UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549-1004

 

 

FORM 11-K

	(Mark One)
/ X /		Annual Report Pursuant to Section 15(d) of the Securities Exchange Act of 1934
		For the period ended December 31, 2006		Commission file number 001-09553
		OR
/    /		Transition Report Pursuant to Section 15(d) of the Securities Exchange Act of 1934

 

 

 

 

WESTINGHOUSE SAVINGS PROGRAM

FINANCIAL STATEMENTS AND EXHIBIT

DECEMBER 31, 2006

INDEX

		Pages
Report of Independent Registered Public Accounting Firm		1
Financial Statements:
Statements of Net Assets Available for Benefits at December 31, 2006 and December 31, 2005		2
Statement of Changes in Net Assets Available for Benefits for the Year ended December 31, 2006		3
Notes to financial statements		4 - 12
Supplemental Schedule:
Schedule H, line 4i - Schedule of Assets (Held at End of Year)		S-1 - S-12
All other schedules required by the Department of Labor Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974 are omitted as not applicable or not required.
Signatures		S-13
Exhibit:
23.1 Consent of Independent Registered Public Accounting Firm

 

 

 

Report of Independent Registered Public Accounting Firm

To the Participants and Administrator of
Westinghouse Savings Program:

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 Westinghouse Savings Program (the “Plan”) at December 31, 2006 and December 31, 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. The supplemental Schedule of Assets (Held at End of Year) is the responsibility of the Plan’s management.  This 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.

As discussed in Note 2, the Plan adopted Financial Accounting Standards Board Staff Position 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, as of December 31, 2005.

/s/ PRICEWATERHOUSECOOPERS LLP

New York, New York
June 26, 2007

 

WESTINGHOUSE SAVINGS PROGRAM
STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS
(in thousands)

		At December 31,
		2006			2005
Assets
Investments, at fair value		$	1,549,619		$	1,633,191
Investments in master trust investment accounts		147,093			148,789
Receivables:
Interest and dividends		6,133			6,503
Due from broker for securities sold, net		924			1,442
Total assets		1,703,769			1,789,925
Liabilities
Investment manager fees payable		156			166
Other liabilities		503			1,900
Net assets available for benefits, at fair value		1,703,110			1,787,859
Adjustment from fair value to contract value for fully benefit-responsive investment contracts		4,110			22,986
Net assets available for benefits		$	1,707,220		$	1,810,845

 

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

 

2

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WESTINGHOUSE SAVINGS PROGRAM
STATEMENT OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS
(in thousands)

 

		Year Ended
		December 31, 2006
Additions to net assets attributed to:
Investment Income:
Interest		$	72,069
Dividends		14,433
Net appreciation in fair value of investments		11,220
Income from master trust investment accounts		17,567
Total additions		115,289
Deductions from net assets attributed to:
Benefits paid to participants		(217,594		)
Plan expenses		(1,320		)
Total deductions		(218,914		)
Net decrease		(103,625		)
Net assets available for benefits, beginning of year		1,810,845
Net assets available for benefits, end of year		$	1,707,220

 

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

 

3

 

WESTINGHOUSE SAVINGS PROGRAM

NOTES TO FINANCIAL STATEMENTS

(Tabular dollars in thousands)

NOTE 1 — PLAN DESCRIPTION

The following is a brief description of the Westinghouse Savings Program (the “Plan”) and is provided for general information only. Participants should refer to the Plan document for more complete information regarding the Plan.

The Plan was originally established by Westinghouse Electric Corporation.

All participants of the Plan are retirees or terminated employees who are fully vested.  No contributions can be made to the Plan and no new loans may be requested. All participant accounts are participant directed.

The Plan is subject to the provisions of the Internal Revenue Code of 1986, as amended, (the “Code”) and the Employee Retirement Income Security Act of 1974, as amended (“ERISA”), and is administered by a retirement committee appointed by CBS Corporation’s Board of Directors.

Mellon Bank, N.A. (the “Trustee”) is the trustee and custodian of the Plan. Certain Plan investments are shares of funds managed by the Trustee or companies affiliated with the Trustee and therefore qualify as a party-in-interest transaction.  The fair value of these investments was $47,573,963 at December 31, 2006 and $94,012,060 at December 31, 2005 and these investments appreciated by $81,132 for the year ended December 31, 2006. In addition, certain Plan investments are shares of CBS Corporation and Viacom Inc. common stock and therefore qualify as party-in-interest transactions. The fair value of these investments was $61,128,249 at December 31, 2006 and $72,481,843 at December 31, 2005 and these investments appreciated by $6,292,780 for the year ended December 31, 2006.

Participant Accounts

Each participant’s account is credited with the participant’s share of the investment income and any realized or unrealized gains or losses of the Plan assets, net of certain plan expenses.

During 2006, plan participants had the option of investing their account balances among fourteen investment options. These investment options include master trust investment accounts (“Master Trust Investment Accounts” or “MTIAs”), commingled trust funds (“common collective trusts”) and registered investment companies (mutual funds).  In addition, participants have the option of investing their account balance in CBS Corp. Class B Common Stock. On December 31, 2005, former Viacom Inc. (“Former Viacom”) was separated into two publicly traded entities, CBS Corporation (the “Company” or “CBS Corp.”) and new Viacom Inc. (“Viacom Inc.”) (the “Separation”).  The Separation was accomplished pursuant to a merger in which a subsidiary of Former Viacom was merged with and into Former Viacom, with Former Viacom continuing as the surviving entity. On December 31, 2005, Former Viacom was renamed “CBS Corporation.” As a result of the Separation, each outstanding share of Former Viacom class B common stock

 

4

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WESTINGHOUSE SAVINGS PROGRAM

NOTES TO FINANCIAL STATEMENTS

(Tabular dollars in thousands)

 

was converted into .5 of a share of CBS Corp. Class B Common Stock and ..5 of a share of Viacom Inc. class B common stock (“Share Conversion”). Participant accounts were adjusted to reflect the Share Conversion on January 3, 2006, the first day of trading for CBS Corp. and Viacom Inc. common stock.  Effective January 1, 2006, no new investments in Viacom Inc. common stock fund were permitted.

Loans Outstanding

There are no loans outstanding as of December 31, 2006.  As the Plan is frozen, no new loans can be requested.

Distributions and Withdrawals

Participants in the Plan, or their beneficiaries, may receive their account balances either in a lump sum, in installments over a period of up to 20 years, or through unlimited withdrawals at any time in the event of retirement. Participants must receive a required minimum distribution upon attainment of age 70 1/2.

Plan Expenses

The fees for investment of Plan assets are charged to the Plan’s investment funds.  Certain administrative expenses, such as fees for accounting and employee communications, may be paid by the Plan or may be paid by the Company.  The Plan paid $300,000 to Mellon Bank, a party-in-interest, or its affiliates, for trustee services provided during the year.

NOTE 2 — SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Basis of Accounting

The financial statements are prepared on the accrual basis of accounting in conformity with accounting standards generally accepted in the United States of America.

