Combined

University of California Retirement Plan
Fixed Income Portfolio

December 31, 2002
DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE
ABBOTT LABORATORIES NC 10,000,000 5.625 7/1/06 10,885,300
ALCOA INC NC 14,000,000 5.375 1/15/13 14,835,520
ALLSTATE CORP NC 24,000,000 7.200 12/1/09 27,831,600
ALLSTATE CORP. NC 13,000,000 6.900 5/15/2038 14,314,430
AMERICAN GENERAL CAP II NC 29,000,000 8.500 7/1/2030 37,789,900
AMERICAN GENERAL INST CAP A NC 37,500,000 7.570 12/1/2045 44,584,125
ANADARKO FINANCE NC 27,500,000 7.500 5/1/2031 32,693,650
AOL TIME WARNER INC NC 26,000,000 6.875 5/1/12 27,462,240
ATHABASCA OIL SANDS NC 20,000,000 8.200 4/1/27 23,514,878
AXA NC 31,000,000 8.600 12/15/2030 35,400,140
BECTON DICKINSON NC 37,000,000 7.000 8/1/27 41,766,710
BELLSOUTH CORP NC 5,000,000 5.000 10/15/06 5,347,800
BOMBARDIER NC 18,200,000 7.350 12/22/26 8,651,920
BRITISH TEL PLC NC 12,000,000 8.375 12/15/10 14,414,280
BURLINGTON RESOURCES NC 24,300,000 9.875 6/15/10 31,376,552
CANADIAN NATL RAILROAD NC 22,000,000 6.800 7/15/18 24,252,140
CARNIVAL CORP NC 23,500,000 7.200 10/1/23 23,552,736
CCCIT 2001-A6 A6 6,000,000 5.650 6/15/06 6,552,840
CELULOSA ARAUCO NC 41,632,000 7.750 9/13/11 45,986,291
CEMEX S A PT09 50,000,000 9.625 10/1/09 55,125,000
CHAMT 2001-4 A 6,000,000 5.500 11/15/08 6,530,760
CHILE REP NC 11,000,000 7.125 1/11/12 12,403,490
CITIGROUP INC NC 16,500,000 5.500 8/9/06 17,815,545
CITIGROUP INC NC 35,000,000 6.000 2/21/12 38,467,450
CLEAR CHANNEL COMMUNICATIONS NC 34,750,000 7.650 9/15/10 39,324,490
CODELCO INC NC 21,000,000 6.375 11/30/12 22,101,870
DCAT 2001-B A4 4,000,000 5.320 6/1/04 4,233,360
EATON CORP NC 10,650,000 8.100 8/15/22 12,240,012
EMERSON ELECTRIC NC 16,000,000 7.125 8/15/10 18,596,640
FEDERAL HOME LOAN BANK 186,000,000 5.375 2/15/07 203,978,760
FGCI POOL #E01084 20,997,729 5.500 1/1/17 21,770,968
FGCI POOL #E01098 48,842,773 6.000 2/1/17 51,015,948
FGCI POOL #E01251 28,794,189 5.500 11/1/17 29,866,263
FGCI POOL #G11212 14,390,648 6.500 11/1/16 15,138,687
FHLG POOL #C62885 33,404,488 6.500 1/1/2032 34,816,448
FHLG POOL #G01317 23,814,120 7.000 10/1/2031 24,977,804
FHLG POOL #G01323 32,936,677 7.000 9/1/2031 34,499,063
FHLG POOL #G01324 18,815,900 7.000 10/1/2031 19,708,452
FHLG POOL #G01391 100,594,758 7.000 4/1/2032 105,510,352
Source: University of California, Office of the Treasurer

December 31, 2002
FHR 2422 DM 45,000,000 6.500 4/15/28 47,165,184
FHR 2484 PA 51,227,643 6.000 4/15/22 53,647,698
FHR 2484 VA 9,696,984 6.000 9/15/12 10,293,352
FHR 2494 CD 13,750,000 5.500 8/15/14 14,624,999
FHR 2501 MA 17,000,000 5.500 3/15/12 17,767,288
FHR 2509 TA 11,000,000 5.500 10/15/09 11,421,500
FIRSTENERGY CORP NC 24,000,000 5.500 11/15/06 24,135,120
FNCI 5 1/2 TBA 60,000,000 5.500 1/5/18 61,396,872
FNCI POOL #254308 5,097,908 6.500 5/1/17 5,376,453
FNCI POOL #254373 13,928,734 6.500 7/1/17 14,689,790
FNCI POOL #545125 29,673,250 6.000 8/1/16 31,001,067
FNCI POOL #545296 32,533,757 6.000 11/1/16 33,989,576
FNCI POOL #581853 62,829,957 6.000 7/1/16 65,641,468
FNCI POOL #598444 5,473,933 6.500 6/1/17 5,773,024
FNCI POOL #609541 11,152,776 6.500 10/1/16 11,748,262
FNCI POOL #612304 59,916,559 6.000 10/1/16 62,597,702
FNCI POOL #639018 5,529,155 6.500 4/1/17 5,831,264
FNCI POOL #650503 16,026,900 6.500 6/1/17 16,902,597
FNCI POOL #651388 5,499,887 6.500 8/1/17 5,800,397
FNCI POOL #673022 61,839,544 5.500 12/1/17 64,129,222
FNMA POOL #555139 78,685,000 6.500 10/1/2032 81,979,934
FNMA POOL #254146 40,396,775 6.000 1/1/2032 41,770,303
FNMA POOL #254548 42,928,457 5.500 12/1/2032 43,818,912
FNMA POOL #516493 2,438,765 6.000 6/1/29 2,520,983
FNMA POOL #535811 7,503,625 6.500 4/1/2031 7,804,488
FNMA POOL #535911 22,444,849 6.500 5/1/2031 23,328,538
FNMA POOL #545506 31,024,702 7.000 2/1/2032 32,610,111
FNMA POOL #581706 21,143,778 6.500 7/1/2031 21,991,552
FNMA POOL #581861 26,016,855 6.500 7/1/2031 27,060,018
FNMA POOL #581975 21,883,104 6.500 8/1/2031 22,760,522
FNMA POOL #585628 60,090,095 6.500 6/1/2031 62,499,447
FNMA POOL #591189 11,759,218 6.500 8/31/2031 12,230,711
FNMA POOL #591497 16,468,896 6.500 9/1/2031 17,129,228
FNMA POOL #592020 27,670,313 6.500 6/1/2031 28,779,773
FNMA POOL #597249 39,186,081 6.500 9/1/2031 40,757,273
FNMA POOL #597384 42,866,271 6.500 6/1/2031 44,585,023
FNMA POOL #597545 10,829,016 6.500 9/1/2031 11,263,213
FNMA POOL #597699 42,003,608 6.500 9/1/2031 43,687,770
FNMA POOL #610324 78,208,954 6.500 10/1/2031 81,344,794
FNMA POOL #614359 26,832,636 6.500 12/1/2031 27,908,508
FNMA POOL #620451 17,305,161 6.500 1/1/2032 17,999,023
FNMA POOL #633857 10,783,688 7.000 3/1/2032 11,334,751

December 31, 2002
FNMA POOL #635030 43,838,332 6.500 5/1/2032 45,658,658
FNMA POOL #640008 24,708,008 7.000 4/1/2032 25,970,625
FNMA POOL #672415 11,672,306 6.500 9/1/2032 12,156,982
FNMA POOL #673572 29,000,000 6.000 11/1/2032 30,012,753
FNMA POOL #676633 94,999,548 6.000 12/1/2032 98,339,371
FNMA POOL #676739 15,089,273 6.000 1/1/2033 15,619,755
FNMA POOL #676740 19,114,643 6.000 1/1/2033 19,786,641
FNMA POOL #676868 10,329,704 6.000 1/1/2033 10,690,443
FNMA-BENCHMARK 65,000,000 4.000 11/17/06 66,101,750
FNMA-BENCHMARK 68,000,000 5.000 1/15/07 73,712,680
FNMA-BENCHMARK 83,000,000 5.250 1/15/09 90,724,810
FNMA-BENCHMARK 85,000,000 5.500 3/15/11 93,249,250
FNMA-DUS POOL #382064 7,645,739 7.030 11/1/09 8,854,225
FNMA-DUS POOL #383233 7,967,764 6.275 3/1/2031 8,953,536
FNMA-DUS POOL #383428 6,868,763 6.080 5/1/11 7,607,155
FNMA-POOL #627118 74,278,170 7.000 3/1/2032 78,073,897
FNMA-POOL #627131 75,749,864 7.000 3/1/2032 79,620,796
FNR 02-09 PB 36,000,000 6.000 11/25/14 37,879,812
FNR 02-18 VA 14,258,642 6.500 2/25/13 15,095,739
FNR 02-29 VA 14,347,542 6.500 2/15/13 15,178,058
FNR 02-33 VA 9,558,614 6.500 6/25/13 10,045,646
G2SF POOL#TBA 39,000,000 6.000 1/3/28 40,566,092
GENERAL ELECTRIC NC 20,000,000 4.625 9/15/09 20,550,200
GENERAL ELECTRIC NC 40,000,000 6.000 6/15/12 43,122,800
GENERAL ELECTRIC CAPITAL NC 52,000,000 6.125 2/22/11 56,209,920
GEORGIA POWER NC 15,000,000 5.125 11/15/12 15,468,900
GNMA-I POOL #523006 10,283,047 6.500 2/15/2032 10,802,248
GNMA-I POOL #546959 3,089,014 7.000 9/15/2031 3,267,912
GNMA-I POOL #550274 9,003,998 7.000 8/15/2031 9,525,458
GNMA-I POOL #551683 8,798,156 7.000 10/15/2031 9,307,695
GNMA-I POOL #552383 17,398,654 6.000 2/15/2032 18,135,926
GNMA-I POOL #569552 24,216,371 6.000 1/15/2032 25,230,902
GNMA-I POOL #569569 24,860,397 6.000 1/15/2032 25,913,862
GNMA-I POOL #569703 35,571,562 6.500 2/15/2032 37,367,604
GNMA-I POOL #570142 38,952,030 6.000 12/15/2031 40,583,904
GNMA-I POOL #572861 10,170,653 6.500 2/15/2032 10,672,270
GNMA-I POOL #586579 3,587,665 6.500 5/15/2032 3,768,809
GNMA-I POOL #780933 32,042,945 7.000 12/15/28 34,106,962
GNMA-I POOL #781029 34,136,704 6.500 5/15/29 35,984,886
GNMA-I POOL #781130 35,995,818 7.000 1/15/2030 38,269,461
GNMA-II POOL #2824 7,766,516 7.000 10/20/29 8,181,470
GNMA-II POOL #2957 19,687,914 7.500 8/20/2030 20,856,094
GNMA-II POOL #2958 8,322,931 8.000 8/20/2030 8,889,729

December 31, 2002
GNMA-II POOL #2973 10,577,442 8.000 9/20/2030 11,297,774
GNMA-II POOL #2999 21,624,163 7.500 11/20/2030 22,907,230
GNMA-II POOL #3011 11,262,282 7.500 12/20/2030 11,930,528
GNR 02-29 VC 29,027,848 6.500 2/16/13 30,679,576
GNR 02-32 QC 23,327,000 6.000 11/20/27 24,238,386
GNR 02-40 VC 47,126,688 6.500 10/20/14 49,361,497
GNR 02-45 QB 32,299,000 6.500 4/20/28 33,937,305
GNR 02-45 VA 17,976,261 6.000 4/20/13 19,091,866
GNR 02-46 PD 27,040,000 6.000 7/20/07 28,663,392
GRAND MET INVT CORP NC 7,750,000 8.000 9/15/22 9,691,375
GRUPO TELEVISA SA NC 40,000,000 8.000 9/13/11 41,600,000
HALLMARK INC. NC 17,000,000 8.920 7/23/12 21,080,000
HAROT 2002-1 A4 18,600,000 4.220 4/16/07 19,429,746
HAROT 2002-3 A3 2,000,000 3.000 5/18/06 2,036,620
HYDRO QUEBEC NC 29,440,000 8.250 4/15/26 39,226,739
HYDRO QUEBEC NC 29,200,000 8.250 1/15/27 39,012,368
IBM CORP NC 20,000,000 4.750 11/29/12 20,070,800
IBM CORP NC 43,000,000 6.500 1/15/28 46,108,470
INTL BK R&D(INTPT)STRIPS 60,000,000 0.000 2/15/16 30,225,600
INTL BK R&D(PRNPT)STRIPS 32,000,000 0.000 2/15/15 17,140,160
KFW INTL FINANCE NC 17,000,000 5.250 6/28/06 18,493,280
KIMBERLY CLARK DE MEX NC 30,000,000 8.875 8/1/09 34,935,000
LOBLAW NC 22,000,000 6.450 2/9/28 14,034,263
LOBLAW NC 25,000,000 6.650 11/8/27 16,339,059
LOBLAW CO. LTD NC 28,000,000 6.500 1/22/29 17,965,474
LOBLAW CO. LTD RESIDS NC 80,000,000 0.000 5/23/2031 8,519,624
LOCKHEED MARTIN CORP NC 31,000,000 8.500 12/1/29 41,428,710
LORAL NC 35,875,000 7.000 9/15/23 39,906,030
M & I CAPITAL SEC. NC06 24,500,000 7.650 12/1/26 26,970,294
MARSH & MCLENNAN COS INC NC 30,000,000 5.375 3/15/07 32,131,800
MARSH & MCLENNAN COS INC NC 46,000,000 7.125 6/15/09 53,384,840
MASCO NC 8,000,000 6.750 3/15/06 8,718,960
MASCO NC 20,000,000 7.125 8/15/13 23,153,200
MELLON A CAPITAL SEC. NC06 42,000,000 7.720 12/1/26 46,580,035
MERCK NC 43,000,000 6.400 3/1/28 47,662,060
MEXICO VALUE RECOVERY RIGHTS NC 377,550,000 0.000 1,249,691
NAROT 2002-C A4 12,000,000 3.330 1/15/08 12,223,128
NORFOLK SOUTHERN NC 19,055,000 9.000 3/1/21 24,838,764
NORWEST NC 30,000,000 6.750 12/15/27 33,134,100
ONTARIO PROV CDA NC 15,000,000 3.500 9/17/07 15,276,600
PEMEX MASTER TRUST NC 10,000,000 7.875 2/1/09 10,700,000
PEMEX PROJECT NC 25,000,000 7.375 12/15/14 25,625,000

