

HKD1

 

HONG KONG

 

211,000

 

 

 

778,643

 

 

 

WING HANG BANK LTD

 

HKD1

 

HONG KONG

 

30,500

 

 

 

358,835

 

 

 

MAGYAR TELEKOM RT

 

HUF100 (REGD)

 

HUNGARY

 

67,738

 

 

 

375,916

 

 

 

MOL HUNGARIAN OIL

 

HUF1000(REGD)

 

HUNGARY

 

12,163

 

 

 

1,378,057

 

 

 

OTP BANK

 

HUF100

 

HUNGARY

 

43,332

 

 

 

1,988,793

 

 

 

RICHTER GEDEON VEG

 

HUF1000

 

HUNGARY

 

2,017

 

 

 

459,588

 

 

 

ABB LTD

 

INR10

 

INDIA

 

1,716

 

 

 

144,189

 

 

 

ACC LIMITED

 

INR10(DEMAT)

 

INDIA

 

6,775

 

 

 

166,666

 

 

 

ARVIND MILLS

 

INR10 (DEMAT)

 

INDIA

 

14,935

 

 

 

17,462

 

 

 

ASHOK LEYLAND

 

INR1

 

INDIA

 

60,882

 

 

 

62,450

 

 



 

 

 

ASIAN PAINTS INDIA

 

INR10 (DEMAT)

 

INDIA

 

4,862

 

 

 

80,740

 

 

 

BAJA HINDUSTHAN

 

INR1

 

INDIA

 

11,888

 

 

 

59,091

 

 

 

BAJAJ AUTO

 

INR10(DEMAT)

 

INDIA

 

5,110

 

 

 

302,369

 

 

 

BHARAT ELECTRONICS

 

INR10

 

INDIA

 

2,446

 

 

 

74,057

 

 

 

BHARAT FORGE

 

INR2 (POST SUBDIVISION)

 

INDIA

 

16,381

 

 

 

133,961

 

 

 

BHARAT HEAVY ELECT

 

INR10 DEMAT

 

INDIA

 

10,104

 

 

 

524,376

 

 

 

BHARAT PETROL CORP

 

INR10 (DEMAT)

 

INDIA

 

10,128

 

 

 

77,138

 

 

 

BIOCON

 

INR5

 

INDIA

 

3,669

 

 

 

30,920

 

 

 

BK OF BARODA

 

INR10 (DEMAT)

 

INDIA

 

12,327

 

 

 

67,122

 

 

 

BRITANNIA INDS

 

INR10 (DEMAT)

 

INDIA

 

1,030

 

 

 

25,529

 

 

 

CASTROL INDIA

 

INR10(DEMAT)

 

INDIA

 

3,200

 

 

 

16,405

 

 

 

CIPLA

 

INR2

 

INDIA

 

53,673

 

 

 

306,079

 

 

 

COLGATE PALMOLIVE

 

INR10(DEMAT)

 

INDIA

 

5,532

 

 

 

48,421

 

 

 

DR REDDYS LABS

 

INR5 (DEMAT T5)

 

INDIA

 

19,775

 

 

 

362,795

 

 

 

GAIL (INDIA)LD

 

INR10

 

INDIA

 

42,714

 

 

 

253,331

 

 

 

GLAXOSMITHKLINE PHAMACEUTICAL

 

INR10 (DEMAT T5)

 

INDIA

 

3,617

 

 

 

94,433

 

 

 

GLENMARK PHARM

 

INR2

 

INDIA

 

7,248

 

 

 

99,402

 

 

 

GRASIM INDUSTRIES

 

INR10 (DEMAT)

 

INDIA

 

6,019

 

 

 

380,097

 

 

 

GUJARAT AMBUJA CEM

 

INR2 (POST SUBDIVISION)

 

INDIA

 

84,187

 

 

 

269,908

 

 

 

HDFC BANK

 

INR10

 

INDIA

 

36,872

 

 

 

888,810

 

 

 

HERO HONDA

 

INR2(DEMAT T5)

 

INDIA

 

13,452

 

 

 

230,684

 

 

 

HINDALCO INDS

 

INR1 (POST SUBDIVISION)

 

INDIA

 

84,051

 

 

 

331,380

 

 

 

HINDUSTAN LEVER

 

INR1(DEMAT)

 

INDIA

 

132,480

 

 

 

648,631

 

 

 

HINDUSTAN PETROL

 

INR10 (DEMAT)

 

INDIA

 

13,748

 

 

 

86,787

 

 

 

HOUSING DEVEL FIN

 

INR10 (DEMAT)

 

INDIA

 

31,874

 

 

 

1,173,922

 

 

 

I FLEX SOLUTIONS

 

INR5

 

INDIA

 

6,404

 

 

 

281,430

 

 

 

ICICI BANKING

 

INR10 (DEMAT)

 

INDIA

 

68,712

 

 

 

1,386,116

 

 

 

INDIABULLS FINL SV

 

INR2

 

INDIA

 

18,981

 

 

 

280,341

 

 

 

INDIAN HOTELS

 

INR1 POST SUBDIVISION

 

INDIA

 

49,050

 

 

 

171,775

 

 

 

INDIAN PETROCHEMIC

 

INR10(DEMAT)

 

INDIA

 

13,297

 

 

 

86,524

 

 

 

INFOSYS TECHNOLOGI

 

INR5 (DEMAT)

 

INDIA

 

76,465

 

 

 

3,875,079

 

 

 

INFRASTRUCTURE DEV FINANCE

 

INR10

 

INDIA

 

42,037

 

 

 

74,225

 

 

 

ITC

 

GDR REPR 1 ORD INR1 REG S

 

INDIA

 

78,535

 

 

 

310,213

 

 

 

ITC

 

INR1(POST SUBDIVISION)

 

INDIA

 

103,541

 

 

 

412,082

 

 

 

JAIPRAKASH ASSOCIA

 

INR10

 

INDIA

 

7,942

 

 

 

130,112

 

 

 

JET AIRWAYS INDIA

 

NPV

 

INDIA

 

2,640

 

 

 

36,919

 

 

 

JINDAL STEEL + PWR

 

INR5

 

INDIA

 

2,127

 

 

 

108,611

 

 

 

KOTAK MAHINDRA BANK LTD

 

INR10

 

INDIA

 

19,561

 

 

 

176,562

 

 

 

LARSEN + TOUBRO

 

INR2

 

INDIA

 

8,118

 

 

 

265,403

 

 

 

LARSEN + TOUBRO

 

SHS GLOBAL DEPOSIT RECEIPTS

 

INDIA

 

9,378

 

 

 

304,785

 

 

 

MAHANAGAR TELE NIGAM

 

INR10 (DEMAT)

 

INDIA

 

31,874

 

 

 

102,946

 

 

 

MAHINDRA + MAHINDRA

 

INR10 (DEMAT)

 

INDIA

 

20,952

 

 

 

430,780

 

 

 

MARUTI UDYOG

 

INR5

 

INDIA

 

11,675

 

 

 

245,054

 

 

 

MATRIX LABORATORIE

 

INR2

 

INDIA

 

12,676

 

 

 

59,857

 

 

 

MOSER BAER

 

INR10 (DEMAT)

 

INDIA

 

4,897

 

 

 

34,360

 

 

 

NESTLE INDIA

 

INR10 (DEMAT)

 

INDIA

 

3,906

 

 

 

101,048

 

 

 

NICHOLAS PIRAMAL

 

INR2

 

INDIA

 

7,828

 

 

 

47,046

 

 

 

OIL + NATURAL GAS

 

INR10(DEMAT)

 

INDIA

 

44,307

 

 

 

865,919

 

 

 

RANBAXY LABORATORIES LTD

 

SHS GLOBAL DEPOSIT RECEIPTS EQ

 

INDIA

 

6,052

 

 

 

54,468

 

 

 

RANBAXY LABS

 

INR5 (POST SUBDIVISION)

 

INDIA

 

18,536

 

 

 

164,211

 

 

 

RELIANCE CAPITAL

 

INR10 (DEMAT)

 

INDIA

 

18,853

 

 

 

259,005

 

 

 

RELIANCE COMMUNICATION VENTURE

 

GRD 144A

 

INDIA

 

22,440

 

 

 

239,128

 

 

 

RELIANCE COMMUNICATIONS LTD.

 

INR5

 

INDIA

 

115,679

 

 

 

1,232,585

 

 

 

RELIANCE ENERGY

 

INR10

 

INDIA

 

16,222

 

 

 

190,405

 

 

 

RELIANCE INDS

 

INR10 (DEMAT)

 

INDIA

 

85,389

 

 

 

2,451,992

 

 

 

RELIANCE INDS LTD

 

GLOBAL DEPOSITARY RCPTS 144A

 

INDIA

 

11,220

 

 

 

645,150

 

 

 

RELIANCE NAT RES LTD

 

GDR 144A

 

INDIA

 

11,220

 

 

 

11,255

 

 

 

SATYAM COMPUTER

 

INR2

 

INDIA

 

78,788

 

 

 

863,090

 

 

 

SIEMENS INDIA LTD

 

INR2 (POST SUBDIVISION)

 

INDIA

 

6,840

 

 

 

175,559

 

 

 

STATE BK OF INDIA

 

GDR EACH REP 2 SHS INR10(REG S

 

INDIA

 

3,821

 

 

 

284,282

 

 

 

STATE BK OF INDIA

 

INR10(DEMAT)

 

INDIA

 

3,060

 

 

 

86,075

 

 

 

SUN PHARMACEUTICAL

 

INR5

 

INDIA

 

7,818

 

 

 

173,105

 

 

 

TATA CONSULTANCY SERVICES LTD

 

INR1

 

INDIA

 

21,884

 

 

 

604,455

 

 

 

TATA IRON STEEL

 

INR10 (DEMAT)

 

INDIA

 

22,365

 

 

 

245,075

 

 

 

TATA MOTORS LTD

 

INR (DEMAT)

 

INDIA

 

32,353

 

 

 

652,762

 

 

 

TATA POWER CO

 

INR10 (DEMAT)

 

INDIA

 

8,537

 

 

 

107,822

 

 

 

TATA TEA

 

INR10 (DEMAT)

 

INDIA

 

4,646

 

 

 

75,579

 

 

 

ULTRATECH CEMENT

 

INR10

 

INDIA

 

5,253

 

 

 

130,559

 

 

 

ULTRATECH CEMENT LTD

 

SPONSORED GDR REG S

 

INDIA

 

1,876

 

 

 

31,892

 

 

 

UTI BANK

 

INR10

 

INDIA

 

19,204

 

 

 

202,735

 

 

 

VIDESH SANCHAR

 

INR10 (DEMAT T5)

 

INDIA

 

9,626

 

 

 

92,389

 

 

 

WIPRO

 

INR2 (DEMAT)

 

INDIA

 

33,252

 

 

 

454,529

 

 

 

WIRE AND WIRELESS

 

INR

 

INDIA

 

17,029

 

 

 

19,130

 

 

 

ZEE NEWS LTD

 

INR

 

INDIA

 

15,397

 

 

 

17,296

 

 

 

ZEE TELEFILMS

 

INR1 (DEMAT)

 

INDIA

 

34,058

 

 

 

223,963

 

 

 

ANEKA TAMBANG

 

IDR500

 

INDONESIA

 

75,950

 

 

 

67,560

 

 

 

ASTRA ARGO LESTARI

 

IDR500

 

INDONESIA

 

55,500

 

 

 

77,756

 

 

 

BDNI TBK

 

IDR500

 

INDONESIA

 

365,000

 

 

 

—

 

 

 

BK CENTRAL ASIA

 

IDR125

 

INDONESIA

 

1,042,000

 

 

 

602,480

 

 

 

BK DANAMON

 

IDR50000

 

INDONESIA

 

291,000

 

 

 

218,408

 

 

 

BK INTL INDONESIA

 

LKD SHS(IDR900 +225+225+22.50

 

INDONESIA

 

2,890,000

 

 

 

77,122

 

 

 

BK MANDIRI

 

IDR500

 

INDONESIA

 

839,500

 

 

 

270,701

 

 

 

BK PAN INDOESIA

 

WTS EXP 10JUL09 (TO SUB ORD)

 

INDONESIA

 

194

 

 

 

5

 

 

 

BK PAN INDONESIA

 

IDR100

 

INDONESIA

 

1,310,971

 

 

 

84,546

 

 

 

BK RAKYAT

 

IDR500

 

INDONESIA

 

910,000

 

 

 

521,099

 

 

 

BUMI RESOURCES TBK

 

IDR500

 

INDONESIA

 

2,640,500

 

 

 

264,241

 

 

 

ENERGI MEGA PERSAD

 

IDR100

 

INDONESIA

 

430,500

 

 

 

24,891

 

 

 

FISKARAGUNG PERK

 

IDR500

 

INDONESIA

 

81,250

 

 

 

—

 

 

 

GUDANG GARAM (PERUS)

 

IDR500

 

INDONESIA

 

81,000

 

 

 

91,866

 

 

 

INDOCEMENT TUNGGAL

 

IDR500

 

INDONESIA

 

129,000

 

 

 

82,476

 

 

 

INDOFOODS SUKSES M

 

IDR100

 

INDONESIA

 

572,000

 

 

 

85,862

 

 

 

INDOSAT

 

IDR100

 

INDONESIA

 

359,500

 

 

 

269,820

 

 

 

INTL NICKEL INDONE

 

IDR250(POST SUBD)

 

INDONESIA

 

30,000

 

 

 

103,408

 

 



 

 

 

KALBE FARMA

 

IDR50

 

INDONESIA

 

781,220

 

 

 

103,369

 

 

 

PERUSAHAAN GAS NEG

 

IDR1000000

 

INDONESIA

 

306,500

 

 

 

395,330

 

 

 

PT ASTRA INTL

 

IDR 500 DEMAT

 

INDONESIA

 

383,338

 

 

 

669,195

 

 

 

RAMAYANA LESTARI

 

IDR50.00

 

INDONESIA

 

355,000

 

 

 

34,341

 

 

 

SEMEN GRESIK(PERS)

 

IDR1000

 

INDONESIA

 

22,470

 

 

 

90,695

 

 

 

TELEKOMUNIKASI IND

 

SER B IDR250

 

INDONESIA

 

1,721,500

 

 

 

1,933,302

 

 

 

UNILEVER INDONESIA

 

IDR10

 

INDONESIA

 

230,500

 

 

 

169,156

 

 

 

UTD TRACTORS

 

IDR250 DEMAT

 

INDONESIA

 

218,000

 

 

 

158,770

 

 

 

ALLIED IRISH BANKS

 

EUR0.32 (DUBLIN LISTING)

 

IRELAND

 

150,087

 

 

 

4,453,027

 

 

 

BK OF IRELAND

 

ORD STK EUR0.64

 

IRELAND

 

166,783

 

 

 

3,848,749

 

 

 

C + C GROUP

 

ORD EUR0.01

 

IRELAND

 

4,024

 

 

 

71,634

 

 

 

C+C GROUP

 

ORD EUR0.01

 

IRELAND

 

48,926

 

 

 

867,744

 

 

 

CRH

 

ORD IEP0.32(DUBLIN LISTING)

 

IRELAND

 

93,048

 

 

 

3,869,889

 

 

 

DCC

 

ORD EUR0.25

 

IRELAND

 

13,297

 

 

 

451,503

 

 

 

DEPFA BANK PLC

 

ORD EUR0.30

 

IRELAND

 

56,932

 

 

 

1,017,245

 

 

 

ELAN CORP

 

ORD EUR0.05

 

IRELAND

 

70,393

 

 

 

997,856

 

 

 

FYFFES

 

ORD EUR0.06(DUBLIN LISTING)

 

IRELAND

 

54,518

 

 

 

127,965

 

 

 

GRAFTON GROUP

 

UT(1 ORD 1 C ORD + 5 A ORD)

 

IRELAND

 

37,025

 

 

 

618,100

 

 

 

GREENCORE GROUP

 

ORD EUR0.63

 

IRELAND

 

27,030

 

 

 

166,810

 

 

 

IAWS GROUP PLC

 

ORD EUR0.30  (DUBLIN)

 

IRELAND

 

17,594

 

 

 

450,087

 

 

 

INDEPENDENT NEWS + MEDIA

 

ORD EUR0.30

 

IRELAND

 

106

 

 

 

421

 

 

 

INDEPENDENT NEWS+M

 

ORD EUR0.30

 

IRELAND

 

95,589

 

 

 

379,406

 

 

 

IRISH LIFE + PERM

 

ORD EUR0.32

 

IRELAND

 

44,824

 

 

 

1,235,340

 

 

 

KERRY GROUP

 

A ORD I0.10(DUBLIN LIST)

 

IRELAND

 

21,602

 

 

 

539,230

 

 

 

KINGSPAN GROUP

 

ORD EUR0.13(DUBLIN LISTING)

 

IRELAND

 

20,439

 

 

 

540,925

 

 

 

PADDY POWER

 

ORD EUR0.10

 

IRELAND

 

7,465

 

 

 

148,247

 

 

 

RYANAIR HLDGS

 

ORD EUR0.0127

 

IRELAND

 

27,972

 

 

 

384,714

 

 

 

AFRICA ISRAEL INV

 

ILS0.10

 

ISRAEL

 

2,050

 

 

 

155,014

 

 

 

ALADDIN KNOWLEDGE SYSTEM LTD

 

SHS

 

ISRAEL

 

1,810

 

 

 

35,277

 

 

 

ALVARION LTD

 

SHS

 

ISRAEL

 

8,133

 

 

 

54,654

 

 

 

AUDIO CODES LTD

 

SHS

 

ISRAEL

 

5,115

 

 

 

47,928

 

 

 

BEZEK ISRAEL TELCM

 

ILS1

 

ISRAEL

 

175,237

 

 

 

284,303

 

 

 

BK HAPOALIM BM

 

ILS1

 

ISRAEL

 

163,966

 

 

 

771,994

 

 

 

BK LEUMI LE ISRAEL

 

ORD ILS1

 

ISRAEL

 

147,525

 

 

 

600,458

 

 

 

CLAL INDUSTRIES

 

ILS1

 

ISRAEL

 

10,016

 

 

 

51,909

 

 

 

CLAL INSURANCE ENT

 

ILS1

 

ISRAEL

 

2,497

 

 

 

62,010

 

 

 

DISCOUNT INV CORP

 

ILS1

 

ISRAEL

 

2,971

 

 

 

86,184

 

 

 

ELBIT SYSTEMS LTD

 

COM

 

ISRAEL

 

3,265

 

 

 

105,555

 

 

 

ELCO HOLDINGS

 

ILS0.25

 

ISRAEL

 

0

 

 

 

2

 

 

 

GIVEN IMAGING

 

ORD SHS

 

ISRAEL

 

2,215

 

 

 

42,860

 

 

 

HAREL HAMISHMAR IN

 

ILS1

 

ISRAEL

 

1,182

 

 

 

64,427

 

 

 

ICL ISRAEL CHEM

 

ILS1

 

ISRAEL

 

85,084

 

 

 

531,977

 

 

 

IDB DEVELOPMENT

 

ILS1

 

ISRAEL

 

3,654

 

 

 

114,231

 

 

 

ISRAEL DISCOUNT BK

 

ILS0.10 SER A

 

ISRAEL

 

74,242

 

 

 

165,231

 

 

 

ISRAEL LAND DEVEL

 

4%   30 Jun 2012

 

ISRAEL

 

6,552

 

 

 

—

 

 

 

KOOR INDUSTRIES

 

ILS 0.001

 

ISRAEL

 

1,646

 

 

 

86,695

 

 

 

MAKHTESHIM AGAM IN

 

ILS1

 

ISRAEL

 

54,347

 

 

 

308,344

 

 

 

MIGDAL INSURANCE

 

ILSO.01

 

ISRAEL

 

33,159

 

 

 

48,268

 

 

 

MIZRAHI TEFAHOT BANK

 

ILS0.01

 

ISRAEL

 

20,230

 

 

 

152,109

 

 

 

NICE SYSTEMS

 

ILS1

 

ISRAEL

 

4,545

 

 

 

140,252

 

 

 

PARTNER COMMUNICAT

 

ILS0.01

 

ISRAEL

 

10,823

 

 

 

122,914

 

 

 

RADWARE LTD

 

COM

 

ISRAEL

 

2,503

 

 

 

39,773

 

 

 

RETALIX

 

ILS1

 

ISRAEL

 

2,400

 

 

 

39,239

 

 

 

STRAUSS ELITE LIMITED

 

ILS1(SER A)

 

ISRAEL

 

4,170

 

 

 

42,720

 

 

 

SUPER SOL

 

ORD ILS0.1 B SHS

 

ISRAEL

 

15,225

 

 

 

58,502

 

 

 

SYNERON MEDICAL LTD

 

ORD SHS

 

ISRAEL

 

2,313

 

 

 

62,752

 

 

 

TADIRAN WIRELE

 

COM ILS0.01

 

ISRAEL

 

1,171

 

 

 

45,801

 

 

 

TEVA PHARMA IND

 

ILS0.1 (POST CONS)

 

ISRAEL

 

88,999

 

 

 

2,775,941

 

 

 

THE ISRAEL CORPORA

 

ORD ILS1

 

ISRAEL

 

396

 

 

 

199,590

 

 

 

ALLEANZA ASSICURAZ

 

EUR0.5

 

ITALY

 

72,868

 

 

 

971,444

 

 

 

ARN MONDADORI EDIT

 

EUR0.26

 

ITALY

 

19,870

 

 

 

207,517

 

 

 

ASSIC GENERALI

 

EUR1.00

 

ITALY

 

164,649

 

 

 

7,223,399

 

 

 

AUTOGRILL SPA

 

EUR0.52

 

ITALY

 

17,401

 

 

 

319,636

 

 

 

AUTOSTRADE

 

EUR1

 

ITALY

 

49,193

 

 

 

1,413,482

 

 

 

BANCA INTESA SPA

 

EUR0.52

 

ITALY

 

672,332

 

 

 

5,186,440

 

 

 

BCA POP DI MILANO

 

EUR3

 

ITALY

 

71,438

 

 

 

1,238,753

 

 

 

BCE POP UNITE

 

ORD EUR2.50

 

ITALY

 

59,263

 

 

 

1,627,025

 

 

 

BCP POP VERON NOV

 

EUR3.6

 

ITALY

 

64,574

 

 

 

1,852,024

 

 

 

BENETTON GROUP SPA

 

EUR1.30

 

ITALY

 

10,834

 

 

 

206,579

 

 

 

BULGARI SPA

 

EUR0.07

 

ITALY

 

25,250

 

 

 

357,931

 

 

 

CAPITALIA SPA

 

EUR1

 

ITALY

 

290,081

 

 

 

2,742,636

 

 

 

ENEL

 

EUR1

 

ITALY

 

742,657

 

 

 

7,653,269

 

 

 

ENI

 

EUR1

 

ITALY

 

447,553

 

 

 

15,037,430

 

 

 

FIAT SPA

 

EUR5

 

ITALY

 

93,961

 

 

 

1,794,097

 

 

 

FINMECCANICA SPA

 

EUR 4.40

 

ITALY

 

51,114

 

 

 

1,383,753

 

 

 

FONDIARIA SAI SPA

 

EUR1

 

ITALY

 

12,732

 

 

 

608,436

 

 

 

GR ED L ESPRESSO

 

EUR0.15

 

ITALY

 

29,777

 

 

 

161,774

 

 

 

INTESA SANPAOL RSP

 

DI RISP EUR0.52 (NON CNV)

 

ITALY

 

158,850

 

 

 

1,158,356

 

 

 

ITALCEMENTI

 

EUR1

 

ITALY

 

12,109

 

 

 

341,226

 

 

 

LOTTOMATICA SPA

 

EUR1

 

ITALY

 

10,329

 

 

 

429,313

 

 

 

LUXOTTICA GROUP

 

EUR0.06

 

ITALY

 

23,746

 

 

 

728,959

 

 

 

MEDIASET

 

EUR0.52

 

ITALY

 

132,116

 

 

 

1,566,191

 

 

 

MEDIOBANCA SPA

 

EUR0.5

 

ITALY

 

84,073

 

 

 

1,983,337

 

 

 

MEDIOLANUM

 

EUR0.1

 

ITALY

 

43,516

 

 

 

354,336

 

 

 

MONTE PASCHI SIENA

 

EUR0.67

 

ITALY

 

189,651

 

 

 

1,226,034

 

 

 

PIRELLI + CO SPA

 

EURO 0.52

 

ITALY

 

486,466

 

 

 

483,996

 

 

 

S + P / MIB 30 INDEX FUTURE

 

7-Mar-07

 

ITALY

 

5

 

 

 

—

 

 

 

SAN PAOLO IMI SPA

 

EUR2.88

 

ITALY

 

191,466

 

 

 

4,443,591

 

 

 

SEAT PAGINE GIALLE

 

EUR0.03

 

ITALY

 

695,978

 

 

 

414,365

 

 

 

SNAM RETE GAS

 

EUR1

 

ITALY

 

168,387

 

 

 

954,232

 

 

 

T.E.R.N.A

 

ORD EUR0.22

 

ITALY

 

206,761

 

 

 

700,017

 

 

 

TELECOM ITALIA

 

DI RISP EUR.55

 

ITALY

 

1,036,463

 

 

 

2,626,860

 

 

 

TELECOM ITALIA

 

EUR.55

 

ITALY

 

1,840,528

 

 

 

5,557,861

 

 



 

 

 

TISCALI SPA

 

EUR0.5

 

ITALY

 

44,847

 

 

 

149,618

 

 

 

UNICREDITO ITALIAN

 

EUR0.50

 

ITALY

 

1,342,871

 

 

 

11,757,964

 

 

 

UNIPOL

 

EUR1

 

ITALY

 

155,170

 

 

 

502,330

 

 

 

77TH BANK

 

JPY50

 

JAPAN

 

53,000

 

 

 

335,823

 

 

 

ACCESS CO

 

JPY 50000

 

JAPAN

 

36

 

 

 

165,868

 

 

 

ACOM CO

 

JPY50

 

JAPAN

 

11,960

 

 

 

401,494

 

 

 

ADERANS COMPANY

 

JPY50

 

JAPAN

 

5,700

 

 

 

141,358

 

 

 

ADVANTEST

 

JPY50

 

JAPAN

 

26,700

 

 

 

1,528,211

 

 

 

AEON CO LTD

 

JPY50

 

JAPAN

 

106,900

 

 

 

2,310,163

 

 

 

AEON CREDIT SERV

 

JPY50

 

JAPAN

 

14,200

 

 

 

268,734

 

 

 

AIFUL CORP

 

JPY50

 

JAPAN

 

12,850

 

 

 

361,273

 

 

 

AISIN SEIKI CO

 

JPY50

 

JAPAN

 

31,700

 

 

 

1,061,500

 

 

 

AJINOMOTO CO INC

 

JPY50

 

JAPAN

 

104,000

 

 

 

1,372,934

 

 

 

ALFRESA HOLDINGS C

 

NPV

 

JAPAN

 

4,100

 

 

 

247,400

 

 

 

ALL NIPPON AIRWAYS

 

JPY50

 

JAPAN

 

108,000

 

 

 

381,587

 

 

 

ALPS ELECTRIC CO

 

JPY50

 

JAPAN

 

28,900

 

 

 

313,121

 

 

 

AMADA CO

 

JPY50

 

JAPAN

 

61,000

 

 

 

645,554

 

 

 

AMANO CORPORATION

 

JPY50

 

JAPAN

 

9,000

 

 

 

112,845

 

 

 

AOYAMA TRADING CO

 

JPY50

 

JAPAN

 

9,200

 

 

 

275,641

 

 

 

ARRK CORP

 

JPY50

 

JAPAN

 

9,800

 

 

 

147,467

 

 

 

ASAHI BREWERIES

 

JPY50

 

JAPAN

 

62,200

 

 

 

994,427

 

 

 

ASAHI GLASS CO

 

JPY50

 

JAPAN

 

158,000

 

 

 

1,896,186

 

 

 

ASAHI KASEI CORP

 

JPY50

 

JAPAN

 

204,000

 

 

 

1,333,691

 

 

 

ASATSU DK

 

JPY50

 

JAPAN

 

5,600

 

 

 

177,651

 

 

 

ASHIKAGA FINANCIAL ORD SHS

 

NPV

 

JAPAN

 

91,000

 

 

 

764

 

 

 

ASICS CORP

 

JPY50

 

JAPAN

 

27,000

 

 

 

338,534

 

 

 

ASTELLAS PHARMA INC

 

NPV

 

JAPAN

 

89,600

 

 

 

4,068,113

 

 

 

AUTOBACS SEVEN CO

 

JPY50

 

JAPAN

 

4,800

 

 

 

175,234

 

 

 

BANK OF KYOTO

 

JPY50

 

JAPAN

 

45,000

 

 

 

419,202

 

 

 

BANK OF YOKOHAMA

 

JPY50

 

JAPAN

 

200,000

 

 

 

1,564,349

 

 

 

BENESSE CORP

 

JPY50

 

JAPAN

 

10,600

 

 

 

402,988

 

 

 

BRIDGESTONE CORP

 

JPY50

 

JAPAN

 

101,800

 

 

 

2,268,298

 

 

 

CANON INC

 

NPV

 

JAPAN

 

179,100

 

 

 

10,070,664

 

 

 

CANON MARKETING JA

 

JPY50

 

JAPAN

 

13,000

 

 

 

295,120

 

 

 

CASIO COMPUTER CO

 

JPY50

 

JAPAN

 

38,200

 

 

 

865,595

 

 

 

CENTRAL GLASS CO

 

JPY50

 

JAPAN

 

26,000

 

 

 

148,815

 

 

 

CENTRAL JPAN RLWY

 

JPY50000

 

JAPAN

 

262

 

 

 

2,704,545

 

 

 

CHIBA BANK

 

JPY50

 

JAPAN

 

126,000

 

 

 

1,063,791

 

 

 

CHIYODA CORP

 

JPY50

 

JAPAN

 

24,000

 

 

 

469,305

 

 

 

CHUBU ELEC POWER

 

JPY500

 

JAPAN

 

111,200

 

 

 

3,322,328

 

 

 

CHUGAI PHARM CO

 

JPY50

 

JAPAN

 

46,800

 

 

 

964,240

 

 

 

CIRCLE K SUNKUS CO

 

NPV

 

JAPAN

 

7,700

 

 

 

136,675

 

 

 

CITIZEN WATCH CO

 

JPY50

 

JAPAN

 

59,900

 

 

 

457,966

 

 

 

COCA COLA WEST HOLDINGS CO

 

JPY50

 

JAPAN

 

9,500

 

 

 

219,651

 

 

 

COMSYS HOLDINGS

 

NPV

 

JAPAN

 

19,000

 

 

 

210,163

 

 

 

CREDIT SAISON CO

 

JPY50

 

JAPAN

 

27,100

 

 

 

932,483

 

 

 

CSK HOLDINGS CORPORATION

 

JPY50

 

JAPAN

 

11,100

 

 

 

473,232

 

 

 

DAI NIPPON PRINTNG

 

JPY50

 

JAPAN

 

105,000

 

 

 

1,619,655

 

 

 

DAICEL CHEM INDS

 

JPY50

 

JAPAN

 

50,000

 

 

 

352,062

 

 

 

DAIDO STEEL CO

 

JPY50

 

JAPAN

 

58,000

 

 

 

385,028

 

 

 

DAIFUKU CO

 

JPY50

 

JAPAN

 

13,500

 

 

 

214,020

 

 

 

DAIICHI SANKYO

 

COM NPV

 

JAPAN

 

123,100

 

 

 

3,843,162

 

 

 

DAIKIN INDUSTRIES

 

JPY50

 

JAPAN

 

39,900

 

 

 

1,386,312

 

 

 

DAIMARU INC

 

JPY50

 

JAPAN

 

37,000

 

 

 

500,869

 

 

 

DAINIPPON INK+CHEM

 

JPY50

 

JAPAN

 

104,000

 

 

 

404,985

 

 

 

DAINIPPON SCREEN

 

JPY50

 

JAPAN

 

38,000

 

 

 

340,917

 

 

 

DAITO TRUST CONST

 

JPY50

 

JAPAN

 

13,900

 

 

 

636,935

 

 

 

DAIWA HOUSE INDS

 

JPY50

 

JAPAN

 

90,000

 

 

 

1,563,510

 

 

 

DAIWA SECURITIES GROUP INC

 

NPV

 

JAPAN

 

212,000

 

 

 

2,375,226

 

 

 

DENKI KAGAKU KOGYO

 

JPY50

 

JAPAN

 

77,000

 

 

 

319,877

 

 

 

DENSO CORP

 

JPY50

 

JAPAN

 

88,000

 

 

 

3,485,880

 

 

 

DENTSU INC

 

NPV

 

JAPAN

 

301

 

 

 

881,616

 

 

 

DOWA HOLDINGS

 

NPV

 

JAPAN

 

47,000

 

 

 

401,544

 

 

 

DOWA MINING

 

RTS EXP 29JAN10

 

JAPAN

 

43,000

 

 

 

—

 

 

 

EACCESS LTD

 

NPV

 

JAPAN

 

231

 

 

 

130,277

 

 

 

EAST JAPAN RAILWAY

 

JPY50000

 

JAPAN

 

569

 

 

 

3,796,358

 

 

 

EBARA CORP

 

JPY50

 

JAPAN

 

64,000

 

 

 

244,925

 

 

 

EDION CORP

 

NPV

 

JAPAN

 

12,300

 

 

 

182,195

 

 

 

EISAI CO

 

JPY50

 

JAPAN

 

42,200

 

 

 

2,316,210

 

 

 

ELEC POWER DEV

 

NPV

 

JAPAN

 

26,200

 

 

 

1,152,180

 

 

 

ELPIDA MEMORY INC

 

NPV

 

JAPAN

 

16,300

 

 

 

894,650

 

 

 

FAMILYMART CO

 

JPY50

 

JAPAN

 

11,000

 

 

 

299,106

 

 

 

FANUC

 

JPY50

 

JAPAN

 

30,000

 

 

 

2,950,778

 

 

 

FAST RETAILING CO

 

JPY50

 

JAPAN

 

8,900

 

 

 

848,508

 

 

 

FUJI ELECTRIC HLDG

 

NPV

 

JAPAN

 

95,000

 

 

 

514,246

 

 

 

FUJI FILM HLD CORP

 

NPV

 

JAPAN

 

81,800

 

 

 

3,356,989

 

 

 

FUJI SOFT INC

 

JPY50

 

JAPAN

 

4,300

 

 

 

101,767

 

 

 

FUJI TELEVISION NETWORK INC

 

NPV

 

JAPAN

 

86

 

 

 

196,316

 

 

 

FUJIKURA

 

JPY50

 

JAPAN

 

59,000

 

 

 

518,426

 

 

 

FUJITSU

 

JPY50

 

JAPAN

 

312,000

 

 

 

2,445,621

 

 

 

FUKUOKA BANK OF

 

JPY50

 

JAPAN

 

98,000

 

 

 

713,894

 

 

 

FURUKAWA ELECTRIC

 

JPY50

 

JAPAN

 

110,000

 

 

 

690,529

 

 

 

GLORY

 

JPY50

 

JAPAN

 

10,800

 

 

 

189,887

 

 

 

GOODWILL GROUP

 

JPY5000

 

JAPAN

 

222

 

 

 

180,723

 

 

 

GUNMA BANK

 

JPY50

 

JAPAN

 

64,000

 

 

 

384,038

 

 

 

GUNZE LIMITED

 

JPY50

 

JAPAN

 

31,000

 

 

 

155,579

 

 

 

HAKUHODO DY HLDGS

 

NPV

 

JAPAN

 

4,290

 

 

 

278,307

 

 

 

HANKYU DEPT STORES

 

JPY50

 

JAPAN

 

24,000

 

 

 

199,807

 

 

 

HANKYU HANSHIN HLD

 

NPV

 

JAPAN

 

200,800

 

 

 

1,145,936

 

 

 

HASEKO CORP

 

JPY50

 

JAPAN

 

124,000

 

 

 

443,322

 

 

 

HIKARI TSUSHIN INC

 

JPY50

 

JAPAN

 

3,500

 

 

 

153,623

 

 

 

HINO MOTORS

 

JPY50

 

JAPAN

 

41,000

 

 

 

210,583

 

 

 

HIROSE ELECTRIC

 

JPY50

 

JAPAN

 

5,200

 

 

 

589,585

 

 



 

 

 

HITACHI

 

JPY50

 

JAPAN

 

566,000

 

 

 

3,524,586

 

 

 

HITACHI CABLE

 

JPY50

 

JAPAN

 

25,000

 

 

 

140,154

 

 

 

HITACHI CAP CORP

 

JPY50

 

JAPAN

 

7,600

 

 

 

144,786

 

 

 

HITACHI CHEMICAL

 

JPY50

 

JAPAN

 

17,000

 

 

 

467,962

 

 

 

HITACHI CONST MACH

 

JPY50

 

JAPAN

 

16,100

 

 

 

432,378

 

 

 

HITACHI HIGH TECH

 

JPY50

 

JAPAN

 

10,300

 

 

 

306,005

 

 

 

HOKKAIDO ELEC PWR

 

JPY500

 

JAPAN

 

30,500

 

 

 

778,146

 

 

 

HOKUHOKU FINANCIAL GROUP INC

 

NPV

 

JAPAN

 

207,000

 

 

 

757,434

 

 

 

HONDA MOTOR CO

 

JPY50

 

JAPAN

 

261,900

 

 

 

10,330,494

 

 

 

HOUSE FOOD CORP

 

JPY50

 

JAPAN

 

12,300

 

 

 

202,531

 

 

 

HOYA CORP

 

JPY50

 

JAPAN

 

70,000

 

 

 

2,725,861

 

 

 

IBIDEN CO

 

JPY50

 

JAPAN

 

22,500

 

 

 

1,132,978

 

 

 

INDEX HOLDINGS

 

NPV

 

JAPAN

 

158

 

 

 

92,820

 

 

 

INPEX HOLDINGS INC

 

COM STK JPY1

 

JAPAN

 

137

 

 

 

1,124,468

 

 

 

ISETAN CO

 

JPY50

 

JAPAN

 

32,000

 

 

 

577,399

 

 

 

ISHIKAWAJIMA HAR

 

JPY50

 

JAPAN

 

196,000

 

 

 

662,901

 

 

 

ITO EN

 

JPY50

 

JAPAN

 

9,800

 

 

 

299,375

 

 

 

ITOCHU CORP

 

JPY50

 

JAPAN

 

251,000

 

 

 

2,058,050

 

 

 

ITOCHU TECHNO SOLUTIONS CORP

 

NPV

 

JAPAN

 

5,100

 

 

 

270,933

 

 

 

JAFCO

 

JPY50

 

JAPAN

 

5,800

 

 

 

286,215

 

 

 

JAPAN AIRLINES CORP

 

NPV

 

JAPAN

 

148,000

 

 

 

263,321

 

 

 

JAPAN PRIME REALITY

 

REIT

 

JAPAN

 

67

 

 

 

242,910

 

 

 

JAPAN REAL ESTATE

 

REIT

 

JAPAN

 

65

 

 

 

698,250

 

 

 

JAPAN RETAIL FUND

 

JAPAN RETAIL FUND INV REIT

 

JAPAN

 

57

 

 

 

464,017

 

 

 

JAPAN STEEL WORKS

 

JPY50

 

JAPAN

 

55,000

 

 

 

429,273

 

 

 

JAPAN TOBACCO INC

 

JPY50000

 

JAPAN

 

756

 

 

 

3,648,189

 

 

 

JFE HOLDING INC

 

NPV

 

JAPAN

 

93,300

 

 

 

4,799,874

 

 

 

JGC CORP

 

JPY50

 

JAPAN

 

36,000

 

 

 

617,851

 

 

 

JOYO BANK

 

JPY50

 

JAPAN

 

118,000

 

 

 

650,632

 

 

 

JS GROUP CORP

 

NPV

 

JAPAN

 

44,900

 

 

 

943,934

 

 

 

JSR CORP

 

JPY50

 

JAPAN

 

30,000

 

 

 

775,461

 

 

 

JTEKT CORPORATION

 

NPV

 

JAPAN

 

32,900

 

 

 

697,180

 

 

 

K K DAVINCI ADVISO

 

NPV

 

JAPAN

 

174

 

 

 

172,313

 

 

 

KAJIMA CORP

 

JPY50

 

JAPAN

 

150,000

 

 

 

657,127

 

 

 

KAKEN PHARM

 

JPY50

 

JAPAN

 

13,000

 

 

 

101,355

 

 

 

KAMIGUMI CO

 

JPY50

 

JAPAN

 

44,000

 

 

 

359,666

 

 

 

KANEKA CORP

 

JPY50

 

JAPAN

 

50,000

 

 

 

454,870

 

 

 

KANSAI ELEC POWER

 

JPY500

 

JAPAN

 

128,800

 

 

 

3,469,833

 

 

 

KANSAI PAINT CO

 

JPY50

 

JAPAN

 

39,000

 

 

 

308,321

 

 

 

KAO CORP

 

JPY50

 

JAPAN

 

83,000

 

 

 

2,235,995

 

 

 

KATOKICHI CO

 

JPY50

 

JAPAN

 

21,700

 

 

 

175,560

 

 

 

KAWASAKI HEAVY IND

 

JPY50

 

JAPAN

 

220,000

 

 

 

825,312

 

 

 

KAWASAKI KISEN

 

JPY50

 

JAPAN

 

85,000

 

 

 

664,135

 

 

 

KDDI CORP

 

JPY5000

 

JAPAN

 

407

 

 

 

2,756,485

 

 

 

KEIHIN ELEC EXP RL

 

JPY50

 

JAPAN

 

73,000

 

 

 

502,371

 

 

 

KEIO CORP

 

JPY50

 

JAPAN

 

90,000

 

 

 

581,595

 

 

 

KEISEI ELEC RAILWY

 

JPY50

 

JAPAN

 

49,000

 

 

 

278,402

 

 

 

KEYENCE CORP

 

JPY50

 

JAPAN

 

6,300

 

 

 

1,559,204

 

 

 

KIKKOMAN CORP

 

JPY50

 

JAPAN

 

25,000

 

 

 

301,498

 

 

 

KINDEN CORPORATION

 

JPY50

 

JAPAN

 

20,000

 

 

 

161,638

 

 

 

KINTETSU CORP

 

JPY50

 

JAPAN

 

269,000

 

 

 

783,375

 

 

 

KIRIN BREWERY CO

 

JPY50

 

JAPAN

 

132,000

 

 

 

2,072,695

 

 

 

KOBE STEEL

 

JPY50

 

JAPAN

 

469,000

 

 

 

1,605,908

 

 

 

KOKUYO CO

 

JPY50

 

JAPAN

 

14,300

 

 

 

225,742

 

 

 

KOMATSU

 

NPV

 

JAPAN

 

151,000

 

 

 

3,060,426

 

 

 

KOMORI CORPORATION

 

JPY50

 

JAPAN

 

10,000

 

 

 

186,732

 

 

 

KONAMI CORP

 

JPY50

 

JAPAN

 

15,000

 

 

 

453,191

 

 

 

KONICA MINOLTA HOLDINGS INC

 

JPY50

 

JAPAN

 

79,500

 

 

 

1,120,893

 

 

 

KOSE CORP

 

JPY50

 

JAPAN

 

5,200

 

 

 

157,106

 

 

 

KUBOTA CORP

 

JPY50

 

JAPAN

 

186,000

 

 

 

1,720,213

 

 

 

KURARAY CO

 

JPY50

 

JAPAN

 

61,000

 

 

 

718,761

 

 

 

KURITA WATER INDS

 

JPY50

 

JAPAN

 

18,800

 

 

 

405,489

 

 

 

KYOCERA CORP

 

JPY50

 

JAPAN

 

27,300

 

 

 

2,570,652

 

 

 

KYOWA HAKKO KOGYO

 

JPY50

 

JAPAN

 

56,000

 

 

 

478,906

 

 

 

KYUSHU ELEC POWER

 

JPY500

 

JAPAN

 

63,500

 

 

 

1,673,367

 

 

 

LAWSON

 

JPY50

 

JAPAN

 

10,600

 

 

 

378,969

 

 

 

LEOPALACE21

 

JPY50

 

JAPAN

 

21,000

 

 

 

669,716

 

 

 

MABUCHI MOTOR CO

 

JPY50

 

JAPAN

 

4,700

 

 

 

279,267

 

 

 

MAKITA CORP

 

JPY50

 

JAPAN

 

18,000

 

 

 

551,383

 

 

 

MARUBENI CORP

 

JPY50

 

JAPAN

 

253,000

 

 

 

1,282,464

 

 

 

MARUI CO

 

JPY50

 

JAPAN

 

52,100

 

 

 

606,897

 

 

 

MATSUI SECURITIES

 

NPV

 

JAPAN

 

21,000

 

 

 

159,146

 

 

 

MATSUMOTOKIYOSHI

 

JPY50

 

JAPAN

 

6,700

 

 

 

148,726

 

 

 

MATSUSHITA ELC IND

 

JPY50

 

JAPAN

 

330,000

 

 

 

6,577,567

 

 

 

MATSUSHITA ELC WKS

 

JPY50

 

JAPAN

 

57,000

 

 

 

659,670

 

 

 

MEDICEO PALTAC HOLDINGS

 

NPV

 

JAPAN

 

28,300

 

 

 

535,576

 

 

 

MEIJI DAIRIES CORP

 

JPY50

 

JAPAN

 

45,000

 

 

 

353,867

 

 

 

MEIJI SEIKA KAISHA

 

JPY50

 

JAPAN

 

52,000

 

 

 

248,315

 

 

 

MEITEC CORPORATION

 

JPY50

 

JAPAN

 

6,100

 

 

 

184,810

 

 

 

MILLEA HOLDINGS INC

 

NPV

 

JAPAN

 

122,100

 

 

 

4,303,806

 

 

 

MINEBEA CO

 

JPY50

 

JAPAN

 

57,000

 

 

 

398,003

 

 

 

MITSUBISHI CHEM HL

 

NPV

 

JAPAN

 

197,000

 

 

 

1,239,982

 

 

 

MITSUBISHI CORP

 

JPY50

 

JAPAN

 

226,000

 

 

 

4,248,584

 

 

 

MITSUBISHI ELEC CP

 

JPY50

 

JAPAN

 

323,000

 

 

 

2,943,880

 

 

 

MITSUBISHI ESTATE

 

JPY50

 

JAPAN

 

196,000

 

 

 

5,066,342

 

 

 

MITSUBISHI GAS CHM

 

JPY50

 

JAPAN

 

63,000

 

 

 

658,260

 

 

 

MITSUBISHI HVY IND

 

JPY50

 

JAPAN

 

536,000

 

 

 

2,433,603

 

 

 

MITSUBISHI LOGISTC

 

JPY50

 

JAPAN

 

18,000

 

 

 

279,015

 

 

 

MITSUBISHI MATERL

 

JPY50

 

JAPAN

 

165,000

 

 

 

618,984

 

 

 

MITSUBISHI RAYON

 

JPY50

 

JAPAN

 

88,000

 

 

 

590,827

 

 

 

MITSUBISHI UFJ FIN GROUP

 

NPV

 

JAPAN

 

1,446

 

 

 

17,839,117

 

 

 

MITSUBISHI UFJ SECURITIES CO

 

JPY50

 

JAPAN

 

43,000

 

 

 

477,076

 

 

 

MITSUI + CO

 

JPY50

 

JAPAN

 

261,000

 

 

 

3,898,955

 

 



 

 

 

MITSUI CHEMICALS I

 

JPY50

 

JAPAN

 

104,000

 

 

 

799,496

 

 

 

MITSUI ENG+SHIPBG

 

JPY50

 

JAPAN

 

119,000

 

 

 

386,497

 

 

 

MITSUI FUDOSAN CO

 

JPY50

 

JAPAN

 

140,000

 

 

 

3,413,201

 

 

 

MITSUI MINING + SM

 

JPY50

 

JAPAN

 

95,000

 

 

 

475,179

 

 

 

MITSUI OSK LINES

 

JPY50

 

JAPAN

 

182,000

 

 

 

1,793,194

 

 

 

MITSUI SUMITOMO INSURANCE CO

 

JPY50

 

JAPAN

 

203,000

 

 

 

2,218,170

 

 

 

MITSUI TRUST HLDGS

 

NPV

 

JAPAN

 

114,000

 

 

 

1,306,903

 

 

 

MITSUKOSHI LTD

 

NPV

 

JAPAN

 

74,000

 

 

 

345,919

 

 

 

MITSUMI ELECTRIC

 

JPY50

 

JAPAN

 

12,000

 

 

 

263,858

 

 

 

MIZUHO FINL GB

 

NPV

 

JAPAN

 

1,597

 

 

 

11,392,304

 

 

 

MURATA MFG CO

 

JPY50

 

JAPAN

 

33,800

 

 

 

2,283,496

 

 

 

NAMCO BANDAI HLDGS

 

NPV

 

JAPAN

 

34,700

 

 

 

508,174

 

 

 

NEC CORP

 

JPY50

 

JAPAN

 

340,000

 

 

 

1,623,600

 

 

 

NEC ELECTRONICS

 

CP NPV

 

JAPAN

 

6,500

 

 

 

189,837

 

 

 

NET ONE SYSTEMS CO

 

JPY5000

 

JAPAN

 

78

 

 

 

102,774

 

 

 

NGK INSULATORS

 

JPY50

 

JAPAN

 

45,000

 

 

 

694,138

 

 

 

NGK SPARK PLUG CO

 

JPY50

 

JAPAN

 

30,000

 

 

 

563,971

 

 

 

NHK SPRING CO

 

JPY50

 

JAPAN

 

25,000

 

 

 

262,473

 

 

 

NICHIREI CORP

 

JPY50

 

JAPAN

 

40,000

 

 

 

223,910

 

 

 

NIDEC CORPORATION

 

JPY50

 

JAPAN

 

18,200

 

 

 

1,405,228

 

 

 

NIKKO CORDIAL CORP

 

NPV

 

JAPAN

 

138,500

 

 

 

1,586,610

 

 

 

NIKON CORP

 

JPY50

 

JAPAN

 

49,000

 

 

 

1,073,308

 

 

 

NINTENDO CO

 

JPY50

 

JAPAN

 

16,600

 

 

 

4,304,813

 

 

 

NIPPON BUILDING FD

 

REIT

 

JAPAN

 

76

 

 

 

1,007,763

 

 

 

NIPPON ELEC GLASS

 

JPY50

 

JAPAN

 

37,000

 

 

 

776,300

 

 

 

NIPPON EXPRESS CO

 

JPY50

 

JAPAN

 

131,000

 

 

 

715,715

 

 

 

NIPPON KAYAKU CO

 

JPY50

 

JAPAN

 

27,000

 

 

 

215,266

 

 

 

NIPPON LIGHT METAL

 

JPY50

 

JAPAN

 

81,000

 

 

 

207,335

 

 

 

NIPPON MEAT PACKER

 

JPY50

 

JAPAN

 

27,000

 

 

 

294,574

 

 

 

NIPPON MINING HLDG

 

NPV

 

JAPAN

 

148,000

 

 

 

1,063,220

 

 

 

NIPPON OIL CORP

 

JPY50

 

JAPAN

 

209,000

 

 

 

1,396,198

 

 

 

NIPPON PAPER GROUP INC

 

NPV

 

JAPAN

 

149

 

 

 

561,462

 

 

 

NIPPON SHEET GLASS

 

JPY50

 

JAPAN

 

72,000

 

 

 

337,174

 

 

 

NIPPON SHOKUBAI CO

 

JPY50

 

JAPAN

 

22,000

 

 

 

233,561

 

 

 

NIPPON STEEL CORP

 

JPY50

 

JAPAN

 

1,025,000

 

 

 

5,883,933

 

 

 

NIPPON TEL+TEL CP

 

JPY50000

 

JAPAN

 

869

 

 

 

4,273,711

 

 

 

NIPPON YUSEN KK

 

JPY50

 

JAPAN

 

174,000

 

 

 

1,270,446

 

 

 

NIPPON ZEON CO

 

JPY50

 

JAPAN

 

27,000

 

 

 

291,402

 

 

 

NISHI NIPPON CITY

 

JPY50

 

JAPAN

 

102,000

 

 

 

438,286

 

 

 

NISHIMATSU CONST

 

JPY50

 

JAPAN

 

47,000

 

 

 

155,017

 

 

 

NISSAN CHEM INDS

 

JPY50

 

JAPAN

 

27,000

 

 

 

335,362

 

 

 

NISSAN MOTOR CO

 

JPY50

 

JAPAN

 

378,200

 

 

 

4,548,366

 

 

 

NISSHIN SEIFUN GRP

 

JPY50

 

JAPAN

 

30,500

 

 

 

314,330

 

 

 

NISSHIN STEEL CO

 

JPY50

 

JAPAN

 

138,000

 

 

 

511,905

 

 

 

NISSHINBO IND INC

 

JPY50

 

JAPAN

 

29,000

 

 

 

300,088

 

 

 

NISSIN FOOD PRODS

 

JPY50

 

JAPAN

 

14,900

 

 

 

551,458

 

 

 

NITORI CO

 

JPY50

 

JAPAN

 

5,950

 

 

 

258,164

 

 

 

NITTO DENKO CORP

 

JPY50

 

JAPAN

 

27,700

 

 

 

1,385,523

 

 

 

NOK CORP

 

JPY50

 

JAPAN

 

19,000

 

 

 

373,127

 

 

 

NOMURA HOLDINGS

 

JPY50

 

JAPAN

 

297,100

 

 

 

5,597,663

 

 

 

NOMURA REAL ESTATE

 

R EST OFFICE F(REIT)

 

JAPAN

 

40

 

 

 

365,910

 

 

 

NOMURA RESEARCH INC

 

NPV

 

JAPAN

 

4,000

 

 

 

579,413

 

 

 

NSK

 

JPY50

 

JAPAN

 

73,000

 

 

 

718,635

 

 

 

NTN CORP

 

JPY50

 

JAPAN

 

64,000

 

 

 

573,102

 

 

 

NTT DATA CORP

 

JPY5000

 

JAPAN

 

210

 

 

 

1,050,397

 

 

 

NTT DOCOMO

 

NPV

 

JAPAN

 

3,133

 

 

 

4,943,175

 

 

 

NTT URBAN DEVELOPM

 

NPV

 

JAPAN

 

195

 

 

 

376,400

 

 

 

OBAYASHI CORP

 

JPY50

 

JAPAN

 

107,000

 

 

 

693,248

 

 

 

OBIC

 

JPY50

 

JAPAN

 

1,100

 

 

 

227,376

 

 

 

ODAKYU ELEC RLWY

 

JPY50

 

JAPAN

 

103,000

 

 

 

657,824

 

 

 

OJI PAPER CO

 

JPY50

 

JAPAN

 

125,000

 

 

 

663,002

 

 

 

OKI ELECTRIC IND

 

JPY50

 

JAPAN

 

90,000

 

 

 

200,159

 

 

 

OKUMA CORPORATION

 

NPV

 

JAPAN

 

24,000

 

 

 

277,957

 

 

 

OKUMURA CORP

 

JPY50

 

JAPAN

 

32,000

 

 

 

158,181

 

 

 

OLYMPUS CORP

 

NPV

 

JAPAN

 

39,000

 

 

 

1,224,120

 

 

 

OMRON CORP

 

JPY50

 

JAPAN

 

37,200

 

 

 

1,055,231

 

 

 

ONWARD KASHIYAMA

 

JPY50

 

JAPAN

 

23,000

 

 

 

293,206

 

 

 

ORACLE CORP JAPAN

 

JPY50

 

JAPAN

 

5,500

 

 

 

254,333

 

 

 

ORIENTAL LAND CO LTD

 

JPY50

 

JAPAN

 

8,300

 

 

 

433,964

 

 

 

ORIX CORP

 

JPY50

 

JAPAN

 

15,126

 

 

 

4,373,217

 

 

 

OSAKA GAS CO

 

JPY50

 

JAPAN

 

334,000

 

 

 

1,241,761

 

 

 

OSG CORP

 

JPY50

 

JAPAN

 

13,300

 

 

 

217,658

 

 

 

OTSUKA CORPORATION

 

JPY50

 

JAPAN

 

2,600

 

 

 

264,026

 

 

 

PARK 24 CO

 

JPY50

 

JAPAN

 

15,800

 

 

 

202,216

 

 

 

PIONEER CORP

 

JPY50

 

JAPAN

 

25,100

 

 

 

344,202

 

 

 

PROMISE CO

 

JPY50

 

JAPAN

 

13,700

 

 

 

425,412

 

 

 

QP CORP

 

JPY50

 

JAPAN

 

15,500

 

 

 

133,855

 

 

 

RAKUTEN INC

 

NPV

 

JAPAN

 

1,090

 

 

 

507,700

 

 

 

RESONA HOLDINGS INC

 

NPV

 

JAPAN

 

763

 

 

 

2,081,113

 

 

 

RICOH CO

 

JPY50

 

JAPAN

 

112,000

 

 

 

2,284,084

 

 

 

RINNAI CORP

 

JPY50

 

JAPAN

 

6,200

 

 

 

185,238

 

 

 

ROHM CO

 

JPY50

 

JAPAN

 

17,900

 

 

 

1,780,160

 

 

 

ROUND ONE CORP

 

JPY5000

 

JAPAN

 

54

 

 

 

159,523

 

 

 

RYOHIN KEIKAKU CO

 

JPY50

 

JAPAN

 

4,000

 

 

 

305,820

 

 

 

SANKEN ELECTRIC CO

 

JPY50

 

JAPAN

 

19,000

 

 

 

234,241

 

 

 

SANKYO CO

 

NPV

 

JAPAN

 

9,000

 

 

 

497,755

 

 

 

SANTEN PHARM CO

 

JPY50

 

JAPAN

 

12,300

 

 

 

345,810

 

 

 

SANWA SHUTTER CORP

 

JPY50

 

JAPAN

 

35,000

 

 

 

206,789

 

 

 

SANYO ELECTRIC CO

 

JPY50

 

JAPAN

 

265,000

 

 

 

335,823

 

 

 

SAPPORO HOKUYO HLD

 

JPY50000

 

JAPAN

 

49

 

 

 

472,913

 

 

 

SAPPORO HOLDINGS

 

NPV

 

JAPAN

 

42,000

 

 

 

238,983

 

 

 

SBI E TRADE SECURI

 

NPV

 

JAPAN

 

261

 

 

 

247,518

 

 

 

SBI HOLDINGS INC

 

NPV

 

JAPAN

 

1,742

 

 

 

586,246

 

 



 

 

 

SECOM CO

 

JPY50

 

JAPAN

 

35,100

 

 

 

1,817,523

 

 

 

SEGA SAMMY HOLDINGS INC

 

ORD SHS

 

JAPAN

 

30,800

 

 

 

829,743

 

 

 

SEIKO EPSON CORP

 

NPV

 

JAPAN

 

22,600

 

 

 

549,092

 

 

 

SEINO HOLDINGS

 

NPV

 

JAPAN

 

26,000

 

 

 

243,951

 

 

 

SEKISUI CHEMICAL

 

JPY50

 

JAPAN

 

76,000

 

 

 

605,296

 

 

 

SEKISUI HOUSE

 

JPY50

 

JAPAN

 

89,000

 

 

 

1,294,423

 

 

 

SEVEN + I HOLDINGS

 

NPV

 

JAPAN

 

137,600

 

 

 

4,272,754

 

 

 

SFCG CO. LTD

 

JPY50

 

JAPAN

 

910

 

 

 

141,210

 

 

 

SHARP CORP

 

JPY50

 

JAPAN

 

167,000

 

 

 

2,873,148

 

 

 

SHIMACHU CO

 

JPY50

 

JAPAN

 

8,000

 

 

 

231,631

 

 

 

SHIMAMURA CO

 

JPY50

 

JAPAN

 

3,300

 

 

 

378,591

 

 

 

SHIMANO INC

 

JPY50

 

JAPAN

 

11,800

 

 

 

341,656

 

 

 

SHIMIZU CORP

 

JPY50

 

JAPAN

 

96,000

 

 

 

479,376

 

 

 

SHIN ETSU CHEM CO

 

JPY50

 

JAPAN

 

65,300

 

 

 

4,367,765

 

 

 

SHINKO ELEC INDS

 

JPY50

 

JAPAN

 

11,200

 

 

 

292,325

 

 

 

SHINKO SECURITIES

 

JPY50

 

JAPAN

 

80,000

 

 

 

310,184

 

 

 

SHINSEI BANK

 

NPV

 

JAPAN

 

261,000

 

 

 

1,533,297

 

 

 

SHIONOGI + CO

 

JPY50

 

JAPAN

 

50,000

 

 

 

981,914

 

 

 

SHISEIDO CO

 

JPY50

 

JAPAN

 

60,000

 

 

 

1,299,148

 

 

 

SHIZUOKA BANK

 

JPY50

 

JAPAN

 

97,000

 

 

 

961,412

 

 

 

SHOWA DENKO KK

 

JPY50

 

JAPAN

 

176,000

 

 

 

673,543

 

 

 

SHOWA SHELL SEKIYU

 

JPY50

 

JAPAN

 

31,500

 

 

 

352,130

 

 

 

SMC CORP

 

NPV

 

JAPAN

 

9,100

 

 

 

1,289,144

 

 

 

SOFTBANK CORPORATION

 

JPY50

 

JAPAN

 

123,600

 

 

 

2,401,360

 

 

 

SOJITZ CORPORATION

 

NPV

 

JAPAN

 

108,600

 

 

 

329,933

 

 

 

SOMPO JAPAN INS

 

JPY50

 

JAPAN

 

141,000

 

 

 

1,721,749

 

 

 

SONY CORP

 

NPV

 

JAPAN

 

168,300

 

 

 

7,203,474

 

 

 

STANLEY ELECTRIC

 

JPY50

 

JAPAN

 

25,100

 

 

 

502,400

 

 

 

SUMCO CORPOATION

 

NPV

 

JAPAN

 

8,100

 

 

 

683,866

 

 

 

SUMITOMO BAKELITE

 

JPY50

 

JAPAN

 

30,000

 

 

 

206,957

 

 

 

SUMITOMO CHEMICAL

 

JPY50

 

JAPAN

 

249,000

 

 

 

1,928,807

 

 

 

SUMITOMO CORP

 

JPY50

 

JAPAN

 

177,500

 

 

 

2,653,078

 

 

 

SUMITOMO ELEC INDS

 

JPY50

 

JAPAN

 

120,700

 

 

 

1,884,117

 

 

 

SUMITOMO HEAVY IND

 

JPY50

 

JAPAN

 

96,000

 

 

 

1,007,092

 

 

 

SUMITOMO METAL IND

 

JPY50

 

JAPAN

 

683,000

 

 

 

2,963,459

 

 

 

SUMITOMO METAL MNG

 

JPY50

 

JAPAN

 

90,000

 

 

 

1,153,372

 

 

 

SUMITOMO MITSUI GR

 

NPV

 

JAPAN

 

1,031

 

 

 

10,556,166

 

 

 

SUMITOMO OSAKA CEM

 

JPY50

 

JAPAN

 

64,000

 

 

 

208,938

 

 

 

SUMITOMO RLTY+DEV

 

JPY50

 

JAPAN

 

64,000

 

 

 

2,051,781

 

 

 

SUMITOMO RUBBER

 

JPY50

 

JAPAN

 

28,900

 

 

 

372,786

 

 

 

SUMITOMO TITANIUM

 

NPV

 

JAPAN

 

3,000

 

 

 

335,110

 

 

 

SUMITOMO TRUST+BKG

 

JPY50

 

JAPAN

 

210,000

 

 

 

2,199,488

 

 

 

SURUGA BANK

 

JPY50

 

JAPAN

 

33,000

 

 

 

408,225

 

 

 

SUZUKEN CO LTD

 

JPY50

 

JAPAN

 

11,800

 

 

 

443,657

 

 

 

T+D HOLDINGS INC

 

NPV

 

JAPAN

 

39,150

 

 

 

2,585,796

 

 

 

TAIHEIYO CEMENT

 

JPY50

 

JAPAN

 

151,000

 

 

 

590,542

 

 

 

TAISEI CORP

 

JPY50

 

JAPAN

 

158,000

 

 

 

481,339

 

 

 

TAISHO PHARM CO

 

JPY50

 

JAPAN

 

26,000

 

 

 

472,410

 

 

 

TAIYO NIPPON SANSO

 

NPV

 

JAPAN

 

43,000

 

 

 

386,857

 

 

 

TAIYO YUDEN CO

 

JPY50

 

JAPAN

 

18,000

 

 

 

317,234

 

 

 

TAKARA HOLDINGS

 

JPY50

 

JAPAN

 

30,000

 

 

 

193,110

 

 

 

TAKASHIMAYA CO

 

JPY50

 

JAPAN

 

47,000

 

 

 

663,455

 

 

 

TAKEDA PHARMACEUTICAL CO LTD

 

JPY50

 

JAPAN

 

149,300

 

 

 

10,236,927

 

 

 

TAKEFUJI CORP

 

JPY50

 

JAPAN

 

18,360

 

 

 

725,740

 

 

 

TANABE SEIYAKU CO

 

JPY50

 

JAPAN

 

37,000

 

 

 

482,858

 

 

 

TDK CORP

 

NPV50

 

JAPAN

 

21,100

 

 

 

1,675,179

 

 

 

TEIJIN

 

JPY50

 

JAPAN

 

140,000

 

 

 

861,231

 

 

 

TERUMO CORP

 

JPY50

 

JAPAN

 

28,500

 

 

 

1,119,382

 

 

 

THK CO

 

JPY50

 

JAPAN

 

19,500

 

 

 

502,413

 

 

 

TIS INC

 

JPY50

 

JAPAN

 

5,800

 

 

 

137,023

 

 

 

TOBU RAILWAY CO

 

JPY50

 

JAPAN

 

136,000

 

 

 

656,288

 

 

 

TODA CORPORATION

 

JPY50

 

JAPAN

 

31,000

 

 

 

131,383

 

 

 

TOHO CO

 

JPY500

 

JAPAN

 

23,200

 

 

 

418,614

 

 

 

TOHO TITANIUM CO

 

JPY50

 

JAPAN

 

5,200

 

 

 

272,754

 

 

 

TOHOKU ELEC POWER

 

JPY500

 

JAPAN

 

71,500

 

 

 

1,785,175

 

 

 

TOKAI RIKA CO

 

JPY50

 

JAPAN

 

9,100

 

 

 

231,404

 

 

 

TOKUYAMA CORP

 

JPY50

 

JAPAN

 

39,000

 

 

 

593,076

 

 

 

TOKYO BROADCASTING

 

JPY50

 

JAPAN

 

6,400

 

 

 

213,235

 

 

 

TOKYO ELEC POWER

 

JPY500

 

JAPAN

 

204,500

 

 

 

6,607,570

 

 

 

TOKYO ELECTRON

 

JPY50

 

JAPAN

 

27,200

 

 

 

2,141,211

 

 

 

TOKYO GAS CO

 

JPY50

 

JAPAN

 

375,000

 

 

 

1,992,153

 

 

 

TOKYO SEIMITSU CO

 

JPY50

 

JAPAN

 

5,600

 

 

 

264,127

 

 

 

TOKYO STEEL MFG

 

JPY50

 

JAPAN

 

17,000

 

 

 

266,225

 

 

 

TOKYO STYLE CO

 

JPY50

 

JAPAN

 

10,000

 

 

 

108,011

 

 

 

TOKYO TATEMONO CO

 

JPY50

 

JAPAN

 

47,000

 

 

 

523,033

 

 

 

TOKYU CORP

 

JPY50

 

JAPAN

 

178,000

 

 

 

1,138,316

 

 

 

TOKYU LAND CORP

 

JPY50

 

JAPAN

 

68,000

 

 

 

640,309

 

 

 

TONEN GEN SEKIYU

 

JPY50

 

JAPAN

 

49,000

 

 

 

484,839

 

 

 

TOPIX INDEX FUTURES

 

7-Mar-07

 

JAPAN

 

1,150,000

 

 

 

—

 

 

 

TOPPAN PRINTING CO

 

JPY50

 

JAPAN

 

93,000

 

 

 

1,025,572

 

 

 

TORAY INDS INC

 

MPV

 

JAPAN

 

223,000

 

 

 

1,669,389

 

 

 

TOSHIBA CORP

 

JPY50

 

JAPAN

 

487,000

 

 

 

3,167,513

 

 

 

TOSOH CORP

 

JPY50

 

JAPAN

 

82,000

 

 

 

361,982

 

 

 

TOTO

 

JPY50

 

JAPAN

 

47,000

 

 

 

470,178

 

 

 

TOYO SEIKAN KAISHA

 

JPY50

 

JAPAN

 

26,600

 

 

 

440,003

 

 

 

TOYO SUISAN KAISHA

 

JPY50

 

JAPAN

 

14,000

 

 

 

224,061

 

 

 

TOYOBO CO

 

JPY50

 

JAPAN

 

99,000

 

 

 

298,275

 

 

 

TOYODA GOSEI

 

JPY50

 

JAPAN

 

10,900

 

 

 

252,020

 

 

 

TOYOTA INDUSTRIES

 

JPY50

 

JAPAN

 

32,800

 

 

 

1,505,736

 

 

 

TOYOTA MOTOR CORP

 

JPY50

 

JAPAN

 

485,000

 

 

 

32,399,815

 

 

 

TOYOTA TSUSHO CORP

 

JPY50

 

JAPAN

 

35,000

 

 

 

937,015

 

 

 

TREND MICRO INC

 

JPY50

 

JAPAN

 

16,000

 

 

 

468,633

 

 

 

UBE INDUSTRIES

 

JPY50

 

JAPAN

 

152,000

 

 

 

436,272

 

 



 

 

 

UNI CHARM CORP

 

JPY50

 

JAPAN

 

6,700

 

 

 

397,541

 

 

 

UNIDEN CORP

 

JPY50

 

JAPAN

 

9,000

 

 

 

61,407

 

 

 

UNY CO LTD

 

NPV

 

JAPAN

 

26,000

 

 

 

338,215

 

 

 

USHIO INC

 

JPY50

 

JAPAN

 

18,500

 

 

 

379,611

 

 

 

USS

 

JPY50

 

JAPAN

 

4,560

 

 

 

296,588

 

 

 

WACOAL HOLDINGS CORP

 

JPY50

 

JAPAN

 

19,000

 

 

 

257,841

 

 

 

WEST JAPAN RAILWAY

 

JPY50000

 

JAPAN

 

283

 

 

 

1,208,904

 

 

 

YAHOO JAPAN CORP

 

JPY50000

 

JAPAN

 

2,514

 

 

 

1,000,072

 

 

 

YAKULT HONSHA CO

 

JPY50

 

JAPAN

 

17,400

 

 

 

499,417

 

 

 

YAMADA DENKI CO

 

JPY50

 

JAPAN

 

14,290

 

 

 

1,211,271

 

 

 

YAMAHA CORP

 

NPV

 

JAPAN

 

28,700

 

 

 

606,974

 

 

 

YAMAHA MOTOR CO

 

JPY50

 

JAPAN

 

31,300

 

 

 

982,435

 

 

 

YAMATO HOLDINGS CO LTD

 

NPV

 

JAPAN

 

62,000

 

 

 

952,205

 

 

 

YAMAZAKI BAKING CO

 

JPY50

 

JAPAN

 

17,000

 

 

 

164,643

 

 

 

YASKAWA ELEC CORP

 

JPY50

 

JAPAN

 

32,000

 

 

 

369,804

 

 

 

YOKOGAWA ELECTRIC

 

JPY50

 

JAPAN

 

35,600

 

 

 

563,780

 

 

 

EXPERIAN GROUP

 

ORD GBP0

 

JERSEY, C.I.

 

172,247

 

 

 

2,020,994

 

 

 

MEINL EUROPEAN LAND

 

EUR5

 

JERSEY, C.I.

 

25,841

 

 

 

662,764

 

 

 

ARAB BANK

 

JOD10

 

JORDAN

 

9,830

 

 

 

296,148

 

 

 

ARAB PHARMACEU MFG

 

JOD1

 

JORDAN

 

1,381

 

 

 

10,323

 

 

 

DAR EL DAWA DEV+IN

 

JOD10

 

JORDAN

 

3,085

 

 

 

21,538

 

 

 

JORDAN AHLI BANK

 

JOD1 POST MERGER

 

JORDAN

 

8,451

 

 

 

37,428

 

 

 

JORDAN CEMENT FACT

 

JOD1

 

JORDAN

 

3,744

 

 

 

67,804

 

 

 

JORDAN ELEC PWR CO

 

JOD1

 

JORDAN

 

10,801

 

 

 

43,417

 

 

 

JORDAN ISLAMIC BK

 

JOD1

 

JORDAN

 

10,338

 

 

 

58,616

 

 

 

JORDAN PETROL REF

 

JOD1

 

JORDAN

 

3,655

 

 

 

25,776

 

 

 

THE HOUSING BK

 

JOD1

 

JORDAN

 

10,322

 

 

 

95,358

 

 

 

AMOREPACIFIC CORP(NEW)

 

KRW5000

 

KOREA, REPUBLIC OF

 

527

 

 

 

328,667

 

 

 

ASIANA AIRLINES IN

 

KRW5000

 

KOREA, REPUBLIC OF

 

14,788

 

 

 

108,922

 

 

 

CHEIL COMMUNICATION

 

KRW5000

 

KOREA, REPUBLIC OF

 

630

 

 

 

156,484

 

 

 

CHEIL INDUSTRIES

 

KRW5000

 

KOREA, REPUBLIC OF

 

7,840

 

 

 

330,882

 

 

 

CJ CORP

 

KRW5000

 

KOREA, REPUBLIC OF

 

3,100

 

 

 

373,333

 

 

 

DAE DUCK ELECTRNC

 

KRW500

 

KOREA, REPUBLIC OF

 

5,877

 

 

 

44,994

 

 

 

DAEGU BANK

 

KRW5000

 

KOREA, REPUBLIC OF

 

21,500

 

 

 

367,581

 

 

 

DAELIM INDUSTRIAL

 

KRW5000

 

KOREA, REPUBLIC OF

 

4,460

 

 

 

364,473

 

 

 

DAEWOO ENGINEERING

 

KRW5000

 

KOREA, REPUBLIC OF

 

26,590

 

 

 

546,096

 

 

 

DAEWOO INTERNATIONAL

 

KRW5000

 

KOREA, REPUBLIC OF

 

7,440

 

 

 

312,400

 

 

 

DAEWOO SECURITIES

 

KRW5000

 

KOREA, REPUBLIC OF

 

19,260

 

 

 

388,306

 

 

 

DAEWOO SHIPBUILDING + MARINE

 

KRW5000

 

KOREA, REPUBLIC OF

 

16,390

 

 

 

514,611

 

 

 

DAISHIN SECURITIES

 

KRW5000

 

KOREA, REPUBLIC OF

 

6,980

 

 

 

176,376

 

 

 

DAUM COMMUNICATIONS CORP

 

KRW500

 

KOREA, REPUBLIC OF

 

1,710

 

 

 

106,094

 

 

 

DONG AH CONST IND

 

EDR REPR 1/2 COM KRW5000

 

KOREA, REPUBLIC OF

 

434

 

 

 

—

 

 

 

DONGBU INSURANCE

 

KRW500

 

KOREA, REPUBLIC OF

 

5,960

 

 

 

158,613

 

 

 

DONGKUK STEEL MILL

 

KRW5000

 

KOREA, REPUBLIC OF

 

6,620

 

 

 

167,280

 

 

 

DOOSAN INFRACORE CO LTD

 

KRW5000

 

KOREA, REPUBLIC OF

 

9,830

 

 

 

222,496

 

 

 

GS ENGINEERING + C

 

KRW5000

 

KOREA, REPUBLIC OF

 

6,110

 

 

 

545,958

 

 

 

GS HOLDINGS CORP

 

KRW5000

 

KOREA, REPUBLIC OF

 

1

 

 

 

32

 

 

 

HANA FINANCIAL HOL

 

KRW5000

 

KOREA, REPUBLIC OF

 

20,286

 

 

 

1,066,651

 

 

 

HANJIN HEAVY IND

 

KRW5000

 

KOREA, REPUBLIC OF

 

7,660

 

 

 

249,568

 

 

 

HANJIN SHIPPING

 

KRW5000

 

KOREA, REPUBLIC OF

 

8,980

 

 

 

254,916

 

 

 

HANKOOK TIRE MANFT

 

KRW500

 

KOREA, REPUBLIC OF

 

18,240

 

 

 

309,884

 

 

 

HANMI PHARM IND CO

 

KRW2500

 

KOREA, REPUBLIC OF

 

1,050

 

 

 

158,065

 

 

 

HANWHA CHEMICAL

 

KRW5000

 

KOREA, REPUBLIC OF

 

8,730

 

 

 

115,931

 

 

 

HITE BREWERY CO

 

KRW5000

 

KOREA, REPUBLIC OF

 

2,010

 

 

 

258,274

 

 

 

HONAM PETROCHEM

 

KSWN 5000

 

KOREA, REPUBLIC OF

 

2,400

 

 

 

179,355

 

 

 

HYOSUNG

 

KRW5000

 

KOREA, REPUBLIC OF

 

3,793

 

 

 

111,547

 

 

 

HYUNDAI AUTONET

 

KRW500

 

KOREA, REPUBLIC OF

 

15,380

 

 

 

150,989

 

 

 

HYUNDAI DEPT STORE

 

KRW5000

 

KOREA, REPUBLIC OF

 

2,438

 

 

 

220,206

 

 

 

HYUNDAI ENG +CONST

 

KRW5000

 

KOREA, REPUBLIC OF

 

7,630

 

 

 

467,645

 

 

 

HYUNDAI FIRE MARIN

 

KRW500

 

KOREA, REPUBLIC OF

 

11,870

 

 

 

150,609

 

 

 

HYUNDAI HEAVY INDUSTRIES

 

KRW5000

 

KOREA, REPUBLIC OF

 

7,940

 

 

 

1,075,742

 

 

 

HYUNDAI INDL + DEV

 

KRW5000

 

KOREA, REPUBLIC OF

 

10,970

 

 

 

669,996

 

 

 

HYUNDAI MIPO DOCK

 

KSWN5000

 

KOREA, REPUBLIC OF

 

2,170

 

 

 

277,667

 

 

 

HYUNDAI MOBIS

 

KRW5000

 

KOREA, REPUBLIC OF

 

9,700

 

 

 

895,946

 

 

 

HYUNDAI MOTOR CO

 

2ND PFD KRW5000

 

KOREA, REPUBLIC OF

 

6,270

 

 

 

255,519

 

 

 

HYUNDAI MOTOR CO

 

KRW5000

 

KOREA, REPUBLIC OF

 

20,080

 

 

 

1,455,260

 

 

 

HYUNDAI SECURITIES

 

KRW5000

 

KOREA, REPUBLIC OF

 

18,599

 

 

 

249,987

 

 

 

KANGWON LAND INC

 

KRW500

 

KOREA, REPUBLIC OF

 

18,630

 

 

 

404,652

 

 

 

KCC CORPORATION

 

KRW5000

 

KOREA, REPUBLIC OF

 

810

 

 

 

252,145

 

 

 

KIA MOTORS CORP

 

KRW5000

 

KOREA, REPUBLIC OF

 

33,250

 

 

 

480,874

 

 

 

KOOKMIN BANK

 

KRW5000

 

KOREA, REPUBLIC OF

 

51,419

 

 

 

4,141,165

 

 

 

KOREA ELEC POWER

 

KRW5000

 

KOREA, REPUBLIC OF

 

44,690

 

 

 

2,037,480

 

 

 

KOREA EXCHANGE BK

 

KRW5000

 

KOREA, REPUBLIC OF

 

16,010

 

 

 

221,213

 

 

 

KOREA INVESTMENT HOLDING CO

 

KRW5000

 

KOREA, REPUBLIC OF

 

6,180

 

 

 

307,671

 

 

 

KOREA ZINC

 

KRW5000

 

KOREA, REPUBLIC OF

 

2,060

 

 

 

218,626

 

 

 

KOREAN AIR LINES

 

KRW5000

 

KOREA, REPUBLIC OF

 

6,009

 

 

 

229,053

 

 

 

KOREAN REINSURANCE

 

KRW500

 

KOREA, REPUBLIC OF

 

12,280

 

 

 

167,695

 

 

 

KT + G CORPORATION

 

KRW5000

 

KOREA, REPUBLIC OF

 

19,430

 

 

 

1,180,425

 

 

 

KT CORPORATION

 

KRW5000

 

KOREA, REPUBLIC OF

 

17,980

 

 

 

899,000

 

 

 

KT FREETEL

 

KRW5000

 

KOREA, REPUBLIC OF

 

16,840

 

 

 

538,699

 

 

 

LG CHEMICAL

 

KRW5000

 

KOREA, REPUBLIC OF

 

7,709

 

 

 

357,267

 

 

 

LG CORP

 

KRW5000

 

KOREA, REPUBLIC OF

 

3

 

 

 

96

 

 

 

LG ELECTRONICS INC

 

KRW 5000

 

KOREA, REPUBLIC OF

 

16,367

 

 

 

967,941

 

 

 

LG ELECTRONICS INC

 

PREF KRW 5000

 

KOREA, REPUBLIC OF

 

2,730

 

 

 

95,110

 

 

 

LG FASHION CORP

 

KRW5000

 

KOREA, REPUBLIC OF

 

4,149

 

 

 

93,687

 

 

 

LG HOUSEHOLD + HEALT

 

KRW5000

 

KOREA, REPUBLIC OF

 

1,830

 

 

 

243,016

 

 

 

LG INTL CORP

 

KRW5000

 

KOREA, REPUBLIC OF

 

5,500

 

 

 

135,726

 

 

 

LG PETROCHEMICAL

 

KRW5000

 

KOREA, REPUBLIC OF

 

4,320

 

 

 

109,161

 

 

 

LG PHILIPS LCD

 

KRW5000

 

KOREA, REPUBLIC OF

 

15,320

 

 

 

458,776

 

 

 

LOTTE CHILSUNG BEV

 

KRW5000

 

KOREA, REPUBLIC OF

 

100

 

 

 

150,538

 

 

 

LOTTE CONFECT

 

KRW5000

 

KOREA, REPUBLIC OF

 

130

 

 

 

169,140

 

 

 

LOTTE SHOPPING CEN

 

KRW5000

 

KOREA, REPUBLIC OF

 

1,520

 

 

 

630,882

 

 

 

LS CABLE LTD

 

KRW5000

 

KOREA, REPUBLIC OF

 

3,080

 

 

 

127,174

 

 



 

 

 

MIRAE ASSET SECURI

 

KRW5000

 

KOREA, REPUBLIC OF

 

2,500

 

 

 

201,613

 

 

 

NCSOFT

 

KRW500

 

KOREA, REPUBLIC OF

 

2,448

 

 

 

140,299

 

 

 

NHN CORP

 

KRW500

 

KOREA, REPUBLIC OF

 

6,372

 

 

 

781,769

 

 

 

NONG SHIM CO

 

KRW5000

 

KOREA, REPUBLIC OF

 

532

 

 

 

163,032

 

 

 

ORION CORP

 

KRW5000

 

KOREA, REPUBLIC OF

 

590

 

 

 

172,876

 

 

 

PACIFIC CORP

 

KRW5000

 

KOREA, REPUBLIC OF

 

322

 

 

 

58,860

 

 

 

POONGSAN

 

KRW5000

 

KOREA, REPUBLIC OF

 

3,530

 

 

 

88,060

 

 

 

POSCO

 

KRW5000

 

KOREA, REPUBLIC OF

 

6,440

 

 

 

2,139,742

 

 

 

PUSAN BANK

 

KRW5000

 

KOREA, REPUBLIC OF

 

21,340

 

 

 

266,176

 

 

 

S OIL

 

KRW2500

 

KOREA, REPUBLIC OF

 

7,710

 

 

 

567,887

 

 

 

S1 CORP

 

KRW500

 

KOREA, REPUBLIC OF

 

3,260

 

 

 

151,958

 

 

 

SAMSUNG CO

 

KRW5000

 

KOREA, REPUBLIC OF

 

23,120

 

 

 

761,966

 

 

 

SAMSUNG ELEC MECH

 

KRW5000

 

KOREA, REPUBLIC OF

 

10,210

 

 

 

475,918

 

 

 

SAMSUNG ELECTRONIC

 

KRW5000

 

KOREA, REPUBLIC OF

 

20,520

 

 

 

13,525,548

 

 

 

SAMSUNG ELECTRONIC

 

PFD KRW5000

 

KOREA, REPUBLIC OF

 

3,780

 

 

 

1,950,968

 

 

 

SAMSUNG ENGINEER

 

KRW5000

 

KOREA, REPUBLIC OF

 

5,300

 

 

 

246,478

 

 

 

SAMSUNG FINE CHEM

 

KRW5000

 

KOREA, REPUBLIC OF

 

2,710

 

 

 

67,896

 

 

 

SAMSUNG FIRE + MAR

 

KRW500

 

KOREA, REPUBLIC OF

 

6,380

 

 

 

1,107,925

 

 

 

SAMSUNG HEAVY

 

KSWN5000

 

KOREA, REPUBLIC OF

 

29,660

 

 

 

711,202

 

 

 

SAMSUNG SDI

 

KRW5000

 

KOREA, REPUBLIC OF

 

5,850

 

 

 

404,468

 

 

 

SAMSUNG SECS CO

 

KRW5000

 

KOREA, REPUBLIC OF

 

9,160

 

 

 

499,368

 

 

 

SAMSUNG TECHWIN

 

KSWN5000

 

KOREA, REPUBLIC OF

 

8,040

 

 

 

293,503

 

 

 

SHINHAN FINANCIAL

 

KRW5000

 

KOREA, REPUBLIC OF

 

36,766

 

 

 

1,877,833

 

 

 

SHINSEGAE CO LTD

 

KRW5000

 

KOREA, REPUBLIC OF

 

2,460

 

 

 

1,534,194

 

 

 

SK CORP

 

KRW5000

 

KOREA, REPUBLIC OF

 

19,050

 

 

 

1,495,323

 

 

 

SK TELECOM

 

KRW500

 

KOREA, REPUBLIC OF

 

4,350

 

 

 

1,040,726

 

 

 

TONGYANG INVEST BA

 

KRW5000

 

KOREA, REPUBLIC OF

 

14,470

 

 

 

171,928

 

 

 

WOONG JIN COWAY

 

KRW500

 

KOREA, REPUBLIC OF

 

6,840

 

 

 

189,755

 

 

 

WOORI INVESTMENT + SECURITIES

 

KRW5000

 

KOREA, REPUBLIC OF

 

15,690

 

 

 

337,419

 

 

 

YUHAN CORP

 

KRW5000

 

KOREA, REPUBLIC OF

 

1,316

 

 

 

251,880

 

 

 

ACERGY S.A

 

COM USD2

 

LUXEMBOURG

 

33,278

 

 

 

641,365

 

 

 

ORIFLAME COSMETICS

 

SDR EACH REP 1 EUR1.25

 

LUXEMBOURG

 

6,617

 

 

 

272,687

 

 

 

STOLT NIELSEN SA

 

NPV

 

LUXEMBOURG

 

6,800

 

 

 

208,597

 

 

 

AIRASIA BHD

 

MYR0.1

 

MALAYSIA

 

141,400

 

 

 

60,520

 

 

 

AMFIRST

 

REIT

 

MALAYSIA

 

8,826

 

 

 

7,955

 

 

 

AMMB HOLDINGS BHD

 

MYR1

 

MALAYSIA

 

237,856

 

 

 

214,394

 

 

 

BERJAYA SPORTS

 

MYR0.5

 

MALAYSIA

 

116,550

 

 

 

158,571

 

 

 

BRITISH AMERICAN TOBACCO

 

MYR0.50

 

MALAYSIA

 

22,119

 

 

 

271,158

 

 

 

BUMIPUTRA COMMERCE HLDS BH

 

MYR1

 

MALAYSIA

 

378,804

 

 

 

832,123

 

 

 

BURSA MALAYSIA BER

 

COM STK NPV

 

MALAYSIA

 

53,300

 

 

 

121,617

 

 

 

DRB HICOM BERHAD

 

MYR1

 

MALAYSIA

 