In accordance with the Financial Accounting Standards Board (“FASB”) issued FASB Staff Position (“FSP”) AAG INV-1 and SOP 94-1-1 “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 Pension Plans”, contract value was determined to be the relevant measurement attribute for the portion of net assets available for benefits 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.  As a result, the Statement of Net Assets Available for Benefits presents the investments at fair value with a separate adjustment from fair value to contract value for the portion of net assets attributable to each fully benefit-responsive investment contract.  The Statement of Changes in Net Assets Available for Benefits is

 

5

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WESTINGHOUSE SAVINGS PROGRAM

NOTES TO FINANCIAL STATEMENTS

(Tabular dollars in thousands)

 

prepared on a contract value basis with respect to the fully benefit-responsive investment contracts.  The adoption of this FSP had no impact on the overall net assets of the Plan as these investment contracts were previously stated at contract value.  Certain prior period amounts have been reclassified to conform to current year presentation as a result of the adoption of this FSP.

Investment Valuation and Income Recognition

Short-term money market obligations are carried at amortized cost which approximates fair value due to the short-term maturity of these investments. CBS Corp.,Viacom Inc. and Former Viacom class B common stock are reported at fair value based on quoted market prices on national security exchanges. Investments in registered investment companies are reported at fair value based on quoted market prices representing the net asset value of the shares held by the Plan. The fair values of investments in common collective trusts are determined by each fund’s trustee based upon the fair value of the underlying securities. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value. Interest income is accrued as earned and dividend income is recorded on the ex-dividend date.

The Plan invests in benefit-responsive synthetic and traditional guaranteed investment contracts and separate accounts.  The contract value of guaranteed investment contracts and synthetic investment contracts represents the aggregate amount of deposits thereto, plus interest at the contract rate, less withdrawals.  The fair value of the fixed rate traditional guaranteed investment contracts and synthetic guaranteed investment contracts is determined by discounting the related cash flows, based on the contract duration, using a yield curve interpolated from swap rates and adjusted for liquidity and credit quality.  The fair value of the wrapper contracts for synthetic guaranteed investment contracts is determined by reference to various inputs including the difference between the market rate for wrap fees and actual wrap fees currently charged.

Security Transactions

Purchases and sales of securities are recorded on the trade date.  The average cost basis is used to determine gains or losses on security dispositions.

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

Interest in Master Trust Investment Accounts

The Company entered into a master trust agreement (the “Master Trust”) to invest the assets of the Plan as well as the CBS 401(k) Plan, a defined contribution plan also sponsored by the Company.  Pursuant to the Master Trust, the Trustee has created five MTIAs.  Effective January 1, 2006, the MTIAs consisted of the Wellington Growth Portfolio, the Barclays Global Investors S&P 500 Index Fund, Mellon Bank EB SMAM Aggregate Bond Index Fund, Dodge & Cox Value Equity Fund and Franklin

 

6

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WESTINGHOUSE SAVINGS PROGRAM

NOTES TO FINANCIAL STATEMENTS

(Tabular dollars in thousands)

 

Portfolio Mid Cap Stock Fund.  The Mellon Bank EB SMAM Aggregate Bond Index Fund is managed by a division or affiliate of the Trustee, a party-in-interest to the Plan.  Each of these MTIAs is maintained exclusively for the Master Trust.  Each participating plan has an undivided interest in the MTIAs.

The fair value of a unit of participation in the MTIAs is determined by the Trustee based on the fair value of the underlying securities. Net investment assets and net earnings/losses on the MTIAs are allocated daily to the plans investing in the MTIAs based on each plan’s proportionate interest.  The Plan’s interest in the MTIAs related earnings and expenses is allocated to participants based on their respective account balances invested in the MTIAs.  (See Note 7).

Payment of Benefits

Benefit payments are recorded when paid.

Use of Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires the Plan to make estimates and assumptions, such as those regarding fair value of investments, that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of changes in net assets available for benefits during the reporting period.  Actual results could differ from those estimates.

Recent Accounting Pronouncements

In February 2007, the FASB issued Statement of Financial Accounting Standards (“SFAS”) No. 159 “The Fair Value Option for Financial Assets and Financial Liabilities — Including an amendment of FASB Statement No. 115” (“SFAS 159”) effective as of the beginning of the first fiscal year that begins after November 15, 2007.  SFAS 159 permits entities to choose to measure many financial instruments and certain other items at fair value.  The Plan administrator is currently evaluating the impact of the adoption of SFAS 159 on the Plan’s financial statements.

In September 2006, the FASB issued SFAS No. 157, “Fair Value Measurements” (“SFAS 157”), effective for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years.  SFAS 157 establishes a framework for measuring fair value under generally accepted accounting principles and expands disclosures about fair value measurement.  The Plan administrator is currently evaluating the impact the adoption of SFAS 157 will have on the Plan’s financial statements.

 

7

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WESTINGHOUSE SAVINGS PROGRAM

NOTES TO FINANCIAL STATEMENTS

(Tabular dollars in thousands)

 

NOTE 3 — RISKS AND UNCERTAINTIES

The Plan provides for various investment options.  Investment securities are exposed to various risks such as interest rate fluctuations, market conditions and credit risk.  Due to the level of risk associated with certain investment securities and the level of uncertainty related to changes in the value of such securities, it is at least reasonably possible that changes in investment values in the near term could materially affect participants’ account balances and the amounts reported in the Statements of Net Assets Available for Benefits and the related Statement of Changes in Net Assets Available for Benefits.

NOTE 4 — INVESTMENTS

The following table presents the Plan’s investments:

 

The following table presents the values of investments representing 5% or more of the Plan’s net assets:

 

 

During the year ended December 31, 2006, the Plan’s investments (including gains and losses on investments sold and held during the year) appreciated, as follows:

 

 

 

8

 

WESTINGHOUSE SAVINGS PROGRAM

NOTES TO FINANCIAL STATEMENTS

(Tabular dollars in thousands)

 

Investment Contracts

The Plan invests in guaranteed investment contracts and synthetic guaranteed investment contracts.  As described in Note 2, the guaranteed investment contracts are fully benefit-responsive and therefore, contract value is the relevant measurement attribute for that portion of the net assets available for benefits attributable to these contracts.   In a guaranteed investment contract, a deposit in the fund is used by the issuer to purchase investments that are held in the issuer’s general accounts.  The issuer is contractually obligated to repay the principal and a specified rate of interest guaranteed to the fund. A synthetic guaranteed investment contract provides for guaranteed returns of principal over a specified period of time through benefit responsive wrapper contracts issued by a third party insurance company or bank, which are backed by underlying assets.

The interest crediting rate reflects the rate earned for the underlying investments.  The wrapper contracts amortize the realized and unrealized gains and losses on the underlying fixed income investments, typically over the duration of the investments, through adjustments to the future interest crediting rate.  Interest crediting rates are typically reset on a monthly or quarterly basis and all wrapper contract issuers provide that adjustments to the interest crediting rate cannot result in a future interest crediting rate that is less than zero.  Certain factors can influence the future interest crediting rates including, the level of market interest rates, the amount and timing of participant contributions and withdrawals, the returns generated by the fixed income investments that back the contract and the duration of the underlying investments backing the contract.