December 31, 2002
PEMEX PROJECT NC 6,000,000 8.000 11/15/11 6,450,000
RESOLUTION TRUST FUNDING NC 38,700,000 8.625 1/15/21 54,777,141
SBC COMMUNICATIONS NC 35,000,000 5.875 8/15/12 37,939,650
SEARIVER MARITIME INC. 198,815,000 0.000 9/1/12 130,225,447
SPIEKER PROP. REIT NC 30,250,000 7.250 5/1/09 33,168,520
STARWOOD HOTELS NC 17,000,000 7.875 5/1/12 16,787,500
STATE STREET INSTL CAP A NC06 25,500,000 7.940 12/30/26 29,438,985
STATE STREET INSTL CAP B NC07 39,000,000 8.035 3/15/27 44,461,950
TELEFONOS MEXICO NC 55,000,000 8.250 1/26/06 60,225,000
TIME WARNER ENTERTAINMENT NC 14,500,000 8.875 10/1/12 17,272,835
TIME WARNER INC. NC 20,500,000 9.150 2/1/23 23,188,575
TOYOTA MTR CRED NC 4,000,000 5.650 1/15/07 4,330,440
TRANSCANADA PIPELINE NC 41,320,000 8.290 2/5/26 29,220,299
TREASURY INFLATION INDEX NC 157,188,000 3.000 7/15/12 168,446,308
U.S.BANCORP CAP A SEC. NC06 33,000,000 8.270 12/15/26 38,081,670
UNITED MEXICAN STATES NC 51,000,000 8.125 12/30/19 53,868,750
UNIVISION COMM INC NC 27,000,000 7.850 7/15/11 30,250,370
US BANK NA NC 51,000,000 6.375 8/1/11 57,180,180
US TREASURY BOND NC 521,442,000 5.250 11/15/28 544,458,450

December 31, 2002
US TREASURY NOTE NC 16,600,000 4.000 11/15/12 16,836,052
US TREASURY(INTPT)STRIPS 184,000,000 0.000 2/15/11 133,808,480
VERIZON MARYLAND INC NC 25,000,000 6.125 3/1/12 27,035,500
VERIZON NY INC. NC 50,370,000 7.375 4/1/2032 57,845,412
VESSEL MGMT SVC TITLE XI 14,937,500 6.080 5/20/24 16,290,240
VODAFONE GROUP NC 49,000,000 7.750 2/15/10 57,731,310
WACHOVIA CAPITAL SEC. NC07 39,000,000 7.965 6/1/27 40,660,803
WAL-MART STORES NC 41,000,000 6.875 8/10/09 48,162,700
WELLS FARGO & CO NC 10,000,000 6.450 2/1/11 11,203,400
WESTERN ATLAS NC 16,000,000 8.550 6/15/24 20,224,040
WISCONSIN ENERGY CORP NC 29,000,000 5.500 12/1/08 31,125,410
WYETH NC 17,000,000 6.250 3/15/06 18,407,430
WYETH NC 49,327,000 6.700 3/15/11 54,642,971
ZENECA NC 6,000,000 7.000 11/15/23 7,032,600
Total Fixed Income Portfolio 11,667,781,747
Cash and equivalents 207,378,000
Total University of California Fixed Income Portfolio 11,875,159,747

U.S. Equity
December 31, 2002
ISSUER SHARES MARKET VALUE
ISHARES RUSS3000 1,627,000 79,657,920
RUSSELL 3000 INDEX FUND 87,162,923 5,597,428,580
RUSSELL 3000 INDEX TRANS FUNDS 191,550,262 12,300,974,701
PRIVATE EQUITY DISTRIBUTIONS 78,532 556,227
Total U.S. Equity 17,978,617,428
% of Portfolio 86.75%
Source: University of California: Office of the Treasurer

Non-U.S. Equity
December 31, 2002
CGI EMERGING MARKETS GF 4,680,717 192,798,746
EAFE INDEX FUND 28,068,394 1,781,802,051
GENESIS EMERGING MARKETS 543,487 76,553,441
TEMPLETON EMERGING MKTS 4,511,938 36,546,699
Total Non-U.S. Equity 2,087,700,937

Private Equity
December 31, 2002
ACCEL VIII 72,630 4,313,496
AIG ASIAN INFRASTRUCTURE 495,656 14,122,229
AIG ASIAN INFRASTRUCTURE II 484,202 28,595,017
AIG GE CAP LATIN AMER 673,124 43,014,617
AIG INDIAN SEC. EQUITY 86,155 7,132,030
ALTA S D II 62,090 3,545
ALTA S D III 74,000 2,394,270
CHINA VEST IV 146,000 7,167,724
GOLDER THOMA CRESSEY III 127,275 3,960,925
GOLDER THOMA CRESSEY IV 179,848 1,266,310
GOLDER THOMA CRESSEY V 280,218 20,534,962
HUMMER WINBLAD III 70,155 1,337,014
INSTITUTIONAL VENTURE IV 106,440 1,961,476
INSTITUTIONAL VENTURE V 97,137 196,217
INSTITUTIONAL VENTURE VI 82,900 1,498,749
INSTITUTIONAL VENTURE VII 125,790 9,263,176
INSTITUTIONAL VENTURE VIII 211,058 12,308,451
INTERSOUTH PARTNERS V 90,900 6,969,030
INTERWEST PARTNERS IV 85,600 648,848
INTERWEST PARTNERS V 124,680 2,467,791
INTERWEST PARTNERS VI 106,004 8,876,669
INTERWEST PARTNERS VII 94,833 4,695,259
INTERWEST PARTNERS VIII 157,500 10,672,200
INVERNESS PARTNERS II L.P. 8,683 868,300
INVESTMENT CO OF CHINA 940,000 2,190,200
KPCB II 65,150 720,689
KPCB II ANNEX FUND 13,275 36,214
KPCB IV 87,800 455,682
KPCB IX-A 119,000 5,346,075
KPCB VI 117,350 676,053
KPCB VII 105,000 2,285,745
KPCB VIII 140,000 6,167,140
KPCB X-A 85,500 5,898,902
LAKE CAPITAL PARTNERS LP 5,602 560,235
LATIN AMER CAP PART II 376,069 19,618,407
LINDSAY GOLDBERG & BESSEMER L.P. 7,591 736,028
MAYFIELD VI 131,100 796,433
MAYFIELD VII 110,450 1,468,322
MAYFIELD VIII 83,000 4,188,512
MPAE V 81,033 290,179
OXFORD BIOSCIENCE III 144,500 12,291,893
OXFORD BIOSCIENCE PARTNERS IV 53,125 4,622,034
PERSEUS-SOROS BIOPHARMACEUTICAL 25,992 2,611,594
POLARIS VENTURE PARTNERS III 112,200 7,475,437
POLARIS VENTURE PARTNERS IV 5,550 543,939
REDPOINT VENTURES I 157,500 6,841,643
REDPOINT VENTURES II 84,376 5,538,408
RIPPLEWOOD PARTNERS II, L.P. 14,856 1,429,925
SEQUOIA CAPITAL FRANCHISE 113,178 4,501,644
SEQUOIA CAPITAL GROWTH 79,876 398,741
SEQUOIA CAPITAL III 35,920 26,509
SEQUOIA CAPITAL IX 108,108 2,983,348
SEQUOIA CAPITAL V 50,784 394,084
SEQUOIA CAPITAL VI 61,680 991,129
SEQUOIA CAPITAL VII 90,815 8,445,523
Private Equity
December 31, 2002
SEQUOIA CAPITAL VIII 115,372 5,273,769
SEQUOIA CAPITAL X 151,200 9,550,699
SKM EQUITY FUND II 373,218 30,819,207
TECHNOLOGY VENTURE III 71,920 89,828
TECHNOLOGY VENTURE IV 100,080 1,357,185
VENTURE STRATEGY PARTNERS II 70,875 5,514,217
VERSANT VENTURES I 112,000 10,811,920
VERSANT VENTURES II 27,000 2,304,720
WARBURG PINCUS PRIVATE EQTY VIII 141,751 11,444,414
WCAS CAPITAL PARTNERS II 155,400 5,321,984
WCAS CAPITAL PARTNERS III 1,120,000 121,792,160
WCAS VI 364,600 13,768,390
WCAS VII 698,947 41,058,244
Total Private Equity 563,905,709

Total Equity
December 31, 2002
Total Equities 20,630,224,074
Cash and equivalents 94,446,000

Total University of California Retirement Plan Equity Portfolio 20,724,670,074

UNIVERSITY OF CALIFORNIA RETIREMENT PLAN
December 31, 2003
ALCAN INC NC 6,000,000 5.200 1/15/2014 6,064,860
ALCAN INC NC 11,500,000 6.125 12/15/2033 11,563,940
ALCOA INC NC 5,000,000 5.375 1/15/2013 5,186,400
ALLSTATE CORP NC 24,000,000 7.200 12/1/2009 27,669,840
AMERICAN ELECTRIC POWER NC 7,000,000 5.250 6/1/2015 6,789,650
AMERICAN INTERNATIONAL GROUP NC 42,000,000 4.250 5/15/2013 39,727,379
ARCEL FINANCE LIMITED NC 7,000,000 7.048 9/1/2011 7,210,000
AT&T WIRELESS NC 11,500,000 8.125 5/1/2012 13,417,395
BP CAP MKTS AMER NC 15,000,000 4.200 6/15/2018 13,599,578
BRITISH SKY BROADCASTING NC 2,000,000 8.200 7/15/2009 2,381,280
BRITISH SKY BROADCASTING GRO NC 5,000,000 6.875 2/23/2009 5,628,550
CEMEX S A PT09 50,000,000 9.625 10/1/2009 60,500,000
CENTEX NC 14,000,000 5.125 10/1/2013 13,783,560
CENTEX NC 3,500,000 5.800 9/15/2009 3,754,415
CIA BRASIL DE BEBIDAS NC 24,200,000 8.750 9/15/2013 25,652,000
CINCINNATI GAS & ELEC NC 14,000,000 5.375 6/15/2033 12,473,020
CITIGROUP NC 40,000,000 6.000 10/31/2033 40,029,999
CITIGROUP INC NC 6,000,000 3.500 2/1/2008 6,018,120
CITIGROUP INC NC 35,000,000 6.000 2/21/2012 38,190,250
CITIGROUP INC NC 8,500,000 6.625 6/15/2032 9,227,770
CODELCO INC NC 12,000,000 5.500 10/15/2013 12,177,480
CODELCO INC NC 15,000,000 6.375 11/30/2012 16,231,826
COMCAST CORP NC 22,500,000 5.300 1/15/2014 22,396,275
COMCAST CORP NC 10,000,000 5.850 1/15/2010 10,687,300
COMCAST CORP NC 19,200,000 6.500 1/15/2015 20,871,168
COMCAST CORP NC 20,000,000 7.050 3/15/2033 21,695,000
COMCAST CORP NC 4,500,000 7.050 3/15/2033 4,881,375
CONS EDISON CO OF NY NC 5,000,000 5.875 4/1/2033 5,034,639
COSOLIDATED NATURAL GAS NC 12,000,000 5.000 3/1/2014 11,953,440

December 31, 2003

CRH AMERICA NC 10,000,000 5.300 10/15/2013 10,090,300
CRH AMERICA NC 18,000,000 6.400 10/15/2033 18,498,599
DOMINION RESOURCES NC 15,500,000 5.000 3/15/2013 15,465,435
EATON CORP NC 8,750,000 8.100 8/15/2022 10,507,955
ENBRIDGE ENERGY PARTNERS L P NC 8,500,000 4.750 6/1/2013 8,181,505
ENCANA CORP NC 10,000,000 4.750 10/15/2013 9,838,200
ENERSIS NC 23,500,000 7.375 1/15/2014 24,274,539
ENTERPRISE PRODUCTS NC 8,300,000 6.875 3/1/2033 8,248,457
FGCI POOL #B10827 49,812,907 4.500 11/1/2018 49,922,939
FGCI POOL #E01084 10,523,740 5.500 1/1/2017 10,918,670
FGCI POOL #E01098 20,915,531 6.000 2/1/2017 21,934,579
FGCI POOL #E01251 16,123,682 5.500 11/1/2017 16,731,662
FGCI POOL #E01311 13,643,712 5.500 2/1/2018 14,164,476
FGCI POOL #E01388 11,471,887 4.000 5/1/2018 11,223,523
FGCI POOL #E01537 25,000,000 4.500 12/1/2018 25,055,223
FGCI POOL #E96582 10,526,765 4.500 6/1/2018 10,550,018
FGLMC POOL # C79601 9,662,092 5.000 5/1/2033 9,561,018
FGLMC POOL #A12330 24,831,074 5.000 8/1/2033 24,555,946
FGLMC POOL #A12886 43,537,439 5.000 8/1/2033 43,082,001
FGLMC POOL #A13124 19,911,876 5.000 8/1/2033 19,703,581
FGLMC POOL #A14235 35,626,380 5.000 10/1/2033 35,231,639
FGLMC POOL #A14282 12,354,400 5.000 10/1/2033 12,225,162
FGLMC POOL #A15676 33,615,021 6.500 11/1/2033 35,225,784
FGLMC POOL #A15677 59,951,532 6.500 11/1/2033 62,824,287
FGLMC POOL #A17021 39,000,000 5.500 1/1/2034 39,533,204
FGLMC POOL #C01404 32,621,342 6.500 10/1/2032 34,150,698
FGLMC POOL #C01673 49,853,317 5.000 11/1/2033 49,300,942
FGLMC POOL #C76289 13,106,799 6.000 1/1/2033 13,568,236
FGLMC POOL #C76361 12,393,922 6.000 2/1/2033 12,830,261
FGLMC POOL #C77031 35,204,181 6.000 3/1/2033 36,443,576
FGLMC POOL #C79009 5,733,242 5.500 5/1/2033 5,817,485
FGLMC POOL 78907 7,761,100 5.000 5/1/2033 7,679,912
FHLG POOL #C62885 12,485,500 6.500 1/1/2032 13,070,846
FHLMC GOLD TBA 15YR 25,000,000 4.500 1/1/2034 25,003,905
FHR 2484 VA 8,938,162 6.000 9/15/2012 9,372,473
FHR 2494 CD 13,750,000 5.500 8/15/2014 14,246,257
FHR 2567 MC 11,328,148 4.000 12/15/2032 11,499,970
FHR 2601 TA 15,737,789 4.000 10/15/2022 15,586,227
FHR 2673 MA 21,407,027 5.500 10/15/2033 22,426,378
FHR 2694 NS 21,597,010 5.500 3/15/2019 22,646,065
FIFTH THIRD BANK NC 25,000,000 3.375 8/15/2008 24,794,251