103,700

 

 

 

49,381

 

 

 

EDARAN OTOMOBIL

 

MYR1

 

MALAYSIA

 

36

 

 

 

19

 

 

 

GAMUDA BERHAD

 

MYR1

 

MALAYSIA

 

96,922

 

 

 

140,108

 

 

 

GENTING BERHAD

 

ORD MYR0.50

 

MALAYSIA

 

66,900

 

 

 

625,765

 

 

 

GOLDEN HOPE PLANTS

 

MYR1

 

MALAYSIA

 

67,571

 

 

 

114,917

 

 

 

GUINNESS ANCHOR BD

 

MYR0.50

 

MALAYSIA

 

21,600

 

 

 

37,347

 

 

 

HIGHLANDS+LOWLANDS

 

ORD MYR0.50

 

MALAYSIA

 

26,100

 

 

 

39,949

 

 

 

HONG LEONG BANK BE

 

MYR1

 

MALAYSIA

 

77,500

 

 

 

121,918

 

 

 

HONG LEONG FINANCI

 

MYR1

 

MALAYSIA

 

33,800

 

 

 

47,519

 

 

 

IGB CORP BERHAD

 

MYR0.50

 

MALAYSIA

 

118,500

 

 

 

60,459

 

 

 

IJM CORP BERHAD

 

MYR1

 

MALAYSIA

 

59,200

 

 

 

123,333

 

 

 

IOI CORP

 

MYR0.50

 

MALAYSIA

 

113,685

 

 

 

592,915

 

 

 

IOI PROPERTIES

 

MYR1

 

MALAYSIA

 

14,400

 

 

 

38,776

 

 

 

KLCC PROPERTY HLDG

 

COM STK MYR1

 

MALAYSIA

 

76,400

 

 

 

61,501

 

 

 

KRISASSETS HOLDINGS

 

MYR1

 

MALAYSIA

 

97

 

 

 

69

 

 

 

KUALA LUMPUR KEPG

 

ORD MYR1

 

MALAYSIA

 

42,797

 

 

 

163,764

 

 

 

KURNIA ASIA BERHAD

 

MYR0.25

 

MALAYSIA

 

95,200

 

 

 

30,222

 

 

 

LAFARGE MALAYAN CEMENT BHD

 

MYR0.50

 

MALAYSIA

 

199,603

 

 

 

78,076

 

 

 

MAGNUM CP BHD

 

MYR0.50

 

MALAYSIA

 

147,910

 

 

 

99,781

 

 

 

MALAKOFF BHD

 

MYR1

 

MALAYSIA

 

92,800

 

 

 

265,669

 

 

 

MALAY AIRLINE SYST

 

ORD MYR1

 

MALAYSIA

 

43,186

 

 

 

57,288

 

 

 

MALAYAN BK BHD

 

MYR1

 

MALAYSIA

 

325,873

 

 

 

1,089,938

 

 

 

MALAYSIAN BULK CAR

 

MYR0.25

 

MALAYSIA

 

34,800

 

 

 

25,252

 

 

 

MALAYSIAN PACIFIC

 

MYR0.50

 

MALAYSIA

 

13,264

 

 

 

39,852

 

 

 

MALAYSIAN RES CORP

 

MYR1

 

MALAYSIA

 

132,666

 

 

 

39,108

 

 

 

MAXIS COMMUN BHD

 

MYR0.10

 

MALAYSIA

 

150,700

 

 

 

435,697

 

 

 

MEDIA PRIMA BERHAD

 

MYR1

 

MALAYSIA

 

84,433

 

 

 

59,831

 

 

 

MISC BHD

 

MYR1(ALIEN MARKET)

 

MALAYSIA

 

192,100

 

 

 

484,606

 

 

 

MMC CORPORATION

 

MYR0.10

 

MALAYSIA

 

52,800

 

 

 

60,463

 

 

 

MULPHA INTL BHD

 

MYR0.50

 

MALAYSIA

 

129,700

 

 

 

50,733

 

 

 

MULTI PURPOSE HLDG

 

MYR1

 

MALAYSIA

 

71,000

 

 

 

26,565

 

 

 

OSK HOLDINGS BHD

 

MYR1.00

 

MALAYSIA

 

77

 

 

 

43

 

 

 

PETRONAS DAGANGAN

 

MYR1

 

MALAYSIA

 

39,400

 

 

 

55,616

 

 

 

PETRONAS GAS BERHA

 

MRY1

 

MALAYSIA

 

64,700

 

 

 

164,134

 

 

 

PLUS EXPRESSWAYS B

 

ORD MYR0.25

 

MALAYSIA

 

258,100

 

 

 

205,573

 

 

 

POS MALAYSIA + SERVICES HLDGS

 

MY 1

 

MALAYSIA

 

48,400

 

 

 

68,594

 

 

 

PPB GROUP BERHAD

 

MYR1

 

MALAYSIA

 

77,600

 

 

 

119,875

 

 

 

PROTON HLDGS BHD

 

ORD MYR1

 

MALAYSIA

 

42,581

 

 

 

79,658

 

 

 

PUBLIC BK BHD

 

MYR1 (ALIEN MKT)

 

MALAYSIA

 

175,710

 

 

 

390,965

 

 

 

PUNCAK NIAGA HLDGS

 

MYR1

 

MALAYSIA

 

50

 

 

 

44

 

 

 

RESORTS WORLD BHD

 

MYR0.50

 

MALAYSIA

 

84,750

 

 

 

350,723

 

 

 

RHB CAPITAL BHD

 

MYR1

 

MALAYSIA

 

109,800

 

 

 

106,439

 

 

 

ROAD BUILDER (M)

 

ORD MYR1.00

 

MALAYSIA

 

67,200

 

 

 

64,762

 

 

 

SCOMI GROUP BERHAD

 

MYR0.10

 

MALAYSIA

 

86,600

 

 

 

24,792

 

 

 

SHELL REFINERY(M)

 

MYR1

 

MALAYSIA

 

23,700

 

 

 

71,207

 

 

 

SIME DARBY BHD

 

MYR0.50

 

MALAYSIA

 

254,759

 

 

 

519,916

 

 

 

SP SETIA

 

MYR1

 

MALAYSIA

 

82,999

 

 

 

119,982

 

 

 

STAR PUBLICATIONS

 

MYR1

 

MALAYSIA

 

76,400

 

 

 

65,832

 

 

 

TA ENTERPRISE BHD

 

MYR1

 

MALAYSIA

 

76,000

 

 

 

17,126

 

 

 

TAN CHONG MOTOR HD

 

MYR0.50

 

MALAYSIA

 

39,000

 

 

 

13,818

 

 

 

TELEKOM MALAYSIA

 

MYR1

 

MALAYSIA

 

146,102

 

 

 

403,768

 

 

 

TENAGA NASIONAL

 

MYR1

 

MALAYSIA

 

174,244

 

 

 

538,339

 

 

 

TRANSMILE GROUP

 

MYR1

 

MALAYSIA

 

22,100

 

 

 

88,951

 

 



 

 

 

UMW HLDGS BERHAD

 

MYR1

 

MALAYSIA

 

36,100

 

 

 

78,790

 

 

 

YTL CORP

 

ORD MYR0.50

 

MALAYSIA

 

106,977

 

 

 

198,611

 

 

 

YTL CORP

 

RTS EX/DT 16JAN07

 

MALAYSIA

 

10,698

 

 

 

6,277

 

 

 

ALFA SA

 

SERIES A NPV (CPO)

 

MEXICO

 

54,800

 

 

 

363,920

 

 

 

AMERICA MOVIL SA

 

COM SER L NPV (L VTG)

 

MEXICO

 

3,201,309

 

 

 

7,202,790

 

 

 

CARSO INFRAESTRUCT

 

COM NPV B 1

 

MEXICO

 

119,900

 

 

 

113,622

 

 

 

CEMEX SAB DE CV

 

CPO NPV (REP2 A + 1B)

 

MEXICO

 

1,237,482

 

 

 

4,184,413

 

 

 

COCA COLA FEMSA SA

 

SER L NPV

 

MEXICO

 

47,200

 

 

 

177,955

 

 

 

CONSORICO ARA SA

 

SER UNICA NPV

 

MEXICO

 

37,000

 

 

 

251,180

 

 

 

CONTROL COM MEX

 

UNITS REP 3 B + 1 C

 

MEXICO

 

59,400

 

 

 

153,617

 

 

 

CORP GEO SAB DE CV

 

SER B NPV

 

MEXICO

 

66,200

 

 

 

330,789

 

 

 

DESARROLLADORA HOM

 

COM NPV

 

MEXICO

 

25,600

 

 

 

250,848

 

 

 

EMPRESAS ICA SA

 

COM NPV

 

MEXICO

 

61,300

 

 

 

231,002

 

 

 

FOMENTO ECON MEXICO

 

UNITS (REP 1 SER B SHS 4 D)

 

MEXICO

 

123,700

 

 

 

1,432,155

 

 

 

GPO BIMBO SA DE CV

 

SER A NPV

 

MEXICO

 

46,100

 

 

 

229,927

 

 

 

GPO MEXICO SA

 

SER B COM NPV

 

MEXICO

 

178,102

 

 

 

651,418

 

 

 

GRUPO AEROPORTUARI

 

SER B NPV

 

MEXICO

 

42,200

 

 

 

178,515

 

 

 

GRUPO AEROPORTUARI

 

SER B NPV

 

MEXICO

 

71,500

 

 

 

280,006

 

 

 

GRUPO CARSO

 

SER A1 NPV

 

MEXICO

 

116,661

 

 

 

430,897

 

 

 

GRUPO FINANCIERO BANORTE SA

 

O SHS

 

MEXICO

 

217,136

 

 

 

847,133

 

 

 

GRUPO MODELO SA DE

 

MXN SERIES C SHS

 

MEXICO

 

86,200

 

 

 

476,107

 

 

 

GRUPO TELEVISA SA

 

(CPO) PTG CERTS REP 1A L D SH

 

MEXICO

 

408,500

 

 

 

2,208,343

 

 

 

INDUSTRIAS PENOLES

 

NPV

 

MEXICO

 

13,600

 

 

 

124,369

 

 

 

KIMBERLY CLARK DE MEX SAB D

 

A NPV

 

MEXICO

 

81,400

 

 

 

375,164

 

 

 

TELEFONOS DE MEXIC

 

SERIES L NPV(LTD VTG)

 

MEXICO

 

1,760,000

 

 

 

2,490,390

 

 

 

TV AZTECA

 

CPO(1A 1DA 1DL)

 

MEXICO

 

178,100

 

 

 

135,217

 

 

 

URBI DESARROLLO UR

 

COM NPV

 

MEXICO

 

67,200

 

 

 

242,064

 

 

 

WAL MART DE MEXICO

 

SER V NPV

 

MEXICO

 

539,200

 

 

 

2,367,083

 

 

 

BQE COMM DU MAROC

 

MAD100

 

MOROCCO

 

310

 

 

 

84,379

 

 

 

BQE MAROC COMM EXT

 

MAD100

 

MOROCCO

 

919

 

 

 

135,948

 

 

 

BRASSERIES MAROC

 

MAD100

 

MOROCCO

 

91

 

 

 

17,285

 

 

 

HOLCIM (MAROC)

 

MAD100

 

MOROCCO

 

279

 

 

 

66,696

 

 

 

MANAGEM

 

COM STK MD100

 

MOROCCO

 

344

 

 

 

17,098

 

 

 

MAROC TELECOM

 

MAD10

 

MOROCCO

 

20,825

 

 

 

319,154

 

 

 

ONA (OMNIUM NORD AF

 

MAD100

 

MOROCCO

 

847

 

 

 

154,365

 

 

 

SAMIR

 

MAD100

 

MOROCCO

 

780

 

 

 

76,616

 

 

 

SOC NATL D INVEST

 

MAD100

 

MOROCCO

 

228

 

 

 

37,775

 

 

 

SONASID

 

MAD100

 

MOROCCO

 

221

 

 

 

54,191

 

 

 

ABN AMRO HLDGS NV

 

EUR0.56

 

NETHERLANDS

 

312,515

 

 

 

10,034,589

 

 

 

AEGON NV

 

EUR0.12

 

NETHERLANDS

 

250,820

 

 

 

4,775,943

 

 

 

AHOLD (KON )NV

 

EUR0.25

 

NETHERLANDS

 

268,967

 

 

 

2,858,668

 

 

 

AKZO NOBEL NV

 

EUR2

 

NETHERLANDS

 

47,016

 

 

 

2,864,913

 

 

 

ASML HOLDING NV

 

EUR0.02

 

NETHERLANDS

 

82,440

 

 

 

2,048,088

 

 

 

BUHRMANN NV

 

EUR1.20(POST CONS)

 

NETHERLANDS

 

20,058

 

 

 

297,821

 

 

 

CORIO NV

 

EUR10

 

NETHERLANDS

 

6,870

 

 

 

560,760

 

 

 

EADS(EURO AERO

 

DEF EUR1

 

NETHERLANDS

 

55,350

 

 

 

1,904,969

 

 

 

EURONEXT

 

EUR1

 

NETHERLANDS

 

15,276

 

 

 

1,802,862

 

 

 

FUGRO  NV

 

EUR0.05

 

NETHERLANDS

 

9,685

 

 

 

462,315

 

 

 

GETRONICS NV

 

EUR0.28

 

NETHERLANDS

 

21,203

 

 

 

171,670

 

 

 

HAGEMEYER

 

EUR1.2

 

NETHERLANDS

 

87,438

 

 

 

442,753

 

 

 

HEINEKEN NV

 

EUR1.60

 

NETHERLANDS

 

41,176

 

 

 

1,956,312

 

 

 

ING GROEP NV

 

CVA EUR0.24

 

NETHERLANDS

 

324,165

 

 

 

14,358,394

 

 

 

JAMES HARDIE INDS

 

NPV CHESS EUR0.5

 

NETHERLANDS

 

79,002

 

 

 

598,408

 

 

 

KONINKLIJKE DSM NV

 

EUR1.5

 

NETHERLANDS

 

25,735

 

 

 

1,270,205

 

 

 

KONINKLIJKE KPN NV

 

EUR0.24

 

NETHERLANDS

 

334,556

 

 

 

4,751,320

 

 

 

MITTAL STEEL CO NV

 

EUR0.01

 

NETHERLANDS

 

123,137

 

 

 

5,192,742

 

 

 

NUMICO (KON) NV

 

EUR0.25

 

NETHERLANDS

 

29,141

 

 

 

1,565,892

 

 

 

OCE NV

 

EUR0.5

 

NETHERLANDS

 

13,512

 

 

 

220,760

 

 

 

PHILIPS ELEC(KON)

 

EUR0.20

 

NETHERLANDS

 

212,727

 

 

 

8,014,245

 

 

 

QIAGEN NV

 

EUR0.01

 

NETHERLANDS

 

23,302

 

 

 

357,050

 

 

 

RANDSTAD HLDGS NV

 

EUR0.10

 

NETHERLANDS

 

7,872

 

 

 

543,934

 

 

 

REED ELSEVIER NV

 

EUR0.06

 

NETHERLANDS

 

122,443

 

 

 

2,086,057

 

 

 

RODAMCO EUROPE

 

EUR8

 

NETHERLANDS

 

8,961

 

 

 

1,191,096

 

 

 

SBM OFFSHORE NV

 

EUR0.25 (POST SUBDIVISION)

 

NETHERLANDS

 

23,708

 

 

 

814,390

 

 

 

STMICROELECTRONICS

 

EUR1.04

 

NETHERLANDS

 

116,394

 

 

 

2,159,506

 

 

 

TNT NV

 

EUR0.48

 

NETHERLANDS

 

75,509

 

 

 

3,243,990

 

 

 

UNILEVER NV

 

EUR0.16

 

NETHERLANDS

 

296,571

 

 

 

8,095,222

 

 

 

VEDIOR

 

CVA EUR0.05

 

NETHERLANDS

 

28,590

 

 

 

592,270

 

 

 

WERELDHAVE NV

 

EUR10

 

NETHERLANDS

 

3,540

 

 

 

471,004

 

 

 

WOLTERS KLUWER

 

EUR0.12

 

NETHERLANDS

 

49,123

 

 

 

1,411,471

 

 

 

ZENTIVA NV

 

COM STK EURO.01

 

NETHERLANDS

 

4,078

 

 

 

248,115

 

 

 

AUCKLAND INTL AIRPORT LTD

 

NPV

 

NEW ZEALAND

 

177,241

 

 

 

273,690

 

 

 

CONTACT ENERGY

 

NPV

 

NEW ZEALAND

 

52,337

 

 

 

307,031

 

 

 

FISHER + PAYKEL AP

 

NPV

 

NEW ZEALAND

 

47,843

 

 

 

129,539

 

 

 

FISHER + PAYKEL HEALTHCARE COR

 

NPV

 

NEW ZEALAND

 

92,628

 

 

 

278,229

 

 

 

FLETCHER BUILDING

 

NPV

 

NEW ZEALAND

 

85,209

 

 

 

663,893

 

 

 

KIWI INC PROP TST

 

ORD UNITS NPV

 

NEW ZEALAND

 

132,963

 

 

 

144,378

 

 

 

SKY CITY ENTERTAINMENT LTD

 

NPV

 

NEW ZEALAND

 

77,927

 

 

 

282,424

 

 

 

SKY NETWORK TELEVI

 

NPV

 

NEW ZEALAND

 

35,328

 

 

 

163,159

 

 

 

TELECOM CORP OF NZ

 

NPV (NZ LISTING)

 

NEW ZEALAND

 

361,781

 

 

 

1,239,746

 

 

 

TOWER LIMITED

 

NPV

 

NEW ZEALAND

 

27,385

 

 

 

42,673

 

 

 

VECTOR NPV

 

NPV

 

NEW ZEALAND

 

38,065

 

 

 

67,636

 

 

 

WAREHOUSE GROUP

 

NPV

 

NEW ZEALAND

 

20,933

 

 

 

106,271

 

 

 

AKER KVAERNER

 

NOK10

 

NORWAY

 

4,741

 

 

 

592,401

 

 

 

DNB NOR ASA

 

NOK10

 

NORWAY

 

115,059

 

 

 

1,635,424

 

 

 

DNO

 

NOK0.25

 

NORWAY

 

136,500

 

 

 

252,114

 

 

 

NORSK HYDRO ASA

 

NOK3.6666

 

NORWAY

 

122,636

 

 

 

3,811,232

 

 

 

NORSKE SKOGSINDUST

 

ORD A NOK10

 

NORWAY

 

29,423

 

 

 

507,998

 

 

 

OCEAN RIG ASA

 

NOK5

 

NORWAY

 

30,192

 

 

 

222,572

 

 

 

ORKLA ASA

 

NOK6.25

 

NORWAY

 

32,450

 

 

 

1,839,738

 

 

 

PAN FISH ASA

 

NOK0.75

 

NORWAY

 

448,400

 

 

 

410,494

 

 

 

PETROLEUM GEO SVS

 

NOK3

 

NORWAY

 

29,463

 

 

 

693,236

 

 

 

PROSAFE ASA

 

NOK2

 

NORWAY

 

34,000

 

 

 

483,269

 

 



 

 

 

SCHIBSTED ASA

 

NOK1

 

NORWAY

 

8,100

 

 

 

290,106

 

 

 

SEADRILL LTD

 

USD2

 

NORWAY

 

37,541

 

 

 

634,592

 

 

 

STATOIL ASA

 

NOK2.50

 

NORWAY

 

113,086

 

 

 

3,001,351

 

 

 

STOREBRAND ASA

 

A NOK5

 

NORWAY

 

40,000

 

 

 

509,448

 

 

 

TANDBERG ASA

 

NOK1

 

NORWAY

 

22,807

 

 

 

344,320

 

 

 

TANDBERG TELEVISION

 

NOK2

 

NORWAY

 

13,400

 

 

 

168,298

 

 

 

TELENOR ASA

 

ORD NOK6

 

NORWAY

 

132,260

 

 

 

2,490,622

 

 

 

TGS NOPEC GEOPH CO

 

NOK0.25

 

NORWAY

 

18,200

 

 

 

377,075

 

 

 

TOMRA SYSTEMS ASA

 

NOK1

 

NORWAY

 

29,227

 

 

 

201,846

 

 

 

YARA INTERNATIONAL

 

NOK1.70

 

NORWAY

 

35,275

 

 

 

803,076

 

 

 

ENGRO CHEMICAL

 

ORD PKR10

 

PAKISTAN

 

25,355

 

 

 

70,384

 

 

 

FAUJI FERTILIZER

 

PKR10

 

PAKISTAN

 

32,505

 

 

 

56,355

 

 

 

HUB POWER CO

 

PKR10

 

PAKISTAN

 

88,000

 

 

 

39,028

 

 

 

ICI PAKISTAN

 

PKR10

 

PAKISTAN

 

5,240

 

 

 

9,941

 

 

 

MCB BANK LIMITED

 

PKR10

 

PAKISTAN

 

48,740

 

 

 

197,026

 

 

 

PAK TELECOM CORP

 

A PKR10

 

PAKISTAN

 

160,500

 

 

 

116,790

 

 

 

PAKISTAN STATE OIL

 

PKR10

 

PAKISTAN

 

23,000

 

 

 

111,071

 

 

 

SUI NORTHERN GAS

 

PKR10

 

PAKISTAN

 

24,200

 

 

 

26,036

 

 

 

CREDICORP SA

 

COM USD5

 

PERU

 

245

 

 

 

10,045

 

 

 

MINAS BUENAVENTURA

 

COM PEN4

 

PERU

 

15,786

 

 

 

435,067

 

 

 

MINSUR

 

T SHS PEN1

 

PERU

 

61,701

 

 

 

131,402

 

 

 

VOLCAN CIA MINERA

 

SER B PEN0.9

 

PERU

 

65,473

 

 

 

165,682

 

 

 

1ST PHILIPPINE

 

PHP10

 

PHILIPPINES

 

37,200

 

 

 

47,819

 

 

 

AYALA CORP

 

PHP50

 

PHILIPPINES

 

21,356

 

 

 

248,376

 

 

 

AYALA LAND INC

 

PHP1

 

PHILIPPINES

 

896,742

 

 

 

279,031

 

 

 

BCO DE ORO UNIV BK

 

PHP10

 

PHILIPPINES

 

58,500

 

 

 

54,907

 

 

 

BK OF PHILIP ISLAN

 

PHP10

 

PHILIPPINES

 

222,040

 

 

 

287,687

 

 

 

FILINVEST LAND

 

PHP1.00

 

PHILIPPINES

 

437,966

 

 

 

19,124

 

 

 

GLOBE TELECOM IN

 

PHP50

 

PHILIPPINES

 

4,816

 

 

 

121,358

 

 

 

IONICS INC

 

PHP1

 

PHILIPPINES

 

75

 

 

 

3

 

 

 

JOLLIBEE FOODS

 

PHP

 

PHILIPPINES

 

72,100

 

 

 

61,787

 

 

 

MANILA ELECTRIC CO

 

B PHP10

 

PHILIPPINES

 

33,357

 

 

 

37,434

 

 

 

MEGAWORLD CORP

 

PHP1

 

PHILIPPINES

 

348,000

 

 

 

17,183

 

 

 

MEGAWORLD CORP

 

RTS EXP 09JAN07

 

PHILIPPINES

 

139,200

 

 

 

1,676

 

 

 

METRO BANK + TRUST

 

PHP20

 

PHILIPPINES

 

83,270

 

 

 

87,501

 

 

 

PETRON CORP

 

ORD PHP1

 

PHILIPPINES

 

210,499

 

 

 

17,610

 

 

 

PHILIPPINE LNG DIS

 

PHP5

 

PHILIPPINES

 

8,957

 

 

 

466,034

 

 

 

SAN MIGUEL CORP

 

B PHP5

 

PHILIPPINES

 

57,406

 

 

 

90,777

 

 

 

SM INVEST CORP

 

PHP10

 

PHILIPPINES

 

27,510

 

 

 

182,427

 

 

 

SM PRIME

 

PHP1

 

PHILIPPINES

 

721,545

 

 

 

158,266

 

 

 

AGORA

 

PLN1

 

POLAND

 

4,750

 

 

 

59,703

 

 

 

BANK BPH SA

 

PLN5

 

POLAND

 

1,481

 

 

 

472,510

 

 

 

BK POLSKA KASA OPIEKI GRUPA

 

PLN1

 

POLAND

 

13,459

 

 

 

1,051,618

 

 

 

BK ZACHODNI WBK

 

PLN10

 

POLAND

 

3,764

 

 

 

291,637

 

 

 

BORYSZEW

 

PLN0.10

 

POLAND

 

4,162

 

 

 

32,935

 

 

 

BRE BANK

 

PLN4

 

POLAND

 

1,508

 

 

 

174,482

 

 

 

BUDIMEX

 

SER B/C PLN5

 

POLAND

 

1,210

 

 

 

31,251

 

 

 

CELULOZA SWIECIE

 

PLN1

 

POLAND

 

1,630

 

 

 

58,376

 

 

 

COMPUTERLAND

 

PLN1

 

POLAND

 

679

 

 

 

24,013

 

 

 

DEBICA

 

PLN8 (SER A)

 

POLAND

 

972

 

 

 

25,907

 

 

 

GLOBE TRADE CENTRE

 

PLN0.1 (POST SUBDIVISION)

 

POLAND

 

18,639

 

 

 

258,024

 

 

 

GRUPA KETY SA

 

PLN2.5

 

POLAND

 

1,278

 

 

 

88,018

 

 

 

KGHM POLSKA MIEDZ

 

PLN10 BR

 

POLAND

 

19,474

 

 

 

596,837

 

 

 

ORBIS

 

PLN2

 

POLAND

 

4,759

 

 

 

103,408

 

 

 

POL GORN NAFT I GA

 

PLN1

 

POLAND

 

202,935

 

 

 

251,577

 

 

 

POLSKA GROUPA FARMA

 

PLN2

 

POLAND

 

1,436

 

 

 

39,313

 

 

 

POLSKI KONCERN NAF

 

PLN1.25

 

POLAND

 

55,143

 

 

 

905,774

 

 

 

POWSZECHNA KASA OS

 

PLN1

 

POLAND

 

70,811

 

 

 

1,146,066

 

 

 

PROKOM SOFTWARE SA

 

PLN1

 

POLAND

 

1,585

 

 

 

74,448

 

 

 

SOFTBANK SA

 

PLN1

 

POLAND

 

1,216

 

 

 

21,021

 

 

 

TELEKOMUNIKACJA PO

 

PLN 3

 

POLAND

 

123,917

 

 

 

1,047,595

 

 

 

TVN SA

 

POST SPLIT

 

POLAND

 

22,005

 

 

 

188,682

 

 

 

BANCO BPI SA

 

EUR1 REGD

 

PORTUGAL

 

51,614

 

 

 

402,240

 

 

 

BCO COM PORTUGUES

 

EUR1(REGD)

 

PORTUGAL

 

346,366

 

 

 

1,278,860

 

 

 

BCO ESPIR SANTO

 

PTES1000(REGD)

 

PORTUGAL

 

21,714

 

 

 

389,984

 

 

 

BRISA AUTO ESTRADA

 

EUR1 PRIV

 

PORTUGAL

 

53,562

 

 

 

667,449

 

 

 

CIMPOR CIMENTOS DE

 

EUR1(REGD)

 

PORTUGAL

 

29,995

 

 

 

248,788

 

 

 

EDP ENERGIAS PORTUGAL

 

EUR1 (REGD)

 

PORTUGAL

 

326,726

 

 

 

1,654,416

 

 

 

JERONIMO MARTINS SGPS

 

EUR5

 

PORTUGAL

 

5,620

 

 

 

125,984

 

 

 

PORTUGAL TCOM SGPS

 

EUR0.35(REGD)

 

PORTUGAL

 

140,034

 

 

 

1,817,014

 

 

 

PT MULTIMEDIA

 

EUR0.1 (POST SUBDIVISION)

 

PORTUGAL

 

14,006

 

 

 

180,258

 

 

 

SONAE INDUSTRIA

 

EUR5

 

PORTUGAL

 

9,080

 

 

 

89,800

 

 

 

SONAE SGPS SA

 

EUR1

 

PORTUGAL

 

133,936

 

 

 

266,688

 

 

 

JOINT STK COMSTAR UTD TELESYS

 

SPONSORED GDR 144A

 

RUSSIAN FEDERATION

 

1,110

 

 

 

6,438

 

 

 

JSC MMC NORILSK NICKEL

 

SPONSORED ADR

 

RUSSIAN FEDERATION

 

13,913

 

 

 

2,198,254

 

 

 

NOVATEK OAO

 

GDR EACH REPR 1/100 REG S

 

RUSSIAN FEDERATION

 

11,572

 

 

 

734,822

 

 

 

O A O TATNEFT

 

SPONSORED GDR REG 144A

 

RUSSIAN FEDERATION

 

10,927

 

 

 

1,038,065

 

 

 

RAO UES OF RUSSIA

 

GDR EACH REP 100 ORD REG S

 

RUSSIAN FEDERATION

 

9,742

 

 

 

1,067,723

 

 

 

ROSTELEKOM

 

RUR2.5

 

RUSSIAN FEDERATION

 

79,000

 

 

 

604,350

 

 

 

SISTEMA JSFC

 

GDR REPR 1 RUB1.80 REG S

 

RUSSIAN FEDERATION

 

11,903

 

 

 

380,896

 

 

 

ALLGREEN PROPERTIE

 

SGD0.50

 

SINGAPORE

 

128,000

 

 

 

109,288

 

 

 

ALLGREEN PROPERTIES

 

SGD0.5 NPD 15JAN07

 

SINGAPORE

 

37,500

 

 

 

17,353

 

 

 

ASCENDAS REAL ESTA

 

NPV (REIT)

 

SINGAPORE

 

155,800

 

 

 

271,124

 

 

 

CAPITACOMMERCIAL

 

NPV (REIT)

 

SINGAPORE

 

167,000

 

 

 

285,172

 

 

 

CAPITALAND

 

SGD1

 

SINGAPORE

 

216,000

 

 

 

872,841

 

 

 

CAPITAMALL TRUST

 

NPV (REIT)

 

SINGAPORE

 

161,500

 

 

 

306,306

 

 

 

CHARTERED SEMI CONDUCTORS

 

SGD0.26

 

SINGAPORE

 

170,674

 

 

 

142,386

 

 

 

CITY DEVELOPMENTS

 

SGD 0.50

 

SINGAPORE

 

87,000

 

 

 

720,133

 

 

 

COMFORTDELGRO CORP

 

SGD0.25

 

SINGAPORE

 

305,000

 

 

 

320,048

 

 

 

COSCO CORPORATION

 

SGD0.10(POST SUBDIVISION)

 

SINGAPORE

 

131,000

 

 

 

196,376

 

 

 

CREATIVE TECHNOLOGY

 

ORD SGD0.25

 

SINGAPORE

 

8,700

 

 

 

57,837

 

 

 

DBS GROUP HLDGS

 

SGD1

 

SINGAPORE

 

196,000

 

 

 

2,887,049

 

 

 

FRASER + NEAVE LTD

 

SGD0.2

 

SINGAPORE

 

148,850

 

 

 

436,567

 

 



 

 

HAW PAR CORP LTD

 

SGD1

 

SINGAPORE

 

17,575

 

 

 

81,329

 

 

 

JARDINE CYCLE + CARRIAGE LTD

 

SGD1

 

SINGAPORE

 

22,976

 

 

 

221,629

 

 

 

KEPPEL CORP

 

SGD0.50

 

SINGAPORE

 

95,000

 

 

 

1,089,748

 

 

 

KEPPEL LAND LTD

 

SGD0.50

 

SINGAPORE

 

61,000

 

 

 

274,327

 

 

 

MSCI TAIWAN INDEX FUTURES

 

7-Jan-07

 

SINGAPORE

 

24,800

 

 

 

—

 

 

 

NEPTUNE ORIENT LNS

 

SGD1

 

SINGAPORE

 

80,000

 

 

 

108,975

 

 

 

OLAM INTERNATIONAL

 

ORD SGD0.1

 

SINGAPORE

 

106,000

 

 

 

147,155

 

 

 

OVERSEAS CHINESE BK

 

SGD0.5

 

SINGAPORE

 

431,000

 

 

 

2,163,006

 

 

 

PARKWAY HLDGS

 

SGD0.50

 

SINGAPORE

 

103,950

 

 

 

212,737

 

 

 

SEMBCORP INDUSTRIE

 

SGD0.25 (POST REORG)

 

SINGAPORE

 

148,200

 

 

 

370,911

 

 

 

SEMBCORP MARINE

 

SGD0.10

 

SINGAPORE

 

86,000

 

 

 

190,576

 

 

 

SINGAPORE AIRLINES

 

SGD0.50(1000 BOARD LOT)

 

SINGAPORE

 

96,000

 

 

 

1,094,962

 

 

 

SINGAPORE EXCHANGE

 

SGD0.01

 

SINGAPORE

 

137,000

 

 

 

508,962

 

 

 

SINGAPORE LAND

 

SGD1

 

SINGAPORE

 

20,000

 

 

 

112,103

 

 

 

SINGAPORE PETROL

 

SGD0.50

 

SINGAPORE

 

20,000

 

 

 

56,834

 

 

 

SINGAPORE POST

 

SGD0.05

 

SINGAPORE

 

227,000

 

 

 

161,266

 

 

 

SINGAPORE PRESS HD

 

SGD0.20

 

SINGAPORE

 

266,750

 

 

 

744,111

 

 

 

SINGAPORE TECH ENG

 

SGD0.10

 

SINGAPORE

 

229,000

 

 

 

459,701

 

 

 

SINGAPORE TELECOMM

 

NPV(POST RE ORGANIZATION)

 

SINGAPORE

 

1,237,090

 

 

 

2,644,630

 

 

 

SMRT CORPORATION

 

ORD SGD0.10

 

SINGAPORE

 

105,000

 

 

 

81,438

 

 

 

STATS CHIPPAC LTD

 

SGD0.25

 

SINGAPORE

 

218,000

 

 

 

166,239

 

 

 

SUNTEC REIT

 

NPV (REIT)

 

SINGAPORE

 

172,000

 

 

 

204,028

 

 

 

UNITED O SEAS BANK

 

SGD1

 

SINGAPORE

 

197,376

 

 

 

2,495,662

 

 

 

UOL GROUP LTD

 

SGD1

 

SINGAPORE

 

87,037

 

 

 

246,197

 

 

 

VENTURE CORP LTD

 

SGD0.25

 

SINGAPORE

 

42,000

 

 

 

369,550

 

 

 

WANT WANT HOLDINGS

 

USD0.10

 

SINGAPORE

 

77,000

 

 

 

125,510

 

 

 

WING TAI HOLDINGS

 

SGD 0.25

 

SINGAPORE

 

80,583

 

 

 

119,748

 

 

 

AFRICAN BANK INV

 

ZAR0.025

 

SOUTH AFRICA

 

80,964

 

 

 

328,415

 

 

 

ALEXANDER FORBES LTD

 

ZAR0.01

 

SOUTH AFRICA

 

60,969

 

 

 

134,896

 

 

 

ALLAN GRAY PROP TR

 

UNITS

 

SOUTH AFRICA

 

167,504

 

 

 

144,917

 

 

 

ANGLO PLATINUM LTD

 

ZAR0.10

 

SOUTH AFRICA

 

11,112

 

 

 

1,349,105

 

 

 

ANGLOGOLD ASHANTI LTD

 

ZAR0.25

 

SOUTH AFRICA

 

30,736

 

 

 

1,438,510

 

 

 

ASPEN PHARMACARE

 

ZAR0.1390607

 

SOUTH AFRICA

 

34,471

 

 

 

158,648

 

 

 

AVENG

 

ZAR 0.05

 

SOUTH AFRICA

 

66,546

 

 

 

317,122

 

 

 

AVI LTD

 

ZAR0.05

 

SOUTH AFRICA

 

53,209

 

 

 

147,158

 

 

 

BARLOWORLD LTD

 

ZAR0.05

 

SOUTH AFRICA

 

37,263

 

 

 

866,735

 

 

 

BIDVEST GROUP

 

R0.05

 

SOUTH AFRICA

 

44,428

 

 

 

843,097

 

 

 

CONSOL LTD

 

ZAR 0.01

 

SOUTH AFRICA

 

78,263

 

 

 

210,344

 

 

 

EDGARS CONSD STORE

 

ZAR0.01

 

SOUTH AFRICA

 

86,015

 

 

 

475,899

 

 

 

ELLERINE HLDGS

 

ZAR 0.05 (POST RECON)

 

SOUTH AFRICA

 

18,797

 

 

 

207,278

 

 

 

FIRSTRAND LTD

 

ZAR0.01

 

SOUTH AFRICA

 

476,202

 

 

 

1,499,370

 

 

 

FOSCHINI

 

ZAR0.0125

 

SOUTH AFRICA

 

34,316

 

 

 

279,366

 

 

 

GOLD FIELDS

 

ZAR0.50

 

SOUTH AFRICA

 

84,469

 

 

 

1,590,364

 

 

 

GRINDROD LIMITED

 

ZAR0.00002

 

SOUTH AFRICA

 

55,017

 

 

 

121,727

 

 

 

HARMONY GOLD MNG

 

ZAR0.50

 

SOUTH AFRICA

 

57,677

 

 

 

909,645

 

 

 

IMPALA PLATINUM

 

ZAR 0.025 POST SUBDIV

 

SOUTH AFRICA

 

93,053

 

 

 

2,428,359

 

 

 

IMPERIAL HLDGS

 

ZAR0.04

 

SOUTH AFRICA

 

31,936

 

 

 

742,784

 

 

 

INVESTEC LIMITED

 

ZAR0.002

 

SOUTH AFRICA

 

27,705

 

 

 

344,763

 

 

 

JD GROUP LTD

 

ZAR0.05

 

SOUTH AFRICA

 

30,466

 

 

 

343,732

 

 

 

KUMBA IRON ORE LTD

 

NPV

 

SOUTH AFRICA

 

10,270

 

 

 

162,045

 

 

 

LEWIS GROUP LTD

 

ZAR0.01

 

SOUTH AFRICA

 

16,306

 

 

 

136,100

 

 

 

LIBERTY GROUP LTD

 

ZAR0.10

 

SOUTH AFRICA

 

21,006

 

 

 

247,308

 

 

 

MASSMART

 

ZAR0.01

 

SOUTH AFRICA

 

34,198

 

 

 

340,489

 

 

 

METROPOLITAN HOLDINGS LTD

 

ZAR0.000001

 

SOUTH AFRICA

 

94,985

 

 

 

202,074

 

 

 

MITTAL STEEL SA

 

COM NPV

 

SOUTH AFRICA

 

34,067

 

 

 

474,713

 

 

 

MTN GROUP LTD

 

ZAR0.0001

 

SOUTH AFRICA

 

227,780

 

 

 

2,755,683

 

 

 

MURRAY + ROBERTS

 

ZAR0.10

 

SOUTH AFRICA

 

50,794

 

 

 

288,883

 

 

 

NAMPAK

 

ZAR0.05 (POST RECON)

 

SOUTH AFRICA

 

88,493

 

 

 

272,856

 

 

 

NASPERS

 

N ZAR0.02

 

SOUTH AFRICA

 

50,663

 

 

 

1,192,789

 

 

 

NEDBANK GROUP LTD

 

R1

 

SOUTH AFRICA

 

34,471

 

 

 

652,679

 

 

 

NETWORK HEALTHCARE

 

ZAR0.01

 

SOUTH AFRICA

 

218,239

 

 

 

427,455

 

 

 

PICK N PAY STORES

 

ZAR0.0125

 

SOUTH AFRICA

 

36,775

 

 

 

172,642

 

 

 

PRETORIA PORT CMNT

 

ZAR1

 

SOUTH AFRICA

 

2,288

 

 

 

125,908

 

 

 

REUNERT

 

ZAL0.10

 

SOUTH AFRICA

 

29,230

 

 

 

338,908

 

 

 

SANLAM

 

ZAR0.01

 

SOUTH AFRICA

 

391,155

 

 

 

1,015,231

 

 

 

SAPPI

 

R1

 

SOUTH AFRICA

 

34,199

 

 

 

569,923

 

 

 

SASOL

 

NPV

 

SOUTH AFRICA

 

107,213

 

 

 

3,935,135

 

 

 

SHOPRITE HLDGS LTD

 

ZAR1.134

 

SOUTH AFRICA

 

74,440

 

 

 

270,806

 

 

 

SPAR GROUP LTD

 

NPV

 

SOUTH AFRICA

 

28,807

 

 

 

176,501

 

 

 

STANDARD BK GR LTD

 

ORD ZAR0.1

 

SOUTH AFRICA

 

226,312

 

 

 

3,033,221

 

 

 

STEINHOFF INTL HLD

 

ZAR0.005

 

SOUTH AFRICA

 

155,257

 

 

 

547,195

 

 

 

SUPER GROUP LTD

 

ZAR0.10

 

SOUTH AFRICA

 

43,245

 

 

 

70,841

 

 

 

TELKOM SA

 

ZAR10

 

SOUTH AFRICA

 

51,235

 

 

 

1,028,152

 

 

 

TIGER BRANDS

 

ZAR0.1

 

SOUTH AFRICA

 

27,717

 

 

 

672,213

 

 

 

TONGAAT HULETT GRP

 

ZAR1

 

SOUTH AFRICA

 

8,850

 

 

 

140,581

 

 

 

TRUWORTHS INTERNAT

 

ZAR0.00015

 

SOUTH AFRICA

 

77,698

 

 

 

353,075

 

 

 

WOOLWORTHS HLDGS

 

ZAR0.0015

 

SOUTH AFRICA

 

134,170

 

 

 

342,525

 

 

 

ABERTIS INFRAESTRUCTURAS SA

 

EUR3

 

SPAIN

 

38,731

 

 

 

1,149,135

 

 

 

ACCIONA S A

 

UER1

 

SPAIN

 

4,802

 

 

 

893,468

 

 

 

ACERINOX S.A. ORD SHS

 

EUR.25

 

SPAIN

 

30,827

 

 

 

936,983

 

 

 

ACS ACTIVIDADES CO

 

EURO.5

 

SPAIN

 

41,854

 

 

 

2,357,199

 

 

 

AGUAS DE BARCELONA

 

EUR1

 

SPAIN

 

9,501

 

 

 

347,666

 

 

 

ALTADIS SA

 

EUR0.10 (REGD)

 

SPAIN

 

45,617

 

 

 

2,385,062

 

 

 

ANTENA 3 TV

 

EUR0.75 POST SUBDIVISION

 

SPAIN

 

13,527

 

 

 

318,219

 

 

 

BBVA (BILB VIZ ARG)

 

EUR0.49

 

SPAIN

 

598,146

 

 

 

14,386,719

 

 

 

BCO POPULAR ESP

 

EUR0.10 (POST SUBD)

 

SPAIN

 

144,149

 

 

 

2,609,828

 

 

 

BCO SANT CENT HISP

 

EURO.50(REGD)

 

SPAIN

 

1,006,062

 

 

 

18,758,750

 

 

 

CINTRA CONCES INFR

 

EUR0.2

 

SPAIN

 

33,598

 

 

 

562,661

 

 

 

CORP MAPFRE SA

 

EUR0.10

 

SPAIN

 

91,397

 

 

 

412,181

 

 

 

EBRO PULEVA

 

EUR0.60

 

SPAIN

 

14,404

 

 

 

364,682

 

 

 

ENDESA S.A.

 

EUR1.2

 

SPAIN

 

124,805

 

 

 

5,896,693

 

 

 

FADESA INMOBILIAR

 

EUR0.1

 

SPAIN

 

8,464

 

 

 

392,311

 

 

 

FOM CONST Y CONTRA

 

EUR1

 

SPAIN

 

7,756

 

 

 

789,559

 

 



 

 

 

GAMESA CORP TECNO

 

EUR0.17

 

SPAIN

 

28,909

 

 

 

794,820

 

 

 

GAS NATURAL SDG

 

EUR1

 

SPAIN

 

30,367

 

 

 

1,200,903

 

 

 

GRUPO FERROVIAL SA

 

ORD NPV

 

SPAIN

 

10,704

 

 

 

1,043,792

 

 

 

IBERDROLA SA

 

EUR3

 

SPAIN

 

137,416

 

 

 

6,001,466

 

 

 

IBERIALINEAS AERE

 

EUR 0.78

 

SPAIN

 

80,775

 

 

 

293,979

 

 

 

IBEX 35 INDEX

 

7-Jan-07

 

SPAIN

 

60

 

 

 

—

 

 

 

INDITEX

 

EUR0.15

 

SPAIN

 

36,974

 

 

 

1,989,724

 

 

 

INDRA SISTEMAS SA

 

EUR0.20

 

SPAIN

 

21,034

 

 

 

516,176

 

 

 

NH HOTELES SA

 

EUR2

 

SPAIN

 

11,216

 

 

 

221,998

 

 

 

PROMOTORA DE INFOR

 

EUR0.10

 

SPAIN

 

13,211

 

 

 

230,127

 

 

 

REPSOL YPF SA

 

EUR1

 

SPAIN

 

155,075

 

 

 

5,357,631

 

 

 

SACYR VALLEHERMOSO SA

 

EUR1

 

SPAIN

 

16,894

 

 

 

1,002,478

 

 

 

SOGECABLE ORD SHS

 

EUR2

 

SPAIN

 

7,020

 

 

 

249,937

 

 

 

TELEFONICA SA

 

EUR 1

 

SPAIN

 

755,257

 

 

 

16,054,232

 

 

 

UNION FENOSA

 

EUR3

 

SPAIN

 

23,247

 

 

 

1,149,550

 

 

 

ZELTIA SA

 

EUR0.05

 

SPAIN

 

27,643

 

 

 

203,399

 

 

 

ALFA LAVAL AB

 

ORD SEK10

 

SWEDEN

 

16,082

 

 

 

726,193

 

 

 

ASSA ABLOY

 

SEK1 SER B

 

SWEDEN

 

53,454

 

 

 

1,163,911

 

 

 

ATLAS COPCO AB

 

SER A NPV

 

SWEDEN

 

57,452

 

 

 

1,931,019

 

 

 

ATLAS COPCO AB

 

SER B SEK1.25

 

SWEDEN

 

35,400

 

 

 

1,148,444

 

 

 

AXFOOD AB

 

SEK5

 

SWEDEN

 

5,039

 

 

 

208,394

 

 

 

BILLERUD

 

SEK 12.5

 

SWEDEN

 

8,818

 

 

 

156,567

 

 

 

BOLIDEN AB

 

SEK2.00

 

SWEDEN

 

49,500

 

 

 

1,273,126

 

 

 

CASTELLUM AB

 

NPV

 

SWEDEN

 

26,280

 

 

 

350,438

 

 

 

D CARNEGIE + CO AB

 

SEK2

 

SWEDEN

 

10,357

 

 

 

223,244

 

 

 

ELECTROLUX AB

 

SERVB SEK5

 

SWEDEN

 

46,150

 

 

 

923,944

 

 

 

ELEKTA AB

 

SER B SEK 2

 

SWEDEN

 

14,384

 

 

 

303,214

 

 

 

ENIRO AB

 

SEK 1

 

SWEDEN

 

29,395

 

 

 

388,755

 

 

 

ERICSSON(LM)TEL

 

SEK1 SER B

 

SWEDEN

 

2,535,446

 

 

 

10,244,788

 

 

 

FABEGE AB

 

SEK50.00

 

SWEDEN

 

13,078

 

 

 

350,696

 

 

 

GETINGE AB

 

SER B SEK0.50

 

SWEDEN

 

30,281

 

 

 

679,254

 

 

 

HENNES + MAURITZ

 

SEK0.25 SER B

 

SWEDEN

 

81,228

 

 

 

4,107,100

 

 

 

HOGANAS AG

 

ORD B SHS SEK5

 

SWEDEN

 

4,556

 

 

 

119,509

 

 

 

HOLMEN AB

 

SEK50 SER B

 

SWEDEN

 

9,000

 

 

 

391,933

 

 

 

HUSQVARNA AB

 

SER B NPV

 

SWEDEN

 

46,750

 

 

 

731,002

 

 

 

KUNGSLEDEN

 

NPV

 

SWEDEN

 

22,878

 

 

 

351,043

 

 

 

LUNDIN PETROLEUM

 

A NPV

 

SWEDEN

 

36,927

 

 

 

429,007

 

 

 

MODERN TIMES GROUP

 

SER B NPV

 

SWEDEN

 

8,527

 

 

 

560,741

 

 

 

NOBIA AB

 

SEK1

 

SWEDEN

 

8,200

 

 

 

315,753

 

 

 

NORDEA BANK AB

 

ORD EUR0.39632

 

SWEDEN

 

363,312

 

 

 

5,601,259

 

 

 

OMX AB

 

SEK2

 

SWEDEN

 

12,850

 

 

 

236,607

 

 

 

SANDVIK AB

 

APV

 

SWEDEN

 

172,568

 

 

 

2,509,209

 

 

 

SAS AB

 

SEK10.0

 

SWEDEN

 

12,325

 

 

 

209,829

 

 

 

SCANIA AB

 

SEK10 SER B

 

SWEDEN

 

17,100

 

 

 

1,201,973

 

 

 

SECURITAS

 

SER B SEK1

 

SWEDEN

 

53,560

 

 

 

831,616

 

 

 

SECURITAS DIRECT

 

SER B NPV

 

SWEDEN

 

51,960

 

 

 

164,772

 

 

 

SECURITAS SYSTEMS

 

SER B NPV

 

SWEDEN

 

51,960

 

 

 

210,331

 

 

 

SKAND ENSKILDA BKN

 

SER A SEK10

 

SWEDEN

 

79,468

 

 

 

2,525,835

 

 

 

SKANSKA AB

 

SER B SEK3

 

SWEDEN

 

63,352

 

 

 

1,249,820

 

 

 

SKF AB

 

SER B SEK2.50

 

SWEDEN

 

68,432

 

 

 

1,265,037

 

 

 

SSAB (SVENSKT STAL)

 

SER A NPV

 

SWEDEN

 

25,500

 

 

 

605,546

 

 

 

SSAB(SVENSKT STAL)

 

SER B NPV

 

SWEDEN

 

12,000

 

 

 

270,934

 

 

 

SVENSKA CELLULOSA

 

SER B SEK10 FREE

 

SWEDEN

 

32,020

 

 

 

1,672,826

 

 

 

SVENSKA HANDELSBANKEN SERIES A

 

SER A SEK4.30

 

SWEDEN

 

89,012

 

 

 

2,692,603

 

 

 

SWEDISH MATCH

 

NPV

 

SWEDEN

 

54,622

 

 

 

1,021,718

 

 

 

TELE2 AB

 

SER B SEK1.25

 

SWEDEN

 

53,887

 

 

 

787,476

 

 

 

TELELOGIC AB

 

SEK0.01

 

SWEDEN

 

41,000

 

 

 

91,670

 

 

 

TELIASONERA AB

 

SEK3.2

 

SWEDEN

 

319,804

 

 

 

2,628,814

 

 

 

TRELLEBORG AB

 

B SEK25 FREE

 

SWEDEN

 

13,200

 

 

 

316,352

 

 

 

VOLVO AB

 

SEK6 SER A

 

SWEDEN

 

16,080

 

 

 

1,142,025

 

 

 

VOLVO(AB)

 

SEK6 SER B

 

SWEDEN

 

37,260

 

 

 

2,567,308

 

 

 

WIHLBORGS FAST AB

 

NPV

 

SWEDEN

 

5,070

 

 

 

105,764

 

 

 

ABB LTD

 

CHF2.50(REGD)

 

SWITZERLAND

 

357,934

 

 

 

6,406,863

 

 

 

ADECCO SA

 

CHF1(REGD)

 

SWITZERLAND

 

22,534

 

 

 

1,536,787

 

 

 

CIBA SPECIALTY CHE

 

CHF6 (REGD)

 

SWITZERLAND

 

12,035

 

 

 

799,080

 

 

 

CLARIANT

 

CHF4.75(REGD)

 

SWITZERLAND

 

39,300

 

 

 

587,552

 

 

 

CREDIT SUISSE GRP

 

CHF3 (REGD)

 

SWITZERLAND

 

203,514

 

 

 

14,212,803

 

 

 

GEBERIT

 

CHF1(REGD)

 

SWITZERLAND

 

675

 

 

 

1,038,462

 

 

 

GIVAUDAN AG

 

CHF10

 

SWITZERLAND

 

1,068

 

 

 

986,896

 

 

 

HOLCIM

 

CHF2(REGD)

 

SWITZERLAND

 

34,477

 

 

 

3,154,814

 

 

 

KUDELSKI SA

 

CHF10 (BR)

 

SWITZERLAND

 

5,674

 

 

 

213,350

 

 

 

KUEHNE + NAGEL AG

 

CHF1(REGD)(POST SUBD)

 

SWITZERLAND

 

9,221

 

 

 

669,650

 

 

 

KUONI REISEN HLDG

 

CHF50(REGD) SER B)

 

SWITZERLAND

 

489

 

 

 

261,185

 

 

 

LOGITECH INTL

 

CHF0.25(REGD) (POST SUBD)

 

SWITZERLAND

 

29,373

 

 

 

845,794

 

 

 

LONZA GROUP AG

 

CHF1 REGD

 

SWITZERLAND

 

6,490

 

 

 

559,840

 

 

 

MICRONAS SEMICONDU

 

CHF0.05 (REGD)

 

SWITZERLAND

 

5,679

 

 

 

124,680

 

 

 

NESTLE SA

 

CHF1 (REGD)

 

SWITZERLAND

 

69,273

 

 

 

24,572,138

 

 

 

NOBEL BIOCARE AG

 

CHF2.00 (BR)

 

SWITZERLAND

 

4,007

 

 

 

1,182,536

 

 

 

NOVARTIS AG

 

CHF0.50 REGD

 

SWITZERLAND

 

402,032

 

 

 

23,136,518

 

 

 

OC OERLIKON CORPORATION AG

 

CHF20 (REGD)

 

SWITZERLAND

 

1,064

 

 

 

525,158

 

 

 

PHONAK

 

CHF0.05

 

SWITZERLAND

 

7,857

 

 

 

624,338

 

 

 

PSP SWISS PROPERTY

 

CHF16.78(REGD)(POST SUBD)

 

SWITZERLAND

 

8,054

 

 

 

461,850

 

 

 

RICHEMONT (CIE FIN)

 

A CHF1 (BR) EQUITY UNIT

 

SWITZERLAND

 

89,659

 

 

 

5,214,868

 

 

 

RIETER HLDGS AG

 

CHF5

 

SWITZERLAND

 

751

 

 

 

392,203

 

 

 

ROCHE HOLDINGS AG

 

GENUSSCHEINE NPV

 

SWITZERLAND

 

121,313

 

 

 

21,714,500

 

 

 

SCHINDLER HLDG AG

 

PTG CERT CHF0.10(POST SUBD)

 

SWITZERLAND

 

8,779

 

 

 

551,250

 

 

 

SERONO SA

 

B CHF25 BR

 

SWITZERLAND

 

827

 

 

 

741,163

 

 

 

SGS SA

 

CHF20(REGD)

 

SWITZERLAND

 

735

 

 

 

817,670

 

 

 

SIG SCHW IND HG AG

 

CHF10(REGD)

 

SWITZERLAND

 

1,040

 

 

 

346,752

 

 

 

STRAUMANN HLDG

 

CHF0.10(REGD)

 

SWITZERLAND

 

1,307

 

 

 

315,856

 

 

 

SULZER AG

 

CHF0.03(REGD)

 

SWITZERLAND

 

620

 

 

 

704,465

 

 

 

SWATCH GROUP

 

CHF 0.45 (REGD)

 

SWITZERLAND

 

9,154

 

 

 

408,694

 

 

 

SWATCH GROUP

 

CHF2.25(BR)

 

SWITZERLAND

 

5,689

 

 

 

1,254,824

 

 



 

 

 

SWISS REINSURANCE

 

CHF0.1

 

SWITZERLAND

 

57,874

 

 

 

4,911,728

 

 

 

SWISSCOM AG

 

CHF1 (REGD)

 

SWITZERLAND

 

3,130

 

 

 

1,182,692

 

 

 

SYNGENTA AG

 

CHF2.30(REGD)

 

SWITZERLAND

 

18,373

 

 

 

3,412,107

 

 

 

UBS AG

 

CHF0.1 (POST SUBDIVISION)

 

SWITZERLAND

 

1,700

 

 

 

102,443

 

 

 

UBS AG

 

CHF0.1 (POST SUBDIVISION)

 

SWITZERLAND

 

342,853

 

 

 

20,798,120

 

 

 

ZURICH FIN SVS GRP

 

CHF0.10

 

SWITZERLAND

 

24,902

 

 

 

6,691,125

 

 

 

ACCTON

 

TWD10

 

TAIWAN

 

73,881

 

 

 

45,573

 

 

 

ACER INC

 

TWD10

 

TAIWAN

 

302,486

 

 

 

631,243

 

 

 

ADVANCED SEMICONDT

 

TWD10 (ASE)

 

TAIWAN

 

480,473

 

 

 

545,573

 

 

 

ADVANTECH

 

TWD10

 

TAIWAN

 

35,626

 

 

 

127,919

 

 

 

ASIA CEMENT

 

TWD10

 

TAIWAN

 

196,725

 

 

 

187,156

 

 

 

ASIA OPTICAL CO IN

 

TWD10

 

TAIWAN

 

23,229

 

 

 

100,159

 

 

 

ASUSTEK COMPUTER

 

TWD 10

 

TAIWAN

 

365,752

 

 

 

1,001,230

 

 

 

AU OPTRONICS CORP

 

TWD10

 

TAIWAN

 

882,349

 

 

 

1,226,651

 

 

 

BENQ CORP

 

TWD10

 

TAIWAN

 

275,497

 

 

 

147,535

 

 

 

CATCHER TECHNOLOGY CO LTD

 

TWD10

 

TAIWAN

 

39,116

 

 

 

382,337

 

 

 

CATHAY FINANCIAL H

 

TWD10

 

TAIWAN

 

751,760

 

 

 

1,707,235

 

 

 

CATHAY REAL ESTATE

 

TWD10

 

TAIWAN

 

128,192

 

 

 

92,057

 

 

 

CHANG HWA BANK

 

TWD10

 

TAIWAN

 

539,986

 

 

 

377,004

 

 

 

CHENG SHIN IND

 

TWD10

 

TAIWAN

 

84,972

 

 

 

84,098

 

 

 

CHENG UEI PRECISIO

 

TWD10

 

TAIWAN

 

34,000

 

 

 

121,559

 

 

 

CHI MEI OPTOELECTR

 

TWD10

 

TAIWAN

 

487,860

 

 

 

494,073

 

 

 

CHINA AIRLINES

 

TWD10

 

TAIWAN

 

171,760

 

 

 

80,121

 

 

 

CHINA DEV FIN HLDG

 

TWD10

 

TAIWAN

 

1,370,687

 

 

 

630,975

 

 

 

CHINA MOTOR CO

 

TWD10

 

TAIWAN

 

77,512

 

 

 

71,363

 

 

 

CHINA STEEL

 

TWD10

 

TAIWAN

 

1,156,829

 

 

 

1,228,365

 

 

 

CHINA TRUST FINANCE

 

TWD10

 

TAIWAN

 

824,919

 

 

 

689,859

 

 

 

CHUNGWHA PICTURE T

 

TWD10

 

TAIWAN

 

806,895

 

 

 

173,339

 

 

 

CHUNGWHA TELECOM

 

TWD10

 

TAIWAN

 

575,280

 

 

 

1,069,878

 

 

 

CMC MAGNETICS CORP

 

TWD10

 

TAIWAN

 

373,000

 

 

 

131,068

 

 

 

COMPAL COMMUN INC

 

TWD10

 

TAIWAN

 

25,000

 

 

 

81,326

 

 

 

COMPAL ELECTRONIC

 

TWD10

 

TAIWAN

 

433,076

 

 

 

386,094

 

 

 

COMPEQ MFG

 

TWD10

 

TAIWAN

 

111,000

 

 

 

52,289

 

 

 

D LINK

 

TWD10

 

TAIWAN

 

88,952

 

 

 

116,564

 

 

 

DELTA ELECTRONICS

 

TWD10

 

TAIWAN

 

188,951

 

 

 

608,865

 

 

 

E SUN FINANCIAL HL

 

TWD10

 

TAIWAN

 

395,284

 

 

 

274,157

 

 

 

ETERNAL CHEMICAL

 

TWD10

 

TAIWAN

 

64,272

 

 

 

99,411

 

 

 

EVA AIRWAYS

 

TWD10

 

TAIWAN

 

173,340

 

 

 

72,081

 

 

 

EVERGREEN MARINE

 

TWD10

 

TAIWAN

 

143,331

 

 

 

82,915

 

 

 

FAR EAST TEXTILE

 

TWD10

 

TAIWAN

 

336,979

 

 

 

294,734

 

 

 

FIRST FINANCIAL HO

 

TWD10

 

TAIWAN

 

588,709

 

 

 

447,155

 

 

 

FORMOSA CHEM+FIBRE

 

TWD10

 

TAIWAN

 

389,618

 

 

 

651,655

 

 

 

FORMOSA PETROCHEMI

 

TWD10

 

TAIWAN

 

261,000

 

 

 

573,503

 

 

 

FORMOSA PLASTIC

 

TWD10

 

TAIWAN

 

615,728

 

 

 

1,022,277

 

 

 

FORMOSA TAFFETA CO

 

TWD10

 

TAIWAN

 

106,319

 

 

 

80,592

 

 

 

FOXCONN TECH CO

 

TWD10

 

TAIWAN

 

54,050

 

 

 

647,737

 

 

 

FU SHENG INDUSTRIA

 

TWD10

 

TAIWAN

 

74,805

 

 

 

73,232

 

 

 

FUBON FINANCIAL HL

 

TWD10

 

TAIWAN

 

503,000

 

 

 

470,815

 

 

 

FUH HWA FINANCIAL

 

TWD10

 

TAIWAN

 

236,000

 

 

 

118,054

 

 

 

GIANT MANUFACTURIN

 

TWD10

 

TAIWAN

 

27,910

 

 

 

45,824

 

 

 

GIGA BYTE TECHNOLOGY

 

TWD10

 

TAIWAN

 

79,944

 

 

 

60,722

 

 

 

HANNSTAR DISPLAY C

 

TWD 10

 

TAIWAN

 

688,311

 

 

 

130,544

 

 

 

HIGH TECH COMPUTER

 

TWD10

 

TAIWAN

 

42,400

 

 

 

839,282

 

 

 

HON HAI PRECISION

 

TWD10

 

TAIWAN

 

687,755

 

 

 

4,907,259

 

 

 

HUA NAN FINANCIAL

 

TWD10

 

TAIWAN

 

455,039

 

 

 

337,247

 

 

 

INVENTEC APPLIANCE

 

TWD10

 

TAIWAN

 

28,000

 

 

 

78,195

 

 

 

INVENTEC CORP

 

TWD10

 

TAIWAN

 

193,029

 

 

 

169,719

 

 

 

KINPO ELECTRONICS

 

TWD10

 

TAIWAN

 

146,453

 

 

 

58,204

 

 

 

LARGAN PRECISION CO

 

TWD10

 

TAIWAN

 

12,966

 

 

 

250,685

 

 

 

LITE ON TECHNOLOGY TWD10

 

TWD10

 

TAIWAN

 

321,783

 

 

 

435,002

 

 

 

MACRONIX INTL

 

TWD10

 

TAIWAN

 

389,001

 

 

 

168,326

 

 

 

MEDIATEK INC

 

TWD10

 

TAIWAN

 

111,419

 

 

 

1,152,316

 

 

 

MEGA FINANCIAL HD

 

TWD10

 

TAIWAN

 

1,198,385

 

 

 

880,814

 

 

 

MICRO STAR INTL

 

TWD10

 

TAIWAN

 

97,910

 

 

 

77,823

 

 

 

MITAC INTL

 

TWD10

 

TAIWAN

 

132,407

 

 

 

160,099

 

 

 

NAN YA PCB CORP

 

TWD10

 

TAIWAN

 

25,000

 

 

 

172,625

 

 

 

NAN YA PLASTIC

 

TWD10

 

TAIWAN

 

745,948

 

 

 

1,243,056

 

 

 

NIEN MADE ENTPRSE

 

TWD10

 

TAIWAN

 

34,014

 

 

 

34,447

 

 

 

NOVATEK MICROELECT

 

TWD10

 

TAIWAN

 

56,604

 

 

 

256,225

 

 

 

OPTIMAX TECHNOLOGY

 

TWD10

 

TAIWAN

 

58,643

 

 

 

41,393

 

 

 

ORIENTAL UNION CHM

 

TWD10

 

TAIWAN

 

70,557

 

 

 

47,204

 

 

 

PACIFIC ELEC WIRE

 

TWD10

 

TAIWAN

 

258,160

 

 

 

4,120

 

 

 

PHOENIX PRECISION TECH CORP

 

TWD10

 

TAIWAN

 

78,270

 

 

 

93,679

 

 

 

PHOENIXTEC POWER

 

TWD10

 

TAIWAN

 

42,105

 

 

 

46,389

 

 

 

POLARIS SECURITIES

 

TWD10

 

TAIWAN

 

256,849

 

 

 

135,184

 

 

 

POU CHEN

 

TWD10

 

TAIWAN

 

254,491

 

 

 

288,972

 

 

 

PRESIDENT CHAIN ST

 

TWD10

 

TAIWAN

 

64,198

 

 

 

155,052

 

 

 

QUANTA COMPUTER

 

TWD10

 

TAIWAN

 

235,648

 

 

 

427,399

 

 

 

REALTEK SEMICOND

 

TWD10

 

TAIWAN

 

97,003

 

 

 

167,005

 

 

 

RITEK CORP

 

TWD10

 

TAIWAN

 

305,112

 

 

 

89,422

 

 

 

SHIHLIN ELEC + ENG

 

TWD10

 

TAIWAN

 

25

 

 

 

27

 

 

 

SHIN KONG FINANCIAL

 

TWD10

 

TAIWAN

 

384,625

 

 

 

414,311

 

 

 

SILICONWARE PRECIS

 

TWD10

 

TAIWAN

 

306,144

 

 

 

481,036

 

 

 

SINOPAC HLDG

 

TWD10

 

TAIWAN

 

747,335

 

 

 

400,215

 

 

 

SYNNEX TECH INTL

 

TWD10

 

TAIWAN

 

98,910

 

 

 

125,060

 

 

 

TAISHIN FINANCIAL

 

TWD10

 

TAIWAN

 

650,732

 

 

 

381,433

 

 

 

TAIWAN CEMENT

 

TWD10

 

TAIWAN

 

354,691

 

 

 

320,566

 

 

 

TAIWAN FERTILIZER

 

TWD10

 

TAIWAN

 

96,000

 

 

 

183,545

 

 

 

TAIWAN GLASS

 

TWD10

 

TAIWAN

 

94,803

 

 

 

80,881

 

 

 

TAIWAN MOBILE CO

 

TWD10

 

TAIWAN

 

340,720

 

 

 

353,424

 

 

 

TAIWAN PINEAPPLE CORP

 

POST SPLIT SHARES

 

TAIWAN

 

4,034

 

 

 

—

 

 

 

TAIWAN SECOM CO

 

TW 10

 

TAIWAN

 

34,016

 

 

 

61,487

 

 

 

TAIWAN SEMICON MAN

 

TWD10

 

TAIWAN

 

3,482,076

 

 

 

7,213,139

 

 



 

 

 

TATUNG

 

TWD 10

 

TAIWAN

 

473,862

 

 

 

212,318

 

 

 

TECO ELEC + MACHINE

 

TWD10

 

TAIWAN

 

228,775

 

 

 

116,546

 

 

 

U MING MARINE

 

TWD 10

 

TAIWAN

 

60,000

 

 

 

81,847

 

 

 

UNI PRESIDENT ENT

 

TWD10

 

TAIWAN

 

356,186

 

 

 

355,257

 

 

 

UNITED MICRO ELEC

 

TWD10

 

TAIWAN

 

2,798,219

 

 

 

1,738,958

 

 

 

VIA TECHNOLOGIES

 

TWD10

 

TAIWAN

 

132,080

 

 

 

164,365

 

 

 

WALSIN LIHWA W + C

 

TWD10

 

TAIWAN

 

366,696

 

 

 

195,811

 

 

 

WAN HAI LINES

 

TWD10

 

TAIWAN

 

144,131

 

 

 

88,465

 

 

 

WATERLAND FINANCIAL HOLDINGS

 

TWD10

 

TAIWAN

 

198,000

 

 

 

65,321

 

 

 

WINBOND ELECTRONIC

 

TWD10

 

TAIWAN

 

465,843

 

 

 

190,140

 

 

 

WINTEK CORP

 

TWD10

 

TAIWAN

 

119,715

 

 

 

113,708

 

 

 

YA HSING IND CO

 

TWD10

 

TAIWAN

 

126,905

 

 

 

103,985

 

 

 

YAGEO CORP

 

TW10

 

TAIWAN

 

320,440

 

 

 

149,476

 

 

 

YANG MING MARINE

 

TWD10

 

TAIWAN

 

160,706

 

 

 

92,720

 

 

 

YIEH PHUI ENTS CO

 

COM

 

TAIWAN

 

132,117

 

 

 

59,602

 

 

 

YUANTA CORE PACIFI

 

TWD10

 

TAIWAN

 

357,764

 

 

 

296,993

 

 

 

YUEN FOONG YU MFG

 

TWD10

 

TAIWAN

 

163,696

 

 

 

71,336

 

 

 

YULON MOTOR

 

TWD10

 

TAIWAN

 

100,477

 

 

 

121,800

 

 

 

ZYXEL COMMUNICATIO

 

TWD10

 

TAIWAN

 

52,434

 

 

 

65,331

 

 

 

ADVANCED INFO SERV

 

THB1 (ALIEN MARKET)

 

THAILAND

 

147,398

 

 

 

318,037

 

 

 

AIRPORTS OF THAILA

 

THB10(ALIEN MARKET)

 

THAILAND

 

70,300

 

 

 

110,846

 

 

 

AROMATICS (THAILAND

 

ORD THB1(ALIEN MKT)

 

THAILAND

 

37,100

 

 

 

23,604

 

 

 

BANGKOK BANK

 

THB10

 

THAILAND

 

59,300

 

 

 

180,443

 

 

 

BANGKOK BANK

 

THB10(ALIEN MARKET)

 

THAILAND

 

161,600

 

 

 

514,080

 

 

 

BANGKOK EXPRESSWAY

 

THB10 (ALIEN MARKET)

 

THAILAND

 

55,700

 

 

 

32,357

 

 

 

BANPU CO

 

THB10 (ALIEN MKT)

 

THAILAND

 

20,700

 

 

 

107,079

 

 

 

BEC WORLD

 

THB1 (ALIEN MKT)

 

THAILAND

 

145,600

 

 

 

56,387

 

 

 

C P SEVEN ELEVEN

 

THB1(ALIEN MARKET)

 

THAILAND

 

346,300

 

 

 

47,898

 

 

 

CENT PATTANA PUB

 

THB1 ALIEN

 

THAILAND

 

110,600

 

 

 

71,898

 

 

 

CHAROEN POK FOODS

 

THB1 (ALIEN MKT)

 

THAILAND

 

495,000

 

 

 

65,726

 

 

 

DELTA ELECTRONICS

 

THB1(ALIEN MKT)

 

THAILAND

 

73,700

 

 

 

35,270

 

 

 

ELECTRICITY GENRTG

 

THB10(ALIEN MKT)

 

THAILAND

 

19,188

 

 

 

49,894

 

 

 

GLOW ENERGY

 

THB10(ALIEN MARKET)

 

THAILAND

 

86,600

 

 

 

79,054

 

 

 

HANA MICROELECTRNC

 

THB1 (ALIEN MKT)

 

THAILAND

 

87,300

 

 

 

67,618

 

 

 

ITALIAN THAI DEVT

 

THB1(ALIEN MKT)

 

THAILAND

 

220,900

 

 

 

30,553

 

 

 

ITF FIN + SECS

 

THB10(ALIEN MKT)

 

THAILAND

 

2,750

 

 

 

—

 

 

 

KASIKORNBANK PCL

 

THB10 (ALIEN MARKET)

 

THAILAND

 

200,700

 

 

 

346,992

 

 

 

KASIKORNBANK PCL

 

THB10 (NVDR)

 

THAILAND

 

7,300

 

 

 

12,419

 

 

 

KASIKORNBANK PCL

 

THBH10

 

THAILAND

 

77,900

 

 

 

132,527

 

 

 

KIATNAKIN BANK PLC

 

THB10(ALIEN MKT)

 

THAILAND

 

34,900

 

 

 

27,997

 

 

 

KIM ENG SECS(TH)

 

THB1 (ALIEN MARKET)

 

THAILAND

 

33,110

 

 

 

16,120

 

 

 

KRUNG THAI BANK LTD

 

THB5.15(ALIEN MARKET)

 

THAILAND

 

462,000

 

 

 

152,083

 

 

 

LAND + HOUSES

 

THB1

 

THAILAND

 

237,600

 

 

 

42,393

 

 

 

LAND + HOUSES

 

THB1 (ALIEN MKT)

 

THAILAND

 

358,400

 

 

 

68,408

 

 

 

PRECIOUS SHIPPING

 

THB1(ALIEN MKT)

 

THAILAND

 

33,100

 

 

 

36,625

 

 

 

PTT CHEMICAL

 

THB10(ALIEN MKT)

 

THAILAND

 

44,762

 

 

 

61,911

 

 

 

PTT EXPLORTN + PRD

 

THB1(ALIEN MKT)

 

THAILAND

 

190,875

 

 

 

316,805

 

 

 

PTT PUBLIC COMPANY

 

THB10(ALIEN MARKET)

 

THAILAND

 

136,024

 

 

 

767,604

 

 

 

RATCHABURI ELECTRIC

 

THB10(ALIEN MKT)

 

THAILAND

 

63,400

 

 

 

68,398

 

 

 

RAYONG REFINERY PU

 

THB10 (ALIEN MARKET)

 

THAILAND

 

241,100

 

 

 

86,703

 

 

 

SAHAVIRIYA STEEL

 

THB1 (ALIEN MK)

 

THAILAND

 

907,500

 

 

 

25,104

 

 

 

SIAM CEMENT CO

 

THB1

 

THAILAND

 

22,800

 

 

 

152,631

 

 

 

SIAM CEMENT CO

 

THB1 (ALIEN MARKET)

 

THAILAND

 

46,800

 

 

 

328,830

 

 

 

SIAM CEMENT CO

 

THB1 (NVDR)

 

THAILAND

 

3,688

 

 

 

24,689

 

 

 

SIAM CITY CEMENT

 

THB10(ALIEN MARKET)

 

THAILAND

 

9,700

 

 

 

49,640

 

 

 

SIAM COMMERCIAL BK

 

THB10(ALIEN MARKET)

 

THAILAND

 

146,125

 

 

 

232,426

 

 

 

SIAM MAKRO

 

THB10(ALIEN MKT)

 

THAILAND

 

15,700

 

 

 

30,401

 

 

 

SINO THAI ENG + CONS

 

THB1(ALIEN MKT)

 

THAILAND

 

98,200

 

 

 

9,508

 

 

 

THAI AIRWAYS INTL

 

THB10(ALIEN MARKET)

 

THAILAND

 

80,000

 

 

 

84,094

 

 

 

THAI UNION FROZEN

 

THB1 ALN MKT

 

THAILAND

 

30,300

 

 

 

22,840

 

 

 

THAI UNION FROZEN

 

THB1(LOCAL)

 

THAILAND

 

18,000

 

 

 

12,448

 

 

 

THANACHART CAPITAL

 

THB10 (ALIEN MARKET)

 

THAILAND

 

105,936

 

 

 

40,733

 

 

 

TISCO FINANCE PLC

 

THB10 (ALIEN MKT)

 

THAILAND

 

38,571

 

 

 

23,580

 

 

 

TRUE CORPORATION

 

THB10(ALIEN MARKET)

 

THAILAND

 

288,900

 

 

 

47,151

 

 

 

TRUE CORPORATION PUBLIC CO LTD

 

PURCH RTS EX DATE 3APR00 ALIEN

 

THAILAND

 

74,211

 

 

 

—

 

 

 

ADANA CIMENTO

 

A SHS TRY1

 

TURKEY

 

6,818

 

 

 

37,544

 

 

 

AKBANK

 

TRY1

 

TURKEY

 

133,237

 

 

 

808,922

 

 

 

AKCANSA CIMENTO SA

 

TRY1

 

TURKEY

 

7,631

 

 

 

45,791

 

 

 

AKSIGORTA

 

TRY1

 

TURKEY

 

21,205

 

 

 

80,089

 

 

 

ALARKO HLDG

 

TRY1

 

TURKEY

 

8,470

 

 

 

21,407

 

 

 

ANADOLOU EFES

 

TRY1

 

TURKEY

 

9,768

 

 

 

301,694

 

 

 

ARCELIK

 

TRY1

 

TURKEY

 

17,316

 

 

 

102,075

 

 

 

AYGAZ

 

TRY1

 

TURKEY

 

12,432

 

 

 

35,106

 

 

 

CIMSA

 

TRY1

 

TURKEY

 

6,313

 

 

 

40,557

 

 

 

DOGAN SIRKETLER GRUBY HLDG AS

 

TRY1

 

TURKEY

 

90,888

 

 

 

143,085

 

 

 

DOGAN YAYIN HLDGS

 

TRY1

 

TURKEY

 

36,875

 

 

 

129,641

 

 

 

EREGLI DEMIR CELIK

 

TRY1

 

TURKEY

 

35,849

 

 

 

227,773

 

 

 

FORD OTOMOTIV SAN

 

TRY1

 

TURKEY

 

12,156

 

 

 

97,832

 

 

 

HACI OMER SABANCI HLDGS A S

 

TRY1

 

TURKEY

 

77,884

 

 

 

305,158

 

 

 

HURRIYET

 

TRY1

 

TURKEY

 

32,483

 

 

 

85,765

 

 

 

IHLAS HLDG

 

TRY1

 

TURKEY

 

46,828

 

 

 

16,199

 

 

 

KOC HLDG

 

TRY1

 

TURKEY

 

44,876

 

 

 

174,245

 

 

 

MIGROS

 

TRY1

 

TURKEY

 

17,277

 

 

 

223,204

 

 

 

ORTAK

 

TRY1

 

TURKEY

 

23,661

 

 

 

48,441

 

 

 

PETKIM

 

TRY1

 

TURKEY

 

13,042

 

 

 

46,957

 

 

 

T SISE CAM

 

TRY1

 

TURKEY

 

25,677

 

 

 

90,635

 

 

 

TOFAS(TURK OTOMOBIL FAB)

 

TRY1

 

TURKEY

 

19,927

 

 

 

68,932

 

 

 

TRAKYA CAM

 

TRY1

 

TURKEY

 

16,355

 

 

 

45,030

 

 

 

TUPRAS(T PETR RAF)

 

TRY1

 

TURKEY

 

15,170

 

 

 

259,170

 

 

 

TURK HAVA YOLLARI

 

TRY1

 

TURKEY

 

6,922

 

 

 

29,809

 

 

 

TURKCELL ILETISIM

 

TRY1

 

TURKEY

 

76,149

 

 

 

384,374

 

 

 

TURKIYE GARANTI BANKASI

 

TRY1

 

TURKEY

 

163,529

 

 

 

540,286

 

 

 

TURKIYE IS BANKASI

 

TRY1

 

TURKEY

 

166,937

 

 

 

766,036

 

 



 

 

 

TURKIYE VAKIFLAR

 

TRY1

 

TURKEY

 

66,407

 

 

 

311,759

 

 

 

ULKER GIDA

 

TRY1

 

TURKEY

 

11,443

 

 

 

30,536

 

 

 

VE TICARET

 

TRY1

 

TURKEY

 

6,145

 

 

 

24,728

 

 

 

VESTEL ELECTRONIK

 

TRY1

 

TURKEY

 

12,680

 

 

 

32,942

 

 

 

YAPI VE KREDI BANKASI A S

 

TRY1

 

TURKEY

 

147,724

 

 

 

256,549

 

 

 

3I GROUP

 

ORD GBP0.62784

 

UNITED KINGDOM

 

78,611

 

 

 

1,553,151

 

 

 

AEGIS GROUP

 

ORD GBP0.05

 

UNITED KINGDOM

 

138,326

 

 

 

379,015

 

 

 

AGGREKO

 

ORD GBP0.20

 

UNITED KINGDOM

 

41,535

 

 

 

354,019

 

 

 

ALLIANCE BOOTS PLC

 

ORD GBP0.37179482

 

UNITED KINGDOM

 

138,986

 

 

 

2,278,138

 

 

 

AMEC

 

ORD GBP0.50

 

UNITED KINGDOM

 

59,607

 

 

 

491,721

 

 

 

AMVESCAP

 

ORD USD0.10

 

UNITED KINGDOM

 

127,348

 

 

 

1,485,465

 

 

 

ANGLO AMERICAN PLC

 

USD0.50

 

UNITED KINGDOM

 

246,686

 

 

 

12,026,586

 

 

 

ARM HLDGS

 

ORD GBP0.0005

 

UNITED KINGDOM

 

258,008

 

 

 

634,988

 

 

 

ARRIVA

 

ORD GBP0.05

 

UNITED KINGDOM

 

36,835

 

 

 

550,780

 

 

 

ASTRAZENECA

 

ORD USD0.25

 

UNITED KINGDOM

 

266,778

 

 

 

14,327,099

 

 

 

ASTRO ALL ASIA NET

 

ORD GBP0.10

 

UNITED KINGDOM

 

83,700

 

 

 

131,671

 

 

 

AVIVA PLC

 

ORD GBP0.25

 

UNITED KINGDOM

 

435,224

 

 

 

7,001,785

 

 

 

BAE SYSTEMS

 

ORD GBP0.025

 

UNITED KINGDOM

 

549,701

 

 

 

4,580,420

 

 

 

BALFOUR BEATTY

 

ORD GBP0.50

 

UNITED KINGDOM

 

69,615

 

 

 

603,574

 

 

 

BARCLAYS

 

ORD GBP0.25

 

UNITED KINGDOM

 

1,113,506

 

 

 

15,908,879

 

 

 

BARRATT DEVEL

 

ORD GBP0.10

 

UNITED KINGDOM

 

41,770

 

 

 

1,009,615

 

 

 

BBA AVIATION PLC

 

ORD GBP0.2976 (POST CONS)

 

UNITED KINGDOM

 

65,794

 

 

 

352,183

 

 

 

BELLWAY

 

ORD GBP0.125

 

UNITED KINGDOM

 

18,240

 

 

 

551,184

 

 

 

BERKELEY GP HLDGS

 

UTS(COMP 1ORD+3 B SHS)

 

UNITED KINGDOM

 

15,502

 

 

 

519,113

 

 

 

BG GROUP

 

ORD GBP0.10

 

UNITED KINGDOM

 

592,534

 

 

 

8,036,569

 

 

 

BHP BILLITON PLC

 

ORD USD0.5

 

UNITED KINGDOM

 

419,027

 

 

 

7,663,823

 

 

 

BIFFA

 

ORD GBP0.10

 

UNITED KINGDOM

 

59,004

 

 

 

354,523

 

 

 

BOVIS HOMES GROUP

 

ORD GBP0.50

 

UNITED KINGDOM

 

19,363

 

 

 

410,796

 

 

 

BP PLC

 

ORD USDO.25

 

UNITED KINGDOM

 

3,388,143

 

 

 

37,631,519

 

 

 

BRIT AMER TOBACCO

 

ORD GBP0.25

 

UNITED KINGDOM

 

265,987

 

 

 

7,439,038

 

 

 

BRITISH AIRWAYS

 

ORD GBP0.25

 

UNITED KINGDOM

 

97,429

 

 

 

1,005,854

 

 

 

BRITISH LAND CO

 

ORD GBP0.25

 

UNITED KINGDOM

 

88,822

 

 

 

2,979,583

 

 

 

BRITISH SKY BROADCAST

 

ORD GBP0.50

 

UNITED KINGDOM

 

199,070

 

 

 

2,033,764

 

 

 

BRIXTON PLC

 

ORD GBP0.25

 

UNITED KINGDOM

 

41,071

 

 

 

463,001

 

 

 

BT GROUP

 

ORD GBP0.05

 

UNITED KINGDOM

 

1,417,759

 

 

 

8,365,923

 

 

 

BUNZL

 

ORD GBP0.32142857

 

UNITED KINGDOM

 

59,704

 

 

 

734,400

 

 

 

BURBERRY GROUP

 

ORD GBP.0005

 

UNITED KINGDOM

 

76,612

 

 

 

967,870

 

 

 

CABLE + WIRELESS

 

ORD GBP0.25

 

UNITED KINGDOM

 

409,930

 

 

 

1,265,620

 

 

 

CADBURY SCHWEPPES

 

ORD GBP0.125

 

UNITED KINGDOM

 

356,130

 

 

 

3,809,104

 

 

 

CAPITA GROUP

 

ORD GBP0.02

 

UNITED KINGDOM

 

109,484

 

 

 

1,300,659

 

 

 

CARNIVAL PLC

 

ORD USD1.66

 

UNITED KINGDOM

 

29,081

 

 

 

1,472,983

 

 

 

CARPHONE WAREHOUSE

 

ORD GBP0.10

 

UNITED KINGDOM

 

67,557

 

 

 

415,168

 

 

 

CATTLES PLC

 

ORD GBP0.10

 

UNITED KINGDOM

 

53,278

 

 

 

458,019

 

 

 

CENTRICA ORD

 

GBP0.0617284

 

UNITED KINGDOM

 

618,584

 

 

 

4,291,796

 

 

 

CHARTER

 

ORD GBP0.02 (REGD)

 

UNITED KINGDOM

 

28,007

 

 

 

496,066

 

 

 

CLOSE BROTHERS GP

 

ORD GBP0.25

 

UNITED KINGDOM

 

25,161

 

 

 

500,564

 

 

 

COBHAM ORD

 

GBP0.025

 

UNITED KINGDOM

 

185,134

 

 

 

702,024

 

 

 

COLLINS STEWART

 

GBP0.25

 

UNITED KINGDOM

 

35,860

 

 

 

178,266

 

 

 

COMPASS GROUP

 

ORD GBP0.10

 

UNITED KINGDOM

 

363,430

 

 

 

2,062,733

 

 

 

COOKSON GRP

 

ORD GBP0.10

 

UNITED KINGDOM

 

31,797

 

 

 

390,814

 

 

 

CORUS GROUP

 

ORD GBP0.50

 

UNITED KINGDOM

 

151,631

 

 

 

1,574,336

 

 

 

CSR

 

ORD GBP0.001

 

UNITED KINGDOM

 

21,643

 

 

 

275,331

 

 

 

DAILY MAIL + GEN TST

 

A NON VTG GBP0.125

 

UNITED KINGDOM

 

52,978

 

 

 

743,428

 

 

 

DAVIS SERVICE GP

 

ORD GBP0.3

 

UNITED KINGDOM

 

25,962

 

 

 

256,090

 

 

 

DE LA RUE

 

ORD GBP0.2777

 

UNITED KINGDOM

 

25,471

 

 

 

321,287

 

 

 

DIAGEO

 

ORD GBX28.935185

 

UNITED KINGDOM

 

485,031

 

 

 

9,516,517

 

 

 

DSG INTERNATIONAL

 

ORD GBP0.025

 

UNITED KINGDOM

 

308,288

 

 

 

1,155,446

 

 

 

ELECTROCOMPONENTS

 

ORD GBP0.10

 

UNITED KINGDOM

 

72,607

 

 

 

416,716

 

 

 

EMAP

 

ORD GBP.30

 

UNITED KINGDOM

 

37,179

 

 

 

587,576

 

 

 

EMI GROUP

 

ORD GBP0.14

 

UNITED KINGDOM

 

139,606

 

 

 

724,059

 

 

 

ENTERPRISE INNS

 

ORD GBP0.05

 

UNITED KINGDOM

 

55,544

 

 

 

1,470,819

 

 

 

FIRST CHOICE HOLIDAYS

 

ORD GBP0.03

 

UNITED KINGDOM

 

86,603

 

 

 