In certain circumstances, the amounts withdrawn from the investment contracts will be paid at fair value rather than contract value.  These events include plan termination, a material adverse change to the provisions of the plan, an employer election to withdraw from the contract to switch to a different investment provider or if the terms of a successor plan do not meet the contract issuer’s underwriting criteria for issuance of a clone contract.  The Company does not expect any employer initiated events that may cause premature liquidation of a contract at market value.

The contract issuer is permitted to terminate the fully benefit-responsive investment contracts with the plan and settle at an amount different from contract value in certain events, including loss of the Plan’s qualified status, an un-cured material breach of responsibility, or material adverse changes to the provisions of the Plan.

At December 31, 2006 and 2005, the guaranteed investments contracts and the synthetic guaranteed investments contracts at contract values in the aggregate of $1,333,838,511 and $1,385,618,625 respectively, had fair values in the aggregate of $1,329,729,010 and $1,362,632,800, respectively.  The fair value of wrapper contracts was zero at both December 31, 2006 and 2005.

 

9

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WESTINGHOUSE SAVINGS PROGRAM

NOTES TO FINANCIAL STATEMENTS

(Tabular dollars in thousands)

 

The average yields were as follows:

 

		At December 31,
		2006		2005
Based on actual earnings		5.3%		5.0%
Based on interest rate credited to participants		5.1%		5.2%

 

The following table presents the assets, by type, that support the Plan’s synthetic guaranteed investment contracts:

 

		At December 31,			At December 31,
		2006			2005
Cash and cash equivalents		$	22,061		$	109,589
Common collective trusts		417,247			399,419
Fixed income		858,134			739,352
Futures		831			(410		)
Swaps		528			(9		)
Net payables		(152,556		)	(124,534		)
Synthetic guaranteed investment contracts		$	1,146,245		$	1,123,407

 

NOTE 5 — INCOME TAX STATUS

The Internal Revenue Service issued a determination letter dated December 18, 2001 that the Plan continues to satisfy the requirements of 401(a) of the Code and that the trust thereunder is exempt from federal income taxes under the provisions of Section 501(a) of the Code. The Plan has been amended since receiving the determination letter. However, the Plan administrator believes that the Plan is designed and is currently being operated in compliance with the applicable provisions of the Code and as such does not require a new determination letter at this time.  In addition, the plan administrator does not believe that a new determination letter is required as result of the Separation.

NOTE 6 — TERMINATION PRIORITIES

Although the Company anticipates that the Plan will continue indefinitely, it reserves the right, by action of its Board of Directors, to amend or terminate the Plan provided that such action does not adversely affect amounts credited to the participant’s account prior to termination.

In the event of Plan termination, the Plan provides that the net assets of the Plan be distributed to participants based on their respective account balances.

 

10

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WESTINGHOUSE SAVINGS PROGRAM

NOTES TO FINANCIAL STATEMENTS

(Tabular dollars in thousands)

 

NOTE 7 — INVESTMENT IN MASTER TRUST INVESTMENT ACCOUNTS

The value of the Plan’s interest in the total net assets of each of the MTIAs at December 31, 2006 and 2005 was as follows:

 

		At December 31,
		2006		2005
Barclays Global Investors S&P 500 Index Fund		16.22	%	15.98	%
Dodge & Cox Value Equity Fund		14.80	%	8.57	%
Franklin Portfolio Mid Cap Stock Fund		18.08	%	17.98	%
Mellon Bank EB SMAM Aggregate Bond Index Fund		4.80	%	4.05	%
Wellington Growth Portfolio		21.35	%	17.18	%

 

See Note 2 for a description of the MTIAs.

 

The following table presents the investments held by the MTIAs:

 

		At December 31,
		2006			2005
Barclays Global Investors S&P 500 Index Fund (a)		$	564,197		$	581,051
Dodge & Cox Value Equity Fund, at fair value:
Common stocks		107,529			111,453
Common collective trust		6,529			4,865
Franklin Portfolio Mid Cap Stock Fund, at fair value:
Common stocks		58,954			63,142
Common collective trust		160			400
Mellon Bank EB SMAM Aggregate Bond Index Fund (a)		44,695			63,129
Wellington Growth Portfolio, at fair value:
Common stocks		121,033			185,027
Common collective trust		85			309
Net investments held by the MTIAs		$	903,182		$	1,009,376

 

(a) Invested entirely in commingled trust funds.

Investment income of the MTIAs was as follows:

 

		Year Ended December 31, 2006
Dividends		$	3,467
Interest income		430
Net appreciation of commingled trusts funds		81,963
Net appreciation of Dodge & Cox Value Equity Fund		15,143
Net appreciation of Franklin Portfolio Mid Cap Stock Fund		3,561
Net appreciation of Wellington Growth Portfolio		4,866
Investment manager fees		(1,247		)
Net investment income of the MTIAs		$	108,183

 

11

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WESTINGHOUSE SAVINGS PROGRAM

NOTES TO FINANCIAL STATEMENTS

(Tabular dollars in thousands)

 

NOTE 8 — 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:

 

		At December 31,
		2006			2005
Net assets available for benefits per the financial statements		$	1,707,220		$	1,810,845
Amounts allocated to withdrawing participants		(5,623		)	(607		)
Net assets available for benefits per the Form 5500		$	1,701,597		$	1,810,238

 

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

 

		Year Ended December 31, 2006
Benefits paid to participants per the financial statements		$	217,594
Add amounts allocated to withdrawing participants at December 31, 2006		5,623
Less amounts allocated to withdrawing participants at December 31, 2005		(607		)
Benefits paid to participants per the Form 5500		$	222,610

 

Amounts allocated to withdrawing participants are recorded on the Form 5500 for benefit claims that have been processed and approved for payment prior to December 31, 2006, but not yet paid as of that date.

NOTE 9 — SUBSEQUENT EVENTS

Effective July 2007, the Viacom Inc. common stock fund, which invests solely in shares of Viacom Inc., will no longer be maintained as an investment option in the Plan.  Any investment remaining in the Viacom Inc. common stock fund after June 30, 2007 will be automatically transferred to the Barclays S&P 500 Index Fund.

 

12

 

SCHEDULE H, line 4i

WESTINGHOUSE SAVINGS PROGRAM

SCHEDULE OF ASSETS (HELD AT END OF YEAR)

DECEMBER 31, 2006

(in thousands)

 

 

*		Identified as a party-in-interest to the Plan.

 

S-1

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SCHEDULE H, line 4i

WESTINGHOUSE SAVINGS PROGRAM

SCHEDULE OF ASSETS (HELD AT END OF YEAR)

DECEMBER 31, 2006

(in thousands)

 

(b) Refer to Attachment A for listing of assets relating to these contracts.  All assets on Attachment A wrap the synthetic guaranteed investment contracts.