December 31, 2003

FLORIDA POWER NC 10,000,000 5.100 12/1/2015 9,937,900
FNARM POOL #758810 8,000,000 4.929 11/1/2033 8,123,672
FNCI POOL #254308 2,575,074 6.500 5/1/2017 2,728,258
FNCI POOL #254373 7,636,948 6.500 7/1/2017 8,091,248
FNCI POOL #254719 35,349,204 4.500 4/1/2018 35,460,120
FNCI POOL #254804 13,991,936 5.500 7/1/2018 14,524,827
FNCI POOL #545125 12,133,029 6.000 8/1/2016 12,729,835
FNCI POOL #545296 13,177,789 6.000 11/1/2016 13,825,984
FNCI POOL #555813 24,600,169 4.000 10/1/2018 24,013,696
FNCI POOL #581853 25,500,029 6.000 7/1/2016 26,754,336
FNCI POOL #598444 2,341,502 6.500 6/1/2017 2,480,792
FNCI POOL #639018 3,108,267 6.500 4/1/2017 3,293,169
FNCI POOL #645562 5,481,601 6.500 6/1/2032 5,733,232
FNCI POOL #650503 8,809,986 6.500 6/1/2017 9,334,067
FNCI POOL #651388 3,731,973 6.500 8/1/2017 3,953,977
FNCI POOL #652610 21,811,973 5.000 4/1/2018 22,296,197
FNCI POOL #681357 21,919,427 5.000 3/1/2018 22,406,036
FNCI POOL #681405 20,070,794 5.000 3/1/2018 20,516,364
FNCI POOL #687579 1,876,790 6.500 4/1/2033 1,964,714
FNCI POOL #689076 3,829,777 5.000 6/1/2018 3,914,798
FNCI POOL #689080 21,865,374 5.000 6/1/2018 22,350,784
FNCI POOL #689584 7,732,074 5.500 2/1/2018 8,026,555
FNCI POOL #689613 5,689,268 4.500 5/1/2018 5,707,120
FNCI POOL #689619 2,766,355 4.500 6/1/2018 2,775,035
FNCI POOL #689620 7,498,436 5.000 6/1/2018 7,664,901
FNCI POOL #689621 9,653,019 4.500 6/1/2018 9,683,307
FNCI POOL #694431 33,199,690 5.000 3/1/2018 33,936,720
FNCI POOL #695916 32,400,552 5.000 5/1/2018 33,119,842
FNCI POOL #702895 56,368,262 5.000 4/1/2018 57,619,633
FNCI POOL #704939 5,535,175 5.500 4/1/2018 5,745,986
FNCI POOL #709844 14,366,547 5.000 5/1/2018 14,685,483
FNCI POOL #730016 19,461,809 4.000 4/1/2018 18,997,836
FNCI POOL #737040 3,966,209 4.500 10/1/2018 3,978,654
FNCI POOL #737043 4,114,230 4.500 10/1/2018 4,127,140
FNCI POOL #738691 3,327,178 6.000 10/1/2033 3,443,945
FNCI POOL #747799 32,429,412 5.500 12/1/2018 33,664,507
FNCI POOL #748727 7,897,174 5.500 10/1/2018 8,197,943
FNCI POOL #755497 9,952,968 5.500 11/1/2018 10,332,033
FNCL POO1 #748794 14,987,370 6.500 11/1/2033 15,689,499
FNCL POOL #545759 28,437,780 6.500 7/1/2032 29,735,112
FNCL POOL #555329 36,177,414 5.000 4/1/2033 35,866,400
FNCL POOL #555590 18,924,150 5.500 3/1/2033 19,210,847
FNCL POOL #656563 27,234,898 5.500 3/1/2033 27,647,500

December 31, 2003

FNCL POOL #662707 4,975,636 6.500 10/1/2032 5,204,041
FNCL POOL #662950 10,489,726 6.500 2/1/2033 10,971,253
FNCL POOL #669991 1,702,701 5.500 2/1/2033 1,728,497
FNCL POOL #676904 3,293,861 6.000 1/1/2033 3,407,886
FNCL POOL #676919 3,022,465 6.000 1/1/2033 3,127,095
FNCL POOL #676956 18,335,930 5.000 1/1/2033 18,179,060
FNCL POOL #677508 4,865,663 6.000 1/1/2033 5,036,423
FNCL POOL #677685 13,157,040 5.000 2/1/2033 13,043,930
FNCL POOL #682059 8,967,510 5.500 4/1/2033 9,103,365
FNCL POOL #683160 4,567,160 6.000 2/1/2033 4,727,444
FNCL POOL #684687 41,501,931 6.000 2/1/2033 42,958,438
FNCL POOL #684745 32,567,367 6.500 4/1/2033 34,093,086
FNCL POOL #688178 15,162,196 5.500 3/1/2033 15,391,900
FNCL POOL #689062 10,376,642 5.500 6/1/2033 10,533,846
FNCL POOL #689100 52,089,390 5.500 2/1/2033 52,878,531
FNCL POOL #689103 30,099,321 5.500 2/1/2033 30,555,318
FNCL POOL #689108 35,806,848 5.500 2/1/2033 36,349,313
FNCL POOL #694517 37,791,051 5.500 4/1/2033 38,363,576
FNCL POOL #694517 3,197,670 5.500 10/1/2033 3,246,114
FNCL POOL #694758 14,348,277 5.500 4/1/2033 14,565,650
FNCL POOL #695526 49,076,784 6.000 4/1/2033 50,799,130
FNCL POOL #695539 15,050,454 5.500 4/1/2033 15,278,465
FNCL POOL #702449 18,487,911 6.000 6/1/2033 19,136,743
FNCL POOL #703337 11,716,419 5.500 4/1/2033 11,893,920
FNCL POOL #704520 22,213,246 5.500 6/1/2033 22,549,771
FNCL POOL #705209 18,769,467 5.500 5/1/2033 19,053,820
FNCL POOL #707281 26,415,183 6.000 5/1/2033 27,342,222
FNCL POOL #709519 31,159,931 5.500 6/1/2033 31,631,996
FNCL POOL #710141 10,422,079 5.500 5/1/2033 10,579,971
FNCL POOL #711213 8,552,652 5.500 6/1/2033 8,682,223
FNCL POOL #720111 39,593,548 4.500 7/1/2033 37,944,461
FNCL POOL #721211 17,655,479 5.000 6/1/2033 17,503,697
FNCL POOL #726054 18,544,193 5.500 6/1/2033 18,825,133
FNCL POOL #733578 19,894,884 5.000 8/1/2033 19,723,849
FNCL POOL #743832 19,895,651 5.500 11/1/2033 20,197,065
FNCL POOL #744234 27,573,217 5.500 10/1/2033 27,990,944
FNCL POOL #747817 39,760,702 4.500 11/1/2018 39,885,460
FNCL POOL #748737 31,885,874 6.000 10/1/2033 33,004,907
FNCL POOL #748767 22,065,253 6.500 11/1/2033 23,098,968
FNCL POOL #748768 6,785,466 7.000 11/1/2033 7,183,883
FNCL POOL #748793 47,080,443 6.000 11/1/2033 48,732,728
FNCL POOL #748795 8,090,778 7.000 11/1/2033 8,565,838
FNCL POOL #749770 15,141,469 6.000 11/1/2033 15,672,858
FNCL POOL #752574 19,815,180 5.500 11/1/2033 20,115,375

December 31, 2003

FNCL POOL #753412 15,565,124 5.500 11/1/2033 15,800,932
FNCL POOL #753466 9,329,827 5.500 11/1/2033 9,471,171
FNCL POOL 696940 14,438,549 5.500 4/1/2033 14,657,290
FNMA PL #516493 1,112,816 6.000 6/1/2029 1,151,732
FNMA POOL #254146 19,461,257 6.000 1/1/2032 20,129,982
FNMA POOL #254147 2,302,978 6.500 1/1/2032 2,408,022
FNMA POOL #545506 12,397,301 7.000 2/1/2032 13,110,975
FNMA POOL #545872 39,061,349 6.500 7/1/2032 40,854,445
FNMA POOL #555139 31,018,426 6.500 10/1/2032 32,442,316
FNMA POOL #555273 2,298,069 6.500 12/1/2032 2,402,889
FNMA POOL #581706 7,190,153 6.500 7/1/2031 7,518,113
FNMA POOL #597545 4,125,946 6.500 9/1/2031 4,314,141
FNMA POOL #597699 13,045,577 6.500 9/1/2031 13,640,617
FNMA POOL #610324 30,189,303 6.500 10/1/2031 31,566,311
FNMA POOL #614359 10,991,995 6.500 12/1/2031 11,493,366
FNMA POOL #633857 6,526,518 7.000 3/1/2032 6,902,230
FNMA POOL #635030 19,180,993 6.500 5/1/2032 20,061,489
FNMA POOL #640008 10,219,531 7.000 4/1/2032 10,807,837
FNMA POOL #672415 8,383,553 6.500 9/1/2032 8,768,396
FNMA POOL #673596 17,860,697 6.000 1/1/2033 18,478,988
FNMA POOL #676633 64,038,350 6.000 12/1/2032 66,255,191
FNMA POOL #676739 13,194,972 6.000 1/1/2033 13,651,747
FNMA POOL #676740 16,326,829 6.000 1/1/2033 16,892,022
FNMA POOL #676868 8,906,170 6.000 1/1/2033 9,214,478
FNMA POOL #753077 4,904,046 6.500 12/1/2033 5,133,791
FNMA TBA 25,000,000 4.000 1/1/2034 24,355,470
FNMA-BENCHMARK C 7/06 47,000,000 4.375 7/17/2013 44,943,750
FNMA-BENCHMARK C 2/06 44,400,000 4.750 2/21/2013 43,689,157
FNMA-BENCHMARK NC 68,000,000 5.000 1/15/2007 72,584,558
FNMA-POOL #627118 32,337,566 7.000 3/1/2032 34,199,138
FNR 02-18 VA 13,212,398 6.500 2/25/2013 13,607,097
FNR 02-29 VA 13,298,598 6.500 2/15/2013 13,690,096
FNR 02-33 VA 8,762,016 6.500 6/25/2013 9,126,921
FNR 03-18 PA 12,379,377 4.000 7/25/2032 12,270,983
FNR 03-19 ME 9,426,844 4.000 3/25/2031 9,557,593
FNR 03-42 CA 5,284,484 4.000 5/25/2033 5,239,480
FNR 03-58 MC 12,106,568 3.750 7/25/2033 10,711,281
FNR 03-63 GU 15,000,000 4.000 7/25/2033 15,117,663
FNR 03-63 TJ 56,269,671 3.000 8/25/2032 53,487,693
FNR 2003-20 4,967,944 4.500 3/25/2031 5,052,590
FORD MOTOR CREDIT NC 28,400,000 6.625 10/1/2028 25,932,607

December 31, 2003

FREDDIE MAC NC 41,000,000 4.000 6/12/2013 38,290,719
FREDDIE MAC NC 88,750,000 4.875 11/15/2013 89,642,822
FREDDIE MAC NC 85,550,000 5.875 3/21/2011 92,618,997
GENERAL ELECTRIC COMPANY NC 106,000,000 5.000 2/1/2013 107,076,959
GEORGIA POWER NC 15,000,000 5.125 11/15/2012 15,228,900
GEORGIA POWER NC 5,000,000 5.750 4/15/2023 4,956,802
GMAC NC 23,500,000 8.000 11/1/2031 26,283,575
GMC NC 8,000,000 8.250 7/15/2023 9,033,440
GMC NC 23,000,000 8.375 7/15/2033 26,686,440
GNMA-I POOL #603419 15,334,879 5.500 2/15/2033 15,638,304
GNMA-I POOL #781130 14,072,819 7.000 1/15/2030 14,995,433
GNMA-II POOL #2824 3,009,272 7.000 10/20/2029 3,200,193
GNMA-II POOL #2999 7,428,188 7.500 11/20/2030 7,931,359
GNMA-II POOL #3011 4,007,723 7.500 12/20/2030 4,279,198
GNMA-II POOL #3334 28,797,222 6.000 1/20/2033 29,960,286
GNR 02-45 VA 16,673,457 6.000 4/20/2013 17,506,421
GNR 02-46 PD 27,040,000 6.000 7/20/2007 27,810,251
GNSF POOL #598267 3,813,286 6.000 6/15/2033 3,972,581
GNSF POOL #612376 39,954,640 5.500 11/15/2033 40,745,207
GNSF POOL #781324 12,065,211 7.000 7/15/2031 12,838,066
GOLDMAN SACHS NC 30,500,000 4.750 7/15/2013 29,658,199
GOLDMAN SACHS NC 25,000,000 6.125 2/15/2033 25,205,999
GRUMA SA DE CV NC 13,055,000 7.625 10/15/2007 14,034,125
HAROT 2002-3 A3 2,000,000 3.000 5/18/2006 2,020,312
HERTZ CORP NC 16,500,000 4.700 10/2/2006 16,711,200
HILTON HOTELS NC 3,000,000 7.625 12/1/2012 3,360,000
IBM NC 17,000,000 6.500 1/15/2028 18,546,320
IBM CORP NC 20,000,000 4.750 11/29/2012 20,028,400
IBM CORP NC 17,000,000 5.875 11/29/2032 17,096,050
ILLINOIS STATE TAXABLE PENSION SNK 41,635,000 5.100 6/1/2033 38,282,133
JOHNSON & JOHNSON NC 18,000,000 4.950 5/15/2033 16,361,099
L-3 COMMUNICATIONS CORP NC 11,000,000 6.125 1/15/2014 11,000,000
LOBLAW NC 22,000,000 6.450 2/9/2028 17,631,663
LOBLAW NC 25,000,000 6.650 11/8/2027 20,512,632
LOBLAW CO. LTD NC 28,000,000 6.500 1/22/2029 22,588,927