483,061

 

 

 

FIRSTGROUP

 

ORD GBP0.05

 

UNITED KINGDOM

 

64,847

 

 

 

729,763

 

 

 

FKI

 

GBP0.10

 

UNITED KINGDOM

 

94,866

 

 

 

191,701

 

 

 

FRIENDS PROVIDENT

 

ORD GBP0.10

 

UNITED KINGDOM

 

289,672

 

 

 

1,230,242

 

 

 

FTSE 100 INDEX FUTURES

 

7-Mar-07

 

UNITED KINGDOM

 

520

 

 

 

—

 

 

 

GALIFORM

 

ORD GBP0.10

 

UNITED KINGDOM

 

118,130

 

 

 

316,163

 

 

 

GALLAHER GROUP

 

ORD GBP0.10

 

UNITED KINGDOM

 

112,046

 

 

 

2,514,170

 

 

 

GKN

 

ORD GBP0.50

 

UNITED KINGDOM

 

117,260

 

 

 

637,997

 

 

 

GLAXOSMITHKLINE

 

ORD GBP0.25

 

UNITED KINGDOM

 

991,226

 

 

 

26,073,306

 

 

 

GREAT PORTLAND EST

 

ORD GBP0.125

 

UNITED KINGDOM

 

30,989

 

 

 

420,609

 

 

 

GROUP 4 SECURICOR

 

ORD GBP0.25

 

UNITED KINGDOM

 

187,419

 

 

 

689,597

 

 

 

HAMMERSON PLC

 

ORD GBP0.25

 

UNITED KINGDOM

 

48,119

 

 

 

1,485,157

 

 

 

HANSON

 

ORD GBP0.10

 

UNITED KINGDOM

 

121,717

 

 

 

1,835,473

 

 

 

HAYS

 

ORD GBP0.01

 

UNITED KINGDOM

 

249,581

 

 

 

777,884

 

 

 

HBOS

 

ORD GBP0.25

 

UNITED KINGDOM

 

649,932

 

 

 

14,399,204

 

 

 

HILL (WILLIAM)

 

ORD GBP0.10

 

UNITED KINGDOM

 

62,421

 

 

 

772,097

 

 

 

HMV GROUP

 

ORD GBP0.01

 

UNITED KINGDOM

 

68,131

 

 

 

191,013

 

 

 

HOME RETAIL GROUP

 

ORD GBP0

 

UNITED KINGDOM

 

147,387

 

 

 

1,182,680

 

 

 

HSBC HLDGS

 

ORD USD0.50(UK REG)

 

UNITED KINGDOM

 

1,971,520

 

 

 

35,923,200

 

 

 

ICAP

 

ORD GBP0.10

 

UNITED KINGDOM

 

79,646

 

 

 

745,882

 

 

 

IMI

 

ORD GBP0.25

 

UNITED KINGDOM

 

55,798

 

 

 

553,670

 

 

 

IMPERIAL CHEM INDS

 

ORD GBP1

 

UNITED KINGDOM

 

202,973

 

 

 

1,795,564

 

 

 

IMPERIAL TOBACCO

 

ORD GBP0.10

 

UNITED KINGDOM

 

116,908

 

 

 

4,599,011

 

 

 

INCHCAPE

 

ORD GBP0.25

 

UNITED KINGDOM

 

77,474

 

 

 

767,239

 

 

 

INTERCONTL HOTELS

 

ORD GBP0.114285

 

UNITED KINGDOM

 

64,616

 

 

 

1,595,966

 

 

 

INTERNATIONAL POWER

 

ORD GBP0.50

 

UNITED KINGDOM

 

251,071

 

 

 

1,875,857

 

 

 

INTERTEK GROUP PLC

 

ORD GBP0.01

 

UNITED KINGDOM

 

28,794

 

 

 

469,712

 

 

 

INVENSYS

 

ORD GBP0.10

 

UNITED KINGDOM

 

142,661

 

 

 

768,523

 

 

 

INVESTEC

 

ORD GBP0.0002

 

UNITED KINGDOM

 

56,705

 

 

 

731,914

 

 

 

ITV

 

ORD GBP0.10

 

UNITED KINGDOM

 

697,949

 

 

 

1,454,780

 

 

 

JOHNSON MATTHEY

 

ORD GBP1.00

 

UNITED KINGDOM

 

37,725

 

 

 

1,040,314

 

 

 

KELDA GROUP

 

ORD GBX15.55555

 

UNITED KINGDOM

 

61,767

 

 

 

1,119,416

 

 



 

 

 

KESA ELECTRICALS

 

ORD GBP0.25

 

UNITED KINGDOM

 

85,309

 

 

 

566,420

 

 

 

KINGFISHER

 

ORD GBP0.157142857

 

UNITED KINGDOM

 

396,705

 

 

 

1,851,741

 

 

 

LADBROKES

 

ORD GBP0.28333

 

UNITED KINGDOM

 

107,345

 

 

 

878,703

 

 

 

LAND SECS GP

 

ORD GBP.10

 

UNITED KINGDOM

 

80,142

 

 

 

3,643,624

 

 

 

LEGAL + GENERAL GP

 

ORD GBP0.025

 

UNITED KINGDOM

 

1,104,967

 

 

 

3,406,073

 

 

 

LIBERTY INTERNATIONAL

 

ORD GBP0.50

 

UNITED KINGDOM

 

46,547

 

 

 

1,271,749

 

 

 

LLOYDS TSB GROUP

 

ORD GBP0.25

 

UNITED KINGDOM

 

963,615

 

 

 

10,778,143

 

 

 

LOGICA CMG PLC

 

ORD GBP0.10

 

UNITED KINGDOM

 

251,950

 

 

 

917,173

 

 

 

LONDON STOCK EXCHANGE GROUP

 

ORD GBP0.06918604

 

UNITED KINGDOM

 

27,934

 

 

 

716,191

 

 

 

MAN GROUP

 

ORD USD0.03

 

UNITED KINGDOM

 

299,426

 

 

 

3,063,428

 

 

 

MARKS + SPENCER GP

 

ORD GBP0.25

 

UNITED KINGDOM

 

286,704

 

 

 

4,023,250

 

 

 

MEGGITT

 

ORD GBP0.05

 

UNITED KINGDOM

 

70,812

 

 

 

429,628

 

 

 

MICHAEL PAGE INTL

 

ORD GBP0.01

 

UNITED KINGDOM

 

56,629

 

 

 

501,235

 

 

 

MISYS

 

ORD GBP0.01

 

UNITED KINGDOM

 

77,044

 

 

 

326,076

 

 

 

MITCHELLS+BUTLERS

 

ORD GBP0.085416

 

UNITED KINGDOM

 

69,962

 

 

 

972,860

 

 

 

NATIONAL GRID

 

ORD GBP0.11395

 

UNITED KINGDOM

 

465,473

 

 

 

6,714,074

 

 

 

NATL EXPRESS GRP

 

ORD GBP0.05

 

UNITED KINGDOM

 

21,854

 

 

 

483,319

 

 

 

NEXT GROUP

 

ORD GBP0.10

 

UNITED KINGDOM

 

40,115

 

 

 

1,413,199

 

 

 

OLD MUTUAL

 

GBP0.10

 

UNITED KINGDOM

 

363,465

 

 

 

1,239,537

 

 

 

OLD MUTUAL

 

ORD GBP0.10

 

UNITED KINGDOM

 

530,257

 

 

 

1,797,418

 

 

 

PEARSON

 

ORD GBP0.25

 

UNITED KINGDOM

 

135,595

 

 

 

2,047,405

 

 

 

PERSIMMON

 

ORD GBP0.10

 

UNITED KINGDOM

 

48,745

 

 

 

1,455,824

 

 

 

PREMIER FARNELL

 

ORD GBP0.05

 

UNITED KINGDOM

 

59,227

 

 

 

228,934

 

 

 

PROVIDENT FINL

 

ORD GBX10.363636

 

UNITED KINGDOM

 

45,785

 

 

 

628,601

 

 

 

PRUDENTIAL PLC

 

ORD GBP0.05

 

UNITED KINGDOM

 

415,710

 

 

 

5,691,180

 

 

 

PUNCH TAVERNS

 

ORD SHS GBP0.0004786

 

UNITED KINGDOM

 

45,095

 

 

 

1,128,816

 

 

 

RANK GROUP

 

ORD GBP0.10

 

UNITED KINGDOM

 

99,427

 

 

 

454,862

 

 

 

RECKITT BENCKISER PLC

 

ORD GBP0.105263

 

UNITED KINGDOM

 

104,785

 

 

 

4,786,567

 

 

 

REED ELSEVIER PLC

 

ORD GBP0.125

 

UNITED KINGDOM

 

215,708

 

 

 

2,366,279

 

 

 

RENTOKIL INITIAL

 

ORD GBP0.01 (POST REORG)

 

UNITED KINGDOM

 

312,256

 

 

 

1,012,951

 

 

 

RESOLUTION PLC

 

ORD GBP0.05

 

UNITED KINGDOM

 

117,581

 

 

 

1,476,243

 

 

 

REUTERS GROUP

 

ORD GBP0.25

 

UNITED KINGDOM

 

228,452

 

 

 

1,990,779

 

 

 

REXAM

 

ORD

 

UNITED KINGDOM

 

95,526

 

 

 

982,468

 

 

 

RIO TINTO

 

ORD GBP0.10(REGD)

 

UNITED KINGDOM

 

178,431

 

 

 

9,491,698

 

 

 

ROLLS ROYCE GROUP

 

ORD GBP0.20

 

UNITED KINGDOM

 

300,581

 

 

 

2,634,033

 

 

 

ROYAL BK SCOT GRP

 

ORD GBP0.25

 

UNITED KINGDOM

 

544,339

 

 

 

21,232,488

 

 

 

ROYAL DUTCH SHELL

 

A SHS EUR0.07 (UK LIST)

 

UNITED KINGDOM

 

648,872

 

 

 

22,668,428

 

 

 

ROYAL DUTCH SHELL B SHARES

 

EUR0.07

 

UNITED KINGDOM

 

475,369

 

 

 

16,653,596

 

 

 

ROYAL+SUN ALLIANCE

 

ORD GBP0.275

 

UNITED KINGDOM

 

494,034

 

 

 

1,474,521

 

 

 

SABMILLER PLC

 

ORD USD0.10

 

UNITED KINGDOM

 

153,832

 

 

 

3,537,600

 

 

 

SAGE GROUP

 

ORD GBP0.01

 

UNITED KINGDOM

 

224,501

 

 

 

1,190,726

 

 

 

SAINSBURY(J)

 

ORD GBP0.28571428 (POST REC

 

UNITED KINGDOM

 

245,196

 

 

 

1,963,931

 

 

 

SCHRODERS

 

NEW ORD GBP1.0

 

UNITED KINGDOM

 

23,686

 

 

 

517,345

 

 

 

SCOT + NEWCASTLE

 

ORD GBP0.20

 

UNITED KINGDOM

 

136,698

 

 

 

1,496,878

 

 

 

SCOT + SOUTHERN EN

 

ORD GBP0.50

 

UNITED KINGDOM

 

147,187

 

 

 

4,476,562

 

 

 

SCOT POWER PLC

 

ORD GBP0.42

 

UNITED KINGDOM

 

252,849

 

 

 

3,701,579

 

 

 

SERCO GROUP

 

ORD GBP0.02

 

UNITED KINGDOM

 

80,891

 

 

 

604,766

 

 

 

SEVERN TRENT

 

ORD GBP0.9789

 

UNITED KINGDOM

 

39,335

 

 

 

1,131,672

 

 

 

SIGNET GROUP

 

ORD GBP0.005

 

UNITED KINGDOM

 

299,507

 

 

 

694,623

 

 

 

SLOUGH ESTATES

 

ORD GBP0.25

 

UNITED KINGDOM

 

79,402

 

 

 

1,220,680

 

 

 

SMITH + NEPHEW

 

ORD USD0.20

 

UNITED KINGDOM

 

158,567

 

 

 

1,654,109

 

 

 

SMITHS GROUP

 

ORD GBP0.25

 

UNITED KINGDOM

 

95,471

 

 

 

1,852,628

 

 

 

SSL INTERNATIONAL

 

ORD GBP0.10

 

UNITED KINGDOM

 

31,346

 

 

 

226,837

 

 

 

STAGECOACH GROUP

 

ORD GBP0.0063157

 

UNITED KINGDOM

 

139,771

 

 

 

418,536

 

 

 

STANDARD LIFE

 

ORD GBP0.10

 

UNITED KINGDOM

 

354,837

 

 

 

2,053,893

 

 

 

TANJONG

 

GBP0.075(MALAY CERTS)

 

UNITED KINGDOM

 

38,200

 

 

 

155,918

 

 

 

TATE + LYLE

 

GBP 0.25

 

UNITED KINGDOM

 

83,583

 

 

 

1,257,147

 

 

 

TAYLOR WOODROW

 

ORD GBP0.25

 

UNITED KINGDOM

 

96,922

 

 

 

808,557

 

 

 

TESCO

 

ORD GBP0.05

 

UNITED KINGDOM

 

1,363,039

 

 

 

10,790,733

 

 

 

TI AUTOMOTIVE

 

A SHS GBP0.0001

 

UNITED KINGDOM

 

48,206

 

 

 

—

 

 

 

TOMKINS

 

ORD GBP0.05

 

UNITED KINGDOM

 

145,639

 

 

 

700,479

 

 

 

TRAVIS PERKINS

 

ORD GBP0.10

 

UNITED KINGDOM

 

19,905

 

 

 

772,908

 

 

 

TRINITY MIRROR

 

ORD GBP0.10

 

UNITED KINGDOM

 

54,152

 

 

 

497,593

 

 

 

TULLETT PREBON PLC

 

ORD GBP3.25

 

UNITED KINGDOM

 

35,860

 

 

 

456,192

 

 

 

UNILEVER PLC

 

ORD GBP0.031111

 

UNITED KINGDOM

 

215,038

 

 

 

6,009,904

 

 

 

UNITED UTILITIES

 

ORD GBP1

 

UNITED KINGDOM

 

147,567

 

 

 

2,252,724

 

 

 

UTD BUSINESS MEDIA

 

ORD GBP0.3035714

 

UNITED KINGDOM

 

49,122

 

 

 

666,244

 

 

 

VODAFONE GROUP

 

ORD USD0.11428571

 

UNITED KINGDOM

 

9,008,818

 

 

 

24,948,728

 

 

 

WHITBREAD

 

ORD GBP0.6862745

 

UNITED KINGDOM

 

37,651

 

 

 

1,234,285

 

 

 

WIMPEY(GEORGE)

 

ORD GBP0.25

 

UNITED KINGDOM

 

66,117

 

 

 

722,704

 

 

 

WOLSELEY

 

ORD GBP0.25

 

UNITED KINGDOM

 

112,434

 

 

 

2,713,219

 

 

 

WPP GROUP

 

ORD GBP0.10

 

UNITED KINGDOM

 

200,092

 

 

 

2,704,068

 

 

 

XSTRATA

 

COM STK USD0.5

 

UNITED KINGDOM

 

104,036

 

 

 

5,192,159

 

 

 

YELL GROUP

 

ORD GBP0.01

 

UNITED KINGDOM

 

130,803

 

 

 

1,459,206

 

 

 

ADVANCED MICRO DEVICES INC

 

COM

 

UNITED STATES

 

5,343

 

 

 

108,730

 

 

 

ARACRUZ CELULOSE S A

 

SPONSORED ADR

 

UNITED STATES

 

4,772

 

 

 

292,237

 

 

 

BANCO SANTANDER CHILE NEW

 

SPONSORED ADR REPSTG COM

 

UNITED STATES

 

14,371

 

 

 

692,107

 

 

 

BANCOLOMBIA S A

 

SPONSORED ADR REPSTG 4 PREF

 

UNITED STATES

 

33,000

 

 

 

1,027,950

 

 

 

BBVA BANCO FRANCES S A

 

SPONSORED ADR

 

UNITED STATES

 

5,288

 

 

 

50,236

 

 

 

BRASIL TELECOM PARTICIPACOES

 

SPONSORED ADR REPSTG PFD SHS

 

UNITED STATES

 

1,061

 

 

 

45,294

 

 

 

CENCOSUD S A

 

SPONSORED ADR 144A

 

UNITED STATES

 

13,583

 

 

 

637,361

 

 

 

CHECK POINT SOFTWARE

 

COM

 

UNITED STATES

 

33,980

 

 

 

744,842

 

 

 

COMPANHIA VALE DO RIO DOCE

 

SPONS ADR REPSTG 250 PFD SHS

 

UNITED STATES

 

45,540

 

 

 

1,195,425

 

 

 

COMPANIA CERVECERIAS UNIDAS SA

 

SPONSORED ADR

 

UNITED STATES

 

959

 

 

 

28,482

 

 

 

COMPANIA DE TELECOM DE CHILE

 

SPONSORED ADR

 

UNITED STATES

 

38,382

 

 

 

308,207

 

 

 

CRESUD SA CIFYA

 

SPONSORED ADR

 

UNITED STATES

 

1,377

 

 

 

24,098

 

 

 

DISTRIBUCION Y SERVICIO D + S

 

SPONSORED ADR

 

UNITED STATES

 

11,057

 

 

 

227,553

 

 

 

ECI TELECOM LTD

 

ORD

 

UNITED STATES

 

7,911

 

 

 

68,509

 

 

 

ECTEL LTD

 

SHS

 

UNITED STATES

 

616

 

 

 

3,012

 

 

 

EMBOTELLADORA ANDINA SA

 

SPONSORED ADR REPSTG SER A

 

UNITED STATES

 

8,906

 

 

 

137,954

 

 

 

EMPRESA NACIONAL DE ELEC

 

SPONSORED ADR

 

UNITED STATES

 

34,023

 

 

 

1,250,345

 

 

 

ENERSIS S A

 

SPONSORED ADR

 

UNITED STATES

 

94,614

 

 

 

1,513,824

 

 

 

GAZPROM O A O

 

SPONSORED ADR REG S

 

UNITED STATES

 

404,392

 

 

 

18,602,032

 

 



 

 

 

HUANENG POWER INTL INC

 

SPONSORED ADR SER N SHS

 

UNITED STATES

 

2,592

 

 

 

93,131

 

 

 

HYUNDAI MOTOR CO

 

SPONS GLOBAL DEP RCPT COM 144A

 

UNITED STATES

 

14,771

 

 

 

522,598

 

 

 

ICICI BK LTD

 

SPONSORED ADR

 

UNITED STATES

 

19,212

 

 

 

801,909

 

 

 

IRSA INVERSIONES Y REPRESENT

 

GLOBAL DEPOSITARY RCPT

 

UNITED STATES

 

2,154

 

 

 

36,424

 

 

 

KOMERCNI BANKA A S

 

GLOBAL DEPOSITARY RCPT

 

UNITED STATES

 

3,590

 

 

 

177,705

 

 

 

KOOKMIN BK NEW

 

SPONSORED ADR

 

UNITED STATES

 

7,081

 

 

 

571,012

 

 

 

KT CORP

 

SPONSORED ADR

 

UNITED STATES

 

11,496

 

 

 

291,424

 

 

 

LAN CHILE S A

 

SPONSORED ADR

 

UNITED STATES

 

5,201

 

 

 

285,483

 

 

 

MAHINDRA + MAHINDRA LTD

 

SHS GLOBAL DEPOSIT REG S

 

UNITED STATES

 

3,400

 

 

 

70,380

 

 

 

MASISA SA NEW

 

SPONSORED ADR

 

UNITED STATES

 

26,168

 

 

 

269,530

 

 

 

MECHEL OAO

 

SPONSORED ADR

 

UNITED STATES

 

4,723

 

 

 

120,342

 

 

 

MOBILE TELESYSTEMS

 

SPONSORED ADR

 

UNITED STATES

 

30,068

 

 

 

1,509,113

 

 

 

NICE SYS LTD

 

SPONSORED ADR

 

UNITED STATES

 

3,635

 

 

 

111,885

 

 

 

NOVATEK JT STK CO

 

SPONSORED GDR 144A

 

UNITED STATES

 

690

 

 

 

42,780

 

 

 

NOVOLIPETSK IRON + STL CORP

 

SPONSORED GDR 144A

 

UNITED STATES

 

7,670

 

 

 

138,444

 

 

 

OIL CO LUKOIL

 

SPONSORED ADR

 

UNITED STATES

 

79,551

 

 

 

6,952,757

 

 

 

OJSC POLYUS GOLD

 

SPONSORED ADR

 

UNITED STATES

 

11,757

 

 

 

570,215

 

 

 

OPEN JT STK CO VIMPEL COMMN

 

SPONSORED ADR

 

UNITED STATES

 

16,386

 

 

 

1,293,675

 

 

 

ORBOTECH LTD

 

COM

 

UNITED STATES

 

4,889

 

 

 

124,376

 

 

 

PETRBRAS ENERGIA PARTICPACION

 

SPONSORED ADR REPSTG 2 CL B SH

 

UNITED STATES

 

30,287

 

 

 

369,199

 

 

 

PETROLEO BRASILEIRO SA PETRO

 

SPONSORED ADR

 

UNITED STATES

 

12,154

 

 

 

1,127,405

 

 

 

POSCO

 

SPONSORED ADR

 

UNITED STATES

 

25,820

 

 

 

2,134,539

 

 

 

RELIANCE CAP LTD

 

GDR 144A

 

UNITED STATES

 

1,122

 

 

 

15,389

 

 

 

RELIANCE ENERGY LTD

 

GLOBAL DEPOSITARY RCPT 144A

 

UNITED STATES

 

561

 

 

 

19,764

 

 

 

RYANAIR HOLDGS PLC

 

SPONSORED ADR

 

UNITED STATES

 

900

 

 

 

73,350

 

 

 

SAVINGS BK RUSSIAN FEDN SBERBA

 

GDR 10 ORD SHS REGS

 

UNITED STATES

 

6,328

 

 

 

1,741,193

 

 

 

SIBIRTELECOM OPEN JT STK CO

 

SPONSORED ADR

 

UNITED STATES

 

1,020

 

 

 

87,720

 

 

 

SK TELECOM LTD

 

SPONSORED ADR

 

UNITED STATES

 

23,791

 

 

 

629,986

 

 

 

SOCIEDAD QUIMICA MINERA DE CHI

 

SPONSORED ADR REPSTG SER B SHS

 

UNITED STATES

 

4,763

 

 

 

645,720

 

 

 

SOUTHERN COPPER CORP DEL

 

COM

 

UNITED STATES

 

14,496

 

 

 

781,189

 

 

 

SURGUTNEFTEGAZ JSC

 

SPONSORED ADR

 

UNITED STATES

 

24,400

 

 

 

1,878,800

 

 

 

SURGUTNEFTEGAZ JSC

 

SPONSORED ADR REPSTG PFD SHS

 

UNITED STATES

 

11,221

 

 

 

1,231,505

 

 

 

SYNTHES INC

 

CHF0.001(POST SUBD)

 

UNITED STATES

 

7,806

 

 

 

929,149

 

 

 

TELE NORTE LESTE PARTICIPACOES

 

SPONSORED ADR REPSTG PFD

 

UNITED STATES

 

4,373

 

 

 

65,245

 

 

 

TELECOM ARGENTINA S.A.

 

SPONSORED ADR REPSTG CL B SHS

 

UNITED STATES

 

39,817

 

 

 

796,738

 

 

 

TENARIS S A

 

SPONSORED ADR

 

UNITED STATES

 

36,220

 

 

 

1,807,016

 

 

 

TEVA PHARMACEUTICAL INDS LTD

 

ADR

 

UNITED STATES

 

33,798

 

 

 

1,050,442

 

 

 

TRANSPORTADORA DE GAS DEL SUR

 

SPONSORED ADR REPSTG 5 CL B SH

 

UNITED STATES

 

12,024

 

 

 

96,072

 

 

 

UNIFIED ENERGY SYS RUSSIA

 

SPONSORED ADR

 

UNITED STATES

 

13,735

 

 

 

1,466,211

 

 

 

URALSVY ASINFORM JSC

 

SPONSORED ADR

 

UNITED STATES

 

6,900

 

 

 

93,150

 

 

 

VERIFONE HLDGS INC

 

COM

 

UNITED STATES

 

980

 

 

 

34,692

 

 

 

VINA CONCHA Y TORO S A

 

SPONSORED ADR

 

UNITED STATES

 

4,180

 

 

 

123,728

 

 

 

VOLGATELECOM PUB JT STK CO

 

SPONSORED ADR

 

UNITED STATES

 

7,050

 

 

 

74,025

 

 

 

WIMM BILL DANN FOODS OJSC

 

SPONSORED ADR

 

UNITED STATES

 

5,000

 

 

 

332,750

 

 

 

C A NAC TELEFONOS

 

D COM VEB36.90

 

VENEZUELA

 

14,547

 

 

 

41,333

 

 

 

ARGENTINE PESO

 

 

 

ARGENTINA

 

145

 

 

 

47

 

 

 

AUSTRALIAN DOLLAR

 

 

 

AUSTRALIA

 

433,148

 

 

 

341,407

 

 

 

BRAZILIAN REAL

 

 

 

BRAZIL

 

78,805

 

 

 

36,911

 

 

 

CANADIAN DOLLAR

 

 

 

CANADA

 

708,286

 

 

 

608,650

 

 

 

SWISS FRANC

 

 

 

SWITZERLAND

 

54,230

 

 

 

44,426

 

 

 

YUAN RENMINBI

 

 

 

CHINA

 

24,783

 

 

 

3,175

 

 

 

CZECH KORUNA

 

 

 

CZECH REPUBLIC

 

3,265,698

 

 

 

156,451

 

 

 

DANISH KRONE

 

 

 

DENMARK

 

136,808

 

 

 

24,200

 

 

 

EGYPTIAN POUND

 

 

 

EGYPT

 

433,587

 

 

 

75,918

 

 

 

EURO CURRENCY

 

 

 

INTERNATIONAL

 

1,771,362

 

 

 

2,335,808

 

 

 

POUND STERLING

 

 

 

UNITED KINGDOM

 

605,311

 

 

 

1,184,685

 

 

 

HONG KONG DOLLAR

 

 

 

HONG KONG

 

2,627,526

 

 

 

337,848

 

 

 

HUNGARIAN FORINT

 

 

 

HUNGARY

 

34,895,028

 

 

 

183,036

 

 

 

INDONESIAN RUPIAH

 

 

 

INDONESIA

 

1,727,213,086

 

 

 

192,051

 

 

 

ISRAELI SHEKEL

 

 

 

ISRAEL

 

1,316,820

 

 

 

312,339

 

 

 

INDIAN RUPEE

 

 

 

INDIA

 

62,838,322

 

 

 

1,419,754

 

 

 

JORDANIAN DINAR

 

 

 

JORDAN

 

50,540

 

 

 

71,283

 

 

 

JAPANESE YEN

 

 

 

JAPAN

 

179,094,342

 

 

 

1,503,037

 

 

 

SOUTH KOREAN WON

 

 

 

KOREA, REPUBLIC OF

 

509,056,123

 

 

 

547,372

 

 

 

SRI LANKA RUPEE

 

 

 

SRI LANKA

 

2,414

 

 

 

22

 

 

 

MOROCCAN DIRHAM

 

 

 

MOROCCO

 

852,836

 

 

 

100,928

 

 

 

MEXICAN PESO    (NEW)

 

 

 

MEXICO

 

2,130,553

 

 

 

196,783

 

 

 

MALAYSIAN RINGGIT

 

 

 

MALAYSIA

 

2,706,983

 

 

 

767,285

 

 

 

NORWEGIAN KRONE

 

 

 

NORWAY

 

1,014,116

 

 

 

162,875

 

 

 

NEW ZEALAND DOLLAR

 

 

 

NEW ZEALAND

 

294,326

 

 

 

207,529

 

 

 

PERUVIAN NOUVEAU SOL

 

 

 

PERU

 

517,314

 

 

 

162,015

 

 

 

PHILIPPINE PESO

 

 

 

PHILIPPINES

 

6,861,357

 

 

 

139,999

 

 

 

PAKISTAN RUPEE

 

 

 

PAKISTAN

 

4,573,710

 

 

 

75,127

 

 

 

POLISH ZOLTY

 

 

 

POLAND

 

849,388

 

 

 

292,494

 

 

 

SWEDISH KRONA

 

 

 

SWEDEN

 

904,811

 

 

 

132,224

 

 

 

SINGAPORE DOLLAR

 

 

 

SINGAPORE

 

288,665

 

 

 

188,141

 

 

 

THAILAND BAHT

 

 

 

THAILAND

 

15,724,960

 

 

 

434,992

 

 

 

TURKISH LIRA

 

 

 

TURKEY

 

273,162

 

 

 

192,843

 

 

 

NEW TAIWAN DOLLAR

 

 

 

TAIWAN

 

15,309,568

 

 

 

469,835

 

 

 

VENEZUELAN BOLIVAR

 

 

 

VENEZUELA

 

42,504,206

 

 

 

12,713

 

 

 

SOUTH AFRICAN RAND

 

 

 

SOUTH AFRICA

 

4,761,329

 

 

 

675,294

 

 

 

Unsettled Transactions

 

 

 

 

 

 

 

 

 

8,006,225

 

 

 

 

 

Total :

 

 

 

 

 

 

 

$  2,768,095,303

 

 

n / a  - Cost is not applicable

 

 



EXHIBIT C - Inflation Protected Bond

(Managed by State Street Global Advisors)

IBM SAVINGS PLAN AT DECEMBER 31, 2006

Schedule H, line 4i-Schedule of Assets (Held At End of Year)

(a)

 

(b) Identity of issue, borrower, lessor, or similar party

 

(c) Description of investment including maturity date, 
 rate of interest, collateral, par, or maturity value

 

(d) Cost

 

(e) Fair
value

 

 

 

 

 

 

 

 

 

(n/a)

 

 

 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

UNITED STATES TREAS BDS

 

2.375 % 15 Jan 2025

 

77,736,406

 

 

 

$

77,393,278

 

 

 

UNITED STATES TREAS BDS

 

3.875 % 15 Apr 2029

 

58,073,048

 

 

 

73,131,215

 

 

UNITED STATES TREAS BDS

 

3.625 % 15 Apr 2028

 

51,787,230

 

 

 

62,527,021

 

 

 

UNITED STATES TREAS BDS

 

2 % 15 Jan 2026

 

50,134,156

 

 

 

47,149,620

 

 

UNITED STATES TREAS BDS

 

3.375 % 15 Apr 2032

 

15,350,850

 

 

 

18,543,351

 

 

 

UNITED STATES TREAS NTS

 

0.875 % 15 Apr 2010

 

81,503,100

 

 

 

77,268,769

 

 

UNITED STATES TREAS NTS

 

3 % 15 Jul 2012

 

66,679,544

 

 

 

68,620,052

 

 

 

UNITED STATES TREAS NTS

 

2 % 15 Jan 2014

 

62,263,380

 

 

 

60,483,021

 

 

UNITED STATES TREAS NTS

 

1.875 % 15 Jul 2013

 

61,870,322

 

 

 

59,772,547

 

 

 

UNITED STATES TREAS NTS

 

2 % 15 Jul 2014

 

59,854,474

 

 

 

58,093,915

 

 

UNITED STATES TREAS NTS

 

1.625 % 15 Jan 2015

 

57,819,541

 

 

 

54,422,643

 

 

 

UNITED STATES TREAS NTS

 

3.875 % 15 Jan 2009

 

49,351,070

 

 

 

50,708,224

 

 

UNITED STATES TREAS NTS

 

2.5 % 15 Jul 2016

 

49,971,000

 

 

 

50,349,680

 

 

 

UNITED STATES TREAS NTS

 

2.375 % 15 Apr 2011

 

50,538,439

 

 

 

50,337,094

 

 

UNITED STATES TREAS NTS

 

3.625 % 15 Jan 2008

 

49,098,669

 

 

 

49,622,257

 

 

 

UNITED STATES TREAS NTS

 

2 % 15 Jan 2016

 

50,743,568

 

 

 

48,995,300

 

 

UNITED STATES TREAS NTS

 

1.875 % 15 Jul 2015

 

49,392,616

 

 

 

47,333,932

 

 

 

UNITED STATES TREAS NTS

 

3.5 % 15 Jan 2011

 

35,717,836

 

 

 

37,182,839

 

 

UNITED STATES TREAS NTS

 

4.25 % 15 Jan 2010

 

34,070,060

 

 

 

35,858,738

 

 

 

UNITED STATES TREAS NTS

 

3.375 % 15 Jan 2012

 

20,687,758

 

 

 

21,598,495

 

 

Unsettled Transactions

 

 

 

 

 

 

 

395,088

 

 

 

 

 

Total :

 

 

 

 

 

$

1,049,787,078

 

 

n/a - Cost is not applicable



EXHIBIT D - Total Bond Market

(Managed by State Street Global Advisors)

IBM SAVINGS PLAN AT DECEMBER 31, 2006

Schedule H, line 4i-Schedule of Assets  (Held At End of Year)

 

(a)

 

(b) Identity of issue, borrower, lessor, or similar party

 

(c) Description of investment including maturity date, 
 rate of interest, collateral, par, or maturity value

 

(d) Cost

 

(e) Fair
value

 

 

 

 

 

 

 

 

 

(n/a)

 

 

 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

ACE SECS CORP HOME EQUITY TR

 

1%25 Dec 2036

 

3,064,000

 

 

 

$

3,064,041

 

 

 

ASSET BACKED FUNDING SERTIFICA

 

5.41%25 Jan 2037

 

7,375,000

 

 

 

7,375,099

 

 

ASSET BACKED SECS CORP HOME EQ

 

5.48%25 Nov 2036

 

10,000,000

 

 

 

10,000,110

 

 

 

ASSET SECURITIZATION CORP

 

7.49%14 Apr 2029

 

3,275,464

 

 

 

3,281,075

 

 

BANC AMER COML MTG TR

 

5.356%10 Dec 2016

 

3,000,000

 

 

 

3,000,782

 

 

 

BANC AMER MTG SECS INC

 

4.81039% 25 Sep 2035

 

3,530,723

 

 

 

3,478,277

 

 

BANC AMER MTG SECS INC

 

4.8243%25 Nov 2034

 

9,048,919

 

 

 

8,930,499

 

 

 

BEAR STEARNS ARM TR

 

1%25 Feb 2036

 

4,956,037

 

 

 

4,925,833

 

 

C BASS

 

1%25 Nov 2036

 

8,195,000

 

 

 

8,195,110

 

 

 

CARRINGTON MTG LN TR

 

5.64%25 Jun 2036

 

1,015,000

 

 

 

1,015,799

 

 

CD MTG TR

 

5.617%15 Oct 2048

 

5,000,000

 

 

 

5,086,299

 

 

 

CHASE COML MTG SECS CORP

 

7.198%15 Jan 2032

 

5,000,000

 

 

 

5,217,538

 

 

CITIGROUP MTG LN TR

 

5.110457% 25 May 2035

 

8,580,119

 

 

 

8,462,273

 

 

 

CITIGROUP MTG LN TR

 

5.42%25 Nov 2036

 

8,085,000

 

 

 

8,085,110

 

 

CITIGROUP MTG LN TR

 

5.7%25 Nov 2036

 

4,168,000

 

 

 

4,166,452

 

 

 

COMMERCIAL MTG PASTHRU CERT

 

5.219%10 Dec 2046

 

8,000,000

 

 

 

7,952,972

 

 

CWABS ASSET BACKED CTFS TR

 

5.652%25 Jan 2037

 

1,235,000

 

 

 

1,235,000

 

 

 

DLJ COML MTG CORP

 

7.62%10 Jun 2033

 

4,998,511

 

 

 

5,316,216

 

 

EURODOLLAR FUTURES

 

7-Sep-07

 

(35,000,000

)

 

 

—

 

 

 

EURODOLLAR FUTURES

 

8-Sep-07

 

35,000,000

 

 

 

—

 

 

EURODOLLAR FUTURES

 

7-Dec-07

 

66,500,000

 

 

 

—

 

 

 

EURODOLLAR FUTURES

 

7-Dec-07

 

(66,500,000

)

 

 

—

 

 

FANNIE MAE

 

6.5%27 Jun 2036

 

165,000

 

 

 

169,813

 

 

 

FED HM LN PC POOL A23137

 

5%01 Jun 2034

 

19,664,923

 

 

 

19,013,394

 

 

FED HM LN PC POOL B14789

 

5%01 May 2019

 

2,536,799

 

 

 

2,494,227

 

 

 

FED HM LN PC POOL B14973

 

5%01 Jun 2019

 

4,508,063

 

 

 

4,434,018

 

 

FED HM LN PC POOL B15047

 

5%01 Jun 2019

 

2,441,231

 

 

 

2,400,263

 

 

 

FED HM LN PC POOL B15048

 

5%01 Jun 2019

 

2,437,985

 

 

 

2,397,072

 

 

FED HM LN PC POOL B15066

 

5%01 Jul 2019

 

2,001,690

 

 

 

1,968,099

 

 

 

FED HM LN PC POOL B15290

 

5%01 Jun 2019

 

2,398,630

 

 

 

2,358,377

 

 

FED HM LN PC POOL B15314

 

5%01 Jul 2019

 

3,239,496

 

 

 

3,186,287

 

 

 

FED HM LN PC POOL C01846

 

5%01 Jun 2034

 

19,700,251

 

 

 

19,028,670

 

 

FED HM LN PC POOL E01279

 

5.5%01 Jan 2018

 

2,493,137

 

 

 

2,497,417

 

 

 

FED HM LN PC POOL E93873

 

5.5%01 Jan 2018

 

1,265,315

 

 

 

1,267,595

 

 

FED HM LN PC POOL E94294

 

5.5%01 Feb 2018

 

1,282,221

 

 

 

1,283,750

 

 

 

FED HM LN PC POOL E94299

 

5.5%01 Feb 2018

 

1,534,130

 

 

 

1,535,959

 

 

FED HM LN PC POOL G01842

 

4.5%01 Jun 2035

 

6,910,979

 

 

 

6,476,172

 

 

 

FED HM LN PC POOL G11552

 

5.5%01 Feb 2019

 

1,214,413

 

 

 

1,215,861

 

 

FEDERAL FARM CR BKS

 

4.875% 16 Dec 2015

 

125,000

 

 

 

123,969

 

 

 

FEDERAL FARM CR BKS

 

5.375% 18 Jul 2011

 

150,000

 

 

 

152,565

 

 

FEDERAL HOME LN ASSOC

 

5%16 Oct 2009

 

5,000,000

 

 

 

4,979,155

 

 

 

FEDERAL HOME LN BK

 

5.5%15 Jul 2036

 

100,000

 

 

 

104,345

 

 

FEDERAL HOME LN BKS

 

4.375% 17 Mar 2010

 

1,000,000

 

 

 

983,277

 

 

 

FEDERAL HOME LN BKS

 

5.25%18 Jun 2014

 

2,500,000

 

 

 

2,540,850

 

 

FEDERAL HOME LN BKS

 

5.375% 15 May 2019

 

260,000

 

 

 

263,414

 

 

 

FEDERAL HOME LN BKS

 

5.75%15 May 2012

 

1,250,000

 

 

 

1,297,161

 

 

FEDERAL HOME LN MTG ASSN

 

4.125%12 Jul 2010

 

1,000,000

 

 

 

974,504

 

 

 

FEDERAL HOME LN MTG CORP

 

4.5%02 Apr 2014

 

100,000

 

 

 

96,149

 

 

FEDERAL HOME LN MTG CORP

 

4.875%24 Aug 2010

 

100,000

 

 

 

99,000

 

 

 

FEDERAL HOME LN MTG CORP

 

4.875%15 Nov 2013

 

500,000

 

 

 

496,949

 

 

FEDERAL HOME LN MTG CORP

 

5%13 Nov 2014

 

100,000

 

 

 

100,123

 

 

 

FEDERAL HOME LN MTG CORP

 

5.05%26 Jan 2015

 

100,000

 

 

 

99,978

 

 

FEDERAL HOME LN MTG CORP

 

5.2%05 Mar 2019

 

175,000

 

 

 

170,137

 

 

 

FEDERAL HOME LN MTG CORP

 

5.25%20 Nov 2009

 

8,000,000

 

 

 

7,983,736

 

 

FEDERAL HOME LN MTG CORP

 

5.25%24 Feb 2011

 

100,000

 

 

 

99,954

 

 

 

FEDERAL HOME LN MTG CORP

 

5.4%17 Mar 2021

 

50,000

 

 

 

49,577

 

 

FEDERAL HOME LN MTG CORP

 

5.45%02 Sep 2011

 

4,800,000

 

 

 

4,784,539

 

 

 

FEDERAL HOME LN MTG CORP

 

5.5%18 Jul 2016

 

1,500,000

 

 

 

1,556,091

 

 

FEDERAL HOME LN MTG CORP

 

5.5%20 Aug 2019

 

100,000

 

 

 

99,023

 

 

 

FEDERAL HOME LN MTG CORP

 

5.6%17 Oct 2013

 

4,800,000

 

 

 

4,804,973

 

 

FEDERAL HOME LN MTG CORP

 

5.625%23 Nov 2035

 

75,000

 

 

 

72,265

 

 

 

FEDERAL HOME LN MTG CORP

 

5.75%11 Aug 2011

 

100,000

 

 

 

100,689

 

 

FEDERAL HOME LN MTG CORP

 

5.75%15 Jan 2012

 

1,800,000

 

 

 

1,861,799

 

 

 

FEDERAL HOME LN MTG CORP

 

6%27 Jun 2011

 

100,000

 

 

 

100,278

 

 



 

(a)

 

(b) Identity of issue, borrower, lessor, or similar party

 

(c) Description of investment including maturity date, 
 rate of interest, collateral, par, or maturity value

 

(d) Cost

 

(e) Fair
value

 

 

 

 

 

 

 

 

 

(n/a)

 

 

 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

FEDERAL HOME LN MTG CORP

 

6.25% 15 Jul 2032

 

215,000

 

 

 

247,433

 

 

 

FEDERAL HOME LN MTG CORP

 

6.75% 15 Mar 2031

 

1,200,000

 

 

 

1,452,817

 

 

FEDERAL HOME LN MTG CORP

 

6.875% 15 Sep 2010

 

300,000

 

 

 

319,560

 

 

 

FEDERAL HOME LN MTG CORP

 

7% 15 Mar 2010

 

800,000

 

 

 

848,249

 

 

FEDERAL HOME LN MTG CORP MTN

 

4.625% 28 May 2013

 

100,000

 

 

 

96,548

 

 

 

FEDERAL HOME LOAN BANK

 

5.125% 14 Aug 2013

 

500,000

 

 

 

504,126

 

 

FEDERAL HOME LOAN BANK

 

5.24% 03 Nov 2009

 

5,000,000

 

 

 

5,004,765

 

 

 

FEDERAL HOME LOAN BANK

 

5.25% 06 Oct 2011

 

100,000

 

 

 

99,603

 

 

FEDERAL HOME LOAN MORTG CORP

 

5.4% 28 Feb 2011

 

4,800,000

 

 

 

4,797,226

 

 

 

FEDERAL HOME LOAN MTG CORP

 

5% 30 Jan 2014

 

150,000

 

 

 

149,363

 

 

FEDERAL NATL MTG ASSN

 

0% 09 Oct 2019

 

250,000

 

 

 

123,615

 

 

 

FEDERAL NATL MTG ASSN

 

0.01% 01 Jun 2017

 

185,000

 

 

 

108,737

 

 

FEDERAL NATL MTG ASSN

 

4.375% 15 Mar 2013

 

1,250,000

 

 

 

1,209,986

 

 

 

FEDERAL NATL MTG ASSN

 

4.625% 15 Oct 2013

 

1,000,000

 

 

 

979,699

 

 

FEDERAL NATL MTG ASSN

 

4.625% 15 Oct 2014

 

4,000,000

 

 

 

3,906,992

 

 

 

FEDERAL NATL MTG ASSN

 

5% 15 Apr 2015

 

450,000

 

 

 

450,874

 

 

FEDERAL NATL MTG ASSN

 

5% 26 Apr 2017

 

50,000

 

 

 

48,229

 

 

 

FEDERAL NATL MTG ASSN

 

5.28% 27 Feb 2009

 

4,800,000

 

 

 

4,796,352

 

 

FEDERAL NATL MTG ASSN

 

5.3% 22 Feb 2011

 

4,800,000

 

 

 

4,777,037

 

 

 

FEDERAL NATL MTG ASSN

 

5.67% 26 Apr 2011

 

250,000

 

 

 

250,198

 

 

FEDERAL NATL MTG ASSN

 

5.75% 09 Jun 2011

 

100,000

 

 

 

100,589

 

 

 

FEDERAL NATL MTG ASSN

 

6% 15 May 2011

 

500,000

 

 

 

520,617

 

 

FEDERAL NATL MTG ASSN

 

6% 22 Aug 2016

 

2,900,000

 

 

 

2,920,871

 

 

 

FEDERAL NATL MTG ASSN

 

6.125%  17 Jul 2013

 

200,000

 

 

 

202,180

 

 

FEDERAL NATL MTG ASSN

 

6.625%  15 Nov 2010

 

800,000

 

 

 

847,250

 

 

 

FEDERAL NATL MTG ASSN

 

6.625%  15 Nov 2030

 

295,000

 

 

 

352,023

 

 

FEDERAL NATL MTG ASSN

 

7.125%  15 Jan 2030

 

280,000

 

 

 

351,457

 

 

 

FEDERAL NATL MTG ASSN

 

7.25% 15 Jan 2010

 

800,000

 

 

 

851,115

 

 

FEDERAL NATL MTG ASSN

 

7.25% 15 May 2030

 

1,250,000

 

 

 

1,594,958

 

 

 

FEDERAL NATL MTG ASSN ISSUES

 

6.07% 12 May 2016

 

2,000,000

 

 

 

2,013,118

 

 

FHLM CTBA JAN 15 GOLD SINGLE

 

4.5% 01 Dec 2099

 

3,500,000

 

 

 

3,372,033

 

 

 

FHLM CTBA JAN 15 GOLD SINGLE

 

6.5% 01 Dec 2099

 

2,000,000

 

 

 

2,042,500

 

 

FHLM CTBA JAN 30 GOLD SINGLE

 

5.5% 01 Dec 2099

 

32,000,000

 

 

 

31,640,000

 

 

 

FHLM CTBA JAN 30 GOLD SINGLE

 

6% 01 Dec 2099

 

15,000,000

 

 

 

15,107,820

 

 

FHLM CTBA JAN 30 GOLD SINGLE

 

6.5% 01 Dec 2099

 

5,000,000

 

 

 

5,092,190

 

 

 

FHLM CTBA JAN 30 GOLD SINGLE

 

7% 01 Dec 2099

 

2,000,000

 

 

 

2,051,250

 

 

FIRST FRANKLIN MTG LN TR

 

5.456% 25 Dec 2036

 

15,000,000

 

 

 

15,000,203

 

 

 

FIRST FRANKLIN MTG LN TR

 

5.636% 25 Dec 2036

 

3,695,000

 

 

 

3,695,032

 

 

FNMA TBA JAN 15 SINGLE FAM

 

6% 01 Dec 2099

 

6,000,000

 

 

 

6,082,500

 

 

 

FNMA TBA JAN 30 SINGLE FAM

 

6.5% 01 Dec 2099

 

10,000,000

 

 

 

10,187,500

 

 

FNMA TBA JAN 30 SINGLE FAM

 

7% 01 Dec 2099

 

4,000,000

 

 

 

4,105,000

 

 

 

FNMA POOL 697601

 

4.5% 01 Apr 2018

 

5,621,528

 

 

 

5,431,829

 

 

FNMA POOL 710703

 

4.5% 01 May 2018

 

5,087,841

 

 

 

4,916,152

 

 

 

FNMA POOL 720311

 

4.5% 01 Jun 2018

 

6,379,162

 

 

 

6,170,475

 

 

FNMA POOL 725250

 

5% 01 Mar 2034

 

4,900,624

 

 

 

4,740,517

 

 

 

FNMA POOL 725422

 

5% 01 Apr 2034

 

9,787,821

 

 

 

9,473,263

 

 

FNMA POOL 747428

 

5.5% 01 Oct 2033

 

4,790,507

 

 

 

4,744,678

 

 

 

FNMA POOL 749079

 

5.5% 01 Dec 2033

 

14,207,353

 

 

 

14,071,439

 

 

FNMA POOL 755872

 

5.5% 01 Dec 2033

 

14,227,881

 

 

 

14,082,847

 

 

 

FNMA POOL 763978

 

5.5% 01 Dec 2033

 

11,318,016

 

 

 

11,209,742

 

 

FNMA POOL 767996

 

4.5% 01 Aug 2018

 

2,469,141

 

 

 

2,385,820

 

 

 

FNMA POOL 797554

 

4% 01 May 2020

 

937,059

 

 

 

881,655

 

 

FNMA POOL 813870

 

4% 01 Jun 2020

 

946,524

 

 

 

890,560

 

 

 

FNMA POOL 813931

 

4% 01 Nov 2020

 

292,550

 

 

 

275,253

 

 

FNMA POOL 833729

 

4% 01 Jul 2020

 

963,146

 

 

 

906,199

 

 

 

FNMA POOL 838297

 

5.072% 01 Aug 2035

 

5,378,588

 

 

 

5,379,358

 

 

FNMA POOL 841586

 

4% 01 Sep 2020

 

838,223

 

 

 

788,663

 

 

 

FNMA POOL 844903

 

4% 01 Oct 2020

 

975,503

 

 

 

917,826

 

 

FNMA TBA JAN 30 SINGLE FAM

 

6% 01 Dec 2099

 

29,240,000

 

 

 

29,431,873

 

 

 

GE CAP COML MTG CORP

 

6.496% 15 Jan 2033

 

5,175,000

 

 

 

5,382,304

 

 

GNMA I TBA JAN 30 SINGLE FAM

 

5.5% 01 Dec 2099

 

10,000,000

 

 

 

9,950,000

 

 

 

GNMA I TBA JAN 30 SINGLE FAM

 

6.5% 01 Dec 2099

 

3,000,000

 

 

 

3,076,875

 

 

GNMA POOL 562466

 

6% 15 Aug 2034

 

6,773,678

 

 

 

6,869,316

 

 

 

GNMA POOL 615278

 

5% 15 Jul 2033

 

5,835,535

 

 

 

5,682,285

 

 

GS MTG SECS TR

 

5.588% 10 Nov 2039

 

5,000,000

 

 

 

5,078,443

 

 

 

GSAMP

 

1% 25 Jan 2037

 

2,615,000

 

 

 

2,615,000

 

 

HOME EQUITY ASSET TR

 

5.45938%  25 Mar 2037

 

8,750,000

 

 

 

8,750,117

 

 

 

HOME EQUITY ASSET TR

 

5.64938%  25 Mar 2037

 

3,160,000

 

 

 

3,160,027

 

 

INDYMAC RESIDENTIAL ASSET

 

5.44% 25 Apr 2037

 

13,115,000

 

 

 

13,115,000

 

 

 

INTERMEDIATE CORP INDEX SL

 

 

 

8,131,702

 

 

 

153,981,906

 

 

J P MORGAN MTG ACQUISITION TR

 

1% 25 Nov 2036

 

4,700,000

 

 

 

4,700,059

 

 

 

JP MORGAN CHASE COMM MTGE SEC

 

4.697% 15 Jul 2042

 

5,000,000

 

 

 

4,849,889

 

 

JP MORGAN MTG ACQSTN TR

 

5.43% 25 Oct 2036

 

13,250,000

 

 

 

13,250,178

 

 

 

LB UBS COML MTG TR

 

5.3% 15 Nov 2038

 

4,000,000

 

 

 

4,010,743

 

 

LB UBS COML MTG TR

 

7.37% 15 Aug 2026

 

5,000,000

 

 

 

5,294,990

 

 

 

LB UBS COMMERCIAL MTG TRUST

 

1% 15 May 2025

 

5,000,000

 

 

 

5,345,527

 

 

LONG BEACH MTG LN TR

 

5.43% 25 Nov 2036

 

12,675,000

 

 

 

12,675,174

 

 

 

LONG BEACH MTG LN TR

 

5.61% 25 Nov 2036

 

1,630,000

 

 

 

1,630,014

 

 

LONG CORPORATE INDEX SL

 

 

 

2,478,325

 

 

 

50,986,575

 

 



 

(a)

 

(b) Identity of issue, borrower, lessor, or similar party

 

(c) Description of investment including maturity date, 
 rate of interest, collateral, par, or maturity value

 

(d) Cost

 

(e) Fair
value

 

 

 

 

 

 

 

 

 

(n/a)

 

 

 

 

 

 

 

 

 

Shares

 

 

 

 

 

 

MASTR ASSET BACKED SECS

 

5.63% 25 Dec 2036

 

4,595,000

 

 

 

4,595,000

 

 

 

MASTR ASSET BACKED SECURITIES

 

5.46% 25 Nov 2036

 

7,710,000

 

 

 

7,710,000

 

 

MASTR ASSET BKD SEC

 

5.46% 25 Dec 2036

 

1,500,000

 

 

 

1,500,000

 

 

 

MERRILL LYNCH MTG INVS INC

 

7.12% 18 Jun 2029

 

2,333,826

 

 

 

2,333,597

 

 

ML CFC COML MTG

 

5.112% 12 Dec 2049

 

3,665,000

 

 

 

3,637,233

 

 

 

MORGAN STANLEY ABS CAP I INC

 

5.43% 25 Oct 2036

 

5,000,000

 

 

 

5,000,977

 

 

MORGAN STANLEY ABS CAP I INC

 

5.63% 25 Oct 2036

 

5,735,000

 

 

 

5,732,536

 

 

 

MORGAN STANLEY CAP I TR

 

5.328% 12 Nov 2041

 

5,000,000

 

 

 

4,992,134

 

 

MORGAN STANLEY HOME EQUITY LN

 

5.63% 25 Apr 2036

 

1,345,000

 

 

 

1,345,539

 

 

 

MORGAN STANLEY IXIS REA ESTATE

 

5.62% 25 Nov 2036

 

2,355,000

 

 

 

2,355,018

 

 

MORGAN STANLEY IXIS REAL ESTAT

 

5.43% 25 Jul 2036

 

5,415,000

 

 

 

5,415,074

 

 

 

NEW CENTY HOME EQUITY LN TR

 

5.69% 25 May 2036

 

2,695,000

 

 

 

2,700,818

 

 

NOVASTAR MTG FDG TR

 

5.42% 25 Jan 2037

 

6,555,000

 

 

 

6,555,000

 

 

 

NOVASTAR MTG FDG TR

 

5.8% 25 Jan 2036

 

2,290,000

 

 

 

2,299,603

 

 

OCWEN SERVICER ADVANCE

 

5.364% 24 Nov 2015

 

8,000,000

 

 

 

8,000,000

 

 

 

SOUNDVIEW HOME LN TR

 

5.606% 25 Jan 2037

 

1,720,000

 

 

 

1,720,000

 

 

STRUCTURED ASSET SECS CORP

 

5.43% 25 Dec 2036

 

11,475,000

 

 

 

11,475,155

 

 

 

TENNESSEE VALLEY AUTH

 

4.375% 15 Jun 2015

 

100,000

 

 

 

95,881

 

 

TENNESSEE VALLEY AUTH

 

4.65% 15 Jun 2035

 

65,000

 

 

 

59,674

 

 

 

TENNESSEE VALLEY AUTH

 

5.375% 01 Apr 2056

 

50,000

 

 

 

50,871

 

 

TENNESSEE VALLEY AUTH

 

5.625% 18 Jan 2011

 

100,000

 

 

 

102,315

 

 

 

TENNESSEE VALLEY AUTH

 

6% 15 Mar 2013

 

100,000

 

 

 

105,349

 

 

TENNESSEE VALLEY AUTH

 

6.25% 15 Dec 2017

 

290,000

 

 

 

319,283

 

 

 

TENNESSEE VALLEY AUTH

 

6.75% 01 Nov 2025

 

150,000

 

 

 

177,985

 

 

U S TREAS BONDS FUTURES

 

7-Mar-07

 

7,900,000

 

 

 

—

 

 

 

U S TREAS BONDS FUTURES

 

7-Mar-07

 

(7,900,000

)

 

 

—

 

 

U S TREAS NOTES 2YR FUTURES

 

7-Mar-07

 

35,400,000

 

 

 

—

 

 

 

U S TREAS NOTES 2YR FUTURES

 

7-Mar-07

 

(4,800,000

)

 

 

—

 

 

U S TREAS NOTES 5YR FUTURES

 

7-Mar-07

 

32,500,000

 

 

 

—

 

 

 

U S TREAS NOTES 5YR FUTURES

 

7-Mar-07

 

(9,400,000

)

 

 

—

 

 

WACHOVIA BK COML MTG TR

 

5.572% 15 Oct 2048

 

5,000,000

 

 

 

5,073,024

 

 

 

WACHOVIA BK COML MTG TR MTG

 

5.275% 15 Nov 2048

 

6,665,000

 

 

 

6,663,055

 

 

WAMU

 

5.68% 25 Apr 2036

 

1,120,000

 

 

 

1,120,407

 

 

 

WASHINGTON MUT ASSET BACKED

 

5.53% 25 Oct 2036

 

12,745,000

 

 

 

12,745,000

 

 

WELLS FARGO MTG BACKED SECS TR

 

0.1186%  25 Jul 2036

 

9,260,938

 

 

 

9,254,188

 

 

 

UNITD STATES TREAS NTS

 

4.625% 31 Oct 2011

 

15,000,000

 

 

 

14,945,505

 

 

UNITED STATES TREAS BDS

 

4.5% 15 Feb 2036

 

5,200,000

 

 

 

4,944,878

 

 

 

UNITED STATES TREAS BDS

 

6% 15 Feb 2026

 

21,300,000

 

 

 

24,157,203

 

 

UNITED STATES TREAS NTS

 

0 %

 

5,700,000

 

 

 

5,609,153

 

 

 

UNITED STATES TREAS NTS

 

3.875% 15 Jan 2009

 

8,922,575

 

 

 

9,167,946

 

 

UNITED STATES TREAS NTS

 

4.5% 30 Sep 2011

 

2,800,000

 

 

 

2,775,391

 

 

 

UNITED STATES TREAS NTS

 

4.625% 15 Nov 2016

 

12,000,000

 

 

 

11,921,256

 

 

UNITED STATES TREAS NTS

 

4.75% 31 Mar 2011

 

14,000,000

 

 

 

14,023,520

 

 

 

UNITED STATES TREAS NTS

 

4.875% 15 Aug 2009

 

8,000,000

 

 

 

8,024,064

 

 

UNITED STATES TREAS NTS

 

4.875% 15 Aug 2016

 

21,200,000

 

 

 

21,453,404

 

 

 

UNITED STATES TREAS NTS

 

5.125% 15 May 2016

 

3,000,000

 

 

 

3,090,117

 

 

Unsettled Transactions

 

 

 

 

 

 

 

1,033,178

 

 

 

 

 

Total Bond Fund 57X9 :

 

 

 

 

 

$

1,014,194,470

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Assets / Liabilities - Net

 

 

 

 

 

(123,733,024

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Bond Fund - Net

 

 

 

 

 

$

890,461,447

 

 

n/a - Cost is not applicable



EXHIBIT E - Long-Term Corporate Bond Index

(Managed by Lehman Brothers)

IBM SAVINGS PLAN AT DECEMBER 31, 2006

Schedule H, line 4i-Schedule of Assets  (Held At End of Year)

 

 

 

 

(c)Description of investment including maturity date,

 

 

 

(e) Fair

 

(a)

 

(b) Identity of issue, borrower, lessor, or similar party

 

rate of interest, collateral, par, or maturity value

 

(d) Cost

 

value

 

 

 

 

 

 

 

 

 

Shares

 

(n / a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CANADIAN NAT RES LTD

 

5.85% 01 Feb 2035

 

CANADA

 

400,000.00

 

 

 

368,303

 

 

 

CANADIAN NATL RY CO

 

6.2% 01 Jun 2036

 

CANADA

 

250,000.00

 

 

 

264,932

 

 

 

ENCANA CORP

 

6.5% 15 Aug 2034

 

CANADA

 

550,000.00

 

 

 

566,826

 

 

 

NEXEN INC

 

5.875% 10 Mar 2035

 

CANADA

 

500,000.00

 

 

 

468,040

 

 

 

PETRO CDA

 

5.35% 15 Jul 2033

 

CANADA

 

500,000.00

 

 

 

438,267

 

 

 

POTASH CORP SASK INC

 

5.875% 01 Dec 2036

 

CANADA

 

370,000.00

 

 

 

356,868

 

 

 

QUEBEC PROV CDA

 

7.125% 09 Feb 2024

 

CANADA

 

2,000,000.00

 

 

 

2,375,572

 

 

 

TALISMAN ENERGY INC

 

6.25% 01 Feb 2038

 

CANADA

 

695,000.00

 

 

 

670,544

 

 

 

VALE OVERSEAS LTD

 

6.875% 21 Nov 2036

 

CAYMAN ISLANDS

 

865,000.00

 

 

 

887,184

 

 

 

FRANCE TELECOM SA

 

8.5% 01 Mar 2031

 

FRANCE

 

1,000,000.00

 

 

 

1,312,728

 

 

 

LAFARGE S A

 

7.125% 15 Jul 2036

 

FRANCE

 

500,000.00

 

 

 

548,556

 

 

 

ITALY REP

 

5.375% 15 Jun 2033

 

ITALY

 

1,300,000.00

 

 

 

1,281,901

 

 

 

TELECOM ITALIA CAP

 

6% 30 Sep 2034

 

LUXEMBOURG

 

1,800,000.00

 

 

 

1,632,539

 

 

 

AMERICA MOVIL S A DE C V

 

6.375% 01 Mar 2035

 

MEXICO

 

300,000.00

 

 

 

292,693

 

 

 

UNITED MEXICAN STS MTN

 

5.625% 15 Jan 2017

 

MEXICO

 

2,100,000.00

 

 

 

2,102,100

 

 

 

UNITED MEXICAN STS MTN

 

7.5% 08 Apr 2033

 

MEXICO

 

3,630,000.00

 

 

 

4,283,400

 

 

 

DEUTSCHE TELEKOM INTL FIN BV

 

8.25% 15 Jun 2030

 

NETHERLANDS

 

1,500,000.00

 

 

 

1,844,010

 

 

 

SIEMENS FINANCIERINGSMAATSCHAP

 

6.125% 17 Aug 2026

 

NETHERLANDS

 

2,045,000.00

 

 

 

2,089,518

 

 

 

TELEFONICA EUROPE BV

 

8.25% 15 Sep 2030

 

NETHERLANDS

 

1,000,000.00

 

 

 

1,191,408

 

 

 

ABBEY NATL PLC

 

7.95% 26 Oct 2029

 

UNITED KINGDOM

 

240,000.00

 

 

 

303,888

 

 

 

BRITISH TELECOMMUNICATIONS PLC

 

1% 15 Dec 2030

 

UNITED KINGDOM

 

1,000,000.00

 

 

 

1,367,874

 

 

 

DIAGEO CAP PLC

 

5.875% 30 Sep 2036

 

UNITED KINGDOM

 

595,000.00

 

 

 

582,039

 

 

 

ABBOTT LABS

 

5.875% 15 May 2016

 

UNITED STATES

 

1,200,000.00

 

 

 

1,236,037

 

 

 

ALCAN ALUM LTD

 

6.125% 15 Dec 2033

 

UNITED STATES

 

500,000.00

 

 

 

494,451

 

 

 

ALLSTATE CORP

 

5.55% 09 May 2035

 

UNITED STATES

 

1,500,000.00

 

 

 

1,442,529

 

 

 

AMERADA HESS CORP

 

7.125% 15 Mar 2033

 

UNITED STATES

 

875,000.00

 

 

 

957,342

 

 

 

AMERICAN INTL GROUP INC

 

6.25% 01 May 2036

 

UNITED STATES

 

850,000.00

 

 

 

903,107

 

 

 

ANADARKO PETE CORP

 

5.95% 15 Sep 2016

 

UNITED STATES

 

500,000.00

 

 

 

501,047

 

 

 

ANHEUSER BUSCH COS INC

 

5.75% 01 Apr 2036

 

UNITED STATES

 

980,000.00

 

 

 

939,805

 

 

 

ARCHER DANIELS MIDLAND CO

 

5.375% 15 Sep 2035

 

UNITED STATES

 

1,250,000.00

 

 

 

1,181,040

 

 

 

AT+T INC

 

6.8% 15 May 2036

 

UNITED STATES

 

3,100,000.00

 

 

 

3,295,071

 

 

 

AT+T WIRELESS SVCS INC

 

8.75% 01 Mar 2031

 

UNITED STATES

 

2,295,000.00

 

 

 

2,982,502

 

 

 

BAC CAP TR XI

 

6.625% 23 May 2036

 

UNITED STATES

 

2,150,000.00

 

 

 

2,320,246

 

 

 

BANK AMER CORP

 

4.375% 01 Dec 2010

 

UNITED STATES

 

1,400,000.00

 

 

 

1,360,751

 

 

 

BANK AMER NA CHARLOTTE NC

 

6% 15 Oct 2036

 

UNITED STATES

 

565,000.00

 

 

 

581,747

 

 

 

BB+T CAP TR I

 

5.85% 18 Aug 2035

 

UNITED STATES

 

850,000.00

 

 

 

830,893

 

 

 

BEAR STEARNS COS INC

 

4.65% 02 Jul 2018

 

UNITED STATES

 

625,000.00

 

 

 

574,121

 

 

 

BELLSOUTH CORP

 

6.55% 15 Jun 2034

 

UNITED STATES

 

2,200,000.00

 

 

 

2,255,271

 

 

 

BOEING CO

 

6.125% 15 Feb 2033

 

UNITED STATES

 

1,000,000.00

 

 

 

1,078,726

 

 

 

BRISTOL MYERS SQUIBB CO

 

5.875% 15 Nov 2036

 

UNITED STATES

 

330,000.00

 

 

 

326,109

 

 

 

BURLINGTON NORTHN SANTA FE COR

 

7% 15 Dec 2025

 

UNITED STATES

 

500,000.00

 

 

 

562,219

 

 

 

BURLINGTON NRTHN SANTA FE CORP

 

6.2% 15 Aug 2036

 

UNITED STATES

 

650,000.00

 

 

 

669,686

 

 

 

CATERPILLAR INC

 

6.05% 15 Aug 2036

 

UNITED STATES

 

1,795,000.00

 

 

 

1,847,658

 

 

 

CISCO SYS INC

 

5.5% 22 Feb 2016

 

UNITED STATES

 

1,250,000.00

 

 

 

1,250,798

 

 

 

CITIGROUP INC

 

5.875% 22 Feb 2033

 

UNITED STATES

 

3,500,000.00

 

 

 

3,511,351

 

 

 

COCA COLA ENTERPRISES INC

 

6.95% 15 Nov 2026

 

UNITED STATES

 

1,500,000.00

 

 

 

1,680,809

 

 

 

COMCAST CORP NEW

 

6.5% 15 Nov 2035

 

UNITED STATES

 

3,500,000.00

 

 

 

3,524,721

 

 

 

COMMERCIAL MTG TR 2006 GG7

 

6.110142% 10 Jul 2038

 

UNITED STATES

 

2,500,000.00

 

 

 

2,616,776

 

 

 

CONOCOPHILLIPS

 

5.9% 15 Oct 2032

 

UNITED STATES

 

2,500,000.00

 

 

 

2,539,698

 

 

 

CONSOLIDATED EDISON CO NY INC

 

5.85% 15 Mar 2036

 

UNITED STATES

 

525,000.00

 

 

 

518,791

 

 

 

CONSTELLATION ENERGY GROUP INC

 

7.6% 01 Apr 2032

 

UNITED STATES

 

550,000.00

 

 

 

642,415

 

 

 

COX COMMUNICATIONS INC NEW

 

5.5% 01 Oct 2015

 

UNITED STATES

 

500,000.00

 

 

 

484,454

 

 

 

CREDIT SUISSE FIRST BOSTON

 

7.125% 15 Jul 2032

 

UNITED STATES

 

800,000.00

 

 

 

942,022

 

 

 

CREDIT SUISSE FIRST BOSTON MTG

 

5.23% 15 Oct 2015

 

UNITED STATES

 

2,000,000.00

 

 

 

1,984,670

 

 

 

CRH AMER INC

 

6% 30 Sep 2016

 

UNITED STATES

 

345,000.00

 

 

 

348,241

 

 

 

CVS CORP

 

6.125% 15 Aug 2016

 

UNITED STATES

 

870,000.00

 

 

 

897,663

 

 

 

D R HORTON INC

 

6.5% 15 Apr 2016

 

UNITED STATES

 

265,000.00

 

 

 

266,616

 

 

 

DAIMLER CHRYSLER HLDGS

 

8.5% 18 Jan 2031

 

UNITED STATES

 

1,400,000.00

 

 

 

1,666,606

 

 

 

DEVON FING CORP U L C

 

7.875% 30 Sep 2031

 

UNITED STATES

 

1,100,000.00

 

 

 

1,323,439

 

 

 

DISNEY WALT CO NEW MTN BOOK

 

7% 01 Mar 2032

 

UNITED STATES

 

600,000.00

 

 

 

692,857

 

 

 

DOMINION RES INC VA NEW

 

5.95% 15 Jun 2035

 

UNITED STATES

 

1,500,000.00

 

 

 

1,474,695

 

 

 

DOW CHEM CO

 

7.375% 01 Nov 2029

 

UNITED STATES

 

600,000.00

 

 

 

693,515

 

 

 

DTE ENERGY CO

 

6.375% 15 Apr 2033

 

UNITED STATES

 

675,000.00

 

 

 

693,249

 

 

 

DUKE ENERGY CO

 

6.45% 15 Oct 2032

 

UNITED STATES

 

1,000,000.00

 

 

 

1,070,204

 

 

 

DUKE REALTY LP

 

5.95% 15 Feb 2017

 

UNITED STATES

 

1,725,000.00

 

 

 

1,749,947

 

 

 

EMBARQ CORP

 

7.995% 01 Jun 2036

 

UNITED STATES

 

775,000.00

 

 

 

806,485

 

 

 

ENTERPRISE PRODS OPER L P

 

6.875% 01 Mar 2033

 

UNITED STATES

 

1,300,000.00

 

 

 

1,357,413

 

 

 

EXELON CORP

 

5.625% 15 Jun 2035

 

UNITED STATES

 

700,000.00

 

 

 

659,371

 

 

 

FIFTH THIRD BANCORP

 

4.5% 01 Jun 2018

 

UNITED STATES

 

2,750,000.00

 

 

 

2,482,744

 

 



 

 

 

FIRST ENERGY CORP

 

0 %

 

UNITED STATES

 

1,100,000.00

 

 

 

1,252,720

 

 

 

FLORIDA PWR + LT CO

 

5.625% 01 Apr 2034

 

UNITED STATES

 

900,000.00

 

 

 

885,130

 

 

 

GENERAL ELEC CAP CORP MTN

 

6.75% 15 Mar 2032

 

UNITED STATES

 

3,610,000.00

 

 

 

4,134,454

 

 

 

GOLDMAN SACHS GROUP INC

 

6.45% 01 May 2036

 

UNITED STATES

 

2,160,000.00

 

 

 

2,247,292

 

 

 

HARTFORD FINL SVCS GROUP INC

 

6.1% 01 Oct 2041

 

UNITED STATES

 

450,000.00

 

 

 

455,177

 

 

 

HOME DEPOT INC

 

5.4% 01 Mar 2016

 

UNITED STATES

 

210,000.00

 

 

 

205,390

 

 

 

HOME DEPOT INC

 

5.875% 16 Dec 2036

 

UNITED STATES

 

720,000.00

 

 

 

706,553

 

 

 

HSBC BK USA NA GLOBAL MTN

 

5.625% 15 Aug 2035

 

UNITED STATES

 

3,100,000.00

 

 

 

2,986,794

 

 

 

ILLINOIS ST

 

4.95% 01 Jun 2023

 

UNITED STATES

 

4,200,000.00

 

 

 

4,017,216

 

 

 

INDIANA MI PWR CO

 

6.05% 15 Mar 2037

 

UNITED STATES

 

405,000.00

 

 

 

397,521

 

 

 

INTL BK FOR RECON + DEV

 

7.625% 19 Jan 2023

 

UNITED STATES

 

560,000.00

 

 

 

711,477

 

 

 

J P MORGAN CHASE COML MTG SECS

 

5.814% 12 Jun 2043

 

UNITED STATES

 

2,000,000.00

 

 

 

2,068,585

 

 

 

JP MORGAN CHASE COML MTG SECS

 

1% 15 Apr 2045

 

UNITED STATES

 

2,000,000.00

 

 

 

2,089,442

 

 

 

JPMORGAN CHASE CAP XV

 

5.875% 15 Mar 2035

 

UNITED STATES

 

3,000,000.00

 

 

 

2,931,060

 

 

 

KELLOGG CO

 

7.45% 01 Apr 2031

 

UNITED STATES

 

400,000.00

 

 

 

477,609

 

 

 

KRAFT FOODS INC

 

6.5% 01 Nov 2031

 

UNITED STATES

 

1,300,000.00

 

 

 

1,400,850

 

 

 

LIBERTY PPTY LTD PARTNERSHIP

 

5.5% 15 Dec 2016

 

UNITED STATES

 

155,000.00

 

 

 

152,387

 

 

 

LOWES COMPANIES INC

 

5.8% 15 Oct 2036

 

UNITED STATES

 

575,000.00

 

 

 

557,546

 

 

 

MAY DEPT STORES CO

 

6.7% 15 Jul 2034

 

UNITED STATES

 

650,000.00

 

 

 

641,141

 

 

 

MERCK + CO INC

 

5.75% 15 Nov 2036

 

UNITED STATES

 

580,000.00

 

 

 

573,770

 

 

 

MERRILL LYNCH + CO

 

6.22% 15 Sep 2026

 

UNITED STATES

 

1,210,000.00

 

 

 

1,247,542

 

 

 

METLIFE INC

 

5.7% 15 Jun 2035

 

UNITED STATES

 

820,000.00

 

 

 

801,333

 

 

 

MIDAMERICAN ENERGY HLDGS CO N

 

6.125% 01 Apr 2036

 

UNITED STATES

 

2,470,000.00

 

 

 

2,489,893

 

 

 

MORGAN STANLEY

 

6.25% 09 Aug 2026

 

UNITED STATES

 

1,340,000.00

 

 

 

1,401,219

 

 

 

MORGAN STANLEY GROUP INC

 

7.25% 01 Apr 2032

 

UNITED STATES

 

500,000.00

 

 

 

587,240

 

 

 

MOTOROLA INC

 

5.22% 01 Oct 2097

 

UNITED STATES

 

1,100,000.00

 

 

 

888,712

 

 

 

NATIONAL RURAL UTILS COOP FIN

 

8% 01 Mar 2032

 

UNITED STATES

 

1,100,000.00

 

 

 

1,408,485

 

 

 

NEWMONT MNG CORP

 

5.875% 01 Apr 2035

 

UNITED STATES

 

1,750,000.00

 

 

 

1,626,681

 

 

 

NEWS AMER INC

 

6.2% 15 Dec 2034

 

UNITED STATES

 

2,415,000.00

 

 

 

2,330,994

 

 

 

NORFOLK SOUTHN CORP

 

5.59% 17 May 2025

 

UNITED STATES

 

1,800,000.00

 

 

 

1,745,631

 

 

 

NORTHERN STS PWR CO MN

 

6.25% 01 Jun 2036

 

UNITED STATES

 

600,000.00

 

 

 

639,172

 

 

 

NORTHROP GRUMMAN CORP

 

7.75% 15 Feb 2031

 

UNITED STATES

 

800,000.00

 

 

 

991,601

 

 

 

ONCOR ELEC DELIVERY CO

 

7% 01 May 2032

 

UNITED STATES

 

300,000.00

 

 

 

328,183

 

 

 

ONEOK PARTNERS LP

 

6.65% 01 Oct 2036

 

UNITED STATES

 

130,000.00

 

 

 

132,968

 

 

 

OWENS CORNING REORG INC

 

7% 01 Dec 2036

 

UNITED STATES

 

625,000.00

 

 

 

631,126

 

 

 

PACIFIC GAS + ELEC CO

 

6.05% 01 Mar 2034

 

UNITED STATES

 

1,150,000.00

 

 

 

1,159,861

 

 

 

PEMEX PROJ FDG MASTER TR

 

8.625% 01 Feb 2022

 

UNITED STATES

 

1,350,000.00

 

 

 

1,668,600

 

 

 

PRINCIPAL FINL GROUP INC

 

6.05% 15 Oct 2036

 

UNITED STATES

 

520,000.00

 

 

 

532,303

 

 

 

PROGRESS ENERGY INC

 

7.75% 01 Mar 2031

 

UNITED STATES

 

825,000.00

 

 

 

991,619

 

 

 

PROLOGIS

 

5.75% 01 Apr 2016

 

UNITED STATES

 

500,000.00

 

 

 

503,053

 

 

 

PRUDENTIAL FINANCIAL INC

 

5.7% 14 Dec 2036

 

UNITED STATES

 

600,000.00

 

 

 

584,024

 

 

 

PRUDENTIAL FINL INC

 

5.4% 13 Jun 2035

 

UNITED STATES

 

275,000.00

 

 

 

256,859

 

 

 

PSEG PWR LLC

 

8.625% 15 Apr 2031

 

UNITED STATES

 

600,000.00

 

 

 

766,402

 

 

 

RAYTHEON CO

 

7.2% 15 Aug 2027

 

UNITED STATES

 

275,000.00

 

 

 

320,240

 

 

 

SIMON PPTY GROUP L P

 

6.1% 01 May 2016

 

UNITED STATES

 

1,300,000.00

 

 

 

1,347,551

 

 

 

SLM CORP MEDIUM TERM NTS

 

5.625% 01 Aug 2033

 

UNITED STATES

 

625,000.00

 

 

 

599,004

 

 

 

SOUTHERN CA EDISON CO

 

6% 15 Jan 2034

 

UNITED STATES

 

775,000.00

 

 

 

790,141

 

 

 

SPRINT CAP CORP

 

6.875% 15 Nov 2028

 

UNITED STATES

 

920,000.00

 

 

 

920,927

 

 

 

SPRINT CAP CORP

 

8.75% 15 Mar 2032

 

UNITED STATES

 

840,000.00

 

 

 

1,011,033

 

 

 

SPRINT NEXTEL CORP

 

6% 01 Dec 2016

 

UNITED STATES

 

760,000.00

 

 

 

740,717

 

 

 

SUNTRUST BK

 

5.45% 01 Dec 2017

 

UNITED STATES

 

1,500,000.00

 

 

 

1,488,867

 

 

 

TARGET CORP

 

6.35% 01 Nov 2032

 

UNITED STATES

 

500,000.00

 

 

 

535,871

 

 

 

TIME WARNER COS INC

 

6.95% 15 Jan 2028

 

UNITED STATES

 

2,325,000.00

 

 

 

2,439,850

 

 

 

TIME WARNER ENTMT CO L P

 

8.375% 15 Jul 2033

 

UNITED STATES

 

295,000.00

 

 

 

356,534

 

 

 

TIME WARNER ENTMT CO L P

 

8.375% 15 Mar 2023

 

UNITED STATES

 

850,000.00

 

 

 

997,186

 

 

 

TIME WARNER INC NEW

 

6.5% 15 Nov 2036

 

UNITED STATES

 

495,000.00

 

 

 

492,686

 

 

 

UNILEVER CAP CORP

 

5.9% 15 Nov 2032

 

UNITED STATES

 

270,000.00

 

 

 

272,305

 

 

 

UNITED STATES TREAS BDS

 

5.375% 15 Feb 2031

 

UNITED STATES

 

845,000.00

 

 

 

905,140

 

 

 

UNITED STATES TREAS BDS

 

7.125% 15 Feb 2023

 

UNITED STATES

 

1,575,000.00

 

 

 

1,960,629

 

 

 

UNITED STATES TREAS BDS

 

8.125% 15 May 2021

 

UNITED STATES

 

985,000.00

 

 

 

1,311,512

 

 

 

UNITED STATES TREAS NTS

 

3.125% 15 Sep 2008

 

UNITED STATES

 

770,000.00

 

 

 

748,645

 

 

 

UNITED STATES TREAS NTS

 

4.875% 30 Apr 2011

 

UNITED STATES

 

130,000.00

 

 

 

130,843

 

 

 

UNITED TECHNOLOGIES CORP

 

5.4% 01 May 2035

 

UNITED STATES

 

750,000.00

 

 

 

724,625

 

 

 

USG CORP

 

6.3% 15 Nov 2016

 

UNITED STATES

 

405,000.00

 

 

 

401,452

 

 

 

VALERO ENERGY CORP NEW

 

7.5% 15 Apr 2032

 

UNITED STATES

 

1,000,000.00

 

 

 

1,140,902

 

 

 

VERIZON GLOBAL FDG CORP

 

7.75% 01 Dec 2030

 

UNITED STATES

 

2,265,000.00

 

 

 

2,656,793

 

 

 

VIACOM INC

 

6.875% 30 Apr 2036

 

UNITED STATES

 

575,000.00

 

 

 

568,490

 

 

 

VODAFONE GROUP PLC NEW

 

6.25% 30 Nov 2032

 

UNITED STATES

 

285,000.00

 

 

 

285,524

 

 

 

WACHOVIA BK COML MTG TR

 

5.440721% 15 Dec 2044

 

UNITED STATES

 

2,000,000.00

 

 

 

1,998,008

 

 

 

WACHOVIA CORP GLBL MED TM SR

 

5.7% 01 Aug 2013

 

UNITED STATES

 

695,000.00

 

 

 

707,078

 

 

 

WACHOVIA CORP NEW

 

5.5% 01 Aug 2035

 

UNITED STATES

 

1,070,000.00

 

 

 

1,019,677

 

 

 

WAL MART STORES INC

 

5.25% 01 Sep 2035

 

UNITED STATES

 

1,400,000.00

 

 

 

1,285,619

 

 

 

WELLPOINT INC

 

5.85% 15 Jan 2036

 

UNITED STATES

 

750,000.00

 

 

 

728,585

 

 

 

WELLS FARGO + CO NEW

 

5.375% 07 Feb 2035

 

UNITED STATES

 

1,000,000.00

 

 

 

953,046

 

 

 

WELLS FARGO BK NATL ASSN

 

5.95% 26 Aug 2036

 

UNITED STATES

 

575,000.00

 

 

 

592,934

 

 

 

WEYERHAEUSER CO

 

7.375% 15 Mar 2032

 

UNITED STATES

 

1,065,000.00

 

 

 

1,111,674

 

 

 

WYETH

 

6.45% 01 Feb 2024

 

UNITED STATES

 

1,500,000.00

 

 

 

1,604,688

 

 

 

Unsettled Transactions

 

 

 

 

 

 

 

 

 

2,552,442

 

 

 

 

 

Total :

 

 

 

 

 

 

 

$

175,755,927

 

 

n / a — Cost is not applicable

 

 



EXHIBIT F - Equity Income

(Managed by State Street Global Advisors)

IBM SAVINGS PLAN AT DECEMBER 31, 2006

Schedule H, line 4i-Schedule of Assets  (Held At End of Year)

 

 

 

 

(c)Description of investment including maturity date,

 

 

 

(e) Fair

 

(a)

 

(b) Identity of issue, borrower, lessor, or similar party

 

rate of interest, collateral, par, or maturity value 

 

(d)Cost

 

value

 

 

 

 

 

 

 

Shares

 

(n/a)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

3M CO

 

COM

 

10,500

 

 

 

$

818,265

 

 

 

ABBOTT LABS

 

COM

 

21,200

 

 

 

1,032,652

 

 

 

ACTIVISION INC NEW

 

COM NEW

 

5,700

 

 

 

98,268

 

 

 

ACXIOM CORP

 

COM

 

1,200

 

 

 

30,780

 

 

 

ADESA INC

 

COM

 

1,300

 

 

 

36,075

 

 

 

ADOBE SYS INC

 

COM

 

5,632

 

 

 

231,588

 

 

 

ADVANCE AUTO PARTS

 

COM

 

2,050

 

 

 

72,898

 

 

 

ADVANCED MED OPTICS INC

 

COM

 

1,100

 

 

 

38,720

 

 

 

ADVANCED MICRO DEVICES INC

 

COM

 

3,900

 

 

 

79,365

 

 

 

AES CORP

 

COM

 

4,600

 

 

 

101,384

 

 

 

AETNA INC

 

COM

 

4,600

 

 

 

198,628

 

 

 

AFFILIATED MANAGERS GROUP INC

 

COM

 

400

 

 

 

42,052

 

 

 

AFLAC INC

 

COM

 

3,800

 

 

 

174,800

 

 

 

AGCO CORP

 

COM

 

1,500

 

 

 

46,410

 

 

 

AGERE SYS INC

 

COM

 

3,700

 

 

 

70,929

 

 

 

AGILENT TECHNOLOGIES INC

 

COM

 

2,631

 

 

 

91,690

 

 

 

AGL RES INC

 

COM

 

600

 

 

 

23,346

 

 

 

AIR PRODS + CHEMS INC

 

COM

 

4,600

 

 

 

323,288

 

 

 

AKAMAI TECHNOLOGIES INC

 

COM

 

3,300

 

 

 

175,296

 

 

 

ALCOA INC

 

COM

 

9,200

 

 

 

276,092

 

 

 

ALEXANDER + BALDWIN INC

 

COM

 

600

 

 

 

26,604

 

 

 

ALLEGHENY ENERGY INC

 

COM

 

800

 

 

 

36,728

 

 

 

ALLERGAN INC

 

COM

 

927

 

 

 

110,999

 

 

 

ALLIANCE DATA SYSTEMS CORP

 

COM

 

1,500

 

 

 

93,705

 

 

 

ALLIANT ENERGY CORP

 

COM

 

1,800

 

 

 

67,986

 

 

 

ALLIED CAP CORP NEW

 

COM

 

1,935

 

 

 

63,236

 

 

 

ALLSTATE CORP

 

COM

 

9,800

 

 

 

638,078

 

 

 

ALLTEL CORP

 

COM

 

3,000

 

 

 

181,440

 

 

 

ALTERA CORP

 

COM

 

1,600

 

 

 

31,488

 

 

 

ALTRIA GROUP INC

 

COM

 

25,800

 

 

 

2,214,156

 

 

 

AMAZON COM INC

 

COM

 

3,400

 

 

 

134,164

 

 

 

AMEREN CORP

 

COM

 

3,900

 

 

 

209,547

 

 

 

AMERICAN CAP STRATEGIES LTD

 

COM

 

2,500

 

 

 

115,650

 

 

 

AMERICAN EAGLE OUTFITTERS INC

 

COM

 

750

 

 

 

23,408

 

 

 

AMERICAN ELEC PWR INC

 

COM

 

8,100

 

 

 

344,898

 

 

 

AMERICAN EXPRESS CO

 

COM

 

10,700

 

 

 

649,169

 

 

 

AMERICAN FINL GROUP INC OHIO

 

COM

 

600

 

 

 

21,546

 

 

 

AMERICAN INTL GROUP INC

 

COM

 

23,789

 

 

 

1,704,720

 

 

 

AMERICAN NATL INS CO

 

COM

 

200

 

 

 

22,822

 

 

 

AMERICAN TOWER CORP

 

CL A

 

4,117

 

 

 

153,482

 

 

 

AMERIPRISE FINL INC

 

COM

 

880

 

 

 

47,960

 

 

 

AMGEN INC

 

COM

 

12,169

 

 

 

831,264

 

 

 

AMR CORP DEL

 

COM

 

4,300

 

 

 

129,989

 

 

 

AMYLIN PHARMACEUTICALS INC

 

COM

 

2,100

 

 

 

75,747

 

 

 

ANADARKO PETE CORP

 

COM

 

3,200

 

 

 

139,264

 

 

 

ANALOG DEVICES INC

 

COM

 

2,000

 

 

 

65,740

 

 

 

ANHEUSER BUSCH COS INC

 

COM

 

11,600

 

 

 

570,720

 

 

 

ANNALY CAPITAL MANAGEMENT INC

 

COM

 

3,100

 

 

 

43,121

 

 

 

ANNTAYLOR STORES CORP

 