 

S-2

Attachment A

Security Name				Security Description		Market Value
90DAY EURODOLLAR FUT EXP SEP07				CALL SEP 07 095.000 ED 9/17/07		6,938
AAMES MTG 2006-1 A-1				VAR RT 04/25/2036 DD 05/02/06		745,148
ABBOTT LABS				5.600% 05/15/2011 DD 05/12/06		481,531
AEGON N V SR NT				4.750% 06/01/2013 DD 05/20/03		482,030
ALLSTATE FINL GLOBAL FDG 144A				5.250% 02/01/2007 DD 01/31/02		324,948
ALTRIA GROUP INC NT				7.000% 11/04/2013 DD 11/04/03		244,885
AMERICAN ELEC PWR INC SR NT				STEP08/16/2007 DD 05/16/05		243,812
AMERICAN GEN FIN CORP SR NT				8.450% 10/15/2009 DD 11/01/89		1,078,280
AMERICAN MOVIL S A DE C B GTD				5.500% 03/01/2014 DD 09/01/04		293,250
AMERUS GROUP CO SR NT				5.950% 08/15/2015 DD 08/05/05		520,700
ANADARKO PETE CORP SR NT				5.950% 09/15/2016 DD 09/19/06		475,964
ANADARKO PETE CORP SR NT				5.950% 09/15/2016 DD 09/19/06		601,218
ANZ CAP TR I TR SECS 144A				4.484% 01/29/2049 DD 11/26/03		1,214,838
AOL TIME WARNER INC NT				6.750% 04/15/2011 DD 04/19/01		219,843
ARCHSTONE SMITH TR SR NT				5.000% 08/15/2007 DD 08/15/02		199,500
ARIZONA PUB SVC CO NT				6.375% 10/15/2011 DD 10/05/01		436,220
ASIF GLOBAL FING XVIII SR 144A				3.850% 11/26/2007 DD 11/26/02		251,573
ASIF GLOBAL FING XXIII SR NT				3.900% 10/22/2008 DD 10/22/03		68,282
ASSET BACKED CTFS TR 06 8				VAR RT 01/25/2046 DD 06/28/06		1,416,093
ASSOC CORP NA BDS				6.250% 11/01/2008 DD 10/30/98		238,598
AT&T BROADBAND CORP NT				8.375% 03/15/2013 DD 11/18/02		848,600
AT&T BROADBAND CORP NT				8.375% 03/15/2013 DD 11/18/02		854,295
BANC AMER COML MTG 02 PB2 A4				6.186% 06/11/2035 DD 05/01/02		1,206,377
BANC AMER COML MTG 06 4 A-4				5.634% 07/10/2046 DD 08/01/06		1,021,840
BANC AMER COML MTG 06-5 CL A4				5.414% 09/10/2016 DD 10/01/06		1,006,370
BANC AMER COML MTG 06-6 CL A4				5.356% 10/10/2045 DD 11/01/06		1,230,320
BANC AMER COML MTG INC 05-6 A4				VAR RT 09/10/2047 DD 12/01/05		2,488,550
BANCO DEL ISTMO SA PANAMAPROM				7.010% 10/01/2027 DD 1/07/97		6,500,625
BANK AMER COML MTG 00 1 CL A2A				7.333% 11/15/2031 DD 09/01/00		1,385,751
BANK AMER CORP NT				7.800% 02/15/2010 DD 02/14/00		214,750
BANK AMER CORP SR				VAR RT 03/24/2009 DD 03/24/06		1,726,604
BANK AMER MTG SECS 02 G CTF1A3				VAR RT 07/20/2032 DD 06/01/02		29,753
BANK NEW YORK INC SR SUB NT				VAR RT 09/04/2012 DD 09/04/02		993,590
BANK NEW YORK NY MTN #TR0021				3.800% 02/01/2008 DD 01/18/05		245,938
BANK ONE ISSUANCE TR 02 6 CL A				VAR RT 06/15/2012 DD 11/08/02		1,987,067
BANK ONE N A MTN # TR 00324				3.700% 01/15/2008 DD 01/14/03		172,183
BARCLAYS BANK PLC INSTL C/D				VAR RT 03/13/2009 DD 03/13/06		2,946,031
BEAR STEARNS 2006-HE1 I-A-1				VAR RT 12/25/2035 DD 01/30/06		924,656
BEAR STEARNS ALT 05-4 II 3A2				5.446% 05/25/2035 DD 04/01/05		671,050
BEAR STEARNS ARM 04-5 IIA				VAR RT 07/25/2034 DD 06/01/04		1,688,408
BEAR STEARNS ARM TR 02-11 IA2				VAR RT 01/25/2033 DD 12/01/02		65,287
BEAR STEARNS ASSET 06-HE12 1A1				VAR RT 12/25/2035 DD 12/30/05		818,249
BEAR STEARNS COML 04-PWR6				4.825% 11/11/2041 DD 12/01/04		367,300
BEAR STEARNS COML 05-PWR10 A4				VAR RT 12/11/2040 DD 12/01/05		2,009,520
BEAR STEARNS COML 06-T24 CL A4				5.537% 10/12/2041 DD 10/01/06		1,522,380
BEAR STEARNS COS INC NT				3.250% 03/25/2009 DD 03/25/04		503,669
BERKSHIRE HATHAWAY FIN				4.125% 01/15/2010 DD 01/11/05		592,841
BOARDWALK PIPELINES INC LP				5.875% 11/15/2016 DD 11/21/06		321,750
BRANDYWINE OPER LTN L P				4.500% 11/01/2009 DD 10/22/04		438,116
BSDT-LATE MONEY DEPOSIT ACCT				VAR RT 12/31/2049 DD 06/26/97		107
BSDT-LATE MONEY DEPOSIT ACCT				VAR RT 12/31/2049 DD 06/26/97		1,425
CALENERGY CO INC SR NTS				7.520% 09/15/2008 DD 09/22/98		516,715
CANADIAN NATL RY CO NT				4.250% 08/01/2009 DD 07/09/04		371,389
CARRINGTON MTG 06 RFC1 P/T A-1				VAR RT 05/25/2036 DD 05/24/06		1,071,550
CARRINGTON MTG 06-NC5 CL A1				VAR RT 01/25/2037 DD 12/19/06		1,874,414
CARRINGTON MTG LN 06-FRE1 A-1				VAR RT 07/25/2036 DD 06/28/06		1,261,274
CARRINGTON MTG LN TR SER 2006-NC3				RATE: 5.23933% MATURITY: 02/25/36		3,200,046
CD 2006 CD2 COML 2006-CD2 A4				VAR RT 01/15/2046 DD 03/01/06		1,508,235
CHASE CR CARD TR 04-2 A				VAR RT 09/15/2009 DD 06/01/04		1,925,809
CHASE ISSUANCE TR 04-9 NT CLA				3.220% 06/15/2010 DD 11/09/04		1,599,179
CHASE ISSUANCE TR 2006-3 CL A				VAR RT 07/15/2011 DD 05/15/06		1,476,859
CHASE MANHATTAN CORP SUB NTS				7.250% 06/01/2007 DD 05/21/97		654,063
CHEVY CHASE FDG LLC MTG BACKED CTFS SER 2006-3				RATE: 0.00% MATURITY: 08/25/47		1,056,317
CHUBB CORP SR NT				4.934% 11/16/2007 DD 08/16/05		672,253
CITIBANK CR CARD 04-A4 A4				3.200% 08/24/2009 DD 08/24/04		1,874,388
CITIBANK CR CARD TR 04 A1 NT				2.550% 01/20/2009 DD 01/26/04		1,996,820
CITICORP SUB NOTES				7.200% 06/15/2007 DD 06/06/97		1,007,340
CITIGROUP INC GLOBAL NT				4.125% 02/22/2010 DD 02/22/05		1,338,600
CITIGROUP INC GLOBAL SR NT				3.500% 02/01/2008 DD 01/31/03		88,332
CITIGROUP INC NT				6.200% 03/15/2009 DD 03/31/99		560,824
COMCAST CABLE COMMUNS INC NT				6.750% 01/30/2011 DD 01/16/01		256,713
COMCAST CORP NEW GTD NT				5.900% 03/15/2016 DD 03/02/06		300,724
COMM 2006 C8 06-C8 P/T CL A4				5.306% 12/10/2046 DD 12/01/06		1,492,740
COMM 99-1 COML MTG CTF CL A2				6.455% 05/15/2032 DD 03/01/99		1,083,609
COMMERCIAL MTG 97-ML1 CL A-3				6.570% 12/15/2030 DD 12/01/97		501,520
COMMERCIAL MTG ASSET 99-C2 A-2				VAR RT 11/17/2032 DD 10/11/99		1,566,510
COMMIT TO PUR FHLMC GOLD SFM				5.000% 01/01/2021 DD 01/01/06		687,532
COMMIT TO PUR FHLMC GOLD SFM				5.500% 01/01/2037 DD 01/01/07		988,750
COMMIT TO PUR FHLMC GOLD SFM				5.000% 01/01/2037 DD 01/01/07		1,929,376
COMMIT TO PUR FNMA				4.500% 01/01/2021 DD 01/01/05		964,375
COMMIT TO PUR FNMA SF MTG				5.500% 01/01/2037 DD 01/01/07		1,976,250