December 31, 2003

LORAL NC 26,300,000 7.000 9/15/2023 28,912,379
M & I CAPITAL SEC. NC06 12,200,000 7.650 12/1/2026 13,433,664
MASCO NC 13,000,000 7.125 8/15/2013 14,968,850
MELLON A CAPITAL SEC. C 16,500,000 7.720 12/1/2026 18,301,800
MERCK NC 5,000,000 5.950 12/1/2028 5,196,250
MERCK NC 11,000,000 6.400 3/1/2028 12,073,050
MORGAN STANLEY NC 38,000,000 5.300 3/1/2013 38,799,518
NAROT 2002-C A4 12,000,000 3.330 1/15/2008 12,260,400
NISOURCE FINANCE NC 16,500,000 5.400 7/15/2014 16,711,695
NORWEST NC 30,000,000 6.750 12/15/2027 32,741,400
OHIO POWER COMPANY NC 4,445,000 6.600 2/15/2033 4,781,353
PCCW-HKTC CAP NC 19,000,000 6.000 7/15/2013 19,495,581
PEMEX PRJT FDG MASTER TR 144A NC 13,000,000 8.625 2/1/2022 14,332,500
PEMEX PROJECT NC 4,000,000 6.125 8/15/2008 4,200,000
PEMEX PROJECT NC 13,000,000 7.375 12/15/2014 13,812,500
PEMEX PROJECT NC 17,000,000 8.000 11/15/2011 18,997,500
PFIZER INC NC 5,000,000 4.650 3/1/2018 4,770,150
PROGRESS ENERGY NC 9,000,000 7.000 10/30/2031 9,605,970
PSI ENERGY INC NC 13,000,000 5.000 9/15/2013 12,842,440
REPUBLIC OF BRAZIL NC 19,000,000 9.250 10/22/2010 20,425,000
RFCO STRIPS NC 100,000,000 0.000 1/15/2013 65,878,700
ROYAL BK SCOTLAND NC 24,500,000 4.700 7/3/2018 22,652,700
RYLAND GROUP NC 8,000,000 5.375 6/1/2008 8,120,000
SEARIVER MARITIME INC. NC 103,815,000 0.000 9/1/2012 69,625,053
SOUTHERN POWER NC 20,000,000 4.875 7/15/2015 19,058,600
SPRINT NC 33,000,000 6.875 11/15/2028 31,933,769
SPRINT CAP CORP NC 3,500,000 6.375 5/1/2009 3,740,975
STATE STREET BANK NC 11,000,000 5.250 10/15/2018 11,021,450
STATE STREET REPO 1,113,500 0.700 1/2/2004 1,113,500
SUNCOR ENERGY NC 3,000,000 5.950 12/1/2034 2,985,570
SUNCOR ENERGY NC 18,000,000 5.950 12/1/2034 17,913,420
TELECOM ITALIA CAPITAL NC 37,000,000 6.375 11/15/2033 37,147,631

December 31, 2003

US BANK NA NC 19,000,000 4.800 4/15/2015 18,499,160
US BANK NA NC 8,000,000 6.375 8/1/2011 8,904,320
US TREASURY NOTES NC 206,000,000 1.625 9/30/2005 205,948,496
US TREASURY STRIPS NC 50,000,000 0.000 2/15/2013 33,425,499
US TREASURY(INTPT)STRIPS NC 75,000,000 0.000 5/15/2013 49,358,248
VALE OVERSEAS LIMITED NC 24,000,000 9.000 8/15/2013 26,160,000
VERIZON GLOBAL NC 25,500,000 7.750 12/1/2030 29,874,525
VERIZON MARYLAND IN NC 17,500,000 5.125 6/15/2033 15,022,525
VERIZON NY INC. NC 25,000,000 4.750 10/1/2013 24,185,000
VERIZON NY INC. NC 26,870,000 7.375 4/1/2032 29,539,534
VIRGINIA EL&PWR NC 26,500,000 4.750 3/1/2013 26,189,421
WELLS FARGO & CO NC 12,500,000 4.950 10/16/2013 12,442,000
WESTERN ATLAS NC 16,000,000 8.550 6/15/2024 20,954,586
WYETH NC 24,900,000 5.500 3/15/2013 25,821,299
WYETH NC 10,000,000 6.450 2/1/2024 10,255,200
Total Bond Portfolio 9,828,330,754

TIPS Portfolio
December 31, 2003
Total TIPS Portfolio 1,880,441,699

December 31, 2003

Cash and Equivalents 230,452,000
TOTAL UCRP FIXED INCOME PORTFOLIO 11,939,224,453

Public Equities
December 31, 2003
PRIVATE EQUITY DISTRIBUTIONS 1,075,970 8,982,741
EAFE INDEX FUND 32,182,106 2,834,350,824
GMO EMERGING MARKETS FUND 652,378 9,629,093
Total Public Equities 26,246,184,351

Private Equity
December 31, 2003
ACCEL VIII 81,819 4,251,161
ALTA S D III 74,000 2,235,540
ARSENAL CAPITAL PARTNERS QPF 63,233 4,227,963
BLACKSTONE CAPITAL PARTNERS IV 76,928 7,683,174
CHINA VEST IV 146,000 2,523,902
DE NOVO VENTURES II LP 17,254 1,725,425
DELPHI MANAGEMENT PARTNERS, L.P. 6 6
DOMAIN PARTNERS VI, L.P. 5,176 517,628
FREMONT PARTNERS III LP 60,555 6,055,463
GLOBESTPAN CAPITAL PARTNERS IV 10,228 1,022,832
GOLDER THOMA CRESSEY IV 179,848 213,300
INTERSOUTH PARTNERS VI, L.P. 13,043 929,943
KPCB II 65,150 625,375
KPCB IX-A 122,500 4,951,695
KPCB VI 117,350 532,417
KPCB VII 105,000 3,776,115
KPCB VIII 140,000 8,612,800
KPCB X-A 95,625 5,368,770
LIGHTHOUSE CAPITAL PARTNERS V LP 14,800 1,480,000
LINDSAY GOLDBERG & BESSEMER L.P. 17,817 1,514,506
MADISON DEARBORN CAPITAL IV, LP 81,290 3,354,125
MAYFIELD VII 110,450 87,476
MPAE V 81,033 141,727
OLYMPUS GROWTH FUND IV, L.P. 9,284 1,017,093
POLARIS VENTURE PARTNERS IV 18,500 1,465,293
Private Equity
December 31, 2003

TECHNOLOGY VENTURE IV 100,080 880,304
WCAS VI 364,600 11,589,905
WCAS VII 698,947 29,628,363
WELSH CARSON CP III 1,260,000 113,150,520
% of Portfolio 2.0%

Total Equity
December 31, 2003

% of Portfolio 0.1%
TOTAL UCRP EQUITY PORTFOLIO 26,800,638,965

BOND PORTFOLIO
December 31, 2004
ALCAN INC NC 6,000,000 5.200 1/15/2014 6,157,274
ALCAN INC NC 8,000,000 6.125 12/15/2033 8,508,343
ALLSTATE CORP NC 10,800,000 5.000 8/15/2014 10,850,001
ALLSTATE CORP NC 10,500,000 7.200 12/1/2009 11,897,015
AMERICA MOVIL NC 23,900,000 5.500 3/1/2014 23,765,442
AMERICA MOVIL SA NC 18,700,000 5.750 1/15/2015 18,739,083
AMERICAN ELEC PWR INC NC 4,500,000 5.375 3/15/2010 4,692,085
AMERICAN GENERAL FINANCE NC 13,500,000 4.000 3/15/2011 13,066,729
AT&T WIRELESS NC 14,000,000 8.125 5/1/2012 16,916,739
BAFC 2004-1 40,623,738 6.000 2/25/2034 41,623,537
BECTON DICKINSON & CO NC 3,500,000 4.550 4/15/2013 3,464,397
BOAA 2004 14,127,080 6.000 2/25/2034 14,487,167
BOAA 2004-2 3A1 18,191,872 6.000 3/25/2034 18,656,367
BOAMS 2004-1 2A1 19,564,761 5.500 2/25/2034 19,659,073
BOAMS 2004-7 4A1 12,706,060 5.000 8/25/2019 12,807,769
BRITISH SKY BROADCASTING GRP NC 5,000,000 6.875 2/23/2009 5,484,181
CENTEX NC 2,500,000 5.800 9/15/2009 2,646,447
CINCINNATI GAS & ELEC CO NC 12,400,000 5.400 6/15/2033 11,842,496
CITIGROUP NC 45,000,000 6.000 10/31/2033 46,472,381
CITIGROUP INC NC 20,000,000 5.125 5/5/2014 20,486,218
CITIGROUP INC NC 6,500,000 5.000 9/15/2014 6,525,213
CITIGROUP INC NC 8,500,000 5.850 12/11/2034 8,762,228
Source: University of California, Office of the Treasurer of The Regents

BOND PORTFOLIO
December 31, 2004
CITIGROUP INC NC 15,000,000 6.000 2/21/2012 16,419,008
CLEAR CHANNEL COMMUNICATION NC 7,000,000 5.500 9/15/2014 7,016,004
CMSI 2004-5 23A5 19,434,195 4.500 8/25/2034 19,197,341
CODELCO INC NC 13,500,000 4.750 10/15/2014 13,243,420
CODELCO INC NC 15,000,000 6.375 11/30/2012 16,540,523
COMCAST CABLE COMMUNICATIONS NC 18,200,000 8.875 5/1/2017 23,802,203
COMCAST CORP NC 6,750,000 5.500 3/15/2011 7,123,329
COMCAST CORP NC 6,800,000 5.850 1/15/2010 7,251,932
COMCAST CORP NC 29,200,000 6.500 1/15/2015 32,408,554
COMCAST CORP NC 19,500,000 7.050 3/15/2033 22,280,010
COUNTRYWIDE FINANCIAL NC 7,800,000 4.000 3/22/2011 7,561,300
COX COMMUNICATIONS INC NEW NC 14,400,000 5.500 10/1/2015 14,319,953
COX COMMUNICATIONS INC. NC 9,800,000 4.625 1/15/2010 9,798,300
CRH AMERICA NC 10,700,000 5.300 10/15/2013 10,949,479
CRH AMERICA NC 25,000,000 6.400 10/15/2033 27,065,491
CWHL 2003-50 A1 16,128,941 5.000 11/25/2018 16,274,714
D.R. HORTON INC. NC 17,500,000 5.625 1/15/2016 17,215,625
DAIMLERCHRYS NA NC 8,650,000 8.500 1/18/2031 10,737,508
DANA CORPORATION NC 7,400,000 5.850 1/15/2015 7,326,000
DELHAIZE AMER INC NC 12,850,000 9.000 4/15/2031 16,625,330
DEV BANK SINGAPORE NC 22,500,000 5.000 11/15/2019 22,331,025
DEVELOPERS DIVERS REALTY NC 12,550,000 5.250 4/15/2011 12,771,916
DIAGEO FINANCE NC 32,000,000 3.875 4/1/2011 31,226,731
DIAMLERCHRYSLER NA HLDG NC 4,500,000 6.500 11/15/2013 4,865,296
DR HORTON INC NC 2,900,000 5.000 1/15/2009 2,921,750
DR HORTON INC. NC 8,600,000 5.625 9/15/2014 8,578,500
EATON CORP NC 8,750,000 8.100 8/15/2022 11,301,246
EMPRESA NACIONAL DE ELCTRCID NC 4,500,000 8.500 4/1/2009 5,118,721
ENCANA CORP NC 19,000,000 6.500 8/15/2034 20,883,412
ENERSIS SA NC 27,000,000 7.375 1/15/2014 29,426,490
ENTERPRISE PRODUCTS OPER NC 4,000,000 4.625 10/15/2009 3,983,020
EOP OPERATING LP NC 17,500,000 4.650 10/1/2010 17,569,402
ERAC USA FINANCE NC 28,000,000 6.700 6/1/2034 30,140,507
FANNIE MAE NC 308,000,000 3.875 11/17/2008 306,520,522
FANNIE MAE NC 148,960,000 4.000 12/15/2008 148,775,170
FANNIE MAE NC 185,300,000 5.125 1/2/2014 189,274,907
FANNIE MAE NC 34,700,000 5.250 8/1/2012 36,036,450
FEDERAL HOME LOAN BANK NC 55,500,000 5.375 2/15/2007 57,726,765

BOND PORTFOLIO
December 31, 2004
FEDERAL NATL MTG ASSN NC 200,000,000 3.750 9/15/2008 198,908,400
FGCI PL B14157 11,945,977 4.000 5/1/2019 11,686,690
FGCI POOL #B10827 43,210,195 4.500 11/1/2018 43,208,069
FGCI POOL #B11815 22,514,111 4.500 1/1/2019 22,513,003
FGCI POOL #B13457 20,201,050 4.500 1/1/2019 20,156,416
FGCI POOL #E01084 8,284,300 5.500 1/1/2017 8,561,789
FGCI POOL #E01098 13,818,746 6.000 2/1/2017 14,488,061
FGCI POOL #E01251 12,581,047 5.500 11/1/2017 12,999,949
FGCI POOL #E01311 10,601,546 5.500 2/1/2018 10,955,716
FGCI POOL #E01537 2,421,776 4.500 12/1/2018 2,421,657
FGLMC POOL # C79601 8,481,200 5.000 5/1/2033 8,453,738
FGLMC POOL #A12330 21,669,641 5.000 8/1/2033 21,599,474
FGLMC POOL #A12886 39,863,669 5.000 8/1/2033 39,734,590
FGLMC POOL #A14235 32,249,782 5.000 10/1/2033 32,145,356
FGLMC POOL #A14282 11,363,855 5.000 10/1/2033 11,327,058
FGLMC POOL #C01404 20,427,173 6.500 10/1/2032 21,411,579
FGLMC POOL #C76289 9,777,951 6.000 1/1/2033 10,099,828
FGLMC POOL #C77031 24,243,882 6.000 3/1/2033 25,041,957
FGLMC POOL #G01674 17,851,934 5.500 4/1/2034 18,157,727
FGLMC POOL 78907 7,097,867 5.000 5/1/2033 7,074,884
FGLMC POOL C01676 56,552,719 6.000 11/1/2033 58,414,356
FGTW POOL C90847 19,071,705 6.000 8/1/2024 19,806,680
FGTW POOL C90865 16,285,370 6.000 11/1/2024 16,912,967
FHARM POOL #781285 17,842,082 4.780 2/1/2034 18,012,438
FHLG POOL #C62885 7,752,066 6.500 1/1/2032 8,125,646
FHR 2567 MC 6,148,550 4.000 12/15/2032 6,152,627
FHR 2601 TA 12,238,336 4.000 10/15/2022 12,099,134
FLORIDA POWER NC 18,000,000 5.100 12/1/2015 18,076,672
FNARM POOL #555893 20,969,003 3.917 10/1/2033 20,777,681
FNARM POOL #746038 9,000,095 4.725 1/1/2034 9,106,782
FNARM POOL #748088 4,252,254 4.095 9/1/2033 4,227,693
FNARM POOL #759753 7,582,954 5.036 1/1/2034 7,722,223
FNARM POOL #767500 5,272,618 4.485 3/1/2034 5,294,088
FNARM POOL #770305 5,087,492 4.422 4/1/2034 5,092,977
FNARM POOL #770306 8,285,016 4.432 3/1/2034 8,295,596
FNCI POOL #254308 1,651,357 6.500 5/1/2017 1,749,255
FNCI POOL #254373 1,174,516 6.500 7/1/2017 1,244,145
FNCI POOL #254719 29,715,764 4.500 4/1/2018 29,716,264
FNCI POOL #254804 9,673,455 5.500 7/1/2018 10,003,442