COM

 

1,300

 

 

 

42,692

 

 

 

AON CORP

 

COM

 

6,900

 

 

 

243,846

 

 

 

APACHE CORP

 

COM

 

2,500

 

 

 

166,275

 

 

 

APOLLO GROUP INC

 

CL A

 

811

 

 

 

31,605

 

 

 

APPLE COMPUTER

 

COM NPV

 

8,900

 

 

 

755,076

 

 

 

APPLIED MATERIALS INC

 

COM

 

14,800

 

 

 

273,060

 

 

 

ARCH COAL INC

 

COM

 

500

 

 

 

15,015

 

 

 

ARCHER DANIELS MIDLAND CO

 

COM

 

4,600

 

 

 

147,016

 

 

 

ARCHSTONE SMITH TR

 

COM

 

4,400

 

 

 

256,124

 

 

 

ARMOR HLDGS INC

 

COM

 

300

 

 

 

16,455

 

 

 

ASHLAND INC NEW

 

COM

 

1,000

 

 

 

69,180

 

 



 

 

 

ASSOCIATED BANC CORP

 

COM

 

1,745

 

 

 

60,866

 

 

 

ASTORIA FINL CORP

 

COM

 

750

 

 

 

22,620

 

 

 

AT+T INC

 

COM

 

50,720

 

 

 

1,813,240

 

 

 

ATMEL CORP

 

COM

 

9,100

 

 

 

55,055

 

 

 

ATMOS ENERGY CORP

 

COM

 

600

 

 

 

19,146

 

 

 

AUTODESK INCORPORATED

 

COM STK NPV

 

700

 

 

 

28,322

 

 

 

AUTOLIV

 

COM

 

1,500

 

 

 

90,450

 

 

 

AUTOMATIC DATA PROCESSING INC

 

COM

 

8,300

 

 

 

408,775

 

 

 

AVAYA INC

 

COM

 

1,600

 

 

 

22,368

 

 

 

AVERY DENNISON CORP

 

COM

 

1,800

 

 

 

122,274

 

 

 

AVIS BUDGET GROUP INC

 

COM

 

680

 

 

 

14,749

 

 

 

AVON PRODS INC

 

COM

 

9,400

 

 

 

310,576

 

 

 

BAKER HUGHES INC

 

COM

 

2,500

 

 

 

186,650

 

 

 

BANCORPSOUTH INC

 

COM

 

500

 

 

 

13,410

 

 

 

BANK AMER CORP

 

COM

 

54,933

 

 

 

2,932,873

 

 

 

BANK NEW YORK INC

 

COM

 

13,700

 

 

 

539,369

 

 

 

BARD C R INC

 

COM

 

1,000

 

 

 

82,970

 

 

 

BAUSCH + LOMB INC

 

COM

 

900

 

 

 

46,854

 

 

 

BAXTER INTL INC

 

COM

 

12,500

 

 

 

579,875

 

 

 

BB+T CORP

 

COM

 

9,819

 

 

 

431,349

 

 

 

BEA SYS INC

 

COM

 

5,100

 

 

 

64,158

 

 

 

BEAR STEARNS COS INC

 

COM

 

500

 

 

 

81,390

 

 

 

BEAZER HOMES USA INC

 

COM

 

700

 

 

 

32,907

 

 

 

BECTON DICKINSON + CO

 

COM

 

2,300

 

 

 

161,345

 

 

 

BED BATH + BEYOND INC

 

COM

 

1,300

 

 

 

49,530

 

 

 

BELLSOUTH CORP

 

COM

 

25,200

 

 

 

1,187,172

 

 

 

BEMIS CO INC

 

COM

 

1,500

 

 

 

50,970

 

 

 

BEST BUY CO INC

 

COM STK USD0.10

 

3,100

 

 

 

152,489

 

 

 

BIOGEN IDEC INC

 

COM

 

3,600

 

 

 

177,084

 

 

 

BIOMET INC

 

COM

 

1,000

 

 

 

41,270

 

 

 

BJ SVCS CO

 

COM

 

400

 

 

 

11,728

 

 

 

BJS WHSL CLUB INC

 

COM

 

1,300

 

 

 

40,443

 

 

 

BLOCK H + R INC

 

COM

 

6,400

 

 

 

147,456

 

 

 

BMC SOFTWARE INC

 

COM

 

600

 

 

 

19,320

 

 

 

BOEING CO

 

COM

 

8,700

 

 

 

772,908

 

 

 

BOSTON PPTYS INC

 

COM

 

2,400

 

 

 

268,512

 

 

 

BOSTON SCIENTIFIC CORP

 

COM

 

17,799

 

 

 

305,787

 

 

 

BOYD GAMING CORP

 

COM

 

700

 

 

 

31,717

 

 

 

BRANDYWINE RLTY TR

 

SH BEN INT NEW

 

1,500

 

 

 

49,875

 

 

 

BRISTOL MYERS SQUIBB CO

 

COM

 

30,000

 

 

 

789,600

 

 

 

BROADCOM CORP

 

CL A

 

3,500

 

 

 

113,085

 

 

 

BROOKDALE SR LIVING INC

 

COM

 

200

 

 

 

9,600

 

 

 

BURLINGTON NORTHN SANTA FE

 

COM

 

6,500

 

 

 

479,765

 

 

 

CA INC

 

COM

 

2,500

 

 

 

56,625

 

 

 

CABLEVISION SYS CORP

 

CABLEVISION NY GROUP COM

 

700

 

 

 

19,936

 

 

 

CABOT CORP

 

COM

 

1,100

 

 

 

47,927

 

 

 

CAPITAL ONE FINL CORP

 

COM

 

5,401

 

 

 

414,905

 

 

 

CARDINAL HEALTH INC

 

COM

 

3,350

 

 

 

215,841

 

 

 

CAREMARK RX INC

 

COM

 

3,400

 

 

 

194,174

 

 

 

CARPENTER TECHNOLOGY CORP

 

COM

 

400

 

 

 

41,008

 

 

 

CATERPILLAR INC

 

COM

 

7,800

 

 

 

478,374

 

 

 

CBL + ASSOC PPTYS INC

 

COM

 

900

 

 

 

39,015

 

 

 

CBOT HLDGS INC

 

CL A

 

1,100

 

 

 

166,617

 

 

 

CBS CORP CLASS B

 

COM

 

5,840

 

 

 

182,091

 

 

 

CDW CORP

 

COM

 

800

 

 

 

56,256

 

 

 

CELGENE CORP

 

COM

 

1,900

 

 

 

109,307

 

 

 

CEPHALON INC

 

COM

 

1,100

 

 

 

77,451

 

 

 

CERNER CORP

 

COM

 

1,300

 

 

 

59,150

 

 

 

CHARLES RIV LABORATORIES INTL

 

COM

 

1,300

 

 

 

56,225

 

 

 

CHECKFREE CORP NEW

 

COM

 

1,600

 

 

 

64,256

 

 

 

CHEMTURA CORP

 

COM

 

3,600

 

 

 

34,668

 

 

 

CHENIERE ENERGY INC

 

COM NEW

 

900

 

 

 

25,983

 

 

 

CHESAPEAKE ENERGY CORP

 

COM

 

7,000

 

 

 

203,350

 

 

 

CHEVRON CORP

 

COM

 

28,403

 

 

 

2,088,473

 

 

 

CHICAGO MERCANTILE EXCHANGE

 

COM

 

180

 

 

 

91,755

 

 

 

CHOICE HOTELS INC

 

COM

 

700

 

 

 

29,470

 

 

 

CHOICEPOINT INC

 

COM

 

1,366

 

 

 

53,793

 

 

 

CHUBB CORP

 

COM

 

8,300

 

 

 

439,153

 

 

 

CIENA CORP

 

COM

 

1,471

 

 

 

40,761

 

 

 

CIGNA CORP

 

COM

 

390

 

 

 

51,312

 

 

 

CIMAREX ENERGY CO

 

COM

 

1,200

 

 

 

43,800

 

 

 

CINCINNATI FINL CORP

 

COM

 

2,725

 

 

 

123,470

 

 

 

CISCO SYS INC

 

COM

 

65,000

 

 

 

1,776,450

 

 



 

 

 

CIT GROUP INC NEW

 

COM

 

3,800

 

 

 

211,926

 

 

 

CITIGROUP INC

 

COM

 

58,813

 

 

 

3,275,884

 

 

 

CITRIX SYS INC

 

COM

 

900

 

 

 

24,345

 

 

 

CLAIRE S STORES INC

 

COM

 

1,700

 

 

 

56,338

 

 

 

CLEAR CHANNEL COMMUNICATIONS

 

COM

 

4,900

 

 

 

174,146

 

 

 

CLOROX CO

 

COM

 

600

 

 

 

38,490

 

 

 

COACH INC

 

COM

 

2,100

 

 

 

90,216

 

 

 

COCA COLA CO

 

COM

 

26,300

 

 

 

1,268,975

 

 

 

COGNIZANT TECHNOLOGY SOLUTIONS

 

CL A

 

3,000

 

 

 

231,480

 

 

 

COLDWATER CREEK INC

 

COM

 

1,000

 

 

 

24,520

 

 

 

COLGATE PALMOLIVE CO

 

COM

 

8,000

 

 

 

521,920

 

 

 

COLONIAL PPTYS TR

 

SH BEN INT

 

500

 

 

 

23,440

 

 

 

COMCAST CORP NEW

 

CL A

 

27,605

 

 

 

1,168,520

 

 

 

COMERICA INC

 

COM

 

2,900

 

 

 

170,172

 

 

 

COMMERCIAL METALS CO

 

COM

 

2,500

 

 

 

64,500

 

 

 

COMMUNITY HEALTH SYS INC NEW

 

COM

 

2,000

 

 

 

73,040

 

 

 

COMPASS BANCSHARES INC

 

COM

 

2,100

 

 

 

125,265

 

 

 

COMPUTER SCIENCES CORP

 

COM

 

300

 

 

 

16,011

 

 

 

CONAGRA INC

 

COM

 

10,100

 

 

 

272,700

 

 

 

CONOCOPHILLIPS

 

COM

 

21,671

 

 

 

1,559,228

 

 

 

CONSOL ENERGY INC

 

COM

 

3,800

 

 

 

122,094

 

 

 

CONSOLIDATED EDISON INC

 

COM

 

5,200

 

 

 

249,964

 

 

 

CONSTELLATION ENERGY GROUP INC

 

COM

 

300

 

 

 

20,661

 

 

 

CONTINENTAL AIRLS INC

 

COM CL B

 

1,700

 

 

 

70,125

 

 

 

COPART INC

 

COM

 

1,300

 

 

 

39,000

 

 

 

CORNING INC

 

COM

 

15,300

 

 

 

286,263

 

 

 

CORPORATE EXECUTIVE BRD CO

 

COM

 

700

 

 

 

61,390

 

 

 

CORRECTIONS CORP AMER NEW

 

COM NEW

 

750

 

 

 

33,923

 

 

 

COSTCO WHSL CORP NEW

 

COM

 

4,200

 

 

 

222,054

 

 

 

COUNTRYWIDE FINL CORP

 

COM

 

5,398

 

 

 

229,145

 

 

 

COVANCE INC

 

COM

 

800

 

 

 

47,128

 

 

 

COVANTA HLDG CORP

 

COM

 

2,200

 

 

 

48,488

 

 

 

COVENTRY HEALTH CARE INC

 

COM

 

300

 

 

 

15,015

 

 

 

CRANE CO

 

COM

 

700

 

 

 

25,648

 

 

 

CREE INC

 

COM

 

1,500

 

 

 

25,980

 

 

 

CROWN CASTLE INTL CORP

 

COM

 

4,300

 

 

 

138,890

 

 

 

CROWN HLDGS INC

 

COM

 

2,700

 

 

 

56,484

 

 

 

CSX CORP

 

COM

 

2,300

 

 

 

79,189

 

 

 

CTC MEDIA INC

 

COM

 

700

 

 

 

16,807

 

 

 

CVS CORP

 

COM

 

6,300

 

 

 

194,733

 

 

 

CYPRESS SEMICONDUCTOR CORP

 

COM

 

3,100

 

 

 

52,297

 

 

 

CYTYC CORP

 

COM

 

2,300

 

 

 

65,090

 

 

 

D R HORTON INC

 

COM

 

1,900

 

 

 

50,331

 

 

 

DADE BEHRING HLDGS INC

 

COM

 

1,800

 

 

 

71,658

 

 

 

DANAHER CORP

 

COM

 

1,000

 

 

 

72,440

 

 

 

DAVITA INC

 

COM

 

1,871

 

 

 

106,422

 

 

 

DEERE + CO

 

COM

 

4,800

 

 

 

456,336

 

 

 

DELL INC

 

COM

 

23,900

 

 

 

599,651

 

 

 

DENBURY RES INC

 

COM NEW

 

2,200

 

 

 

61,138

 

 

 

DEVELOPERS DIVERSIFIED RLTY

 

COM

 

2,100

 

 

 

132,195

 

 

 

DEVON ENERGY CORPORATION NEW

 

COM

 

3,500

 

 

 

234,780

 

 

 

DIAMOND OFFSHORE DRILLING INC

 

COM

 

900

 

 

 

71,946

 

 

 

DICKS SPORTING GOODS INC

 

OC COM

 

600

 

 

 

29,394

 

 

 

DIEBOLD INC

 

COM

 

1,300

 

 

 

60,580

 

 

 

DIRECTV GROUP INC

 

COM

 

6,800

 

 

 

169,592

 

 

 

DISCOVERY HLDG CO

 

COM SER A

 

2,700

 

 

 

43,443

 

 

 

DISNEY WALT CO

 

DISNEY COM

 

22,900

 

 

 

784,783

 

 

 

DOLLAR GEN CORP

 

COM USD 0.50

 

900

 

 

 

14,454

 

 

 

DOMINION RES INC VA NEW

 

COM

 

6,600

 

 

 

553,344

 

 

 

DONNELLEY R R + SONS CO

 

COM

 

4,300

 

 

 

152,822

 

 

 

DOVER CORP

 

COM

 

3,900

 

 

 

191,178

 

 

 

DOW CHEM CO

 

COM

 

14,744

 

 

 

588,875

 

 

 

DOW JONES + CO INC

 

COM

 

800

 

 

 

30,400

 

 

 

DREAMWORKS ANIMATION SKG

 

CL A

 

700

 

 

 

20,643

 

 

 

DTE ENERGY CO

 

COM

 

3,600

 

 

 

174,276

 

 

 

DU PONT E I DE NEMOURS + CO

 

COM

 

14,300

 

 

 

696,553

 

 

 

DUKE ENERGY HLDG CORP

 

COM

 

21,936

 

 

 

728,495

 

 

 

DUKE RLTY CORP

 

COM NEW

 

2,400

 

 

 

98,160

 

 

 

E TRADE FINL CORP

 

COM

 

8,900

 

 

 

199,538

 

 

 

EAGLE MATLS INC

 

COM

 

800

 

 

 

34,584

 

 

 

EASTMAN CHEM CO

 

COM

 

1,500

 

 

 

88,965

 

 

 

EASTMAN KODAK CO

 

COM

 

6,100

 

 

 

157,380

 

 

 

EATON CORP

 

COM

 

3,100

 

 

 

232,934

 

 



 

 

 

EBAY INC

 

COM

 

15,600

 

 

 

469,092

 

 

 

ECHOSTAR COMMUNICATIONS CORP N

 

CL A

 

4,500

 

 

 

171,135

 

 

 

EDISON INTL

 

COM

 

3,100

 

 

 

140,988

 

 

 

EDWARDS A G INC

 

COM

 

1,100

 

 

 

69,619

 

 

 

EDWARDS LIFESCIENCES CORP

 

COM

 

900

 

 

 

42,336

 

 

 

EL PASO CORP

 

COM

 

14,700

 

 

 

224,616

 

 

 

ELECTRONIC ARTS INC

 

COM

 

2,500

 

 

 

125,900

 

 

 

ELECTRONIC DATA SYS CORP NEW

 

COM

 

10,600

 

 

 

292,030

 

 

 

EMBARQ CORP

 

COM

 

0

 

 

 

0

 

 

 

EMC CORP

 

COM

 

21,500

 

 

 

283,800

 

 

 

EMDEON CORP

 

COM

 

5,900

 

 

 

73,101

 

 

 

EMERSON ELEC CO

 

COM

 

12,100

 

 

 

533,489

 

 

 

ENERGY EAST CORP

 

COM

 

2,400

 

 

 

59,520

 

 

 

ENTERGY CORP NEW

 

COM

 

3,700

 

 

 

341,584

 

 

 

EOG RESOURCES INC

 

COM

 

1,300

 

 

 

81,185

 

 

 

EQUITY OFFICE PPTYS TR

 

COM

 

8,000

 

 

 

385,360

 

 

 

EQUITY RESIDENTIAL

 

SH BEN INT

 

6,300

 

 

 

319,725

 

 

 

ERIE INDTY CO

 

CL A

 

600

 

 

 

34,788

 

 

 

ESSEX PROPERTY TRUST

 

COM

 

400

 

 

 

51,700

 

 

 

EXELON CORP

 

COM

 

8,474

 

 

 

524,456

 

 

 

EXPEDIA INC DEL

 

COM

 

2,670

 

 

 

56,017

 

 

 

EXPEDITORS INTL WA INC

 

COM

 

500

 

 

 

20,250

 

 

 

EXPRESS SCRIPTS INC

 

COM

 

200

 

 

 

14,320

 

 

 

EXXON MOBIL CORP

 

COM

 

68,800

 

 

 

5,272,144

 

 

 

F5 NETWORKS INC

 

COM

 

700

 

 

 

51,947

 

 

 

FACTSET RESH SYS INC

 

COM

 

500

 

 

 

28,240

 

 

 

FAIRCHILD SEMICONDUCTOR INTL

 

COM

 

3,400

 

 

 

57,154

 

 

 

FAMILY DLR STORES INC

 

COM

 

3,300

 

 

 

96,789

 

 

 

FEDERAL HOME LN MTG CORP

 

COM

 

6,700

 

 

 

454,930

 

 

 

FEDERAL NATL MTG ASSN

 

COM

 

9,400

 

 

 

558,266

 

 

 

FEDERAL RLTY INVT TR

 

SH BEN INT NEW

 

1,000

 

 

 

85,000

 

 

 

FEDERATED DEPT STORES INC DE

 

COM

 

6,426

 

 

 

245,023

 

 

 

FEDEX CORP

 

COM

 

2,500

 

 

 

271,550

 

 

 

FIDELITY NATIONAL FINANCIAL

 

CL A

 

3,413

 

 

 

81,502

 

 

 

FIDELITY NATL INFORMATION SVC

 

COM

 

1,750

 

 

 

70,158

 

 

 

FIFTH THIRD BANCORP

 

COM STK

 

9,696

 

 

 

396,857

 

 

 

FIRST AMERICAN CORP

 

COM

 

1,400

 

 

 

56,952

 

 

 

FIRST DATA CORP

 

COM

 

6,300

 

 

 

160,776

 

 

 

FIRST HORIZON NATL CORP

 

COM

 

1,600

 

 

 

66,848

 

 

 

FIRSTENERGY CORP

 

COM

 

4,930

 

 

 

297,279

 

 

 

FLOWSERVE CORP

 

COM

 

1,100

 

 

 

55,517

 

 

 

FORD MTR CO DEL

 

COM PAR USD0.01

 

38,500

 

 

 

289,135

 

 

 

FOREST LABS INC

 

COM

 

2,600

 

 

 

131,560

 

 

 

FOREST OIL CORP

 

COM PAR 0.01

 

600

 

 

 

19,608

 

 

 

FORTUNE BRANDS INC

 

COM

 

3,000

 

 

 

256,170

 

 

 

FOUNDATION COAL HLDGS INC

 

COM

 

700

 

 

 

22,232

 

 

 

FPL GROUP INC

 

COM

 

8,800

 

 

 

478,896

 

 

 

FRANKLIN RES INC

 

COM

 

1,000

 

 

 

110,170

 

 

 

FREEPORT MCMORAN COPPER + GOLD

 

CL B

 

1,200

 

 

 

66,876

 

 

 

FRONTIER OIL CORP

 

COM

 

1,100

 

 

 

31,614

 

 

 

FULTON FINL CORP PA

 

COM

 

1,530

 

 

 

25,551

 

 

 

GALLAGHER ARTHUR J + CO

 

COM

 

1,800

 

 

 

53,190

 

 

 

GAMESTOP CORP NEW

 

CL A

 

1,300

 

 

 

71,643

 

 

 

GANNETT INC

 

COM

 

4,800

 

 

 

290,208

 

 

 

GAP INC

 

COM

 

1,100

 

 

 

21,450

 

 

 

GARDNER DENVER INC

 

COM

 

700

 

 

 

26,117

 

 

 

GATX CORPORATION

 

COM

 

700

 

 

 

30,331

 

 

 

GEN PROBE INC NEW

 

COM

 

1,000

 

 

 

52,370

 

 

 

GENENTECH INC

 

COM

 

4,900

 

 

 

397,537

 

 

 

GENERAL DYNAMICS CORP

 

COM

 

3,600

 

 

 

267,660

 

 

 

GENERAL ELEC CO

 

COM

 

123,100

 

 

 

4,580,551

 

 

 

GENERAL GROWTH PPTYS INC

 

COM

 

3,680

 

 

 

192,206

 

 

 

GENERAL MLS INC

 

COM

 

6,500

 

 

 

374,400

 

 

 

GENERAL MTRS CORP

 

COM

 

10,300

 

 

 

316,416

 

 

 

GENUINE PARTS CO

 

COM

 

3,200

 

 

 

151,776

 

 

 

GENWORTH FINL INC

 

COM CL A

 

4,300

 

 

 

147,103

 

 

 

GENZYME CORP

 

COM GEN DIV

 

2,600

 

 

 

160,108

 

 

 

GETTY IMAGES INC

 

COM

 

1,100

 

 

 

47,102

 

 

 

GILEAD SCIENCES INC

 

COM

 

3,600

 

 

 

233,748

 

 

 

GLOBAL INDUSTRIES INC

 

COM

 

1,400

 

 

 

18,256

 

 

 

GLOBAL SIGNAL INC

 

COM

 

100

 

 

 

5,267

 

 

 

GOLDMAN SACHS GROUP INC

 

COM

 

3,700

 

 

 

737,595

 

 

 

GOODRICH CORP

 

COM

 

2,100

 

 

 

95,655

 

 



 

 

 

GOODYEAR TIRE AND RUBBER

 

COM

 

3,000

 

 

 

62,970

 

 

 

GOOGLE INC

 

CL A

 

2,845

 

 

 

1,310,066

 

 

 

GREAT PLAINS ENERGY INC

 

COM

 

1,200

 

 

 

38,160

 

 

 

HALLIBURTON CO

 

COM

 

17,100

 

 

 

530,955

 

 

 

HANESBRANDS INC

 

COM

 

1,413

 

 

 

33,375

 

 

 

HANSEN NAT CORP

 

COM

 

1,200

 

 

 

40,416

 

 

 

HARLEY DAVIDSON INC

 

COM

 

1,000

 

 

 

70,470

 

 

 

HARMAN INTL INDS INC NEW

 

COM

 

300

 

 

 

29,973

 

 

 

HARRAHS ENTMT INC

 

COM

 

1,000

 

 

 

82,720

 

 

 

HARRIS CORP DEL

 

COM

 

2,500

 

 

 

114,650

 

 

 

HARSCO CORP

 

COM

 

700

 

 

 

53,270

 

 

 

HARTFORD FINANCIAL SVCS GRP

 

COM

 

4,500

 

 

 

419,895

 

 

 

HAWAIIAN ELEC INDS INC

 

COM

 

700

 

 

 

19,005

 

 

 

HEALTH CARE PPTY INVS INC

 

COM

 

2,800

 

 

 

103,096

 

 

 

HEALTH CARE REIT INC

 

COM

 

1,100

 

 

 

47,322

 

 

 

HEINZ H J CO

 

COM

 

6,800

 

 

 

306,068

 

 

 

HELIX ENERGY SOLUTIONS GROUP

 

COM

 

1,600

 

 

 

50,192

 

 

 

HELMERICH AND PAYNE INC

 

COM

 

2,000

 

 

 

48,940

 

 

 

HESS CORP

 

COM

 

700

 

 

 

34,699

 

 

 

HEWITT ASSOCS INC

 

CLASS A

 

1,200

 

 

 

30,900

 

 

 

HEWLETT PACKARD CO

 

COM

 

36,743

 

 

 

1,513,444

 

 

 

HILLENBRAND INDS INC

 

COM

 

1,000

 

 

 

56,930

 

 

 

HILTON HOTELS CORP

 

COM

 

1,100

 

 

 

38,390

 

 

 

HNI CORP

 

COM

 

800

 

 

 

35,528

 

 

 

HOLLY CORP

 

COM PAR 0.01

 

800

 

 

 

41,120

 

 

 

HOME DEPOT INC

 

COM

 

27,900

 

 

 

1,120,464

 

 

 

HONEYWELL INTL INC

 

COM

 

13,800

 

 

 

624,312

 

 

 

HOSPITALITY PPTYS TR

 

COM SH BEN INT

 

1,200

 

 

 

57,036

 

 

 

HOST HOTELS + RESORTS INC

 

COM

 

1,773

 

 

 

43,527

 

 

 

HRPT PPTYS TR

 

COM SH BEN INT

 

2,200

 

 

 

27,170

 

 

 

HUBBELL INC

 

CLB

 

1,000

 

 

 

45,210

 

 

 

HUMANA INC

 

COM

 

200

 

 

 

11,062

 

 

 

HUNTINGTON BANCSHARES INC

 

COM

 

4,300

 

 

 

102,125

 

 

 

HUNTSMAN CORP

 

COM

 

2,000

 

 

 

37,940

 

 

 

IAC INTERACTIVECORP

 

COM NEW

 

1,770

 

 

 

65,773

 

 

 

IDEARC INC

 

COM

 

1,894

 

 

 

54,263

 

 

 

IDEXX LABS INC

 

COM

 

600

 

 

 

47,580

 

 

 

ILLINOIS TOOL WKS INC

 

COM

 

3,600

 

 

 

166,284

 

 

 

IMCLONE SYS INC

 

COM

 

1,400

 

 

 

37,464

 

 

 

INTEGRATED DEVICE TECHNOLOGY

 

COM

 

4,300

 

 

 

66,564

 

 

 

INTEL CORP

 

COM

 

69,200

 

 

 

1,401,300

 

 

 

INTERCONTINENTALEXCHANGE INC

 

COM

 

300

 

 

 

32,370

 

 

 

INTERNATIONAL BUSINESS MACHS

 

COM

 

18,922

 

 

 

1,838,272

 

 

 

INTERNATIONAL GAME TECHNOLOGY

 

COM

 

2,100

 

 

 

97,020

 

 

 

INTERNATIONAL PAPER CO

 

COM

 

10,400

 

 

 

354,640

 

 

 

INTERNATIONAL RECTIFIER CORP

 

COM

 

1,400

 

 

 

53,942

 

 

 

INTERPUBLIC GROUP COS INC

 

COM

 

8,900

 

 

 

108,936

 

 

 

INTRNTNL FLAVRS + FRAGRNCS INC

 

COM

 

1,700

 

 

 

83,572

 

 

 

INTUIT

 

COM

 

1,600

 

 

 

48,816

 

 

 

INTUITIVE SURGICAL INC

 

COM NEW

 

800

 

 

 

76,720

 

 

 

INVESTMENT TECHNOLOGY GROUP

 

COM

 

800

 

 

 

34,304

 

 

 

INVITROGEN CORP

 

COM

 

1,000

 

 

 

56,590

 

 

 

ISTAR FINL INC

 

COM

 

2,000

 

 

 

95,640

 

 

 

ITT EDL SVCS INC

 

COM

 

700

 

 

 

46,459

 

 

 

JARDEN CORP

 

COM

 

700

 

 

 

24,353

 

 

 

JDS UNIPHASE CORP

 

COM PAR 0.001

 

3,762

 

 

 

62,675

 

 

 

JEFFRIES GROUP INC NEW

 

COM

 

2,100

 

 

 

56,322

 

 

 

JOHNSON + JOHNSON

 

COM

 

32,700

 

 

 

2,158,854

 

 

 

JOHNSON CTLS INC

 

COM

 

800

 

 

 

68,736

 

 

 

JPMORGAN CHASE + CO

 

COM

 

43,426

 

 

 

2,097,476

 

 

 

JUNIPER NETWORKS INC

 

COM

 

6,900

 

 

 

130,686

 

 

 

KANSAS CITY SOUTHERN

 

COM NEW

 

1,100

 

 

 

31,878

 

 

 

KB HOME

 

COM

 

1,600

 

 

 

82,048

 

 

 

KELLOGG CO

 

COM

 

3,900

 

 

 

195,234

 

 

 

KENNAMETAL INC

 

COM

 

500

 

 

 

29,425

 

 

 

KEYCORP NEW

 

COM

 

7,900

 

 

 

300,437

 

 

 

KEYSPAN CORP

 

COM

 

3,100

 

 

 

127,658

 

 

 

KILROY RLTY CORP

 

COM

 

600

 

 

 

46,800

 

 

 

KIMBERLY CLARK CORP

 

COM

 

6,400

 

 

 

434,880

 

 

 

KIMCO RLTY CORP

 

COM

 

535

 

 

 

24,048

 

 

 

KINDER MORGAN INC KANS

 

COM

 

400

 

 

 

42,300

 

 

 

KING PHARMACEUTICALS INC

 

COM

 

4,600

 

 

 

73,232

 

 

 

KIRBY CORP

 

COM

 

800

 

 

 

27,304

 

 



 

 

 

KLA TENCOR CORP

 

COM

 

1,000

 

 

 

49,750

 

 

 

KOHLS CORP

 

COM

 

3,000

 

 

 

205,290

 

 

 

KRAFT FOODS INC

 

CL A

 

3,800

 

 

 

135,660

 

 

 

KROGER CO

 

COM

 

5,000

 

 

 

115,350

 

 

 

L 3 COMMUNICATIONS HLDG CORP

 

COM

 

400

 

 

 

32,712

 

 

 

LAIDLAW INTL INC

 

COM

 

1,400

 

 

 

42,602

 

 

 

LAS VEGAS SANDS CORP

 

COM

 

3,000

 

 

 

268,440

 

 

 

LAUREATE ED INC

 

COM

 

900

 

 

 

43,767

 

 

 

LEAP WIRELESS INTL INC

 

COM NEW

 

600

 

 

 

35,682

 

 

 

LEGG MASON INC

 

COM

 

700

 

 

 

66,535

 

 

 

LEGGETT + PLATT INC

 

COM

 

3,300

 

 

 

78,870

 

 

 

LEHMAN BROTHERS HLDGS INC

 

COM

 

4,400

 

 

 

343,728

 

 

 

LENNAR CORP

 

CL A

 

600

 

 

 

31,476

 

 

 

LENNOX INTL INC

 

COM

 

800

 

 

 

24,488

 

 

 

LEVEL 3 COMMUNICATIONS INC

 

COM

 

25,000

 

 

 

140,000

 

 

 

LEXMARK INTL INC

 

CL A

 

200

 

 

 

14,640

 

 

 

LIBERTY GLOBAL INC

 

COM SER A

 

6,966

 

 

 

203,059

 

 

 

LIBERTY MEDIA HLDG CORP

 

CAP COM SER A

 

1,370

 

 

 

134,233

 

 

 

LIBERTY MEDIA HLDG CORP

 

INTERACTIVE COM SER A

 

7,150

 

 

 

154,226

 

 

 

LIBERTY PROPERTY

 

SH BEN INT SUPP

 

2,400

 

 

 

117,936

 

 

 

LIFEPOINT HOSPS INC

 

COM

 

1,300

 

 

 

43,810

 

 

 

LILLY ELI + CO

 

COM

 

14,800

 

 

 

771,080

 

 

 

LIMITED BRANDS INC

 

COM

 

5,568

 

 

 

161,138

 

 

 

LINCOLN ELEC HLDGS INC

 

COM

 

700

 

 

 

42,294

 

 

 

LINCOLN NATL CORP IN

 

COM

 

5,720

 

 

 

379,808

 

 

 

LINEAR TECHNOLOGY CORP

 

COM

 

1,700

 

 

 

51,544

 

 

 

LOCKHEED MARTIN CORP

 

COM

 

3,400

 

 

 

313,038

 

 

 

LOEWS CORP

 

CAROLINA GROUP STK

 

1,800

 

 

 

116,496

 

 

 

LOEWS CORP

 

COM

 

2,200

 

 

 

91,234

 

 

 

LOUISIANA PAC CORP

 

COM

 

700

 

 

 

15,071

 

 

 

LOWES COS INC

 

USD0.50

 

15,800

 

 

 

492,170

 

 

 

LSI LOGIC CORP

 

COM

 

1,900

 

 

 

17,100

 

 

 

LUBRIZOL CORP

 

COM

 

900

 

 

 

45,117

 

 

 

M.D.C. HOLDINGS INC

 

COM

 

530

 

 

 

30,237

 

 

 

MACERICH CO

 

COM

 

1,300

 

 

 

112,541

 

 

 

MACK CA RLTY CORP

 

COM

 

1,300

 

 

 

66,300

 

 

 

MANITOWOC INC

 

COM

 

700

 

 

 

41,601

 

 

 

MANOR CARE INC NEW

 

COM

 

1,400

 

 

 

65,688

 

 

 

MARATHON OIL CORP

 

COM

 

6,336

 

 

 

586,080

 

 

 

MARRIOTT INTL INC NEW

 

CL A

 

1,300

 

 

 

62,036

 

 

 

MARSH + MCLENNAN COS INC

 

COM

 

11,800

 

 

 

361,788

 

 

 

MARSHALL + ILSLEY CORP

 

COM

 

800

 

 

 

38,488

 

 

 

MASCO CORP

 

COM

 

7,700

 

 

 

229,999

 

 

 

MASSEY ENERGY CORP

 

COM

 

600

 

 

 

13,938

 

 

 

MASTERCARD INC

 

CL A

 

1,300

 

 

 

128,037

 

 

 

MATTEL INC

 

COM

 

1,700

 

 

 

38,522

 

 

 

MAXIM INTEGRATED PRODS INC

 

COM

 

2,730

 

 

 

83,593

 

 

 

MBIA INC

 

COM

 

300

 

 

 

21,918

 

 

 

MCAFEE INC

 

COM

 

3,100

 

 

 

87,978

 

 

 

MCCLATCHY CO

 

CL A

 

762

 

 

 

32,995

 

 

 

MCDONALDS CORP

 

COM

 

12,686

 

 

 

562,370

 

 

 

MCGRAW HILL COS INC

 

COM

 

2,800

 

 

 

190,456

 

 

 

MCKESSON CORP

 

COM

 

3,600

 

 

 

182,520

 

 

 

MEADWESTVACO CORP

 

COM

 

3,000

 

 

 

90,180

 

 

 

MEDCO HEALTH SOLUTIONS INC

 

COM

 

2,127

 

 

 

113,667

 

 

 

MEDIMMUNE INC

 

COM

 

1,800

 

 

 

58,266

 

 

 

MEDTRONIC INC

 

COM

 

13,900

 

 

 

743,789

 

 

 

MELLON FINL CORP

 

COM

 

8,400

 

 

 

354,060

 

 

 

MEMC ELECTR MATLS INC

 

COM

 

3,200

 

 

 

125,248

 

 

 

MERCK + CO INC

 

COM

 

29,400

 

 

 

1,281,840

 

 

 

MERCURY GEN CORP

 

COM

 

200

 

 

 

10,546

 

 

 

MEREDITH CORP

 

COM

 

400

 

 

 

22,540

 

 

 

MERRILL LYNCH + CO INC

 

COM

 

9,400

 

 

 

875,140

 

 

 

METLIFE INC

 

COM

 

4,100

 

 

 

241,941

 

 

 

MICROCHIP TECHNOLOGY INC

 

COM

 

1,000

 

 

 

32,700

 

 

 

MICRON TECHNOLOGY INC

 

COM

 

6,100

 

 

 

85,156

 

 

 

MICROSOFT CORP

 

COM

 

105,600

 

 

 

3,153,216

 

 

 

MILLENNIUM PHARMACEUTICALS

 

COM

 

6,100

 

 

 

66,490

 

 

 

MIRANT CORP NEW

 

COM

 

1,100

 

 

 

34,727

 

 

 

MONSANTO CO NEW

 

COM

 

4,054

 

 

 

212,957

 

 

 

MONSTER WORLDWIDE INC

 

COM

 

2,400

 

 

 

111,936

 

 

 

MOODYS CORP

 

COM

 

1,200

 

 

 

82,872

 

 

 

MORGAN STANLEY

 

COM NEW

 

13,300

 

 

 

1,083,019

 

 



 

 

 

MOSAIC CO

 

COM

 

2,500

 

 

 

53,400

 

 

 

MOTOROLA INC

 

COM

 

36,600

 

 

 

752,496

 

 

 

MUELLER WTR PRODS INC

 

COM SER B

 

1,487

 

 

 

22,159

 

 

 

MURPHY OIL CORP

 

COM

 

3,700

 

 

 

188,145

 

 

 

NALCO HLDG CO

 

COM

 

1,600

 

 

 

32,736

 

 

 

NASDAQ STK MKT INC

 

COM ACCREDITED INVS

 

1,900

 

 

 

58,501

 

 

 

NATIONAL CITY CORP

 

COM

 

9,954

 

 

 

363,918

 

 

 

NATIONAL FUEL GAS CO N J

 

COM

 

1,300

 

 

 

50,102

 

 

 

NATIONAL INSTRS CORP

 

COM

 

850

 

 

 

23,154

 

 

 

NATIONAL OILWELL VARCO INC

 

COM

 

700

 

 

 

42,826

 

 

 

NATIONAL SEMICONDUCTOR CORP

 

COM

 

900

 

 

 

20,430

 

 

 

NATIONWIDE FINL SVCS INC

 

CL A

 

300

 

 

 

16,260

 

 

 

NAVTEQ CORP

 

COM

 

1,700

 

 

 

59,449

 

 

 

NETWORK APPLIANCE INC

 

COM

 

2,200

 

 

 

86,416

 

 

 

NEUSTAR INC

 

CL A

 

1,100

 

 

 

35,684

 

 

 

NEW CENTY FINL CORP MD

 

COM

 

1,300

 

 

 

41,067

 

 

 

NEW PLAN EXCEL RLTY TR INC

 

COM

 

3,300

 

 

 

90,684

 

 

 

NEW YORK CMNTY BANCORP INC

 

COM

 

1,700

 

 

 

27,370

 

 

 

NEW YORK TIMES CO

 

CL A

 

2,200

 

 

 

53,592

 

 

 

NEWELL RUBBERMAID INC

 

COM

 

5,800

 

 

 

167,910

 

 

 

NEWMONT MNG CORP

 

COM

 

3,300

 

 

 

148,995

 

 

 

NEWS CORP

 

CL A

 

21,800

 

 

 

468,264

 

 

 

NII HLDGS INC

 

CL B NEW

 

2,900

 

 

 

186,876

 

 

 

NIKE INC

 

CL B

 

1,600

 

 

 

158,448

 

 

 

NISOURCE INC

 

COM

 

3,900

 

 

 

93,990

 

 

 

NOBLE ENERGY INC

 

COM

 

300

 

 

 

14,721

 

 

 

NORDSTROM INC

 

COM

 

4,000

 

 

 

197,360

 

 

 

NORFOLK SOUTHN CORP

 

COM

 

2,800

 

 

 

140,812

 

 

 

NORTHERN TRUST CORP

 

COM

 

4,400

 

 

 

267,036

 

 

 

NORTHROP GRUMMAN CORP

 

COM

 

4,356

 

 

 

294,901

 

 

 

NOVELL INC

 

COM

 

6,300

 

 

 

39,060

 

 

 

NOVELLUS SYS INC

 

COM

 

2,300

 

 

 

79,166

 

 

 

NTL INC DEL

 

COM

 

1,778

 

 

 

44,877

 

 

 

NUCOR CORP

 

COM

 

1,700

 

 

 

92,922

 

 

 

NUTRI SYS INC NEW

 

COM

 

600

 

 

 

38,034

 

 

 

NUVEEN INVTS INC

 

CL A

 

1,300

 

 

 

67,444

 

 

 

NVIDIA CORP

 

COM

 

800

 

 

 

29,608

 

 

 

NYSE GROUP INC

 

COM

 

3,400

 

 

 

330,480

 

 

 

OCCIDENTAL PETE CORP

 

COM

 

13,540

 

 

 

661,158

 

 

 

OCEANEERING INTL INC

 

COM

 

900

 

 

 

35,730

 

 

 

OFFICE DEPOT INC

 

COM

 

1,200

 

 

 

45,804

 

 

 

OFFICEMAX INC DEL

 

COM

 

1,200

 

 

 

59,580

 

 

 

OGE ENERGY CORP

 

COM

 

1,200

 

 

 

48,000

 

 

 

OLD REP INTL CORP

 

COM

 

3,425

 

 

 

79,734

 

 

 

OMNICARE INC

 

COM

 

1,300

 

 

 

50,219

 

 

 

OMNICOM GROUP

 

COM

 

2,780

 

 

 

290,621

 

 

 

ONEOK INC NEW

 

COM

 

1,900

 

 

 

81,928

 

 

 

ORACLE CORP

 

COM

 

45,000

 

 

 

771,300

 

 

 

OVERSEAS SHIPHOLDING GROUP INC

 

COM

 

400

 

 

 

22,520

 

 

 

PACCAR INC

 

COM

 

1,412

 

 

 

91,639

 

 

 

PALL CORP

 

COM

 

2,400

 

 

 

82,920

 

 

 

PANERA BREAD CO

 

CL A

 

500

 

 

 

27,955

 

 

 

PARKER HANNIFIN CORP

 

COM

 

300

 

 

 

23,064

 

 

 

PAYCHEX INC

 

COM

 

2,000

 

 

 

79,080

 

 

 

PDL BIOPHARMA INC

 

COM

 

2,000

 

 

 

40,280

 

 

 

PEABODY ENERGY CORP

 

COM

 

1,500

 

 

 

60,615

 

 

 

PEDIATRIX MED GROUP

 

COM

 

1,100

 

 

 

53,790

 

 

 

PENN NATL GAMING INC

 

COM

 

1,600

 

 

 

66,592

 

 

 

PENNEY J C INC

 

COM

 

5,100

 

 

 

394,536

 

 

 

PENTAIR INC

 

COM

 

1,800

 

 

 

56,520

 

 

 

PEPCO HLDGS INC

 

COM

 

3,184

 

 

 

82,816

 

 

 

PEPSICO INC

 

COM

 

17,110

 

 

 

1,070,231

 

 

 

PERKINELMER INC

 

COM

 

2,200

 

 

 

48,906

 

 

 

PFIZER INC

 

COM

 

89,800

 

 

 

2,325,820

 

 

 

PG+E CORP

 

COM

 

1,200

 

 

 

56,796

 

 

 

PHELPS DODGE CORP

 

COM

 

1,200

 

 

 

143,664

 

 

 

PHILADELPHIA CONS HLDG CORP

 

COM

 

800

 

 

 

35,648

 

 

 

PINNACLE WEST CAP CORP

 

COM

 

1,600

 

 

 

81,104

 

 

 

PITNEY BOWES INC

 

COM

 

4,300

 

 

 

198,617

 

 

 

PLAINS EXPL + PRODTN CO

 

COM

 

1,400

 

 

 

66,542

 

 

 

PMC SIERRA INC

 

COM

 

3,300

 

 

 

22,143

 

 

 

PNC FINL SVCS GROUP INC

 

COM

 

6,800

 

 

 

503,472

 

 

 

POOL CORP

 

COM

 

900

 

 

 

35,253

 


 

 

 

POPULAR INC

 

COM

 

4,885

 

 

 

87,686

 

 

 

PPG INDS INC

 

COM

 

3,200

 

 

 

205,472

 

 

 

PPL CORP

 

COM

 

7,800

 

 

 

279,552

 

 

 

PRAXAIR INC

 

COM

 

1,900

 

 

 

112,727

 

 

 

PRICE T ROWE GROUP INC

 

COM

 

4,500

 

 

 

196,965

 

 

 

PRINCIPAL FINANCIAL GROUP

 

COM

 

1,100

 

 

 

64,570

 

 

 

PROCTER AND GAMBLE CO

 

COM

 

35,995

 

 

 

2,313,399

 

 

 

PROGRESS ENERGY INC

 

COM

 

4,954

 

 

 

243,142

 

 

 

PROGRESSIVE CORP OHIO

 

COM

 

4,700

 

 

 

113,834

 

 

 

PROLOGIS

 

SH BEN INT

 

2,600

 

 

 

158,002

 

 

 

PROTECTIVE LIFE CORP

 

COM

 

800

 

 

 

38,000

 

 

 

PRUDENTIAL FINL INC

 

COM

 

4,300

 

 

 

369,198

 

 

 

PUBLIC STORAGE INC

 

COM

 

3,674

 

 

 

358,215

 

 

 

PUBLIC SVC ENTERPRISE GROUP

 

COM

 

5,400

 

 

 

358,452

 

 

 

PUGET ENERGY INC

 

COM

 

700

 

 

 

17,752

 

 

 

PULTE HOMES INC

 

COM

 

400

 

 

 

13,248

 

 

 

QUALCOMM INC

 

COM

 

21,800

 

 

 

823,822

 

 

 

QUANTA SERVICES INC

 

COM

 

1,500

 

 

 

29,505

 

 

 

QUEST DIAGNOSTICS INC

 

COM

 

600

 

 

 

31,800

 

 

 

QUICKSILVER RES INC

 

COM

 

1,200

 

 

 

43,908

 

 

 

QWEST COMMUNICATIONS INTL INC

 

COM

 

6,400

 

 

 

53,568

 

 

 

RAMBUS INC DEL

 

COM

 

1,600

 

 

 

30,288

 

 

 

RAYONIER INC

 

COM

 

1,018

 

 

 

41,789

 

 

 

RAYTHEON CO

 

COM NEW

 

9,600

 

 

 

506,880

 

 

 

RECKSON ASSOCS RLTY CORP

 

COM

 

1,500

 

 

 

68,400

 

 

 

RED HAT INC

 

COM

 

3,900

 

 

 

89,700

 

 

 

REGAL ENTMT GROUP

 

CL A

 

700

 

 

 

14,924

 

 

 

REGENCY CTRS CORP

 

COM

 

1,200

 

 

 

93,804

 

 

 

REGIONS FINL CORP NEW

 

COM

 

14,258

 

 

 

533,249

 

 

 

RESMED INC

 

COM

 

1,500

 

 

 

73,830

 

 

 

RESPIRONICS INC

 

COM

 

1,400

 

 

 

52,850

 

 

 

REYNOLDS AMERN INC

 

COM

 

3,400

 

 

 

222,598

 

 

 

ROCKWELL AUTOMATION INC

 

COM

 

3,000

 

 

 

183,240

 

 

 

ROHM + HAAS CO

 

COM

 

3,000

 

 

 

153,360

 

 

 

ROSS STORES INC

 

COM

 

2,800

 

 

 

82,040

 

 

 

RPM INTL INC

 

COM

 

1,800

 

 

 

37,602

 

 

 

RYDER SYS INC

 

COM

 

1,200

 

 

 

61,272

 

 

 

S + P 500 INDEX FUTURES

 

7-Mar-07

 

2,250

 

 

 

—

 

 

 

SABRE HLDGS CORP

 

CL A

 

200

 

 

 

6,378

 

 

 

SAFECO CORP

 

COM

 

2,000

 

 

 

125,100

 

 

 

SAFEWAY INC

 

COM NEW

 

3,100

 

 

 

107,136

 

 

 

SALESFORCE COM INC

 

COM

 

1,900

 

 

 

69,255

 

 

 

SANDISK CORP

 

COM

 

800

 

 

 

34,424

 

 

 

SANMINA SCI CORP

 

COM

 

3,600

 

 

 

12,420

 

 

 

SARA LEE CORP

 

COM

 

13,406

 

 

 

228,304

 

 

 

SBA COMMUNCATIONS CORP

 

COM

 

2,000

 

 

 

55,000

 

 

 

SCHERING PLOUGH CORP

 

COM

 

11,700

 

 

 

276,588

 

 

 

SCHWAB CHARLES CORP

 

NEW COM STK

 

5,500

 

 

 

106,370

 

 

 

SCIENTIFIC GAMES CORP

 

CL A

 

1,200

 

 

 

36,276

 

 

 

SEACOR HLDGS INC

 

COM

 

400

 

 

 

39,656

 

 

 

SEARS HLDGS CORP

 

COM

 

1,596

 

 

 

268,016

 

 

 

SEMPRA ENERGY

 

COM

 

1,000

 

 

 

56,040

 

 

 

SERVICE CORP INTL

 

COM

 

5,000

 

 

 

51,250

 

 

 

SERVICE MASTER COMPANY

 

COM

 

2,600

 

 

 

34,086

 

 

 

SHAW GROUP INC

 

COM

 

1,200

 

 

 

40,200

 

 

 

SHERWIN WILLIAMS CO

 

COM

 

2,300

 

 

 

146,234

 

 

 

SIERRA HEALTH SVCS INC

 

COM

 

900

 

 

 

32,436

 

 

 

SILICON LABORATORIES INC

 

OC COM

 

800

 

 

 

27,720

 

 

 

SIMON PPTY GROUP INC NEW

 

COM

 

4,846

 

 

 

490,851

 

 

 

SIRIUS SATELLITE RADIO INC

 

COM

 

5,600

 

 

 

19,824

 

 

 

SKY FINL GROUP INC

 

COM

 

1,000

 

 

 

28,540

 

 

 

SLM CORP

 

COM

 

3,250

 

 

 

158,503

 

 

 

SMITH INTL INC

 

COM

 

500

 

 

 

20,535

 

 

 

SMUCKER J M CO

 

COM NEW

 

800

 

 

 

38,776

 

 

 

SMURFIT STONE CONTAINER CORP

 

COM

 

5,400

 

 

 

57,024

 

 

 

SNAP ON INC

 

COM

 

1,100

 

 

 

52,404

 

 

 

SONOCO PRODS CO

 

COM

 

1,600

 

 

 

60,896

 

 

 

SOUTHERN CO

 

COM

 

13,900

 

 

 

512,354

 

 

 

SOUTHERN COPPER CORP DEL

 

COM

 

200

 

 

 

10,778

 

 

 

SOUTHWEST AIRLS CO

 

COM

 

4,900

 

 

 

75,068

 

 

 

SOUTHWESTERN ENERGY CO

 

COM

 

3,500

 

 

 

122,675

 

 

 

SPANSION INC

 

COM CL A

 

700

 

 

 

10,402

 

 

 

SPRINT NEXTEL CORP

 

COM SER 1

 

27,187

 

 

 

513,562

 


 

 

 

ST JUDE MED INC

 

COM

 

2,200

 

 

 

80,432

 

 

 

STANDARD PAC CORP NEW

 

COM

 

1,200

 

 

 

32,148

 

 

 

STANLEY WORKS

 

COM

 

1,300

 

 

 

65,377

 

 

 

STAPLES INC

 

COM

 

11,700

 

 

 

312,390

 

 

 

STARBUCKS CORP

 

COM

 

6,300

 

 

 

223,146

 

 

 

STARWOOD HOTELS + RESORTS INC

 

COM

 

1,100

 

 

 

68,750

 

 

 

STATE STREET CORPORATION

 

COM

 

2,400

 

 

 

161,856

 

 

 

STATION CASINOS INC

 

COM

 

1,000

 

 

 

81,670

 

 

 

STEEL DYNAMICS INC

 

COM

 

1,800

 

 

 

58,410

 

 

 

STEELCASE INC

 

CL A

 

400

 

 

 

7,264

 

 

 

STRYKER CORP

 

COM

 

2,200

 

 

 

121,242

 

 

 

SUN MICROSYSTEMS INC

 

COM

 

27,900

 

 

 

151,218

 

 

 

SUNOCO INC

 

COM

 

2,700

 

 

 

168,372

 

 

 

SUNTRUST BKS INC

 

COM

 

6,534

 

 

 

551,796

 

 

 

SUPERIOR ENERGY SVCS INC

 

COM

 

1,400

 

 

 

45,752

 

 

 

SUPERVALU INC

 

COM

 

4,364

 

 

 

156,013

 

 

 

SWIFT TRANSN INC

 

COM

 

900

 

 

 

23,643

 

 

 

SYMANTEC CORP

 

COM

 

6,024

 

 

 

125,600

 

 

 

SYMBOL TECHNOLOGIES INC

 

COM

 

5,463

 

 

 

81,617

 

 

 

SYNOVUS FINL CORP

 

COM

 

3,600

 

 

 

110,988

 

 

 

SYSCO CORP

 

COM

 

7,100

 

 

 

260,996

 

 

 

TARGET CORP

 

COM

 

9,600

 

 

 

547,680

 

 

 

TAUBMAN CENTERS INC

 

REIT

 

600

 

 

 

30,516

 

 

 

TCF FINANCIAL CORP

 

COM

 

1,800

 

 

 

49,356

 

 

 

TD AMERITRADE HLDG CORP

 

COM

 

2,000

 

 

 

32,360

 

 

 

TD BANKNORTH INC

 

COM

 

1,200

 

 

 

38,736

 

 

 

TECHNE CORP

 

COM

 

500

 

 

 

27,725

 

 

 

TECO ENERGY INC

 

COM

 

2,900

 

 

 

49,967

 

 

 

TEKTRONIX INC

 

COM

 

1,400

 

 

 

40,838

 

 

 

TEMPLE INLAND INC

 

COM

 

2,000

 

 

 

92,060

 

 

 

TENET HEALTHCARE CORP

 

COM

 

10,400

 

 

 

72,488

 

 

 

TEREX CORP NEW

 

COM

 

2,000

 

 

 

129,160

 

 

 

TESORO CORP

 

COM

 

1,300

 

 

 

85,501

 

 

 

TETRA TECHNOLOGIES INC DEL

 

COM

 

1,100

 

 

 

28,138

 

 

 

TEXAS INSTRS INC

 

COM

 

14,930

 

 

 

429,984

 

 

 

TEXTRON INC

 

COM

 

2,400

 

 

 

225,048

 

 

 

THE ST PAUL TRAVELERS COS INC

 

COM

 

9,645

 

 

 

517,840

 

 

 

THERMO FISHER SCIENTIFIC INC

 

COM

 

1,800

 

 

 

81,522

 

 

 

THOMAS + BETTS CORP

 

COM

 

1,100

 

 

 

52,008

 

 

 

THORNBURG MTG INC

 

COM

 

2,600

 

 

 

65,338

 

 

 

TIDEWATER INC

 

COM

 

1,100

 

 

 

53,196

 

 

 

TIFFANY + CO NEW

 

COM

 

2,500

 

 

 

98,100

 

 

 

TIM HORTONS INC

 

COM

 

3,143

 

 

 

91,022

 

 

 

TIME WARNER INC NEW

 

COM

 

42,900

 

 

 

934,362

 

 

 

TIMKEN CO

 

COM

 

1,600

 

 

 

46,688

 

 

 

TITANIUM METALS CORP

 

COM NEW

 

1,400

 

 

 

41,314

 

 

 

TJX COS INC NEW

 

COM

 

9,700

 

 

 

276,644

 

 

 

TODCO

 

COMMON STOCK

 

1,000

 

 

 

34,170

 

 

 

TRACTOR SUPPLY CO

 

COM

 

700

 

 

 

31,297

 

 

 

TRIAD HOSPS INC

 

COM

 

1,800

 

 

 

75,294

 

 

 

TRIBUNE CO NEW

 

COM

 

3,500

 

 

 

107,730

 

 

 

TRIMBLE NAVIGATION LTD

 

COM

 

700

 

 

 

35,511

 

 

 

TRINITY INDS INC

 

COM

 

1,300

 

 

 

45,760

 

 

 

TXU CORP

 

COM

 

3,800

 

 

 

205,998

 

 

 

UAL CORP

 

COM NEW

 

2,000

 

 

 

88,000

 

 

 

UGI CORP NEW

 

COM

 

1,700

 

 

 

46,376

 

 

 

UNION PAC CORP

 

COM

 

4,600

 

 

 

423,292

 

 

 

UNISYS CORP

 

COM

 

7,000

 

 

 

54,880

 

 

 

UNIT CORP

 

COM

 

700

 

 

 

33,915

 

 

 

UNITED AUTO GROUP INC

 

COM

 

600

 

 

 

14,142

 

 

 

UNITED DOMINION RLTY TR INC

 

COM

 

2,300

 

 

 

73,117

 

 

 

UNITED PARCEL SVC INC

 

CL B

 

8,500

 

 

 

637,330

 

 

 

UNITED RENTALS INC

 

COM

 

1,100

 

 

 

27,973

 

 

 

UNITED STATES TREAS BILLS

 

4.835%   08 Mar 2007

 

200,000

 

 

 

197,558

 

 

 

UNITED TECHNOLOGIES CORP

 

COM

 

10,400

 

 

 

650,208

 

 

 

UNITEDHEALTH GROUP INC

 

COM

 

15,480

 

 

 

831,740

 

 

 

UNITRIN INC

 

COM

 

1,100

 

 

 

55,121

 

 

 

UNIVISION COMMUNICATIONS INC

 

CL A

 

1,000

 

 

 

35,420

 

 

 

UNUMPROVIDENT CORP

 

COM

 

6,400

 

 

 

132,992

 

 

 

URBAN OUTFITTERS INC

 

COM

 

2,000

 

 

 

46,060

 

 

 

URS CORP NEW

 

COM

 

500

 

 

 

21,425

 

 

 

US AWYS GROUP INC

 

COM

 

1,300

 

 

 

70,005

 

 

 

US BANCORP DEL

 

COM NEW

 

25,301

 

 

 

915,643

 

 



 

 

 

USG CORP

 

COM NEW

 

1,600

 

 

 

87,680

 

 

 

UST INC

 

COM USD0.50

 

3,200

 

 

 

186,240

 

 

 

V F CORP

 

COM

 

1,600

 

 

 

131,328

 

 

 

VALERO ENERGY CORP

 

COM

 

5,800

 

 

 

296,728

 

 

 

VALLEY NATL BANCORP

 

COM

 

1,053

 

 

 

27,915

 

 

 

VALSPAR CORP

 

COM

 

600

 

 

 

16,584

 

 

 

VCA ANTECH INC

 

COM

 

1,600

 

 

 

51,504

 

 

 

VECTREN CORP

 

COM

 

1,100

 

 

 

31,108

 

 

 

VENTAS INC

 

COM

 

2,000

 

 

 

84,640

 

 

 

VERIFONE HLDGS INC

 

COM

 

600

 

 

 

21,240

 

 

 

VERISIGN INC

 

COM

 

5,300

 

 

 

127,465

 

 

 

VERIZON COMMUNICATIONS

 

COM USD 500

 

38,799

 

 

 

1,444,875

 

 

 

VERTEX PHARMACEUTICALS INC

 

COM

 

2,500

 

 

 

93,550

 

 

 

VIACOM INC NEW

 

CL B

 

5,500

 

 

 

225,665

 

 

 

VISHAY INTERTECHNOLOGY INC

 

COM

 

3,200

 

 

 

43,328

 

 

 

VORNADO RLTY TR

 

COM

 

2,700

 

 

 

328,050

 

 

 

VULCAN MATLS CO

 

COM

 

1,900

 

 

 

170,753

 

 

 

WACHOVIA CORP 2ND NEW

 

COM

 

25,066

 

 

 

1,427,509

 

 

 

WAL MART STORES INC

 

COM

 

27,400

 

 

 

1,265,332

 

 

 

WALGREEN CO

 

COM

 

10,000

 

 

 

458,900

 

 

 

WALTER INDS INC

 

COM

 

900

 

 

 

24,345

 

 

 

WARNER MUSIC GROUP CORP

 

COM

 

1,800

 

 

 

41,310

 

 

 

WASHINGTON MUT INC

 

COM

 

12,250

 

 

 

557,253

 

 

 

WASHINGTON POST CO

 

CL B

 

10

 

 

 

7,456

 

 

 

WASTE MGMT INC DEL

 

COM

 

3,400

 

 

 

125,018

 

 

 

WEINGARTEN RLTY INVS

 

SH BEN INT

 

1,250

 

 

 

57,638

 

 

 

WELLCARE HEALTH PLANS INC

 

COM

 

700

 

 

 

48,230

 

 

 

WELLPOINT INC

 

COM

 

6,100

 

 

 

480,009

 

 

 

WELLS FARGO + CO NEW

 

COM

 

49,554

 

 

 

1,762,140

 

 

 

WENDYS INTL INC

 

COM

 

2,300

 

 

 

76,107

 

 

 

WESCO INTL INC

 

COM

 

900

 

 

 

52,929

 

 

 

WESTERN UN CO

 

COM

 

6,400

 

 

 

143,488

 

 

 

WEYERHAEUSER CO

 

COM

 

5,200

 

 

 

367,380

 

 

 

WHIRLPOOL CORP

 

COM

 

1,400

 

 

 

116,228

 

 

 

WHITNEY HLDG CORP

 

COM

 

550

 

 

 

17,941

 

 

 

WHOLE FOODS MKT INC

 

COM

 

500

 

 

 

23,465

 

 

 

WILLIAMS COS INC

 

COM

 

2,900

 

 

 

75,748

 

 

 

WILMINGTON TR CORP

 

COM

 

500

 

 

 

21,085

 

 

 

WINDSTREAM CORP

 

COM

 

5,652

 

 

 

80,371

 

 

 

WPS RES CORP

 

COM

 

200

 

 

 

10,806

 

 

 

WRIGLEY WM JR CO

 

COM

 

850

 

 

 

43,962

 

 

 

WYETH

 

COM

 

13,400

 

 

 

682,328

 

 

 

WYNDHAM WORLDWIDE CORP

 

COM

 

1,660

 

 

 

53,153

 

 

 

WYNN RESORTS LTD

 

COM

 

900

 

 

 

84,465

 

 

 

XCEL ENERGY INC

 

COM

 

7,120

 

 

 

164,187

 

 

 

XEROX CORP

 

COM

 

7,700

 

 

 

130,515

 

 

 

XILINX INC

 

COM

 

2,800

 

 

 

66,668

 

 

 

XM SATELLITE RADIO HLDGS INC

 

CL A

 

1,400

 

 

 

20,230

 

 

 

XTO ENERGY INC

 

COM

 

2,100

 

 

 

98,805

 

 

 

YAHOO INC

 

COM

 

18,300

 

 

 

467,382

 

 

 

YRC WORLDWIDE INC

 

COM

 

400

 

 

 

15,092

 

 

 

YUM BRANDS INC

 

COM

 

1,200

 

 

 

70,560

 

 

 

ZIMMER HOLDINGS INC

 

COM

 

2,100

 

 

 

164,598

 

 

 

Unsettled Transactions

 

 

 

 

 

 

 

(156,515

)

 

 

 

 

Total :

 

 

 

 

 

$   159,198,802

 

 

 

n / a  — Cost is not applicable

 

 

 

 

 

 

 

 

 

 

 

 

 



EXHIBIT G - PIMCO High Yield and Emerging Markets Bond Fund 

(Managed by Pacific Management Investment Company)

IBM SAVINGS PLAN AT DECEMBER 31, 2006

Schedule H, line 4i-Schedule of Assets  (Held At End of Year)

(a)

 

(b) Identity of issue, borrower,
lessor, or similar party

 

(c) Description of investment including maturity date,
rate of interest, collateral, par, or maturity

 

(d) Cost

 

(e) Fair
value

 

 

 

 

 

 

 

 

 

 

 

(n/a)

 

 

 

 

 

 

 

 

 

 

 

Shares/Par Value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ARGENTINA

 

1% 03 Aug 2012

 

ARGENTINA

 

610,000

 

 

 

$    445,910

 

 

 

ARGENTINA (REP OF)

 

2% 30 Sep 2014

 

ARGENTINA

 

3,600,000

 

 

 

1,292,947

 

 

BHP FINANCE

 

6.75% 01 Nov 2013

 

AUSTRALIA

 

100,000

 

 

 

107,326

 

 

 

INTELSAT SUBSIDIARY HLDG CO

 

8.625% 15 Jan 2015

 

BERMUDA

 

1,000,000

 

 

 

1,040,000

 

 

BRAZIL FEDERATIVE REP

 

10.5% 14 Jul 2014

 

BRAZIL

 

—

 

 

 

—

 

 

 

BRAZIL FEDERATIVE REP

 

11% 11 Jan 2012

 

BRAZIL

 

1,000,000

 

 

 

1,230,000

 

 

BRAZIL FEDERATIVE REP

 

8.25% 20 Jan 2034

 

BRAZIL

 

890,000

 

 

 

1,079,125

 

 

 

BRAZIL FEDERATIVE REP

 

8.875% 14 Oct 2019

 

BRAZIL

 

1,000,000

 

 

 

1,220,000

 

 

BRAZIL FERERATIVE REP

 

11% 17 Aug 2040

 

BRAZIL

 

2,000,000

 

 

 

2,650,000

 

 

 

BRAZIL FERERATIVE REP

 

8.875% 15 Apr 2024

 

BRAZIL

 

1,075,000

 

 

 

1,339,450

 

 

BRAZIL(FED REP)

 

12.5% 05 Jan 2022

 

BRAZIL

 

250,000

 

 

 

133,587

 

 

 

SWP002637 PIMCO     IRS REC

 

12.78% 04 Jan 2010

 

BRAZIL

 

2,000,000

 

 

 

944,180

 

 

SWP019003 PIMCO     IRS REC

 

15.16% 02 Jan 2009

 

BRAZIL

 

700,000

 

 

 

341,893

 

 

 

SWP019011 PIMCO     IRS REC

 

15.12% 02 Jan 2009

 

BRAZIL

 

700,000

 

 

 

341,656

 

 

SWP019177 PIMCO     IRS REC

 

15.06% 02 Jan 2009

 

BRAZIL

 

600,000

 

 

 

292,553

 

 

 

SWP085723 PIMCO     IRS REC

 

14.28% 04 Jan 2010

 

BRAZIL

 

1,200,000

 

 

 

583,003

 

 

SWP095151 PIMCO     IRS REC

 

14.36% 04 Jan 2010

 

BRAZIL

 

1,200,000

 

 

 

583,509

 

 

 

ABITIBI CONSOLIDATED CO CDA

 

7.75% 15 Jun 2011

 

CANADA

 

400,000

 

 

 

359,000

 

 

CANADA GOVT

 

4.5% 01 Jun 2015

 

CANADA

 

300,000

 

 

 

265,383

 

 

 

CDA INC/CAN WEST MEDIA

 

8% 15 Sep 2012

 

CANADA

 

300,000

 

 

 

313,125

 

 

CELESTICA INC

 

7.625% 01 Jul 2013

 

CANADA

 

300,000

 

 

 

292,500

 

 

 

NORAMPAC INC

 

6.75% 01 Jun 2013

 

CANADA

 

250,000

 

 

 

243,125

 

 

NORTEL NETWORKS LTD

 

10.125% 15 Jul 2013

 

CANADA

 

400,000

 

 

 

432,000

 

 

 

NORTEL NETWORKS LTD

 

10.75% 15 Jul 2016

 

CANADA

 

100,000

 

 

 

109,375

 

 

NOVELIS INC

 

7.25% 15 Feb 2015

 

CANADA

 

400,000

 

 

 

387,000

 

 

 

OPTI CANADA INC

 

8.25% 15 Dec 2014

 

CANADA

 

200,000

 

 

 

204,500

 

 

ROGERS WIRELESS INC

 

7.5% 15 Mar 2015

 

CANADA

 

600,000

 

 

 

651,000

 

 

 

EMBRAER OVERSEAS LTD

 

6.375% 24 Jan 2017

 

CAYMAN ISLANDS

 

100,000

 

 

 

100,000

 

 

SOLECTRON GLOBAL FIN LTD

 

8% 15 Mar 2016

 

CAYMAN ISLANDS

 

200,000

 

 

 

202,500

 

 

 

TRANSOCEAN INC

 

5.4% 05 Sep 2008

 

CAYMAN ISLANDS

 

100,000

 

 

 

100,060

 

 

VALE OVERSEAS LTD

 

6.25% 11 Jan 2016

 

CAYMAN ISLANDS

 

200,000

 

 

 

201,944

 

 

 

VALE OVERSEAS LTD

 

6.25% 23 Jan 2017

 

CAYMAN ISLANDS

 

100,000

 

 

 

100,455

 

 

VALE OVERSEAS LTD

 

6.875%  21 Nov 2036

 

CAYMAN ISLANDS

 

100,000

 

 

 

102,565

 

 

 

CORPORACION NACIONAL DEL COBRE

 

6.15% 24 Oct 2036

 

CHILE

 

100,000

 

 

 

102,412

 

 

ENERSIS S A

 

7.4% 01 Dec 2016

 

CHILE

 

100,000

 

 

 

109,879

 

 

 

COLOMBIA REP

 

8.25% 22 Dec 2014

 

COLOMBIA

 

1,400,000

 

 

 

1,589,000

 

 

COLUMBIA REP

 

7.375% 18 Sep 2037

 

COLOMBIA

 

200,000

 

 

 

214,700

 

 

 

A.O. SIBERIAN OIL CO

 

11.5% 13 Feb 2007

 

GERMANY

 

100,000

 

 

 

101,054

 

 

GAZPROM

 

9.625% 01 Mar 2013

 

GERMANY

 

1,930,000

 

 

 

2,315,132

 

 

 

SWPC93754 PIMCO     CDS REC

 

0.325%  20 Sep 2011

 

GERMANY

 

200,000

 

 

 

264,409

 

 

SWPC93762 PIMCO     CDS REC

 

0.52% 20 Sep 2011

 

GERMANY

 

200,000

 

 

 

263,730

 

 

 

SWPC93770 PIMCO     CDS REC

 

0.33% 20 Sep 2011

 

GERMANY

 

200,000

 

 

 

264,466

 

 

SWPC93788 PIMCO     CDS REC

 

0.525%  20 Sep 2011

 

GERMANY

 

200,000

 

 

 

263,730

 

 

 

SWP085798 PIMCO     IRS REC

 

1% 27 Sep 2016

 

HUNGARY

 

50,000,000

 

 

 

262,267

 

 

SWP087737 PIMCO     IRS REC

 

1% 27 Sep 2016

 

HUNGARY

 

50,000,000

 

 

 

262,267

 

 

 

INDONESIA REP

 

6.875% 09 Mar 2017

 

INDONESIA

 

300,000

 

 

 

318,750

 

 

MDP ACQUISITIONS PLC

 

9.625%  01 Oct 2012

 

IRELAND

 

1,350,000

 

 

 

1,431,000

 

 

 

KOREA DEV BK

 

4.75% 20 Jul 2009

 

KOREA, REPUBLIC OF

 

300,000

 

 

 

296,159

 

 

ROYAL CARIBBEAN CRUISES LTD

 

7.25% 15 Mar 2018

 

LIBERIA

 

200,000

 

 

 

202,137

 

 

 

GAZ CAP SA LUXEMBOURG

 

6.212% 22 Nov 2016

 

LUXEMBOURG

 

500,000

 

 

 

503,500

 

 

LIGHTHOUSE INTERNATIONAL CO SA

 

8% 30 Apr 2014

 

LUXEMBOURG

 

100,000

 

 

 

144,887

 

 

 

LIGHTHOUSE INTL CO SA

 

8% 30 Apr 2014

 

LUXEMBOURG

 

500,000

 

 

 

724,038

 

 

MOBILE TELESYSTEMS FIN S A

 

8.375% 14 Oct 2010

 

LUXEMBOURG

 

500,000

 

 

 

528,750

 

 

 

RSHB CAP S A

 

7.175% 16 May 2013

 

LUXEMBOURG

 

300,000

 

 

 

316,125

 

 

TNK BP FINANCE SA

 

7.5% 18 Jul 2016

 

LUXEMBOURG

 

400,000

 

 

 

427,960

 

 

 

AMERICA MOVIL S A DE C V

 

5.5% 01 Mar 2014

 

MEXICO

 

50,000

 

 

 

48,876

 

 

AMERICA MOVIL S A DE C V

 

5.75% 15 Jan 2015

 

MEXICO

 

700,000

 

 

 

692,556

 

 

 

DESARROLLADORA HOMEX

 

7.5% 28 Sep 2015

 

MEXICO

 

200,000

 

 

 

204,000

 

 

MEXICO(UTD MEX ST)

 

8% 17 Dec 2015

 

MEXICO

 

700,000

 

 

 

66,985

 

 

 

SWP085749 PIMCO     IRS REC

 

8.865% 12 Sep 2016

 

MEXICO

 

14,000,000

 

 

 

1,382,858

 

 

SWP094766 PIMCO     IRS REC

 

8.72% 05 Sep 2016

 

MEXICO

 

16,000,000

 

 

 

1,565,609

 

 

 

SWP096142 PIMCO     IRS REC

 

8.41% 17 Apr 2009

 

MEXICO

 

4,800,000

 

 

 

453,170

 

 

TELEFONOS DE MEXICO

 

8.75% 31 Jan 2016

 

MEXICO

 

5,000,000

 

 

 

479,131

 

 

 

TELOFONOS DE MEXICO SA

 

5.5% 27 Jan 2015

 

MEXICO

 

100,000

 

 

 

97,346

 

 

UNITED MEXICAN STS MTN

 

8.3% 15 Aug 2031

 

MEXICO

 

1,100,000

 

 

 

1,406,350

 

 

 

INTERGAS FINANCE B V

 

6.875% 04 Nov 2011

 

NETHERLANDS

 

100,000

 

 

 

103,382

 

 

MAJAPAHIT HLDG B V

 

7.25% 17 Oct 2011

 

NETHERLANDS

 

700,000

 

 

 

721,000

 

 

 

MAJAPAHIT HLDG B V

 

7.75% 17 Oct 2016

 

NETHERLANDS

 

100,000

 

 

 

105,875

 

 

SENSATA TECHNOLOGIES B V

 

8% 01 May 2014

 

NETHERLANDS

 

225,000

 

 

 

216,000

 

 

 

AES PANAMA SA

 

6.35% 21 Dec 2016

 

PANAMA

 

200,000

 

 

 

196,270

 

 

MMG FIDUCIARY + TR CORP

 

6.75% 01 Feb 2016

 

PANAMA

 

650,000

 

 

 

646,567

 

 

 

PANAMA REP

 

9.375% 01 Apr 2029

 

PANAMA

 

200,000

 

 

 

267,000

 

 

PANAMA REP

 

9.625% 08 Feb 2011

 

PANAMA

 

1,000,000

 

 

 

1,140,000

 

 

 

PERU REP

 

8.375% 03 May 2016

 

PERU

 

400,000

 

 

 

475,000

 

 

A O SIBERIAN OIL CO

 

10.75% 15 Jan 2009

 

RUSSIAN FEDERATION

 

100,000

 

 

 

110,020

 

 

 

RUSSIAN FEDERATION

 

5% 31 Mar 2030

 

RUSSIAN FEDERATION

 

3,600,000

 

 

 

4,076,280

 

 

STH AFRICA (REP)

 

5.25% 16 May 2013

 

SOUTH AFRICA

 

500,000

 

 

 

682,237

 

 



 

 

BANQUE CENTRALE DE TUNISIE

 

7.375% 25 Apr 2012

 

TUNISIA

 

500,000

 

 

 

541,500

 

 

 

UKRAINE REPUBLIC

 

7.65% 11 Jun 2013

 

UKRAINE

 

1,000,000

 

 

 

1,083,600

 

 

INEOS GROUP HLDGS PLC

 

8.5% 15 Feb 2016

 

UNITED KINGDOM

 

400,000

 

 

 

382,000

 

 

 

SWP087794 PIMCO     IRS REC

 

1% 15 Dec 2035

 

UNITED KINGDOM

 

1,100,000

 

 

 

2,154,519

 

 

SWP099948 PIMCO     IRS REC

 

1% 15 Dec 2035

 

UNITED KINGDOM

 

1,200,000

 

 

 

2,350,384

 

 

 

AES CORP

 

8.75% 15 May 2013

 

UNITED STATES

 

625,000

 

 

 

669,531

 

 

AES RED OAK LLC

 

9.2% 30 Nov 2029

 

UNITED STATES

 

300,000

 

 

 

338,250

 

 

 

ALBERTSONS INC

 

7.75% 15 Jun 2026

 

UNITED STATES

 

200,000

 

 

 

199,488

 

 

ALLIED WASTE NORTH AMER INC

 

7.875% 15 Apr 2013

 

UNITED STATES

 

1,000,000

 

 

 

1,031,250

 

 

 

AMERICAN GREETINGS CORP

 

7.375% 01 Jun 2016

 

UNITED STATES

 

350,000

 

 

 

359,625

 

 

AMERIGAS PARTNERS L P

 

7.25% 20 May 2015

 

UNITED STATES

 

1,000,000

 

 

 

1,012,500

 

 

 

ARVINMERITOR INC

 

8.75% 01 Mar 2012

 

UNITED STATES

 

575,000

 

 

 

590,813

 

 

BALL CORP

 

6.625% 15 Mar 2018

 

UNITED STATES

 

200,000

 

 

 

199,000

 

 

 

BCP CRYSTAL U S HLDGS CORP

 

9.625% 15 Jun 2014

 

UNITED STATES

 

500,000

 

 

 

552,500

 

 

BHP BILLITON FIN USA LTD

 

5.25% 15 Dec 2015

 

UNITED STATES

 

400,000

 

 

 

393,635

 

 

 

BOMBARDIER INC

 

8% 15 Nov 2014

 

UNITED STATES

 

900,000

 

 

 

922,500

 

 

BON TON DEPT STORES INC

 

10.25% 15 Mar 2014

 

UNITED STATES

 

200,000

 

 

 

204,500

 

 

 

BOWATER CDA FIN CORP

 

7.95% 15 Nov 2011

 

UNITED STATES

 

500,000

 

 

 

490,000

 

 

BOYD GAMING CORP

 

7.125% 01 Feb 2016

 

UNITED STATES

 

150,000

 

 

 

149,250

 

 

 

BUHRMANN US INC

 

7.875% 01 Mar 2015

 

UNITED STATES

 

300,000

 

 

 

292,500

 

 

CCO HLDGS LLC

 

8.75% 15 Nov 2013

 

UNITED STATES

 

1,000,000

 

 

 

1,038,750

 

 

 

CHART INDS INC

 

9.125% 15 Oct 2015

 

UNITED STATES

 

100,000

 

 

 

105,500

 

 

CHARTER COMMUNICATIONS OPER LL

 

8% 30 Apr 2012

 

UNITED STATES

 

800,000

 

 

 

831,000

 

 

 

CHESAPEAKE ENERGY

 

6.25% 15 Jan 2017

 

UNITED STATES

 

150,000

 

 

 

203,237

 

 

CHESAPEAKE ENERGY CORP

 

6.375% 15 Jun 2015

 

UNITED STATES

 

300,000

 

 

 

297,000

 

 

 

CHESAPEAKE ENERGY CORP

 

6.875% 15 Jan 2016

 

UNITED STATES

 

300,000

 

 

 

302,625

 

 

CHUKCHANSI ECONOMIC DEV AUTH

 

8% 15 Nov 2013

 

UNITED STATES

 

225,000

 

 

 

233,719

 

 

 

CINCINNATI BELL INC NEW

 

8.375% 15 Jan 2014

 

UNITED STATES

 

1,100,000

 

 

 

1,130,250

 

 

CITIZENS COMMUNICATIONS CO

 

6.25% 15 Jan 2013

 

UNITED STATES

 

450,000

 

 

 

441,563

 

 

 

CMS ENERGY CORP

 

6.875% 15 Dec 2015

 

UNITED STATES

 

700,000

 

 

 

722,750

 

 

CMS ENERGY CORP

 

8.5% 15 Apr 2011

 

UNITED STATES

 

50,000

 

 

 

54,375

 

 

 

COMPLETE PRODTN SVCS INC

 

8% 15 Dec 2016

 

UNITED STATES

 

80,000

 

 

 

82,000

 

 

CRICKET COMMUNICATION INC

 

9.375% 01 Nov 2014

 

UNITED STATES

 

200,000

 

 

 

211,000

 

 

 

CROWN AMERS LLC + CAP CORP

 

7.75% 15 Nov 2015

 

UNITED STATES

 

600,000

 

 

 

622,500

 

 

CSC HLDGS INC

 

7.625% 01 Apr 2011

 

UNITED STATES

 

900,000

 

 

 

916,875

 

 

 

DAVITA INC

 

7.25% 15 Mar 2015

 

UNITED STATES

 

700,000

 

 

 

714,000

 

 

DELHAIZE AMER INC

 

9% 15 Apr 2031

 

UNITED STATES

 

750,000

 

 

 

890,479

 

 

 

DEX MEDIA WEST LLC

 

9.875% 15 Aug 2013

 

UNITED STATES

 

500,000

 

 

 

545,000

 

 

DIRECTV HLDGS LLC

 

6.375% 15 Jun 2015

 

UNITED STATES

 

300,000

 

 

 

287,625

 

 

 

DIRECTV HLDGS LLC

 

8.375% 15 Mar 2013

 

UNITED STATES

 

200,000

 

 

 

208,000

 

 

DRS TECHNOLOGIES INC

 

7.625% 01 Feb 2018

 

UNITED STATES

 

500,000

 

 

 

515,000

 

 

 

DYNEGY HLDGS INC

 

8.375% 01 May 2016

 

UNITED STATES

 

700,000

 

 

 

735,000

 

 

EASTMAN KODAK CO

 

1% 17 Oct 2012

 

UNITED STATES

 

1,000,000

 

 

 

1,004,183

 

 

 

EASTMAN KODAK CO

 

3.625% 15 May 2008

 

UNITED STATES

 

167,923

 

 

 

168,625

 

 

EASTMAN KODAK COMPANY

 

1% 18 Oct 2012

 

UNITED STATES

 

577,693

 

 

 

580,109

 

 

 

ECHOSTAR DBS CORP

 

7.125% 01 Feb 2016

 

UNITED STATES

 

1,250,000

 

 

 

1,250,000

 

 

EDUCATION MGMT LLC

 

10.25% 01 Jun 2016

 

UNITED STATES

 

200,000

 

 

 

211,500

 

 

 

EL PASO ENERGY

 

7.375% 15 Dec 2012

 

UNITED STATES

 

600,000

 

 

 

631,500

 

 

EL PASO ENERGY CORP

 

8.05% 15 Oct 2030

 

UNITED STATES

 

500,000

 

 

 

555,000

 

 

 

EL PASO PERFORMANCE LINKED TR

 

7.75% 15 Jul 2011

 

UNITED STATES

 

300,000

 

 

 

317,250

 

 

EL PASO PRODTN HLDG CO

 

7.75% 01 Jun 2013

 

UNITED STATES

 

1,000,000

 

 

 

1,046,250

 

 

 

EMERGING MKT LOCAL CUR

 

 

 

UNITED STATES

 

269,131

 

 

 

3,065,399

 

 

EQUISTAR CHEMICALS LP

 

10.125% 01 Sep 2008

 

UNITED STATES

 

300,000

 

 

 

318,750

 

 

 

EURODOLLAR FUTURES

 

8-Mar-07

 

UNITED STATES

 

5,000,000

 

 

 

—

 

 

EURODOLLAR FUTURES

 

7-Jun-07

 

UNITED STATES

 

30,000,000

 

 

 

—

 

 

 

EURODOLLAR FUTURES

 

8-Jun-07

 

UNITED STATES

 

5,000,000

 

 

 

—

 

 

EURODOLLAR FUTURES

 

7-Sep-07

 

UNITED STATES

 

5,000,000

 

 

 

—

 

 

 

EURODOLLAR FUTURES

 

8-Sep-07

 

UNITED STATES

 

2,500,000

 

 

 

—

 

 

EURODOLLAR FUTURES

 

7-Dec-07

 

UNITED STATES

 

5,000,000

 

 

 

—

 

 

 

FERRELLGAS PARTNER LP

 

8.75% 15 Jun 2012

 

UNITED STATES

 

750,000

 

 

 

768,750

 

 

FORD MTR CR CO

 

7% 01 Oct 2013

 

UNITED STATES

 

3,250,000

 

 

 

3,103,688

 

 

 

FORD MTR CR CO

 

7.25% 25 Oct 2011

 

UNITED STATES

 

400,000

 

 

 

391,709

 

 

FORD MTR CR CO

 

8% 15 Dec 2016

 

UNITED STATES

 

150,000

 

 

 

148,223

 

 

 

FREESCALE SEMICONDUCTOR INC

 

9.875% 15 Dec 2014

 

UNITED STATES

 

400,000

 

 

 

397,500

 

 

FRESENIUS MED CARE CAP TR IV

 

7.875% 15 Jun 2011

 

UNITED STATES

 

600,000

 

 

 

628,500

 

 

 

GAYLORD ENTMT CO NEW

 

8% 15 Nov 2013

 

UNITED STATES

 

450,000

 

 

 

466,875

 

 

GENERAL MTRS ACCEP CORP

 

7% 01 Feb 2012

 

UNITED STATES

 

1,100,000

 

 

 

1,134,848

 

 

 

GENERAL MTRS ACCEP CORP

 

8% 01 Nov 2031

 

UNITED STATES

 

1,300,000

 

 

 

1,492,488

 

 

GENERAL MTRS CORP

 

8.25% 15 Jul 2023

 

UNITED STATES

 

300,000

 

 

 

279,000

 

 

 

GEORGIA PAC CORP

 

7.25% 01 Jun 2028

 

UNITED STATES

 

750,000

 

 

 

727,500

 

 

GEORGIA PAC CORP

 

7.75% 15 Nov 2029

 

UNITED STATES

 

1,000,000

 

 

 

997,500

 

 

 

GOODYEAR TIRE + RUBR CO

 

8.625% 01 Dec 2011

 

UNITED STATES

 

300,000

 

 

 

309,750

 

 

HAWAIIAN TELCOM COMMUNICATIONS

 

9.75% 01 May 2013

 

UNITED STATES

 

375,000

 

 

 

375,938

 

 

 

HBOS TREAS SVCS PLC

 

5.245% 30 Jan 2007

 

UNITED STATES

 

500,000

 

 

 

497,887

 

 

HCA INC

 

6.75% 15 Jul 2013

 

UNITED STATES

 

750,000

 

 

 

673,125

 

 

 

HCA INC

 

9.25% 15 Nov 2016

 

UNITED STATES

 

1,100,000

 

 

 

1,178,375

 

 

HCA INC

 

9.625% 15 Nov 2016

 

UNITED STATES

 

550,000

 

 

 

591,250

 

 

 

HERBST GAMING INC

 

7% 15 Nov 2014

 

UNITED STATES

 

200,000

 

 

 

191,000

 

 

HERTZ CORP

 

8.875% 01 Jan 2014

 

UNITED STATES

 

200,000

 

 

 

209,500

 

 

 

HIPOTECARIA SU CASITA SA DE CV

 

8.5% 04 Oct 2016

 

UNITED STATES

 

200,000

 

 

 

210,500

 

 

HOST MARRIOTT L P

 

6.375% 15 Mar 2015

 

UNITED STATES

 

300,000

 

 

 

295,875

 

 

 

HOST MARRIOTT LP

 

7.125% 01 Nov 2013

 

UNITED STATES

 

350,000

 

 

 

357,875

 

 

IDEARC INC

 

8% 15 Nov 2016

 

UNITED STATES

 

300,000

 

 

 

304,500

 

 

 

INGLES MKTS INC

 

8.875% 01 Dec 2011

 

UNITED STATES

 

350,000

 

 

 

364,875

 

 

JEFFERSON SMURFIT CORP U S

 

7.5% 01 Jun 2013

 

UNITED STATES

 

500,000

 

 

 

470,000

 

 

 

JEFFERSON SMURFIT CORP US

 

8.25% 01 Oct 2012

 

UNITED STATES

 

28,000

 

 

 

27,300

 

 

KRATON POLYMERS LLC

 

8.125% 15 Jan 2014

 

UNITED STATES

 

300,000

 

 

 

300,000

 

 

 

L 3 COMMUNICATIONS CORP

 

6.375% 15 Oct 2015

 

UNITED STATES

 