 

S-3

---

 

Security Name				Security Description		Market Value
COMMIT TO PUR FNMA SF MTG				6.000% 01/01/2037 DD 01/01/07		2,013,124
COMMIT TO PUR FNMA SF MTG				6.500% 01/01/2037 DD 01/01/07		2,241,250
COMMIT TO PUR FNMA SF MTG				6.000% 01/01/2021 DD 01/01/06		3,041,250
COMMIT TO PUR FNMA SF MTG				6.500% 01/01/2037 DD 01/01/07		4,075,200
COMMIT TO PUR FNMA SF MTG				5.000% 01/01/2037 DD 01/01/07		4,826,500
COMMIT TO PUR FNMA SF MTG				5.000% 01/01/2021 DD 01/01/06		7,862,496
COMMIT TO PUR FNMA SF MTG				6.000% 01/01/2037 DD 01/01/07		8,052,800
COMMIT TO PUR FNMA SF MTG				5.500% 01/01/2022 DD 01/01/07		13,395,819
COMMIT TO PUR FNMA SF MTG				5.500% 01/01/2037 DD 01/01/07		29,643,000
COMMIT TO PUR GNMA II SF MTG				6.000% 01/20/2034 DD 01/01/04		3,087,188
CONOCOPHILLIPS AUSTRALIA FDG				VAR RT 04/09/2009 DD 04/11/06		1,180,920
CONOCOPHILLIPS GTD NT				VAR RT 04/11/2007 DD 04/11/06		2,300,345
COX COMMUNICATIONS INC NEW NT				4.625% 01/15/2010 DD 12/15/04		905,483
CREDIT SUISSE 06-C5 CL A3				5.311% 12/15/2039 DD 12/01/06		1,991,620
CREDIT SUISSE FB				4.125% 01/15/2010 DD 12/15/04		1,261,195
CREDIT SUISSE FB 01-CK3 CL A4				6.530% 06/15/2034 DD 06/01/01		1,046,080
CREDIT SUISSE FB 02 CKN2 CL A3				6.133% 04/15/2037 DD 05/01/02		913,088
CREDIT SUISSE FB 02 CKS4 A2				5.183% 11/15/2036 DD 10/01/02		1,487,630
CREDIT SUISSE FB 02 P1 A 144A				VAR RT 03/25/2032 DD 03/01/02		311,501
CREDIT SUISSE FB 03 CPN1 A 2				4.597% 03/15/2035 DD 03/01/03		579,210
CREDIT SUISSE FB 03-C3 CL A-5				3.936% 05/15/2038 DD 06/01/03		1,326,025
CREDIT SUISSE FB 06-3 CL 1-A1A				VAR RT 04/25/2036 DD 03/30/06		878,114
CS FIRST BOSTON MTG SECS CORP				6.550% 01/17/2035 DD 12/11/97		1,713,701
CWABS ASSET BKD 2006 12 2-A-1				VAR RT 09/25/2045 DD 06/30/06		1,483,011
CWABS INC 05-16 CL 4-AV-1				VAR RT 01/25/2035 DD 12/28/05		847,645
CWABS INC 2005-IM2 CL A1				REDEEMED		22,763
CWALT ALT LN TR SER 06 OA19 A1				VAR RT 02/20/2047 DD 11/30/06		2,494,277
DAIMLER CHRYSLER NORTH AMER				4.750% 01/15/2008 DD 01/16/03		104,048
DAIMLERCHRYSLER AUTO 05-B A-3				4.040% 09/08/2009 DD 05/18/05		1,678,249
DAIMLERCHRYSLER AUTO 06-C CLA3				5.020% 07/08/2010 DD 10/02/06		1,794,942
DAIMLERCHRYSLER N A #TR00043				5.750% 09/08/2011 DD 09/08/06		748,125
DAIMLERCHRYSLER N A HLDG CORP				VAR RT 03/07/2007 DD 03/07/05		700,105
DAIMLERCHRYSLER N A HLDG SR NT				6.500% 11/15/2013 DD 11/06/03		25,701
DAIMLERCHRYSLER NA HLDG CORP				4.050% 06/04/2008 DD 06/10/03		39,210
DAIMLERCHRYSLER NA MTN TR00036				VAR RT 09/10/2007 DD 09/10/04		1,403,052
DEN DANSKE BK NTS 144A				VAR RT /06/15/2010 DD 06/11/97		504,685
DEPFA ACS BK 144A				3.625% 10/29/2008 DD 10/29/03		1,218,050
DEUTSCHE BANK AG NY INSTL C/D				VAR RT 03/15/2007 DD 03/15/05		474,905
DEUTSCHE TELEKOM INTL FIN BV				STEP06/15/2010 DD 07/06/00		541,405
DLJ COML MTG CORP 98-CF1 A1B				6.410% 02/18/2031 DD 03/01/98		1,546,084