BOND PORTFOLIO
December 31, 2004
FNCI POOL #545125 4,015,121 6.000 8/1/2016 4,207,201
FNCI POOL #545296 8,149,202 6.000 11/1/2016 8,539,051
FNCI POOL #555813 22,303,514 4.000 10/1/2018 21,795,688
FNCI POOL #639018 3,195,188 6.500 4/1/2017 3,384,609
FNCI POOL #645562 3,621,542 6.500 6/1/2032 3,793,725
FNCI POOL #651388 2,228,505 6.500 8/1/2017 2,360,619
FNCI POOL #652610 18,380,368 5.000 4/1/2018 18,698,037
FNCI POOL #681357 18,561,118 5.000 3/1/2018 18,881,911
FNCI POOL #681405 16,922,773 5.000 3/1/2018 17,215,250
FNCI POOL #687579 1,215,804 6.500 4/1/2033 1,272,945
FNCI POOL #689076 3,219,298 5.000 6/1/2018 3,274,937
FNCI POOL #689080 18,769,903 5.000 6/1/2018 19,094,304
FNCI POOL #689584 5,776,522 5.500 2/1/2018 5,973,575
FNCI POOL #689613 5,077,188 4.500 5/1/2018 5,077,273
FNCI POOL #689619 2,455,353 4.500 6/1/2018 2,455,395
FNCI POOL #689620 6,368,791 5.000 6/1/2018 6,478,863
FNCI POOL #689621 8,432,890 4.500 6/1/2018 8,433,033
FNCI POOL #694431 27,255,943 5.000 3/1/2018 27,727,008
FNCI POOL #695916 26,222,876 5.000 5/1/2018 26,676,087
FNCI POOL #702895 46,095,154 5.000 4/1/2018 46,891,818
FNCI POOL #704939 4,597,163 5.500 4/1/2018 4,753,985
FNCI POOL #709844 11,385,195 5.000 5/1/2018 11,581,965
FNCI POOL #730016 16,940,832 4.000 4/1/2018 16,555,109
FNCI POOL #737040 3,529,869 4.500 10/1/2018 3,529,928
FNCI POOL #737043 3,704,550 4.500 10/1/2018 3,704,612
FNCI POOL #738691 2,658,279 6.000 10/1/2033 2,747,215
FNCI POOL #747799 28,540,673 5.500 12/1/2018 29,514,271
FNCI POOL #748727 5,675,529 5.500 10/1/2018 5,869,136
FNCI POOL #755497 8,516,814 5.500 11/1/2018 8,807,344
FNCL PL 255458 29,591,192 5.500 11/1/2034 30,060,823
FNCL PL 763681 8,615,014 5.500 1/1/2034 8,755,920
FNCL POO1 #748794 8,640,474 6.500 11/1/2033 9,046,561
FNCL POOL #545759 16,149,680 6.500 7/1/2032 16,917,501
FNCL POOL #555329 31,412,463 5.000 4/1/2033 31,271,745
FNCL POOL #662707 3,050,588 6.500 10/1/2032 3,195,626
FNCL POOL #662950 4,602,429 6.500 2/1/2033 4,821,247
FNCL POOL #669991 1,306,109 5.500 2/1/2033 1,327,472
FNCL POOL #676919 2,370,959 6.000 1/1/2033 2,450,442
FNCL POOL #676956 14,538,252 5.000 1/1/2033 14,495,585
FNCL POOL #677508 3,660,289 6.000 1/1/2033 3,782,749
FNCL POOL #677685 11,758,032 5.000 2/1/2033 11,705,360
FNCL POOL #682059 7,270,835 5.500 4/1/2033 7,389,755
FNCL POOL #683160 3,597,748 6.000 2/1/2033 3,718,115
FNCL POOL #684745 19,141,304 6.500 4/1/2033 20,040,911

BOND PORTFOLIO
December 31, 2004
FNCL POOL #689108 30,170,864 5.500 2/1/2033 30,664,334
FNCL POOL #694517 31,846,785 5.500 4/1/2033 32,367,665
FNCL POOL #702449 14,693,015 6.000 6/1/2033 15,184,587
FNCL POOL #705209 16,491,979 5.500 5/1/2033 16,761,719
FNCL POOL #709519 27,452,431 5.500 6/1/2033 27,901,438
FNCL POOL #710141 9,311,959 5.500 5/1/2033 9,464,263
FNCL POOL #721211 16,218,578 5.000 6/1/2033 16,145,924
FNCL POOL #726054 16,971,349 5.500 6/1/2033 17,248,929
FNCL POOL #747817 35,665,538 4.500 11/1/2018 35,666,139
FNCL POOL #748767 14,220,536 6.500 11/1/2033 14,888,876
FNCL POOL #748768 4,875,148 7.000 11/1/2033 5,151,498
FNCL POOL #748795 3,798,494 7.000 11/1/2033 4,013,813
FNCL POOL #749770 12,316,665 6.000 11/1/2033 12,728,734
FNCL POOL #753035 175,258 6.500 12/1/2033 183,494
FNCL POOL #753093 12,745,049 6.500 12/1/2033 13,344,044
FNCL POOL #753412 13,820,706 5.500 11/1/2033 14,046,755
FNCL POOL #753466 8,403,233 5.500 11/1/2033 8,540,674
FNCL POOL #753595 16,037,991 6.000 11/1/2033 16,574,561
FNCL POOL #757113 3,432,867 6.000 12/1/2033 3,547,718
FNCL POOL #766748 23,863,184 5.500 3/1/2034 24,241,908
FNCL POOL #790927 12,910,111 6.000 9/1/2034 13,346,936
FNCL POOL #793349 55,947,382 6.000 8/1/2034 57,840,410
FNCL POOL #794921 132,193,329 5.500 10/1/2034 134,291,321
FNCL POOL #794967 11,640,876 5.500 10/1/2034 11,825,624
FNCL POOL #794978 23,839,468 5.500 10/1/2034 24,217,816
FNCL POOL 793999 26,591,953 5.500 9/1/2034 27,013,985
FNCL POOL 794256 46,587,919 5.500 9/1/2034 47,327,299
FNCLTBA 578,803 6.500 5/1/2034 606,321
FNCT POOL #255417 23,045,868 6.000 9/1/2024 23,932,986
FNCT POOL #255511 10,558,730 6.000 11/1/2024 10,965,174
FNCT POOL #747580 6,828,327 6.000 11/1/2023 7,088,677
FNGT 2004-T1 18,573,474 6.500 1/25/2044 19,552,209
FNGT 2004-T3 26,861,482 7.000 2/25/2044 28,464,710
FNMA POOL #254147 1,340,757 6.500 1/1/2032 1,404,394
FNMA POOL #545506 5,774,637 7.000 2/1/2032 6,109,056
FNMA POOL #545872 29,274,445 6.500 7/1/2032 30,666,271
FNMA POOL #555139 18,748,282 6.500 10/1/2032 19,639,651
FNMA POOL #555273 1,309,627 6.500 12/1/2032 1,371,787
FNMA POOL #555969 22,766,572 4.000 12/1/2018 22,248,203
FNMA POOL #581706 3,992,563 6.500 7/1/2031 4,182,066
FNMA POOL #597545 2,442,548 6.500 9/1/2031 2,558,481
FNMA POOL #633857 4,531,052 7.000 3/1/2032 4,793,453
FNMA POOL #633865 1,323,776 7.000 3/1/2032 1,400,438
FNMA POOL #635030 9,454,299 6.500 5/1/2032 9,903,794

BOND PORTFOLIO
December 31, 2004
FNMA POOL #640008 4,808,742 7.000 4/1/2032 5,087,224
FNMA POOL #672415 6,400,339 6.500 9/1/2032 6,704,637
FNMA POOL #676868 7,227,402 6.000 1/1/2033 7,469,690
FNMA POOL #753077 4,243,354 6.500 12/1/2033 4,442,784
FNMA-POOL #627118 14,296,910 7.000 3/1/2032 15,124,868
FNR 03-18 PA 6,952,238 4.000 7/25/2032 6,796,111
FNR 03-19 ME 5,023,331 4.000 3/25/2031 5,020,164
FNR 03-42 CA 2,993,068 4.000 5/25/2033 2,926,870
FNR 03-58 MC 7,757,610 3.750 7/25/2033 7,481,038
FNR 03-63 GU 13,976,508 4.000 7/25/2033 14,014,576
FNR 03-63 TJ 48,494,584 3.000 8/25/2032 45,770,599
FNR 2003-20 2,218,908 4.500 3/25/2031 2,230,033
FORD MOTOR CREDIT CO NC 11,000,000 5.700 1/15/2010 11,090,726
FREDDIE MAC NC 450,000,000 4.250 5/4/2009 450,961,110
FREDDIE MAC NC 303,000,000 5.000 1/30/2014 303,779,195
FREDDIE MAC NC 50,000,000 6.250 3/5/2012 52,235,015
GENERAL MOTORS NC 30,700,000 8.250 7/15/2023 31,943,555
GEORGIA POWER NC 15,000,000 5.125 11/15/2012 15,345,737
GEORGIA POWER NC 5,000,000 5.750 4/15/2023 5,061,566
GMAC NC 6,800,000 6.750 12/1/2014 6,771,002
GMAC NC 30,410,000 6.875 8/28/2012 30,742,361
GMAC NC 5,500,000 8.000 11/1/2031 5,606,255
GNMA-I POOL #603419 12,684,033 5.500 2/15/2033 12,966,665
GNMA-I POOL #781130 7,535,151 7.000 1/15/2030 7,998,728
GNMA-II POOL #2824 1,594,969 7.000 10/20/2029 1,690,521
GNMA-II POOL #2999 3,638,392 7.500 11/20/2030 3,891,662
GNMA-II POOL #3011 1,937,742 7.500 12/20/2030 2,072,629
GNSF POOL #598267 3,373,199 6.000 6/15/2033 3,495,574
GNSF POOL #612376 36,639,363 5.500 11/15/2033 37,455,779
GNSF POOL #621888 5,538,074 6.000 1/15/2034 5,738,989
GNSF POOL #627135 5,553,490 5.000 3/15/2034 5,563,989
GNSF POOL #781324 5,893,025 7.000 7/15/2031 6,253,133
GOLDMAN SACHS NC 30,500,000 4.750 7/15/2013 30,186,939
GOLDMAN SACHS NC 30,000,000 5.150 1/15/2014 30,414,347
GOLDMAN SACHS NC 7,000,000 6.125 2/15/2033 7,219,027

BOND PORTFOLIO
December 31, 2004
GSR 2004-2F 14A1 11,491,231 5.500 9/25/2019 11,778,062
HARRAHS OPERATING CO NC 15,750,000 5.500 7/1/2010 16,348,845
HERTZ CORP NC 16,500,000 4.700 10/2/2006 16,667,730
HILTON HOTELS NC 3,000,000 7.625 12/1/2012 3,505,573
HUTCH WHAM INTL LTD NC 9,450,000 6.250 1/24/2014 9,929,111
HUTCHISON WHAMP INTL LTD. NC 8,300,000 7.450 11/24/2033 9,157,031
IBM CORP NC 20,000,000 4.750 11/29/2012 20,398,039
IBM CORP NC 21,200,000 6.220 8/1/2027 23,201,979
ILLINOIS STATE TAXABLE PENSION SNK 24 16,635,000 5.100 6/1/2033 15,979,082
INTL BK R&D(INTPT)STRIPS NC 60,000,000 0.000 2/15/2016 33,564,708
INTL BK R&D(PRNPT)STRIPS NC 32,000,000 0.000 2/15/2015 19,297,885
JERSEY CENT PWR & LT CO NC 5,000,000 5.625 5/1/2016 5,215,469
L 3 COMMUNICATIONS CORP NC 8,700,000 6.125 1/15/2014 8,961,000
L-3 COMMS CORP NC 13,300,000 5.875 1/15/2015 13,266,750
LOBLAW NC 25,000,000 6.650 11/8/2027 22,692,420
LOBLAW CO. LTD NC 28,000,000 6.500 1/22/2029 24,960,984
LORAL NC 26,300,000 7.000 9/15/2023 30,030,718
LUBRIZOL CORP NC 14,250,000 4.625 10/1/2009 14,228,645
LUBRIZOL CORP NC 2,500,000 6.500 10/1/2034 2,522,663
M & I CAPITAL SEC. NC06 12,200,000 7.650 12/1/2026 13,122,710
MASCO NC 6,000,000 7.125 8/15/2013 6,935,107
MASTR 2003-10 1A1 56,979,893 5.500 11/25/2033 57,336,274
MASTR 2003-7 1A2 12,731,636 5.500 9/25/2033 12,810,339
MGM GRAND NC 11,000,000 6.000 10/1/2009 11,275,000
MGM MIRAGE NC 14,175,000 6.750 9/1/2012 14,919,188
MSM 2004-3 23,384,454 6.000 4/25/2034 23,985,542
MSSTR 2004-2 100,000,000 6.500 12/1/2034 103,171,875
NEW BRUNSWICK PROV CDA NC 5,000,000 3.500 10/23/2007 5,006,068
NEWS AMER INC NC 8,000,000 6.550 3/15/2033 8,519,947
NEWS AMER INC. NC 9,000,000 6.200 12/15/2034 9,165,780
NEWS AMERICA HOLDINGS NC 21,700,000 7.700 10/30/2025 25,803,605
NEXTEL COMMUNICATIONS 3/09@ 4,500,000 5.950 3/15/2014 4,657,500
OHIO POWER NC 9,745,000 6.600 2/15/2033 10,928,739
PACIFIC GAS & ELECTRIC NC 8,000,000 4.200 3/1/2011 7,905,770
PEARSON PLC (U.K.) RULE 144A. NC 10,000,000 4.700 6/1/2009 10,163,892