550,000

 

 

 

544,500

 

 

LYONDELL CHEMICAL CO

 

8% 15 Sep 2014

 

UNITED STATES

 

100,000

 

 

 

103,750

 

 

 

METROPCS WIRELESS INC

 

9.25% 01 Nov 2014

 

UNITED STATES

 

200,000

 

 

 

209,000

 

 

MGM MIRAGE

 

8.375% 01 Feb 2011

 

UNITED STATES

 

922,000

 

 

 

956,575

 

 

 

MIDWEST GENERATION LLC

 

8.75% 01 May 2034

 

UNITED STATES

 

1,750,000

 

 

 

1,898,750

 

 

NALCO CO

 

8.875% 15 Nov 2013

 

UNITED STATES

 

400,000

 

 

 

423,500

 

 



 

 

NORDIC TEL CO HLDG APS

 

8.875% 01 May 2016

 

UNITED STATES

 

300,000

 

 

 

321,000

 

 

 

NRG ENERGY

 

7.375% 01 Feb 2016

 

UNITED STATES

 

670,000

 

 

 

673,350

 

 

NRG ENERGY INC

 

7.25% 01 Feb 2014

 

UNITED STATES

 

140,000

 

 

 

141,050

 

 

 

OWENS BROCKWAY GLASS CONTAINER

 

6.75% 01 Dec 2014

 

UNITED STATES

 

500,000

 

 

 

485,000

 

 

OWENS BROCKWAY GLASS CONTAINER

 

8.75% 15 Nov 2012

 

UNITED STATES

 

300,000

 

 

 

318,000

 

 

 

PEABODY ENERGY CORP

 

6.875% 15 Mar 2013

 

UNITED STATES

 

300,000

 

 

 

307,500

 

 

PEABODY ENERGY CORP

 

7.375% 01 Nov 2016

 

UNITED STATES

 

400,000

 

 

 

426,000

 

 

 

PEMEX PROJ FDG MASTER TR

 

6.625% 15 Jun 2035

 

UNITED STATES

 

1,400,000

 

 

 

1,432,200

 

 

PRIMEDIA INC

 

8.875% 15 May 2011

 

UNITED STATES

 

200,000

 

 

 

204,000

 

 

 

PSEG ENERGY HLDGS INC

 

8.5% 15 Jun 2011

 

UNITED STATES

 

500,000

 

 

 

537,500

 

 

QUIKSILVER INC

 

6.875% 15 Apr 2015

 

UNITED STATES

 

540,000

 

 

 

530,550

 

 

 

QWEST COMMUNICATIONS INTL INC

 

7.25% 15 Feb 2011

 

UNITED STATES

 

1,000,000

 

 

 

1,022,500

 

 

QWEST COMMUNICATIONS INTL INC

 

7.5% 15 Feb 2014

 

UNITED STATES

 

100,000

 

 

 

103,000

 

 

 

QWEST COMMUNICATIONS INTL INC

 

7.5% 15 Feb 2014

 

UNITED STATES

 

1,300,000

 

 

 

1,339,000

 

 

QWEST CORP

 

7.625% 15 Jun 2015

 

UNITED STATES

 

450,000

 

 

 

481,500

 

 

 

R H DONNELLEY CORP

 

6.875% 15 Jan 2013

 

UNITED STATES

 

1,000,000

 

 

 

958,750

 

 

RELIANT ENERGY INC

 

6.75% 15 Dec 2014

 

UNITED STATES

 

1,050,000

 

 

 

1,026,375

 

 

 

REPUBLICA ORIENTAL DEL URUGUAY

 

7.625% 21 Mar 2036

 

UNITED STATES

 

100,000

 

 

 

110,000

 

 

REYNOLDS

 

1% 31 May 2012

 

UNITED STATES

 

1,997,500

 

 

 

2,013,418

 

 

 

REYNOLDS AMERICAN

 

4% 31 May 2012

 

UNITED STATES

 

997,500

 

 

 

1,005,449

 

 

REYNOLDS AMERICAN INC

 

7.3125% 11 May 2012

 

UNITED STATES

 

997,500

 

 

 

1,005,449

 

 

 

REYNOLDS AMERN INC

 

7.625% 01 Jun 2016

 

UNITED STATES

 

600,000

 

 

 

635,720

 

 

ROTECH HEALTHCARE INC

 

9.5% 01 Apr 2012

 

UNITED STATES

 

150,000

 

 

 

147,000

 

 

 

ROUNDYS

 

8.44% 03 Jun 2009

 

UNITED STATES

 

992,500

 

 

 

1,002,673

 

 

RURAL CELLULAR CORP

 

8.25% 15 Mar 2012

 

UNITED STATES

 

200,000

 

 

 

208,250

 

 

 

SALLY HLDGS LLC

 

10.5% 15 Nov 2016

 

UNITED STATES

 

200,000

 

 

 

204,000

 

 

SANMINA SCI CORP

 

8.125% 01 Mar 2016

 

UNITED STATES

 

500,000

 

 

 

483,750

 

 

 

SEMGROUP L P/SEMGROUP FIN CORP

 

8.75% 15 Nov 2015

 

UNITED STATES

 

275,000

 

 

 

276,375

 

 

SENECA GAMING CORP

 

7.25% 01 May 2012

 

UNITED STATES

 

150,000

 

 

 

152,625

 

 

 

SERVICE CORP INTL

 

7.375% 01 Oct 2014

 

UNITED STATES

 

50,000

 

 

 

52,250

 

 

SERVICE CORP INTL

 

7.625% 01 Oct 2018

 

UNITED STATES

 

50,000

 

 

 

53,000

 

 

 

SIERRA PAC PWR CO

 

6% 15 May 2016

 

UNITED STATES

 

200,000

 

 

 

200,436

 

 

SPINTAB SWEDMORTGAGE AB

 

5.25% 30 Jan 2007

 

UNITED STATES

 

3,000,000

 

 

 

2,987,313

 

 

 

STATION CASINOS INC

 

6.5% 01 Feb 2014

 

UNITED STATES

 

200,000

 

 

 

177,750

 

 

STONE CONTAINER CORP

 

8.375% 01 Jul 2012

 

UNITED STATES

 

350,000

 

 

 

343,000

 

 

 

SUBURBAN PROPANE PARTNERS LP

 

6.875% 15 Dec 2013

 

UNITED STATES

 

250,000

 

 

 

245,000

 

 

SUNGUARD DATA SYS INC

 

9.125% 15 Aug 2013

 

UNITED STATES

 

400,000

 

 

 

420,000

 

 

 

SUPERVALU INC

 

7.5% 15 Nov 2014

 

UNITED STATES

 

400,000

 

 

 

417,081

 

 

SWPC41027 PIMCO     CDS REC

 

0.75% 20 Apr 2011

 

UNITED STATES

 

600,000

 

 

 

609,017

 

 

 

SWPC46752 PIMCO     CDS REC

 

1% 20 Jun 2015

 

UNITED STATES

 

800,000

 

 

 

800,000

 

 

SWPC53030 PIMCO     CDS REC

 

1% 20 Jun 2011

 

UNITED STATES

 

600,000

 

 

 

600,000

 

 

 

SWPC75249 PIMCO     CDS REC

 

1% 20 Jun 2016

 

UNITED STATES

 

2,400,000

 

 

 

2,400,000

 

 

SWPC76007 PIMCO     CDS REC

 

1.85% 20 Jun 2011

 

UNITED STATES

 

400,000

 

 

 

415,453

 

 

 

SWPC76015 PIMCO     CDS REC

 

1.85% 20 Jun 2011

 

UNITED STATES

 

2,400,000

 

 

 

2,492,716

 

 

SWPC83672 PIMCO     CDS REC

 

1.4% 20 Dec 2011

 

UNITED STATES

 

1,000,000

 

 

 

1,011,529

 

 

 

SWPC85263 PIMCO     CDS REC

 

1% 20 Oct 2011

 

UNITED STATES

 

1,200,000

 

 

 

1,410,512

 

 

SWPC86030 PIMCO     CDS REC

 

1.39% 20 Dec 2011

 

UNITED STATES

 

1,000,000

 

 

 

1,009,781

 

 

 

SWPC95908 PIMCO     CDS REC

 

1.96% 20 Oct 2016

 

UNITED STATES

 

500,000

 

 

 

517,995

 

 

SWPC97771 PIMCO     CDS REC

 

1.18% 20 Dec 2007

 

UNITED STATES

 

700,000

 

 

 

705,780

 

 

 

TECO ENERGY INC

 

6.75% 01 May 2015

 

UNITED STATES

 

900,000

 

 

 

940,500

 

 

TENET HEALTHCARE CORP

 

7.375% 01 Feb 2013

 

UNITED STATES

 

550,000

 

 

 

505,313

 

 

 

TENNECO AUTOMOTIVE INC

 

10.25% 15 Jul 2013

 

UNITED STATES

 

800,000

 

 

 

876,000

 

 

TIME WARNER TELECOM HLDGS INC

 

9.25% 15 Feb 2014

 

UNITED STATES

 

600,000

 

 

 

641,250

 

 

 

TRIAD HOSPS INC

 

7% 15 Nov 2013

 

UNITED STATES

 

500,000

 

 

 

503,125

 

 

TRW AUTOMOTIVE ACQUISITION

 

9.375% 15 Feb 2013

 

UNITED STATES

 

600,000

 

 

 

643,500

 

 

 

U S TREAS BONDS FUTURES

 

7-Mar-07

 

UNITED STATES

 

1,800,000

 

 

 

—

 

 

U S WEST COMMUNICATIONS INC

 

7.25% 15 Sep 2025

 

UNITED STATES

 

300,000

 

 

 

308,250

 

 

 

U S WEST COMMUNICATIONS INC

 

7.5% 15 Jun 2023

 

UNITED STATES

 

230,000

 

 

 

231,725

 

 

UBS FIN DEL LLC DISC COML3/A3

 

5.27% 02 Jan 2007

 

UNITED STATES

 

2,200,000

 

 

 

2,199,678

 

 

 

UNIVERSAL CITY FL HLDG CO I

 

8.375% 01 May 2010

 

UNITED STATES

 

400,000

 

 

 

410,000

 

 

VENTAS REALTY LP

 

6.75% 01 Apr 2017

 

UNITED STATES

 

300,000

 

 

 

309,750

 

 

 

VENTAS RLTY LTD PARTNERSHIP

 

6.5% 01 Jun 2016

 

UNITED STATES

 

300,000

 

 

 

307,500

 

 

VERSO PAPER HLDGS LLC PAPR INC

 

9.125% 01 Aug 2014

 

UNITED STATES

 

300,000

 

 

 

312,750

 

 

 

VWR INTL INC

 

6.875% 15 Apr 2012

 

UNITED STATES

 

300,000

 

 

 

301,875

 

 

VWR INTL INC

 

8% 15 Apr 2014

 

UNITED STATES

 

500,000

 

 

 

515,000

 

 

 

WELLS FARGO CAP X

 

1% 15 Dec 2086

 

UNITED STATES

 

100,000

 

 

 

98,009

 

 

WILLIAMS COS INC

 

7.875% 01 Sep 2021

 

UNITED STATES

 

1,500,000

 

 

 

1,608,750

 

 

 

WILLIAMS PARTNERS L P

 

7.25% 01 Feb 2017

 

UNITED STATES

 

100,000

 

 

 

102,000

 

 

WINDSTREAM CORP

 

8.625% 01 Aug 2016

 

UNITED STATES

 

450,000

 

 

 

492,750

 

 

 

WYNN LAS VEGAS LLC

 

6.625% 01 Dec 2014

 

UNITED STATES

 

1,100,000

 

 

 

1,093,125

 

 

XEROX CORP

 

7.625% 15 Jun 2013

 

UNITED STATES

 

—

 

 

 

—

 

 

 

REPUBLIC OF URUGUAY

 

8% 18 Nov 2022

 

URUGUAY

 

793,591

 

 

 

900,726

 

 

VENEZUELA REP

 

9.25% 15 Sep 2027

 

VENEZUELA

 

900,000

 

 

 

1,147,500

 

 

 

SWPC75249 PIMCO       CDS PAY

 

0.65% 20 Jun 2016

 

UNITED STATES

 

(2,400,000

)

 

 

(2,417,099

)

 

SWPC76015 PIMCO       CDS PAY

 

1% 20 Jun 2011

 

UNITED STATES

 

(2,400,000

)

 

 

(2,400,000

)

 

 

SWP099948 PIMCO       IRS PAY

 

4% 15 Dec 2035

 

UNITED KINGDOM

 

(1,200,000

)

 

 

(2,348,580

)

 

SWP087794 PIMCO       IRS PAY

 

4% 15 Dec 2035

 

UNITED KINGDOM

 

(1,100,000

)

 

 

(2,152,865

)

 

 

SWP094766 PIMCO       IRS PAY

 

7.3% 05 Sep 2016

 

MEXICO

 

(16,000,000

)

 

 

(1,477,801

)

 

SWP085749 PIMCO       IRS PAY

 

1% 12 Sep 2016

 

MEXICO

 

(14,000,000

)

 

 

(1,293,076

)

 

 

SWPC85263 PIMCO       CDS PAY

 

5.65% 20 Oct 2011

 

UNITED STATES

 

(1,200,000

)

 

 

(1,200,000

)

 

SWPC83672 PIMCO       CDS PAY

 

1% 20 Dec 2011

 

UNITED STATES

 

(1,000,000

)

 

 

(1,000,000

)

 

 

SWPC86030 PIMCO       CDS PAY

 

1% 20 Dec 2011

 

UNITED STATES

 

(1,000,000

)

 

 

(1,000,000

)

 

SWP002637 PIMCO       IRS PAY

 

1% 04 Jan 2010

 

BRAZIL

 

(2,000,000

)

 

 

(936,768

)

 

 

SWPC46752 PIMCO       CDS PAY

 

0.65% 20 Jun 2015

 

UNITED STATES

 

(800,000

)

 

 

(805,781

)

 

SWPC97771 PIMCO       CDS PAY

 

1% 20 Dec 2007

 

UNITED STATES

 

(700,000

)

 

 

(700,000

)

 

 

SWPC53030 PIMCO       CDS PAY

 

0.55% 20 Jun 2011

 

UNITED STATES

 

(600,000

)

 

 

(606,576

)

 

SWPC41027 PIMCO       CDS PAY

 

1% 20 Apr 2011

 

UNITED STATES

 

(600,000

)

 

 

(600,000

)

 

 

SWP095151 PIMCO       IRS PAY

 

1% 04 Jan 2010

 

BRAZIL

 

(1,200,000

)

 

 

(562,061

)

 

SWP085723 PIMCO       IRS PAY

 

1% 04 Jan 2010

 

BRAZIL

 

(1,200,000

)

 

 

(562,061

)

 

 

SWPC95908 PIMCO       CDS PAY

 

1% 20 Oct 2016

 

UNITED STATES

 

(500,000

)

 

 

(500,000

)

 

SWP096142 PIMCO       IRS PAY

 

7.3175% 17 Apr 2009

 

MEXICO

 

(4,800,000

)

 

 

(443,340

)

 

 

SWPC76007 PIMCO       CDS PAY

 

1% 20 Jun 2011

 

UNITED STATES

 

(400,000

)

 

 

(400,000

)

 



 

 

SWP019003 PIMCO       IRS PAY

 

1% 02 Jan 2009

 

BRAZIL

 

(700,000

)

 

 

(327,869

)

 

 

SWP019011 PIMCO       IRS PAY

 

1% 02 Jan 2009

 

BRAZIL

 

(700,000

)

 

 

(327,869

)

 

SWP019177 PIMCO       IRS PAY

 

1% 02 Jan 2009

 

BRAZIL

 

(600,000

)

 

 

(281,030

)

 

 

SWP085798 PIMCO       IRS PAY

 

7.54% 27 Sep 2016

 

HUNGARY

 

(50,000,000

)

 

 

(276,121

)

 

SWP087737 PIMCO       IRS PAY

 

7.54% 27 Sep 2016

 

HUNGARY

 

(50,000,000

)

 

 

(276,121

)

 

 

SWPC93788 PIMCO       CDS PAY

 

1% 20 Sep 2011

 

GERMANY

 

(200,000

)

 

 

(264,274

)

 

SWPC93762 PIMCO       CDS PAY

 

1% 20 Sep 2011

 

GERMANY

 

(200,000

)

 

 

(264,217

)

 

 

SWPC93754 PIMCO       CDS PAY

 

1% 20 Sep 2011

 

GERMANY

 

(200,000

)

 

 

(263,730

)

 

SWPC93770 PIMCO       CDS PAY

 

1% 20 Sep 2011

 

GERMANY

 

(200,000

)

 

 

(263,730

)

 

 

SWAPTION (317503TK6)

 

JUL .45 CALL

 

UNITED STATES

 

(2,100

)

 

 

(914

)

 

Unsettled Transactions

 

 

 

 

 

 

 

 

 

54,718

 

 

 

 

 

Total :

 

 

 

 

 

 

 

$ 123,889,601

 

 

n / a  - Cost is not applicable



EXHIBIT H - Short-Term Investments

(Managed by JPMorgan Chase Bank N.A.)

IBM SAVINGS PLAN AT DECEMBER 31, 2006

Schedule H, line 4i-Schedule of Assets  (Held At End of Year)

 

 

 

(c) Description of investment including maturity date,

 

 

 

(e) Fair

 

(a)

 

(b) Identity of issue, borrower, lessor, or similar party

 

rate of interest, collateral, par, or maturity value

 

(d) Cost

 

value

 

 

 

 

 

 

 

 

 

 

 

(n / a)

 

 

 

 

 

 

 

Issuer Name

 

 

 

Maturity

 

 

 

 

 

 

 

 

 

Product

 

Coupon%

 

Date

 

 

 

Principal Amt

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ABFC06 OPT2 A3A

 

Asset Backed Security - Floating

 

5.410000

**

01/25/07

 

 

 

$

7,757,014

 

 

 

ABSHE 2006-HE5 A2

 

Asset Backed Security - Floating

 

5.410000

**

01/25/07

 

 

 

12,835,969

 

 

ACCR 2006 2 A1

 

Asset Backed Security - Floating

 

5.390000

**

01/25/07

 

 

 

7,984,922

 

 

 

AEGIS FINANCE LLC

 

Commercial Paper

 

5.335182

 

01/12/07

 

 

 

34,834,800

 

 

AIG MATCH FUNDING CORP

 

Medium Term Note - Floating

 

5.370000

**

01/02/07

 

 

 

25,000,000

 

 

 

ALLSTATE LIFE GLOBAL FUNDING TRUSTS

 

Medium Term Note - Floating

 

5.340000

**

01/29/07

 

 

 

10,000,000

 

 

ALLSTATE LIFE GLOBAL II

 

Medium Term Note - Floating

 

5.330000

**

01/04/07

 

 

 

21,000,000

 

 

 

AMERICAN EXPRESS BANK, FSB

 

Bank Note - Floating Rate

 

5.360000

**

01/18/07

 

 

 

10,000,000

 

 

AMERICAN EXPRESS CREDIT CORP

 

Medium Term Note - Floating

 

5.350000

**

01/16/07

 

 

 

25,000,000

 

 

 

ASIF GLOBAL FUNDING XV

 

Medium Term Note - Floating

 

5.370000

**

01/23/07

 

 

 

15,000,000

 

 

BANCAJA

 

Medium Term Note - Floating

 

5.420000

**

01/10/07

 

 

 

19,000,000

 

 

 

BANCO BILBAO VISCAYA PUERTO RICO

 

Medium Term Note - Floating

 

5.402674

**

03/23/07

 

 

 

8,005,036

 

 

BANK OF AMERICA

 

Bank Note - Floating Rate

 

5.370000

**

01/02/07

 

 

 

20,000,000

 

 

 

BANK OF IRELAND

 

Medium Term Note - Floating

 

5.380188

**

01/02/07

 

 

 

24,997,625

 

 

BANK OF NEW YORK CO, INC

 

Medium Term Note - Floating

 

5.340000

**

01/10/07

 

 

 

10,000,000

 

 

 

BANK OF NEW YORK CO, INC

 

Medium Term Note - Floating

 

5.340000

**

01/10/07

 

 

 

25,000,000

 

 

BARCLAYS LONDON

 

Time Deposit

 

5.430000

 

01/02/07

 

 

 

50,000,000

 

 

 

BAVARIA TRR CORP

 

Commercial Paper

 

5.403242

 

01/02/07

 

 

 

59,991,000

 

 

BEAR STEARNS

 

REPO - U.S. Agency Mortgages

 

5.330000

 

01/02/07

 

 

 

30,064,164

 

 

 

BETA FINANCE INC

 

Medium Term Note - Floating

 

5.370000

**

01/02/07

 

 

 

20,000,000

 

 

BETA FINANCE INC

 

Medium Term Note - Floating

 

5.370000

**

01/02/07

 

 

 

15,000,000

 

 

 

BETA FINANCE INC

 

Medium Term Note - Floating

 

5.375154

**

01/02/07

 

 

 

24,994,037

 

 

BETA FINANCE INC

 

Medium Term Note - Floating

 

5.370230

**

01/02/07

 

 

 

6,998,738

 

 

 

BETA FINANCE INC

 

Medium Term Note - Floating

 

5.375483

**

01/02/07

 

 

 

4,998,561

 

 

BETA FINANCE INC

 

Medium Term Note - Floating

 

5.380475

**

01/02/07

 

 

 

14,995,693

 

 

 

BNP PARIBAS, NY

 

Yankee C/D - Floating

 

5.350000

**

01/02/07

 

 

 

18,000,000

 

 

CANADIAN IMPERIAL BANK NY

 

Yankee C/D - Floating

 

5.330000

**

01/23/07

 

 

 

15,000,000

 

 

 

CBASS 06 CB6A21

 

Asset Backed Security - Floating

 

5.390000

**

01/25/07

 

 

 

9,363,948

 

 

CC USA INC

 

Medium Term Note - Floating

 

5.375154

**

01/02/07

 

 

 

9,997,417

 

 

 

CC USA INC

 

Medium Term Note - Floating

 

5.375483

**

01/02/07

 

 

 

9,997,123

 

 

CHARTA EXT

 

Commercial Paper

 

5.354392

 

01/30/07

 

 

 

29,695,250

 

 

 

CHARTA LLC

 

Commercial Paper

 

5.316698

 

01/08/07

 

 

 

19,824,333

 

 

CIC NY

 

Yankee C/D - Fixed

 

5.330000

 

01/16/07

 

 

 

25,014,615

 

 

 

CIT GROUP HOLDINGS

 

Medium Term Note - Floating

 

5.432500

**

01/02/07

 

 

 

10,000,000

 

 

CITIBANK LONDON

 

Time Deposit

 

5.340000

 

02/02/07

 

 

 

50,000,000

 

 

 

CITIGROUP FUNDING INC

 

Medium Term Note - Floating

 

5.360000

**

01/02/07

 

 

 

10,000,000

 

 

CMLTI 06 NC2 A2A

 

Asset Backed Security - Floating

 

5.390000

**

01/25/07

 

 

 

17,877,938

 

 

 

CMLTI 2006-WFH4 A1

 

Asset Backed Security - Floating

 

5.400000

**

01/25/07

 

 

 

22,127,650

 

 

CONCORD MINUTEMEN C.C.LLC,SER.A

 

Commercial Paper

 

5.315652

 

01/03/07

 

 

 

49,852,778

 

 

 

CONCORD MINUTEMEN C.C.LLC,SER.B

 

Medium Term Note - Fixed

 

5.350000

 

01/10/07

 

 

 

49,999,170

 

 

CREDIT INDUSRIAL ET COMM, LONDON

 

Eurodollar C/D - Fixed

 

5.350000

 

01/26/07

 

 

 

25,000,000

 

 

 

CREDIT INDUSRIAL ET COMM, LONDON

 

Eurodollar C/D - Fixed

 

5.330001

 

01/24/07

 

 

 

48,093,137

 

 

CREDIT SUISSE FIRST BOSTON USA INC.

 

Medium Term Note - Floating

 

5.170193

**

01/02/07

 

 

 

30,038,611

 

 

 

CREDIT SUISSE FIRST BOSTON USA INC.

 

Medium Term Note - Floating

 

5.427453

**

01/02/07

 

 

 

22,029,351

 

 

CREDIT SUISSE FIRST BOSTON USA INC.

 

Medium Term Note - Floating

 

5.427907

**

01/02/07

 

 

 

10,013,231

 

 

 

CROWN POINT CAPITAL COMPANY LLC

 

Commercial Paper

 

5.319055

 

01/18/07

 

 

 

49,538,875

 

 

DEKABANK DEUTSCHE GIROZENTRALE

 

Yankee C/D - Floating

 

5.394380

**

01/19/07

 

 

 

25,000,000

 

 



 

 

DEN NORSKE BANK

 

Time Deposit

 

5.400000 

 

01/02/07

 

 

 

56,000,000

 

 

 

DEUTSCHE BANK FINANCIAL

 

Medium Term Note - Floating

 

5.442500

**

01/02/07

 

 

 

10,000,000

 

 

DEUTSCHE BANK LONDON

 

Time Deposit

 

5.400000 

 

01/02/07

 

 

 

25,000,000

 

 

 

DEUTSCHE BANK LONDON

 

Time Deposit - Floating

 

5.335000

**

01/02/07

 

 

 

25,000,000

 

 

DEUTSCHE BANK N.Y.

 

Yankee C/D - Floating

 

5.407500

**

01/02/07

 

 

 

20,000,000

 

 

 

DORADA FINANCE INC.

 

Medium Term Note - Floating

 

5.375000

**

01/02/07

 

 

 

20,000,000

 

 

DORADA FINANCE INC.

 

Medium Term Note - Floating

 

5.370000

**

01/02/07

 

 

 

32,000,000

 

 

 

DORADA FINANCE INC.

 

Medium Term Note - Floating

 

5.370000

**

01/02/07

 

 

 

7,000,000

 

 

DZ BANK AG NEW YORK

 

Yankee C/D - Fixed

 

5.310000 

 

01/11/07

 

 

 

75,000,000

 

 

 

EBBETS FUNDING LLC

 

Commercial Paper

 

5.342607 

 

01/12/07

 

 

 

64,664,122

 

 

EBBETS FUNDING LLC

 

Commercial Paper

 

5.403242 

 

01/02/07

 

 

 

24,985,000

 

 

 

ERSTE FINANCE DELAWARE LLC

 

Commercial Paper

 

5.335473 

 

01/26/07

 

 

 

49,573,861

 

 

FAIRWAY FINANCE CORP

 

Commercial Paper

 

5.311991 

 

01/10/07

 

 

 

55,679,348

 

 

 

FAIRWAY FINANCE CORP

 

Commercial Paper

 

5.403242 

 

01/02/07

 

 

 

10,114,927

 

 

FENWAY FUNDING LLC

 

Commercial Paper

 

5.380634 

 

01/23/07

 

 

 

9,868,725

 

 

 

FENWAY FUNDING LLC

 

Commercial Paper

 

5.348958 

 

01/16/07

 

 

 

9,936,515

 

 

FENWAY FUNDING LLC

 

Commercial Paper

 

5.359806 

 

02/16/07

 

 

 

26,706,502

 

 

 

FENWAY FUNDING LLC

 

Commercial Paper

 

5.403242 

 

01/02/07

 

 

 

9,994,000

 

 

FFML06 FF11 2A1

 

Asset Backed Security - Floating

 

5.390000

**

01/25/07

 

 

 

4,491,123

 

 

 

FFMLT06 FF13A2A

 

Asset Backed Security - Floating

 

5.410000

**

01/25/07

 

 

 

18,195,906

 

 

FIFTH THIRD BANCORP

 

Medium Term Note - Floating

 

5.350048

**

01/23/07

 

 

 

4,999,955

 

 

 

FIVE FINANCE INC

 

Medium Term Note - Floating

 

5.380116

**

01/02/07

 

 

 

18,997,716

 

 

FORTIS BANK, NEW YORK

 

Yankee C/D - Floating

 

5.330377

**

01/29/07

 

 

 

11,997,999

 

 

 

GALLEON CAPITAL CORPORATION

 

Commercial Paper

 

5.328453 

 

02/15/07

 

 

 

49,545,333

 

 

GENERAL ELECTRIC CAPITAL CORP.

 

Commercial Paper

 

5.336059 

 

03/16/07

 

 

 

24,456,250

 

 

 

GOLDMAN SACHS GROUP, INC

 

Medium Term Note - Floating

 

5.472500

**

01/02/07

 

 

 

10,000,000

 

 

GOLDMAN SACHS GROUP, INC

 

Medium Term Note - Floating

 

5.502500

**

01/02/07

 

 

 

30,000,000

 

 

 

GOLDMAN SACHS GROUP, INC

 

Medium Term Note - Floating

 

5.422500

**

01/02/07

 

 

 

10,000,000

 

 

GOTHAM FUNDING CORPORATION

 

Commercial Paper

 

5.318133 

 

01/03/07

 

 

 

99,471,000

 

 

 

GRAMPIAN FUNDING LLC

 

Commercial Paper

 

5.349351 

 

04/10/07

 

 

 

34,088,250

 

 

GSAA 2005-6 A-1

 

Asset Backed Security - Floating

 

5.139636

**

01/25/07

 

 

 

2,775,439

 

 

 

GSAA 2005-7 AV1

 

Asset Backed Security - Floating

 

5.460000

**

01/25/07

 

 

 

1,562,236

 

 

GSAA 2005-8 A1

 

Asset Backed Security - Floating

 

5.450000

**

01/25/07

 

 

 

1,464,084

 

 

 

HARTFORD LIFE

 

Medium Term Note - Floating

 

5.433750

**

01/16/07

 

 

 

6,000,000

 

 

HASC 06 OPT3 A1

 

Asset Backed Security - Floating

 

5.410000

**

01/25/07

 

 

 

3,657,830

 

 

 

HASC 2006 OPT1 2A1

 

Asset Backed Security - Floating

 

5.430000

**

01/25/07

 

 

 

2,745,500

 

 

HASC 2006 OPT2 IIA1

 

Asset Backed Security - Floating

 

5.430000

**

01/25/07

 

 

 

8,595,144

 

 

 

HEAT 06 7 2A1

 

Asset Backed Security - Floating

 

5.410000

**

01/25/07

 

 

 

6,785,039

 

 

HEAT 2005-4 2A1

 

Asset Backed Security - Floating

 

5.440000

**

01/25/07

 

 

 

865,330

 

 

 

HEAT 2005-7 2A1

 

Asset Backed Security - Floating

 

5.470000

**

01/25/07

 

 

 

2,798,075

 

 

HEAT 2006-1 2A1

 

Asset Backed Security - Floating

 

5.430000

**

01/25/07

 

 

 

2,244,069

 

 

 

HEAT 2006-3 2A1

 

Asset Backed Security - Floating

 

5.420000

**

01/25/07

 

 

 

2,878,939

 

 

HEAT 2006-6 2A1

 

Asset Backed Security - Floating

 

5.388662

**

01/25/07

 

 

 

4,081,897

 

 

 

HSBC FINANCE CORP

 

Medium Term Note - Floating

 

5.340000

**

01/08/07

 

 

 

15,000,000

 

 

ING BANK NV, AMSTERDAM

 

Time Deposit

 

5.400000 

 

01/02/07

 

 

 

50,000,000

 

 

 

IRISH LIFE AND PERMANENT PLC

 

Commercial Paper

 

5.328898 

 

01/22/07

 

 

 

16,751,418

 

 

IXIS CORPORATE & INVESTMENT BANK

 

Time Deposit

 

5.400000 

 

01/02/07

 

 

 

50,000,000

 

 

 

K2(USA)LLC

 

Medium Term Note - Floating

 

5.370400

**

01/02/07

 

 

 

19,998,000

 

 

K2(USA)LLC

 

Medium Term Note - Floating

 

5.375080

**

01/02/07

 

 

 

24,998,491

 

 

 

K2(USA)LLC

 

Medium Term Note - Floating

 

5.386344

**

01/02/07

 

 

 

19,993,740

 

 

K2(USA)LLC

 

Medium Term Note - Floating

 

5.371638

**

01/02/07

 

 

 

11,995,502

 

 

 

K2(USA)LLC

 

Medium Term Note - Floating

 

5.376639

**

01/02/07

 

 

 

21,991,754

 

 

KBC, LONDON

 

Eurodollar C/D - Fixed

 

5.340000 

 

02/01/07

 

 

 

20,000,000

 

 

 

KITTY HAWK

 

Commercial Paper

 

5.366749 

 

01/11/07

 

 

 

18,743,322

 

 

KITTY HAWK

 

Commercial Paper

 

5.336561 

 

01/18/07

 

 

 

36,683,804

 

 

 

LAFAYETTE ASSET

 

Commercial Paper

 

5.346440 

 

02/15/07

 

 

 

56,759,659

 

 

LAFAYETTE ASSET

 

Commercial Paper

 

5.352188 

 

01/25/07

 

 

 

24,896,361

 

 

 

LBMLT 06 8 2A1

 

Asset Backed Security - Floating

 

5.390000

**

01/25/07

 

 

 

22,875,335

 

 

LBMLT 06 9 2A1

 

Asset Backed Security - Floating

 

5.410000

**

01/25/07

 

 

 

9,380,664

 

 

 

LBMLT 06-2 2A1

 

Asset Backed Security - Floating

 

5.420000

**

01/25/07

 

 

 

4,453,422

 

 

LEHMAN BROTHERS BANKHAUS, AG

 

Time Deposit - Floating

 

5.340000

**

01/02/07

 

 

 

50,000,000

 

 

 

LEHMAN BROTHERS INC

 

Medium Term Note - Floating

 

5.395953

**

01/02/07

 

 

 

46,034,500

 

 

LIBERTY STREET FUNDING COMPANY

 

Commercial Paper

 

5.355571 

 

01/05/07

 

 

 

49,947,986

 

 

 

LINKS FINANCE LLC

 

Medium Term Note - Floating

 

5.370425

**

01/02/07

 

 

 

19,998,000

 

 



 

 

LINKS FINANCE LLC

 

Medium Term Note - Floating

 

5.370268

**

01/02/07

 

 

 

11,000,520

 

 

 

LINKS FINANCE LLC

 

Medium Term Note - Floating

 

5.381538

**

01/02/07

 

 

 

29,989,870

 

 

MABS 06 HE4 A1

 

Asset Backed Security - Floating

 

5.400000

**

01/26/07

 

 

 

24,566,592

 

 

 

MBIA GLOBAL FUNDING LLC

 

Medium Term Note - Floating

 

5.360000

**

01/30/07

 

 

 

7,000,000

 

 

MBIA GLOBAL FUNDING LLC

 

Medium Term Note - Floating

 

5.370000

**

01/02/07

 

 

 

20,000,000

 

 

 

MERRILL LYNCH AND COMPANY

 

Medium Term Note - Floating

 

5.390000

**

01/22/07

 

 

 

10,000,000

 

 

MERRILL LYNCH AND COMPANY

 

Medium Term Note - Floating

 

5.404380

**

02/14/07

 

 

 

30,000,000

 

 

 

MERRILL LYNCH AND COMPANY

 

Medium Term Note - Floating

 

5.422500

**

01/02/07

 

 

 

50,000,000

 

 

MIZUHO LONDON

 

Time Deposit

 

5.350000 

 

03/12/07

 

 

 

50,000,000

 

 

 

MORGAN STANLEY

 

Medium Term Note - Floating

 

5.482500

**

01/02/07

 

 

 

25,000,000

 

 

MORGAN STANLEY

 

Medium Term Note - Floating

 

5.416111

**

01/02/07

 

 

 

12,010,888

 

 

 

MSAC 06 NC2A2A

 

Asset Backed Security - Floating

 

5.420000

**

01/25/07

 

 

 

2,617,022

 

 

MSHEL 2005-2 A2A

 

Asset Backed Security - Floating

 

5.440000

**

01/25/07

 

 

 

232,008

 

 

 

NATEXIS BANQUES POPULAIRES NY

 

Yankee C/D - Floating

 

5.390217

**

01/02/07

 

 

 

6,999,152

 

 

NATEXIS BANQUES POPULAIRES NY

 

Yankee C/D - Floating

 

5.370000

**

01/02/07

 

 

 

11,000,000

 

 

 

NATEXIS BANQUES POPULAIRES NY

 

Yankee C/D - Floating

 

5.370212

**

01/02/07

 

 

 

49,992,828

 

 

NATEXIS BANQUES POPULAIRES NY

 

Yankee C/D - Floating

 

5.350000

**

01/02/07

 

 

 

25,000,000

 

 

 

NATIONAL CITY BANK CLEVELAND

 

Bank Note - Floating Rate

 

5.360065

**

01/02/07

 

 

 

9,999,032

 

 

NCAMT 2006-ALT AV1

 

Asset Backed Security - Floating

 

5.410000

**

01/25/07

 

 

 

11,296,878

 

 

 

NORINCHUKIN BANK NY

 

Yankee C/D - Fixed

 

5.350000 

 

02/02/07

 

 

 

50,000,000

 

 

PARK SIENNA, LL

 

Commercial Paper

 

5.383218 

 

01/02/07

 

 

 

49,970,111

 

 

 

RAMP05 EFC7 AI1

 

Asset Backed Security - Floating

 

5.450000

**

01/25/07

 

 

 

1,420,088

 

 

RASC 2005-AHL2 A1

 

Asset Backed Security - Floating

 

5.450000

**

01/25/07

 

 

 

999,687

 

 

 

RASC 2006-KS8 A1

 

Asset Backed Security - Floating

 

5.410000

**

01/25/07

 

 

 

18,561,989

 

 

RHEIN-MAIN SECURITISATON LIMITED

 

Commercial Paper

 

5.318220 

 

01/25/07

 

 

 

34,748,467

 

 

 

ROYAL BANK OF SCOTLAND            

 

Medium Term Note - Floating

 

5.356201

**

03/21/07

 

 

 

18,401,557

 

 

SABR 2006-WM1 A2A

 

Asset Backed Security - Floating

 

5.420000

**

01/25/07

 

 

 

6,998,228

 

 

 

SANTANDER US DEBT SA UNI

 

Medium Term Note - Floating

 

5.403338

**

02/06/07

 

 

 

24,992,514

 

 

SASC 05 OPT1 A1

 

Asset Backed Security - Floating

 

5.440000

**

01/25/07

 

 

 

2,822,627

 

 

 

SASC 06 EQ1A A2

 

Asset Backed Security - Floating

 

5.410000

**

01/25/07

 

 

 

3,862,026

 

 

SASC 06 WF3 A2

 

Asset Backed Security - Floating

 

5.400000

**

01/25/07

 

 

 

16,603,085

 

 

 

SASC 2005-WF2 A1

 

Asset Backed Security - Floating

 

5.430000

**

01/25/07

 

 

 

2,733

 

 

SASCO 05WF4 A2

 

Asset Backed Security - Floating

 

5.430000

**

01/25/07

 

 

 

1,923,793

 

 

 

SCALDIS CAPITAL LLC

 

Commercial Paper

 

5.309945 

 

01/08/07

 

 

 

49,765,111

 

 

SHEFFIELD RECEIVABLE CORP.

 

Commercial Paper

 

5.313559 

 

01/23/07

 

 

 

29,754,067

 

 

 

SIGMA FINANCE INC.

 

Medium Term Note - Floating

 

5.370000

**

01/02/07

 

 

 

19,000,000

 

 

SIGMA FINANCE INC.

 

Medium Term Note - Floating

 

5.380250

**

01/02/07

 

 

 

24,992,514

 

 

 

SKANDI NEW YORK

 

Yankee C/D - Floating

 

5.330064

**

01/02/07

 

 

 

10,000,360

 

 

SUN TRUST BANK, ATLANTA

 

Domestic C/D - Floating

 

5.340953

**

01/29/07

 

 

 

9,998,969

 

 

 

SURF 2006 BC4  A2A

 

Asset Backed Security - Floating

 

5.400000

**

01/25/07

 

 

 

18,401,802

 

 

SVHE06 OPT3 2A1

 

Asset Backed Security - Floating

 

5.410000

**

01/25/07

 

 

 

3,690,654

 

 

 

TANGO FINANCE CORP

 

Medium Term Note - Floating

 

5.390398

**

01/02/07

 

 

 

9,998,049

 

 

TANGO FINANCE CORP

 

Medium Term Note - Floating

 

5.360360

**

01/16/07

 

 

 

4,998,945

 

 

 

THAMES ASSET GLOBAL SEC

 

Commercial Paper

 

5.375564 

 

01/22/07

 

 

 

49,762,222

 

 

THAMES ASSET GLOBAL SEC

 

Commercial Paper

 

5.381634 

 

01/23/07

 

 

 

24,899,500

 

 

 

THREE PILLARS FUNDING

 

Commercial Paper

 

5.356169 

 

01/22/07

 

 

 

37,517,794

 

 

TORONTO DOMINION NEW YORK

 

Yankee C/D - Floating

 

5.320000

**

05/29/07

 

 

 

50,000,000

 

 

 

TOYOTA MOTOR CREDIT CORP

 

Medium Term Note - Floating

 

5.340000

**

01/02/07

 

 

 

15,000,000

 

 

TULIP EX: TULIP FUNDING CORPORATION

 

Commercial Paper

 

5.333766 

 

01/12/07

 

 

 

49,683,472

 

 

 

ULSTER BANK LTD., BELFAST

 

Time Deposit

 

5.330000

**

01/02/07

 

 

 

25,000,000

 

 

UNICREDITO ITALIANO BANK (IRE) PLC

 

Medium Term Note - Floating

 

5.360000

**

01/09/07

 

 

 

35,000,000

 

 

 

WACHOVIA BANK N.A

 

Bank Note - Floating Rate

 

5.370242

**

01/02/07

 

 

 

9,837,610

 

 

WELLS FARGO & CO

 

Medium Term Note - Floating

 

5.422500

**

01/02/07

 

 

 

25,000,000

 

 

 

WELLS FARGO & CO

 

Medium Term Note - Floating

 

5.422500

**

01/02/07

 

 

 

10,000,000

 

 

WORLD SAVINGS BANK FSB

 

Bank Note - Floating Rate

 

5.350000

**

01/19/07

 

 

 

15,000,000

 

 

 

WORLD SAVINGS BANK FSB

 

Bank Note - Floating Rate

 

5.350000

**

01/08/07

 

 

 

15,000,000

 

 

XLLIAC GLOBAL FUNDING

 

Medium Term Note - Floating

 

5.433750

**

02/15/07

 

 

 

20,000,000

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Short-Term Investments purchased with cash collateral from securities lending

 

 

 

$ 3,724,955,826

 

 

n / a  – Cost is not applicable

 

**          Investment is a floating rate instrument.  The coupon rate is the rate in effect on December 31, 2006 and the maturity date is the date when the coupon rate is next adjusted.



EXHIBIT I   Stable Value Fund-Investment Contract (Synthetic GIC Global Wrapper)

(Managed by various investment companies)

IBM SAVINGS PLAN AT DECEMBER 31, 2006

Schedule H, line 4i-Schedule of Assets  (Held At End of Year)

 

 

 

 

(c)Description of investment including maturity date,

 

 

 

(e) Fair

 

(a)

 

(b) Identity of issue, borrower, lessor, or similar party

 

rate of interest, collateral, par, or maturity value

 

(d) Cost

 

value

 

 

 

 

 

 

 

 

 

(n / a)

 

 

 

 

 

 

 

 

 

Par Value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

AES IRONWOOD LLC

 

8.857% 30 Nov 2025

 

150,414

 

 

 

168,839

 

 

 

AES RED OAK LLC

 

9.2% 30 Nov 2029

 

130,000

 

 

 

146,575

 

 

 

AMERICA MOVIL S A DE C V

 

6.375% 01 Mar 2035

 

250,000

 

 

 

241,855

 

 

 

AMERICAN EXPRESS CR ACCOUNT

 

1% 18 Jan 2011

 

6,175,000

 

 

 

6,175,963

 

 

 

AMERICAN EXPRESS CR ACCOUNT

 

5.36% 15 Feb 2013

 

5,950,000

 

 

 

5,956,509

 

 

 

AMERICAN REAL ESTATE PARTNERS

 

7.125% 15 Feb 2013

 

100,000

 

 

 

100,500

 

 

 

AMERICAN REAL ESTATE PARTNERS

 

8.125% 01 Jun 2012

 

340,000

 

 

 

351,050

 

 

 

ASIF GLOBAL FING XXIII

 

3.9% 22 Oct 2008

 

1,105,000

 

 

 

1,077,104

 

 

 

ASSOCIATES CORP NORTH AMER

 

6.25% 01 Nov 2008

 

670,000

 

 

 

681,095

 

 

 

AT+T BROADBAND CORP

 

8.375% 15 Mar 2013

 

1,555,000

 

 

 

1,770,610

 

 

 

ATLANTIC RICHFIELD CO

 

5.9% 15 Apr 2009

 

960,000

 

 

 

974,330

 

 

 

BAC CAP TR XI

 

6.625% 23 May 2036

 

525,000

 

 

 

565,310

 

 

 

BANC AMER ALTERNATIVE LN TR

 

5% 25 Jul 2019

 

1,813,748

 

 

 

1,771,693

 

 

 

BANC AMER ALTERNATIVE LN TR

 

5% 25 Jun 2019

 

1,578,422

 

 

 

1,556,010

 

 

 

BANC AMER COML MTG INC

 

5.118% 11 Jul 2043

 

6,490,000

 

 

 

6,445,166

 

 

 

BANC AMER COML MTG INC

 

5.46% 11 Apr 2037

 

4,500,000

 

 

 

4,532,125

 

 

 

BANC AMER COML MTG INC

 

6.186% 11 Jun 2035

 

4,130,000

 

 

 

4,288,064

 

 

 

BANC AMER COML MTG INC

 

7.333% 15 Nov 2031

 

4,715,000

 

 

 

4,923,927

 

 

 

BANC OF AMERICA COMM MTG INC

 

6.503% 15 Apr 2036

 

3,986,818

 

 

 

4,140,503

 

 

 

BANK AMER CORP

 

4.5% 01 Aug 2010

 

30,000

 

 

 

29,308

 

 

 

BANK NEW YORK N Y

 

3.8% 01 Feb 2008

 

925,000

 

 

 

910,306

 

 

 

BANK ONE TEX N A MT SUB BK NTS

 

6.25% 15 Feb 2008

 

250,000

 

 

 

252,354

 

 

 

BANKAMERICA CORP

 

6.25% 01 Apr 2008

 

490,000

 

 

 

495,870

 

 

 

BELVOIR LD LLC

 

5.27% 15 Dec 2047

 

675,000

 

 

 

629,849

 

 

 

BERKSHIRE HATHAWAY FIN CORP

 

3.375% 15 Oct 2008

 

1,275,000

 

 

 

1,234,851

 

 

 

BERKSHIRE HATHAWAY FIN CORP

 

3.4% 02 Jul 2007

 

1,020,000

 

 

 

1,010,549

 

 

 

BERKSHIRE HATHAWAY FIN CORP

 

4.125% 15 Jan 2010

 

480,000

 

 

 

465,119

 

 

 

BERKSHIRE HATHAWAY INC DEL

 

4.75% 15 May 2012

 

915,000

 

 

 

891,892

 

 

 

BRISTOL MYERS SQUIBB CO

 

5.875% 15 Nov 2036

 

975,000

 

 

 

963,210

 

 

 

BRISTOL MYERS SQUIBB CO

 

6.875% 01 Aug 2097

 

170,000

 

 

 

181,389

 

 

 

BRS2GFUZ5

 

5.50031% 12 Jul 2009

 

(12,900,000

)

 

 

—

 

 

 

BRS2GFUZ5

 

5.63% 12 Jul 2009

 

12,900,000

 

 

 

341,850

 

 

 

BRS308MJ1 3ML IRS USD

 

1% 21 Nov 2011

 

(17,800,000

)

 

 

(68,526

)

 

 

BRS308MJ1 IRS USD

 

5.025% 21 Nov 2011

 

17,800,000

 

 

 

—

 

 

 

BSKYB FIN U K PLC

 

6.5% 15 Oct 2035

 

130,000

 

 

 

129,175

 

 

 

CAPITAL AUTO RECEIVABLES ASSET

 

4.05% 15 Jul 2009

 

5,875,000

 

 

 

5,833,693

 

 

 

CENTERPOINT ENERGY INC

 

7.25% 01 Sep 2010

 

430,000

 

 

 

453,061

 

 

 

CHASE COML MTG SECS CORP

 

7.198% 15 Jan 2032

 

3,465,000

 

 

 

3,615,753

 

 

 

CHASE COML MTG SECS CORP

 

7.757% 15 Apr 2032

 

1,793,787

 

 

 

1,897,223

 

 

 

CHASE ISSUANCE TR

 

3.22% 15 Jun 2010

 

5,725,000

 

 

 

5,633,761

 

 

 

CHASE ISSUANCE TR

 

5.04% 15 Jul 2011

 

4,725,000

 

 

 

4,724,263

 

 

 

CHASE MANHATTAN CORP NEW

 

7% 15 Nov 2009

 

900,000

 

 

 

941,818

 

 

 

CHESAPEAKE ENERGY CORP

 

6.25% 15 Jan 2018

 

25,000

 

 

 

24,063

 

 

 

CHESAPEAKE ENERGY CORP

 

6.375% 15 Jun 2015

 

65,000

 

 

 

64,350

 

 

 

CHESAPEAKE ENERGY CORP

 

6.875% 15 Nov 2020

 

110,000

 

 

 

108,075

 

 

 

CINCINNATI BELL INC NEW

 

7.25% 15 Jul 2013

 

60,000

 

 

 

62,100

 

 

 

CITIBANK CR CARD ISSUANCE TR

 

2.55% 20 Jan 2009

 

6,225,000

 

 

 

6,217,219

 

 

 

CITIBANK CR CARD ISSUANCE TR

 

2.9% 17 May 2010

 

7,200,000

 

 

 

6,978,377

 

 

 

CITIGROUP INC

 

3.5% 01 Feb 2008

 

4,345,000

 

 

 

4,266,387

 

 

 

CITIGROUP INC

 

3.625% 09 Feb 2009

 

4,540,000

 

 

 

4,397,238

 

 

 

CITIGROUP INC

 

4.125% 22 Feb 2010

 

4,075,000

 

 

 

3,943,962

 

 

 

CITIGROUP INC

 

4.625% 03 Aug 2010

 

250,000

 

 

 

244,996

 

 

 

COLORADO INTST GAS CO

 

6.8% 15 Nov 2015

 

110,000

 

 

 

114,376

 

 

 

COMCAST CORP

 

7.05% 15 Mar 2033

 

340,000

 

 

 

361,039

 

 

 

COMCAST CORP NEW

 

6.5% 15 Nov 2035

 

495,000

 

 

 

498,495

 

 

 

COMMERCIAL MTG ACCEP CORP

 

6.03% 15 Sep 2030

 

2,362,855

 

 

 

2,371,862

 

 

 

COMPTON PETE FIN CORP

 

7.625% 01 Dec 2013

 

80,000

 

 

 

77,200

 


 

 

 

CONSOLIDATED NAT GAS CO

 

5% 01 Mar 2014

 

550,000

 

 

 

529,290

 

 

 

CONSOLIDATED NAT GAS CO

 

6.8% 15 Dec 2027

 

400,000

 

 

 

432,560

 

 

 

CREDIT SUISSE FIRST BOSTON

 

3.938% 15 May 2038

 

4,600,000

 

 

 

4,270,162

 

 

 

CWABS ASSET BACKED

 

5.37% 25 Oct 2036

 

6,085,536

 

 

 

6,083,637

 

 

 

CWABS INC

 

5.44% 25 Dec 2035

 

2,434,153

 

 

 

2,434,503

 

 

 

CWABS INC

 

5.45% 25 May 2036

 

3,035,795

 

 

 

3,036,269

 

 

 

CWABS TR

 

5.37% 25 Mar 2037

 

7,834,110

 

 

 

7,831,666

 

 

 

CWALT

 

5.39% 25 Sep 2035

 

4,062,409

 

 

 

4,062,221

 

 

 

DEPFA ACS BK

 

3.625% 29 Oct 2008

 

2,850,000

 

 

 

2,773,718

 

 

 

DEUTSCHE BK AG

 

3.8425% 15 Mar 2007

 

1,700,000

 

 

 

1,700,000

 

 

 

DEUTSCHE TELEKOM INTL FIN BV

 

8.75% 15 Jun 2030

 

275,000

 

 

 

336,290

 

 

 

DOMINION RES INC DEL

 

5.125% 15 Dec 2009

 

600,000

 

 

 

595,635

 

 

 

ECHOSTAR DBS

 

6.375% 01 Oct 2011

 

15,000

 

 

 

14,906

 

 

 

ECHOSTAR DBS CORP

 

7% 01 Oct 2013

 

75,000

 

 

 

74,906

 

 

 

ECHOSTAR DBS CORP

 

7.125% 01 Feb 2016

 

80,000

 

 

 

80,000

 

 

 

EKSPORTFINANS A SA MTN

 

3.375% 15 Jan 2008

 

2,815,000

 

 

 

2,764,283

 

 

 

ELWOOD ENERGY LLC

 

8.159% 05 Jul 2026

 

238,163

 

 

 

248,825

 

 

 

ENTERPRISE PRODS OPER L P

 

4% 15 Oct 2007

 

575,000

 

 

 

567,928

 

 

 

ENTERPRISE PRODUCTS OPER

 

4.95% 01 Jun 2010

 

1,075,000

 

 

 

1,053,624

 

 

 

EURODOLLAR FUTURES

 

7-Jun-07

 

(64,250,000

)

 

 

—

 

 

 

EURODOLLAR FUTURES

 

7-Dec-07

 

(81,000,000

)

 

 

—

 

 

 

FED HM LN PC POOL

 

5% 01 Aug 2035

 

5,882,532

 

 

 

1,404,454

 

 

 

FED HM LN PC POOL

 

5.5% 01 Feb 2036

 

8,082,677

 

 

 

1,924,687

 

 

 

FED HM LN PC POOL 1G1227

 

6.017% 01 Oct 2036

 

6,067,974

 

 

 

6,105,908

 

 

 

FED HM LN PC POOL 1G2524

 

5.972% 01 Oct 2036

 

3,973,507

 

 

 

4,000,982

 

 

 

FED HM LN PC POOL A32162

 

5% 01 Mar 2035

 

902,181

 

 

 

871,274

 

 

 

FED HM LN PC POOL A32206

 

5% 01 Mar 2035

 

1,434,057

 

 

 

1,384,929

 

 

 

FED HM LN PC POOL A50923

 

6% 01 Jul 2036

 

97,259

 

 

 

97,973

 

 

 

FED HM LN PC POOL B13602

 

4.5% 01 Apr 2019

 

583,184

 

 

 

562,909

 

 

 

FED HM LN PC POOL B13873

 

4.5% 01 May 2019

 

499,227

 

 

 

481,871

 

 

 

FED HM LN PC POOL B14838

 

4.5% 01 Jun 2019

 

699,117

 

 

 

674,812

 

 

 

FED HM LN PC POOL B15138

 

4.5% 01 Jun 2019

 

592,566

 

 

 

571,965

 

 

 

FED HM LN PC POOL B15172

 

4.5% 01 Jun 2019

 

741,175

 

 

 

715,407

 

 

 

FED HM LN PC POOL B15178

 

4.5% 01 Jun 2019

 

623,162

 

 

 

601,497

 

 

 

FED HM LN PC POOL B16484

 

5% 01 Oct 2019

 

771,026

 

 

 

757,954

 

 

 

FED HM LN PC POOL B18187

 

4.5% 01 May 2020

 

107,006

 

 

 

103,185

 

 

 

FED HM LN PC POOL B18336

 

4.5% 01 May 2020

 

476,915

 

 

 

459,888

 

 

 

FED HM LN PC POOL B18375

 

4.5% 01 May 2020

 

453,327

 

 

 

437,142

 

 

 

FED HM LN PC POOL B18848

 

4.5% 01 Feb 2020

 

168,213

 

 

 

162,207

 

 

 

FED HM LN PC POOL B19087

 

4.5% 01 Apr 2020

 

568,011

 

 

 

547,731

 

 

 

FED HM LN PC POOL B19400

 

4.5% 01 May 2020

 

907,185

 

 

 

874,795

 

 

 

FED HM LN PC POOL B19876

 

4.5% 01 Sep 2020

 

335,420

 

 

 

323,445

 

 

 

FED HM LN PC POOL C00748

 

6% 01 Apr 2029

 

6,297

 

 

 

6,386

 

 

 

FED HM LN PC POOL C21292

 

6% 01 Jan 2029

 

4,854

 

 

 

4,923

 

 

 

FED HM LN PC POOL C50136

 

7% 01 Apr 2031

 

3,192

 

 

 

3,295

 

 

 

FED HM LN PC POOL C56030

 

6% 01 Mar 2031

 

107,314

 

 

 

108,839

 

 

 

FED HM LN PC POOL C59194

 

6.5% 01 Sep 2031

 

1,824

 

 

 

1,869

 

 

 

FED HM LN PC POOL C59834

 

6.5% 01 Oct 2031

 

5,890

 

 

 

6,033

 

 

 

FED HM LN PC POOL C60673

 

6.5% 01 Nov 2031

 

6,326

 

 

 

6,480

 

 

 

FED HM LN PC POOL C64029

 

6.5% 01 Feb 2032

 

6,500

 

 

 

6,649

 

 

 

FED HM LN PC POOL C64758

 

6.5% 01 Mar 2032

 

277,778

 

 

 

284,169

 

 

 

FED HM LN PC POOL C67095

 

6.5% 01 May 2032

 

5,889

 

 

 

6,025

 

 

 

FED HM LN PC POOL C67310

 

6.5% 01 May 2032

 

4,685

 

 

 

4,793

 

 

 

FED HM LN PC POOL C67331

 

6.5% 01 May 2032

 

52,457

 

 

 

53,664

 

 

 

FED HM LN PC POOL C70160

 

6.5% 01 Aug 2032

 

57,405

 

 

 

58,681

 

 

 

FED HM LN PC POOL C71381

 

6.5% 01 Apr 2032

 

919,832

 

 

 

940,996

 

 

 

FED HM LN PC POOL C78475

 

6.5% 01 Apr 2033

 

57,120

 

 

 

58,327

 

 

 

FED HM LN PC POOL E00543

 

6% 01 Apr 2013

 

8,573

 

 

 

8,686

 

 

 

FED HM LN PC POOL E00547

 

5.5% 01 Apr 2013

 

109,760

 

 

 

110,077

 

 

 

FED HM LN PC POOL E00565

 

6% 01 Aug 2013

 

14,078

 

 

 

14,265

 

 

 

FED HM LN PC POOL E00569

 

5.5% 01 Aug 2013

 

531,618

 

 

 

533,291

 

 

 

FED HM LN PC POOL E00570

 

6% 01 Sep 2013

 

13,957

 

 

 

14,142

 

 

 

FED HM LN PC POOL E00577

 

5.5% 01 Sep 2013

 

27,851

 

 

 

27,943

 

 

 

FED HM LN PC POOL E00975

 

6% 01 May 2016

 

73,677

 

 

 

74,745

 

 

 

FED HM LN PC POOL E01071

 

5.5% 01 Nov 2016

 

204,417

 

 

 

204,817

 

 

 

FED HM LN PC POOL E01143

 

5.5% 01 Apr 2017

 

213,166

 

 

 

213,582

 

 

 

FED HM LN PC POOL E01157

 

6% 01 Jun 2017

 

5,836

 

 

 

5,921

 

 

 

FED HM LN PC POOL E01538

 

5% 01 Dec 2018

 

841,645

 

 

 

828,429

 

 

 

FED HM LN PC POOL E01638

 

4% 01 Apr 2019

 

75,217

 

 

 

70,957

 

 

 

FED HM LN PC POOL E01641

 

4.5% 01 May 2019

 

235,884

 

 

 

227,684

 

 

 

FED HM LN PC POOL E69529

 

6% 01 Mar 2013

 

11,024

 

 

 

11,170

 

 

 

FED HM LN PC POOL E69728

 

6% 01 Apr 2013

 

24,413

 

 

 

24,736

 

 

 

FED HM LN PC POOL E71222

 

5.5% 01 Jul 2013

 

116,936

 

 

 

117,315

 


 

 

 

FED HM LN PC POOL E71236

 

5.5% 01 Aug 2013

 

114,048

 

 

 

114,456

 

 

 

FED HM LN PC POOL E73095

 

5.5% 01 Nov 2013

 

482,829

 

 

 

484,490

 

 

 

FED HM LN PC POOL E75506

 

6% 01 Mar 2014

 

13,746

 

 

 

13,928

 

 

 

FED HM LN PC POOL E75722

 

6% 01 Mar 2014

 

6,958

 

 

 

7,050

 

 

 

FED HM LN PC POOL E77295

 

6% 01 Jun 2014

 

453,753

 

 

 

459,762

 

 

 

FED HM LN PC POOL E84261

 

6% 01 Jul 2016

 

266,386

 

 

 

270,413

 

 

 

FED HM LN PC POOL E84308

 

5.5% 01 May 2014

 

918,967

 

 

 

922,336

 

 

 

FED HM LN PC POOL E84593

 

6% 01 Jul 2016

 

48,032

 

 

 

48,728

 

 

 

FED HM LN PC POOL E87958

 

6% 01 Feb 2017

 

35,555

 

 

 

36,092

 

 

 

FED HM LN PC POOL E88282

 

6% 01 Mar 2017

 

7,593

 

 

 

7,708

 

 

 

FED HM LN PC POOL E88512

 

6% 01 Mar 2017

 

43,550

 

 

 

44,209

 

 

 

FED HM LN PC POOL E88786

 

6% 01 Mar 2017

 

42,290

 

 

 

42,903

 

 

 

FED HM LN PC POOL E88982

 

6% 01 Apr 2017

 

44,215

 

 

 

44,856

 

 

 

FED HM LN PC POOL E88992

 

5.5% 01 Apr 2017

 

151,930

 

 

 

152,227

 

 

 

FED HM LN PC POOL E89201

 

6% 01 Apr 2017

 

22,453

 

 

 

22,778

 

 

 

FED HM LN PC POOL E89245

 

6% 01 Apr 2017

 

270,642

 

 

 

274,734

 

 

 

FED HM LN PC POOL E89306

 

5.5% 01 Apr 2017

 

40,120

 

 

 

40,199

 

 

 

FED HM LN PC POOL E89336

 

6% 01 May 2017

 

26,520

 

 

 

26,904

 

 

 

FED HM LN PC POOL E89350

 

6% 01 Apr 2017

 

60,230

 

 

 

61,103

 

 

 

FED HM LN PC POOL E89435

 

6% 01 May 2017

 

30,239

 

 

 

30,696

 

 

 

FED HM LN PC POOL E89704

 

6% 01 May 2017

 

29,755

 

 

 

30,186

 

 

 

FED HM LN PC POOL E90063

 

5.5% 01 Jun 2017

 

88,090

 

 

 

88,262

 

 

 

FED HM LN PC POOL E90353

 

5.5% 01 Jun 2017

 

308,040

 

 

 

308,641

 

 

 

FED HM LN PC POOL E90431

 

6% 01 Dec 2014

 

10,946

 

 

 

11,091

 

 

 

FED HM LN PC POOL E91323

 

6% 01 Sep 2017

 

67,852

 

 

 

68,836

 

 

 

FED HM LN PC POOL G10784

 

5.5% 01 Jun 2011

 

80,570

 

 

 

80,619

 

 

 

FED HM LN PC POOL G11618

 

4.5% 01 May 2018

 

2,292,070

 

 

 

2,213,817

 

 

 

FED HM LN PC POOL G11720

 

4.5% 01 Aug 2020

 

3,992,677

 

 

 

3,850,126

 

 

 

FED HM LN PC POOL G11896

 

4.5% 01 Jan 2021

 

2,851,290

 

 

 

2,747,708

 

 

 

FED HM LN PC POOL J00625

 

5% 01 Dec 2020

 

495,416

 

 

 

486,708

 

 

 

FED HM LN PC POOL J02452

 

5% 01 Aug 2020

 

625,221

 

 

 

614,231

 

 

 

FED HM LN PC POOL J02512

 

5% 01 Sep 2020

 

281,139

 

 

 

276,197

 

 

 

FED HM LN PC POOL M80806

 

4% 01 Mar 2010

 

1,491,683

 

 

 

1,417,623

 

 

 

FEDERAL HOME LN MTG CORP

 

5.5% 15 Apr 2035

 

3,573,768

 

 

 

3,573,997

 

 

 

FEDERAL HOME LN MTG CORP

 

5.5% 15 Jan 2031

 

3,219,313

 

 

 

3,220,046

 

 

 

FEDERAL HOME LN MTG CORP MEDIU

 

3.01% 19 Apr 2007

 

3,350,000

 

 

 

3,327,523

 

 

 

FEDERAL HOME LN MTG CORP MTN

 

4.625% 28 May 2013

 

2,475,000

 

 

 

2,388,687

 

 

 

FEDERAL HOME LOAN MTG CORP

 

5% 15 Dec 2017

 

2,490,000

 

 

 

2,433,077

 

 

 

FEDERAL NATIONAL MORTGAGE ASSO

 

5% 01 Jul 2036

 

8,613,417

 

 

 

2,058,779

 

 

 

FEDERAL NATL MTG ASSN

 

2.35% 05 Apr 2007

 

7,000,000

 

 

 

6,946,471

 

 

 

FEDERAL NATL MTG ASSN

 

3% 02 Mar 2007

 

8,040,000

 

 

 

8,009,993

 

 

 

FEDERAL NATL MTG ASSN

 

5% 25 Mar 2018

 

1,120,000

 

 

 

1,086,415

 

 

 

FEDERAL NATL MTG ASSN

 

5.5% 01 Nov 2035

 

7,027,268

 

 

 

1,653,604

 

 

 

FEDERAL NATL MTG ASSN

 

5.5% 25 Aug 2035

 

1,239,740

 

 

 

1,233,276

 

 

 

FEDERAL NATL MTG ASSN

 

5.5% 25 Dec 2033

 

2,989,027

 

 

 

2,977,263

 

 

 

FEDERAL NATL MTG ASSN

 

5.5% 25 Feb 2035

 

2,869,209

 

 

 

2,863,851

 

 

 

FEDERAL NATL MTG ASSN

 

5.5% 25 Jan 2034

 

3,243,851

 

 

 

3,225,813

 

 

 

FEDERAL NATL MTG ASSN

 

5.5% 25 May 2027

 

1,864,603

 

 

 

1,862,871

 

 

 

FEDERAL NATL MTG ASSN

 

6% 25 Aug 2028

 

2,571,172

 

 

 

2,574,778

 

 

 

FEDERAL NATL MTG ASSN

 

6.5% 25 Jul 2034

 

1,778,669

 

 

 

1,807,278

 

 

 

FEDERAL NATL MTG ASSN REMIC

 

5.5% 25 Apr 2030

 

3,608,392

 

 

 

3,607,891

 

 

 

FEDERAL NATL MTG ASSN MTN

 

2.71% 30 Jan 2007

 

12,050,000

 

 

 

12,024,095

 

 

 

FEDERATED DEPT STORES INC DE

 

6.79% 15 Jul 2027

 

510,000

 

 

 

508,946

 

 

 

FHLMC TBA JAN 15 GOLD SINGLE

 

4.5% 01 Dec 2099

 

400,000

 

 

 

385,438

 

 

 

FHLMC TBA JAN 15 GOLD SINGLE

 

4.5% 01 Dec 2099

 

(7,700,000

)

 

 

(7,419,672

)

 

 

FHLMC TBA JAN 15 GOLD SINGLE

 

5% 01 Dec 2099

 

22,600,000

 

 

 

22,197,438

 

 

 

FHLMC TBA JAN 15 GOLD SINGLE

 

5.5% 01 Dec 2099

 

2,000,000

 

 

 

1,997,500

 

 

 

FHLMC TBA JAN 30 GOLD SINGLE

 

5% 01 Dec 2099

 

(1,000,000

)

 

 

(964,844

)

 

 

FHLMC TBA JAN 30 GOLD SINGLE

 

6% 01 Dec 2099

 

18,900,000

 

 

 

19,035,844

 

 

 

FIRST UNION LIGMAN BROS COMML

 

7.5% 18 Jun 2029

 

445,000

 

 

 

446,123

 

 

 

FLORIDA PWR + LT CO

 

5.625% 01 Apr 2034

 

400,000

 

 

 

394,100

 

 

 

FLORIDA PWR CORP

 

5.9% 01 Mar 2033

 

525,000

 

 

 

524,239

 

 

 

FNMA TBA JAN 15 SINGLE FAM

 

4.5% 01 Dec 2099

 

2,000,000

 

 

 

1,928,906

 

 

 

FNMA TBA JAN 15 SINGLE FAM

 

5% 01 Dec 2099

 

(4,900,000

)

 

 

(4,816,547

)

 

 

FNMA TBA JAN 15 SINGLE FAM

 

5.5% 01 Dec 2099

 

30,000,000

 

 

 

29,990,625

 

 

 

FNMA TBA JAN 15 SINGLE FAM

 

6% 01 Dec 2099

 

8,000,000

 

 

 

8,110,000

 

 

 

FNMA TBA JAN 30 SINGLE FAM

 

5% 01 Dec 2099

 

1,000,000

 

 

 

965,313

 

 

 

FNMA TBA JAN 30 SINGLE FAM

 

5% 01 Dec 2099

 

(5,000,000

)

 

 

(4,826,563

)

 

 

FNMA TBA JAN 30 SINGLE FAM

 

5.5% 01 Dec 2099

 

17,000,000

 

 

 

16,802,110

 

 

 

FNMA TBA JAN 30 SINGLE FAM

 

5.5% 01 Dec 2099

 

(33,800,000

)

 

 

(33,406,548

)

 

 

FNMA TBA JAN 30 SINGLE FAM

 

6.5% 01 Dec 2099

 

4,700,000

 

 

 

4,787,758

 

 

 

FNMA POOL 252244

 

7% 01 Jan 2029

 

7,518

 

 

 

7,793

 

 

 

FNMA POOL 253411

 

6.5% 01 Jul 2015

 

10,060

 

 

 

10,288

 


 

 

 

FNMA POOL 253480

 

7.5% 01 Oct 2030

 

783

 

 

 

811

 

 

 

FNMA POOL 253643

 

7.5% 01 Feb 2031

 

1,191

 

 

 

1,233

 

 

 

FNMA POOL 253712

 

7.5% 01 Apr 2031

 

2,290

 

 

 

2,371

 

 

 

FNMA POOL 253800

 

7% 01 May 2016

 

16,426

 

 

 

16,818

 

 

 

FNMA POOL 254088

 

5.5% 01 Dec 2016

 

96,291

 

 

 

96,570

 

 

 

FNMA POOL 254346

 

6.5% 01 Jun 2032

 

131,903

 

 

 

134,979

 

 

 

FNMA POOL 254402

 

5.5% 01 Aug 2017

 

555,722

 

 

 

557,329

 

 

 

FNMA POOL 254591

 

5.5% 01 Jan 2018

 

64,931

 

 

 

65,078

 

 

 

FNMA POOL 254693

 

5.5% 01 Apr 2033

 

4,814,518

 

 

 

4,778,409

 

 

 

FNMA POOL 254696

 

5.5% 01 Mar 2018

 

312,050

 

 

 

312,757

 

 

 

FNMA POOL 255530

 

6% 01 Oct 2014

 

395,069

 

 

 

400,980

 

 

 

FNMA POOL 255583

 

5.5% 01 Dec 2019

 

88,315

 

 

 

88,349

 

 

 

FNMA POOL 255722

 

1% 01 Apr 2035

 

7,657,621

 

 

 

7,523,487

 

 

 

FNMA POOL 290478

 

9.5% 01 Dec 2024

 

566

 

 

 

627

 

 

 

FNMA POOL 290485

 

9.5% 01 Feb 2025

 

2,582

 

 

 

2,845

 

 

 

FNMA POOL 305049

 

9.5% 01 Feb 2025

 

6,269

 

 

 

6,892

 

 

 

FNMA POOL 305113

 

9.5% 01 Mar 2025

 

2,920

 

 

 

3,281

 

 

 

FNMA POOL 306419

 

9.5% 01 Mar 2025

 

25,738

 

 

 

28,295

 

 

 

FNMA POOL 306656

 

9.5% 01 Mar 2025

 

6,040

 

 

 

6,640

 

 

 

FNMA POOL 307146

 

9.5% 01 May 2025

 

9,649

 

 

 

10,834

 

 

 

FNMA POOL 313412

 

6.5% 01 Mar 2012

 

9,645

 

 

 

9,863

 

 

 

FNMA POOL 316338

 

9.5% 01 Jul 2025

 

4,870

 

 

 

5,455

 

 

 

FNMA POOL 323037

 

6.5% 01 Mar 2028

 

324,274

 

 

 

333,255

 

 

 

FNMA POOL 323415

 

5.5% 01 Dec 2013

 

112,477

 

 

 

112,700

 

 

 

FNMA POOL 323654

 

6.5% 01 Apr 2014

 

5,297

 

 

 

5,418

 

 

 

FNMA POOL 323961

 

7% 01 Oct 2029

 

144,609

 

 

 

149,908

 

 

 

FNMA POOL 323972

 

6.5% 01 Oct 2014

 

29,513

 

 

 

30,198

 

 

 

FNMA POOL 324556

 

9.5% 01 Aug 2025

 

2,414

 

 

 

2,714

 

 

 

FNMA POOL 340925

 

6.5% 01 Mar 2011

 

3,057

 

 

 

3,126

 

 

 

FNMA POOL 341629

 

6.5% 01 Mar 2011

 

4,929

 

 

 

5,041

 

 

 

FNMA POOL 342760

 

6.5% 01 May 2011

 

8,505

 

 

 

8,697

 

 

 

FNMA POOL 343468

 

6.5% 01 Apr 2011

 

3,871

 

 

 

3,958

 

 

 

FNMA POOL 347025

 

6.5% 01 May 2011

 

4,157

 

 

 

4,251

 

 

 

FNMA POOL 357327

 

5% 01 Jan 2018

 

1,043,909

 

 

 

1,029,637

 

 

 

FNMA POOL 357908

 

5.5% 01 Jul 2035

 

613,416

 

 

 

606,515

 

 

 

FNMA POOL 413363

 

6.5% 01 Jan 2013

 

7,332

 

 

 

7,498

 

 

 

FNMA POOL 418438

 

5.5% 01 May 2013

 

71,297

 

 

 

71,426

 

 

 

FNMA POOL 421620

 

7% 01 Apr 2028

 

14,427

 

 

 

14,956

 

 

 

FNMA POOL 440780

 

5.5% 01 Feb 2014

 

67,782

 

 

 

67,928

 

 

 

FNMA POOL 440860

 

5.5% 01 Nov 2013

 

40,956

 

 

 

41,049

 

 

 

FNMA POOL 445872

 

5.5% 01 Oct 2013

 

116,329

 

 

 

116,619

 

 

 

FNMA POOL 448183

 

5.5% 01 Oct 2013

 

87,633

 

 

 

87,800

 

 

 

FNMA POOL 451777

 

5.5% 01 Nov 2013

 

203,121

 

 

 

203,473

 

 

 

FNMA POOL 452478

 

6.5% 01 Nov 2028

 

77,849

 

 

 

79,956

 

 

 

FNMA POOL 459602

 

6% 01 Jan 2029

 

69,189

 

 

 

70,140

 

 

 

FNMA POOL 482507

 

6.5% 01 Jan 2014

 

25,553

 

 

 

26,138

 

 

 

FNMA POOL 505696

 

6.5% 01 Jul 2029

 

10,844

 

 

 

11,138

 

 

 

FNMA POOL 515482

 

7% 01 Sep 2029

 

10,064

 

 

 

10,433

 

 

 

FNMA POOL 516907

 

6.5% 01 Feb 2015

 

3,009

 

 

 

3,079

 

 

 

FNMA POOL 523475

 

7% 01 Apr 2030

 

67,240

 

 

 

69,535

 

 

 

FNMA POOL 523497

 

7.5% 01 Nov 2029

 

1,101

 

 

 

1,143

 

 

 

FNMA POOL 524774

 

6.5% 01 Dec 2014

 

1,386

 

 

 

1,418

 

 

 

FNMA POOL 525908

 

7% 01 Dec 2029

 

1,750

 

 

 

1,814

 

 

 

FNMA POOL 532892

 

7% 01 Apr 2015

 

15,690

 

 

 

16,248

 

 

 

FNMA POOL 535063

 

6.5% 01 Dec 2014

 

35,377

 

 

 

36,198

 

 

 

FNMA POOL 535675

 

7% 01 Jan 2016

 

211,427

 

 

 

216,465

 

 

 

FNMA POOL 535915

 

7% 01 Apr 2031

 

100,440

 

 

 

103,869

 

 

 

FNMA POOL 536593

 

7% 01 Apr 2030

 

2,849

 

 

 

2,946

 

 

 

FNMA POOL 536947

 

7% 01 May 2030

 

11,986

 

 

 

12,395

 

 

 

FNMA POOL 537309

 

7% 01 Jun 2030

 

2,127

 

 

 

2,200

 

 

 

FNMA POOL 539243

 

7% 01 Jun 2030

 

68,861

 

 

 

71,212

 

 

 

FNMA POOL 539762

 

7% 01 May 2030

 

73,763

 

 

 

76,281

 

 

 

FNMA POOL 539931

 

7% 01 May 2030

 

5,541

 

 

 

5,730

 

 

 

FNMA POOL 539934

 

7.5% 01 May 2030

 

1,146

 

 

 

1,187

 

 

 

FNMA POOL 541293

 

7.5% 01 Jul 2030

 

183

 

 

 

189

 

 

 

FNMA POOL 542056

 

7% 01 Jul 2030

 

14,745

 

 

 

15,248

 

 

 

FNMA POOL 544583

 

7.5% 01 Sep 2030

 

261

 

 

 

270

 

 

 

FNMA POOL 545195

 

7% 01 Sep 2031

 

3,399

 

 

 

3,510

 

 

 

FNMA POOL 545276

 

5.5% 01 Sep 2016

 

76,994

 

 

 

77,301

 

 

 

FNMA POOL 545412

 

5.5% 01 Jan 2017

 

227,917

 

 

 

228,576

 

 

 

FNMA POOL 545605

 

7% 01 May 2032

 

72,325

 

 

 

74,704

 

 

 

FNMA POOL 545691

 

6.5% 01 Jun 2032

 

312,652

 

 

 

319,943

 

 

 

FNMA POOL 545711

 

5.5% 01 May 2017

 

327,964

 

 

 

328,912

 


 

 

 

FNMA POOL 545723

 

7% 01 Apr 2032

 

58,408

 

 

 

60,329

 

 

 

FNMA POOL 545759

 

6.5% 01 Jul 2032

 

342,095

 

 

 

350,073

 

 

 

FNMA POOL 545762

 

6.5% 01 Jul 2032

 

1,203,314

 

 

 

1,231,376

 

 

 

FNMA POOL 545812

 

6.5% 01 Aug 2032

 

32,734

 

 

 

33,497

 

 

 

FNMA POOL 545968

 

5.5% 01 Oct 2017

 

459,907

 

 

 

461,237

 

 

 

FNMA POOL 546420

 

6.5% 01 Aug 2015

 

15,486

 

 

 

15,836

 

 

 

FNMA POOL 555299

 

7% 01 Nov 2017

 

208,307

 

 

 

213,271

 

 

 

FNMA POOL 559326

 

6.5% 01 Oct 2015

 

11,078

 

 

 

11,335

 

 

 

FNMA POOL 559532

 

7.5% 01 Dec 2030

 

374

 

 

 

388

 

 

 

FNMA POOL 562423

 

7% 01 Jan 2031

 

5,481

 

 

 

5,662

 

 

 

FNMA POOL 572156

 

7% 01 Jan 2016

 

57,478

 

 

 

58,848

 

 

 

FNMA POOL 572557

 

7% 01 Apr 2016

 

7,536

 

 

 

7,716

 

 

 

FNMA POOL 574112

 

5.5% 01 Apr 2016

 

85,101

 

 

 

85,440

 

 

 

FNMA POOL 583688

 

6.5% 01 Jun 2031

 

35,676

 

 

 

36,553

 

 

 

FNMA POOL 584882

 

7% 01 May 2016

 

93,142

 

 

 

95,362

 

 

 

FNMA POOL 587841

 

7% 01 Oct 2031

 

16,619

 

 

 

17,165

 

 

 

FNMA POOL 591186

 

6.5% 01 Aug 2016

 

29,007

 

 

 

29,661

 

 

 

FNMA POOL 602836

 

7% 01 Sep 2016

 

20,833

 

 

 

21,330

 

 

 

FNMA POOL 604436

 

7% 01 Sep 2016

 

108,894

 

 

 

111,488

 

 

 

FNMA POOL 604487

 

6.5% 01 Oct 2031

 

307,479

 

 

 

315,034

 

 

 

FNMA POOL 605424

 

7% 01 Jul 2016

 

44,164

 

 

 

45,217

 

 

 

FNMA POOL 606540

 

7% 01 Sep 2031

 

26,568

 

 

 

27,442

 

 

 

FNMA POOL 610058

 

7% 01 Nov 2031

 

7,328

 

 

 

7,569

 

 

 

FNMA POOL 610818

 

6.5% 01 Dec 2031

 

309,088

 

 

 

316,682

 

 

 

FNMA POOL 611509

 

7% 01 Oct 2031

 

8,380

 

 

 

8,655

 

 

 

FNMA POOL 614275

 

6.5% 01 Jan 2032

 

221,601

 

 

 

227,046

 

 

 

FNMA POOL 615327

 

5.5% 01 Dec 2016

 

40,143

 

 

 

40,259

 

 

 

FNMA POOL 617442

 

7% 01 Jan 2032

 

82,296

 

 

 

85,002

 

 

 

FNMA POOL 622708

 

7% 01 Jan 2032

 

154,742

 

 

 

159,832

 

 

 

FNMA POOL 626014

 

5.5% 01 Feb 2017

 

457,289

 

 

 

458,611

 

 

 

FNMA POOL 633862

 

6.5% 01 Mar 2032

 

249,691

 

 

 

255,514

 

 

 

FNMA POOL 641787

 

5.5% 01 May 2017

 

87,996

 

 

 

88,250

 

 

 

FNMA POOL 641996

 

6.5% 01 May 2032

 

258,941

 

 

 

264,980

 

 

 

FNMA POOL 642734

 

5.5% 01 Apr 2017

 

26,878

 

 

 

26,956

 

 

 

FNMA POOL 644834

 

7% 01 Jun 2032

 

54,024

 

 

 

55,733

 

 

 

FNMA POOL 645589

 

7% 01 May 2032

 

5,744

 

 

 

5,926

 

 

 

FNMA POOL 646352

 

7% 01 May 2032

 

85,482

 

 

 

88,187

 

 

 

FNMA POOL 647279

 

7% 01 May 2032

 

61,119

 

 

 

63,053

 

 

 

FNMA POOL 647998

 

7% 01 Jun 2032

 

123,675

 

 

 

127,588

 

 

 

FNMA POOL 650018

 

6.5% 01 Jun 2032

 

74,490

 

 

 

76,227

 

 

 

FNMA POOL 650901

 

6.5% 01 Jul 2032

 

152,677

 

 

 

156,237

 

 

 

FNMA POOL 651361

 

7% 01 Jul 2032

 

31,414

 

 

 

32,408

 

 

 

FNMA POOL 656217

 

7% 01 Aug 2032

 

109,532

 

 

 

112,861

 

 

 

FNMA POOL 656427

 

7% 01 Aug 2032

 

129,878

 

 

 

133,825

 

 

 

FNMA POOL 657369

 

5.5% 01 Sep 2017

 

2,479,804

 

 

 

2,485,423

 

 

 

FNMA POOL 657414

 

5.5% 01 Nov 2017

 

424,569

 

 

 

425,531

 

 

 

FNMA POOL 664188

 

5.5% 01 Sep 2017

 

79,990

 

 

 

80,171

 

 

 

FNMA POOL 665757

 

5.5% 01 Sep 2017

 

189,804

 

 

 

190,353

 

 

 

FNMA POOL 667012

 

5.5% 01 Nov 2017

 

78,474

 

 

 

78,651

 

 

 

FNMA POOL 668397

 

5.5% 01 Dec 2017

 

459,635

 

 

 

460,964

 

 

 

FNMA POOL 674152

 

5.5% 01 Nov 2017

 

65,300

 

 

 

65,448

 

 

 

FNMA POOL 689082

 

5% 01 Jun 2018

 

125,698

 

 

 

123,979

 

 

 

FNMA POOL 690605

 

5.5% 01 Nov 2018

 

111,442

 

 

 

111,660

 

 

 

FNMA POOL 704656

 

4.5% 01 May 2018

 

75,198

 

 

 

72,695

 

 

 

FNMA POOL 710711

 

4.5% 01 May 2018

 

493,214

 

 

 

476,799

 

 

 

FNMA POOL 725027

 

5% 01 Nov 2033

 

8,057,278

 

 

 

7,800,137

 

 

 

FNMA POOL 725068

 

5.5% 01 Jan 2019

 

32,523

 

 

 

32,596

 

 

 

FNMA POOL 725072

 

5.5% 01 Nov 2018

 

500,228

 

 

 

501,361

 

 

 

FNMA POOL 725162

 

6% 01 Feb 2034

 

3,067,666

 

 

 

3,096,425

 

 

 

FNMA POOL 725206

 

5.5% 01 Feb 2034

 

8,001,339

 

 

 

7,928,827

 

 

 

FNMA POOL 725424

 

5.5% 01 Apr 2034

 

137,864

 

 

 

136,614

 

 

 

FNMA POOL 725704

 

6% 01 Aug 2034

 

2,212,958

 

 

 

2,233,704

 

 

 

FNMA POOL 725946

 

5.5% 01 Nov 2034

 

3,784,936

 

 

 

3,745,903

 

 

 

FNMA POOL 735504

 

6% 01 Apr 2035

 

6,374,540

 

 

 

6,434,301

 

 

 

FNMA POOL 735611

 

0.99% 18 May 2035

 

1,041,583

 

 

 

1,043,943

 

 

 

FNMA POOL 735989

 

5.5% 01 Feb 2035

 

12,569,939

 

 

 

12,456,024

 

 

 

FNMA POOL 736903

 

5.5% 01 Jul 2019

 

260,126

 

 

 

260,431

 

 

 

FNMA POOL 744645

 

4.5% 01 Oct 2018

 

935,664

 

 

 

904,524

 

 

 

FNMA POOL 745134

 

5.5% 01 Oct 2035

 

590,075

 

 

 

583,437

 

 

 

FNMA POOL 745192

 

5.5% 01 Jun 2020

 

482,832

 

 

 

483,775

 

 

 

FNMA POOL 745209

 

5.5% 01 Sep 2019

 

3,619,213

 

 

 

3,627,412

 

 

 

FNMA POOL 745412

 

5.5% 01 Dec 2035

 

11,376,172

 

 

 

11,258,855

 

 

 

FNMA POOL 745592

 

5% 01 Jan 2021

 

4,944,115

 

 

 

4,870,339

 


 

 

 

FNMA POOL 745809

 

5.5% 01 Jun 2020

 

481,714

 

 

 

482,654

 

 

 

FNMA POOL 745832

 

6.47% 01 Apr 2021

 

5,390,731

 

 

 

5,473,066

 

 

 

FNMA POOL 745833

 

6% 01 Jan 2036

 

5,060,509

 

 

 

5,131,474

 

 

 

FNMA POOL 748252

 

4.5% 01 Oct 2018

 

481,818

 

 

 

465,782

 

 

 

FNMA POOL 749747

 

5% 01 Nov 2018

 

1,072,767

 

 

 

1,056,759

 

 

 

FNMA POOL 754763

 

6.5% 01 Jan 2034

 

6,359

 

 

 

6,483

 

 

 

FNMA POOL 754777

 

5.5% 01 Feb 2019

 

227,226

 

 

 

227,741

 

 

 

FNMA POOL 761240

 

4% 01 Jun 2019

 

4,723,621

 

 

 

4,456,073

 

 

 

FNMA POOL 785131

 

5.5% 01 Sep 2019

 

32,188

 

 

 

32,226

 

 

 