DOMINION RES INC DEL SR NT D				5.125% 12/15/2009 DD 12/16/02		24,840
DOMINION RES INC REMKT NT E				7.195% 09/15/2014 DD 09/15/04		104,247
EB SMAM ASSET BACKED				SECURITIES INDEX FD		5,819,324
EB SMAM CMBS BOND INDEX FUND						22,117,654
EB SMAM INT GOB/CR BOND INDEX				FUND		223,186,884
EB SMAM MORTGAGE-BACKED SECS				INDEX		166,123,152
EB TEMPORARY INVESTMENT FD II				5.250%		32,142
EB TEMPORARY INVESTMENT FD II				5.250%		916,766
EB TEMPORARY INVESTMENT FD II				5.250%		5,708,755
EB TEMPORARY INVESTMENT FD II				5.250%		10,556,259
EKSPORTFINANS A S A MTN #00012				3.375% 01/15/2008 DD 11/23/04		1,074,724
EL PASO ENERGY MTN #TR 00004				7.800% 08/01/2031 DD 07/30/01		1,311,000
ENBRIDGE ENERGY PARTNERS LP NT				5.875% 12/15/2016 DD 12/21/06		396,060
ENCANA HLDGS FIN CORP NT				5.800% 05/01/2014 DD 05/13/04		45,267
ENDURANCE SPECIALTY HLDGS LTD				6.150% 10/15/2015 DD 10/17/05		448,520
ENERGY TRANSFER PARTNERS LP				5.650% 08/01/2012 DD 02/01/06		248,945
ENERGY TRANSFER PARTNERS LP SR				5.950% 02/01/2015 DD 01/18/05		377,108
ENTERGY GULF STS INC 1ST 144A				VAR RT 12/08/2008 DD 12/08/05		901,962
EURO$1YR MID-CRV FUT EXP 9/07				CALL SEP 06 095.25 ED 09/15/07		676,413
EURO$1YR MID-CRV FUT EXP 9/08				CALL SEP 07 095.000 ED 9/14/07		138,450
FARMER MAC GTD NTS TR 2006 2				5.500% 07/15/2011 DD 07/20/06		3,564,400
FARMER MAC GTD P/T AS-1008 1				VAR RT 01/25/2012 DD 03/01/97		1,183,692
FEDERAL AGRIC MTG CORP				VAR RT 04/25/2011		409,059
FEDERAL FARM CR BKS CONS BD				4.500% 08/08/2011 DD 09/08/05		2,428,500
FEDERAL FARM CR BKS CONS BDS				5.200% 11/28/2016 DD 09/28/06		1,117,765
FEDERAL FARM CR BKS CONS SYS				4.400% 04/25/2012 DD 07/25/05		2,143,240
FEDERAL FARM CR BKS CONS SYS				4.700% 08/10/2015 DD 08/10/05		2,257,910
FEDERAL HOME LN BK CONS BDS				6.795% 06/30/2009 DD 06/30/99		3,118,410
FEDERAL HOME LN BKS CONS BD				4.875% 12/14/2012 DD 11/03/05		1,494,600
FEDERAL HOME LN BKS CONS BD				4.080% 04/26/2010 DD 04/26/04		2,338,872
FEDERAL HOME LN BKS CONS BD				3.750% 08/15/2008 DD 08/07/03		2,456,400
FEDERAL HOME LN BKS CONS BD				5.310% 12/28/2012 DD 12/28/05		3,935,600
FEDERAL HOME LN BKS CONS BD				5.250% 09/13/2013 DD 08/07/06		4,981,830
FEDERAL HOME LN MTG CORP DEBS				6.625% 09/15/2009 DD 09/16/99		2,082,540
FEDERAL HOME LN MTG CORP MTN				4.480% 09/19/2008 DD 09/19/05		4,940,800
FEDERAL NATIIONAL MORTGAGE ASSIGNED POOL # 356720				RATE: 7.146% MATURITY 11/01/25		677,383
FEDERAL NATL MTG ASSN DEBS				7.250% 01/15/2010 DD 1/14/2000		2,871,477
FEDERAL NATL MTG ASSN MTN				4.375% 06/21/2010 DD 06/21/05		5,289,660
FEDERATED DEPT STORE INC DEL				6.300% 04/01/2009 DD 03/24/99		91,504
FEDERATED RETAIL HLDGS INC NT				5.900% 12/01/2016 DD 11/29/06		599,058
FHA GMAC PROJ #56 221-D4				7.430% 11/01/2022 DD 09/01/82		334,088
FHA INSD P/T MTG 98TH GMAC				6.919% 09/01/2019 DD 08/01/83		85,014
FHA INSD PROJ 16TH REILLY MTG				7.000% 04/10/2027 DD 07/01/98		86,063