BOND PORTFOLIO
December 31, 2004
PEMEX PRJ FDG MASTER TR 144A NC 29,700,000 8.625 2/1/2022 34,526,250
PEMEX PROJECT NC 8,250,000 6.125 8/15/2008 8,745,000
PEMEX PROJECT NC 4,000,000 7.375 12/15/2014 4,440,000
PEMEX PROJECT NC 14,500,000 8.000 11/15/2011 16,675,000
PETROBRAS INTL FINANCE NC 5,500,000 7.750 9/15/2014 5,788,750
PETRO-CANADA NC 11,500,000 5.000 11/15/2014 11,474,295
PFIZER INC NC 5,000,000 4.650 3/1/2018 4,805,185
PSI ENERGY INC NC 13,000,000 5.000 9/15/2013 12,982,467
RALI 2004-QS6 A 37,067,438 5.000 5/25/2019 37,409,248
RBS CAPITAL TRUST III 9/14@ 28,900,000 5.512 9/29/2049 29,561,837
RFCO STRIPS NC 111,500,000 0.000 4/15/2016 64,923,651
RFCO STRIPS NC 105,000,000 0.000 10/15/2017 55,711,194
RFMSI 2003-28 A1 9,910,615 5.000 5/25/2018 9,998,933
RFMSI 2004-S9 16,000,000 5.500 12/1/2034 16,102,500
ROYAL CARIBBEAN CRUISES NC 7,250,000 6.875 12/1/2013 7,830,000
RYLAND GROUP NC 12,750,000 5.375 6/1/2008 13,260,000
S A S C 2003-20 1A1 33,235,278 5.500 7/25/2033 33,440,865
SASC 2003-30 1A1 39,606,844 5.500 10/25/2033 39,856,794
SHAW NC 18,000,000 7.500 11/20/2013 16,140,304
SHAW COMMUNICATIONS INC NC 8,555,000 7.200 12/15/2011 9,442,581
SIMON PROPERTY GROUP NC 8,390,000 4.875 8/15/2010 8,551,759
SPRINT NC 43,000,000 6.875 11/15/2028 47,069,978
STRIP PRINCIPAL NC 922,500,000 0.000 8/15/2017 510,714,450
STRIPS NC 198,500,000 0.000 8/15/2017 109,423,125
SUNCOR ENERGY NC 3,000,000 5.950 12/1/2034 3,140,097
SUNCOR ENERGY NC 18,000,000 5.950 12/1/2034 18,840,585
TENGIZCHEVROIL LLP NC 13,300,000 6.124 11/15/2014 13,333,250

BOND PORTFOLIO
December 31, 2004
TRANS - CANADA PL NC 7,000,000 4.875 1/15/2015 6,976,243
U S TREAS BD STRIPPED PRIN NC 350,000,000 0.000 11/15/2016 202,779,514
U S TREAS SEC STRIPPED INT PRIN NC 300,000,000 0.000 11/15/2024 109,161,003
U S TREASURY BILL 7,617,000 0.000 2/24/2005 7,594,149
UNION ELECTRIC NC 12,000,000 5.100 10/1/2019 11,915,056
UNITED MEXICAN STS MTN BE NC 22,810,000 4.625 10/8/2008 23,117,935
UNITED STATES MEXICAN NC 14,200,000 6.750 9/27/2034 14,022,500
US BANK NA NC 12,500,000 4.800 4/15/2015 12,400,793
US TREASURY BONDS NC 7,750,000 7.875 2/15/2021 10,473,583
US TREASURY STRIP NC 150,000,000 0.000 2/15/2013 106,663,502
US TREASURY(INPUT)STRIPS NC 160,000,000 0.000 5/15/2017 89,849,597
VERIZON NEW ENGLAND INC. NC 16,400,000 4.750 10/1/2013 15,977,082
VERIZON NY INC. NC 12,930,000 7.375 4/1/2032 14,885,808
VESSEL MGMT SVC TITLE XI NC 13,548,500 6.080 5/20/2024 14,765,291
WELLS FARGO & CO NC 12,500,000 4.950 10/16/2013 12,678,676
WELLS FARGO COMPANY NC 17,500,000 5.125 9/15/2016 17,554,853
WFMBS 2003-6 1A1 9,019,304 5.000 6/25/2018 9,108,793
WFMBS 2004-7 1A1 9,828,698 4.500 7/25/2019 9,741,712
WFMBS 2004-7 2A1 19,171,522 4.500 7/25/2019 19,001,851
WORLD SAV BK FSB NC 13,000,000 4.125 12/15/2009 13,032,961
XTO ENERGY INC NC 14,500,000 5.000 1/31/2015 14,399,853
TOTAL BOND PORTFOLIO 9,933,633,515
TOTAL UCRP BOND PORTFOLIO 10,731,157,265

TIPS PORTFOLIO
December 31, 2004

TOTAL TIPS PORTFOLIO 2,662,175,333

Cash and Equivalents 272,000
TOTAL UCRP TIPS PORTFOLIO 2,662,447,333

BOND PORTFOLIO
December 31, 2004
DESCRIPTION MARKET VALUE

GRAND TOTAL UCRP BOND PORTFOLIO 13,393,604,598
Portfolio market values do not include accruals.

PUBLIC EQUITY
December 31, 2004

AMERICAN CENTURY SC CORE R2000 90,611,833 107,529,878
AMEX/KENWOOD SC VALUE R2000V 114,652,462 132,134,669
ARK LC GROWTH 3,383,266 375,589,388
AXA ROSENBERG SMC CORE R2500 94,891,713 107,157,037
BURGUNDY SMC VALUE R2500V 88,764,529 102,107,436
CGT LC CORE 3,389,953 372,248,110
CORTINA SC GROWTH R2000G 45,506,705 49,001,529
DELAWARE SC GROWTH II R2000G 72,415,918 77,898,889
EAFE INDEX FUND 31,176,202 3,311,421,597
FRANKLIN PORTFOLIO LC CORE 4,367,408 478,266,933
FREEMAN LC CORE 2,415,826 265,720,488
GMO EMERGING MARKETS FUND 3,597,504 61,733,172
GSAM CONCENTRATED LC GROWTH 3,863,850 427,300,258
HARRIS LC VALUE 3,390,407 370,724,356
HOTCHKIS&WILEY LC DIVS. VALUE 3,888,139 435,460,299
INTECH LC BROAD GROWTH 3,911,310 430,022,336
IRONBRIDGE SC CORE R2000 113,855,061 129,709,948
LSV LC VALUE 2,428,160 266,250,644
MAZAMA SMC GROWTH R2500G 99,740,883 102,645,537
NWQ LC VALUE 2,425,196 263,208,191
PZENA LC VALUE 3,368,609 371,572,174
RUSSELL 1000 INDEX FUND 33,426,424 5,542,268
S & P 500 FUTURES 3/05 336 100,099,490
STATE STREET RM SC GROWTH R2000G 175,117 1,641
THORNBURG LC VALUE 3,384,753 372,699,330
TRANSAMERICA LC GROWTH 2,922,445 325,944,682
UBS SC CORE R2000 103,632,382 116,651,615
VICTORY LC DIVERSIFIED 2,429,751 262,006,342
WELLINGTON LC GROWTH 2,898,856 319,278,717
WELLINGTON SC VALUE R2000V 103,607,306 120,257,726
TOTAL PUBLIC EQUITY 27,847,062,768


PRIVATE EQUITY
December 31, 2004
ISSUER MARKET VALUE

PRIVATE EQUITY DISTRIBUTIONS 6,059,939
BUYOUT FUNDS 198,399,329
INTERNATIONAL PRIVATE EQUITY 92,587,649
VENTURE CAPITAL PARTNERSHIPS 356,478,972
REAL ESTATE 36,000,000
TOTAL PRIVATE EQUITY 689,525,889

TOTAL EQUITY
December 31, 2004
TOTAL EQUITIES 28,536,588,657


UCRP
Holdings as of December 31, 2005
EQUITY INVESTMENTS
EXTERNALLY MANAGED FUNDS
(SC = Small Cap LC + Large Cap)
Security Name Security Description Shares/Par Value Market Value

AMERICAN CENTURY SC 115,958,862.36
AMEX/KENWOOD SC 138,887,010.93
AQR NON-US 134,939,328.26
ARK ASSET MANAGEMENT CO INC LC 637,834,104.29
AXA ROSENBERG SC 119,731,612.22
BRANDYWINE NON- US 133,599,430.37
BURGUNDY SC 99,925,337.51
CAPITAL GUARDIAN TRUST COMPANY LC 489,306,570.70
CAUSEWAY NON-US 264,541,934.46
CGI EMERGING MARKETS GF 130,959,204.58
CORTINA ASSET MGT SC 51,265,350.75
DELAWARE GROWTH LC 601,600,830.36
DELAWARE INV ADV SC 80,164,493.79
EAFE + CANADA TF INTL INDEX FD 1,013,267,642.97
FRANKLIN PORTFOLIO ASSOCIATES LC 508,352,776.03
FREEMAN ASSOCIATES INVESTMENT LC 297,403,730.93
GENESIS EMERGING MKT FD 223,289,652.69
GMO NON US 187,638,618.62
GMO TR EMERGING MARKETS 90,293,299.98
GOLDMAN SACHS ASSET MGMT L P LC 444,933,502.46
HANSBERGER NON-US 144,992,109.61
HARRIS ASSOCIATES LP LC 494,764,243.53
HOTCHKIS + WILEY CAP MGMT LC 533,957,412.26
INTECH LC 465,367,504.37
IRONBRIDGE SC 134,412,958.93
JP MORGAN FLEMING NON-US 187,598,956.88
LSV ASSET MANAGEMENT LC 294,191,903.70
MAZAMA SC 113,047,413.95
MFS NON-US 260,585,091.34
MONDRIAN NON US 128,660,229.54
NEW STAR NON US 151,838,632.99
NWQ INVESTMENT MGT CP LLC LC 290,505,952.69
PANAGORA NON-US 134,126,914.87
PZENA INVESTMENT MGMT LC 503,572,617.46
RUSSELL 3000 TF INDEX FUND 15,981,521,856.47
SANDERSON NON US 129,148,104.11
TEMPLETON INSTL FDS EMERGING MRKT 85,410,988.99
THORNBURG MTG INC LC 608,926,062.66
UBS SC 121,510,315.51
VICTORY CAPITAL MGT INC LC 612,164,050.44
WELLINGTON MANAGEMENT CO LLP LC 482,820,571.75
WELLINGTON SC 133,076,643.50
TOTAL EQUITY 27,756,093,829.81
FIXED INCOME
FIXED INCOME - SECURITIES
ALCAN ALUM LTD 5.75% 01 Jun 2035 13,000,000 12,688,535.34

ALCAN INC 5% 01 Jun 2015 6,250,000 6,071,895.63
ALL STATE CORP 7.2% 01 Dec 2009 8,500,000 9,159,906.26
ALLSTATE CORP 5.55% 09 May 2035 23,600,000 23,120,905.84
AMEREN UN ELEC 5.1% 01 Oct 2019 17,000,000 16,445,237.98
AMEREN UN ELEC 5.3% 01 Aug 2037 19,000,000 18,044,406.02
AMERENENERGY GENERATING CO 7.95% 01 Jun 2032 7,000,000 8,916,512.78
AMERICA MOVIL S A DE C V 5.5% 01 Mar 2014 37,350,000 36,819,257.25
Source: State Street