FNMA POOL 787559

 

5.5% 01 Feb 2020

 

691,717

 

 

 

691,987

 

 

 

FNMA POOL 787561

 

5.5% 01 Mar 2035

 

240,509

 

 

 

237,916

 

 

 

FNMA POOL 788003

 

5.5% 01 Aug 2019

 

54,281

 

 

 

54,345

 

 

 

FNMA POOL 790813

 

7% 01 Sep 2034

 

26,731

 

 

 

27,443

 

 

 

FNMA POOL 797644

 

5.5% 01 Aug 2035

 

714,988

 

 

 

706,944

 

 

 

FNMA POOL 797840

 

5.5% 01 Apr 2020

 

104,009

 

 

 

104,049

 

 

 

FNMA POOL 811480

 

5.5% 01 Jul 2020

 

113,034

 

 

 

113,078

 

 

 

FNMA POOL 813860

 

5.5% 01 May 2020

 

126,410

 

 

 

126,460

 

 

 

FNMA POOL 813927

 

5.5% 01 Nov 2020

 

106,490

 

 

 

106,498

 

 

 

FNMA POOL 815164

 

5.5% 01 May 2020

 

533,539

 

 

 

533,748

 

 

 

FNMA POOL 817020

 

5.5% 01 Mar 2035

 

1,453,159

 

 

 

1,437,492

 

 

 

FNMA POOL 825610

 

5.5% 01 Jun 2035

 

299,272

 

 

 

296,046

 

 

 

FNMA POOL 826202

 

5.5% 01 Jul 2035

 

237,965

 

 

 

235,288

 

 

 

FNMA POOL 828005

 

5.5% 01 Jun 2035

 

195,318

 

 

 

193,120

 

 

 

FNMA POOL 828346

 

5% 01 Jul 2035

 

581,831

 

 

 

561,990

 

 

 

FNMA POOL 828377

 

5.5% 01 Jun 2035

 

196,760

 

 

 

194,547

 

 

 

FNMA POOL 830082

 

5.5% 01 Jun 2035

 

250,757

 

 

 

247,936

 

 

 

FNMA POOL 830760

 

5.5% 01 Aug 2035

 

471,312

 

 

 

466,009

 

 

 

FNMA POOL 830796

 

5.5% 01 Sep 2035

 

182,912

 

 

 

180,854

 

 

 

FNMA POOL 830998

 

5.5% 01 Aug 2035

 

273,479

 

 

 

270,403

 

 

 

FNMA POOL 836647

 

5.5% 01 Oct 2020

 

127,873

 

 

 

127,883

 

 

 

FNMA POOL 838811

 

5.5% 01 Sep 2035

 

279,004

 

 

 

275,865

 

 

 

FNMA POOL 870744

 

6.5% 01 Sep 2036

 

1,963,467

 

 

 

2,000,666

 

 

 

FNMA POOL 880780

 

5.5% 01 Mar 2021

 

717,594

 

 

 

717,425

 

 

 

FNMA POOL 884167

 

6.5% 01 Aug 2036

 

88,332

 

 

 

90,006

 

 

 

FNMA POOL 891110

 

5.5% 01 Nov 2035

 

609,936

 

 

 

603,074

 

 

 

FNMA POOL 893628

 

6.5% 01 Sep 2036

 

474,923

 

 

 

483,920

 

 

 

FNMA POOL 900246

 

6.5% 01 Sep 2036

 

1,994,376

 

 

 

2,034,653

 

 

 

FNMA POOL 907606

 

5.475% 01 Dec 2036

 

4,850,000

 

 

 

4,852,529

 

 

 

FNMA TBA JAN 30 SINGLE FAM

 

6% 01 Dec 2099

 

19,000,000

 

 

 

19,127,657

 

 

 

FNMA TBA JAN 30 SINGLE FAM

 

6% 01 Dec 2099

 

(2,000,000

)

 

 

(2,013,438

)

 

 

FORT IRWIN LD LLC

 

5.3% 15 Dec 2035

 

1,030,000

 

 

 

958,600

 

 

 

FREDDIE MAC

 

5.5% 15 Mar 2030

 

5,390,000

 

 

 

5,400,975

 

 

 

FREDDIE MAC STRUCTURED PASS

 

5.5% 15 Jun 2035

 

2,775,114

 

 

 

2,775,031

 

 

 

FREESCALE SEMICONDUCTOR INC

 

1% 15 Dec 2014

 

250,000

 

 

 

247,813

 

 

 

FREESCALE SEMICONDUCTOR INC

 

9.125% 15 Dec 2014

 

595,000

 

 

 

591,281

 

 

 

GENERAL ELEC CAP CORP MTN

 

1% 15 Jan 2008

 

8,575,000

 

 

 

8,586,232

 

 

 

GENERAL ELEC CAP CORP MTN

 

4.125% 01 Sep 2009

 

1,215,000

 

 

 

1,181,909

 

 

 

GENERAL ELEC CAP CORP MTN

 

5% 15 Nov 2011

 

7,865,000

 

 

 

7,783,235

 

 

 

GMAC COML MTG SEC INC

 

1% 10 May 2040

 

4,880,000

 

 

 

4,932,464

 

 

 

GMAC COML MTG SEC INC

 

4.646% 10 Apr 2040

 

4,475,000

 

 

 

4,376,503

 

 

 

GMAC COML MTG SEC INC

 

6.175% 15 May 2033

 

1,806,964

 

 

 

1,830,150

 

 

 

GMAC COML MTG SEC INC

 

7.179% 15 Aug 2036

 

2,976,954

 

 

 

3,089,266

 

 

 

GMAC COML MTG SEC INC

 

7.724% 15 Mar 2033

 

4,875,000

 

 

 

5,168,046

 

 

 

GNMA II TBA JAN 30 SINGLE FAM

 

6% 01 Dec 2099

 

2,000,000

 

 

 

2,023,400

 

 

 

GNMA POOL 345952

 

6.5% 15 Oct 2023

 

97,645

 

 

 

100,219

 

 

 

GNMA POOL 351469

 

6% 15 Mar 2024

 

25,042

 

 

 

25,395

 

 

 

GNMA POOL 352001

 

6.5% 15 Dec 2023

 

219,624

 

 

 

225,415

 

 

 

GNMA POOL 354706

 

6% 15 Dec 2008

 

24,372

 

 

 

24,752

 

 

 

GNMA POOL 355176

 

6% 15 Dec 2023

 

191,631

 

 

 

194,334

 

 

 

GNMA POOL 361803

 

6% 15 Sep 2008

 

22,210

 

 

 

22,556

 

 

 

GNMA POOL 366780

 

6% 15 May 2009

 

58,100

 

 

 

59,006

 

 

 

GNMA POOL 368864

 

6% 15 Dec 2023

 

15,419

 

 

 

15,636

 

 

 

GNMA POOL 371257

 

6% 15 Jan 2024

 

190,137

 

 

 

192,818

 

 

 

GNMA POOL 385209

 

6% 15 Jan 2024

 

76,492

 

 

 

77,571

 

 

 

GNMA POOL 420663

 

6% 15 Jan 2011

 

12,994

 

 

 

13,245

 

 

 

GNMA POOL 462265

 

6% 15 Dec 2028

 

13,332

 

 

 

13,595

 

 

 

GNMA POOL 479926

 

7% 15 Jan 2031

 

21,759

 

 

 

22,566

 

 

 

GNMA POOL 482959

 

6.5% 15 Feb 2029

 

17,502

 

 

 

18,040

 

 

 

GNMA POOL 491767

 

6% 15 Dec 2028

 

12,276

 

 

 

12,518

 

 

 

GNMA POOL 492131

 

6% 15 Jan 2029

 

6,730

 

 

 

6,862

 

 

 

GNMA POOL 492133

 

6% 15 Jan 2029

 

2,582

 

 

 

2,632

 

 

 

GNMA POOL 492165

 

6% 15 Feb 2029

 

4,734

 

 

 

4,827

 

 

 

GNMA POOL 498937

 

7% 15 Feb 2031

 

24,928

 

 

 

25,853

 

 



 

 

GNMA POOL 503392

 

6.5% 15 Mar 2029

 

170,884

 

 

 

176,137

 

 

 

GNMA POOL 511872

 

7% 15 Jan 2031

 

24,587

 

 

 

25,499

 

 

 

GNMA POOL 527664

 

6% 15 Dec 2031

 

160,682

 

 

 

163,550

 

 

 

GNMA POOL 542736

 

7% 15 Apr 2031

 

53,265

 

 

 

55,241

 

 

 

GNMA POOL 551219

 

7% 15 Feb 2031

 

118,951

 

 

 

123,365

 

 

 

GNMA POOL 552168

 

7% 15 Nov 2031

 

15,490

 

 

 

16,045

 

 

 

GNMA POOL 561916

 

6% 15 Jun 2031

 

98,375

 

 

 

100,132

 

 

 

GNMA POOL 564553

 

6% 15 Dec 2031

 

41,101

 

 

 

41,835

 

 

 

GNMA POOL 564703

 

6% 15 Jul 2031

 

91,703

 

 

 

93,340

 

 

 

GNMA POOL 569840

 

7% 15 Jun 2032

 

17,084

 

 

 

17,696

 

 

 

GNMA POOL 574308

 

6% 15 Dec 2031

 

145,337

 

 

 

147,932

 

 

 

GNMA POOL 574838

 

6% 15 Nov 2031

 

59,187

 

 

 

60,244

 

 

 

GNMA POOL 575454

 

6% 15 Dec 2031

 

76,851

 

 

 

78,223

 

 

 

GNMA POOL 575886

 

6% 15 Dec 2031

 

104,509

 

 

 

106,375

 

 

 

GNMA POOL 579138

 

6% 15 Jan 2032

 

26,634

 

 

 

27,109

 

 

 

GNMA POOL 592794

 

7% 15 Jul 2032

 

80,744

 

 

 

83,513

 

 

 

GNMA POOL 603918

 

7% 15 Jan 2033

 

55,913

 

 

 

57,831

 

 

 

GNMA POOL 780276

 

6.5% 15 Jul 2009

 

150,310

 

 

 

153,985

 

 

 

GNMA POOL 780733

 

7% 15 Mar 2013

 

119,975

 

 

 

122,377

 

 

 

GNMA POOL 780914

 

6% 15 Nov 2028

 

195,457

 

 

 

199,313

 

 

 

GNMA POOL 781292

 

6.5% 15 Dec 2008

 

122,363

 

 

 

125,355

 

 

 

GNMA POOL 781328

 

7% 15 Sep 2031

 

115,463

 

 

 

119,748

 

 

 

GS MTG SECS CORP

 

4.0593% 25 Aug 2034

 

6,192,990

 

 

 

6,059,326

 

 

 

GS MTG SECS CORP II

 

4.761% 10 Jul 2039

 

2,125,000

 

 

 

2,043,361

 

 

 

GS MTG SECS CORP II

 

6.135% 18 Oct 2030

 

4,921,758

 

 

 

4,947,164

 

 

 

GTE CORP

 

6.94% 15 Apr 2028

 

110,000

 

 

 

115,371

 

 

 

HARBORVIEW MTG LN TR

 

5.63% 19 Nov 2035

 

3,559,641

 

 

 

3,560,037

 

 

 

HBOS PLC

 

3.5% 30 Nov 2007

 

1,730,000

 

 

 

1,701,653

 

 

 

HBOS PLC MEDIUM TERM SR NTS

 

3.6% 15 Aug 2007

 

820,000

 

 

 

811,079

 

 

 

HBOS TREAS SVCS PLC COVRD BD

 

5% 21 Nov 2011

 

5,335,000

 

 

 

5,320,429

 

 

 

HOME EQUITY MTG LN ASSET BACK

 

5.38% 25 Nov 2036

 

4,166,416

 

 

 

4,165,116

 

 

 

HOUSEHOLD FIN CORP

 

4.75% 15 May 2009

 

750,000

 

 

 

740,838

 

 

 

HSBC BK USA INSTL

 

3.87% 07 Jun 2007

 

6,450,000

 

 

 

6,411,300

 

 

 

INDYMAC INDX MTG LN TR

 

1% 25 Feb 2037

 

4,450,000

 

 

 

4,450,000

 

 

 

INTELSAT LTD

 

9.25% 15 Jun 2016

 

230,000

 

 

 

247,250

 

 

 

IRS 3ML USD

 

5.23813% 01 Dec 2010

 

(16,000,000

)

 

 

(128,000

)

 

 

IRS BRS2GR108

 

5.49813% 14 Jul 2010

 

(23,200,000

)

 

 

—

 

 

 

IRS BRS2GR108

 

5.64% 14 Jul 2010

 

23,200,000

 

 

 

770,071

 

 

 

IRS BRS2VEWH9 3ML USD

 

1% 16 Oct 2011

 

(36,300,000

)

 

 

—

 

 

 

IRS BRS2VEWH9 USD

 

5.231% 16 Oct 2011

 

36,300,000

 

 

 

177,870

 

 

 

IRS USD

 

4.88% 01 Dec 2010

 

16,000,000

 

 

 

—

 

 

 

ISPAT INLAND ULC

 

9.75% 01 Apr 2014

 

250,000

 

 

 

277,715

 

 

 

J P MORGAN CHASE + CO

 

4% 01 Feb 2008

 

960,000

 

 

 

946,759

 

 

 

J P MORGAN CHASE COML

 

5.857% 12 Oct 2035

 

3,560,000

 

 

 

3,642,378

 

 

 

J P MORGAN CHASE COML MTG SECS

 

4.686% 12 Nov 2039

 

4,200,000

 

 

 

4,074,494

 

 

 

J P MORGAN CHASE COML MTG SECS

 

6.429% 15 Apr 2035

 

3,295,000

 

 

 

3,436,281

 

 

 

JP MORGAN CHASE COML MTG

 

4.895% 12 Sep 2037

 

3,900,000

 

 

 

3,780,610

 

 

 

L 3 COMMUNICATIONS CORP

 

6.375% 15 Oct 2015

 

100,000

 

 

 

99,000

 

 

 

LANDESKREDITBANK BADEN

 

4.25% 15 Sep 2010

 

3,100,000

 

 

 

3,017,906

 

 

 

LB UBS

 

5.372% 15 Sep 2039

 

3,930,000

 

 

 

3,932,084

 

 

 

LB UBS COML MTG TR

 

1200% 15 Aug 2026

 

5,825,000

 

 

 

6,162,017

 

 

 

LU UBS COML MTG TR

 

6.41% 15 Dec 2019

 

1,355,108

 

 

 

1,365,507

 

 

 

LUMINENET MTG TR

 

1% 25 May 2036

 

6,100,000

 

 

 

6,099,957

 

 

 

LYONDELL CHEMICAL CO

 

8% 15 Sep 2014

 

210,000

 

 

 

217,875

 

 

 

LYONDELL CHEMICAL CO

 

8.25% 15 Sep 2016

 

355,000

 

 

 

372,750

 

 

 

MASTR ALTERNATIVE LN TR

 

5.5% 25 May 2034

 

2,105,494

 

 

 

2,070,622

 

 

 

MAY DEPT STORES CO

 

6.65% 15 Jul 2024

 

175,000

 

 

 

173,106

 

 

 

MAY DEPT STORES CO

 

6.7% 15 Jul 2034

 

130,000

 

 

 

127,988

 

 

 

MBNA CR CARD MASTER NT TR

 

1% 15 Dec 2010

 

5,800,000

 

 

 

5,800,905

 

 

 

MBNA CR CARD MASTER NT TR

 

2.65% 15 Nov 2010

 

6,800,000

 

 

 

6,559,878

 

 

 

MBNA CR CARD MASTER NT TR

 

2.7% 15 Sep 2009

 

6,050,000

 

 

 

6,006,519

 

 

 

MBNA CR CARD MASTER NT TR

 

4.9% 15 Jul 2011

 

5,925,000

 

 

 

5,907,409

 

 

 

MBNA CREDIT CARD MASTER NOTE

 

4.7% 15 Feb 2011

 

7,550,000

 

 

 

7,567,697

 

 

 

METROPOLITAN LIFE GLOBAL FDG

 

4.75% 20 Jun 2007

 

800,000

 

 

 

798,102

 

 

 

MGM MIRAGE

 

6% 01 Oct 2009

 

285,000

 

 

 

284,288

 

 

 

MIDWEST GENERATION LLC

 

8.56% 02 Jan 2016

 

58,436

 

 

 

64,426

 

 

 

MOHEGAN TRIBAL GAMING AUTH

 

6.125% 15 Feb 2013

 

265,000

 

 

 

264,132

 

 

 

MOMENTIVE PERFORMANCE MATLS IN

 

10.125% 01 Dec 2014

 

335,000

 

 

 

336,675

 

 

 

MONUMENTAL GLOBAL FDG II 2002A

 

5.2% 30 Jan 2007

 

850,000

 

 

 

849,946

 

 

 

MORGAN J P COML MTG FIN CORP

 

7.371% 15 Aug 2032

 

3,012,202

 

 

 

3,166,131

 

 

 

MORGAN STANLEY

 

5.05% 21 Jan 2011

 

1,375,000

 

 

 

1,359,708

 

 

 

MORGAN STANLEY

 

5.625% 09 Jan 2012

 

220,000

 

 

 

222,328

 

 

 

MORGAN STANLEY CAP I INC

 

6.55% 15 Mar 2030

 

657,076

 

 

 

659,629

 


 

 

 

MORGAN STANLEY CAP I TR

 

5.332% 15 Dec 2043

 

4,090,000

 

 

 

4,078,696

 

 

 

MORGAN STANLEY GROUP INC

 

4.9% 07 Mar 2008

 

7,070,000

 

 

 

7,073,863

 

 

 

MORGAN STANLEY GROUP INC

 

6.75% 15 Apr 2011

 

700,000

 

 

 

736,574

 

 

 

MORTGAGE CAP FDG INC

 

6.549% 18 Jun 2030

 

330,000

 

 

 

334,222

 

 

 

NATIONAL CITY BK IN MT BK NTS

 

3.3% 15 May 2007

 

500,000

 

 

 

496,114

 

 

 

NATIONAL WESTMINSTER BK PLC

 

7.375% 01 Oct 2009

 

950,000

 

 

 

1,000,464

 

 

 

NATIONWIDE BLDG SOC

 

4.25% 01 Feb 2010

 

725,000

 

 

 

703,004

 

 

 

NATIONWIDE BLDG SOC MT SR 144A

 

3.5% 31 Jul 2007

 

2,125,000

 

 

 

2,100,421

 

 

 

NEW ENGLAND TEL + TELEG CO

 

7.875% 15 Nov 2029

 

125,000

 

 

 

136,586

 

 

 

NEW JERSEY BELL TEL CO

 

7.85% 15 Nov 2029

 

70,000

 

 

 

78,179

 

 

 

NEW YORK LIFE GLOBAL FDG MTN

 

3.875% 15 Jan 2009

 

775,000

 

 

 

756,972

 

 

 

NEWS AMER HLDGS INC

 

7.75% 20 Jan 2024

 

395,000

 

 

 

432,021

 

 

 

NEWS AMER HLDGS INC

 

8.15% 17 Oct 2036

 

415,000

 

 

 

482,407

 

 

 

NOMURA HOME EQUITY LN INC

 

5.4% 25 Mar 2036

 

2,540,710

 

 

 

2,540,710

 

 

 

NOMURA HOME EQUITY LN INC HOME

 

1% 25 Mar 2036

 

5,021,110

 

 

 

5,020,326

 

 

 

NORTHWEST PIPELINE CORP

 

8.125% 01 Mar 2010

 

265,000

 

 

 

275,931

 

 

 

NOVASTAR MTG FDG TR SER 2006 3

 

5.259% 25 May 2036

 

6,362,227

 

 

 

6,362,227

 

 

 

NRG ENERGY

 

7.375% 01 Feb 2016

 

210,000

 

 

 

211,050

 

 

 

OHANA MILITARY CMNTYS LLC

 

6.193% 01 Apr 2049

 

650,000

 

 

 

688,344

 

 

 

OPTION ONE MTG LN TR

 

5.41% 25 Nov 2035

 

1,914,992

 

 

 

1,914,992

 

 

 

PANAMSAT CORP NEW

 

9% 15 Jun 2016

 

170,000

 

 

 

179,988

 

 

 

PHILLIPS PETE CO

 

7% 30 Mar 2029

 

840,000

 

 

 

959,051

 

 

 

QWEST CORP

 

1% 15 Jun 2013

 

300,000

 

 

 

324,750

 

 

 

RELIANT ENERGY INC

 

6.75% 15 Dec 2014

 

190,000

 

 

 

185,725

 

 

 

RESIDENTIAL ASSET MTG PRODS

 

5.43% 25 Oct 2035

 

1,137,256

 

 

 

1,137,256

 

 

 

RESOLUTION FDG FBE CPN STRIPS

 

0% 15 Jul 2018

 

925,000

 

 

 

522,626

 

 

 

RESOLUTION FDG FBE CPN STRIPS

 

0% 15 Oct 2018

 

925,000

 

 

 

515,712

 

 

 

ROGERS WIRELESS INC

 

7.5% 15 Mar 2015

 

420,000

 

 

 

455,700

 

 

 

ROUSE CO

 

3.625% 15 Mar 2009

 

1,875,000

 

 

 

1,774,613

 

 

 

ROUSE CO

 

5.375% 26 Nov 2013

 

835,000

 

 

 

776,057

 

 

 

ROUSE CO LP

 

6.75% 01 May 2013

 

625,000

 

 

 

627,656

 

 

 

SABINE PASS LNG

 

7.5% 30 Nov 2016

 

635,000

 

 

 

632,619

 

 

 

SALOMON BROS COML MTG TR

 

6.592% 18 Dec 2033

 

3,620,000

 

 

 

3,750,699

 

 

 

SALOMON INC

 

6.5% 15 Feb 2008

 

240,000

 

 

 

243,251

 

 

 

SBC COMMUNICATIONS INC

 

4.389% 05 Jun 2021

 

3,375,000

 

 

 

3,356,606

 

 

 

SCOTTISH POWER PLC

 

4.91% 15 Mar 2010

 

950,000

 

 

 

933,652

 

 

 

SEAGATE TECHNOLOGY HDD HLDGS

 

6.8% 01 Oct 2016

 

120,000

 

 

 

120,600

 

 

 

SLM STUDENT LN TR

 

5.37% 25 Apr 2012

 

6,075,000

 

 

 

6,074,052

 

 

 

SMALL BUSINESS ADMIN PARTN CTF

 

0.99% 01 Feb 2014

 

2,587,789

 

 

 

2,507,723

 

 

 

SPRINT CAP CORP

 

8.75% 15 Mar 2032

 

190,000

 

 

 

228,771

 

 

 

STATE STREET BANK + TRUST CO

 

SHORT TERM INVESTMENT FUND

 

7,715,380

 

 

 

7,715,380

 

 

 

STRUCTURED ASSET SECS CORP

 

1% 25 Jan 2031

 

2,593,301

 

 

 

2,377,975

 

 

 

SUNCOR ENERGY INC

 

5.95% 01 Dec 2034

 

90,000

 

 

 

91,206

 

 

 

SUNTRUST BK ATLANTA GA

 

4.415% 15 Jun 2009

 

1,115,000

 

 

 

1,094,596

 

 

 

SUNTRUST BKS INC

 

3.625% 15 Oct 2007

 

600,000

 

 

 

592,036

 

 

 

SUNTRUST BKS INC

 

4% 15 Oct 2008

 

610,000

 

 

 

597,087

 

 

 

SWAPTION

 

DEC 5.4 PUT

 

(12,200,000

)

 

 

(170,800

)

 

 

SWAPTION (BRS33JR59)

 

DEC 4.4 CALL

 

(12,200,000

)

 

 

(51,406

)

 

 

SWB LOAN BACKED CERTIFICATE

 

7.375% 15 May 2025

 

615,208

 

 

 

621,360

 

 

 

SWEDISH EXPT CR CORP

 

2.875% 26 Jan 2007

 

1,200,000

 

 

 

1,197,873

 

 

 

TARGA RES INC

 

8.5% 01 Nov 2013

 

25,000

 

 

 

25,188

 

 

 

TCI COMMUNICATIONS INC

 

7.125% 15 Feb 2028

 

700,000

 

 

 

743,750

 

 

 

TELECOM ITALIA CAP

 

6% 30 Sep 2034

 

540,000

 

 

 

489,971

 

 

 

TELECOM ITALIA CAP

 

7.2% 18 Jul 2036

 

650,000

 

 

 

673,865

 

 

 

TELEFONICA EMISIONES S A U

 

6.421% 20 Jun 2016

 

75,000

 

 

 

77,382

 

 

 

TELEFONICA EMISIONES S A U

 

7.045% 20 Jun 2036

 

925,000

 

 

 

980,422

 

 

 

TELEFONICA EUROPE BV

 

7.75% 15 Sep 2010

 

590,000

 

 

 

632,850

 

 

 

TIAA GLOBAL MKTS INC

 

3.875% 22 Jan 2008

 

475,000

 

 

 

467,332

 

 

 

TIME WARNER COS INC

 

7.57% 01 Feb 2024

 

1,060,000

 

 

 

1,164,113

 

 

 

TIME WARNER ENTMT CO L P

 

8.375% 15 Mar 2023

 

500,000

 

 

 

585,124

 

 

 

TIME WARNER INC

 

6.625% 15 May 2029

 

125,000

 

 

 

126,497

 

 

 

TXU CORP

 

4.8% 15 Nov 2009

 

500,000

 

 

 

487,970

 

 

 

TYCO INTL GROUP S A

 

6.375% 15 Oct 2011

 

700,000

 

 

 

730,968

 

 

 

U S BANCORP MTN BK ENT

 

3.95% 23 Aug 2007

 

250,000

 

 

 

247,852

 

 

 

U S TREAS BONDS FUTURES

 

7-Mar-07

 

64,200,000

 

 

 

—

 

 

 

U S TREAS NOTES 10YR FUTURES

 

7-Mar-07

 

38,100,000

 

 

 

—

 

 

 

U S TREAS NOTES 5YR FUTURES

 

7-Mar-07

 

(123,800,000

)

 

 

—

 

 

 

UNITED MEXICAN STS MTN

 

8% 24 Sep 2022

 

265,000

 

 

 

323,698

 

 

 

UNITED RENTALS NORTH AMER INC

 

6.5% 15 Feb 2012

 

90,000

 

 

 

88,875

 

 

 

UNITED STATE TREAS NTS

 

4.5% 15 Nov 2015

 

17,975,000

 

 

 

17,702,567

 

 

 

UNITED STATES TREAS BD

 

0% 15 Nov 2027

 

12,020,000

 

 

 

4,362,338

 

 

 

UNITED STATES TREAS BDS

 

2% 15 Jan 2026

 

7,992,991

 

 

 

7,517,159

 

 

 

UNITED STATES TREAS BDS

 

4.5% 15 Feb 2036

 

385,000

 

 

 

366,291

 


 

 

 

UNITED STATES TREAS NTS

 

0% 15 Jul 2014

 

3,479,970

 

 

 

3,378,181

 

 

 

UNITED STATES TREAS NTS

 

4.625% 15 Nov 2016

 

9,665,000

 

 

 

9,603,084

 

 

 

UNITED STATES TREAS NTS

 

4.875% 15 Aug 2016

 

12,950,000

 

 

 

13,107,828

 

 

 

UNITED STATES TREAS NTS

 

5.19% 08 Jan 2007

 

1,863,918

 

 

 

1,878,107

 

 

 

UNITED TECHNOLOGIES CORP

 

1% 01 Jun 2009

 

2,300,000

 

 

 

2,302,461

 

 

 

US BK NATL ASSN CINCINNATI OH

 

2.4% 12 Mar 2007

 

1,200,000

 

 

 

1,193,253

 

 

 

US BK NATL ASSN CINCINNATI OH

 

4.4% 15 Aug 2008

 

1,510,000

 

 

 

1,491,181

 

 

 

US TEAS NOTES 10YR

 

MAR 106 PUT

 

148,000

 

 

 

29,600

 

 

 

USAA AUTO OWNER TR

 

4.7% 15 May 2012

 

5,875,000

 

 

 

5,808,906

 

 

 

USAA CAP CORP BOOK ENTRY 144A

 

4% 10 Dec 2007

 

930,000

 

 

 

919,492

 

 

 

VERIZON GLOBAL FDG CORP

 

7.75% 15 Jun 2032

 

360,000

 

 

 

407,214

 

 

 

VERIZON MARYLAND INC

 

5.125% 15 Jun 2033

 

590,000

 

 

 

486,133

 

 

 

VODAFONE AIRTOUCH PLC

 

7.75% 15 Feb 2010

 

795,000

 

 

 

847,206

 

 

 

VODAFONE GROUP PLC NEW

 

5.5% 29 Jun 2007

 

3,000,000

 

 

 

3,000,305

 

 

 

WACHOVIA BK COML MTG TR

 

4.935% 15 Apr 2042

 

3,720,000

 

 

 

3,618,078

 

 

 

WACHOVIA BK NATL

 

5.42875% 23 Mar 2009

 

3,575,000

 

 

 

3,575,797

 

 

 

WACHOVIA BK NATL ASSN MEDIUM

 

4.375% 15 Aug 2008

 

740,000

 

 

 

730,492

 

 

 

WASHINGTON MUT ASSET SECS CORP

 

5.15% 25 May 2036

 

5,510,000

 

 

 

5,479,134

 

 

 

WELLPOINT INC

 

5.95% 15 Dec 2034

 

230,000

 

 

 

226,601

 

 

 

WELLS FARGO + CO

 

4.875% 12 Jan 2011

 

500,000

 

 

 

493,990

 

 

 

WELLS FARGO + CO NEW

 

4.2% 15 Jan 2010

 

360,000

 

 

 

350,083

 

 

 

WELLS FARGO + CO NEW

 

4.625% 09 Aug 2010

 

2,955,000

 

 

 

2,899,434

 

 

 

WELLS FARGO MTG BACKED SECS

 

4.491% 25 Jul 2034

 

6,780,224

 

 

 

6,619,534

 

 

 

WINDSTREAM CORP

 

8.125% 01 Aug 2013

 

475,000

 

 

 

514,188

 

 

 

WINDSTREAM CORP

 

8.625% 01 Aug 2016

 

350,000

 

 

 

383,250

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Sub-Total: Fund 5710 / Pimco 1 of 6

 

 

 

 

 

$

815,303,011

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(c) Description of investment including maturity date,

 

 

 

(e) Fair

 

(a)

 

(b) Identity of issue, borrower, lessor, or similar party

 

rate of interest, collateral, par, or maturity value

 

(d) Cost

 

value

 

 

 

 

 

 

 

 

 

(n / a)

 

 

 

 

 

 

 

 

 

Par Value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BEAR SRTEARNS ARM TR

 

4.7986% 25 Nov 2035

 

3,946,331

 

 

 

3,904,821

 

 

 

BEAR STEARNS ALT A TR 2006 6

 

1% 25 Oct 2036

 

2,966,600

 

 

 

2,970,462

 

 

 

C10 CAP SPV LTD

 

1% 01 Dec 2049

 

5,900,000

 

 

 

5,885,250

 

 

 

CITIGROUP MTG LN TR

 

4.9% 25 Oct 2035

 

269,085

 

 

 

266,049

 

 

 

COUNTRYWIDE BK ALEXANDRIA VA

 

5.32% 25 Apr 2007

 

4,600,000

 

 

 

4,600,037

 

 

 

CSAB TR 2006 1

 

5.42% 25 Jun 2036

 

1,369,067

 

 

 

1,368,564

 

 

 

EURODOLLAR FUTURES

 

7-Mar-07

 

61,250,000

 

 

 

—

 

 

 

EURODOLLAR FUTURES

 

8-Mar-07

 

320,250,000

 

 

 

—

 

 

 

EURODOLLAR FUTURES

 

7-Jun-07

 

148,750,000

 

 

 

—

 

 

 

EURODOLLAR FUTURES

 

7-Sep-07

 

1,750,000

 

 

 

—

 

 

 

EURODOLLAR FUTURES

 

JUN 95.25 CALL

 

1,910,000

 

 

 

317,633

 

 

 

EURODOLLAR MIDCURVE 1YR FTR

 

JUL 95.75 CALL

 

(1,910,000

)

 

 

(114,600

)

 

 

EUX ACAL EURO BOND

 

FEB 120.5

 

(27,300,000

)

 

 

—

 

 

 

EUX APUT EUR BUND

 

7-Feb-07

 

(27,300,000

)

 

 

—

 

 

 

FBR SECURITIZATION TR

 

5.5% 25 Sep 2035

 

2,468,211

 

 

 

2,468,596

 

 

 

FED HM LN PC POOL 1J1214

 

5.339% 01 Sep 2035

 

6,169,105

 

 

 

6,149,953

 

 

 

FED HM LN PC POOL 1J1219

 

4.82% 01 Oct 2035

 

3,733,699

 

 

 

3,709,999

 

 

 

FED HM LN PC POOL 785867

 

6.539% 01 Dec 2026

 

123,958

 

 

 

126,919

 

 

 

FED HM LN PC POOL 789758

 

5.166% 01 Sep 2032

 

411,637

 

 

 

409,760

 

 

 

FED HM LN PC POOL 789777

 

5.149% 01 Sep 2032

 

179,054

 

 

 

178,196

 

 

 

FEDERAL HOME LN MTG CORP

 

4.5% 15 May 2024

 

4,851,407

 

 

 

4,786,207

 

 

 

FEDERAL HOME LN MTG PC GTD

 

7% 15 May 2022

 

715,041

 

 

 

712,926

 

 

 

FEDERAL NATL MTG ASSN

 

6.5% 25 Jun 2028

 

185,274

 

 

 

188,988

 

 

 

FEDERAL NATL MTG ASSN REMIC

 

6.39% 25 May 2036

 

1,271,174

 

 

 

1,318,955

 

 

 

FEDERAL NATL MTG ASSN REMIC

 

6.5% 25 Feb 2023

 

562,756

 

 

 

577,245

 

 

 

FEDERAL NATL MTG ASSN REMIC

 

7% 25 Oct 2022

 

541,071

 

 

 

560,856

 

 

 

FEDERAL NATL MTG ASSN REMIC

 

7.5% 20 Sep 2027

 

2,314,500

 

 

 

2,424,140

 

 

 

FHA 221 D4

 

7.43% 01 Dec 2020

 

1,181,995

 

 

 

1,190,860

 

 

 

FHA 221/D4 GMAC 56 P8/01

 

7.43% 25 Oct 2022

 

133,916

 

 

 

134,920

 

 

 

FHA 232 236

 

6.69% 01 May 2016

 

1,162,359

 

 

 

1,165,265

 

 

 

FHA 253 P11 02 PJ HUNT PG 87

 

7.43% 01 Jan 2021

 

525,033

 

 

 

530,010

 

 

 

FHA INSD 23RD MTG

 

7.43% 01 Mar 2022

 

104,999

 

 

 

105,786

 

 

 

FHA INSD MTG P/T

 

7.43% 01 Jul 2024

 

122,841

 

 

 

123,762

 

 

 

FHA INSD MTG POOL

 

7.43% 01 Nov 2024

 

54,455

 

 

 

54,864

 

 

 

FHA INSD MTG POOL 56 GMAC

 

7.43% 25 Oct 2022

 

19,192

 

 

 

19,336

 

 

 

FHA PROJ LN CTF SER POOL 5

 

7.43% 01 Feb 2022

 

105,484

 

 

 

106,276

 

 

 

FNMA TBA JAN 15 SINGLE FAM

 

5% 01 Dec 2099

 

66,500,000

 

 

 

65,367,425

 

 

 

FNMA TBA JAN 30 SINGLE FAM

 

5% 01 Dec 2099

 

(29,000,000

)

 

 

(27,994,063

)

 

 

FNMA TBA JAN 30 SINGLE FAM

 

5.5% 01 Dec 2099

 

(250,100,000

)

 

 

(247,188,686

)

 

 

FNMA TBA JAN 30 SINGLE FAM

 

6.5% 01 Dec 2099

 

24,000,000

 

 

 

24,448,126

 

 



 

 

 

FNMA POOL 066414

 

5.647% 01 Sep 2028

 

400,117

 

 

 

400,789

 

 

 

FNMA POOL 124097

 

8.5% 01 Jan 2007

 

7

 

 

 

7

 

 

 

FNMA POOL 190371

 

6.5% 01 Jul 2036

 

7,646,451

 

 

 

7,791,315

 

 

 

FNMA POOL 190639

 

5.5% 01 Jan 2024

 

18,794

 

 

 

18,577

 

 

 

FNMA POOL 255075

 

5.5% 01 Feb 2024

 

2,695,546

 

 

 

2,676,593

 

 

 

FNMA POOL 255179

 

5.5% 01 Apr 2034

 

21,873

 

 

 

21,647

 

 

 

FNMA POOL 255190

 

5.5% 01 May 2034

 

305,801

 

 

 

302,648

 

 

 

FNMA POOL 255363

 

5.5% 01 Aug 2034

 

69,821

 

 

 

69,101

 

 

 

FNMA POOL 255498

 

5.5% 01 Dec 2034

 

448,705

 

 

 

444,078

 

 

 

FNMA POOL 255671

 

5.5% 01 Apr 2035

 

118,321

 

 

 

117,045

 

 

 

FNMA POOL 255740

 

5.5% 01 May 2035

 

22,744

 

 

 

22,498

 

 

 

FNMA POOL 255770

 

5.5% 01 Jul 2035

 

4,274,507

 

 

 

4,226,419

 

 

 

FNMA POOL 255813

 

5% 01 Aug 2035

 

9,231,460

 

 

 

8,916,652

 

 

 

FNMA POOL 255843

 

5.5% 01 Aug 2035

 

868,120

 

 

 

858,354

 

 

 

FNMA POOL 256158

 

5.25% 01 Feb 2036

 

209,404

 

 

 

209,082

 

 

 

FNMA POOL 256437

 

6.5% 01 Sep 2036

 

4,850,263

 

 

 

4,942,153

 

 

 

FNMA POOL 258269

 

5.5% 01 Feb 2035

 

1,009,724

 

 

 

998,838

 

 

 

FNMA POOL 357467

 

5.5% 01 Dec 2033

 

119,802

 

 

 

118,716

 

 

 

FNMA POOL 357485

 

5.5% 01 Feb 2034

 

67,780

 

 

 

67,081

 

 

 

FNMA POOL 357539

 

5.5% 01 Apr 2034

 

19,661

 

 

 

19,458

 

 

 

FNMA POOL 357595

 

5.5% 01 Jul 2034

 

58,061

 

 

 

57,462

 

 

 

FNMA POOL 357613

 

5.5% 01 Sep 2034

 

1,082,433

 

 

 

1,071,270

 

 

 

FNMA POOL 357639

 

5.5% 01 Nov 2034

 

1,163,300

 

 

 

1,151,303

 

 

 

FNMA POOL 357735

 

5.5% 01 Feb 2035

 

70,167

 

 

 

69,411

 

 

 

FNMA POOL 357761

 

5.5% 10 May 2035

 

895,932

 

 

 

886,272

 

 

 

FNMA POOL 357797

 

5.5% 01 Jun 2035

 

2,655,105

 

 

 

2,626,479

 

 

 

FNMA POOL 357824

 

5.5% 01 Jun 2035

 

43,603

 

 

 

43,133

 

 

 

FNMA POOL 357852

 

5.5% 01 Jul 2035

 

1,747,042

 

 

 

1,727,388

 

 

 

FNMA POOL 357876

 

5.5% 01 Jul 2035

 

205,676

 

 

 

203,555

 

 

 

FNMA POOL 357909

 

5.5% 01 Aug 2035

 

886,432

 

 

 

876,459

 

 

 

FNMA POOL 401421

 

5.5% 01 Apr 2026

 

69,257

 

 

 

68,456

 

 

 

FNMA POOL 450838

 

5.5% 01 Dec 2028

 

29,747

 

 

 

29,403

 

 

 

FNMA POOL 544502

 

1% 01 Jul 2030

 

153,495

 

 

 

155,009

 

 

 

FNMA POOL 688612

 

5.5% 01 Mar 2033

 

286,050

 

 

 

283,905

 

 

 

FNMA POOL 711503

 

5.5% 01 Jun 2033

 

24,842

 

 

 

24,617

 

 

 

FNMA POOL 711840

 

5.5% 01 Jul 2033

 

312,678

 

 

 

309,845

 

 

 

FNMA POOL 722120

 

5.5% 01 Jul 2033

 

69,895

 

 

 

69,262

 

 

 

FNMA POOL 722246

 

5.5% 01 Jul 2033

 

110,865

 

 

 

109,860

 

 

 

FNMA POOL 725042

 

5.5% 01 Jan 2034

 

325,533

 

 

 

322,582

 

 

 

FNMA POOL 725425

 

5.5% 01 Apr 2034

 

280,501

 

 

 

277,959

 

 

 

FNMA POOL 725773

 

5.5% 01 Sep 2034

 

5,351,514

 

 

 

5,296,327

 

 

 

FNMA POOL 725943

 

5.5% 01 Oct 2034

 

812,298

 

 

 

803,921

 

 

 

FNMA POOL 725946

 

5.5% 01 Nov 2034

 

9,332,273

 

 

 

9,236,034

 

 

 

FNMA POOL 725948

 

5.5% 01 Oct 2034

 

2,406,232

 

 

 

2,381,418

 

 

 

FNMA POOL 730173

 

5.5% 01 Feb 2034

 

48,774

 

 

 

48,271

 

 

 

FNMA POOL 735224

 

5.5% 01 Feb 2035

 

807,139

 

 

 

798,815

 

 

 

FNMA POOL 735227

 

5.5% 01 Feb 2035

 

241,863

 

 

 

239,369

 

 

 

FNMA POOL 735388

 

5.5% 01 Feb 2035

 

114,004

 

 

 

112,829

 

 

 

FNMA POOL 735764

 

4.825% 01 Jul 2035

 

4,098,824

 

 

 

4,061,002

 

 

 

FNMA POOL 735965

 

4.756% 01 Oct 2035

 

4,247,473

 

 

 

4,197,835

 

 

 

FNMA POOL 739423

 

5.5% 01 Oct 2033

 

294,206

 

 

 

291,540

 

 

 

FNMA POOL 740173

 

5.5% 01 Sep 2033

 

70,432

 

 

 

69,794

 

 

 

FNMA POOL 740615

 

5.5% 01 Sep 2033

 

170,982

 

 

 

169,433

 

 

 

FNMA POOL 740775

 

5.5% 01 Sep 2033

 

28,892

 

 

 

28,631

 

 

 

FNMA POOL 741620

 

5.5% 01 Oct 2033

 

26,552

 

 

 

26,311

 

 

 

FNMA POOL 742263

 

5.5% 01 Nov 2033

 

13,012

 

 

 

12,894

 

 

 

FNMA POOL 743043

 

5.5% 01 Oct 2033

 

18,906

 

 

 

18,735

 

 

 

FNMA POOL 743875

 

5.5% 01 Nov 2033

 

31,403

 

 

 

31,119

 

 

 

FNMA POOL 745275

 

5% 01 Feb 2036

 

22,648,361

 

 

 

21,876,015

 

 

 

FNMA POOL 745336

 

5% 01 Mar 2036

 

61,986,466

 

 

 

59,872,628

 

 

 

FNMA POOL 745738

 

6.5% 01 Aug 2036

 

17,279,542

 

 

 

17,606,908

 

 

 

FNMA POOL 745814

 

6.5% 01 Jul 2036

 

16,171,817

 

 

 

16,478,196

 

 

 

FNMA POOL 745820

 

6.5% 01 Aug 2036

 

4,929,393

 

 

 

5,022,782

 

 

 

FNMA POOL 745876

 

6.5% 01 Sep 2036

 

20,026,323

 

 

 

20,405,728

 

 

 

FNMA POOL 747695

 

5.5% 01 Nov 2033

 

819,289

 

 

 

811,864

 

 

 

FNMA POOL 748579

 

5.5% 01 Nov 2033

 

676,444

 

 

 

670,313

 

 

 

FNMA POOL 748619

 

5.5% 01 Feb 2034

 

58,310

 

 

 

57,708

 

 

 

FNMA POOL 748792

 

5.5% 01 Nov 2033

 

196,403

 

 

 

194,623

 

 

 

FNMA POOL 749056

 

5.5% 01 Nov 2033

 

42,514

 

 

 

42,129

 

 

 

FNMA POOL 749990

 

5.5% 01 Nov 2033

 

13,910

 

 

 

13,784

 

 

 

FNMA POOL 750985

 

5.5% 01 Nov 2033

 

114,258

 

 

 

113,222

 

 

 

FNMA POOL 751018

 

5.5% 01 Dec 2033

 

38,995

 

 

 

38,642

 

 

 

FNMA POOL 751098

 

5.5% 01 Nov 2033

 

22,414

 

 

 

22,211

 

 



 

 

 

FNMA POOL 754182

 

5.5% 01 Dec 2033

 

26,242

 

 

 

26,005

 

 

 

FNMA POOL 754324

 

5.5% 01 Dec 2033

 

245,824

 

 

 

243,289

 

 

 

FNMA POOL 754727

 

5.5% 01 Feb 2034

 

452,939

 

 

 

448,268

 

 

 

FNMA POOL 755727

 

5.5% 01 May 2034

 

801,561

 

 

 

793,295

 

 

 

FNMA POOL 756916

 

5.5% 01 Nov 2033

 

35,071

 

 

 

34,754

 

 

 

FNMA POOL 757614

 

5.5% 01 Dec 2033

 

339,089

 

 

 

335,592

 

 

 

FNMA POOL 757829

 

5.5% 01 Jun 2035

 

97,361

 

 

 

96,266

 

 

 

FNMA POOL 757845

 

5.5% 01 Aug 2035

 

841,204

 

 

 

831,741

 

 

 

FNMA POOL 757847

 

5.5% 01 Aug 2035

 

585,703

 

 

 

579,114

 

 

 

FNMA POOL 758343

 

5.5% 01 Mar 2034

 

53,385

 

 

 

52,834

 

 

 

FNMA POOL 758789

 

5.5% 01 Dec 2033

 

541,293

 

 

 

535,711

 

 

 

FNMA POOL 758938

 

5.5% 01 Jan 2034

 

1,005,012

 

 

 

994,648

 

 

 

FNMA POOL 763016

 

4% 01 Sep 2013

 

559,240

 

 

 

537,897

 

 

 

FNMA POOL 763676

 

5.5% 01 Jan 2034

 

14,423

 

 

 

14,274

 

 

 

FNMA POOL 765559

 

5.5% 01 Jan 2034

 

153,000

 

 

 

151,422

 

 

 

FNMA POOL 765952

 

5.5% 01 Feb 2034

 

15,873

 

 

 

15,709

 

 

 

FNMA POOL 766182

 

5.5% 01 Mar 2034

 

807,564

 

 

 

799,236

 

 

 

FNMA POOL 769159

 

5.5% 01 Feb 2034

 

708,201

 

 

 

700,897

 

 

 

FNMA POOL 769569

 

5.5% 01 Mar 2034

 

49,626

 

 

 

49,114

 

 

 

FNMA POOL 769777

 

5.5% 01 Feb 2034

 

524,634

 

 

 

519,223

 

 

 

FNMA POOL 770269

 

5.5% 01 Apr 2034

 

427,629

 

 

 

423,219

 

 

 

FNMA POOL 770721

 

5.5% 01 Apr 2034

 

1,005,203

 

 

 

994,837

 

 

 

FNMA POOL 771023

 

5.5% 01 Apr 2034

 

62,574

 

 

 

61,929

 

 

 

FNMA POOL 771297

 

5.5% 01 Mar 2034

 

483,433

 

 

 

478,448

 

 

 

FNMA POOL 771935

 

5.5% 01 May 2034

 

126,397

 

 

 

125,093

 

 

 

FNMA POOL 772297

 

5.5% 01 Mar 2034

 

391,116

 

 

 

387,083

 

 

 

FNMA POOL 772318

 

5.5% 01 Mar 2034

 

31,992

 

 

 

31,662

 

 

 

FNMA POOL 772648

 

5.5% 01 Mar 2034

 

752,308

 

 

 

744,550

 

 

 

FNMA POOL 772651

 

5.5% 01 Mar 2034

 

68,877

 

 

 

68,167

 

 

 

FNMA POOL 773661

 

5.5% 01 Apr 2034

 

602,392

 

 

 

596,180

 

 

 

FNMA POOL 773934

 

5.5% 01 Apr 2034

 

41,433

 

 

 

41,006

 

 

 

FNMA POOL 773995

 

5.5% 01 Mar 2034

 

703,022

 

 

 

695,772

 

 

 

FNMA POOL 774099

 

5.5% 01 Jun 2034

 

49,956

 

 

 

49,441

 

 

 

FNMA POOL 774327

 

5.5% 01 Mar 2034

 

14,118

 

 

 

13,973

 

 

 

FNMA POOL 774401

 

5.5% 01 Apr 2034

 

21,790

 

 

 

21,565

 

 

 

FNMA POOL 774999

 

5.5% 01 Apr 2034

 

753,925

 

 

 

746,150

 

 

 

FNMA POOL 775138

 

5.5% 01 May 2034

 

69,509

 

 

 

68,792

 

 

 

FNMA POOL 775168

 

5.5% 01 May 2034

 

23,203

 

 

 

22,963

 

 

 

FNMA POOL 775303

 

5.5% 01 May 2034

 

18,220

 

 

 

18,032

 

 

 

FNMA POOL 775658

 

5.5% 01 May 2034

 

20,122

 

 

 

19,914

 

 

 

FNMA POOL 775695

 

5.5% 01 May 2034

 

562,638

 

 

 

556,835

 

 

 

FNMA POOL 775719

 

5.5% 01 May 2034

 

739,502

 

 

 

731,876

 

 

 

FNMA POOL 775776

 

5.5% 01 May 2034

 

602,778

 

 

 

596,562

 

 

 

FNMA POOL 775813

 

5.5% 01 May 2034

 

190,805

 

 

 

188,838

 

 

 

FNMA POOL 776236

 

5.5% 01 Apr 2034

 

20,818

 

 

 

20,603

 

 

 

FNMA POOL 776440

 

5.5% 01 Jul 2034

 

828,423

 

 

 

819,880

 

 

 

FNMA POOL 776975

 

5.5% 01 Apr 2034

 

677,354

 

 

 

670,369

 

 

 

FNMA POOL 776981

 

5.5% 01 Apr 2034

 

17,340

 

 

 

17,161

 

 

 

FNMA POOL 776983

 

5.5% 01 Apr 2034

 

388,548

 

 

 

384,541

 

 

 

FNMA POOL 777488

 

5.5% 01 Jun 2034

 

17,548

 

 

 

17,367

 

 

 

FNMA POOL 777496

 

5.5% 01 Jul 2034

 

28,760

 

 

 

28,463

 

 

 

FNMA POOL 777558

 

5.5% 01 May 2034

 

34,578

 

 

 

34,221

 

 

 

FNMA POOL 777602

 

5.5% 01 May 2034

 

135,096

 

 

 

133,703

 

 

 

FNMA POOL 777796

 

5.5% 01 Jun 2034

 

729,595

 

 

 

722,071

 

 

 

FNMA POOL 778219

 

5.5% 01 May 2034

 

173,064

 

 

 

171,279

 

 

 

FNMA POOL 778235

 

5.5% 01 May 2034

 

20,294

 

 

 

20,085

 

 

 

FNMA POOL 778416

 

5.5% 01 Jul 2035

 

809,928

 

 

 

800,816

 

 

 

FNMA POOL 778660

 

5.5% 01 May 2034

 

753,405

 

 

 

745,636

 

 

 

FNMA POOL 779022

 

5.5% 01 Jun 2034

 

704,220

 

 

 

696,958

 

 

 

FNMA POOL 779091

 

5.5% 01 Jun 2034

 

80,759

 

 

 

79,927

 

 

 

FNMA POOL 779222

 

5.5% 01 Jun 2034

 

16,209

 

 

 

16,042

 

 

 

FNMA POOL 779376

 

5.5% 01 Jun 2034

 

20,318

 

 

 

20,108

 

 

 

FNMA POOL 779377

 

5.5% 01 Jun 2034

 

16,887

 

 

 

16,713

 

 

 

FNMA POOL 779515

 

5.5% 01 Jun 2034

 

529,668

 

 

 

524,205

 

 

 

FNMA POOL 779607

 

5.5% 01 Jul 2034

 

53,303

 

 

 

52,754

 

 

 

FNMA POOL 779677

 

5.5% 01 Jun 2034

 

53,601

 

 

 

53,048

 

 

 

FNMA POOL 779955

 

5.5% 01 May 2034

 

34,226

 

 

 

33,873

 

 

 

FNMA POOL 780397

 

5.5% 01 Jun 2034

 

16,945

 

 

 

16,770

 

 

 

FNMA POOL 780666

 

5.5% 01 May 2034

 

136,677

 

 

 

135,268

 

 

 

FNMA POOL 780730

 

5.5% 01 May 2034

 

183,300

 

 

 

181,410

 

 

 

FNMA POOL 780898

 

5.5% 01 May 2034

 

51,619

 

 

 

51,087

 

 

 

FNMA POOL 780921

 

5.5% 01 Jun 2034

 

37,781

 

 

 

37,392

 

 

 

FNMA POOL 781019

 

5.5% 01 May 2034

 

277,313

 

 

 

274,453

 

 



 

 

 

FNMA POOL 781078

 

5.5% 01 May 2034

 

49,094

 

 

 

48,588

 

 

 

FNMA POOL 781585

 

5.5% 01 Sep 2034

 

29,066

 

 

 

28,766

 

 

 

FNMA POOL 781839

 

5.5% 01 Oct 2034

 

32,145

 

 

 

31,813

 

 

 

FNMA POOL 782548

 

5.5% 01 Jun 2034

 

31,494

 

 

 

31,169

 

 

 

FNMA POOL 782620

 

5.5% 01 Jun 2034

 

368,472

 

 

 

364,673

 

 

 

FNMA POOL 782693

 

5.5% 01 Jul 2034

 

28,186

 

 

 

27,895

 

 

 

FNMA POOL 782798

 

5.5% 01 Jun 2034

 

72,902

 

 

 

72,150

 

 

 

FNMA POOL 782910

 

5.5% 01 Jun 2034

 

221,355

 

 

 

219,072

 

 

 

FNMA POOL 783017

 

5.5% 01 Jun 2034

 

54,988

 

 

 

54,420

 

 

 

FNMA POOL 783328

 

5.5% 01 Apr 2035

 

41,107

 

 

 

40,664

 

 

 

FNMA POOL 783336

 

5.5% 01 Aug 2035

 

75,462

 

 

 

74,613

 

 

 

FNMA POOL 783610

 

4.834% 01 Jun 2035

 

4,698,821

 

 

 

4,658,977

 

 

 

FNMA POOL 783667

 

5.5% 01 Jun 2034

 

44,095

 

 

 

43,640

 

 

 

FNMA POOL 783813

 

5.5% 01 Jul 2034

 

307,376

 

 

 

304,206

 

 

 

FNMA POOL 783851

 

5.5% 01 Jul 2034

 

851,236

 

 

 

842,457

 

 

 

FNMA POOL 783852

 

5.5% 01 Jul 2034

 

31,708

 

 

 

31,381

 

 

 

FNMA POOL 784091

 

5.5% 01 Jun 2034

 

10,331

 

 

 

10,224

 

 

 

FNMA POOL 784335

 

5.5% 01 Jan 2035

 

318,151

 

 

 

314,721

 

 

 

FNMA POOL 785364

 

5.5% 01 Jun 2034

 

44,800

 

 

 

44,338

 

 

 

FNMA POOL 785460

 

5.5% 01 Sep 2035

 

156,516

 

 

 

154,731

 

 

 

FNMA POOL 786269

 

5.5% 01 Jul 2034

 

611,051

 

 

 

604,750

 

 

 

FNMA POOL 786318

 

5.5% 01 Jul 2034

 

48,219

 

 

 

47,722

 

 

 

FNMA POOL 786446

 

5.5% 01 Jul 2034

 

46,876

 

 

 

46,393

 

 

 

FNMA POOL 786556

 

5.5% 01 Jul 2034

 

657,067

 

 

 

650,291

 

 

 

FNMA POOL 787112

 

5.5% 01 Jun 2034

 

25,129

 

 

 

24,870

 

 

 

FNMA POOL 788465

 

5.5% 01 Jun 2034

 

104,305

 

 

 

103,230

 

 

 

FNMA POOL 789156

 

5.5% 01 Oct 2034

 

29,484

 

 

 

29,180

 

 

 

FNMA POOL 789356

 

5.5% 01 Jul 2034

 

829,251

 

 

 

820,699

 

 

 

FNMA POOL 789384

 

5.5% 01 Jul 2034

 

21,807

 

 

 

21,582

 

 

 

FNMA POOL 789545

 

5.5% 01 Jul 2034

 

21,801

 

 

 

21,576

 

 

 

FNMA POOL 789912

 

5.5% 01 Jul 2034

 

101,255

 

 

 

100,211

 

 

 

FNMA POOL 791157

 

5.5% 01 Oct 2034

 

169,510

 

 

 

167,762

 

 

 

FNMA POOL 791662

 

5.5% 01 Sep 2034

 

100,658

 

 

 

99,620

 

 

 

FNMA POOL 793341

 

5.5% 01 Aug 2034

 

61,858

 

 

 

61,220

 

 

 

FNMA POOL 793985

 

5.5% 01 Sep 2034

 

55,035

 

 

 

54,467

 

 

 

FNMA POOL 794257

 

5.5% 01 Sep 2034

 

114,182

 

 

 

113,005

 

 

 

FNMA POOL 794331

 

5.5% 01 Sep 2034

 

231,146

 

 

 

228,762

 

 

 

FNMA POOL 794349

 

5.5% 01 Sep 2034

 

36,671

 

 

 

36,293

 

 

 

FNMA POOL 794443

 

5.5% 01 Oct 2034

 

45,227

 

 

 

44,760

 

 

 

FNMA POOL 794633

 

5.5% 01 Oct 2034

 

78,592

 

 

 

77,781

 

 

 

FNMA POOL 794921

 

5.5% 01 Oct 2034

 

786,795

 

 

 

778,682

 

 

 

FNMA POOL 794994

 

5.5% 01 Oct 2034

 

36,912

 

 

 

36,531

 

 

 

FNMA POOL 795572

 

5.5% 01 May 2035

 

806,763

 

 

 

798,065

 

 

 

FNMA POOL 796113

 

5.5% 01 Oct 2034

 

820,870

 

 

 

812,405

 

 

 

FNMA POOL 796222

 

5.5% 01 Nov 2034

 

29,067

 

 

 

28,767

 

 

 

FNMA POOL 796425

 

5.5% 01 Sep 2034

 

16,925

 

 

 

16,751

 

 

 

FNMA POOL 796455

 

5.5% 01 Sep 2034

 

18,010

 

 

 

17,824

 

 

 

FNMA POOL 796977

 

5.5% 01 Oct 2034

 

895,064

 

 

 

885,834

 

 

 

FNMA POOL 797233

 

5.5% 01 Sep 2034

 

77,507

 

 

 

76,708

 

 

 

FNMA POOL 797490

 

5.5% 01 Mar 2035

 

10,727,520

 

 

 

10,611,864

 

 

 

FNMA POOL 797549

 

5.5% 01 Apr 2035

 

27,493

 

 

 

27,197

 

 

 

FNMA POOL 797564

 

5.5% 01 May 2030

 

555,748

 

 

 

549,757

 

 

 

FNMA POOL 797570

 

5.5% 01 May 2035

 

21,113

 

 

 

20,886

 

 

 

FNMA POOL 797585

 

6.5% 01 Jun 2035

 

358,377

 

 

 

365,279

 

 

 

FNMA POOL 797633

 

5% 01 Aug 2035

 

2,950,881

 

 

 

2,850,251

 

 

 

FNMA POOL 797663

 

5% 01 Sep 2035

 

323,450

 

 

 

312,420

 

 

 

FNMA POOL 798016

 

5.5% 01 Jan 2035

 

20,161

 

 

 

19,953

 

 

 

FNMA POOL 799147

 

5.5% 01 Apr 2035

 

767,448

 

 

 

759,174

 

 

 

FNMA POOL 800601

 

5.5% 01 Oct 2034

 

831,268

 

 

 

822,695

 

 

 

FNMA POOL 801686

 

5.5% 01 Dec 2034

 

370,293

 

 

 

366,474

 

 

 

FNMA POOL 801886

 

5.5% 01 Nov 2034

 

268,691

 

 

 

265,920

 

 

 

FNMA POOL 802354

 

5.5% 01 Nov 2034

 

649,757

 

 

 

643,056

 

 

 

FNMA POOL 803357

 

5.5% 01 Apr 2035

 

842,595

 

 

 

833,511

 

 

 

FNMA POOL 803367

 

5.5% 01 Jul 2035

 

21,678

 

 

 

21,434

 

 

 

FNMA POOL 803368

 

5.5% 01 Aug 2035

 

905,245

 

 

 

895,061

 

 

 

FNMA POOL 803857

 

5.5% 01 Dec 2034

 

519,260

 

 

 

513,661

 

 

 

FNMA POOL 804459

 

5.5% 01 Dec 2034

 

160,621

 

 

 

158,965

 

 

 

FNMA POOL 804573

 

5.5% 01 Dec 2034

 

19,351

 

 

 

19,142

 

 

 

FNMA POOL 805377

 

5.5% 01 Jan 2035

 

640,734

 

 

 

633,826

 

 

 

FNMA POOL 805526

 

5.5% 01 Jul 2035

 

861,270

 

 

 

851,581

 

 

 

FNMA POOL 805534

 

5.5% 01 Sep 2035

 

739,622

 

 

 

731,186

 

 

 

FNMA POOL 807813

 

5.5% 01 Apr 2035

 

346,663

 

 

 

342,926

 

 

 

FNMA POOL 807894

 

5.5% 01 Feb 2035

 

124,720

 

 

 

123,375

 

 



 

 

 

FNMA POOL 807908

 

5.5% 01 Mar 2035

 

844,318

 

 

 

835,215

 

 

 

FNMA POOL 808077

 

5.5% 01 Feb 2035

 

720,798

 

 

 

713,027

 

 

 

FNMA POOL 808182

 

5.5% 01 Mar 2035

 

82,144

 

 

 

81,259

 

 

 

FNMA POOL 808265

 

5.5% 01 Jun 2035

 

343,714

 

 

 

339,847

 

 

 

FNMA POOL 808413

 

5.5% 01 Jan 2035

 

851,676

 

 

 

842,493

 

 

 

FNMA POOL 808826

 

5.5% 01 Jan 2035

 

399,257

 

 

 

394,952

 

 

 

FNMA POOL 808933

 

5.5% 01 Jan 2035

 

547,070

 

 

 

541,172

 

 

 

FNMA POOL 808956

 

5.5% 01 Jan 2035

 

379,618

 

 

 

375,526

 

 

 

FNMA POOL 808984

 

5.5% 01 Feb 2035

 

36,271

 

 

 

35,880

 

 

 

FNMA POOL 809297

 

5.5% 01 Feb 2035

 

490,985

 

 

 

485,691

 

 

 

FNMA POOL 809550

 

5.5% 01 Feb 2035

 

804,487

 

 

 

795,814

 

 

 

FNMA POOL 809694

 

5.5% 01 Feb 2035

 

305,627

 

 

 

302,332

 

 

 

FNMA POOL 809706

 

5.5% 01 Mar 2035

 

298,276

 

 

 

295,060

 

 

 

FNMA POOL 810249

 

5.5% 01 Jan 2035

 

5,428,120

 

 

 

5,369,598

 

 

 

FNMA POOL 810408

 

5.5% 01 Jan 2035

 

283,680

 

 

 

280,621

 

 

 

FNMA POOL 810419

 

5.5% 01 Feb 2035

 

98,200

 

 

 

97,141

 

 

 

FNMA POOL 810685

 

5.5% 01 Jan 2035

 

23,132

 

 

 

22,883

 

 

 

FNMA POOL 810706

 

5.5% 01 Jan 2035

 

863,109

 

 

 

853,803

 

 

 

FNMA POOL 811063

 

5.5% 01 Mar 2035

 

734,312

 

 

 

726,395

 

 

 

FNMA POOL 811514

 

5% 01 Oct 2020

 

4,936,042

 

 

 

4,853,131

 

 

 

FNMA POOL 811779

 

5.5% 01 Jan 2035

 

719,085

 

 

 

711,332

 

 

 

FNMA POOL 812067

 

5.5% 01 Jan 2035

 

195,491

 

 

 

193,383

 

 

 

FNMA POOL 812765

 

5.5% 01 Mar 2035

 

95,956

 

 

 

94,921

 

 

 

FNMA POOL 812771

 

5.5% 01 Mar 2035

 

774,220

 

 

 

765,872

 

 

 

FNMA POOL 812913

 

5.5% 01 Feb 2035

 

51,056

 

 

 

50,506

 

 

 

FNMA POOL 813026

 

5.5% 01 Mar 2035

 

763,352

 

 

 

755,122

 

 

 

FNMA POOL 813035

 

5.5% 01 Apr 2035

 

79,288

 

 

 

78,434

 

 

 

FNMA POOL 813041

 

5.5% 01 Apr 2035

 

704,532

 

 

 

696,936

 

 

 

FNMA POOL 813912

 

5% 01 Nov 2020

 

14,703,325

 

 

 

14,456,355

 

 

 

FNMA POOL 813939

 

5% 01 Dec 2020

 

10,994,309

 

 

 

10,809,639

 

 

 

FNMA POOL 814116

 

5.5% 01 Feb 2035

 

736,165

 

 

 

728,228

 

 

 

FNMA POOL 814336

 

5.5% 01 Mar 2035

 

663,556

 

 

 

656,402

 

 

 

FNMA POOL 814358

 

5.5% 01 Mar 2035

 

757,726

 

 

 

749,557

 

 

 

FNMA POOL 814412

 

5.5% 01 Mar 2035

 

784,044

 

 

 

775,591

 

 

 

FNMA POOL 814520

 

5.5% 01 Mar 2035

 

28,600

 

 

 

28,291

 

 

 

FNMA POOL 814614

 

5.5% 01 Apr 2035

 

25,770

 

 

 

25,492

 

 

 

FNMA POOL 815488

 

5.5% 01 Mar 2035

 

754,193

 

 

 

746,061

 

 

 

FNMA POOL 815492

 

5.5% 01 Mar 2035

 

244,816

 

 

 

242,177

 

 

 

FNMA POOL 815497

 

5.5% 01 Mar 2035

 

748,114

 

 

 

740,049

 

 

 

FNMA POOL 815498

 

5.5% 01 Mar 2035

 

228,857

 

 

 

226,390

 

 

 

FNMA POOL 815500

 

5.5% 01 Mar 2035

 

21,013

 

 

 

20,786

 

 

 

FNMA POOL 815514

 

5.5% 01 Mar 2035

 

800,870

 

 

 

792,236

 

 

 

FNMA POOL 815539

 

5.5% 01 Mar 2035

 

26,576

 

 

 

26,289

 

 

 

FNMA POOL 815555

 

5.5% 01 Feb 2035

 

26,010

 

 

 

25,730

 

 

 

FNMA POOL 815758

 

5.5% 01 Mar 2035

 

70,705

 

 

 

69,943

 

 

 

FNMA POOL 815859

 

5.5% 01 Feb 2035

 

788,080

 

 

 

779,583

 

 

 

FNMA POOL 815895

 

5.5% 01 Feb 2035

 

22,728

 

 

 

22,483

 

 

 

FNMA POOL 815907

 

5.5% 01 Feb 2035

 

20,644

 

 

 

20,422

 

 

 

FNMA POOL 815920

 

5.5% 01 Mar 2035

 

780,427

 

 

 

772,013

 

 

 

FNMA POOL 815923

 

5.5% 01 Mar 2035

 

265,361

 

 

 

262,500

 

 

 

FNMA POOL 815956

 

5.5% 01 May 2035

 

892,359

 

 

 

882,738

 

 

 

FNMA POOL 815977

 

5.5% 01 Mar 2035

 

327,239

 

 

 

323,711

 

 

 

FNMA POOL 816230

 

5.5% 01 Mar 2035

 

1,300,168

 

 

 

1,286,150

 

 

 

FNMA POOL 817187

 

5.5% 01 May 2035

 

34,862

 

 

 

34,486

 

 

 

FNMA POOL 817235

 

5.5% 01 Jun 2035

 

686,084

 

 

 

678,687

 

 

 

FNMA POOL 817241

 

5.5% 01 Jun 2035

 

63,520

 

 

 

62,805

 

 

 

FNMA POOL 817346

 

5.5% 01 Jul 2035

 

864,595

 

 

 

854,868

 

 

 

FNMA POOL 817490

 

5.5% 01 Sep 2035

 

942,262

 

 

 

931,662

 

 

 

FNMA POOL 817505

 

5.5% 01 Sep 2035

 

971,355

 

 

 

960,275

 

 

 

FNMA POOL 817511

 

5.5% 01 Sep 2035

 

943,595

 

 

 

932,832

 

 

 

FNMA POOL 817828

 

6.5% 01 Oct 2036

 

998,072

 

 

 

1,016,981

 

 

 

FNMA POOL 818747

 

5.5% 01 Feb 2035

 

130,846

 

 

 

129,436

 

 

 

FNMA POOL 818764

 

5.5% 01 Feb 2035

 

23,381

 

 

 

23,128

 

 

 

FNMA POOL 819138

 

5.5% 01 Jan 2035

 

68,299

 

 

 

67,563

 

 

 

FNMA POOL 819144

 

5.5% 01 Apr 2035

 

302,518

 

 

 

299,257

 

 

 

FNMA POOL 819191

 

5.5% 01 Apr 2035

 

587,220

 

 

 

580,889

 

 

 

FNMA POOL 819296

 

5.5% 01 Sep 2035

 

420,524

 

 

 

415,793

 

 

 

FNMA POOL 819407

 

5.5% 01 May 2035

 

548,695

 

 

 

542,779

 

 

 

FNMA POOL 819906

 

5.5% 01 Apr 2035

 

824,706

 

 

 

815,815

 

 

 

FNMA POOL 819944

 

5.5% 01 Apr 2035

 

531,325

 

 

 

525,597

 

 

 

FNMA POOL 819970

 

5.5% 01 Apr 2035

 

99,564

 

 

 

98,490

 

 

 

FNMA POOL 820023

 

5.5% 01 Apr 2035

 

21,906

 

 

 

21,670

 

 

 

FNMA POOL 820284

 

5.5% 01 Aug 2035

 

622,655

 

 

 

615,650

 

 



 

 

 

FNMA POOL 820291

 

5.5% 01 Aug 2035

 

931,725

 

 

 

921,243

 

 

 

FNMA POOL 820324

 

5% 01 Aug 2035

 

53,464

 

 

 

51,641

 

 

 

FNMA POOL 820505

 

5.5% 01 Jun 2035

 

431,418

 

 

 

426,565

 

 

 

FNMA POOL 820966

 

5.5% 01 Apr 2035

 

111,282

 

 

 

110,082

 

 

 

FNMA POOL 820980

 

5.5% 01 Apr 2035

 

603,183

 

 

 

596,680

 

 

 

FNMA POOL 821015

 

5.5% 01 May 2035

 

127,418

 

 

 

126,044

 

 

 

FNMA POOL 821078

 

5.5% 01 Mar 2035

 

220,262

 

 

 

217,888

 

 

 

FNMA POOL 821176

 

5.5% 01 May 2035

 

75,510

 

 

 

74,696

 

 

 

FNMA POOL 821190

 

5.5% 01 May 2030

 

971,713

 

 

 

961,237

 

 

 

FNMA POOL 821198

 

5.5% 01 May 2035

 

112,376

 

 

 

111,165

 

 

 

FNMA POOL 821257

 

5.5% 01 May 2035

 

218,848

 

 

 

216,489

 

 

 

FNMA POOL 821276

 

5.5% 01 Apr 2035

 

129,437

 

 

 

128,042

 

 

 

FNMA POOL 821318

 

5.5% 01 May 2035

 

791,317

 

 

 

782,786

 

 

 

FNMA POOL 821352

 

5.5% 01 May 2035

 

596,472

 

 

 

590,042

 

 

 

FNMA POOL 821503

 

5.5% 01 Jun 2035

 

55,766

 

 

 

55,165

 

 

 

FNMA POOL 821567

 

5.5% 01 Jun 2035

 

227,946

 

 

 

225,489

 

 

 

FNMA POOL 821597

 

5.5% 01 Jun 2035

 

599,436

 

 

 

592,973

 

 

 

FNMA POOL 821631

 

5.5% 01 Jun 2030

 

197,213

 

 

 

195,087

 

 

 

FNMA POOL 821754

 

5.5% 01 Jun 2035

 

325,969

 

 

 

322,455

 

 

 

FNMA POOL 821807

 

5.5% 01 Jun 2035

 

79,294

 

 

 

78,439

 

 

 

FNMA POOL 821839

 

5.5% 01 Jun 2035

 

311,944

 

 

 

308,434

 

 

 

FNMA POOL 821867

 

5.5% 01 Jun 2035

 

557,463

 

 

 

551,453

 

 

 

FNMA POOL 821880

 

5.5% 01 Jun 2035

 

2,002,442

 

 

 

1,979,915

 

 

 

FNMA POOL 821952

 

5.5% 01 Jun 2035

 

4,969,744

 

 

 

4,913,834

 

 

 

FNMA POOL 822032

 

5.5% 01 Jul 2035

 

485,671

 

 

 

480,207

 

 

 

FNMA POOL 822101

 

4.997% 01 May 2035

 

3,871,788

 

 

 

3,844,254

 

 

 

FNMA POOL 822429

 

5.5% 01 May 2035

 

1,147,798

 

 

 

1,135,424

 

 

 

FNMA POOL 822514

 

5.5% 01 Jun 2035

 

146,896

 

 

 

145,243

 

 

 

FNMA POOL 822621

 

5.5% 01 Jun 2035

 

111,210

 

 

 

110,011

 

 

 

FNMA POOL 822727

 

5.5% 01 May 2035

 

831,861

 

 

 

822,893

 

 

 

FNMA POOL 822815

 

5.5% 01 Apr 2035

 

657,679

 

 

 

650,588

 

 

 

FNMA POOL 822868

 

5.5% 01 May 2035

 

815,398

 

 

 

806,607

 

 

 

FNMA POOL 822883

 

5.5% 01 Jun 2035

 

767,791

 

 

 

759,153

 

 

 

FNMA POOL 822950

 

5.5% 01 May 2035

 

709,298

 

 

 

701,651

 

 

 

FNMA POOL 822963

 

5.5% 01 Apr 2035

 

869,347

 

 

 

859,975

 

 

 

FNMA POOL 823100

 

5.5% 01 Jun 2035

 

988,616

 

 

 

977,494

 

 

 

FNMA POOL 823104

 

5.5% 01 Jul 2035

 

736,786

 

 

 

728,497

 

 

 

FNMA POOL 823109

 

5.5% 01 Jul 2035

 

25,609

 

 

 

25,321

 

 

 

FNMA POOL 823152

 

5.5% 01 May 2035

 

811,668

 

 

 

802,917

 

 

 

FNMA POOL 823155

 

5.5% 01 May 2035

 

36,009

 

 

 

35,620

 

 

 

FNMA POOL 823157

 

5.5% 01 May 2035

 

385,147

 

 

 

380,995

 

 

 

FNMA POOL 823205

 

5.5% 01 May 2035

 

300,752

 

 

 

297,510

 

 

 

FNMA POOL 823217

 

5.5% 01 May 2035

 

1,083,523

 

 

 

1,071,841

 

 

 

FNMA POOL 823228

 

5.5% 01 Jun 2035

 

124,246

 

 

 

122,906

 

 

 

FNMA POOL 823253

 

5.5% 01 Jun 2035

 

784,997

 

 

 

776,166

 

 

 

FNMA POOL 823259

 

5.5% 01 Jun 2035

 

824,649

 

 

 

815,372

 

 

 

FNMA POOL 823278

 

5.5% 01 Jun 2035

 

96,920

 

 

 

95,830

 

 

 

FNMA POOL 823297

 

5.5% 01 Jul 2035

 

639,898

 

 

 

632,699

 

 

 

FNMA POOL 823444

 

5.5% 01 May 2035

 

41,307

 

 

 

40,861

 

 

 

FNMA POOL 823548

 

5.5% 01 Jul 2035

 

49,727

 

 

 

49,168

 

 

 

FNMA POOL 823562

 

5.5% 01 Aug 2035

 

324,019

 

 

 

320,374

 

 

 

FNMA POOL 823569

 

5.5% 01 Aug 2035

 

853,823

 

 

 

844,218

 

 

 

FNMA POOL 823579

 

5.5% 01 Aug 2035

 

764,643

 

 

 

756,041

 

 

 

FNMA POOL 823854

 

5.5% 01 May 2035

 

20,573

 

 

 

20,351

 

 

 

FNMA POOL 824282

 

5.5% 01 Jun 2035

 

154,669

 

 

 

153,001

 

 

 

FNMA POOL 824323

 

5.5% 01 Jun 2035

 

588,945

 

 

 

582,595

 

 

 

FNMA POOL 824339

 

5.5% 01 Jul 2035

 

173,075

 

 

 

171,127

 

 

 

FNMA POOL 824525

 

5.5% 01 May 2035

 

822,574

 

 

 

813,705

 

 

 

FNMA POOL 824535

 

5.5% 01 Jun 2035

 

65,514

 

 

 

64,808

 

 

 

FNMA POOL 824556

 

5.5% 01 Jul 2035

 

31,283

 

 

 

30,931

 

 

 

FNMA POOL 824601

 

5.5% 01 Dec 2034

 

6,066,255

 

 

 

6,003,696

 

 

 

FNMA POOL 824770

 

5.5% 01 Jun 2035

 

567,680

 

 

 

561,560

 

 

 

FNMA POOL 824802

 

5.5% 01 Jun 2035

 

133,450

 

 

 

131,949

 

 

 

FNMA POOL 824805

 

5.5% 01 Jun 2035

 

32,214

 

 

 

31,852

 

 

 

FNMA POOL 824835

 

5.5% 01 May 2035

 

558,461

 

 

 

552,440

 

 

 

FNMA POOL 824842

 

5.5% 01 Jun 2035

 

682,083

 

 

 

674,410

 

 

 

FNMA POOL 825112

 

5.5% 01 May 2035

 

76,647

 

 

 

75,821

 

 

 

FNMA POOL 825136

 

5.5% 01 Jun 2035

 

759,987

 

 

 

751,437

 

 

 

FNMA POOL 825157

 

4.822% 01 Aug 2035

 

1,444,144

 

 

 

1,431,279

 

 

 

FNMA POOL 825271

 

5.5% 01 Jul 2035

 

783,539

 

 

 

774,725

 

 

 

FNMA POOL 825459

 

5.5% 01 Jun 2035

 

81,538

 

 

 

80,621

 

 

 

FNMA POOL 825615

 

5.5% 01 Jun 2035

 

84,537

 

 

 

83,586

 

 

 

FNMA POOL 825634

 

5.5% 01 Jun 2035

 

88,842

 

 

 

87,843

 

 



 

 

 

FNMA POOL 825707

 

5.5% 01 Jul 2035

 

835,610

 

 

 

826,210

 

 

 

FNMA POOL 825708

 

5.5% 01 Jul 2035

 

673,027

 

 

 

665,455

 

 

 

FNMA POOL 825749

 

5.5% 01 Jul 2035

 

761,727

 

 

 

753,158

 

 

 

FNMA POOL 825753

 

5.5% 01 Aug 2035

 

884,150

 

 

 

874,203

 

 

 

FNMA POOL 825768

 

5.5% 01 Aug 2035

 

941,209

 

 

 

930,620

 

 

 

FNMA POOL 825770

 

5.5% 01 Aug 2035

 

28,397

 

 

 

28,077

 

 

 

FNMA POOL 825824

 

5.5% 01 Sep 2035

 

406,744

 

 

 

402,168

 

 

 

FNMA POOL 825832

 

5.5% 01 Jul 2035

 

340,528

 

 

 

336,697

 

 

 

FNMA POOL 825849

 

5.5% 01 Aug 2035

 

23,824

 

 

 

23,556

 

 

 

FNMA POOL 825936

 

5.5% 01 Jun 2035

 

1,175,184

 

 

 

1,161,963

 

 

 

FNMA POOL 825962

 

5.5% 01 Jul 2035

 

292,846

 

 

 

289,552

 

 

 

FNMA POOL 826129

 

4.753% 01 Jul 2035

 

5,526,727

 

 

 

5,463,714

 

 

 

FNMA POOL 826153

 

5.5% 01 May 2035

 

68,366

 

 

 

67,629

 

 

 

FNMA POOL 826470

 

5.5% 01 Jul 2035

 

813,066

 

 

 

803,919

 

 

 

FNMA POOL 826473

 

5.5% 01 Jul 2035

 

450,144

 

 

 

445,080

 

 

 

FNMA POOL 826598

 

5.5% 01 Jun 2035

 

548,505

 

 

 

542,334

 

 

 

FNMA POOL 826611

 

5.5% 01 Aug 2035

 

115,277

 

 

 

113,980

 

 

 

FNMA POOL 826631

 

5.5% 01 May 2035

 

325,379

 

 

 

321,871

 

 

 

FNMA POOL 826676

 

5.5% 01 Aug 2035

 

234,700

 

 

 

232,060

 

 

 

FNMA POOL 826717

 

5.5% 01 Aug 2035

 

331,221

 

 

 

327,495

 

 

 

FNMA POOL 826739

 

5.5% 01 Aug 2035

 

1,542,738

 

 

 

1,525,382

 

 

 

FNMA POOL 826792

 

5.5% 01 Aug 2035

 

428,118

 

 

 

423,301

 

 

 

FNMA POOL 826857

 

5.5% 01 Aug 2035

 

6,963,380

 

 

 

6,885,042

 

 

 

FNMA POOL 826875

 

5.5% 01 Aug 2035

 

177,246

 

 

 

175,252

 

 

 

FNMA POOL 826885

 

5.5% 01 Aug 2035

 

22,816

 

 

 

22,560

 

 

 

FNMA POOL 826965

 

5.5% 01 Jun 2035

 

507,533

 

 

 

502,062

 

 

 

FNMA POOL 826986

 

5.5% 01 Jun 2035

 

471,414

 

 

 

466,110

 

 

 

FNMA POOL 826993

 

5.5% 01 Jun 2035

 

104,202

 

 

 

103,030

 

 

 

FNMA POOL 827063

 

5.5% 01 Sep 2035

 

107,970

 

 

 

106,738

 

 

 

FNMA POOL 827218

 

5.5% 01 Jun 2035

 

71,680

 

 

 

70,907

 

 

 

FNMA POOL 827453

 

5.5% 01 May 2035

 

26,669

 

 

 

26,381

 

 

 

FNMA POOL 827755

 

5.5% 01 Jun 2035

 

709,437

 

 

 

701,456

 

 

 

FNMA POOL 827802

 

5.5% 01 Jun 2035

 

21,667

 

 

 

21,423

 

 

 

FNMA POOL 827827

 

5.5% 01 Aug 2035

 

833,648

 

 

 

824,270

 

 

 

FNMA POOL 827831

 

5.5% 01 Sep 2035

 

984,450

 

 

 

973,375

 

 

 

FNMA POOL 827892

 

5.5% 01 Jun 2035

 

66,326

 

 

 

65,579

 

 

 

FNMA POOL 827900

 

5.5% 01 Jul 2035

 

173,535

 

 

 

171,583

 

 

 

FNMA POOL 828150

 

5.5% 01 Jun 2035

 

855,258

 

 

 

845,636

 

 

 

FNMA POOL 828160

 

5.5% 01 Jun 2035

 

78,643

 

 

 

77,758

 

 

 

FNMA POOL 828163

 

5.5% 01 Jun 2035

 

191,430

 

 

 

189,276

 

 

 

FNMA POOL 828164

 

5.5% 01 Jul 2035

 

740,618

 

 

 

732,286

 

 

 

FNMA POOL 828174

 

5.5% 01 Jul 2035

 

886,368

 

 

 

876,397

 

 

 

FNMA POOL 828185

 

5.5% 01 Jul 2035

 

65,237

 

 

 

64,503

 

 

 

FNMA POOL 828188

 

5.5% 01 Jul 2035

 

111,925

 

 

 

110,666

 

 

 

FNMA POOL 828196

 

5.5% 01 Jul 2035

 

670,910

 

 

 

663,362

 

 

 

FNMA POOL 828347

 

5.5% 01 Jul 2035

 

178,074

 

 

 

176,070

 

 

 

FNMA POOL 828377

 

5.5% 01 Jun 2035

 

42,563

 

 

 

42,084

 

 

 

FNMA POOL 828506

 

5.5% 01 Jun 2035

 

281,962

 

 

 

278,790

 

 

 

FNMA POOL 828675

 

5.5% 01 Mar 2035

 

588,838

 

 

 

582,766

 

 

 

FNMA POOL 828684

 

5.5% 01 Jul 2035

 

518,316

 

 

 

512,485

 

 

 

FNMA POOL 828730

 

5.5% 01 Jun 2035

 

32,344

 

 

 

31,980

 

 

 

FNMA POOL 828909

 

5.5% 01 Jun 2035

 

58,126

 

 

 

57,473

 

 

 

FNMA POOL 828962

 

5.5% 01 Jun 2035

 

17,329

 

 

 

17,134

 

 

 

FNMA POOL 829166

 

5.5% 01 Jun 2035

 

345,674

 

 

 

341,947

 

 

 

FNMA POOL 829197

 

5.5% 01 Jul 2035

 

378,026

 

 

 

373,773

 

 

 

FNMA POOL 829205

 

5.5% 01 Jul 2035

 

517,738

 

 

 

511,914

 

 

 

FNMA POOL 829484

 

5.5% 01 Jul 2035

 

410,181

 

 

 

405,567

 

 

 

FNMA POOL 829485

 

5.5% 01 Aug 2035

 

55,544

 

 

 

54,919

 

 

 

FNMA POOL 829656

 

5.5% 01 Jul 2035

 

864,555

 

 

 

854,829

 

 

 

FNMA POOL 829669

 

5.5% 01 Aug 2035

 

1,803,723

 

 

 

1,783,431

 

 

 

FNMA POOL 829676

 

5.5% 01 Aug 2035

 

1,068,747

 

 

 

1,056,724

 

 

 

FNMA POOL 829857

 

5.5% 01 Jul 2035

 

96,712

 

 

 

95,624

 

 

 

FNMA POOL 829862

 

5.5% 01 Jul 2035

 

30,198

 

 

 

29,858

 

 

 

FNMA POOL 829904

 

5.5% 01 Jul 2035

 

22,000

 

 

 

21,753

 

 

 

FNMA POOL 829909

 

5.5% 01 Jul 2035

 

1,647,390

 

 

 

1,628,857

 

 

 

FNMA POOL 829934

 

5.5% 01 Aug 2035

 

28,334

 

 

 

28,015

 

 

 

FNMA POOL 829973

 

5.5% 01 Apr 2035

 

6,276,338

 

 

 

6,211,613

 

 

 

FNMA POOL 830060

 

5.5% 01 Jul 2035

 

576,134

 

 

 

569,652

 

 

 

FNMA POOL 830697

 

5.5% 01 Jul 2035

 

391,981

 

 

 

387,571

 

 

 

FNMA POOL 830770

 

5.5% 01 Aug 2035

 

102,334

 

 

 

101,183

 

 

 

FNMA POOL 830796

 

5.5% 01 Sep 2035

 

143,140

 

 

 

141,529

 

 

 

FNMA POOL 830849

 

5.5% 01 Jul 2035

 

846,628

 

 

 

837,103

 

 

 

FNMA POOL 830865

 

5.5% 01 Jul 2035

 

12,029,135

 

 

 

11,893,807

 

 



 

 

 

FNMA POOL 830871

 

5.5% 01 Jul 2035

 

880,248

 

 

 

870,345

 

 

 

FNMA POOL 830872

 

5.5% 01 Jun 2035

 

2,091,925

 

 

 

2,068,391

 

 

 

FNMA POOL 830954

 

5.5% 01 Aug 2035

 

882,536

 

 

 

872,607

 

 