 

S-4

Security Name				Security Description		Market Value
FHA POOL #21 GMAC MTG IOWA				7.450% 05/01/2021 DD 08/01/81		524,721
FHA PROJ 221 CL D4 REILLY				7.430% 05/01/2022		106,210
FHA PROJ MTG POOL# 04 REILLY				7.430% 07/01/2022 DD 07/01/82		100,526
FHLMCPOOL #1B-1580				4.023% 03/01/2034 DD 03/01/04		868,721
FHLMCPOOL #1H-2524				VAR RT 08/01/2035 DD 09/01/05		1,585,731
FHLMCPOOL #1K-1233				VAR RT 05/01/2036 DD 05/01/06		1,110,980
FHLMCPOOL #1L-1302				VAR RT 04/01/2036 DD 06/01/06		1,688,762
FHLMCPOOL #78-2935				VAR RT 12/01/2034 DD 12/01/04		1,346,353
FHLMCPOOL #84-5355				VAR RT 05/01/2023 DD 05/01/93		89,290
FHLMCPOOL #A1-6199				7.000% 04/01/2031 DD 11/01/03		247,042
FHLMCPOOL #A1-8208				6.000% 03/01/2024 DD 01/01/04		225,520
FHLMCPOOL #A2-5226				6.500% 05/01/2033 DD 07/01/04		65,648
FHLMCPOOL #B1-0170				4.500% 10/01/2018 DD 10/01/03		46,782
FHLMCPOOL #B1-0184				5.500% 10/01/2018 DD 10/01/03		55,115
FHLMCPOOL #B1-0207				4.500% 10/01/2018 DD 10/01/03		52,051
FHLMCPOOL #B1-0931				4.500% 11/01/2018 DD 11/01/03		51,553
FHLMCPOOL #B1-1801				4.500% 01/01/2019 DD 01/01/04		56,334
FHLMCPOOL #B1-2301				4.000% 02/01/2014 DD 02/01/04		142,328
FHLMCPOOL #B1-2730				4.000% 03/01/2014 DD 03/01/04		226,163
FHLMCPOOL #B1-2772				4.000% 03/01/2014 DD 03/01/04		208,289
FHLMCPOOL #B1-2818				4.000% 03/01/2014 DD 03/01/04		189,592
FHLMCPOOL #B1-2819				4.000% 03/01/2014 DD 03/01/04		218,084
FHLMCPOOL #B1-2883				4.000% 03/01/2014 DD 03/01/04		212,005
FHLMCPOOL #B1-2910				4.000% 03/01/2014 DD 03/01/04		165,385
FHLMCPOOL #B1-2911				4.000% 03/01/2014 DD 03/01/04		198,245
FHLMCPOOL #B1-3066				4.000% 03/01/2014 DD 03/01/04		784,987
FHLMCPOOL #B1-3209				4.000% 04/01/2019 DD 04/01/04		65,905
FHLMCPOOL #B1-3343				4.000% 04/01/2014 DD 04/01/04		99,529
FHLMCPOOL #B1-3344				4.000% 04/01/2014 DD 04/01/04		145,437
FHLMCPOOL #B1-3360				4.000% 04/01/2014 DD 04/01/04		184,010
FHLMCPOOL #B1-3801				4.500% 04/01/2019 DD 04/01/04		180,794
FHLMCPOOL #B1-3870				4.500% 05/01/2019 DD 05/01/04		108,536
FHLMCPOOL #B1-5067				4.500% 06/01/2019 DD 06/01/04		389,056
FHLMCPOOL #B1-8233				4.500% 04/01/2020 DD 04/01/05		168,868
FHLMCPOOL #B1-8252				4.500% 04/01/2020 DD 04/01/05		166,242
FHLMCPOOL #B1-8684				4.500% 01/01/2020 DD 01/01/05		78,785
FHLMCPOOL #B1-8908				4.500% 03/01/2020 DD 03/01/05		317,144
FHLMCPOOL #C0-1175				7.000% 05/01/2031 DD 05/01/01		91,968
FHLMCPOOL #C0-1598				5.000% 08/01/2033 DD 08/01/03		221,339
FHLMCPOOL #C6-6817				7.000% 05/01/2032 DD 04/01/02		163,744
FHLMCPOOL #C6-8269				7.000% 06/01/2032 DD 06/01/02		322,762
FHLMCPOOL #C6-9013				7.000% 07/01/2032 DD 07/01/02		406,269
FHLMCPOOL #D9-4598				6.500% 04/01/2021 DD 04/01/01		53,363
FHLMCPOOL #E0-1157				6.000% 06/01/2017 DD 06/01/02		99,521
FHLMCPOOL #E0-1481				4.500% 10/01/2018 DD 10/01/03		51,262
FHLMCPOOL #E0-1489				4.500% 11/01/2018 DD 11/01/03		102,821
FHLMCPOOL #E0-1538				5.000% 12/01/2018 DD 12/01/03		920,342
FHLMCPOOL #E0-1602				4.500% 03/01/2019 DD 03/01/04		55,127
FHLMCPOOL #E0-1606				4.500% 04/01/2019 DD 04/01/04		625,912
FHLMCPOOL #E7-6730				6.000% 05/01/2014 DD 05/01/99		88,740
FHLMCPOOL #E7-7099				6.000% 05/01/2014 DD 05/01/99		26,563
FHLMCPOOL #E9-0288				6.000% 06/01/2017 DD 06/01/02		78,386
FHLMCPOOL #E9-6057				4.500% 05/01/2018 DD 04/01/03		127,717
FHLMCPOOL #E9-6247				4.500% 05/01/2018 DD 05/01/03		43,846
FHLMCPOOL #E9-6248				4.500% 05/01/2018 DD 05/01/03		43,899
FHLMCPOOL #E9-7034				4.500% 06/01/2018 DD 06/01/03		51,002
FHLMCPOOL #E9-8590				4.500% 09/01/2018 DD 08/01/03		25,692
FHLMCPOOL #E9-9763				4.500% 09/01/2018 DD 09/01/03		19,295
FHLMCPOOL #E9-9764				4.500% 09/01/2018 DD 09/01/03		18,517
FHLMCPOOL #E9-9765				4.500% 09/01/2018 DD 09/01/03		14,245
FHLMCPOOL #E9-9768				4.500% 09/01/2018 DD 09/01/03		85,167
FHLMCPOOL #E9-9769				4.500% 09/01/2018 DD 09/01/03		42,044
FHLMCPOOL #E9-9770				4.500% 09/01/2018 DD 09/01/03		26,579
FHLMCPOOL #G0-1324				7.000% 10/01/2031 DD 10/01/01		43,718
FHLMCPOOL #G0-1391				7.000% 04/01/2032 DD 03/01/02		174,888
FHLMCPOOL #G0-1564				6.000% 04/01/2033 DD 05/01/03		90,558
FHLMCPOOL #G0-1731				6.500% 12/01/2029 DD 10/01/04		690,840
FHLMCPOOL #G1-0855				6.000% 12/01/2013 DD 11/01/98		36,843
FHLMCPOOL #G1-1409				6.000% 05/01/2017 DD 06/01/03		94,909
FHLMCPOOL #G1-1526				4.500% 03/01/2019 DD 02/01/04		56,289
FHLMCPOOL #G1-1678				4.500% 04/01/2020 DD 03/01/05		234,263
FHLMCPOOL #G1-1720				4.500% 08/01/2020 DD 07/01/05		1,202,145
FHLMCPOOL #G1-1769				5.000% 10/01/2020 DD 09/01/05		1,395,324
FHLMCPOOL #G1-2093				4.500% 12/01/2018 DD 05/01/06		1,703,200
FHLMCPOOL #G1-2094				4.500% 06/01/2019 DD 05/01/06		2,067,443
FHLMCPOOL #G1-2251				4.000% 06/01/2019 DD 07/01/06		3,542,336
FHLMCPOOL #G1-8020				4.500% 11/01/2019 DD 11/01/04		310,824
FHLMCPOOL #P6-0084				6.000% 03/01/2016 DD 01/01/03		501,259
FHLMC GROUP #C4-5817				7.500% 12/01/2030 DD 12/01/00		54,201
FHLMC GROUP #E0-0894				8.500% 06/01/2015 DD 06/01/00		49,221
FHLMC GROUP #E0-0912				8.500% 08/01/2015 DD 08/01/00		5,691
FHLMC GROUP #E0-0935				8.500% 10/01/2015 DD 10/01/00		64,436
FHLMC GROUP #E7-0797				5.500% 06/01/2013 DD 06/01/98		187,512
FHLMC GROUP #E7-8829				6.000% 10/01/2014 DD 10/01/99		53,231

 

S-5

---

 