AMERICA MOVIL S A DE C V 5.75% 15 Jan 2015 11,053,000 11,061,069.35
AMERICAN ELEC PWR INC 5.375% 15 Mar 2010 4,500,000 4,537,235.43
AMERICAN ELEC PWR INC 5.25% 01 Jun 2015 10,000,000 9,970,729.80
AMERICAN GEN CORP 8.5% 01 Jul 2030 5,700,000 7,614,302.76
AMERICAN GEN FIN CORP MTN 4% 15 Mar 2011 13,500,000 12,779,289.00
AMERICAN GEN FIN CORP MTN 4.875% 15 Jul 2012 13,000,000 12,720,213.22
AMERICAN INTL GROUP INC 4.25% 15 May 2013 9,600,000 9,081,121.54
AMERICAN INTL GROUP INC 5.05% 01 Oct 2015 12,000,000 11,782,492.68
ANADARKO FIN CO 7.5% 01 May 2031 23,500,000 28,830,016.91
ARCEL FINANCE 7.048% 01 Sep 2011 8,507,700 8,540,029.26
AT+T WIRELESS 8.125% 01 May 2012 15,000,000 17,332,136.55
AT+T WIRELESS SVCS INC 8.75% 01 Mar 2031 24,150,000 32,008,846.87
ATHABASCA OIL SANDS INVTS INC 8.2% 01 Apr 2027 27,000,000 34,228,059.30
BAE SYS HLDGS INC 4.75% 15 Aug 2010 19,500,000 19,150,813.50
BANC AMER ALT LN TR 6% 25 Mar 2034 13,081,177 13,169,517.25
BANC AMER ALTERNATIVE LN TR 6% 25 Feb 2034 9,627,578 9,675,861.62
BANC AMER ALTERNATIVE LN TR 5.5% 25 Dec 2019 6,441,897 6,453,188.21
BANC AMER ALTERNATIVE LN TR 6% 25 Aug 2035 23,846,033 23,994,109.49
BANC AMER ALTERNATIVE LN TR 5.5% 25 Sep 2033 15,736,689 15,476,057.83
BANC AMER FDG CORP 6% 25 Feb 2034 29,734,380 29,948,143.14
BANC AMER FDG CORP 6% 25 Feb 2034 4,664,342 4,657,691.62
BANC AMER MTG SECS INC 5% 25 Aug 2019 10,769,510 10,570,490.52
BANC AMER MTG SECS INC 5.75% 25 Jan 2035 26,948,748 26,674,911.30
BANC AMER MTG SECS INC 5.18587% 25 Sep 2035 19,582,422 19,342,996.04
BANK AMER CORP 4.75% 01 Aug 2015 23,500,000 22,796,274.64
BECTON DICKINSON + CO 7% 01 Aug 2027 21,500,000 25,522,529.60
BECTON DICKINSON + CO 4.55% 15 Apr 2013 4,000,000 3,908,016.00
BELLSOUTH CORP 6% 15 Nov 2034 19,400,000 19,338,831.80
BELLSOUTH CORP 4.75% 15 Nov 2012 13,000,000 12,657,452.73
BELLSOUTH CORP 5.2% 15 Dec 2016 10,000,000 9,796,143.30
BELLSOUTH TELECOMM INC 6.375% 01 Jun 2028 19,350,000 20,012,156.42
BHP BILLITON FIN USA LTD 5.25% 15 Dec 2015 9,500,000 9,566,140.90
BHP FINANCE USA 6.42% 01 Mar 2026 11,500,000 12,789,636.80
BP CAP MKTS AMER INC 4.2% 15 Jun 2018 20,000,000 18,195,588.00
BRAZIL FEDERATIVE REP 10% 07 Aug 2011 5,300,000 6,174,500.00
BRAZIL FEDERATIVE REP 8.25% 20 Jan 2034 12,500,000 13,250,000.00
BRAZIL FEDERATIVE REP 8.75% 04 Feb 2025 1,500,000 1,657,500.00
BRAZIL FEDERATIVE REP 7.875% 07 Mar 2015 4,500,000 4,781,250.00
BRITISH SKY BROADCASTING GROUP 8.2% 15 Jul 2009 9,845,000 10,754,498.23
BRITISH SKY BROADCASTING GROUP 6.875% 23 Feb 2009 2,475,000 2,593,511.74
BURLINGTON RES FIN CO 7.2% 15 Aug 2031 11,000,000 13,583,000.09
BURLINGTON RES INC 9.875% 15 Jun 2010 20,500,000 24,473,781.50
CANADIAN NATL RY CO 6.9% 15 Jul 2028 17,775,000 20,883,666.73
CANADIAN NATL RY CO 6.8% 15 Jul 2018 24,210,000 27,694,964.13
CARNIVAL CORP 3.75% 15 Nov 2007 13,400,000 13,100,826.91
CELULOSA ARAUCO Y CONSTITUCION 7.75% 13 Sep 2011 5,322,000 5,903,447.77
CELULOSA ARAUCO Y CONSTITUCION 5.625% 20 Apr 2015 15,300,000 15,141,395.76
CENTEX CORP 5.8% 15 Sep 2009 2,500,000 2,532,242.50
CHASE MORTGAGE FINANCE CORP 1% 25 Dec 2035 20,943,319 20,787,626.53
CHRYSLER CORP 7.45% 01 Mar 2027 8,365,000 9,075,590.35
CINCINNATI GAS + ELEC CO 5.375% 15 Jun 2033 16,000,000 14,776,177.60
CINCINNATI GAS + ELEC CO 5.4% 15 Jun 2033 17,465,000 16,226,242.48
CITICORP MTG SECS INC 4.5% 25 Aug 2034 17,227,139 16,647,742.21
CITIGROUP INC 6% 31 Oct 2033 40,200,000 41,969,806.61
CITIGROUP INC 5.85% 11 Dec 2034 27,350,000 28,554,339.47
CITIGROUP INC 5% 15 Sep 2014 35,000,000 34,441,917.65
COMCAST CABLE COMMUNICATIONS 8.875% 01 May 2017 20,000,000 24,696,702.60
COMCAST CORP NEW 5.5% 15 Mar 2011 6,750,000 6,791,272.88
COMCAST CORP NEW 5.65% 15 Jun 2035 14,000,000 12,800,422.18
COMCAST CORP NEW 4.95% 15 Jun 2016 23,400,000 22,050,151.11
COMCAST CORP NEW 5.45% 15 Nov 2010 6,000,000 6,037,413.00
CONSOLIDATED NAT GAS CO 5% 01 Mar 2014 8,600,000 8,445,680.74
CORPORACION NACIONAL COBRE CL 5.625% 21 Sep 2035 14,500,000 14,463,750.00
CORPORACION NACIONAL DEL COBRE 7.375% 01 May 2009 6,000,000 6,431,196.00
CORPORACION NACIONAL DEL COBRE 6.375% 30 Nov 2012 10,800,000 11,614,244.40
CORPORACION NACIONAL DEL COBRE 4.75% 15 Oct 2014 17,050,000 16,518,142.30
COX COMMUNICATIONS INC 7.125% 01 Oct 2012 17,750,000 18,975,394.86
COX COMMUNICATIONS INC NEW 6.8% 01 Aug 2028 7,200,000 7,436,052.00
COX COMMUNICATIONS INC NEW 4.625% 15 Jan 2010 7,640,000 7,386,853.87

CRH AMER INC 5.3% 15 Oct 2013 9,005,000 9,038,886.27
CRH AMER INC 6.4% 15 Oct 2033 27,000,000 29,447,223.03
CWMBS INC 5% 25 Nov 2018 21,300,026 20,954,177.78
D R HORTON INC 6.875% 01 May 2013 4,000,000 4,174,188.00
D R HORTON INC 5.625% 15 Sep 2014 26,100,000 25,140,981.60
DAIMLER CHRYSLER HLDGS 8.5% 18 Jan 2031 16,850,000 20,406,686.71
DAIMLERCHRYSLER NORTH AMER 4.875% 15 Jun 2010 13,000,000 12,681,697.73
DAIMLERCHRYSLER NORTH AMER HLD 6.5% 15 Nov 2013 5,480,000 5,730,056.35
DBS BK LTD SINGAPORE 1% 15 Nov 2019 22,500,000 21,892,860.00
DELHAIZE AMER INC 9% 15 Apr 2031 8,000,000 9,404,960.00
DELHAIZE AMER INC 8.125% 15 Apr 2011 3,000,000 3,270,201.00
DEVELOPERS DIVERSIFIED RLTY 5.25% 15 Apr 2011 12,550,000 12,445,212.39
DEVELOPERS DIVERSIFIED RLTY CO 5.5% 01 May 2015 8,000,000 7,962,648.80
DIAGEO CAP PLC 4.375% 03 May 2010 5,400,000 5,279,476.81
DIAGEO FIN BV 3.875% 01 Apr 2011 32,000,000 30,379,421.44
DIAGEO FIN BV 5.3% 28 Oct 2015 5,400,000 5,436,909.11
DIAMOND OFFSHORE DRILLING INC 4.875% 01 Jul 2015 16,750,000 16,285,791.67
EATON CORP 8.1% 15 Aug 2022 8,750,000 11,294,031.00
EMPRESA NACIONAL DE 8.5% 01 Apr 2009 11,330,000 12,356,928.54
EMPRESA NACIONAL DE ELECTRIC 8.35% 01 Aug 2013 6,492,000 7,393,849.16
ENBRIDGE ENERGY PARTNERS L P 4.75% 01 Jun 2013 4,700,000 4,475,062.70
ENCANA CORP 4.75% 15 Oct 2013 10,500,000 10,298,972.15
ENCANA CORP 6.5% 15 Aug 2034 21,750,000 24,414,680.37
ENERSIS S A 7.4% 01 Dec 2016 9,000,000 9,782,073.00
ENERSIS SA 7.375% 15 Jan 2014 20,500,000 22,050,333.00
ENTERPRISE PRODS OPER L P 6.875% 01 Mar 2033 21,000,000 22,482,356.40
ENTERPRISE PRODS OPER L P 5% 01 Mar 2015 19,350,000 18,445,908.02
ENTERPRISE PRODUCTS OPER 4.95% 01 Jun 2010 7,431,000 7,286,132.58
EQUITY RESIDENTIAL 5.125% 15 Mar 2016 19,900,000 19,337,649.48
ERAC USA FIN CO 6.7% 01 Jun 2034 30,000,000 32,170,431.00
FED HM LN PC POOL 1B3816 4.918% 01 May 2035 3,787,097 3,730,046.51
FED HM LN PC POOL A14282 5% 01 Oct 2033 9,865,103 9,587,785.99
FED HM LN PC POOL A33799 6.5% 01 Mar 2035 2,128,100 2,179,032.25
FED HM LN PC POOL B10827 4.5% 01 Nov 2018 36,232,427 35,348,463.03
FED HM LN PC POOL B11064 5.5% 01 Nov 2018 2,466,922 2,481,366.99
FED HM LN PC POOL B11815 4.5% 01 Jan 2019 19,376,084 18,903,364.42
FED HM LN PC POOL B13457 4.5% 01 Apr 2019 18,024,723 17,567,864.58
FED HM LN PC POOL B14157 4% 01 May 2019 10,392,740 9,896,855.58
FED HM LN PC POOL C01676 6% 01 Nov 2033 40,925,628 41,319,279.16
FED HM LN PC POOL C76289 6% 01 Jan 2033 6,581,897 6,645,206.09
FED HM LN PC POOL C78907 5% 01 May 2033 6,101,066 5,929,559.43
FED HM LN PC POOL C90847 6% 01 Aug 2024 15,948,310 16,179,676.44
FED HM LN PC POOL C90852 6% 01 Jul 2024 3,630,323 3,682,989.18
FED HM LN PC POOL C90865 6% 01 Nov 2024 17,149,229 17,398,016.82
FED HM LN PC POOL C90932 5.5% 01 Nov 2025 57,994,204 57,798,829.26
FED HM LN PC POOL C90939 5.5% 01 Dec 2025 5,000,000 4,983,155.70
FED HM LN PC POOL E01084 5.5% 01 Jan 2017 6,657,084 6,702,059.58
FED HM LN PC POOL E01098 6% 01 Feb 2017 10,247,883 10,450,363.43
FED HM LN PC POOL E01251 5.5% 01 Nov 2017 9,894,946 9,958,873.32
FED HM LN PC POOL E01311 5.5% 01 Feb 2018 9,129,873 9,183,330.96
FED HM LN PC POOL E01537 4.5% 01 Dec 2018 5,909,196 5,765,028.91
FED HM LN PC POOL G01674 5.5% 01 Apr 2034 14,438,993 14,321,684.38
FEDERAL HOME LN BKS 5.375% 15 Feb 2007 55,500,000 55,875,818.25
FEDERAL HOME LN BKS 3.25% 21 Jul 2006 100,000,000 99,235,590.00
FEDERAL HOME LN MTG CORP 4% 15 Oct 2022 11,211,508 10,759,615.14
FEDERAL HOME LN MTG CORP 4.875% 15 Nov 2013 120,000,000 120,681,444.00
FEDERAL HOME LN MTG CORP 4% 15 Dec 2032 4,789,680 4,456,165.74
FEDERAL HOME LN MTG CORP 4.125% 24 Feb 2011 185,000,000 179,324,866.00
FEDERAL HOME LN MTG CORP 3% 29 Sep 2006 100,000,000 98,741,410.00
FEDERAL HOME LN MTG CORP 3.75% 15 Apr 2007 102,000,000 100,838,362.80
FEDERAL HOME LN MTG CORP 6.5% 15 Jul 2031 10,745,946 11,246,569.27
FEDERAL HOME LN MTG CORP 3.75% 15 Nov 2006 160,000,000 158,651,984.00
FEDERAL HOME LN MTG CORP 4.5% 15 Aug 2022 2,702,067 2,642,195.97
FEDERAL HOME LOAN MTG CORP 5.875% 21 Mar 2011 200,000,000 208,173,560.00
FEDERAL HOME LOAN MTG CORP 3.625% 15 Feb 2007 125,000,000 123,496,587.50
FEDERAL NATL MTG ASSN 6.25% 01 Feb 2011 200,000,000 211,134,980.00
FEDERAL NATL MTG ASSN 6.5% 25 Jul 2042 33,056,724 33,961,938.92
FEDERAL NATL MTG ASSN 4% 25 May 2033 1,988,586 1,843,105.15
FEDERAL NATL MTG ASSN 4% 25 Jul 2032 5,108,589 4,894,637.78

FEDERAL NATL MTG ASSN 4% 25 Mar 2031 3,192,442 2,959,239.80
FEDERAL NATL MTG ASSN 5.125% 02 Jan 2014 185,300,000 186,094,066.09
FEDERAL NATL MTG ASSN 3.875% 15 May 2007 65,000,000 64,316,148.00
FEDERAL NATL MTG ASSN GTD 3% 25 Aug 2032 34,676,506 31,668,274.15
FEDERAL NATL MTG ASSN GTD REMI 3.75% 25 Jul 2033 5,336,238 4,955,838.43
FHLMC TBA JAN 30 GOLD SINGLE 5.5% 01 Dec 2099 70,000,000 69,343,750.00
FHLMC TBA JAN 30 GOLD SINGLE 6% 01 Dec 2099 20,000,000 20,192,188.00
FIRST ENERGY CORP 7.375% 15 Nov 2031 41,500,000 48,685,444.05
FIRSTENERGY CORP 6.45% 15 Nov 2011 15,690,000 16,583,512.55
FLORIDA PWR CORP 5.1% 01 Dec 2015 10,000,000 9,870,132.40
FNMA TBA JAN 30 SINGLE FAM 5.5% 01 Dec 2099 463,000,000 458,442,320.60
FNMA GRANTOR TRUST 6.5% 25 Jan 2044 12,875,909 13,208,369.04
FNMA POOL 254147 6.5% 01 Jan 2032 909,645 935,134.63
FNMA POOL 254308 6.5% 01 May 2017 1,162,928 1,194,718.01
FNMA POOL 254342 6% 01 Jun 2017 221,103 225,798.26
FNMA POOL 254373 6.5% 01 Jul 2017 843,260 866,311.66
FNMA POOL 254443 6% 01 Sep 2017 1,496,594 1,528,372.35
FNMA POOL 254719 4.5% 01 Apr 2018 24,474,406 23,871,083.50
FNMA POOL 254804 5.5% 01 Jul 2018 7,483,135 7,528,397.33
FNMA POOL 255282 6% 01 Jun 2024 6,226,775 6,316,587.36
FNMA POOL 255342 6% 01 Jul 2024 12,447,915 12,627,458.54
FNMA POOL 255362 6% 01 Aug 2024 30,781,320 31,225,296.06
FNMA POOL 255417 6% 01 Sep 2024 18,371,207 18,636,184.82
FNMA POOL 255466 6% 01 Oct 2024 14,876,046 15,090,611.48
FNMA POOL 255511 6% 01 Nov 2024 10,906,029 11,063,332.48
FNMA POOL 255561 6% 01 Dec 2024 2,337,602 2,371,318.19
FNMA POOL 357970 5% 01 Aug 2035 49,684,263 48,128,419.69
FNMA POOL 412286 6% 01 Jan 2013 318,097 325,216.93
FNMA POOL 545125 6% 01 Aug 2016 2,891,666 2,953,000.17
FNMA POOL 545296 6% 01 Nov 2016 5,916,091 6,041,575.13
FNMA POOL 545506 7% 01 Feb 2032 2,903,495 3,024,665.49
FNMA POOL 555273 6.5% 01 Dec 2032 820,552 843,544.46
FNMA POOL 555329 5% 01 Mar 2033 26,850,944 26,114,697.29
FNMA POOL 555813 4% 01 Oct 2018 19,371,173 18,494,351.63
FNMA POOL 555967 5.5% 01 Nov 2033 222,173,366 220,433,650.44
FNMA POOL 555969 4% 01 Dec 2018 19,813,372 18,916,534.60
FNMA POOL 572805 6% 01 Mar 2016 181,404 185,251.28
FNMA POOL 580052 6% 01 Jul 2016 204,564 208,902.90
FNMA POOL 580848 6% 01 May 2016 29,122 29,739.52
FNMA POOL 581706 6.5% 01 Jul 2031 2,680,733 2,755,850.56
FNMA POOL 597545 6.5% 01 Sep 2031 1,874,163 1,926,678.93
FNMA POOL 598919 6% 01 Nov 2016 320,390 327,185.22
FNMA POOL 627118 7% 01 Mar 2032 6,504,615 6,776,069.98
FNMA POOL 633857 7% 01 Mar 2032 3,206,601 3,340,421.38
FNMA POOL 633865 7% 01 Mar 2032 874,399 910,890.09
FNMA POOL 635030 6.5% 01 May 2032 5,646,745 5,801,619.35
FNMA POOL 639018 6.5% 01 Apr 2017 2,158,688 2,217,698.43
FNMA POOL 640008 7% 01 Apr 2032 2,458,288 2,560,878.64
FNMA POOL 645562 6.5% 01 Jun 2032 2,970,508 3,051,980.98
FNMA POOL 651388 6.5% 01 Aug 2017 1,648,377 1,693,437.55
FNMA POOL 652610 5% 01 Apr 2018 15,653,707 15,513,616.23
FNMA POOL 662707 6.5% 01 Oct 2032 2,152,170 2,211,197.50
FNMA POOL 669991 5.5% 01 Feb 2033 885,492 878,558.19
FNMA POOL 671580 6.5% 01 Nov 2032 523,462 537,818.95
FNMA POOL 672415 6.5% 01 Sep 2032 3,754,869 3,857,853.83
FNMA POOL 676868 6% 01 Jan 2033 5,736,224 5,794,357.03
FNMA POOL 676919 6% 01 Jan 2033 1,419,112 1,433,494.28
FNMA POOL 676956 5% 01 Jan 2033 12,106,996 11,782,719.82
FNMA POOL 681357 5% 01 Mar 2018 15,788,272 15,646,977.07
FNMA POOL 681405 5% 01 Mar 2018 15,548,446 15,409,296.59
FNMA POOL 687517 6% 01 Sep 2018 344,750 352,051.69
FNMA POOL 687579 6.5% 01 Apr 2033 1,123,783 1,151,576.59
FNMA POOL 689076 5% 01 Jun 2018 2,662,394 2,638,566.87
FNMA POOL 689080 5% 01 Jun 2018 15,946,325 15,803,615.56
FNMA POOL 689108 5.5% 01 Feb 2033 25,407,000 25,208,051.63
FNMA POOL 689584 5.5% 01 Feb 2018 4,356,547 4,382,897.60
FNMA POOL 689613 4.5% 01 May 2018 4,194,277 4,090,883.05