 

FNMA POOL 830959

 

5.5% 01 Aug 2035

 

1,221,701

 

 

 

1,207,957

 

 

 

FNMA POOL 831380

 

6.5% 01 Apr 2036

 

459,338

 

 

 

468,040

 

 

 

FNMA POOL 831699

 

6.5% 01 Sep 2036

 

1,124,224

 

 

 

1,145,523

 

 

 

FNMA POOL 832025

 

5.5% 01 Sep 2035

 

1,830,192

 

 

 

1,809,317

 

 

 

FNMA POOL 832035

 

5.5% 01 Jul 2035

 

52,314

 

 

 

51,726

 

 

 

FNMA POOL 832086

 

5.5% 01 Jul 2035

 

106,605

 

 

 

105,406

 

 

 

FNMA POOL 832177

 

5.5% 01 Sep 2035

 

1,424,756

 

 

 

1,408,728

 

 

 

FNMA POOL 832236

 

5.5% 01 Aug 2035

 

2,397,298

 

 

 

2,370,328

 

 

 

FNMA POOL 832324

 

5.5% 01 Aug 2035

 

676,663

 

 

 

669,050

 

 

 

FNMA POOL 832330

 

5.5% 01 Aug 2035

 

1,884,696

 

 

 

1,863,493

 

 

 

FNMA POOL 832471

 

5.5% 01 Aug 2035

 

3,424,049

 

 

 

3,385,529

 

 

 

FNMA POOL 832489

 

5.5% 01 Sep 2035

 

100,928

 

 

 

99,793

 

 

 

FNMA POOL 832490

 

5.5% 01 Sep 2035

 

41,835

 

 

 

41,364

 

 

 

FNMA POOL 832570

 

5.5% 01 Aug 2035

 

1,233,508

 

 

 

1,219,631

 

 

 

FNMA POOL 832613

 

5.5% 01 Sep 2035

 

1,154,348

 

 

 

1,141,361

 

 

 

FNMA POOL 832853

 

5.5% 01 Sep 2035

 

815,164

 

 

 

805,994

 

 

 

FNMA POOL 833209

 

5.5% 01 Sep 2035

 

211,352

 

 

 

208,942

 

 

 

FNMA POOL 833219

 

5.5% 01 Sep 2035

 

173,105

 

 

 

171,157

 

 

 

FNMA POOL 833324

 

5.5% 01 Aug 2035

 

721,811

 

 

 

713,690

 

 

 

FNMA POOL 833358

 

5.5% 01 Aug 2035

 

723,285

 

 

 

715,148

 

 

 

FNMA POOL 833394

 

5.5% 01 Aug 2035

 

43,392

 

 

 

42,904

 

 

 

FNMA POOL 833413

 

5.5% 01 Sep 2035

 

857,629

 

 

 

847,981

 

 

 

FNMA POOL 833447

 

5.5% 01 Sep 2035

 

925,714

 

 

 

915,155

 

 

 

FNMA POOL 833449

 

5.5% 01 Sep 2035

 

392,217

 

 

 

387,743

 

 

 

FNMA POOL 833472

 

5.5% 01 Sep 2035

 

905,490

 

 

 

895,162

 

 

 

FNMA POOL 833477

 

5.5% 01 Sep 2035

 

899,893

 

 

 

889,628

 

 

 

FNMA POOL 833533

 

5.5% 01 Sep 2035

 

606,656

 

 

 

599,736

 

 

 

FNMA POOL 833671

 

5% 01 Aug 2035

 

9,172,985

 

 

 

8,860,171

 

 

 

FNMA POOL 833673

 

5% 01 Aug 2035

 

5,363,743

 

 

 

5,180,831

 

 

 

FNMA POOL 833695

 

5.5% 01 Aug 2035

 

352,876

 

 

 

348,906

 

 

 

FNMA POOL 834251

 

5.5% 01 Aug 2035

 

102,146

 

 

 

100,997

 

 

 

FNMA POOL 834272

 

5.5% 01 Aug 2035

 

1,375,620

 

 

 

1,360,144

 

 

 

FNMA POOL 834629

 

5.5% 01 Aug 2035

 

455,652

 

 

 

450,526

 

 

 

FNMA POOL 834647

 

5.5% 01 Aug 2035

 

56,753

 

 

 

56,114

 

 

 

FNMA POOL 834657

 

5.5% 01 Aug 2035

 

55,425

 

 

 

54,802

 

 

 

FNMA POOL 834670

 

5% 01 Aug 2035

 

278,455

 

 

 

268,959

 

 

 

FNMA POOL 834671

 

5.5% 01 Aug 2035

 

794,231

 

 

 

785,296

 

 

 

FNMA POOL 835084

 

5.5% 01 Jul 2035

 

231,001

 

 

 

228,403

 

 

 

FNMA POOL 835209

 

5.5% 01 Aug 2035

 

116,375

 

 

 

115,066

 

 

 

FNMA POOL 835738

 

5% 01 Jul 2035

 

7,188,413

 

 

 

6,943,277

 

 

 

FNMA POOL 835756

 

5.5% 01 Jul 2035

 

805,530

 

 

 

796,468

 

 

 

FNMA POOL 835795

 

5.5% 01 Sep 2035

 

550,595

 

 

 

544,401

 

 

 

FNMA POOL 836071

 

5% 01 Oct 2035

 

259,307

 

 

 

250,464

 

 

 

FNMA POOL 836072

 

5.5% 01 Oct 2035

 

665,631

 

 

 

658,038

 

 

 

FNMA POOL 836128

 

5.5% 01 Oct 2035

 

411,511

 

 

 

406,817

 

 

 

FNMA POOL 837315

 

5.5% 01 Aug 2035

 

6,558,477

 

 

 

6,484,694

 

 

 

FNMA POOL 837493

 

5.5% 01 Sep 2035

 

900,535

 

 

 

890,404

 

 

 

FNMA POOL 837586

 

5.5% 01 Aug 2035

 

493,975

 

 

 

488,417

 

 

 

FNMA POOL 837670

 

5.5% 01 Aug 2035

 

237,865

 

 

 

235,189

 

 

 

FNMA POOL 837691

 

5.5% 01 Sep 2035

 

770,928

 

 

 

762,255

 

 

 

FNMA POOL 837713

 

5.5% 01 Aug 2035

 

896,685

 

 

 

886,598

 

 

 

FNMA POOL 837735

 

5.5% 01 Aug 2035

 

258,500

 

 

 

255,592

 

 

 

FNMA POOL 837799

 

5.5% 01 Jul 2035

 

34,587

 

 

 

34,198

 

 

 

FNMA POOL 837959

 

5.5% 01 Sep 2035

 

241,036

 

 

 

238,286

 

 

 

FNMA POOL 838134

 

5.5% 01 Sep 2035

 

535,299

 

 

 

529,277

 

 

 

FNMA POOL 838201

 

5.5% 01 Aug 2035

 

739,866

 

 

 

731,542

 

 

 

FNMA POOL 838243

 

5% 01 Sep 2035

 

313,532

 

 

 

302,840

 

 

 

FNMA POOL 838470

 

5.5% 01 Sep 2035

 

405,800

 

 

 

401,234

 

 

 

FNMA POOL 838490

 

5.5% 01 Aug 2035

 

211,435

 

 

 

209,056

 

 

 

FNMA POOL 840001

 

5% 01 Sep 2035

 

23,714

 

 

 

22,905

 

 

 

FNMA POOL 840033

 

5.5% 01 Sep 2035

 

499,615

 

 

 

493,916

 

 

 

FNMA POOL 840042

 

5.5% 01 Sep 2035

 

291,851

 

 

 

288,522

 

 

 

FNMA POOL 840088

 

5.5% 01 Sep 2035

 

33,251

 

 

 

32,872

 

 

 

FNMA POOL 840360

 

5.5% 01 Oct 2035

 

1,740,930

 

 

 

1,721,073

 

 

 

FNMA POOL 840512

 

5.5% 01 Sep 2035

 

649,417

 

 

 

642,111

 

 

 

FNMA POOL 840711

 

5.5% 01 Sep 2035

 

910,815

 

 

 

900,426

 

 

 

FNMA POOL 840712

 

5.5% 01 Sep 2035

 

351,917

 

 

 

347,903

 

 

 

FNMA POOL 878183

 

6.5% 01 Aug 2036

 

8,007,037

 

 

 

8,158,733

 

 

 

FNMA POOL 879103

 

6.5% 01 May 2036

 

939,481

 

 

 

957,279

 

 

 

FNMA POOL 880213

 

6.5% 01 Feb 2036

 

949,483

 

 

 

967,471

 

 



 

 

 

FNMA POOL 883076

 

6.5% 01 Jun 2036

 

40,063

 

 

 

40,835

 

 

 

FNMA POOL 885675

 

6.5% 01 Oct 2036

 

993,528

 

 

 

1,012,351

 

 

 

FNMA POOL 885830

 

6.5% 01 Jun 2036

 

190,090

 

 

 

193,929

 

 

 

FNMA POOL 886335

 

6.5% 01 Aug 2036

 

162,761

 

 

 

165,844

 

 

 

FNMA POOL 891717

 

6.5% 01 Jul 2036

 

240,451

 

 

 

245,006

 

 

 

FNMA POOL 892906

 

6.5% 01 Aug 2036

 

743,163

 

 

 

757,242

 

 

 

FNMA POOL 893144

 

6.5% 01 Aug 2036

 

581,830

 

 

 

593,035

 

 

 

FNMA POOL 893533

 

6.5% 01 Sep 2036

 

7,857,279

 

 

 

8,006,138

 

 

 

FNMA POOL 896381

 

6.5% 01 Jun 2036

 

3,988,184

 

 

 

4,063,741

 

 

 

FNMA POOL 897177

 

6.5% 01 Oct 2036

 

543,509

 

 

 

553,806

 

 

 

FNMA POOL 897460

 

6.5% 01 Oct 2036

 

1,996,433

 

 

 

2,034,256

 

 

 

FNMA POOL 897737

 

6.5% 01 Aug 2036

 

591,770

 

 

 

602,982

 

 

 

FNMA POOL 897794

 

6.5% 01 Sep 2036

 

3,017,922

 

 

 

3,075,098

 

 

 

FNMA POOL 898126

 

6.5% 01 Sep 2036

 

2,184,090

 

 

 

2,225,468

 

 

 

FNMA POOL 900437

 

6.5% 01 Sep 2036

 

586,727

 

 

 

597,843

 

 

 

FNMA POOL 902043

 

6.5% 01 Nov 2036

 

351,354

 

 

 

358,010

 

 

 

FNMA POOL 903156

 

6.5% 01 Oct 2036

 

40,937

 

 

 

41,712

 

 

 

FNMA TBA JAN 30 SINGLE FAM

 

6% 01 Dec 2099

 

128,000,000

 

 

 

128,860,006

 

 

 

FORD MOTOR CO

 

1% 29 Nov 2013

 

2,700,000

 

 

 

2,701,694

 

 

 

FORD MTR CR CO

 

7% 01 Oct 2013

 

3,400,000

 

 

 

3,246,932

 

 

 

FORD MTR CR CO

 

7.25% 25 Oct 2011

 

1,100,000

 

 

 

1,077,197

 

 

 

FRESENIUS MED CARE CAP TR II

 

GTD TR PFD SECS 7.875PCT

 

3,600

 

 

 

3,672,000

 

 

 

GERMANY FED REP BDS 10YR FT

 

7-Mar-07

 

1,900,000

 

 

 

-

 

 

 

GNMA II POOL 002910

 

8.5% 20 Apr 2030

 

4,583

 

 

 

4,932

 

 

 

GNMA II POOL 002947

 

8.5% 20 Jul 2030

 

3,713

 

 

 

3,995

 

 

 

GNMA II POOL 003029

 

8.5% 20 Jan 2031

 

14,058

 

 

 

15,062

 

 

 

GNMA II POOL 003057

 

8.5% 20 Mar 2031

 

4,158

 

 

 

4,450

 

 

 

GNMA II POOL 780840

 

8.5% 20 Jul 2028

 

31,683

 

 

 

34,058

 

 

 

GOVERNMENT NATL MTG ASSN

 

6.5% 20 May 2028

 

618,986

 

 

 

634,990

 

 

 

GS MTG SEC CORP

 

4.541% 25 Sep 2035

 

4,299,176

 

 

 

4,214,489

 

 

 

GS MTG SECS CORP

 

5.43% 25 Sep 2035

 

193,763

 

 

 

193,763

 

 

 

HOME OWNERSHIP

 

SER 144A PFD

 

11,500

 

 

 

1,725,311

 

 

 

HSBC FIN CORP

 

1% 15 Sep 2008

 

5,200,000

 

 

 

5,205,890

 

 

 

J P MORGAN MTG TR

 

5.377491% 25 Feb 2036

 

4,624,121

 

 

 

4,603,954

 

 

 

LIBOR FUTURES

 

7-Dec-07

 

500,000

 

 

 

-

 

 

 

LONG BEACH MTG LN TR

 

5.52% 25 Nov 2034

 

530,550

 

 

 

530,632

 

 

 

MORGAN STANLEY

 

5.82438% 18 Oct 2016

 

5,200,000

 

 

 

5,215,599

 

 

 

NRG ENERGY INC

 

7.25% 01 Feb 2014

 

1,900,000

 

 

 

1,914,250

 

 

 

OTC USD ECAL 4.75 SW1 7508DUB

 

JUL 4.75 CALL

 

116,600,000

 

 

 

86,412

 

 

 

OTC USD ECAL 4.75 SW5 7 5 12

 

JUL 4.75 CALL 317504F52 RYL

 

(25,500,000

)

 

 

(106,478

)

 

 

PIMCO FDS PAC INV MGMT

 

PRIVATE ACCT PORTFOLIO

 

1,961,814

 

 

 

20,814,851

 

 

 

PIMCO FDS PAC INVT MGMT SER

 

ASSET BKD SECS PORTFOLIO

 

4,440,197

 

 

 

46,666,467

 

 

 

PIMCO FDS PAC INVT MGMT SER

 

EMERGING MKTS PORTFOLIO

 

2,242,372

 

 

 

24,688,515

 

 

 

PIMCO FDS PAC INVT MGMT SER

 

INTL PORTFOLIO INSTL CL

 

11,670,580

 

 

 

52,400,905

 

 

 

PIMCO FDS PAC INVT MGMT SER

 

INVT GRADE CORP PORT INSTL CL

 

4,036,575

 

 

 

40,002,458

 

 

 

PIMCO FDS PAC INVT MGMT SER

 

REAL RETURN BD PORTFOLIO CL

 

2,039,141

 

 

 

20,921,587

 

 

 

RABOBANK USA FINL CORP

 

5.28% 02 Jan 2007

 

13,400,000

 

 

 

13,392,139

 

 

 

REILLY FHA PROJ LOAN

 

7.43% 01 Aug 2020

 

494,791

 

 

 

498,502

 

 

 

RENAISSANCE MTG ACCEP CORP

 

5.47% 25 Oct 2035

 

275,521

 

 

 

275,564

 

 

 

RESIDENTIAL ACCREDIT LNS INC

 

1% 25 Apr 2046

 

654,386

 

 

 

654,232

 

 

 

RYLAND MTG SECS CORP

 

0.15026% 25 Mar 2023

 

18

 

 

 

30

 

 

 

SANTANDER US DEBT S A UNIPERSO

 

4.74% 06 Feb 2009

 

5,200,000

 

 

 

5,186,505

 

 

 

SEQUOIA MTG TR

 

1% 20 Apr 2035

 

4,211,235

 

 

 

4,124,187

 

 

 

SMALL BUSINESS ADMIN PARTN CTF

 

8.017% 01 Feb 2010

 

475,994

 

 

 

501,879

 

 

 

SOUNDVIEW HOME LN TR

 

5.43% 25 Nov 2035

 

199,644

 

 

 

199,644

 

 

 

STATE STREET BANK + TRUST CO

 

SHORT TERM INVESTMENT FUND

 

8,448,266

 

 

 

8,448,266

 

 

 

STRUCTURED ASSET MTG INVTS II

 

5.54% 25 May 2036

 

4,918,379

 

 

 

4,921,213

 

 

 

SWAPTION (317503PZ7)

 

JUL 5.5 CALL

 

854,000

 

 

 

823,512

 

 

 

SWAPTION (317503WL0)

 

JUL 5 CALL

 

(13,200,000

)

 

 

(107,359

)

 

 

SWAPTION (317504CK2)

 

JUL 4.9 CALL

 

74,400,000

 

 

 

222,199

 

 

 

SWAPTION (317504CL0)

 

JUL 5 CALL

 

(32,400,000

)

 

 

(263,516

)

 

 

SWAPTION (317503DX5)

 

MAY 5.22 CALL

 

(116,000

)

 

 

(125,373

)

 

 

SWAPTION (317503DY3)

 

MAY 5.08 CALL

 

267,000

 

 

 

79,940

 

 

 

SWAPTION (317503MA5)

 

JUL 5.34 CALL

 

(240,000

)

 

 

(383,520

)

 

 

SWAPTION (317503MB3)

 

JUL 5.25 CALL

 

540,000

 

 

 

316,818

 

 

 

SWAPTION (317503N48)

 

MAR 4.85 CALL

 

(27,600,000

)

 

 

(71,574

)

 

 

SWAPTION (317503N63)

 

MAR 4.85 CALL

 

115,900,000

 

 

 

21,335

 

 

 

SWAPTION (317503UL2)

 

FEB 5.9 PUT

 

(62,000

)

 

 

(0

)

 

 

SWAPTION (317503US7)

 

FEB 4.6 CALL

 

(62,000

)

 

 

(0

)

 

 

SWAPTION (317503XA3)

 

JUNE 5.6 CALL

 

(37,200,000

)

 

 

(941,048

)

 

 

SWAPTION (317503XG0)

 

AUG 5.5 CALL

 

140,000

 

 

 

137,060

 

 

 

SWAPTION (317503XH8)

 

AUG 5.62 CALL

 

(46,000

)

 

 

(149,049

)

 

 

SWAPTION (317503XK1)

 

JUL 5 CALL

 

218,000

 

 

 

9,600

 

 



 

 

 

SWAPTION (317503XL9)

 

JULY 4.85 CALL

 

(62,000

)

 

 

(29,839

)

 

 

SWAPTION (317503XW5)

 

AUG 5.37 CALL

 

101,000

 

 

 

79,477

 

 

 

SWAPTION (317503XX3)

 

AUG 5.5 CALL

 

(33,000

)

 

 

(88,130

)

 

 

SWAPTION (317503YH7)

 

JUNE 4.85 CALL

 

(3,000,000

)

 

 

(14,438

)

 

 

SWAPTION (317503YI5)

 

JUN 5.0625 CALL

 

10,500,000

 

 

 

7,951

 

 

 

SWAPTION (317503Z86)

 

MAR 4.78 CALL

 

(159,000

)

 

 

(4,150

)

 

 

SWAPTION (317503Z94)

 

MAR 4.73 CALL

 

370,000

 

 

 

1,221

 

 

 

SWAPTION (317503ZP8)

 

JUNE 5 CALL

 

8,000,000

 

 

 

6,673

 

 

 

SWAPTION (317503ZQ6)

 

JUNE 4.85 CALL

 

(2,000,000

)

 

 

(9,626

)

 

 

SWAPTION (317504S33)

 

AUG 4.9 CALL

 

(10,100,000

)

 

 

(73,196

)

 

 

SWAPTION 317503WK2

 

JUL 4.75 CALL

 

30,700,000

 

 

 

62,558

 

 

 

SWAPTION 317504HY7

 

AUG 4.8 CALL

 

23,200,000

 

 

 

65,561

 

 

 

SWP002488 PIMCO   IRS PAY

 

1% 20 Jun 2037

 

(31,300,000

)

 

 

(32,715,791

)

 

 

SWP002488 PIMCO   IRS REC

 

5% 20 Jun 2037

 

31,300,000

 

 

 

31,300,000

 

 

 

SWP042567 PIMCO   IRS PAY

 

4% 15 Dec 2035

 

(3,900,000

)

 

 

(7,632,886

)

 

 

SWP042567 PIMCO   IRS REC

 

1% 15 Dec 2035

 

3,900,000

 

 

 

7,638,749

 

 

 

SWP043581 PIMCO   IRS PAY

 

2.145% 15 Oct 2010

 

(1,600,000

)

 

 

(2,109,841

)

 

 

SWP043581 PIMCO   IRS REC

 

1% 15 Oct 2010

 

1,600,000

 

 

 

2,140,813

 

 

 

SWP043706 PIMCO   IRS PAY

 

2.09% 15 Oct 2010

 

(7,600,000

)

 

 

(10,021,745

)

 

 

SWP043706 PIMCO   IRS REC

 

1% 15 Oct 2010

 

7,600,000

 

 

 

10,143,524

 

 

 

SWP047228 PIMCO   IRS PAY

 

4.79063% 15 Jun 2016

 

(7,900,000

)

 

 

(15,621,551

)

 

 

SWP047228 PIMCO   IRS REC

 

5% 15 Jun 2016

 

7,900,000

 

 

 

15,461,486

 

 

 

SWP048341 PIMCO   IRS PAY

 

4% 15 Dec 2035

 

(7,500,000

)

 

 

(14,678,626

)

 

 

SWP048341 PIMCO   IRS REC

 

1% 15 Dec 2035

 

7,500,000

 

 

 

14,689,901

 

 

 

SWP073042 PIMCO   IRS PAY

 

2% 20 Dec 2013

 

(4,000,000

)

 

 

(34,504

)

 

 

SWP073042 PIMCO   IRS REC

 

0.4025% 20 Dec 2013

 

4,000,000

 

 

 

33,570

 

 

 

SWP084700 PIMCO   IRS PAY

 

1% 20 Jun 2037

 

(16,700,000

)

 

 

(17,455,390

)

 

 

SWP084700 PIMCO   IRS REC

 

5% 20 Jun 2037

 

16,700,000

 

 

 

16,700,000

 

 

 

SWP084718 PIMCO   IRS PAY

 

1% 20 Jun 2037

 

(6,800,000

)

 

 

(7,107,584

)

 

 

SWP084718 PIMCO   IRS REC

 

5% 20 Jun 2037

 

6,800,000

 

 

 

6,800,000

 

 

 

SWP085723 PIMCO   IRS PAY

 

1% 04 Jan 2010

 

(4,000,000

)

 

 

(1,873,536

)

 

 

SWP085723 PIMCO   IRS REC

 

14.28% 04 Jan 2010

 

4,000,000

 

 

 

1,943,343

 

 

 

SWP085756 PIMCO   IRS PAY

 

7.295% 12 Sep 2016

 

(44,000,000

)

 

 

(4,063,952

)

 

 

SWP085756 PIMCO   IRS REC

 

8.86% 12 Sep 2016

 

44,000,000

 

 

 

4,344,724

 

 

 

SWP087109 PIMCO   IRS PAY

 

1% 05 Sep 2016

 

(30,700,000

)

 

 

(2,835,530

)

 

 

SWP087109 PIMCO   IRS REC

 

8.72% 05 Sep 2016

 

30,700,000

 

 

 

3,004,012

 

 

 

SWP088198 PIMCO   IRS PAY

 

7.39% 04 Nov 2016

 

(70,400,000

)

 

 

(6,502,323

)

 

 

SWP088198 PIMCO   IRS REC

 

8.17% 04 Nov 2016

 

70,400,000

 

 

 

6,640,588

 

 

 

SWP088610 PIMCO   IRS PAY

 

1% 04 Nov 2016

 

(33,700,000

)

 

 

(3,112,618

)

 

 

SWP088610 PIMCO   IRS REC

 

8.17% 04 Nov 2016

 

33,700,000

 

 

 

3,178,804

 

 

 

SWP088800 PIMCO   IRS PAY

 

5% 20 Jun 2017

 

(26,800,000

)

 

 

(26,800,000

)

 

 

SWP088800 PIMCO   IRS REC

 

1% 20 Jun 2017

 

26,800,000

 

 

 

27,164,951

 

 

 

SWP089451 PIMCO   IRS PAY

 

5% 20 Jun 2017

 

(13,300,000

)

 

 

(13,300,000

)

 

 

SWP089451 PIMCO   IRS REC

 

1% 20 Jun 2017

 

13,300,000

 

 

 

13,481,114

 

 

 

SWP089485 PIMCO   IRS PAY

 

5% 20 Jun 2017

 

(34,700,000

)

 

 

(34,700,000

)

 

 

SWP089485 PIMCO   IRS REC

 

1% 20 Jun 2017

 

34,700,000

 

 

 

35,168,020

 

 

 

SWP089527 PIMCO   IRS PAY

 

5% 20 Jun 2017

 

(19,300,000

)

 

 

(19,300,000

)

 

 

SWP089527 PIMCO   IRS REC

 

1% 20 Jun 2017

 

19,300,000

 

 

 

19,562,819

 

 

 

SWP089550 PIMCO   IRS PAY

 

5% 20 Jun 2017

 

(7,000,000

)

 

 

(7,000,000

)

 

 

SWP089550 PIMCO   IRS REC

 

1% 20 Jun 2017

 

7,000,000

 

 

 

7,095,323

 

 

 

SWP089758 PIMCO   IRS PAY

 

0.01% 04 Jan 2010

 

(43,400,000

)

 

 

(20,327,869

)

 

 

SWP089758 PIMCO   IRS REC

 

12.948% 04 Jan 2010

 

43,400,000

 

 

 

20,554,517

 

 

 

SWP089766 PIMCO   IRS PAY

 

1% 20 Jun 2012

 

(82,900,000

)

 

 

(83,102,595

)

 

 

SWP089766 PIMCO   IRS REC

 

5% 20 Jun 2012

 

82,900,000

 

 

 

82,900,000

 

 

 

SWP089824 PIMCO   IRS PAY

 

1% 20 Jun 2012

 

(13,600,000

)

 

 

(13,633,236

)

 

 

SWP089824 PIMCO   IRS REC

 

5% 20 Jun 2012

 

13,600,000

 

 

 

13,600,000

 

 

 

SWP089840 PIMCO   IRS PAY

 

1% 20 Jun 2012

 

(164,800,000

)

 

 

(165,202,746

)

 

 

SWP089840 PIMCO   IRS REC

 

5% 20 Jun 2012

 

164,800,000

 

 

 

164,800,000

 

 

 

SWP090020 PIMCO   IRS PAY

 

1% 20 Jun 2037

 

(31,400,000

)

 

 

(32,820,314

)

 

 

SWP090020 PIMCO   IRS REC

 

5% 20 Jun 2037

 

31,400,000

 

 

 

31,400,000

 

 

 

SWP090111 PIMCO   IRS PAY

 

1% 07 Dec 2007

 

(11,500,000

)

 

 

(11,500,000

)

 

 

SWP090111 PIMCO   IRS REC

 

0.288% 07 Dec 2007

 

11,500,000

 

 

 

11,601,876

 

 

 

SWP092786 PIMCO   IRS PAY

 

4.79688% 12 Jun 2036

 

(4,800,000

)

 

 

(9,394,321

)

 

 

SWP092786 PIMCO   IRS REC

 

4.25% 12 Jun 2036

 

4,800,000

 

 

 

9,794,176

 

 

 

SWP094766 PIMCO   IRS PAY

 

7.3% 05 Sep 2016

 

(74,800,000

)

 

 

(6,908,718

)

 

 

SWP094766 PIMCO   IRS REC

 

8.72% 05 Sep 2016

 

74,800,000

 

 

 

7,511,158

 

 

 

SWP095151 PIMCO   IRS PAY

 

1% 04 Jan 2010

 

(3,400,000

)

 

 

(1,592,506

)

 

 

SWP095151 PIMCO   IRS REC

 

14.36% 04 Jan 2010

 

3,400,000

 

 

 

1,653,275

 

 

 

SWP098320 PIMCO   IRS PAY

 

5% 20 Dec 2026

 

(34,200,000

)

 

 

(34,200,000

)

 

 

SWP098320 PIMCO   IRS REC

 

1% 20 Dec 2026

 

34,200,000

 

 

 

35,440,024

 

 

 

SWPC32679 PIMCO   CDS PAY

 

0.54% 25 Jul 2045

 

(9,800,000

)

 

 

(9,836,053

)

 

 

SWPC32679 PIMCO   CDS REC

 

1% 25 Jul 2045

 

9,800,000

 

 

 

9,800,000

 

 

 

SWPC49509 PIMCO   CDS PAY

 

0.54% 25 Jul 2045

 

(3,000,000

)

 

 

(3,011,037

)

 



 

 

 

SWPC49509 PIMCO   CDS REC

 

1% 25 Jul 2045

 

3,000,000

 

 

 

3,000,000

 

 

 

SWPC85743 PIMCO   CDS PAY

 

0.33% 20 Mar 2011

 

(5,000,000

)

 

 

(5,017,179

)

 

 

SWPC85743 PIMCO   CDS REC

 

1% 20 Mar 2011

 

5,000,000

 

 

 

5,000,000

 

 

 

SWPC86436 PIMCO   CDS PAY

 

0.32% 20 Dec 2016

 

(5,200,000

)

 

 

(5,200,000

)

 

 

SWPC86436 PIMCO   CDS REC

 

1% 20 Dec 2016

 

5,200,000

 

 

 

5,209,297

 

 

 

SWPC87756 PIMCO   CDS PAY

 

1% 20 Dec 2015

 

(10,700,000

)

 

 

(10,700,000

)

 

 

SWPC87756 PIMCO   CDS REC

 

0.4625% 20 Dec 2015

 

10,700,000

 

 

 

10,703,743

 

 

 

SWPC87764 PIMCO   CDS PAY

 

0.1425% 20 Dec 2012

 

(15,000,000

)

 

 

(15,003,129

)

 

 

SWPC87764 PIMCO   CDS REC

 

1% 20 Dec 2012

 

15,000,000

 

 

 

15,000,000

 

 

 

SWPC88564 PIMCO   CDS PAY

 

1% 20 Feb 2007

 

(6,500,000

)

 

 

(6,500,000

)

 

 

SWPC88564 PIMCO   CDS REC

 

0.32% 20 Feb 2007

 

6,500,000

 

 

 

6,501,245

 

 

 

SWPC88671 PIMCO   CDS PAY

 

0.4% 20 Dec 2011

 

(23,000,000

)

 

 

(23,063,089

)

 

 

SWPC88671 PIMCO   CDS REC

 

1% 20 Dec 2011

 

23,000,000

 

 

 

23,000,000

 

 

 

SWPC89356 PIMCO   CDS PAY

 

1% 20 Dec 2007

 

(2,000,000

)

 

 

(2,000,000

)

 

 

SWPC89356 PIMCO   CDS REC

 

0.26% 20 Dec 2007

 

2,000,000

 

 

 

2,000,003

 

 

 

SWPC89463 PIMCO   CDS PAY

 

1% 20 Mar 2008

 

(10,100,000

)

 

 

(10,100,000

)

 

 

SWPC89463 PIMCO   CDS REC

 

0.055% 20 Mar 2008

 

10,100,000

 

 

 

10,104,235

 

 

 

SWPC96005 PIMCO   CDS PAY

 

0.65% 20 Dec 2016

 

(19,000,000

)

 

 

(19,118,737

)

 

 

SWPC96005 PIMCO   CDS REC

 

1% 20 Dec 2016

 

19,000,000

 

 

 

19,000,000

 

 

 

SWPC97383 PIMCO   CDS PAY

 

0.85% 20 Dec 2016

 

(8,700,000

)

 

 

(11,527,481

)

 

 

SWPC97383 PIMCO   CDS REC

 

1% 20 Dec 2016

 

8,700,000

 

 

 

11,472,260

 

 

 

SWPC97631 PIMCO   CDS PAY

 

0.85% 20 Dec 2016

 

(9,600,000

)

 

 

(12,719,979

)

 

 

SWPC97631 PIMCO   CDS REC

 

1% 20 Dec 2016

 

9,600,000

 

 

 

12,659,046

 

 

 

SWPC97789 PIMCO   CDS PAY

 

1% 20 Dec 2008

 

(500,000

)

 

 

(500,672

)

 

 

SWPC97789 PIMCO   CDS REC

 

0.71% 20 Dec 2008

 

500,000

 

 

 

500,000

 

 

 

SWPC97797 PIMCO   CDS PAY

 

1% 20 Dec 2008

 

(500,000

)

 

 

(500,064

)

 

 

SWPC97797 PIMCO   CDS REC

 

0.4% 20 Dec 2008

 

500,000

 

 

 

500,000

 

 

 

SWPC97805 PIMCO   CDS PAY

 

1% 20 Dec 2008

 

(400,000

)

 

 

(400,463

)

 

 

SWPC97805 PIMCO   CDS REC

 

0.72% 20 Dec 2008

 

400,000

 

 

 

400,000

 

 

 

U S TREAS BONDS FUTURES

 

7-Mar-07

 

14,700,000

 

 

 

—

 

 

 

UNITED AIRLS

 

9.06% 17 Jun 2015

 

1,814,279

 

 

 

108,857

 

 

 

UNITED AIRLS PASS THRU TRS

 

200% 19 Oct 2018

 

1,574,903

 

 

 

893,758

 

 

 

UNITED STATES TREAS BILLS

 

0.01% 01 Mar 2007

 

511,000

 

 

 

507,015

 

 

 

UNITED STATES TREAS BILLS

 

0.01% 15 Mar 2007

 

6,008,000

 

 

 

5,949,903

 

 

 

UNITED STATES TREAS NTS

 

0% 15 Jul 2014

 

5,675,028

 

 

 

5,509,033

 

 

 

UNITED STATES TREAS NTS

 

0.875% 15 Apr 2010

 

22,799,560

 

 

 

21,615,052

 

 

 

UNITED STATES TREAS NTS

 

2.5% 15 Jul 2016

 

5,396,868

 

 

 

5,437,952

 

 

 

UNITED STATES TREAS NTS

 

3.375% 15 Jan 2007

 

42,039,690

 

 

 

41,976,235

 

 

 

UNITED STATES TREAS NTS

 

3.625% 15 Jan 2008

 

20,613,945

 

 

 

20,837,103

 

 

 

UNITED STATES TREAS NTS

 

4.625% 15 Nov 2016

 

30,600,000

 

 

 

30,403,970

 

 

 

USD ECAL 4.7 SW1 317504G44

 

AUG07 4.7 CALL

 

36,800,000

 

 

 

32,678

 

 

 

USD ECAL 4.85 SW7 317504EU8

 

AUG07 4.85 CALL

 

(6,000,000

)

 

 

(43,267

)

 

 

VIACOM INC

 

1% 22 Mar 2007

 

5,200,000

 

 

 

5,200,000

 

 

 

VIACOM INC

 

1% 29 May 2007

 

2,800,000

 

 

 

2,800,000

 

 

 

VORNADO RLTY LP

 

5.6% 15 Feb 2011

 

5,000,000

 

 

 

4,989,482

 

 

 

VTB CAP S A

 

1% 01 Aug 2008

 

2,600,000

 

 

 

2,601,300

 

 

 

WAMU MTG CTFS

 

5.777% 25 Aug 2046

 

4,958,756

 

 

 

4,984,830

 

 

 

WAMU MTG PASS THROUGH CTFS

 

1% 25 Oct 2045

 

3,330,756

 

 

 

3,333,271

 

 

 

WEATHER INVESTMENTS SEARL TERM

 

4.955% 17 Jun 2012

 

1,400,000

 

 

 

1,849,572

 

 

 

WELLS FARGO MTG BACKED SECS

 

5.537022% 25 Aug 2036

 

2,566,667

 

 

 

2,560,775

 

 

 

WELLS FARGO MTG BKD SECS TR

 

4.934408% 25 Nov 2034

 

3,616,573

 

 

 

3,563,627

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Sub-Total: Fund 5711 / Pimco 2 of 6

 

 

 

$

986,328,970

 

 

 

 

 

 

(c) Description of investment including maturity date,

 

 

 

(e) Fair

 

(a)

 

(b) Identity of issue, borrower, lessor, or similar party

 

rate of interest, collateral, par, or maturity value

 

(d) Cost

 

value

 

 

 

 

 

 

 

 

 

(n / a)

 

 

 

 

 

 

 

 

 

Par Value

 

 

 

 

 

 

 

ALBERTSONS INC

 

6.625% 01 Jun 2028

 

230,000

 

 

 

208,808

 

 

 

ALBERTSONS INC

 

7.45% 01 Aug 2029

 

1,790,000

 

 

 

1,748,830

 

 

 

ALBERTSONS INC

 

7.75% 15 Jun 2026

 

285,000

 

 

 

284,270

 

 

 

ALBERTSONS INC

 

8% 01 May 2031

 

765,000

 

 

 

775,985

 

 

 

ALBERTSONS INC

 

8.7% 01 May 2030

 

35,000

 

 

 

36,556

 

 

 

ALTERNATIVE LN TR

 

6.5% 25 Jun 2036

 

3,453,778

 

 

 

3,487,219

 

 

 

AMERICAN STORES CO NEW

 

8% 01 Jun 2026

 

125,000

 

 

 

131,389

 

 

 

AMERICREDIT AUTOMOBILE REC TR

 

3.43% 06 Jul 2011

 

890,000

 

 

 

866,638

 

 

 

ANADARKO PETE CORP

 

6.45% 15 Sep 2036

 

1,980,000

 

 

 

1,998,128

 

 

 

AOL TIME WARNER INC

 

6.15% 01 May 2007

 

500,000

 

 

 

501,088

 

 

 

ARGENTINA (REP OF)

 

2% 30 Sep 2014

 

795,000

 

 

 

286,239

 

 

 

ARGENTINE PESO

 

 

 

78,897

 

 

 

25,731

 

 

 

AT + T CORP ACQUIRED

 

8% 15 Nov 2031

 

3,520,000

 

 

 

4,367,194

 

 



 

 

 

AUSTRIA (REP)

 

3.75% 03 Feb 2009

 

16,000,000

 

 

 

142,295

 

 

 

AVNET INC

 

2% 15 Mar 2034

 

225,000

 

 

 

226,406

 

 

 

AVNET INC

 

6% 01 Sep 2015

 

1,055,000

 

 

 

1,040,230

 

 

 

AVNET INC

 

6.625% 15 Sep 2016

 

825,000

 

 

 

848,348

 

 

 

CD MTG TR

 

5.617% 15 Oct 2048

 

3,775,000

 

 

 

3,840,156

 

 

 

CHESAPEAKE ENERGY CORP

 

6.5% 15 Aug 2017

 

160,000

 

 

 

156,400

 

 

 

CHESAPEAKE ENERGY CORP

 

6.875% 15 Nov 2020

 

545,000

 

 

 

535,463

 

 

 

CITIZENS COMMUNICATIONS CO

 

7.875% 15 Jan 2027

 

2,210,000

 

 

 

2,232,100

 

 

 

CNH EQUIP TR

 

4.02% 15 Apr 2009

 

985,188

 

 

 

977,952

 

 

 

COLORADO INTST GAS CO

 

5.95% 15 Mar 2015

 

65,000

 

 

 

64,133

 

 

 

COLORADO INTST GAS CO

 

6.8% 15 Nov 2015

 

95,000

 

 

 

98,779

 

 

 

COLUMBIA / HCA HEALTHCARE CORP

 

7.58% 15 Sep 2025

 

105,000

 

 

 

85,435

 

 

 

COLUMBIA HEALTHCARE CORP

 

7.5% 15 Dec 2023

 

160,000

 

 

 

130,195

 

 

 

COLUMBIA/HCA HEALTHCARE CORP

 

7.69% 15 Jun 2025

 

305,000

 

 

 

252,449

 

 

 

COMCAST CORP NEW

 

5.65% 15 Jun 2035

 

2,820,000

 

 

 

2,578,200

 

 

 

COMCAST CORP NEW

 

6.45% 15 Mar 2037

 

620,000

 

 

 

619,920

 

 

 

COMPUTER ASSOC INTL INC

 

0.46% 01 Dec 2014

 

3,575,000

 

 

 

3,340,158

 

 

 

CORNING INC

 

6.85% 01 Mar 2029

 

105,000

 

 

 

108,048

 

 

 

CORNING INC

 

7.25% 15 Aug 2036

 

395,000

 

 

 

423,306

 

 

 

CSC HLDGS INC

 

7.625% 01 Apr 2011

 

260,000

 

 

 

264,875

 

 

 

CSC HLDGS INC

 

7.875% 15 Feb 2018

 

1,235,000

 

 

 

1,231,913

 

 

 

CWABS INC

 

1% 25 Feb 2035

 

890,000

 

 

 

861,910

 

 

 

CWABS INC

 

3.872% 25 Mar 2020

 

645,519

 

 

 

637,349

 

 

 

DAIMLERCHRYSLER AUTO

 

4.04% 08 Sep 2009

 

819,754

 

 

 

813,351

 

 

 

DUKE ENERGY CO

 

6.25% 15 Jan 2012

 

715,000

 

 

 

741,434

 

 

 

EL PASO CORP

 

6.95% 01 Jun 2028

 

130,000

 

 

 

129,350

 

 

 

EL PASO CORP

 

7.42% 15 Feb 2037

 

235,000

 

 

 

244,988

 

 

 

EMBARQ CORP

 

7.082% 01 Jun 2016

 

1,855,000

 

 

 

1,888,427

 

 

 

EMBARQ CORP

 

7.995% 01 Jun 2036

 

1,115,000

 

 

 

1,160,302

 

 

 

ENERGY TRANSFER PARTNERS LP

 

6.125% 15 Feb 2017

 

260,000

 

 

 

264,151

 

 

 

ENERGY TRANSFER PARTNERS LP

 

6.625% 15 Oct 2036

 

995,000

 

 

 

1,020,494

 

 

 

FED HM LN PC POOL A37176

 

5% 01 Sep 2035

 

921,292

 

 

 

889,443

 

 

 

FED HM LN PC POOL A46049

 

5% 01 Jul 2035

 

3,924,794

 

 

 

3,789,112

 

 

 

FED HM LN PC POOL E01098

 

6% 01 Feb 2017

 

271,919

 

 

 

276,029

 

 

 

FED HM LN PC POOL E91955

 

5% 01 Oct 2017

 

208,150

 

 

 

205,141

 

 

 

FED HM LN PC POOL E97335

 

5% 01 Jul 2018

 

1,896,841

 

 

 

1,868,240

 

 

 

FED HM LN PC POOL G01843

 

6% 01 Jun 2035

 

3,292,573

 

 

 

3,322,413

 

 

 

FED HM LN PC POOL G01994

 

5% 01 Dec 2035

 

22,371,861

 

 

 

21,598,459

 

 

 

FED HM LN PC POOL G02031

 

5.5% 01 Feb 2036

 

8,130,000

 

 

 

8,041,077

 

 

 

FED HM LN PC POOL G12402

 

5% 01 Dec 2034

 

12,182,357

 

 

 

11,964,407

 

 

 

FED HM LN PC POOL G12403

 

5% 01 Dec 2034

 

9,570,976

 

 

 

9,402,737

 

 

 

FEDERAL HOME LN MTG

 

5% 15 Jan 2030

 

1,198,555

 

 

 

1,185,349

 

 

 

FEDERAL HOME LN MTG CORP

 

5% 15 Dec 2023

 

365,142

 

 

 

362,659

 

 

 

FEDERAL HOME LN MTG CORP

 

5% 15 Mar 2019

 

2,599,584

 

 

 

2,571,619

 

 

 

FEDERAL HOME LN MTG CORP

 

5% 15 Sep 2018

 

625,000

 

 

 

620,716

 

 

 

FEDERAL NATL MTG ASSN

 

2.125% 09 Oct 2007

 

50,000,000

 

 

 

425,349

 

 

 

FNMA POOL 254195

 

5.5% 01 Feb 2017

 

441,678

 

 

 

442,954

 

 

 

FNMA POOL 254509

 

5% 01 Oct 2017

 

251,472

 

 

 

248,034

 

 

 

FNMA POOL 255364

 

6% 01 Sep 2034

 

2,433,884

 

 

 

2,452,898

 

 

 

FNMA POOL 545904

 

5.5% 01 Sep 2017

 

692,596

 

 

 

694,598

 

 

 

FNMA POOL 604966

 

5.5% 01 Nov 2016

 

193,273

 

 

 

193,831

 

 

 

FNMA POOL 621102

 

5.5% 01 Jan 2017

 

671,152

 

 

 

673,092

 

 

 

FNMA POOL 631324

 

5.5% 01 Feb 2017

 

336,859

 

 

 

337,833

 

 

 

FNMA POOL 667032

 

5% 01 Nov 2017

 

370,529

 

 

 

365,464

 

 

 

FNMA POOL 705601

 

5% 01 May 2018

 

847,445

 

 

 

835,859

 

 

 

FNMA POOL 725690

 

6% 01 Aug 2034

 

450,844

 

 

 

454,718

 

 

 

FNMA POOL 745275

 

5% 01 Feb 2036

 

6,751,850

 

 

 

6,521,601

 

 

 

FNMA POOL 745418

 

5.5% 01 Apr 2036

 

13,202,890

 

 

 

13,052,296

 

 

 

FNMA POOL 745515

 

5% 01 May 2036

 

3,290,838

 

 

 

3,178,616

 

 

 

FNMA POOL 821890

 

5% 01 Jun 2035

 

2,130,608

 

 

 

2,057,951

 

 

 

FNMA POOL 826495

 

5.5% 01 Jul 2035

 

123,716

 

 

 

122,324

 

 

 

FNMA POOL 829881

 

5% 01 Jul 2035

 

5,446,359

 

 

 

5,260,629

 

 

 

FNMA POOL 831679

 

6.5% 01 Aug 2036

 

4,484,260

 

 

 

4,569,215

 

 

 

FNMA POOL 832690

 

5% 01 Sep 2035

 

3,709,537

 

 

 

3,583,035

 

 

 

FNMA POOL 832799

 

5% 01 Sep 2035

 

5,305,264

 

 

 

5,124,346

 

 

 

FNMA POOL 872482

 

5.5% 01 Apr 2036

 

11,135,274

 

 

 

11,006,522

 

 

 

FNMA POOL 898832

 

5.5% 01 Nov 2036

 

3,493,791

 

 

 

3,453,394

 

 

 

FORD MTR CO DEL

 

7.45% 16 Jul 2031

 

565,000

 

 

 

443,525

 

 

 

FORD MTR CR CO

 

5.7% 15 Jan 2010

 

305,000

 

 

 

292,373

 

 

 

FORD MTR CR CO

 

7% 01 Oct 2013

 

900,000

 

 

 

859,482

 

 

 

FREESCALE SEMICONDUCTOR INC

 

10.125% 15 Dec 2016

 

1,260,000

 

 

 

1,261,575

 

 

 

GEN ELEC CAP CORP

 

0.55% 14 Oct 2008

 

542,000,000

 

 

 

4,524,816

 

 

 

GENERAL ELECTRIC CAPITAL CORPN

 

0.75% 05 Feb 2009

 

246,000,000

 

 

 

2,054,422

 

 



 

 

 

GENERAL ELECTRIC CAPITAL CORPN

 

1% 21 Mar 2012

 

115,000,000

 

 

 

941,146

 

 

 

GEORGIA PAC CORP

 

7.25% 01 Jun 2028

 

190,000

 

 

 

184,300

 

 

 

GEORGIA PAC CORP

 

7.375% 01 Dec 2025

 

100,000

 

 

 

97,500

 

 

 

GEORGIA PAC CORP

 

7.75% 15 Nov 2029

 

2,795,000

 

 

 

2,788,013

 

 

 

GERMANY(FED REP)

 

3.25% 17 Apr 2009

 

570,000

 

 

 

741,446

 

 

 

GNMA POOL 561294

 

5.5% 15 Feb 2033

 

844,681

 

 

 

842,602

 

 

 

GOLDMAN SACHS GROUP INC

 

5.125% 15 Jan 2015

 

755,000

 

 

 

735,890

 

 

 

GS MTG SECS CORP II

 

4.751% 10 Jul 2039

 

1,335,000

 

 

 

1,282,978

 

 

 

HARRAHS OPER INC

 

5.75% 01 Oct 2017

 

975,000

 

 

 

816,865

 

 

 

HCA INC

 

7.5% 06 Nov 2033

 

45,000

 

 

 

36,675

 

 

 

HONDA AUTO RECEIVABLES

 

1% 18 Feb 2010

 

2,225,000

 

 

 

2,162,075

 

 

 

HONDA AUTO RECEIVABLES

 

3.82% 21 May 2010

 

1,325,000

 

 

 

1,297,465

 

 

 

INTER AMERICAN DEVELOP BANK

 

1.9% 08 Jul 2009

 

40,000,000

 

 

 

344,946

 

 

 

INTERNATIONAL LEASE FIN CORP

 

3.5% 01 Apr 2009

 

40,000

 

 

 

38,458

 

 

 

INTERNATIONAL LEASE FIN CORP

 

4.875% 01 Sep 2010

 

595,000

 

 

 

585,097

 

 

 

INTL LEASE FIN CORP MTN

 

5.45% 24 Mar 2011

 

179,000

 

 

 

179,247

 

 

 

INTL LEASE FIN CORP MTN

 

5.75% 15 Jun 2011

 

690,000

 

 

 

698,970

 

 

 

INVITROGEN CORP

 

1.5% 15 Feb 2024

 

135,000

 

 

 

115,256

 

 

 

J P MORGAN CHASE + CO

 

3.625% 01 May 2008

 

770,000

 

 

 

753,574

 

 

 

JP MORGAN CHASE COML MTG SECS

 

1% 15 Apr 2045

 

2,700,000

 

 

 

2,814,694

 

 

 

K N ENERGY INC

 

6.67% 01 Nov 2027

 

85,000

 

 

 

77,515

 

 

 

KFW INTERNALTIONAL FIN INC

 

1.75% 23 Mar 2010

 

252,000,000

 

 

 

2,169,562

 

 

 

KFW INTERNATIONAL FINANCE INC

 

2.05% 21 Sep 2009

 

20,000,000

 

 

 

173,220

 

 

 

KINDER MORGAN ENERGY PARTNERS

 

5.8% 15 Mar 2035

 

190,000

 

 

 

170,467

 

 

 

KINDER MORGAN FIN CORP

 

5.7% 05 Jan 2016

 

375,000

 

 

 

344,070

 

 

 

KINDER MORGAN FIN CORP

 

6.4% 05 Jan 2036

 

2,230,000

 

 

 

1,967,339

 

 

 

KINDER MORGAN INC

 

5.15% 01 Mar 2015

 

345,000

 

 

 

309,532

 

 

 

KINDER MORGAN INC

 

6.5% 01 Sep 2012

 

570,000

 

 

 

571,072

 

 

 

KULICKE + SOFFA INDS INC

 

0.5% 30 Nov 2008

 

465,000

 

 

 

410,944

 

 

 

LB UBS COML MTG TR

 

4.647% 15 Jul 2030

 

1,510,000

 

 

 

1,472,580

 

 

 

LB UBS COML MTG TR

 

5.661% 15 Mar 2039

 

1,180,000

 

 

 

1,205,809

 

 

 

MANDALAY RESORT GROUP

 

6.375% 15 Dec 2011

 

1,145,000

 

 

 

1,139,275

 

 

 

MERRILL LYNCH MTG INVS INC

 

1% 25 Feb 2035

 

1,202,305

 

 

 

1,180,189

 

 

 

ML CFC COML MTG TR

 

1% 12 Feb 2039

 

1,740,000

 

 

 

1,751,130

 

 

 

MORGAN STANLEY

 

4.75% 01 Apr 2014

 

780,000

 

 

 

739,295

 

 

 

MORGAN STANLEY CAP I INC

 

4.89% 12 Jun 2047

 

2,215,000

 

 

 

2,146,825

 

 

 

MORGAN STANLEY CAP I INC

 

5.588322% 25 Jul 2035

 

920,496

 

 

 

907,550

 

 

 

NAVISTAR FINANCIAL CORP OWNER

 

3.53% 15 Oct 2012

 

1,840,000

 

 

 

1,788,537

 

 

 

NEWS AMER INC

 

6.4% 15 Dec 2035

 

610,000

 

 

 

605,489

 

 

 

NISSAN AUTO RECEIVABLES 2006 C

 

0.45% 15 Apr 2010

 

1,755,000

 

 

 

1,762,952

 

 

 

NORWAY (KINGDOM OF)

 

5.5% 15 May 2009

 

6,640,000

 

 

 

1,092,990

 

 

 

NORWAY KINGDOM OF

 

6% 16 May 2011

 

2,970,000

 

 

 

507,533

 

 

 

ONEOK PARTNERS LP

 

6.15% 01 Oct 2016

 

525,000

 

 

 

532,308

 

 

 

ONEOK PARTNERS LP

 

6.65% 01 Oct 2036

 

1,200,000

 

 

 

1,228,177

 

 

 

OSTERREICHISCHE KONTROLLBANK

 

1.8% 22 Mar 2010

 

10,000,000

 

 

 

86,224

 

 

 

OWENS CORNING REORG INC

 

7% 01 Dec 2036

 

755,000

 

 

 

758,432

 

 

 

PITNEY BROWES INC GLOBAL

 

5.25% 15 Jan 2037

 

3,085,000

 

 

 

3,040,113

 

 

 

RAILI TR

 

5.75% 25 Sep 2021

 

3,526,801

 

 

 

3,525,806

 

 

 

RALI SER 2006 QS6 TR

 

6% 25 Jun 2021

 

1,759,858

 

 

 

1,771,015

 

 

 

RESIDENTIAL CAP CORP

 

6.5% 17 Apr 2013

 

2,615,000

 

 

 

2,653,624

 

 

 

RESIDENTIAL CAP CORP

 

6.875% 30 Jun 2015

 

570,000

 

 

 

589,252

 

 

 

ROGERS WIRELESS INC

 

6.375% 01 Mar 2014

 

535,000

 

 

 

541,688

 

 

 

ROYAL CARIBBEAN CRUISES LTD

 

7.5% 15 Oct 2027

 

1,085,000

 

 

 

1,063,040

 

 

 

SARA LEE CORP

 

6.125% 01 Nov 2032

 

945,000

 

 

 

841,471

 

 

 

SBC COMMUNICATIONS INC

 

6.15% 15 Sep 2034

 

1,035,000

 

 

 

1,017,995

 

 

 

SOUTHERN NAT GAS CO

 

7.35% 15 Feb 2031

 

230,000

 

 

 

253,173

 

 

 

SPRINT CAP CORP

 

6.875% 15 Nov 2028

 

4,260,000

 

 

 

4,246,804

 

 

 

ST PAUL TRAVEL COS INC

 

6.75% 20 Jun 2036

 

125,000

 

 

 

137,304

 

 

 

STATE STREET BANK + TRUST CO

 

SHORT TERM INVESTMENT FUND

 

18,926,420

 

 

 

18,926,420

 

 

 

TELEFONICA EMISIONES S A U

 

7.045% 20 Jun 2036

 

2,990,000

 

 

 

3,169,147

 

 

 

TENNESSEE GAS PIPELINE CO

 

7% 15 Oct 2028

 

195,000

 

 

 

205,897

 

 

 

TIME WARNER INC

 

6.625% 15 May 2029

 

75,000

 

 

 

75,898

 

 

 

TIME WARNER INC

 

6.875% 01 May 2012

 

1,700,000

 

 

 

1,796,707

 

 

 

TIME WARNER INC NEW

 

6.5% 15 Nov 2036

 

1,110,000

 

 

 

1,103,158

 

 

 

TOLEDO EDISON CO

 

6.15% 15 May 2037

 

525,000

 

 

 

517,735

 

 

 

TOYOTA MOTOR CREDIT CORP

 

0.75% 09 Jun 2008

 

22,000,000

 

 

 

184,873

 

 

 

UNITED HEALTH GROUP INC

 

5.25% 15 Mar 2011

 

535,000

 

 

 

531,618

 

 

 

UNITED STATES TREAS BDS

 

4.5% 15 Feb 2036

 

3,240,000

 

 

 

3,082,556

 

 

 

UNITED STATES TREAS NTS

 

3.375% 28 Feb 2007

 

5,390,000

 

 

 

5,376,104

 

 

 

UNITED STATES TREAS NTS

 

4% 30 Sep 2007

 

7,795,000

 

 

 

7,734,710

 

 

 

UNITED STATES TREAS NTS

 

4.375% 15 May 2007

 

1,230,000

 

 

 

1,227,021

 

 

 

UNITED STATES TREAS NTS

 

4.625% 31 Mar 2008

 

7,115,000

 

 

 

7,084,983

 

 

 

UNITED STATES TREAS NTS

 

4.875% 15 Aug 2009

 

3,100,000

 

 

 

3,109,203

 

 



 

UNITED STATES TREAS NTS

 

4.875% 31 Aug 2008

 

615,000

 

614,952

 

US DOLLAR

 

 

 

—

 

—

 

USAA AUTO OWNER TR

 

3.53% 15 Jun 2011

 

2,705,000

 

2,642,869

 

VALE OVERSEAS LTD

 

6.875% 21 Nov 2036

 

1,955,000

 

2,005,146

 

VALERO ENERGY CORP

 

4.75% 15 Jun 2013

 

625,000

 

591,224

 

VIACOM INC

 

6.875% 30 Apr 2036

 

1,135,000

 

1,124,024

 

WAL MART STORES INC

 

5.25% 01 Sep 2035

 

1,635,000

 

1,497,909

 

WAMU MTG PASS THROUGH CTFS

 

4.95% 25 Aug 2035

 

910,960

 

900,359

 

WASHINGTON MUT MTG SECS CORP

 

4.6468% 25 Mar 2035

 

597,432

 

587,745

 

WEATHERFORD INTL LTD

 

6.5% 01 Aug 2036

 

1,380,000

 

1,383,235

 

WELLS FARGO MTG BKD SECS

 

4.996457% 25 Oct 2035

 

2,890,021

 

2,861,545

 

WESTRN UN CO

 

5.93% 01 Oct 2016

 

1,325,000

 

1,323,096

 

WFS FINL 2004 4 OWNER TR

 

2.98% 17 Sep 2009

 

597,412

 

591,904

 

WFS FINL 2004 4 OWNER TR

 

3.44% 17 May 2012

 

905,000

 

880,396

 

XEROX CORP

 

6.4% 15 Mar 2016

 

1,094,000

 

1,116,216

 

XTO ENERGY INC

 

6.1% 01 Apr 2036

 

310,000

 

301,869

 

 

 

 

 

 

 

 

 

 

 

Sub-Total: Fund 5712 / Pimco 3 of 6

 

 

 

$

317,050,758

 

 

 

 

 

 

(c) Description of investment including maturity date,

 

 

 

(e) Fair

 

(a)

 

(b) Identity of issue, borrower, lessor, or similar party

 

    rate of interest, collateral, par, or maturity value

 

(d) Cost

 

value

 

 

 

 

 

 

 

 

 

(n / a)

 

 

 

 

 

 

 

 

 

Par Value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

BEAR STEARNS ARM TR

 

4.178069% 25 Feb 2035

 

5,920,808

 

 

 

5,894,904

 

 

 

CREDIT SUISSE FIRST BOSTON

 

5.75% 25 Apr 2033

 

6,749,071

 

 

 

6,676,903

 

 

 

CREDIT SUISSE FIRST BOSTON MTG

 

5.5% 25 Apr 2033

 

5,000,000

 

 

 

4,850,208

 

 

 

CREDIT SUISSE FIRST BOSTON MTG

 

6.5% 25 Feb 2032

 

864,669

 

 

 

863,334

 

 

 

FANNIE MAE

 

4.5% 25 Jul 2032

 

13,158,958

 

 

 

12,664,035

 

 

 

FED HM LN PC POOL B14914

 

5% 01 Jun 2019

 

133,458

 

 

 

131,362

 

 

 

FED HM LN PC POOL B15130

 

5% 01 Jun 2019

 

1,173,840

 

 

 

1,155,408

 

 

 

FED HM LN PC POOL B15170

 

5% 01 Jul 2019

 

498,323

 

 

 

490,497

 

 

 

FED HM LN PC POOL B15591

 

5% 01 Jul 2019

 

544,021

 

 

 

534,798

 

 

 

FED HM LN PC POOL E01479

 

3.5% 01 Sep 2018

 

14,029,661

 

 

 

12,736,302

 

 

 

FED HM LN PC POOL G01827

 

4.5% 01 Jun 2035

 

18,333,505

 

 

 

17,175,486

 

 

 

FEDERAL HOME LN BANK

 

2.95% 15 Jan 2032

 

3,002,977

 

 

 

2,622,956

 

 

 

FEDERAL HOME LN MTG CORP

 

0% 15 Apr 2034

 

3,479,465

 

 

 

2,074,767

 

 

 

FEDERAL HOME LN MTG CORP

 

0% 15 Oct 2033

 

8,435,312

 

 

 

4,649,993

 

 

 

FEDERAL HOME LN MTG CORP

 

0.621% 15 Oct 2033

 

3,852,535

 

 

 

2,736,218

 

 

 

FEDERAL HOME LN MTG CORP

 

1.02% 15 Oct 2033

 

4,426,582

 

 

 

2,863,347

 

 

 

FEDERAL HOME LN MTG CORP

 

1.201875% 15 Nov 2033

 

10,868,945

 

 

 

6,987,116

 

 

 

FEDERAL HOME LN MTG CORP

 

4% 15 Sep 2015

 

19,642,082

 

 

 

19,153,784

 

 

 

FEDERAL HOME LN MTG CORP

 

4.5% 15 Nov 2028

 

11,949,042

 

 

 

11,604,254

 

 

 

FEDERAL HOME LN MTG CORP

 

5% 15 Aug 2031

 

13,547,000

 

 

 

13,055,906

 

 

 

FEDERAL HOME LN MTG CORP

 

5% 15 Feb 2033

 

8,250,000

 

 

 

7,845,234

 

 

 

FEDERAL HOME LN MTG CORP

 

5% 15 Jun 2032

 

18,714,093

 

 

 

18,368,719

 

 

 

FEDERAL HOME LN MTG CORP

 

5.5% 15 Nov 2032

 

15,013,907

 

 

 

14,382,139

 

 

 

FEDERAL HOME LN MTG CORP

 

6% 15 Jul 2023

 

3,410,026

 

 

 

3,420,392

 

 

 

FEDERAL HOME LN MTG CORP

 

6% 15 Oct 2031

 

10,898,979

 

 

 

11,006,469

 

 

 

FEDERAL HOME LN MTG CORP

 

6.5% 15 Feb 2026

 

6,465,896

 

 

 

6,632,229

 

 

 

FEDERAL HOME LN MTG CORP MLTCL

 

6% 15 Dec 2028

 

4,496,234

 

 

 

4,561,167

 

 

 

FEDERAL HOME LN MTG CORPMIC

 

4.25% 15 Jan 2018

 

11,122,921

 

 

 

10,754,231

 

 

 

FEDERAL NATIONAL MORTG ASSOC

 

5% 25 Mar 2035

 

15,551,804

 

 

 

14,618,696

 

 

 

FEDERAL NATL MTG ASSN

 

4% 25 Oct 2017

 

10,924,757

 

 

 

10,517,769

 

 

 

FEDERAL NATL MTG ASSN

 

6% 25 Sep 2031

 

19,640,793

 

 

 

19,800,810

 

 

 

FEDERAL NATL MTG ASSN GTD

 

6.5% 25 Jul 2029

 

5,882,987

 

 

 

6,043,872

 

 

 

FEDERAL NATL MTG ASSN GTD

 

6.5% 25 Sep 2029

 

9,376,741

 

 

 

9,609,848

 

 

 

FEDERAL NATL MTG ASSN REMIC

 

5% 25 Dec 2030

 

11,945,870

 

 

 

11,750,311

 

 

 

FNMA

 

5.76% 25 May 2036

 

12,242,123

 

 

 

12,263,203

 

 

 

FNMA POOL 251890

 

6.5% 01 Aug 2018

 

411,088

 

 

 

422,860

 

 

 

FNMA POOL 254634

 

5.5% 01 Feb 2023

 

7,871,555

 

 

 

7,816,209

 

 

 

FNMA POOL 255059

 

5.5% 01 Dec 2033

 

10,685,041

 

 

 

10,512,478

 

 

 

FNMA POOL 255174

 

4% 23 Feb 2014

 

8,609,976

 

 

 

8,258,884

 

 

 

FNMA POOL 429715

 

6.5% 01 Apr 2018

 

493,697

 

 

 

507,345

 

 

 

FNMA POOL 457274

 

6.667% 01 Oct 2028

 

107,447

 

 

 

108,947

 

 

 

FNMA POOL 499479

 

6.5% 01 Jun 2029

 

347,477

 

 

 

356,883

 

 

 

FNMA POOL 526993

 

6.052% 01 Nov 2028

 

1,195,031

 

 

 

1,224,083

 

 

 

FNMA POOL 555811

 

0.99% 01 Sep 2018

 

16,915,956

 

 

 

15,978,971

 

 

 

FNMA POOL 559810

 

6.064% 01 Aug 2040

 

517,034

 

 

 

522,619

 

 

 

FNMA POOL 745390

 

5.24% 01 Feb 2036

 

20,664,258

 

 

 

20,633,396

 

 

 

FNMA POOL 785677

 

5% 01 Jul 2019

 

351,005

 

 

 

345,767

 

 

 

FNMA POOL 785721

 

5% 01 Jul 2019

 

4,078,852

 

 

 

4,012,889

 

 



 

GNMA II POOL 080594

 

5.375% 20 Apr 2032

 

1,738,275

 

1,756,662

 

GNMA II POOL 080869

 

1% 20 Apr 2034

 

4,393,640

 

4,438,152

 

GNMA II POOL 080965

 

1% 20 Jul 2034

 

4,766,268

 

4,804,936

 

GNMA POOL 467128

 

6.5% 15 Aug 2028

 

24,623

 

25,380

 

GNMA POOL 604548

 

4.5% 15 Aug 2033

 

12,635,543

 

11,927,261

 

GNMA POOL 780617

 

6.5% 15 Jun 2009

 

483,990

 

495,825

 

GOVERNMENT NATL MTG ASSN

 

5% 16 Mar 2033

 

16,000,000

 

15,267,717

 

GOVERNMENT NATL MTG ASSN

 

6% 16 Jun 2032

 

11,781,751

 

11,991,222

 

GS MTG SECS CORP

 

4.560551% 25 Nov 2035

 

10,801,652

 

10,612,340

 

GS MTG SECS CORP

 

5.5% 25 Jul 2035

 

5,428,970

 

4,892,885

 

GSR MORTGAGE LOAN TRUST

 

1% 25 Oct 2035

 

13,664,342

 

13,480,898

 

MASTR ADJ RATE MTG TR

 

1% 25 Jan 2036

 

12,314,706

 

12,149,840

 

MASTR ASSET SECURITIZATION TR

 

5.5% 25 Jul 2033

 

5,510,233

 

5,401,246

 

STATE STREET BANK + TRUST CO

 

SHORT TERM INVESTMENT FUND

 

31,026,972

 

31,026,972

 

STRUCTURED ASSET SECS CORP

 

6% 25 Apr 2033

 

7,762,125

 

7,743,809

 

UNITED STATES TREAS BDS

 

6.125% 15 Aug 2029

 

22,000,000

 

25,726,250

 

WELLS FARGO MTG BACKED SECS

 

3.3814% 25 Jul 2034

 

5,839,467

 

5,818,872

 

 

 

 

 

 

 

 

 

 

 

Sub-Total: Fund 5727 / Pimco 4 of 6

 

 

 

$

528,758,266

 

 

 

 

 

 

(c) Description of investment including maturity date,

 

 

 

(e) Fair

 

(a)

 

(b) Identity of issue, borrower, lessor, or similar party

 

    rate of interest, collateral, par, or maturity value

 

(d) Cost

 

value

 

 

 

 

 

 

 

 

 

(n / a)

 

 

 

 

 

 

 

 

 

Par Value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0WP003353 WESTERN     CDS PAY

 

1% 20 Jun 2009

 

(880,000

)

 

 

(880,000

)

 

 

0WP003353 WESTERN     CDS REC

 

0.42% 20 Jun 2009

 

880,000

 

 

 

887,224

 

 

 

0WP006455 WESTERN     CDS PAY

 

1% 20 Dec 2009

 

(3,900,000

)

 

 

(3,900,000

)

 

 

0WP006455 WESTERN     CDS REC

 

0.215% 20 Dec 2009

 

3,900,000

 

 

 

3,918,754

 

 

 

0WP006653 WESTERN     CDS PAY

 

1.05% 20 Mar 2010

 

(289,998

)

 

 

(295,155

)

 

 

0WP006653 WESTERN     CDS REC

 

1% 20 Mar 2010

 

289,998

 

 

 

289,998

 

 

 

0WP008394 WESTERN     CDS PAY

 

1% 20 Mar 2010

 

(300,000

)

 

 

(300,000

)

 

 

0WP008394 WESTERN     CDS REC

 

1.25% 20 Mar 2010

 

300,000

 

 

 

302,848

 

 

 

0WP008410 WESTERN     CDS PAY

 

1% 20 Mar 2015

 

(400,000

)

 

 

(400,000

)

 

 

0WP008410 WESTERN     CDS REC

 

1.67% 20 Mar 2015

 

400,000

 

 

 

381,674

 

 

 

0WP008436 WESTERN     CDS PAY

 

1% 20 Mar 2015

 

(400,000

)

 

 

(400,000

)

 

 

0WP008436 WESTERN     CDS REC

 

1.67% 20 Mar 2015

 

400,000

 

 

 

381,674

 

 

 

0WP008451 WESTERN     CDS PAY

 

1% 20 Mar 2010

 

(900,000

)

 

 

(900,000

)

 

 

0WP008451 WESTERN     CDS REC

 

1.25% 20 Mar 2010

 

900,000

 

 

 

908,543

 

 

 

0WP009210 WESTERN     CDS PAY

 

1.3% 25 Jan 2035

 

(451,000

)

 

 

(446,950

)

 

 

0WP009210 WESTERN     CDS REC

 

1% 25 Jan 2035

 

451,000

 

 

 

451,000

 

 

 

0WP009236 WESTERN     CDS PAY

 

1.25% 25 Jan 2035

 

(451,000

)

 

 

(438,241

)

 

 

0WP009236 WESTERN     CDS REC

 

1% 25 Jan 2035

 

451,000

 

 

 

451,000

 

 

 

0WP009251 WESTERN     CDS PAY

 

1.45% 25 Jun 2035

 

(451,000

)

 

 

(448,613

)

 

 

0WP009251 WESTERN     CDS REC

 

1% 25 Jun 2035

 

451,000

 

 

 

451,000

 

 

 

0WP009277 WESTERN     CDS PAY

 

2.2% 25 Jan 2035

 

(451,000

)

 

 

(436,950

)

 

 

0WP009277 WESTERN     CDS REC

 

1% 25 Jan 2035

 

451,000

 

 

 

451,000

 

 

 

0WP009293 WESTERN     CDS PAY

 

2.25% 25 Jan 2035

 

(451,000

)

 

 

(445,560

)

 

 

0WP009293 WESTERN     CDS REC

 

1% 25 Jan 2035

 

451,000

 

 

 

451,000

 

 

 

0WP009335 WESTERN     CDS PAY

 

2.25% 25 Jun 2035

 

(451,000

)

 

 

(446,287

)

 

 

0WP009335 WESTERN     CDS REC

 

1% 25 Jun 2035

 

451,000

 

 

 

451,000

 

 

 

0WP009350 WESTERN     CDS PAY

 

2.25% 25 Oct 2035

 

(451,000

)

 

 

(441,415

)

 

 

0WP009350 WESTERN     CDS REC

 

1% 25 Oct 2035

 

451,000

 

 

 

451,000

 

 

 

0WP009376 WESTERN     CDS PAY

 

1.3% 25 Oct 2035

 

(451,000

)

 

 

(454,149

)

 

 

0WP009376 WESTERN     CDS REC

 

1% 25 Oct 2035

 

451,000

 

 

 

451,000

 

 

 

0WP009418 WESTERN     CDS PAY

 

2.25% 25 Sep 2035

 

(451,000

)

 

 

(454,081

)

 

 

0WP009418 WESTERN     CDS REC

 

1% 25 Sep 2035

 

451,000

 

 

 

451,000

 

 

 

0WP009434 WESTERN     CDS PAY

 

1.4% 25 Jan 2035

 

(451,000

)

 

 

(443,973

)

 

 

0WP009434 WESTERN     CDS REC

 

1% 25 Jan 2035

 

451,000

 

 

 

451,000

 

 

 

0WP009475 WESTERN     CDS PAY

 

1.3% 25 Sep 2035

 

(451,000

)

 

 

(443,755

)

 

 

0WP009475 WESTERN     CDS REC

 

1% 25 Sep 2035

 

451,000

 

 

 

451,000

 

 

 

0WP009491 WESTERN     CDS PAY

 

2.25% 25 Jan 2035

 

(451,000

)

 

 

(440,727

)

 

 

0WP009491 WESTERN     CDS REC

 

1% 25 Jan 2035

 

451,000

 

 

 

451,000

 

 

 

0WP009517 WESTERN     CDS PAY

 

1.35% 25 Jun 2035

 

(451,000

)

 

 

(447,144

)

 

 

0WP009517 WESTERN     CDS REC

 

1% 25 Jun 2035

 

451,000

 

 

 

451,000

 

 

 

0WP009558 WESTERN     CDS PAY

 

2.25% 25 Jun 2035

 

(451,000

)

 

 

(445,150

)

 

 

0WP009558 WESTERN     CDS REC

 

1% 25 Jun 2035

 

451,000

 

 

 

451,000

 

 

 

0WP009574 WESTERN     CDS PAY

 

1.3% 25 Feb 2035

 

(451,000

)

 

 

(446,343

)

 

 

0WP009574 WESTERN     CDS REC

 

1% 25 Feb 2035

 

451,000

 

 

 

451,000

 

 

 

0WP009632 WESTERN     CDS PAY

 

1.4% 25 Nov 2034

 

(451,000

)

 

 

(447,361

)

 

 

0WP009632 WESTERN     CDS REC

 

1% 25 Nov 2034

 

451,000

 

 

 

451,000

 

 

 

0WP009657 WESTERN     CDS PAY

 

2.2% 25 Feb 2035

 

(451,000

)

 

 

(444,218

)

 



 

0WP009657 WESTERN   CDS REC

 

1% 25 Feb 2035

 

451,000

 

451,000

 

0WP009715 WESTERN   CDS PAY

 

2.25% 25 Nov 2034

 

(451,000

)

(444,863

)

0WP009715 WESTERN   CDS REC

 

1% 25 Nov 2034

 

451,000

 

451,000

 

0WP009756 WESTERN   CDS PAY

 

1.25% 25 Dec 2034

 

(451,000

)

(449,504

)

0WP009756 WESTERN   CDS REC

 

1% 25 Dec 2034

 

451,000

 

451,000

 

0WP009798 WESTERN   CDS PAY

 

2.2% 25 Dec 2034

 

(451,000

)

(447,619

)

0WP009798 WESTERN   CDS REC

 

1% 25 Dec 2034

 

451,000

 

451,000

 

0WP009939 WESTERN   CDS PAY

 

1.25% 25 Feb 2035

 

(451,000

)

(441,011

)

0WP009939 WESTERN   CDS REC

 

1% 25 Feb 2035

 

451,000

 

451,000

 

0WP009954 WESTERN   CDS PAY

 

2.25% 25 Mar 2035

 

(451,000

)

(452,322

)

0WP009954 WESTERN   CDS REC

 

1% 25 Mar 2035

 

451,000

 

451,000

 

0WP010010 WESTERN   CDS PAY

 

2.25% 25 Jan 2036

 

(451,000

)

(435,702

)

0WP010010 WESTERN   CDS REC

 

1% 25 Jan 2036

 

451,000

 

451,000

 

0WP010036 WESTERN   CDS PAY

 

1.4% 25 Nov 2034

 

(451,000

)

(444,365

)

0WP010036 WESTERN   CDS REC

 

1% 25 Nov 2034

 

451,000

 

451,000

 

0WP010051 WESTERN   CDS PAY

 

2.25% 25 Feb 2035

 

(451,000

)

(440,024

)

0WP010051 WESTERN   CDS REC

 

1% 25 Feb 2035

 

451,000

 

451,000

 

0WP010093 WESTERN   CDS PAY

 

1.35% 25 Jan 2036

 

(451,000

)

(437,691

)

0WP010093 WESTERN   CDS REC

 

1% 25 Jan 2036

 

451,000

 

451,000

 

0WP010135 WESTERN   CDS PAY

 

2.25% 25 Nov 2034

 

(451,000

)

(442,199

)

0WP010135 WESTERN   CDS REC

 

1% 25 Nov 2034

 

451,000

 

451,000

 

0WP010150 WESTERN   CDS PAY

 

1.3% 25 Mar 2035

 

(451,000

)

(451,906

)

0WP010150 WESTERN   CDS REC

 

1% 25 Mar 2035

 

451,000

 

451,000

 

0WP010515 WESTERN   CDS PAY

 

1.45% 25 Mar 2035

 

(451,000

)

(445,156

)

0WP010515 WESTERN   CDS REC

 

1% 25 Mar 2035

 

451,000

 

451,000

 

0WP010531 WESTERN   CDS PAY

 

2.25% 25 Mar 2035

 

(451,000

)

(441,977

)

0WP010531 WESTERN   CDS REC

 

1% 25 Mar 2035

 

451,000

 

451,000

 

0WP013691 WESTERN   CDS PAY

 

1% 20 Jun 2008

 

(6,130,000

)

(6,130,000

)

0WP013691 WESTERN   CDS REC

 

8.57% 20 Jun 2008

 

6,130,000

 

6,745,765

 

0WP013717 WESTERN   CDS PAY

 

7.77% 20 Jun 2007

 

(6,130,000

)

(6,326,457

)

0WP013717 WESTERN   CDS REC

 

1% 20 Jun 2007

 

6,130,000

 

6,130,000

 

0WP014459 WESTERN   CDS PAY

 

1% 20 Jun 2010

 

(7,800,000

)

(7,800,000

)

0WP014459 WESTERN   CDS REC

 

0.9% 20 Jun 2010

 

7,800,000

 

7,883,951

 

0WP020738 WESTERN   CDS PAY

 

1% 20 Sep 2010

 

(4,100,000

)

(4,100,000

)

0WP020738 WESTERN   CDS REC

 

6% 20 Sep 2010

 

4,100,000

 

4,454,958

 

0WP020878 WESTERN   CDS PAY

 

1% 20 Sep 2010

 

(6,000,000

)

(6,000,000

)

0WP020878 WESTERN   CDS REC

 

6% 20 Sep 2010

 

6,000,000

 

6,519,451

 

0WP027576 WESTERN   CDS PAY

 

0.37% 20 Mar 2011

 

(310,000

)

(311,627

)

0WP027576 WESTERN   CDS REC

 

1% 20 Mar 2011

 

310,000

 

310,000

 

0WP027592 WESTERN   CDS PAY

 

0.38% 20 Mar 2011

 

(310,000

)

(311,490

)

0WP027592 WESTERN   CDS REC

 

1% 20 Mar 2011

 

310,000

 

310,000

 

0WP027618 WESTERN   CDS PAY

 

0.34% 20 Mar 2011

 

(310,000

)

(311,603

)

0WP027618 WESTERN   CDS REC

 

1% 20 Mar 2011

 

310,000

 

310,000

 

0WP027659 WESTERN   CDS PAY

 

0.335% 20 Mar 2011

 

(330,000

)

(331,668

)

0WP027659 WESTERN   CDS REC

 

1% 20 Mar 2011

 

330,000

 

330,000

 

0WP027675 WESTERN   CDS PAY

 

0.32% 20 Mar 2011

 

(330,000

)

(331,851

)

0WP027675 WESTERN   CDS REC

 

1% 20 Mar 2011

 

330,000

 

330,000

 

0WP027691 WESTERN   CDS PAY

 

0.36% 20 Mar 2011

 

(330,000

)

(331,328

)

0WP027691 WESTERN   CDS REC

 

1% 20 Mar 2011

 

330,000

 

330,000

 

0WP027816 WESTERN   CDS PAY

 

0.325% 20 Mar 2011

 

(310,000

)

(311,799

)

0WP027816 WESTERN   CDS REC

 

1% 20 Mar 2011

 

310,000

 

310,000

 

0WP027832 WESTERN   CDS PAY

 

0.34% 20 Mar 2011

 

(310,000

)

(311,628

)

0WP027832 WESTERN   CDS REC

 

1% 20 Mar 2011

 

310,000

 

310,000

 

0WP027857 WESTERN   CDS PAY

 

0.36% 20 Mar 2011

 

(330,000

)

(331,328

)

0WP027857 WESTERN   CDS REC

 

1% 20 Mar 2011

 

330,000

 

330,000

 

0WP027915 WESTERN   CDS PAY

 

0.325% 20 Mar 2011

 

(310,000

)

(311,421

)

0WP027915 WESTERN   CDS REC

 

1% 20 Mar 2011

 

310,000

 

310,000

 

0WP027931 WESTERN   CDS PAY

 

0.36% 20 Mar 2011

 

(310,000

)

(311,248

)

0WP027931 WESTERN   CDS REC

 

1% 20 Mar 2011

 

310,000

 

310,000

 

0WP027956 WESTERN   CDS PAY

 

0.34% 20 Mar 2011

 

(330,000

)

(331,732

)

0WP027956 WESTERN   CDS REC

 

1% 20 Mar 2011

 

330,000

 

330,000

 

0WP028079 WESTERN   CDS PAY

 

0.33% 20 Mar 2011

 

(100,000

)

(100,486

)

0WP028079 WESTERN   CDS REC

 

1% 20 Mar 2011

 

100,000

 

100,000

 

0WP028095 WESTERN   CDS PAY

 

0.32% 20 Mar 2011

 

(420,000

)

(421,843

)

0WP028095 WESTERN   CDS REC

 

1% 20 Mar 2011

 

420,000

 

420,000

 

0WP028111 WESTERN   CDS PAY

 

0.35% 20 Mar 2011

 

(100,000

)

(100,363

)

0WP028111 WESTERN   CDS REC

 

1% 20 Mar 2011

 

100,000

 

100,000

 

0WP028715 WESTERN   CDS PAY

 

1% 20 Mar 2007

 

(4,460,000

)

(4,460,000

)

0WP028715 WESTERN   CDS REC

 

5.55% 20 Mar 2007

 

4,460,000

 

4,515,435

 

0WP033657 WESTERN   CDS PAY

 

1% 20 Sep 2012

 

(1,410,000

)

(1,410,000

)

0WP033657 WESTERN   CDS REC

 

0.27% 20 Sep 2012

 

1,410,000

 

1,416,399

 

0WP037039 WESTERN   IRS PAY

 

1% 18 Oct 2008

 

(40,820,000

)

(40,819,853

)

0WP037039 WESTERN   IRS REC

 

5.55% 18 Oct 2008

 

40,820,000

 

41,066,937

 

 



 

0WP037054 WESTERN IRS PAY

 

5.67% 18 Oct 2016

 

(9,956,000

)

(10,329,588

)

0WP037054 WESTERN IRS REC

 

1% 18 Oct 2016

 

9,956,000

 

9,955,964

 

0WP037096 WESTERN IRS PAY

 

5.69% 19 Oct 2016

 

(9,956,000

)

(10,344,820

)

0WP037096 WESTERN IRS REC

 

1% 19 Oct 2016

 

9,956,000

 

9,955,964

 

0WP037112 WESTERN IRS PAY

 

1% 19 Oct 2008

 

(39,824,000

)

(39,823,857

)

0WP037112 WESTERN IRS REC

 

5.58% 19 Oct 2008

 

39,824,000

 

40,085,226

 

0WR0207P7 WESTERN CDS PAY

 

1% 01 May 2007

 

(3,010,000

)

(3,010,000

)

0WR0207P7 WESTERN CDS REC

 

5.26% 01 May 2007

 

3,010,000

 

3,082,558

 

AAC GROUP HLDG CORP

 

1% 01 Oct 2012

 

90,000

 

78,750

 

AES CORP

 

8.75% 15 May 2013

 

1,550,000

 

1,660,438

 

AES CORP

 

9% 15 May 2015

 

2,270,000

 

2,440,250

 

AIFUL CORP

 

5% 10 Aug 2010

 

1,200,000

 

1,173,156

 

ALTRIA GROUP INC

 

7% 04 Nov 2013

 

635,000

 

689,786

 

AMC ENTMT INC

 

11% 01 Feb 2016

 

90,000

 

101,025

 

AMERADA HESS CORP

 

7.3% 15 Aug 2031

 

3,380,000

 

3,772,249

 

AMERICAN ACHIEVEMENT CORP

 

8.25% 01 Apr 2012

 

50,000

 

51,188

 

AMERICAN HOME MTG INVT TR

 

5.61% 25 Nov 2045

 

6,429,136

 

6,439,787

 

AMERIGAS PARTNERS L P

 

7.25% 20 May 2015

 

200,000

 

202,500

 

ANADARKO FIN CO

 

7.5% 01 May 2031

 

50,000

 

57,263

 

ANADARKO PETE CORP

 

1% 15 Sep 2009

 

2,140,000

 

2,148,731

 

ANADARKO PETE CORP

 

5.95% 15 Sep 2016

 

460,000

 

459,357

 

ANADARKO PETE CORP

 

6.45% 15 Sep 2036

 

2,800,000

 

2,825,635

 

AOL TIME WARNER INC

 

7.7% 01 May 2032

 

955,000

 

1,075,609

 

APACHE CORP

 

6.25% 15 Apr 2012

 

540,000

 

559,494

 

ASIF GLOBAL FINANCNG XIX

 

4.9% 17 Jan 2013

 

210,000

 

203,925

 

ASSET SECURITIZATION CORP

 

1% 14 Feb 2029

 

186,951

 

187,476

 

AT+T WIRELESS

 

8.125% 01 May 2012

 

415,000

 

465,092

 

BANC AMER COML MTG INC

 

1% 10 Oct 2045

 

140,000

 

137,764

 

BANK AMER CORP

 

5.42% 15 Mar 2017

 

1,400,000

 

1,389,157

 

BANK ONE CORP

 

4.125% 01 Sep 2007

 

1,750,000

 

1,735,263

 

BANK ONE ISSUANCE TR

 

5.46% 15 Dec 2010

 

3,750,000

 

3,755,861

 

BEAR STEARNS ARM TR

 

3.5171% 25 Jun 2034

 

3,800,000

 

3,673,071

 

BEAR STEARNS ASSET BKD SECSI

 

5.48% 25 Sep 2035

 

3,477,560

 

3,478,648

 

BEAR STEARNS MTG FDG TR

 

1% 25 Dec 2036

 

9,400,000

 

9,399,489

 

BEAZER HOMES USA INC

 

8.625% 15 May 2011

 

40,000

 

41,200

 

BELLSOUTH CORP

 

4.75% 15 Nov 2012

 

90,000

 

86,607

 

BOYD GAMING CORP

 

6.75% 15 Apr 2014

 

155,000

 

154,613

 

BOYD GAMING CORP

 

7.125% 01 Feb 2016

 

30,000

 

29,850

 

BRAZIL FEDERATIVE REP

 

10.125% 15 May 2027

 

246,000

 

345,999

 

BRAZIL FEDERATIVE REP

 

8.875% 15 Apr 2024

 

150,000

 

186,750

 

BRAZIL FERERATIVE REP

 

11% 17 Aug 2040

 

2,217,000

 

2,940,851

 

BRITISH TELECOMMUNICATIONS PLC

 

8.375% 15 Dec 2010

 

690,000

 

766,438

 

CAESARS ENTMT INC

 

7% 15 Apr 2013

 

161,000

 

162,142

 

CAESARS ENTMT INC

 

8.125% 15 May 2011

 

111,000

 

116,134

 

CALIFORNIA INFR + ECONOMIC DEV

 

6.48% 26 Dec 2009

 

565,695

 

569,942

 

CANADA GOVT

 

4% 01 Dec 2031

 

596,395

 

743,123

 

CASCADIA LTD

 

8.515% 13 Jun 2008

 

600,000

 

591,360

 

CDC MTG CAP TR

 

5.63% 25 Jan 2033

 

640,452

 

641,253

 

CHESAPEAKE ENERGY CORP

 

6.25% 15 Jan 2018

 

300,000

 

288,750

 

CHEVRONTEXACO CAP CO

 