Security Name				Security Description		Market Value
FHLMC GROUP #E8-1255				8.500% 08/01/2015 DD 08/01/00		83,367
FHLMC GROUP #G1-0777				9.000% 06/01/2010 DD 01/01/98		17,538
FHLMC GROUP #G1-0817				6.000% 06/01/2013 DD 06/01/98		18,901
FHLMC MULTICLASS CTF 2106 ZB				6.250% 12/15/2028		2,566,133
FHLMC MULTICLASS CTFS 2458 OD				6.000% 04/15/2016 DD 06/01/02		459,278
FHLMC MULTICLASS CTFS 2933 HD				5.500% 02/15/2035 DD 02/01/05		1,945,714
FHLMC MULTICLASS CTFS 2949 PA				5.500% 03/15/2034 DD 03/01/05		1,647,866
FHLMC MULTICLASS CTFS 2973 EB				5.500% 04/15/2035 DD 05/01/05		997,895
FHLMC MULTICLASS CTFS 2979 BC				5.000% 04/15/2020 DD 05/01/05		1,302,922
FHLMC MULTICLASS MTG				5.500% 05/15/2029 DD 08/01/06		4,334,284
FHLMC MULTICLASS MTG 1662 N				6.250% 01/15/2009 DD 01/01/94		35,072
FHLMC MULTICLASS MTG 2395 FT				VAR RT 12/15/2031 DD 12/15/01		96,861
FHLMC MULTICLASS MTG T-61 1A1				VAR RT 07/25/2044 DD 06/01/04		2,948,122
FIRST REP MTG LN TR 02 FRB1 A				VAR RT 08/15/2032 DD 09/05/02		607,710
FIRST UN NATL BK 01-C4 CL A2				6.223% 12/12/2033 DD 12/01/01		1,402,448
FLEET FIN GROUP INC NEW				6.375% 05/15/2008 DD 05/26/98		1,013,750
FLORIDA PWR & LT 1ST MTG				6.000% 06/01/2008 DD 06/01/98		1,008,280
FNMAPOOL #0253683				7.500% 01/01/2031 DD 01/01/01		140,919
FNMAPOOL #0254308				6.500% 05/01/2017 DD 04/01/02		50,898
FNMAPOOL #0254546				5.500% 12/01/2017 DD 11/01/02		189,409
FNMAPOOL #0254621				6.500% 01/01/2033 DD 12/01/02		603,161
FNMAPOOL #0254631				5.000% 02/01/2018 DD 01/01/03		814,662
FNMAPOOL #0254720				4.500% 05/01/2018 DD 04/01/03		200,193
FNMAPOOL #0254753				4.000% 05/01/2010 DD 04/01/03		442,190
FNMAPOOL #0254817				4.000% 06/01/2013 DD 05/01/03		107,008
FNMAPOOL #0254845				4.000% 07/01/2013 DD 06/01/03		142,745
FNMAPOOL #0254863				4.000% 08/01/2013 DD 07/01/03		198,105
FNMAPOOL #0254906				4.500% 10/01/2018 DD 09/01/03		1,830,554
FNMAPOOL #0254909				4.000% 09/01/2013 DD 08/01/03		375,025
FNMAPOOL #0254915				4.500% 09/01/2023 DD 08/01/03		1,725,202
FNMAPOOL #0254918				4.500% 09/01/2033 DD 08/01/03		706,014
FNMAPOOL #0254957				4.000% 10/01/2013 DD 09/01/03		775,859
FNMAPOOL #0254987				5.000% 12/01/2018 DD 11/01/03		21,572
FNMAPOOL #0255174				VAR RT 03/01/2014 DD 02/01/04		1,105,326
FNMAPOOL #0255654				4.500% 02/01/2035 DD 01/01/05		292,347
FNMAPOOL #0255897				4.500% 10/01/2035 DD 09/01/05		1,801,362
FNMAPOOL #0256059				5.500% 01/01/2036 DD 12/01/05		644,755
FNMAPOOL #0256269				5.500% 06/01/2036 DD 05/01/06		222,021
FNMAPOOL #0256394				6.500% 09/01/2036 DD 08/01/06		98,380
FNMAPOOL #0256597				5.500% 02/01/2037 DD 01/01/07		995,000
FNMAPOOL #0303777				7.000% 03/01/2011 DD 02/01/96		26,819
FNMAPOOL #0303906				7.000% 05/01/2011 DD 04/01/96		34,473
FNMAPOOL #0303945				7.000% 12/01/2010 DD 05/01/96		20,449
FNMAPOOL #0313467				5.500% 11/01/2011 DD 03/01/97		580,444
FNMAPOOL #0316864				7.000% 07/01/2025 DD 07/01/95		6,993
FNMAPOOL #0323331				6.500% 11/01/2008 DD 10/01/98		124,692
FNMAPOOL #0325793				7.000% 09/01/2010 DD 10/01/95		6,647
FNMAPOOL #0340901				6.000% 03/01/2014 DD 03/01/96		645,404
FNMAPOOL #0357327				5.000% 01/01/2018 DD 01/01/03		370,268
FNMAPOOL #0357327				5.000% 01/01/2018 DD 01/01/03		882,730
FNMAPOOL #0357329				4.500% 01/01/2018 DD 01/01/03		77,629
FNMAPOOL #0357348				5.000% 02/01/2018 DD 02/01/03		2,855,548
FNMAPOOL #0357418				4.000% 08/01/2018 DD 08/01/03		3,510,189
FNMAPOOL #0420218				7.000% 03/01/2013 DD 03/01/98		62,029
FNMAPOOL #0449943				6.500% 12/01/2028 DD 11/01/98		40,419
FNMAPOOL #0453718				6.500% 01/01/2029 DD 01/01/99		140,260
FNMAPOOL #0454266				6.500% 01/01/2029 DD 01/01/99		231,368
FNMAPOOL #0454953				6.500% 12/01/2028 DD 01/01/99		167,803
FNMAPOOL #0456277				6.500% 12/01/2028 DD 12/01/98		42,291
FNMAPOOL #0516232				8.500% 08/01/2009 DD 09/01/99		35,565
FNMAPOOL #0518113				7.000% 10/01/2029 DD 10/01/99		31,144
FNMAPOOL #0535327				5.500% 06/01/2011 DD 05/01/00		531,849
FNMAPOOL #0545378				5.507% 12/01/2011 DD 12/01/01		909,148
FNMAPOOL #0545933				5.627% 08/01/2012 DD 09/01/02		1,181,663
FNMAPOOL #0555114				5.500% 12/01/2017 DD 11/01/02		192,970
FNMAPOOL #0555363				5.000% 04/01/2018 DD 03/01/03		76,770
FNMAPOOL #0555366				4.500% 04/01/2018 DD 03/01/03		690,504
FNMAPOOL #0555417				6.000% 05/01/2033 DD 04/01/03		25,589
FNMAPOOL #0555436				6.000% 05/01/2033 DD 04/01/03		430,550
FNMAPOOL #0555531				5.500% 06/01/2033 DD 05/01/03		2,529,876
FNMAPOOL #0555549				5.000% 06/01/2018 DD 05/01/03		50,768
FNMAPOOL #0555880				5.500% 11/01/2033 DD 10/01/03		512,529
FNMAPOOL #0555900				5.000% 10/01/2018 DD 10/01/03		62,265
FNMAPOOL #0569270				7.000% 01/01/2016 DD 01/01/01		67,222
FNMAPOOL #0575384				6.500% 04/01/2016 DD 03/01/01		69,797
FNMAPOOL #0586647				6.500% 06/01/2016 DD 06/01/01		16,159
FNMAPOOL #0611001				5.500% 11/01/2016 DD 11/01/01		39,954
FNMAPOOL #0626014				5.500% 02/01/2017 DD 01/01/02		81,838
FNMAPOOL #0626589				6.500% 03/01/2017 DD 03/01/02		108,870
FNMAPOOL #0642713				6.500% 05/01/2017 DD 05/01/02		10,345
FNMAPOOL #0643340				6.500% 03/01/2017 DD 06/01/02		94,635
FNMAPOOL #0643858				6.500% 05/01/2032 DD 05/01/02		11,711
FNMAPOOL #0644886				6.500% 06/01/2017 DD 06/01/02		99,965
FNMAPOOL #0654650				5.500% 01/01/2018 DD 01/01/03		245,508

 

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