3.5% 17 Sep 2007

 

820,000

 

809,687

 

CINCINNATI BELL INC NEW

 

7% 15 Feb 2015

 

260,000

 

260,325

 

CITIBANK CR CARD ISSUANCE TR

 

1% 09 Feb 2009

 

1,750,000

 

1,751,094

 

CITIGROUP INC

 

5% 06 Mar 2007

 

2,500,000

 

2,499,267

 

CITIGROUP INC

 

5% 15 Sep 2014

 

2,380,000

 

2,320,938

 

CITIGROUP INC

 

5.1% 29 Sep 2011

 

750,000

 

745,341

 

CITIZENS COMMUNICATIONS CO

 

9.25% 15 May 2011

 

100,000

 

110,625

 

CLEAR CHANNEL COMMUNICATIONS

 

4.25% 15 May 2009

 

600,000

 

564,709

 

CLEAR CHANNEL COMMUNICATIONS

 

6.25% 15 Mar 2011

 

1,120,000

 

1,086,675

 

CLEVELAND ELEC ILLUM CO

 

5.65% 15 Dec 2013

 

210,000

 

209,005

 

COLUMBIA REP

 

7.375% 18 Sep 2037

 

1,288,000

 

1,384,600

 

COLUMBIA/HCA HEALTHCARE CORP

 

7.69% 15 Jun 2025

 

170,000

 

140,709

 

COMCAST CABLE COMMUNICATIONS

 

6.75% 30 Jan 2011

 

430,000

 

449,250

 

COMCAST CORP

 

6.5% 15 Jan 2015

 

685,000

 

717,131

 

COMCAST CORP NEW

 

6.5% 15 Jan 2017

 

340,000

 

355,017

 

COMMONWEALTH EDISON CO

 

6.15% 15 Mar 2012

 

1,410,000

 

1,443,640

 

COMPAGNIE GENERALE DE

 

7.5% 15 May 2015

 

150,000

 

150,750

 

CONOCO FDG CO

 

6.35% 15 Oct 2011

 

570,000

 

594,866

 

CONOCO FDG CO

 

7.25% 15 Oct 2031

 

600,000

 

708,968

 

CONOCOPHILLIPS

 

4.75% 15 Oct 2012

 

1,080,000

 

1,047,067

 

CONOCOPHILLIPS

 

5.9% 15 Oct 2032

 

10,000

 

10,078

 

CONSECO FIN SECURITIATIONS CO

 

8.31% 01 May 2032

 

1,300,000

 

1,086,694

 

CONSECO FIN SECURITIZATIONS

 

7.27% 01 Sep 2032

 

2,962,865

 

2,956,761

 

CONSECO FIN SECURITIZATIONS CO

 

2.5% 01 Jan 2032

 

22,000,000

 

149,270

 

 



 

CONTINENTAL AIRLS

 

6.703% 15 Jun 2021

 

647,728

 

667,159

 

CONTINENTAL AIRLS PASS THRU TR

 

6.545% 02 Aug 2020

 

799,725

 

827,796

 

CORPORACION NACIONAL DEL COBRE

 

4.75% 15 Oct 2014

 

590,000

 

561,975

 

CORTS FORD

 

CORPORATE BKD TR SECS 7.4

 

22,900

 

389,300

 

CREDIT SUISSE FIRST BOSTON MTG

 

4.832% 15 Apr 2037

 

1,080,000

 

1,043,924

 

CRVD FIN LTD

 

1% 15 Oct 2007

 

600,894

 

600,449

 

CSC HLDGS INC

 

7.625% 01 Apr 2011

 

156,000

 

158,925

 

CSC HLDGS INC

 

7.875% 15 Feb 2018

 

259,000

 

258,353

 

CWABS INC

 

5.68% 15 Nov 2028

 

974,710

 

976,538

 

CWALT INC

 

1% 25 Nov 2035

 

6,726,485

 

6,739,057

 

CWALT INC

 

1% 25 Oct 2035

 

8,041,740

 

8,041,740

 

CWALT INC

 

4.41% 25 Jan 2036

 

3,115,118

 

3,120,086

 

CWALT INC

 

5.53% 25 Apr 2036

 

5,402,928

 

5,412,494

 

CWALT INC

 

5.579135% 20 Jul 2035

 

5,379,279

 

5,388,099

 

CWALT INC

 

5.59% 25 Nov 2035

 

6,509,443

 

6,519,694

 

CWHEQ INC

 

1% 15 Sep 2035

 

4,247,592

 

4,254,893

 

CWMBS INC

 

4.23% 25 Sep 2035

 

6,559,328

 

6,585,108

 

DAIMLER CHRYSLER NORTL HLDG CO

 

7.2% 01 Sep 2009

 

530,000

 

549,443

 

DAIMLERCHRYSLER NORTH AMER

 

4.05% 04 Jun 2008

 

960,000

 

937,843

 

DAVITA INC

 

7.25% 15 Mar 2015

 

180,000

 

183,600

 

DEUTSCHE MTG + ASSET REC CORP

 

6.538% 15 Jun 2031

 

1,610,281

 

1,620,929

 

DEUTSCHE TELEKOM INTL FIN B V

 

5.75% 23 Mar 2016

 

1,040,000

 

1,023,061

 

DEVON ENERGY CORP

 

7.95% 15 Apr 2032

 

565,000

 

687,714

 

DI FIN SUB LLC

 

9.5% 15 Feb 2013

 

210,000

 

222,600

 

DIRECTV HLDGS LLC

 

8.375% 15 Mar 2013

 

310,000

 

322,400

 

DOMINION RES INC DEL

 

5.7% 17 Sep 2012

 

1,490,000

 

1,503,066

 

DOMINION RES INC VA NEW

 

4.125% 15 Feb 2008

 

750,000

 

739,843

 

DOMINION RES INC VA NEW

 

4.75% 15 Dec 2010

 

410,000

 

400,322

 

DRS TECHNOLOGIES INC

 

6.625% 01 Feb 2016

 

135,000

 

136,013

 

DUKE ENERGY CO

 

5.625% 30 Nov 2012

 

100,000

 

100,990

 

DUKE ENERGY CO

 

6.25% 15 Jan 2012

 

170,000

 

176,285

 

DYNEGY INC NEW

 

CL A

 

75

 

543

 

EASTMAN KODAK CO

 

7.25% 15 Nov 2013

 

2,195,000

 

2,182,115

 

ECHOSTAR DBS CORP

 

6.625% 01 Oct 2014

 

320,000

 

312,000

 

ECHOSTAR DBS CORP

 

7.125% 01 Feb 2016

 

210,000

 

210,000

 

EL PASO ENERGY

 

7.8% 01 Aug 2031

 

2,370,000

 

2,589,225

 

EL PASO ENERGY CORP DEL

 

6.75% 15 May 2009

 

300,000

 

306,375

 

EL PASO ENERGY CORP MTN

 

7.75% 15 Jan 2032

 

1,000,000

 

1,095,000

 

EL PASO NAT GAS CO

 

8.375% 15 Jun 2032

 

1,480,000

 

1,792,191

 

ELECTRONIC DATA SYS CORP

 

7.125% 15 Oct 2009

 

2,230,000

 

2,324,775

 

EMAC OWNER TRUST

 

6.42% 15 Oct 2025

 

178,755

 

123,341

 

EMERALDS TR

 

5.38% 04 Aug 2020

 

1,000,000

 

1,002,540

 

EURODOLLAR FUTURES

 

7-Mar-07

 

64,000,000

 

—

 

EURODOLLAR FUTURES

 

8-Mar-07

 

(13,500,000

)

—

 

EURODOLLAR FUTURES

 

7-Jun-07

 

26,250,000

 

—

 

EURODOLLAR FUTURES

 

7-Sep-07

 

309,500,000

 

—

 

FED HM LN PC POOL C00860

 

7% 01 Sep 2029

 

20,162

 

20,892

 

FEDERAL HOME LN MTG CORP

 

4.75% 03 Nov 2009

 

2,100,000

 

2,088,946

 

FEDERAL HOME LN MTG CORP

 

5.55% 11 Dec 2008

 

1,260,000

 

1,260,092

 

FEDERAL HOME LN MTG CORP

 

5.625% 15 Mar 2011

 

2,860,000

 

2,931,262

 

FEDERAL HOME LN MTG CORP

 

5.625% 23 Nov 2035

 

2,610,000

 

2,549,961

 

FEDERAL HOME LN MTG CORP

 

6.875% 15 Sep 2010

 

2,970,000

 

3,162,304

 

FEDERAL HOME LOAN BANK

 

4.875% 18 Nov 2011

 

3,400,000

 

3,386,125

 

FEDERAL HOME LOAN BANK

 

5.4% 02 Jan 2009

 

1,930,000

 

1,927,027

 

FEDERAL NATL MTG ASSN

 

5.4% 13 Apr 2009

 

450,000

 

449,974

 

FEDERAL NATL MTG ASSN

 

6% 15 May 2011

 

3,400,000

 

3,535,495

 

FEDERAL NATL MTG ASSN

 

7.125% 15 Jun 2010

 

3,300,000

 

3,525,126

 

FEDERAL NATL MTG ASSN

 

7.25% 15 Jan 2010

 

3,000,000

 

3,190,142

 

FEDERAL NATL MTG ASSN DISC NTS

 

0.01% 25 Jun 2007

 

1,770,000

 

1,724,968

 

FFCA SECD LENDING CORP

 

1.6601% 18 Sep 2025

 

2,587,879

 

116,455

 

FFCA SECD LENDING CORP

 

1.72% 18 Sep 2020

 

5,244,255

 

170,438

 

FHLMCTBA JAN 30 GOLD SINGLE

 

5% 01 Dec 2099

 

4,300,000

 

4,148,828

 

FIRST ENERGY CORP

 

7.375% 15 Nov 2031

 

2,480,000

 

2,824,323

 

FIRST FRANKLIN MTG LN TR

 

5.72% 25 Dec 2032

 

2,079,518

 

2,080,818

 

FIRST SEC BK NA SALT LAKE CITY

 

9.35% 10 Jan 2023

 

4,700,000

 

5,868,102

 

FIRSTENERGY CORP

 

6.45% 15 Nov 2011

 

440,000

 

458,911

 

FLEET HOME EQUITY LN TR

 

1% 20 May 2031

 

1,034,901

 

1,036,033

 

FLEET HOME EQUITY LN TR

 

1.35375% 20 Jan 2033

 

1,147,619

 

1,147,440

 

FNMA TBA FEB 30 SINGLE FAM

 

5% 01 Dec 2099

 

17,000,000

 

16,411,640

 

FNMA TBA JAN 15 SINGLE FAM

 

5.5% 01 Dec 2099

 

35,900,000

 

35,888,781

 

FNMA TBA JAN 15 SINGLE FAM

 

6% 01 Dec 2099

 

1,100,000

 

1,115,125

 

FNMA TBA JAN 30 SINGLE FAM

 

4.5% 01 Dec 2099

 

4,000,000

 

3,746,250

 

FNMA TBA JAN 30 SINGLE FAM

 

5% 01 Dec 2099

 

94,781,000

 

91,493,284

 

 



 

FNMA TBA JAN 30 SINGLE FAM

 

5.5% 01 Dec 2099

 

60,500,000

 

59,795,744

 

FNMA TBA JAN 30 SINGLE FAM

 

6.5% 01 Dec 2099

 

26,500,000

 

26,994,805

 

FNMA POOL 313046

 

9% 01 Aug 2026

 

33,312

 

36,203

 

FNMA POOL 535460

 

8% 01 Sep 2015

 

46,467

 

49,040

 

FNMA POOL 542564

 

8% 01 Aug 2015

 

42,316

 

44,670

 

FNMA POOL 555350

 

5.5% 01 Mar 2018

 

2,158,536

 

2,164,776

 

FNMA POOL 631364

 

5.5% 01 Feb 2017

 

34,287

 

34,386

 

FNMA POOL 745000

 

6% 01 Oct 2035

 

525,738

 

529,517

 

FNMA TBA JAN 30 SINGLE FAM

 

6% 01 Dec 2099

 

132,250,000

 

133,138,561

 

FORD MTR CO DEL

 

7.45% 16 Jul 2031

 

1,500,000

 

1,177,500

 

FORD MTR CR CO

 

10.6400003% 15 Jun 2011

 

2,118,000

 

2,292,735

 

FORD MTR CR CO

 

7.25% 25 Oct 2011

 

6,450,000

 

6,316,292

 

FORD MTR CR CO

 

7.375% 01 Feb 2011

 

1,050,000

 

1,039,437

 

FORD MTR CR CO

 

7.375% 28 Oct 2009

 

6,950,000

 

6,964,804

 

FORD MTR CR CO

 

7.875% 15 Jun 2010

 

180,000

 

181,496

 

FOREST CITY ENTERPRISES INC

 

6.5% 01 Feb 2017

 

130,000

 

127,400

 

FOREST CITY ENTERPRISES INC

 

7.625% 01 Jun 2015

 

50,000

 

51,000

 

FRESENIUS MED CARE CAP TR IV

 

7.875% 15 Jun 2011

 

490,000

 

513,275

 

GEN MOTORS CORP

 

8.375% 05 Jul 2033

 

460,000

 

587,654

 

GENERAL ELEC CAP CORP MTN

 

4.125% 01 Sep 2009

 

540,000

 

525,293

 

GENERAL ELEC CAP CORP MTN

 

4.25% 15 Jan 2008

 

380,000

 

376,082

 

GENERAL ELEC CAP CORP MTN

 

6% 15 Jun 2012

 

540,000

 

558,349

 

GENERAL ELEC CO

 

5% 01 Feb 2013

 

2,680,000

 

2,637,019

 

GENERAL MTRS ACCEP CORP

 

5.625% 15 May 2009

 

1,740,000

 

1,726,254

 

GENERAL MTRS ACCEP CORP

 

6.311% 30 Nov 2007

 

770,000

 

765,188

 

GENERAL MTRS ACCEP CORP

 

7.75% 19 Jan 2010

 

1,500,000

 

1,570,005

 

GENERAL MTRS CORP

 

SR DEB CONV SER B

 

161,050

 

3,412,650

 

GENERAL MTRS NOVA SCOTIA FIN

 

6.85% 15 Oct 2008

 

3,820,000

 

3,800,900

 

GEORGIA GULF CORP

 

9.5% 15 Oct 2014

 

110,000

 

107,250

 

GEORGIA PAC CORP

 

8.125% 15 May 2011

 

8,000

 

8,400

 

GERMANY (FEDERAL REPUBLIC)

 

3.75% 04 Jan 2015

 

3,710,000

 

4,831,041

 

GERMANY FED REP BDS 10YR FT

 

7-Mar-07

 

8,900,000

 

—

 

GLITNIR BANKI HF

 

6.693% 15 Jun 2016

 

2,100,000

 

2,167,977

 

GLITNIR BANKI HF GLOBAL

 

6.33% 28 Jul 2011

 

1,060,000

 

1,095,174

 

GMAC COML MTG SEC INC

 

6.7% 15 May 2030

 

86,841

 

87,798

 

GMAC COML MTG SEC INC

 

6.869% 15 Jul 2029

 

29,408

 

29,503

 

GMACM HOME EQUITY LN TR

 

1% 25 Mar 2035

 

3,711,397

 

3,714,295

 

GNMA I TBA JAN 30 SINGLE FAM

 

6% 01 Dec 2099

 

30,250,000

 

30,665,938

 

GNMA I TBA JAN 30 SINGLE FAM

 

6.5% 01 Dec 2099

 

3,400,000

 

3,487,656

 

GNMA II POOL 003474

 

6% 20 Nov 2033

 

258,265

 

261,856

 

GNMA POOL 403388

 

5% 15 Sep 2033

 

18,070

 

17,605

 

GNMA POOL 403456

 

5% 15 Nov 2033

 

595,398

 

580,048

 

GNMA POOL 486470

 

6.5% 15 Aug 2028

 

21,960

 

22,636

 

GNMA POOL 486516

 

6.5% 15 Sep 2028

 

42,309

 

43,609

 

GNMA POOL 488303

 

7.5% 15 Dec 2028

 

1,216

 

1,273

 

GNMA POOL 550727

 

5% 15 Nov 2035

 

460,210

 

448,345

 

GNMA POOL 566505

 

5% 15 Dec 2033

 

38,087

 

37,105

 

GNMA POOL 583048

 

5% 15 Sep 2034

 

46,841

 

45,633

 

GNMA POOL 586311

 

5% 15 Dec 2034

 

22,582

 

22,000

 

GNMA POOL 586345

 

5% 15 Jan 2035

 

411,484

 

400,875

 

GNMA POOL 592160

 

5% 15 Aug 2033

 

251,552

 

245,067

 

GNMA POOL 602430

 

5% 15 Jan 2035

 

38,040

 

37,059

 

GNMA POOL 602870

 

5% 15 Jan 2035

 

639,067

 

622,591

 

GNMA POOL 603246

 

5% 15 Apr 2034

 

204,047

 

198,786

 

GNMA POOL 604945

 

5% 15 Jan 2034

 

408,651

 

398,115

 

GNMA POOL 605098

 

5% 15 Mar 2034

 

6,649,019

 

6,477,599

 

GNMA POOL 606212

 

5% 15 Aug 2033

 

225,931

 

220,107

 

GNMA POOL 607449

 

5% 15 Dec 2033

 

477,979

 

466,254

 

GNMA POOL 612813

 

5% 15 Jun 2033

 

493,208

 

480,493

 

GNMA POOL 613871

 

5% 15 Sep 2033

 

509,876

 

496,730

 

GNMA POOL 615430

 

5% 15 Aug 2033

 

331,214

 

322,675

 

GNMA POOL 615655

 

5% 15 Oct 2033

 

205,074

 

199,787

 

GNMA POOL 616413

 

5% 15 May 2034

 

1,293,588

 

1,260,238

 

GNMA POOL 619279

 

5% 15 Dec 2034

 

41,447

 

40,378

 

GNMA POOL 620569

 

5% 15 Sep 2033

 

201,739

 

196,538

 

GNMA POOL 626676

 

5% 15 May 2034

 

432,364

 

421,217

 

GNMA POOL 633552

 

5% 15 Aug 2034

 

183,711

 

178,975

 

GNMA POOL 635949

 

5% 15 Nov 2034

 

440,704

 

429,342

 

GNMA POOL 635988

 

5% 15 Dec 2034

 

346,293

 

337,366

 

GNMA POOL 636294

 

5% 15 Apr 2035

 

39,455

 

38,438

 

GNMA POOL 636484

 

5% 15 Mar 2035

 

411,798

 

401,696

 

GNMA POOL 636868

 

5% 15 Dec 2034

 

439,622

 

428,288

 

GNMA POOL 637029

 

5% 15 Dec 2034

 

44,836

 

43,680

 

 



 

GNMA POOL 637062

 

5% 15 Dec 2034

 

41,493

 

40,423

 

GNMA POOL 637285

 

5% 15 Nov 2034

 

392,367

 

382,251

 

GNMA POOL 637381

 

5% 15 Dec 2034

 

414,680

 

403,989

 

GNMA POOL 637422

 

5% 15 Jan 2035

 

386,063

 

376,110

 

GNMA POOL 637869

 

5% 15 Mar 2035

 

29,973

 

29,200

 

GNMA POOL 637934

 

5% 15 Jan 2035

 

405,589

 

395,132

 

GNMA POOL 638114

 

5% 15 Nov 2034

 

473,931

 

461,713

 

GNMA POOL 638198

 

5% 15 Dec 2034

 

23,891

 

23,275

 

GNMA POOL 644753

 

5% 15 May 2035

 

25,421

 

24,766

 

GNMA POOL 780851

 

7.5% 15 Dec 2027

 

31,961

 

33,519

 

GNMA POOL 781001

 

7.5% 15 Mar 2029

 

45,481

 

47,698

 

GNMA POOL 781887

 

5% 15 Mar 2035

 

2,908,950

 

2,833,953

 

GNMA POOL 781905

 

5% 15 Apr 2035

 

861,527

 

839,315

 

GOLDMAN SACHS GROUP INC

 

6.875% 15 Jan 2011

 

705,000

 

743,604

 

GOVERNMENT NATL MTG ASSN

 

5.72% 20 Aug 2031

 

132,084

 

133,043

 

GREENPOINT MTG FDG TR 2006 AR4

 

5.42% 25 Sep 2046

 

8,523,214

 

8,523,105

 

GS MTG SECS CORP II

 

4.68% 10 Jul 2039

 

3,400,000

 

3,296,709

 

HARBORVIEW MTG LN TR

 

5.453929% 25 Apr 2036

 

746,998

 

744,734

 

HCA INC

 

6.25% 15 Feb 2013

 

770,000

 

681,450

 

HCA INC

 

6.3% 01 Oct 2012

 

64,000

 

58,560

 

HCA INC

 

7.5% 06 Nov 2033

 

1,490,000

 

1,214,350

 

HCA INC

 

9.125% 15 Nov 2014

 

120,000

 

128,250

 

HCA INC

 

9.25% 15 Nov 2016

 

970,000

 

1,039,113

 

HCA INC

 

9.625% 15 Nov 2016

 

610,000

 

655,750

 

HCA INC FORMERLY HCA

 

6.5% 15 Feb 2016

 

403,000

 

339,528

 

HERTZ CORP

 

8.875% 01 Jan 2014

 

195,000

 

204,263

 

HILTON HOTELS CORP

 

7.625% 15 May 2008

 

600,000

 

615,000

 

HORIZON LINES LLC

 

9% 01 Nov 2012

 

175,000

 

183,750

 

HOST MARRIOTT LP

 

6.75% 01 Jun 2016

 

220,000

 

220,275

 

HOUSEHOLD FIN CORP

 

6.375% 27 Nov 2012

 

170,000

 

177,765

 

HOUSEHOLD FIN CORP

 

7% 15 May 2012

 

650,000

 

697,478

 

HOUSEHOLD FIN CORP

 

8% 15 Jul 2010

 

715,000

 

775,475

 

HSBC CAP FDG DLR 2 L P

 

1% 29 Dec 2049

 

520,000

 

484,286

 

HSBC FIN CORP

 

6.75% 15 May 2011

 

805,000

 

848,767

 

IDEARC INC

 

8% 15 Nov 2016

 

185,000

 

187,775

 

ILFC E CAPITAL TR

 

6.125% 21 Dec 2065

 

720,000

 

731,419

 

IMPAC CMB TR

 

5.65% 25 Aug 2033

 

869,028

 

869,285

 

IMPAC CMB TRUST

 

6.02% 25 Dec 2033

 

1,170,520

 

1,170,913

 

IMPAC SECD ASSETS CORP

 

5.64% 25 Mar 2036

 

6,832,266

 

6,843,324

 

INDYMAC INDX MTG LN TR

 

5.45% 25 Jul 2036

 

8,043,118

 

8,049,727

 

INN OF THE MTN GODS RESORT + C

 

12% 15 Nov 2010

 

170,000

 

183,600

 

INTELSAT LTD

 

6.5% 01 Nov 2013

 

20,000

 

17,000

 

INTELSAT LTD

 

7.625% 15 Apr 2012

 

320,000

 

298,400

 

INTELSAT LTD

 

9.25% 15 Jun 2016

 

170,000

 

182,750

 

J P MORGAN CHASE + CO

 

5.75% 02 Jan 2013

 

2,950,000

 

3,006,892

 

JACUZZI BRANDS INC

 

9.625% 01 Jul 2010

 

10,000

 

10,625

 

JP MORGAN CHASE COML MTG

 

4.895% 12 Sep 2037

 

380,000

 

368,367

 

JP MORGAN CHASE COML MTG SECS

 

5.472204% 12 Jan 2043

 

1,900,000

 

1,899,057

 

KABEL DEUTSCHLAND GMBH

 

10.625% 01 Jul 2014

 

290,000

 

321,538

 

KANSAS CITY SOUTHN RY CO

 

9.5% 01 Oct 2008

 

324,000

 

338,580

 

KAUPTHING BK

 

7.125% 19 May 2016

 

700,000

 

738,511

 

KAUPTHING BK HF

 

1% 12 Apr 2011

 

3,290,000

 

3,312,931

 

KAUPTHING BK HF MED TRM SR BK

 

5.75% 04 Oct 2011

 

510,000

 

507,868

 

KERR MCGEE CORP

 

6.95% 01 Jul 2024

 

240,000

 

255,034

 

KERR MCGEE CORP

 

7.875% 15 Sep 2031

 

2,560,000

 

3,076,144

 

KINDER MORGAN ENERGY PARTNERS

 

5% 15 Dec 2013

 

390,000

 

369,102

 

KINDER MORGAN ENERGY PARTNERS

 

6.3% 01 Feb 2009

 

300,000

 

303,329

 

KINDER MORGAN ENERGY PARTNERS

 

6.75% 15 Mar 2011

 

300,000

 

310,696

 

KINDER MORGAN ENERGY PARTNERS

 

7.125% 15 Mar 2012

 

60,000

 

63,461

 

KOREA DEV BK

 

4.25% 13 Nov 2007

 

260,000

 

257,226

 

L 3 COMMUNICATIONS CORP

 

6.375% 15 Oct 2015

 

150,000

 

148,500

 

LAMAR MEDIA CORP

 

6.625% 15 Aug 2015

 

70,000

 

69,388

 

LAMAR MEDIA CORP

 

7.25% 01 Jan 2013

 

294,000

 

299,513

 

LANDSBANKI IS HF

 

6.1% 25 Aug 2011

 

2,970,000

 

3,028,896

 

LB UBS COML MTG TR

 

0% 15 Jun 2036

 

10,258,184

 

368,533

 

LEHMAN BROS HLDG

 

7% 01 Feb 2008

 

400,000

 

406,976

 

LEHMAN BROS HLDGS INC

 

4% 22 Jan 2008

 

1,070,000

 

1,055,504

 

LEHMAN XS TR

 

1% 25 Dec 2035

 

3,530,993

 

3,541,476

 

LIBERTY MEDIA CORP

 

3.75% 15 Feb 2030

 

70,000

 

43,050

 

LIBERTY MEDIA CORP

 

7.875% 15 Jul 2009

 

30,000

 

31,285

 

LIBERTY MEDIA CORP NEW

 

5.7% 15 May 2013

 

60,000

 

56,528

 

LYONDELL CHEMICAL CO

 

8% 15 Sep 2014

 

120,000

 

124,500

 

LYONDELL CHEMICAL CO

 

8.25% 15 Sep 2016

 

65,000

 

68,250

 

 



 

MACDERMID INC

 

9.125% 15 Jul 2011

 

90,000

 

93,600

 

MANDALAY RESORT GROUP

 

9.5% 01 Aug 2008

 

240,000

 

252,000

 

MERRILL LYNCH + CO INC

 

3.7% 21 Apr 2008

 

3,500,000

 

3,431,089

 

MERRILL LYNCH MTG TR

 

4.747% 12 Jun 2043

 

2,400,000

 

2,304,758

 

MERRILL LYNCH MTG TR

 

5.244319% 12 Nov 2037

 

320,000

 

319,060

 

MEXICO UNITED MEXICAN STS

 

11.5% 15 May 2026

 

2,810,000

 

4,538,150

 

MGM MIRAGE

 

6.75% 01 Sep 2012

 

310,000

 

305,350

 

MGM MIRAGE FORMERLY GRAND INC

 

8.5% 15 Sep 2010

 

485,000

 

518,950

 

MOHEGAN TRIBAL GAMING AUTH

 

8% 01 Apr 2012

 

80,000

 

83,300

 

MORGAN STANLEY

 

5.82438% 18 Oct 2016

 

660,000

 

661,980

 

MORGAN STANLEY CAP I INC

 

4.989% 13 Aug 2042

 

3,370,000

 

3,289,083

 

MSDWCC HELOC TR

 

1% 25 Jul 2017

 

599,959

 

600,709

 

MUFG CAPITAL FINANCE 1 LIMITED

 

6.346% 29 Jul 2049

 

900,000

 

913,401

 

NABISCO INC

 

7.55% 15 Jun 2015

 

30,000

 

34,009

 

NEWS AMER INC

 

6.2% 15 Dec 2034

 

260,000

 

251,894

 

NEWS AMER INC

 

6.75% 09 Jan 2038

 

1,330,000

 

1,414,375

 

NEXTEL COMMUNICATIONS INC

 

5.9% 15 Mar 2014

 

117,000

 

114,210

 

NEXTEL COMMUNICATIONS INC

 

7.375% 01 Aug 2015

 

380,000

 

388,153

 

NORTHROP GRUMMAN CORP

 

7.125% 15 Feb 2011

 

600,000

 

637,991

 

NRG ENERGY INC

 

7.25% 01 Feb 2014

 

430,000

 

433,225

 

NXP B V NXP FDG LLC

 

7.875% 15 Oct 2014

 

55,000

 

56,856

 

OMI CORP

 

7.625% 01 Dec 2013

 

120,000

 

122,700

 

OMNICARE INC

 

6.875% 15 Dec 2015

 

59,000

 

58,263

 

ONCOR ELEC DELIVERY CO

 

6.375% 15 Jan 2015

 

80,000

 

82,183

 

OPTI CANADA INC

 

8.25% 15 Dec 2014

 

220,000

 

226,050

 

ORIGEN MANUFACTRD HSG CONTRACT

 

5.91% 15 Jan 2037

 

200,000

 

198,728

 

ORIGEN MANUFACTURED HSG CONTRA

 

6.48% 15 Jan 2037

 

100,000

 

100,463

 

OXFORD INDS INC

 

8.875% 01 Jun 2011

 

160,000

 

165,200

 

PACIFIC ENERGY PARTNERS LP

 

7.125% 15 Jun 2014

 

170,000

 

175,446

 

PACIFIC GAS + ELEC CO

 

6.05% 01 Mar 2034

 

1,430,000

 

1,437,435

 

PANAMA REP

 

7.125% 29 Jan 2026

 

1,109,000

 

1,199,384

 

PANAMA REP

 

9.375% 01 Apr 2029

 

27,000

 

36,045

 

PEABODY ENERGY CORP

 

6.875% 15 Mar 2013

 

375,000

 

384,375

 

PEGASUS AVIATION LEASE SECS II

 

8.37% 25 Mar 2030

 

1,290,000

 

825,600

 

PEMEX FIN LTD

 

9.03% 15 Feb 2011

 

408,000

 

434,532

 

PEMEX PROJ FDG MASTER TR

 

6.625% 15 Jun 2035

 

920,000

 

941,160

 

PENNEY J C INC

 

7.4% 01 Apr 2037

 

130,000

 

141,712

 

PETROBRAS INTL FIN CO

 

6.125% 06 Oct 2016

 

1,730,000

 

1,738,650

 

PETRONAS CAP LTD

 

7.875% 22 May 2022

 

1,180,000

 

1,451,655

 

PETROZUATA FIN INC

 

8.22% 01 Apr 2017

 

1,230,000

 

1,226,925

 

PHILLIP MORRIS CO INC

 

7.75% 15 Jan 2027

 

3,340,000

 

4,038,338

 

POGO PRODUCING CO

 

6.875% 01 Oct 2017

 

265,000

 

253,075

 

PRIDE INTL INC DE

 

7.375% 15 Jul 2014

 

370,000

 

382,025

 

QUEBEC PROV CDA MTN

 

7.22% 22 Jul 2036

 

280,000

 

383,804

 

QUEBECOR MEDIA INC

 

7.75% 15 Mar 2016

 

20,000

 

20,425

 

QWEST COMMUNICATIONS INTL INC

 

1% 15 Feb 2009

 

560,000

 

567,000

 

QWEST CORPORATION

 

5.625% 15 Nov 2008

 

290,000

 

290,363

 

RABOBANK CAP FDG III TR

 

5.254% 31 Dec 2016

 

960,000

 

925,584

 

RABOBANK CAPITAL FUND II

 

5.26% 31 Dec 2049

 

130,000

 

127,132

 

READERS DIGEST ASSN INC

 

6.5% 01 Mar 2011

 

110,000

 

113,025

 

RESIDENTIAL ACCREDIT LNS INC

 

5.72% 24 Oct 2045

 

4,587,237

 

4,598,490

 

RESIDENTIAL ASSET SEC MTG PASS

 

1% 25 Jun 2031

 

314,748

 

314,846

 

RESOLUTION FDG CORP

 

8.125% 15 Oct 2019

 

450,000

 

584,486

 

RESONA PFD GLOBAL SECS CAYMAN

 

7.191% 29 Dec 2049

 

2,860,000

 

2,984,210

 

RIVER ROCK ENTMT AUTH

 

9.75% 01 Nov 2011

 

50,000

 

53,000

 

ROGERS CABLE INC

 

6.75% 15 Mar 2015

 

170,000

 

175,158

 

ROGERS WIRELESS INC

 

6.375% 01 Mar 2014

 

280,000

 

283,500

 

ROYAL KPN NV

 

8% 01 Oct 2010

 

350,000

 

376,673

 

RUSSIAN FEDERATION

 

5% 31 Mar 2030

 

8,850,000

 

10,020,855

 

SACO I TR

 

1% 25 Jul 2036

 

7,028,125

 

7,030,325

 

SBC COMMUNICATIONS INC

 

5.1% 15 Sep 2014

 

1,160,000

 

1,122,113

 

SEMGROUP L P/SEMGROUP FIN CORP

 

8.75% 15 Nov 2015

 

105,000

 

105,525

 

SER 2000 2G MEDALLION TR

 

1% 18 Dec 2031

 

371,278

 

371,999

 

SERVICE CORP INT

 

7.625% 01 Oct 2018

 

—

 

—

 

SERVICE CORP INTL

 

1% 15 Jun 2017

 

180,000

 

182,250

 

SERVICE CORP INTL

 

7.625% 01 Oct 2018

 

10,000

 

10,600

 

SHAW COMMUNICATIONS INC

 

7.2% 15 Dec 2011

 

224,000

 

233,240

 

SHAW COMMUNICATIONS INC

 

7.25% 06 Apr 2011

 

80,000

 

83,100

 

SHINSEI FIN CAYMAN LTD

 

6.418% 29 Jan 2049

 

1,640,000

 

1,638,114

 

SIGMA FIN INC MED TRM NTS

 

1% 11 Aug 2016

 

3,040,000

 

3,036,336

 

SINCLAIR BROADCAST GROUP INC

 

8% 15 Mar 2012

 

60,000

 

61,950

 

SLM CORP

 

4.94% 01 Apr 2009

 

3,230,000

 

3,140,561

 

SLM STUDENT LN TR

 

1% 25 Oct 2017

 

500,000

 

500,000

 

 



 

SONAT INC

 

7.625% 15 Jul 2011

 

2,610,000

 

2,766,600

 

SOUTHERN NAT GAS CO

 

8% 01 Mar 2032

 

380,000

 

444,030

 

SOUTHERN NAT GAS CO

 

8.875% 15 Mar 2010

 

390,000

 

409,145

 

SPRINT CAP CORP

 

8.375% 15 Mar 2012

 

40,000

 

44,697

 

SPRINT CAP CORP

 

8.75% 15 Mar 2032

 

910,000

 

1,095,690

 

SPRINT NEXTEL CORP

 

6% 01 Dec 2016

 

1,410,000

 

1,374,228

 

STATE STREET BANK + TRUST CO

 

SHORT TERM INVESTMENT FUND

 

185,081,584

 

185,081,584

 

STATION CASINOS INC

 

6% 01 Apr 2012

 

240,000

 

227,700

 

STATION CASIONS INC

 

7.75% 15 Aug 2016

 

155,000

 

156,163

 

STRUCTURED ADJ RATE MTG LN TR

 

5.66% 25 Jul 2035

 

3,822,566

 

3,828,247

 

STRUCTURED ASSET SECS CORP

 

1% 25 Nov 2035

 

5,408,018

 

5,422,382

 

STRUCTURED ASSET SECS CORP

 

5.6% 25 Jan 2031

 

196,252

 

195,946

 

SUBURBAN PROPANE PARTNERS LP

 

6.875% 15 Dec 2013

 

390,000

 

382,200

 

SUMITOMO MITSUI BK CORP

 

8% 15 Jun 2012

 

1,710,000

 

1,903,061

 

SUN MEDIA CORP CDA

 

7.625% 15 Feb 2013

 

155,000

 

157,131

 

SUNGUARD DATA SYS INC

 

9.125% 15 Aug 2013

 

300,000

 

315,000

 

SYSTEMS 2001 A T LLC

 

6.664% 15 Sep 2013

 

2,206,264

 

2,359,570

 

TCI COMMUNICATIONS INC

 

7.125% 15 Feb 2028

 

130,000

 

134,721

 

TEEKAY SHIPPING CORP

 

8.875% 15 Jul 2011

 

475,000

 

510,031

 

TELE COMMUNICATIONS INC

 

9.8% 01 Feb 2012

 

942,000

 

1,104,910

 

TELECOM ITALIA CAP

 

4.95% 30 Sep 2014

 

740,000

 

684,237

 

TELECOM ITALIA CAP

 

5.25% 15 Nov 2013

 

500,000

 

476,362

 

TENET HEALTHCARE CORP

 

6.375% 01 Dec 2011

 

1,048,000

 

958,920

 

TENET HEALTHCARE CORP

 

9.75% 01 Feb 2015

 

321,000

 

321,000

 

TENET HEALTHCARE CORP

 

9.875% 01 Jul 2014

 

3,624,000

 

3,687,420

 

THORNBURG MTG SECS TR

 

1% 25 Jun 2009

 

8,389,786

 

8,371,695

 

THORNBURG MTG SECS TR

 

1% 25 Oct 2035

 

7,963,394

 

7,963,394

 

THORNBURG MTG SECS TR

 

5.425% 25 Jun 2009

 

8,357,690

 

8,343,170

 

THORNBURG MTG SECS TR

 

5.52% 25 Jan 2036

 

12,626,902

 

12,625,568

 

TIME WARNER ENTMT CO L P

 

8.375% 15 Jul 2033

 

50,000

 

60,169

 

TIME WARNER INC

 

6.875% 01 May 2012

 

1,695,000

 

1,791,422

 

TNK BP FIN SA SR MED TRM NTS

 

7.5% 18 Jul 2016

 

1,770,000

 

1,885,050

 

TRUMAN CAP MTG LN TR

 

5.72% 25 Aug 2034

 

2,493,908

 

2,506,278

 

TXU CORP

 

5.55% 15 Nov 2014

 

360,000

 

341,762

 

TXU CORP

 

6.55% 15 Nov 2034

 

2,685,000

 

2,511,093

 

TXU ENERGY CO LLC

 

7% 15 Mar 2013

 

480,000

 

505,034

 

TYCO INTL GROUP S A

 

6.125% 01 Nov 2008

 

240,000

 

243,287

 

TYCO INTL GROUP S A

 

6.375% 15 Oct 2011

 

5,940,000

 

6,202,785

 

TYCO INTL GROUP S A

 

6.75% 15 Feb 2011

 

280,000

 

294,735

 

TYCO INTL GROUP S A

 

6.875% 15 Jan 2029

 

3,755,000

 

4,233,239

 

TYCO INTL GROUP S A

 

7% 15 Jun 2028

 

120,000

 

136,902

 

U S TREAS BONDS FTRS (30YR)

 

MAR 112 PUT

 

(46,000

)

(63,969

)

U S TREAS BONDS FUTURES

 

7-Mar-07

 

(3,000,000

)

—

 

U S TREAS BONDS FUTURES

 

MAR 109 PUT

 

(81,000

)

(21,516

)

U S TREAS NOTES 10YR FUTURE

 

JUN07 106 PUT

 

(56,000

)

(31,500

)

U S TREAS NOTES 10YR FUTURE

 

JUN07 111 PUT

 

(56,000

)

(11,375

)

U S TREAS NOTES 10YR FUTURES

 

7-Mar-07

 

(6,200,000

)

—

 

U S TREAS NOTES 2YR FUTURES

 

7-Mar-07

 

79,800,000

 

—

 

U S TREAS NOTES 5YR FUTURES

 

7-Mar-07

 

(7,300,000

)

—

 

UGS CORP

 

10% 01 Jun 2012

 

90,000

 

98,100

 

UNILEVER CAPITAL

 

7.125% 01 Nov 2010

 

570,000

 

605,465

 

UNITD STATES TREAS NTS

 

4.625% 31 Oct 2011

 

230,000

 

229,191

 

UNITED MEXICAN STS MTN

 

7.5% 08 Apr 2033

 

1,044,000

 

1,230,876

 

UNITED MEXICAN STS MTN

 

8.3% 15 Aug 2031

 

1,020,000

 

1,304,070

 

UNITED STATE TREAS NTS

 

4.5% 15 Nov 2015

 

6,390,000

 

6,293,152

 

UNITED STATES TREAS BD

 

0.01% 15 Aug 2028

 

2,590,000

 

907,686

 

UNITED STATES TREAS BDS

 

2% 15 Jan 2026

 

355,922

 

334,734

 

UNITED STATES TREAS BDS

 

3.625% 15 Apr 2028

 

19,766,736

 

23,885,752

 

UNITED STATES TREAS BDS

 

3.875% 15 Apr 2029

 

2,001,249

 

2,522,587

 

UNITED STATES TREAS BDS

 

4.5% 15 Feb 2036

 

11,143,000

 

10,601,519

 

UNITED STATES TREAS NTS

 

1.875% 15 Jul 2015

 

8,747,474

 

8,384,891

 

UNITED STATES TREAS NTS

 

2% 15 Jul 2014

 

2,837,514

 

2,754,517

 

UNITED STATES TREAS NTS

 

2.375% 15 Apr 2011

 

11,409,281

 

11,365,606

 

UNITED STATES TREAS NTS

 

2.5% 15 Jul 2016

 

9,184,670

 

9,254,588

 

UNITED STATES TREAS NTS

 

3.375% 15 Jan 2012

 

193,237

 

201,767

 

UNITED STATES TREAS NTS

 

3.375% 15 Oct 2009

 

5,500,000

 

5,306,211

 

UNITED STATES TREAS NTS

 

3.875% 15 Sep 2010

 

3,050,000

 

2,965,410

 

UNITED STATES TREAS NTS

 

3.875% 31 Jul 2007

 

2,045,000

 

2,031,420

 

UNITED STATES TREAS NTS

 

4% 15 Jun 2009

 

20,460,000

 

20,105,146

 

UNITED STATES TREAS NTS

 

4.125% 15 Aug 2010

 

6,960,000

 

6,828,956

 

UNITED STATES TREAS NTS

 

4.25% 15 Aug 2013

 

505,000

 

492,454

 

UNITED STATES TREAS NTS

 

4.25% 15 Aug 2015

 

4,860,000

 

4,703,569

 

UNITED STATES TREAS NTS

 

4.25% 15 Nov 2014

 

1,010,000

 

980,016

 

 



 

UNITED STATES TREAS NTS

 

4.5% 15 Nov 2010

 

32,480,000

 

32,256,700

 

UNITED STATES TREAS NTS

 

4.625% 15 Nov 2016

 

6,870,000

 

6,825,989

 

UNITED STATES TREAS NTS

 

4.875% 15 Aug 2016

 

11,305,000

 

11,442,780

 

UNITED STATES TREAS NTS

 

4.875% 30 Apr 2011

 

660,000

 

664,331

 

UNITED STATES TREAS NTS

 

5.125% 15 May 2016

 

3,080,000

 

3,172,881

 

UNITED STATES TRES BD STRP PRN

 

0% 15 Nov 2021

 

21,250,000

 

10,230,524

 

US TREAS NOTE 10YR FUTURE

 

MAR 110 CALL

 

(50,000

)

(3,906

)

VALE OVERSEAS LTD

 

6.875% 21 Nov 2036

 

1,650,000

 

1,692,323

 

VALE OVERSEAS LTD

 

8.25% 17 Jan 2034

 

50,000

 

59,500

 

VENTAS RLTY LTD PARTNERSHIP

 

6.75% 01 Jun 2010

 

110,000

 

113,300

 

VENTAS RLTY LTD PARTNERSHIP

 

7.125% 01 Jun 2015

 

100,000

 

105,000

 

VENTAS RLTY LTD PARTNERSHIP

 

8.75% 01 May 2009

 

296,000

 

314,500

 

VENTAS RLTY LTD PARTNERSHIP

 

9% 01 May 2012

 

60,000

 

67,800

 

VERIZON GLOBAL FDG CORP

 

4.375% 01 Jun 2013

 

280,000

 

263,096

 

VERIZON NEW YORK INC

 

6.875% 01 Apr 2012

 

110,000

 

114,463

 

VIACOM INC

 

5.75% 30 Apr 2011

 

790,000

 

790,538

 

VIACOM INC

 

7.875% 30 Jul 2030

 

610,000

 

638,426

 

VINTAGE PETE INC

 

8.25% 01 May 2012

 

644,000

 

674,717

 

VISTEON CORP

 

8.25% 01 Aug 2010

 

285,000

 

277,875

 

WACHOVIA BK COML MTG TR

 

4.935% 15 Apr 2042

 

1,800,000

 

1,750,683

 

WACHOVIA BK COML MTG TR

 

5.12% 15 Jul 2042

 

1,750,000

 

1,721,762

 

WACHOVIA CAP TR III

 

5.8% 29 Aug 2049

 

1,190,000

 

1,199,829

 

WAMU MTG

 

5.64% 25 Aug 2045

 

9,722,008

 

9,718,252

 

WAMU MTG PASS CTF

 

1% 25 Nov 2036

 

2,198,716

 

2,202,416

 

WAMU MTG PASS THROUGH CTFS

 

1% 25 Dec 2045

 

6,487,932

 

6,470,356

 

WAMU MTG PASS THROUGH CTFS

 

1% 25 Oct 2045

 

5,636,664

 

5,640,919

 

WAMU MTG PASS THROUGH CTFS

 

4.87063% 26 Dec 2045

 

7,009,596

 

7,012,038

 

WASTE MGMT INC DEL

 

6.375% 15 Nov 2012

 

2,740,000

 

2,846,389

 

WASTE MGMT INC DEL

 

7.375% 01 Aug 2010

 

1,555,000

 

1,649,690

 

WELLS FARGO + CO NEW

 

5% 15 Nov 2014

 

455,000

 

443,557

 

WELLS FARGO CAP X

 

5.95% 15 Dec 2036

 

410,000

 

396,541

 

WESTERN OIL SANDS INC

 

8.375% 01 May 2012

 

552,000

 

612,720

 

WESTLAKE CHEM CORP

 

6.625% 15 Jan 2016

 

163,000

 

157,703

 

WEYERHAEUSER CO

 

6.75% 15 Mar 2012

 

2,190,000

 

2,280,849

 

WILLIAMS COS INC

 

7.5% 15 Jan 2031

 

691,000

 

716,913

 

WILLIAMS COS INC

 

7.625% 15 Jul 2019

 

855,000

 

914,850

 

WILLIAMS COS INC

 

7.75% 15 Jun 2031

 

1,540,000

 

1,617,000

 

WILLIAMS COS INC

 

8.75% 15 Mar 2032

 

2,050,000

 

2,316,500

 

WINDSTREAM CORP

 

8.625% 01 Aug 2016

 

100,000

 

109,500

 

XEROX CORP

 

6.75% 01 Feb 2017

 

180,000

 

188,012

 

 

 

 

 

 

 

 

 

 

 

Sub-Total: Fund 5728 / Pimco 5 of 6

 

 

 

$

1,327,722,867

 

 

 

 

 

 

(c) Description of investment including maturity date,

 

 

 

(e) Fair

 

(a)

 

(b) Identity of issue, borrower, lessor, or similar party

 

  rate of interest, collateral, par, or maturity value

 

(d) Cost

 

value

 

 

 

 

 

 

 

 

 

(n / a)

 

 

 

 

 

 

 

 

 

Par Value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

0WP035116 WESTERN CDS PAY

 

0.75% 20 Dec 2011

 

(3,900,000

)

 

 

(3,892,535

)

 

 

0WP035116 WESTERN CDS REC

 

1% 20 Dec 2011

 

3,900,000

 

 

 

3,900,000

 

 

 

0WP035132 WESTERN CDS PAY

 

0.75% 20 Dec 2011

 

(7,900,000

)

 

 

(7,884,879

)

 

 

0WP035132 WESTERN CDS REC

 

1% 20 Dec 2011

 

7,900,000

 

 

 

7,900,000

 

 

 

0WP035215 WESTERN CDS PAY

 

0.75% 20 Dec 2011

 

(4,000,000

)

 

 

(3,992,344

)

 

 

0WP035215 WESTERN CDS REC

 

1% 20 Dec 2011

 

4,000,000

 

 

 

4,000,000

 

 

 

0WP036197 WESTERN CDS PAY

 

0.75% 20 Dec 2011

 

(5,800,000

)

 

 

(5,788,898

)

 

 

0WP036197 WESTERN CDS REC

 

1% 20 Dec 2011

 

5,800,000

 

 

 

5,800,000

 

 

 

AES CORP

 

7.75% 01 Mar 2014

 

198,000

 

 

 

208,890

 

 

 

AES CORP

 

8.75% 15 May 2013

 

1,541,000

 

 

 

1,650,796

 

 

 

AES CORP

 

8.875% 15 Feb 2011

 

160,000

 

 

 

171,600

 

 

 

AES CORP

 

9.375% 15 Sep 2010

 

317,000

 

 

 

344,341

 

 

 

AIFUL CORP

 

5% 10 Aug 2010

 

6,321,000

 

 

 

6,179,602

 

 

 

ALABAMA PWR CO

 

5.56% 25 Aug 2009

 

1,930,000

 

 

 

1,930,959

 

 

 

ALTRIA GROUP INC

 

5.625% 04 Nov 2008

 

1,690,000

 

 

 

1,694,267

 

 

 

ALTRIA GROUP INC

 

7.65% 01 Jul 2008

 

6,642,000

 

 

 

6,847,848

 

 

 

AMERADA HESS CORP

 

6.65% 15 Aug 2011

 

7,671,000

 

 

 

7,987,582

 

 

 

AMERICAN ACHIEVEMENT CORP

 

8.25% 01 Apr 2012

 

30,000

 

 

 

30,713

 

 

 

AMERICAN ELEC PWR INC

 

1% 16 Aug 2007

 

2,074,000

 

 

 

2,063,154

 

 

 

AMERICAN HOME MTG ASSETS TR

 

5.51% 25 Sep 2046

 

11,550,824

 

 

 

11,499,262

 

 

 

AMERICAN HOME MTG INVT TR

 

5.77% 25 Sep 2035

 

3,102,369

 

 

 

3,110,249

 

 

 

AMERIGAS PARTNERS L P

 

7.125% 20 May 2016

 

30,000

 

 

 

30,000

 

 

 

AMERIGAS PARTNERS L P

 

7.25% 20 May 2015

 

110,000

 

 

 

111,375

 

 

 

AMERISOURCEBERGEN CORP

 

5.875% 15 Sep 2015

 

220,000

 

 

 

215,112

 

 



 

AMRESCO RESIDENTIAL SECURITES

 

5.875% 25 Sep 2027

 

225,198

 

225,229

 

ANADARKO FIN CO

 

6.75% 01 May 2011

 

3,930,000

 

4,103,450

 

APPALACHIAN PWR CO

 

3.6% 15 May 2008

 

2,670,000

 

2,603,835

 

ASSET SECURITIZATION CORP

 

6.92% 14 Feb 2029

 

128,577

 

128,938

 

AT+T WIRELESS

 

8.125% 01 May 2012

 

2,140,000

 

2,398,308

 

BANC AMER ALTERNATIVE LN TR

 

4.5% 25 Dec 2018

 

6,405,546

 

6,145,031

 

BANC AMER FDG CORP

 

6% 20 May 2033

 

970,916

 

970,231

 

BANC AMER MTG SECS INC

 

4.569% 25 May 2033

 

3,965,760

 

3,896,507

 

BANC AMER MTG SECS INC

 

5.303281% 25 Jan 2036

 

2,439,946

 

2,440,667

 

BANCO SANTANDER CHILE NEW

 

1% 09 Dec 2009

 

310,000

 

311,163

 

BANK ONE ISSUANCE TR

 

4.54% 15 Sep 2010

 

3,530,000

 

3,495,251

 

BAXTER FINCO BV

 

4.75% 15 Oct 2010

 

2,160,000

 

2,120,662

 

BAYVIEW FINL ACQUISITION TR

 

3.9375% 28 Feb 2007

 

6,445,218

 

37,653

 

BAYVIEW FINL ACQUISITION TR

 

5.74% 28 May 2044

 

3,607,847

 

3,613,486

 

BAYVIEW FINL SECS CO LLC

 

4.5% 28 Oct 2035

 

8,109,973

 

245,529

 

BEAR STEARNS ARM TR

 

4.505858% 25 Dec 2034

 

2,733,111

 

2,697,312

 

BEAR STEARNS ARM TR

 

4.65% 25 Jul 2035

 

10,000,000

 

9,756,905

 

BEAR STEARNS COML MTG SECS INC

 

1.135% 14 May 2016

 

26,223,658

 

1,114,026

 

BEAR STEARNS COS INC

 

5.35563% 31 Jan 2011

 

5,110,000

 

5,124,073

 

BEAZER HOMES USA INC

 

8.625% 15 May 2011

 

90,000

 

92,700

 

BRAZIL FEDERATIVE REP

 

7.125% 20 Jan 2037

 

560,000

 

600,600

 

BRAZIL FEDERATIVE REP

 

8% 15 Jan 2018

 

920,000

 

1,023,040

 

BRAZIL FEDERATIVE REP

 

8.875% 15 Apr 2024

 

345,000

 

429,525

 

BRAZIL FERERATIVE REP

 

11% 17 Aug 2040

 

842,000

 

1,116,913

 

BRAZIL FERERATIVE REP

 

8.875% 15 Apr 2024

 

20,000

 

25,000

 

BRITISH TELECOMMUNICATIONS PLC

 

8.375% 15 Dec 2010

 

6,150,000

 

6,831,292

 

CAESARS ENTMT INC

 

7.5% 01 Sep 2009

 

1,866,000

 

1,931,326

 

CANADA GOVT

 

4% 01 Dec 2031

 

584,467

 

728,261

 

CENTERPOINT ENERGY INC

 

5.875% 01 Jun 2008

 

2,005,000

 

2,008,910

 

CHASE FDG MTG LN

 

5.69% 25 Oct 2032

 

1,051,435

 

1,051,928

 

CHESAPEAKE ENERGY CORP

 

6.25% 15 Jan 2018

 

290,000

 

279,125

 

CINCINNATI BELL INC NEW

 

7% 15 Feb 2015

 

200,000

 

200,250

 

CITIBANK CR CARD ISSUANCE TR

 

1% 15 Dec 2009

 

2,000,000

 

2,016,562

 

CITIZENS COMMUNICATIONS CO

 

9.25% 15 May 2011

 

70,000

 

77,438

 

CLEAR CHANNEL COMMUNICATIONS

 

4.25% 15 May 2009

 

4,370,000

 

4,230,160

 

CLEAR CHANNEL COMMUNICATIONS

 

6.625% 15 Jun 2008

 

760,000

 

759,698

 

COLOMBIA REP

 

1% 16 Nov 2015

 

640,000

 

662,397

 

COLUMBIA REP

 

7.375% 18 Sep 2037

 

508,000

 

546,100

 

COLUMBIA/HCA HEALTHCARE CORP

 

7.69% 15 Jun 2025

 

1,380,000

 

1,142,226

 

COMCAST CABLE COMM INC

 

6.875% 15 Jun 2009

 

6,718,000

 

6,931,082

 

COMMONWEALTH EDISON CO

 

3.7% 01 Feb 2008

 

3,400,000

 

3,335,055

 

CONSECO FIN SECURITIZATIONS

 

8.5% 01 Mar 2033

 

3,648,598

 

765,666

 

CONSECO FIN SECURITIZATIONS CO

 

2.5% 01 Jan 2032

 

7,370,000

 

50,005

 

CONTINENTAL CABLEVISION INC

 

9% 01 Sep 2008

 

1,400,000

 

1,476,478

 

COUNTRYWIDE FINL CORP

 

5.01375% 24 Mar 2009

 

5,620,000

 

5,618,875

 

CSC HLDGS INC

 

1% 15 Apr 2012

 

30,000

 

29,250

 

CSC HLDGS INC

 

7.625% 01 Apr 2011

 

267,000

 

272,006

 

CSC HLDGS INC

 

7.875% 15 Feb 2018

 

94,000

 

93,765

 

CSMS COML MTG TR

 

5.022% 15 May 2008

 

7,000,000

 

7,002,181

 

CWABS INC

 

1.49% 25 Feb 2033

 

131,850

 

131,912

 

CWALT INC

 

1% 25 Dec 2034

 

2,246,389

 

2,240,962

 

CWALT INC

 

3.3% 25 May 2035

 

3,455,359

 

3,397,800

 

CWALT INC

 

4.9541444% 25 Dec 2034

 

1,203,107

 

1,196,423

 

CWALT INC

 

6% 25 Feb 2034

 

1,678,373

 

1,677,727

 

CWMBS INC

 

4.23% 25 Sep 2035

 

8,124,623

 

8,156,554

 

D R HORTON INC

 

8.5% 15 Apr 2012

 

40,000

 

41,950

 

DAIMLERCHRYSLER NORTH AMER HLD

 

5.875% 15 Mar 2011

 

7,930,000

 

7,951,808

 

DAVITA INC

 

7.25% 15 Mar 2015

 

135,000

 

137,700

 

DEUTSCHE MTG + ASSET REC CORP

 

6.538% 15 Jun 2031

 

3,355,541

 

3,377,730

 

DEUTSCHE TELEKOM INTL

 

1% 15 Jun 2010

 

4,070,000

 

4,395,772

 

DEVON FING CORP U L C

 

6.875% 30 Sep 2011

 

4,820,000

 

5,090,216

 

DI FIN SUB LLC

 

9.5% 15 Feb 2013

 

100,000

 

106,000

 

DIRECTV HLDGS LLC

 

8.375% 15 Mar 2013

 

180,000

 

187,200

 

DISNEY WALT CO NEW

 

1% 10 Sep 2009

 

50,000

 

50,037

 

DOMINION RES INC VA NEW

 

4.125% 15 Feb 2008

 

210,000

 

207,156

 

DOW CHEM CO

 

5.75% 15 Dec 2008

 

2,100,000

 

2,116,035

 

DOW CHEM CO

 

5.97% 15 Jan 2009

 

1,440,000

 

1,457,907

 

DRIVE AUTO RECEIVABLES TRUST

 

5.49% 15 May 2011

 

5,500,000

 

5,515,472

 

DUKE ENERGY CO

 

3.75% 05 Mar 2008

 

1,800,000

 

1,767,604

 

DYNEGY INC NEW

 

CL A

 

210

 

1,520

 

E TRADE FINL CORP

 

7.375% 15 Sep 2013

 

70,000

 

72,800

 

EASTMAN KODAK CO

 

3.625% 15 May 2008

 

350,000

 

337,404

 

EASTMAN KODAK CO

 

7.25% 15 Nov 2013

 

2,120,000

 

2,107,556

 

 



 

ECHOSTAR DBS CORP

 

7% 01 Oct 2013

 

270,000

 

269,663

 

EL PASO CORP

 

6.7% 15 Feb 2027

 

650,000

 

650,540

 

EL PASO CORP

 

7% 15 May 2011

 

4,700,000

 

4,876,250

 

EL PASO ENERGY CORP DEL

 

6.75% 15 May 2009

 

2,850,000

 

2,910,563

 

ELECTRONIC DATA SYS CORP

 

7.125% 15 Oct 2009

 

3,920,000

 

4,086,600

 

EURODOLLAR FUTURES

 

APR 94.625 CALL

 

2,177,500

 

163,313

 

FED HM LN PC POOL 1B2677

 

1% 01 Jan 2035

 

3,123,738

 

3,042,251

 

FED HM LN PC POOL 1B2683

 

1% 01 Jan 2035

 

1,760,085

 

1,713,322

 

FED HM LN PC POOL 1B2694

 

4.374001% 01 Dec 2034

 

2,084,134

 

2,038,046

 

FED HM LN PC POOL 1B2719

 

1% 01 Jan 2035

 

7,191,243

 

7,052,427

 

FEDERAL NATL MTG ASSN

 

5% 15 Sep 2008

 

2,140,000

 

2,138,450

 

FEDERAL NATL MTG ASSN DISC NTS

 

0.01% 25 Jun 2007

 

2,575,000

 

2,509,487

 

FHLMCTBA JAN 30 GOLD SINGLE

 

5% 01 Dec 2099

 

300,000

 

289,453

 

FIRSTENERGY CORP

 

6.45% 15 Nov 2011

 

2,060,000

 

2,148,538

 

FNMA TBA JAN 15 SINGLE FAM

 

5.5% 01 Dec 2099

 

23,300,000

 

23,292,719

 

FNMA TBA JAN 30 SINGLE FAM

 

4.5% 01 Dec 2099

 

200,000

 

187,313

 

FNMA TBA JAN 30 SINGLE FAM

 

5% 01 Dec 2099

 

134,200,000

 

129,544,938

 

FNMA TBA JAN 30 SINGLE FAM

 

5.5% 01 Dec 2099

 

21,300,000

 

21,052,055

 

FNMA POOL 745000

 

6% 01 Oct 2035

 

698,111

 

703,129

 

FNMA POOL 773209

 

4.224% 01 Dec 2034

 

4,567,342

 

4,471,284

 

FNMA POOL 783579

 

1% 01 Jan 2035

 

3,934,389

 

3,856,156

 

FNMA POOL 797393

 

4.253% 01 Dec 2034

 

4,511,322

 

4,421,102

 

FNMA POOL 809987

 

1% 01 Mar 2035

 

8,008,386

 

7,873,689

 

FNMA POOL 813844

 

1% 01 Jan 2035

 

7,203,696

 

7,142,317

 

FNMA POOL 816593

 

4.841% 01 Feb 2035

 

16,529,067

 

16,352,660

 

FNMA POOL 819685

 

4.741% 01 Jan 2035

 

14,092,637

 

13,934,285

 

FNMA TBA JAN 30 SINGLE FAM

 

6% 01 Dec 2099

 

8,600,000

 

8,657,782

 

FORD MTR CR CO

 

1% 15 Apr 2012

 

8,160,000

 

8,680,200

 

FORD MTR CR CO

 

6.625% 16 Jun 2008

 

15,830,000

 

15,819,236

 

FOREST CITY ENTERPRISES INC

 

6.5% 01 Feb 2017

 

67,000

 

65,660

 

FOREST CITY ENTERPRISES INC

 

7.625% 01 Jun 2015

 

20,000

 

20,400

 

FRANCE TELECOM SA

 

1% 01 Mar 2011

 

3,630,000

 

3,947,172

 

GENERAL MTRS ACCEP CORP

 

4.05% 16 Jan 2007

 

930,000

 

930,049

 

GENERAL MTRS ACCEP CORP

 

4.1% 16 Jul 2007

 

290,000

 

290,318

 

GENERAL MTRS ACCEP CORP

 

6.875% 15 Sep 2011

 

1,000,000

 

1,025,700

 

GENERAL MTRS CORP

 

8.375% 15 Jul 2033

 

2,210,000

 

2,044,250

 

GEORGIA GULF CORP

 

9.5% 15 Oct 2014

 

60,000

 

58,500

 

GEORGIA PAC CORP

 

8.125% 15 May 2011

 

27,000

 

28,350

 

GERMANY (FEDERAL REPUBLIC)

 

3.75% 04 Jan 2015

 

4,000,000

 

5,208,670

 

GERMANY FED REP BDS 10YR FT

 

7-Mar-07

 

35,600,000

 

—

 

GLITNIR BANKI HF MTN

 

1% 21 Jan 2011

 

7,970,000

 

7,971,275

 

GMAC LLC

 

6% 15 Dec 2011

 

20,020,000

 

19,932,913

 

GMACM HOME EQUITY LN TR

 

5.56% 25 Nov 2036

 

10,300,000

 

10,300,000

 

GMACM MTG LN TR

 

4.58762% 25 May 2035

 

1,270,678

 

1,259,209

 

GMACM MTG LN TR

 

4.622% 25 Nov 2036

 

10,149,134

 

10,044,476

 

GNMA I TBA JAN 30 SINGLE FAM

 

5.5% 01 Dec 2099

 

12,500,000

 

12,438,476

 

GNMA I TBA JAN 30 SINGLE FAM

 

6% 01 Dec 2099

 

6,200,000

 

6,285,250

 

GNMA I TBA JAN 30 SINGLE FAM

 

6.5% 01 Dec 2099

 

1,400,000

 

1,436,094

 

GNMA POOL 605656

 

5% 15 Aug 2034

 

701,059

 

682,985

 

GRP/AG REAL ESTATE TR

 

4.21001% 25 Jul 2034

 

61,720

 

61,719

 

HARBORVIEW MTG LN TR

 

5.565% 19 Jun 2035

 

5,173,137

 

5,171,471

 

HARRAHS OPER INC

 

5.315% 08 Feb 2008

 

2,260,000

 

2,263,978

 

HCA INC

 

6.25% 15 Feb 2013

 

830,000

 

734,550

 

HCA INC

 

7.5% 06 Nov 2033

 

50,000

 

40,750

 

HERTZ CORP

 

8.875% 01 Jan 2014

 

160,000

 

167,600

 

HILTON HOTELS CORP

 

7.625% 15 May 2008

 

230,000

 

235,750

 

HORIZON LINES LLC

 

9% 01 Nov 2012

 

82,000

 

86,100

 

HSBC FIN CORP

 

5.62442% 10 May 2010

 

4,030,000

 

4,051,133

 

HSBC HLGS PLC

 

7.5% 15 Jul 2009

 

1,895,000

 

1,993,623

 

HSI ASET SECURITZATN CORP TR

 

1.5% 25 Jul 2036

 

22,770,000

 

191,206

 

IDEARC INC

 

8% 15 Nov 2016

 

105,000

 

106,575

 

IMPAC CMB TR

 

2.015% 25 Mar 2033

 

848,711

 

848,711

 

INN OF THE MTN GODS RESORT + C

 

12% 15 Nov 2010

 

140,000

 

151,200

 

INTERNATIONAL LEASE FIN CORP

 

5% 15 Apr 2010

 

1,380,000

 

1,365,340

 

ISTAR FINL INC

 

1% 15 Sep 2009

 

5,520,000

 

5,535,244

 

ISTAR FINL INC

 

5.65% 15 Sep 2011

 

6,620,000

 

6,625,647

 

JOHNSON CTLS INC

 

100% 17 Jan 2008

 

1,860,000

 

1,860,932

 

JP MORGAN MTG TR

 

4.375% 25 Oct 2033

 

9,052,281

 

8,831,598

 

JP MORGAN MTG TR

 

5.70227% 25 Aug 2036

 

8,026,329

 

8,040,662

 

KABEL DEUTSCHLAND GMBH

 

10.625% 01 Jul 2014

 

100,000

 

110,875

 

KANSAS CITY SOUTHN RY CO

 

9.5% 01 Oct 2008

 

63,000

 

65,835

 

KAUPTHING BK HF MED TRM SR BK

 

5.75% 04 Oct 2011

 

7,350,000

 

7,319,276

 

KERR MCGEE CORP

 

6.625% 15 Oct 2007

 

1,310,000

 

1,321,216

 

 



 

KERR MCGEE CORP

 

6.875% 15 Sep 2011

 

5,700,000

 

6,009,634

 

KINDER MORGAN ENERGY PARTNERS

 

6.75% 15 Mar 2011

 

380,000

 

393,549

 

LAMAR MEDIA CORP

 

6.625% 15 Aug 2015

 

10,000

 

9,913

 

LAMAR MEDIA CORP

 

7.25% 01 Jan 2013

 

197,000

 

200,694

 

LANDSBANKI IS HF

 

6.1% 25 Aug 2011

 

3,010,000

 

3,069,689

 

LEHMAN BROS HLDGS E CAPITAL TR

 

5.95381% 19 Aug 2065

 

6,815,000

 

6,877,085

 

LEHMAN XS TR

 

5.53% 25 Sep 2046

 

12,762,147

 

12,768,133

 

LEHMAN XS TR

 

5.54% 25 Apr 2046

 

5,049,851

 

5,041,963

 

LIBERTY MEDIA CORP

 

7.875% 15 Jul 2009

 

5,195,000

 

5,417,450

 

LIBERTY MEDIA CORP NEW

 

7.75% 15 Jul 2009

 

220,000

 

228,316

 

LYONDELL CHEMICAL CO

 

8% 15 Sep 2014

 

65,000

 

67,438

 

LYONDELL CHEMICAL CO

 

8.25% 15 Sep 2016

 

40,000

 

42,000

 

MACDERMID INC

 

9.125% 15 Jul 2011

 

50,000

 

52,000

 

MANDALAY RESORT GROUP

 

9.5% 01 Aug 2008

 

10,000

 

10,500

 

MASTR ADJ RATE MTGS TR

 

3.786088% 21 Nov 2034

 

12,450,000

 

12,031,615

 

MASTR ADJ RATE MTGS TR

 

7.483505% 25 Apr 2034

 

221,617

 

221,617

 

MASTR ASSET BACKED SECS TR

 

5% 25 Oct 2032

 

8,500,000

 

464,950

 

MASTR SPECIALIZED LN TR 2006 3

 

5.58% 31 Dec 2036

 

10,300,531

 

10,319,845

 

MAY DEPT STORES CO

 

5.75% 15 Jul 2014

 

1,510,000

 

1,471,672

 

MBNA PRACTICE SOLUTIONS 2005 2

 

4.1% 15 May 2009

 

10,463,957

 

10,359,317

 

MERRILL LYNCH MTG INVS INC

 

0.229163% 25 Jan 2029

 

20,988,095

 

94,446

 

MERRILL LYNCH MTG INVS INC

 

2.883% 25 Jan 2029

 

922,504

 

933,429

 

MERRILL LYNCH MTG INVS INC

 

4.9806% 25 Apr 2035

 

5,711,964

 

5,652,551

 

MGM MIRAGE

 

6.625% 15 Jul 2015

 

95,000

 

90,488

 

MGM MIRAGE

 

7.625% 15 Jan 2017

 

135,000

 

135,338

 

MGM MIRAGE

 

9.75% 01 Jun 2007

 

176,000

 

178,200

 

MGM MIRAGE FORMERLY GRAND INC

 

8.5% 15 Sep 2010

 

256,000

 

273,920

 

MOHEGAN TRIBAL GAMING AUTH

 

8% 01 Apr 2012

 

60,000

 

62,475

 

MORGAN STANLEY

 

5.625% 09 Jan 2012

 

4,100,000

 

4,143,383

 

MOTOROLA INC

 

4.608% 16 Nov 2007

 

2,790,000

 

2,773,647

 

MUFG CAPITAL FINANCE 1 LIMITED

 

1% 25 Jul 2049

 

2,670,000

 

2,709,756

 

NATIONAL COLLEGIATE STUDENT LN

 

1% 25 Jul 2012

 

16,490,000

 

2,923,533

 

NATIONAL RURAL UTILS COOP MTN

 

5.75% 01 Dec 2008

 

2,220,000

 

2,240,641

 

NEW YORK TEL CO

 

6% 15 Apr 2008

 

1,800,000

 

1,810,252

 

NIAGARA MOHAWK PWR CORP

 

7.75% 01 Oct 2008

 

2,447,000

 

2,537,532

 

NOMURA ASSET ACCEP CORP

 

4.5% 15 Feb 2028

 

1,511,952

 

42,230

 

NXP B V NXP FDG LLC

 

7.875% 15 Oct 2014

 

35,000

 

36,181

 

OHIO EDISON CO

 

4% 01 May 2008

 

1,200,000

 

1,177,269

 

OMI CORP

 

7.625% 01 Dec 2013

 

140,000

 

143,150

 

OMI TR

 

6% 15 Aug 2010

 

4,442,446

 

645,543

 

OMNICARE INC

 

6.875% 15 Dec 2015

 

35,000

 

34,563

 

OPTI CANADA INC

 

8.25% 15 Dec 2014

 

125,000

 

128,438

 

OWNIT MTG LN TR

 

5.29% 25 Dec 2036

 

6,200,000

 

6,158,342

 

OXFORD INDS INC

 

8.875% 01 Jun 2011

 

130,000

 

134,225

 

PACIFIC ENERGY PARTNERS LP

 

7.125% 15 Jun 2014

 

90,000

 

92,883

 

PACIFIC GAS + ELEC CO

 

3.6% 01 Mar 2009

 

3,700,000

 

3,572,264

 

PANAMA REP

 

100% 26 Jan 2036

 

50,000

 

52,000

 

PANAMA REP

 

7.125% 29 Jan 2026

 

900,000

 

973,350

 

PANHANDLE EASTN PIPE LINE CO

 

4.8% 15 Aug 2008

 

570,000

 

560,261

 

PEABODY ENERGY CORP

 

5.875% 15 Apr 2016

 

310,000

 

302,250

 

PEMEX PROJ FDG MASTER TR

 

1% 15 Jun 2010

 

3,780,000

 

3,878,217

 

PEMEX PROJ FDG MASTER TR

 

5.87063% 03 Dec 2012

 

10,135,000

 

10,165,405

 

PENNEY J C INC

 

7.4% 01 Apr 2037

 

100,000

 

109,009

 

PERMANENT FING PLC

 

5.46% 10 Mar 2009

 

5,760,000

 

5,759,716

 

POGO PRODUCING CO

 

6.875% 01 Oct 2017

 

110,000

 

105,050

 

PRESTIGE AUTO RECEIVABLES TR

 

4.37% 15 Jun 2012

 

5,100,000

 

5,050,596

 

PRESTIGE AUTO RECEIVABLES TR

 

5.14% 15 Feb 2010

 

5,469,724

 

5,462,033

 

PRIDE INTL INC DE

 

7.375% 15 Jul 2014

 

180,000

 

185,850

 

PRIME MTG TR

 

7.5% 25 Jul 2034

 

4,526,752

 

4,562,464

 

PROVIDENT FDG MTG LN TR

 

4.15922% 25 May 2035

 

6,176,963

 

6,131,974

 

QUEBECOR MEDIA INC

 

7.75% 15 Mar 2016

 

60,000

 

61,275

 

QWEST COMMUNICATIONS INTL INC

 

1% 15 Feb 2009

 

3,182,000

 

3,221,775

 

READERS DIGEST ASSN INC

 

6.5% 01 Mar 2011

 

90,000

 

92,475

 

RESIDENTIAL ASSET MTG PRODS

 

1.47% 25 Sep 2032

 

363,516

 

363,857

 

RESIDENTIAL ASSET MTG PRODS

 

5.64% 25 Aug 2032

 

260,459

 

260,581

 

RESIDENTIAL ASSET MTG PRODS

 

8% 25 May 2032

 

5,296,815

 

5,466,462

 

RESIDENTIAL ASSET MTG PRODS

 

8.5% 25 Oct 2031

 

1,029,990

 

1,045,690

 

RESIDENTIAL ASSET SEC MTG PASS

 

1% 25 Jun 2031

 

215,581

 

215,648

 

RESIDENTIAL ASSET SEC MTG PASS

 

1% 25 Nov 2032

 

1,057,257

 

1,057,753

 

RESIDENTIAL CAP CORP

 

1% 29 Jun 2007

 

2,520,000

 

2,530,639

 

RESIDENTIAL CAP CORP

 

6% 22 Feb 2011

 

100,000

 

99,898

 

RESIDENTIAL CAP CORP

 

6.47375% 17 Apr 2009

 

2,930,000

 

2,953,877

 

RESIDENTIAL CAP CORP

 

6.6925% 21 Nov 2008

 

1,940,000

 

1,962,567

 

 



 

 

RESIDENTIAL FDG MTG SECS I INC

 

4.919518% 25 Aug 2035

 

6,807,481

 

6,762,991

 

RESIDENTIAL FDG MTG SECS I INC

 

5.194975% 25 Nov 2035

 

7,706,018

 

7,678,434

 

RESONA PFD GLOBAL SECS CAYMAN

 

7.191% 29 Dec 2049

 

4,190,000

 

4,371,972

 

REYNOLDS AMERN INC

 

6.5% 01 Jun 2007

 

1,490,000

 

1,491,997

 

RIVER ROCK ENTMT AUTH

 

9.75% 01 Nov 2011

 

30,000

 

31,800

 

ROGERS CABLE INC

 

5.5% 15 Mar 2014

 

40,000

 

38,248

 

ROGERS CABLE INC

 

6.75% 15 Mar 2015

 

120,000

 

123,641

 

ROGERS WIRELESS INC

 

6.375% 01 Mar 2014

 

250,000

 

253,125

 

ROYAL KPN NV

 

8% 01 Oct 2010

 

4,000,000

 

4,304,833

 

RUSSIAN FEDERATION

 

3% 14 May 2008

 

13,670,000

 

13,191,550

 

RUSSIAN FEDERATION

 

5% 31 Mar 2030

 

245,000

 

277,414

 

SBA POOL 507880

 

1% 25 Sep 2018

 

5,651,661

 

6,016,207

 

SBC COMMUNICATIONS INC

 

5.3% 15 Nov 2010

 

4,060,000

 

4,045,560

 

SEMGROUP L P/SEMGROUP FIN CORP

 

8.75% 15 Nov 2015

 

60,000

 

60,300

 

SEMPRA ENERGY

 

3.75438% 21 May 2008

 

3,290,000

 

3,291,316

 

SEQUOIA MTG TR

 

4.931855% 20 Jan 2034

 

2,336,025

 

2,338,721

 

SERVICE CORP INTL

 

7% 15 Jun 2017

 

100,000

 

101,250

 

SERVICE CORP INTL

 

7.625% 01 Oct 2018

 

10,000

 

10,600

 

SHAW COMMUNICATIONS INC

 

7.2% 15 Dec 2011

 

104,000

 

108,290

 

SHAW COMMUNICATIONS INC

 

7.25% 06 Apr 2011

 

50,000

 

51,938

 

SINCLAIR BROADCAST GROUP INC

 

8% 15 Mar 2012

 

40,000

 

41,300

 

SONAT INC

 

6.75% 01 Oct 2007

 

1,000,000

 

1,007,500

 

SP POWERASSESTS LTD GLOBAL

 

3.8% 22 Oct 2008

 

3,475,000

 

3,367,468

 

SPRINT CAP CORP

 

6.125% 15 Nov 2008

 

6,186,000

 

6,245,151

 

SPRINT CAP CORP

 

6.375% 01 May 2009

 

1,230,000

 

1,250,157

 

STATE STREET BANK + TRUST CO

 

SHORT TERM INVESTMENT FUND

 

36,344,539

 

36,344,539

 

STATION CASINOS INC

 

6% 01 Apr 2012

 

120,000

 

113,850

 

STATION CASINOS INC

 

6.875% 01 Mar 2016

 

30,000

 

26,925

 

STATION CASIONS INC

 

7.75% 15 Aug 2016

 

120,000

 

120,900

 

STRUCTURED ASSET INVTS II TR

 

0.010001% 25 Dec 2035

 

11,353,015

 

11,334,417

 

STRUCTURED ASSET SECS CORP

 

10.00065% 25 Dec 2029

 

2,562,209

 

2,666,681

 

SUN MEDIA CORP CDA

 

7.625% 15 Feb 2013

 

85,000

 

86,169

 

SUNGUARD DATA SYS INC

 

9.125% 15 Aug 2013

 

220,000

 

231,000

 

SUNTRUST CAP VIII

 

1% 01 Dec 2066

 

640,000

 

645,150

 

TEEKAY SHIPPING CORP

 

8.875% 15 Jul 2011

 

231,000

 

248,036

 

TELECOM ITALIA CAP

 

5.85125% 01 Feb 2011

 

4,040,000

 

4,022,306

 

TELEFONICA EMISIONES S A U

 

5.69% 19 Jun 2009

 

3,100,000

 

3,094,293

 

TENET HEALTHCARE CORP

 

6.5% 01 Jun 2012

 

230,000

 

208,150

 

TENET HEALTHCARE CORP

 

9.875% 01 Jul 2014

 

100,000

 

101,750

 

THORNBURG MTG SECS TR

 

1% 25 Aug 2045

 

9,900,340

 

9,900,340

 

THORNBURG MTG SECS TR

 

5.53% 25 Dec 2035

 

9,710,462

 

9,716,359

 

THORNBURG MTG SECS TR

 

5.56% 25 Jun 2044

 

5,532,015

 

5,536,832

 

TIME WARNER INC NEW

 

5.5% 15 Nov 2011

 

5,690,000

 

5,679,076

 

TNK BP FIN SA SR

 

6.875% 18 Jul 2011

 

5,230,000

 

5,406,513

 

TXU CORP

 

4.8% 15 Nov 2009

 

5,650,000

 

5,514,061

 

TYCO INTL GROUP S A

 

6.375% 15 Oct 2011

 

6,750,000

 

7,048,619

 

U S TREAS NOTES 10YR FUTURES

 

7-Mar-07

 

(191,000,000

)

—

 

U S TREAS NOTES 2YR FUTURES

 

7-Mar-07

 

431,400,000

 

—

 

U S TREAS NOTES 5YR FUTURES

 

7-Mar-07

 

(243,400,000

)

—

 

UGS CORP

 

10% 01 Jun 2012

 

50,000

 

54,500

 

UNITD STATES TREAS NTS

 

4.625% 31 Oct 2011

 

2,920,000

 

2,909,734

 

UNITED STATES TREAS BDS

 

2.375% 15 Jan 2025

 

9,283,489

 

9,250,939

 

UNITED STATES TREAS BDS

 

5.375% 15 Feb 2031

 

340,000

 

364,438

 

UNITED STATES TREAS NTS

 

2.375% 15 Apr 2011

 

8,033,273

 

8,002,521

 

UNITED STATES TREAS NTS

 

2.5% 15 Jul 2016

 

5,196,984

 

5,236,546

 

UNITED STATES TREAS NTS

 

3% 15 Jul 2012

 

10,069,363

 

10,363,703

 

UNITED STATES TREAS NTS

 

4.375% 31 Jan 2008

 

4,600,000

 

4,569,813

 

UNITED STATES TREAS NTS

 

4.5% 30 Sep 2011

 

11,340,000

 

11,241,661

 

US AIRWAYS PASSTHRU TRS

 

6.85% 30 Jan 2018

 

1,437,923

 

1,455,897

 

US TREAS NOTE 10YR FUTURE

 

MAR 110 CALL

 

(776,000

)

(60,625

)

US TREAS NOTES 10YRFUTURE

 

MAR 107 PUT

 

(1,392,000

)

(674,250

)

US TREAS NTS 10YR FTRS

 

MAR 108 PUT

 

(393,000

)

(393,000

)

VALE OVERSEAS LTD

 

6.25% 23 Jan 2017

 

6,170,000

 

6,198,074

 

VENTAS RLTY LTD PARTNERSHIP

 

6.75% 01 Jun 2010

 

130,000

 

133,900

 

VENTAS RLTY LTD PARTNERSHIP

 

7.125% 01 Jun 2015

 

120,000

 

126,000

 

VENTAS RLTY LTD PARTNERSHIP

 

8.75% 01 May 2009

 

120,500

 

128,031

 

VENTAS RLTY LTD PARTNERSHIP

 

9% 01 May 2012

 

40,500

 

45,765

 

VERIZON GLOBAL FDG CORP

 

7.25% 01 Dec 2010

 

3,810,000

 

4,058,820

 

VINTAGE PETE INC

 

8.25% 01 May 2012

 

357,000

 

374,028

 

VODAFONE GROUP PLC NEW

 

3.95% 30 Jan 2008

 

3,790,000

 

3,731,969

 

WACHOVIA CAP TR III

 

5.8% 29 Aug 2049

 

11,040,000

 

11,131,190

 

WAMU

 

5.7325% 25 Jun 2044

 

2,826,255

 

2,832,305

 

WAMU MTG PASS THROUGH CTFS

 

1% 25 Dec 2045

 

8,617,302

 

8,632,570

 

 



 

WAMU MTG PASS THROUGH CTFS

 

4.06289% 25 Oct 2033

 

10,200,000

 

10,165,314

 

WASTE MGMT INC DEL

 

6.875% 15 May 2009

 

4,000,000

 

4,126,270

 

WASTE MGMT INC DEL

 

7.375% 01 Aug 2010

 

5,680,000

 

6,025,877

 

WELLS FARGO CAP X

 

5.95% 15 Dec 2036

 

1,600,000

 

1,547,477

 

WELLS FARGO MTG BACKED SECS

 

4.484975% 25 Jun 2035

 

5,443,345

 

5,377,481

 

WESTERN OIL SANDS INC

 

8.375% 01 May 2012

 

397,000

 

440,670

 

WESTLAKE CHEM CORP

 

6.625% 15 Jan 2016

 

135,000

 

130,613

 

WEYERHAEUSER CO

 

5.95% 01 Nov 2008

 

1,100,000

 

1,107,937

 

WILLIAMS COS INC

 

7.37163% 01 Oct 2010

 

2,250,000

 

2,295,000

 

WILLIAMS COS INC CR CTF TR III

 

6.75% 15 Apr 2009

 

8,795,000

 

8,948,913

 

WINDSTREAM CORP

 

8.625% 01 Aug 2016

 

60,000

 

65,700

 

WORLD FINL NETWORK CR CARD MAS

 

5.69% 15 May 2012

 

2,250,000

 

2,258,438

 

WORLD OMNI AUTO RECEIVABLES TR

 

5.05% 15 Oct 2008

 

1,199,466

 

1,198,716

 

XEROX CORP

 

6.75% 01 Feb 2017

 

100,000

 

104,451

 

XTO ENERGY INC

 

5.65% 01 Apr 2016

 

3,090,000

 

3,042,294

 

 

 

 

 

 

 

 

 

 

 

Sub-Total: Fund 5732 / Pimco 6 of 6

 

 

 

$

1,127,095,041

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(c) Description of investment including maturity date,

 

 

 

(e) Fair

 

(a)

 

(b) Identity of issue, borrower, lessor, or similar party

 

      rate of interest, collateral, par, or maturity value

 

(d) Cost

 

value

 

 

 

 

 

 

 

 

 

(n / a)

 

 

 

 

 

 

 

 

 

Par Value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Mass Mutual Insurance

 

Policy 5200648

 

1,000,000

 

 

 

1,062,121,603

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Sub-Total: Fund 5733 / Mass Mutual Insurance

 

 

 

$

1,062,121,603

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(c) Description of investment including maturity date,

 

 

 

(e) Fair

 

(a)

 

(b) Identity of issue, borrower, lessor, or similar party

 

      rate of interest, collateral, par, or maturity value

 

(d) Cost

 

value

 

 

 

 

 

 

 

 

 

(n / a)

 

 

 

 

 

 

 

 

 

Par Value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commingled Fund - Managed by JPM

 

JPMorgan Prive Mortgage Fund

 

13,379,454

 

 

 

319,768,954

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Sub-Total: Fund 5734 / JPMorgan Private Mortgage Fund

 

 

 

$ 

319,768,954

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(c) Description of investment including maturity date,

 

 

 

(e) Fair

 

(a)

 

(b) Identity of issue, borrower, lessor, or similar party

 

     rate of interest, collateral, par, or maturity value

 

(d) Cost

 

value

 

 

 

 

 

 

 

 

 

(n / a)

 

 

 

 

 

 

 

 

 

Par Value

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Commingled Fund - Managed by  Prudential Asset Mgmt

 

Privest Prudential Asset Mgmt

 

4,259

 

 

 

74,802,490

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Sub-Total: Fund 5735 / Prudential Asset Management Fund

 

 

 

$ 

74,802,490

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Sub Total: Stable Value Fund-Investment Contracts (9 funds)

 

 

 

$ 

6,558,951,960

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Other Assets / Liabilities - Net

 

 

 

(500,731,796

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Sub Total: Stable Value Fund-Investment Contracts Fair Value (9 funds)

 

 

 

$ 

6,058,220,164

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Wrapper Fair Value

 

 

 

13,762,866

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

TOTAL: Stable Value Fund-Investment Contracts at Fair Value

 

 

 

$

6,071,983,030

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Adjustment from fair value to contract for fully benefit-responsive investment contracts

 

 

 

(106,555,405

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Stable Value Fund - Investment Contracts at Contract Value

 

 

 

$ 

5,965,427,625

 

 

 

 

 

 

 

 

 

 

 

 

n / a  — Cost is not applicable