FNMA POOL 689619 4.5% 01 Jun 2018 2,065,669 2,014,748.11
FNMA POOL 689620 5% 01 Jun 2018 5,284,134 5,236,844.11
FNMA POOL 689621 4.5% 01 Jun 2018 7,145,160 6,969,023.36
FNMA POOL 694431 5% 01 Mar 2018 22,549,254 22,347,452.16
FNMA POOL 695916 5% 01 May 2018 20,640,457 20,455,737.89
FNMA POOL 702449 6% 01 Jun 2033 10,874,390 10,970,912.42
FNMA POOL 702895 5% 01 Apr 2018 43,338,002 42,950,153.63
FNMA POOL 704939 5.5% 01 Apr 2018 3,861,603 3,884,959.74
FNMA POOL 709844 5% 01 May 2018 9,616,258 9,530,198.45
FNMA POOL 721211 5% 01 Jun 2033 15,812,655 15,379,075.44
FNMA POOL 725162 6% 01 Feb 2034 76,381,550 77,059,518.80
FNMA POOL 725773 5.5% 01 Sep 2034 44,945,263 44,551,656.86
FNMA POOL 725801 4.677% 01 Aug 2034 15,435,917 15,165,379.06
FNMA POOL 726054 5.5% 01 Jun 2033 13,243,932 13,140,226.51
FNMA POOL 726233 1% 01 Jul 2033 1,450,884 1,433,977.45
FNMA POOL 729777 5% 01 Jul 2018 6,221,145 6,165,469.46
FNMA POOL 730016 4% 01 Jul 2018 14,369,296 13,718,881.12
FNMA POOL 733484 5% 01 Aug 2018 3,392,599 3,362,237.45
FNMA POOL 737040 4.5% 01 Oct 2018 2,953,407 2,880,602.18
FNMA POOL 737043 4.5% 01 Oct 2018 3,207,836 3,128,758.76
FNMA POOL 743272 6% 01 Oct 2033 8,008,222 8,079,304.02
FNMA POOL 747580 6% 01 Nov 2023 5,622,337 5,703,587.01
FNMA POOL 747799 5.5% 01 Dec 2018 23,788,058 23,931,942.44
FNMA POOL 747817 4.5% 01 Nov 2018 30,763,042 30,004,697.72
FNMA POOL 748088 4.095% 01 Sep 2033 6,530,429 6,357,252.21
FNMA POOL 748727 5.5% 01 Oct 2018 3,689,042 3,711,355.30
FNMA POOL 748767 6.5% 01 Nov 2033 7,559,421 7,746,385.15
FNMA POOL 748768 7% 01 Nov 2033 3,585,034 3,733,087.99
FNMA POOL 748794 6.5% 01 Nov 2033 3,733,998 3,826,349.94
FNMA POOL 748795 7% 01 Nov 2033 2,502,407 2,605,751.25
FNMA POOL 751221 5.5% 01 Dec 2018 1,943,741 1,955,497.72
FNMA POOL 753035 6.5% 01 Dec 2033 146,377 149,996.82
FNMA POOL 753077 6.5% 01 Dec 2033 3,280,137 3,361,263.30
FNMA POOL 753093 6.5% 01 Dec 2033 9,585,130 9,822,195.03
FNMA POOL 753412 5.5% 01 Nov 2033 10,912,750 10,827,298.01
FNMA POOL 753466 5.5% 01 Nov 2033 7,000,499 6,945,682.32
FNMA POOL 755497 5.5% 01 Nov 2018 6,816,733 6,857,964.15
FNMA POOL 759753 5.036% 01 Jan 2034 5,431,537 5,416,538.21
FNMA POOL 761499 6% 01 Jan 2019 324,662 331,538.57
FNMA POOL 763681 5.5% 01 Jan 2034 7,457,162 7,398,768.74
FNMA POOL 764105 1% 01 Mar 2034 4,023,151 3,877,452.40
FNMA POOL 766244 4.85% 01 Feb 2034 4,764,638 4,723,364.21
FNMA POOL 767500 4.485% 01 Mar 2034 3,625,943 3,558,817.27
FNMA POOL 786427 5.084% 01 Jul 2034 8,677,776 8,630,477.93
FNMA POOL 790927 6% 01 Sep 2034 10,468,165 10,561,155.56
FNMA POOL 791868 5.055% 01 Aug 2034 7,976,343 7,924,548.83
FNMA POOL 793349 6% 01 Aug 2034 44,242,544 44,635,556.00
FNMA POOL 804082 5.384% 01 Aug 2034 1,397,650 1,401,449.27
FNMA POOL 808156 4.5% 01 Feb 2035 16,453,747 15,495,715.48
FNMA POOL 808168 4.5% 01 Mar 2035 14,985,769 14,113,212.06
FNMA POOL 813103 4.5% 01 Apr 2035 7,524,074 7,085,978.95
FNMA POOL 822814 5.5% 01 Apr 2035 5,399,262 5,347,519.32
FNMA POOL 826743 4.59% 01 Aug 2035 18,885,897 18,451,473.80
FNMA POOL 826797 4.21% 01 Jul 2035 35,377,128 34,155,467.33
FNMA POOL 829196 5% 01 Jul 2035 120,512,598 116,738,794.26
FNMA POOL 829270 5% 01 Sep 2035 64,653,058 62,628,473.22
FNMA POOL 832443 5% 01 Sep 2035 44,508,276 43,114,517.12
FNMA POOL 836183 5% 01 Oct 2035 39,679,528 38,441,094.22
FNMA POOL 841471 5% 01 Oct 2035 29,668,756 28,739,690.68
FNMA POOL 842232 6.5% 01 Sep 2035 9,541,979 9,779,405.32
FNMA POOL 848358 5.5% 01 Dec 2035 25,000,001 24,756,810.18
FORD MTR CR CO 5.7% 15 Jan 2010 7,400,000 6,290,000.00
FREDDIE MAC 4.5% 15 Jan 2014 300,000,000 294,511,350.00
GENERAL ELEC CAP CORP MTN 6.75% 15 Mar 2032 93,000,000 108,989,739.24
GENERAL ELEC CAP CORP MTN 3.75% 15 Dec 2009 2,000,000 1,920,147.40
GENERAL ELEC CO 1200% 01 Feb 2013 81,750,000 81,605,594.35
GENETECH INC 4.75% 15 Jul 2015 21,000,000 20,373,902.85
GEORGIA PWR CO 5.125% 15 Nov 2012 12,500,000 12,591,912.50
GEORGIA PWR CO 5.75% 15 Apr 2023 5,000,000 5,152,985.50

GNMA II POOL 002999 7.5% 20 Nov 2030 2,124,960 2,227,808.67
GNMA II POOL 003011 7.5% 20 Dec 2030 1,226,658 1,286,028.38
GNMA POOL 598267 6% 15 Jun 2033 2,173,991 2,224,459.01
GNMA POOL 603419 5.5% 15 Feb 2033 10,431,629 10,501,979.07
GNMA POOL 612376 5.5% 15 Nov 2033 28,112,296 28,301,884.32
GNMA POOL 781130 7% 15 Jan 2030 4,667,508 4,903,954.03
GNMA POOL 781324 7% 15 Jul 2031 3,593,567 3,775,049.70
GOLDMAN SACHS CAP I 6.345% 15 Feb 2034 24,750,000 26,066,127.78
GOLDMAN SACHS GROUP INC 6.125% 15 Feb 2033 7,000,000 7,325,658.20
GOLDMAN SACHS GROUP INC 4.75% 15 Jul 2013 30,500,000 29,579,794.57
GOLDMAN SACHS GROUP INC 5.15% 15 Jan 2014 25,000,000 24,806,116.00
GRUPO TELEVISA SA 6.625% 18 Mar 2025 30,250,000 30,782,705.22
GRUPO TELEVISA SA DE CV 8.5% 11 Mar 2032 14,858,000 17,898,988.35
GS MTG SECS CORP 6.5% 25 Feb 2035 14,528,055 14,661,890.57
GSR MTG LN TR 5.5% 25 Sep 2019 8,627,014 8,595,336.77
HARRAHS OPER INC 5.5% 01 Jul 2010 19,750,000 19,733,331.79
HARRAHS OPER INC 5.625% 01 Jun 2015 8,900,000 8,731,368.41
HSBC BK USA 5.875% 01 Nov 2034 24,885,000 25,168,641.47
HSBC FIN CAP TR IX 5.911% 30 Nov 2035 9,000,000 9,101,526.03
HSBC FIN CORP 5% 30 Jun 2015 21,500,000 20,899,798.69
HUTCHISON WHAMPOA INTL 6.25% 24 Jan 2014 10,420,000 10,904,623.78
HUTCHISON WHAMPOA INTL LTD 7.45% 24 Nov 2033 29,300,000 33,842,613.40
ILLINOIS ST 5.1% 01 Jun 2033 6,635,000 6,553,522.20
INGERSOLL RAND CO 4.75% 15 May 2015 9,000,000 8,735,001.57
INTERNATIONAL BUSINESS MACHS 6.22% 01 Aug 2027 31,700,000 34,635,241.85
JPMORGAN CHASE + CO 5.15% 01 Oct 2015 42,550,000 41,940,814.20
JPMORGAN CHASE CAP XV 5.875% 15 Mar 2035 20,000,000 19,894,084.20
KIMBERLY CLARK DE MEXICO SA 8.875% 01 Aug 2009 3,000,000 3,356,250.00
L 3 COMMUNICATIONS CORP 6.125% 15 Jan 2014 3,940,000 3,900,600.00
L 3 COMMUNICATIONS CORP 5.875% 15 Jan 2015 18,450,000 17,896,500.00
LEHMAN BROTHERS HLDGS INC 4.25% 27 Jan 2010 5,465,000 5,315,202.44
LEHMAN BROTHERS HLDGS INC 5% 14 Jan 2011 9,000,000 8,983,052.91
LOBLAW COMPANIES LTD 6.5% 22 Jan 2029 14,000,000 13,635,696.21
LOBLAW COS LIMITED 6.65% 08 Nov 2027 25,000,000 24,676,872.94
LOBLAWS COS LTD CPN RCPTS CDS 0% 23 May 2031 40,000,000 8,292,293.84
LORAL CORP 7% 15 Sep 2023 26,300,000 30,122,491.97
LOWES COMPANIES INC 5.5% 15 Oct 2035 18,000,000 18,149,636.52
LUBRIZOL CORP 4.625% 01 Oct 2009 13,250,000 12,999,715.45
LUBRIZOL CORP 5.5% 01 Oct 2014 10,500,000 10,542,999.92
M + I CAPITAL TR A 7.65% 01 Dec 2026 12,200,000 12,837,837.96
M + I MARSHALL + ILSLEY BK 4.4% 15 Mar 2010 10,300,000 10,086,056.85
MARRIOTT INTL INC NEW 4.625% 15 Jun 2012 14,000,000 13,508,813.36
MARSH + MCLENNAN COS INC 5.75% 15 Sep 2015 34,000,000 34,224,847.44
MASCO CORP 4.8% 15 Jun 2015 8,200,000 7,615,441.60
MASTR ASSET SECURITIZATION TR 5.5% 25 Nov 2033 48,712,568 47,933,800.56
MASTR ASSET SECURITIZATION TR 5.5% 25 Oct 2019 42,359,219 42,448,762.07
MASTR SEASONED SECURITIZAT TR 6.5% 25 Aug 2032 62,565,815 63,522,821.54
MEDTRONIC INC 4.75% 15 Sep 2015 20,000,000 19,424,353.00
METLIFE INC 6.375% 15 Jun 2034 4,500,000 4,923,348.53
METLIFE INC 5.7% 15 Jun 2035 36,425,000 36,410,668.58
MEXICO UNITED MEXICAN STS 8.125% 30 Dec 2019 7,200,000 8,895,599.64
MGM MIRAGE 6% 01 Oct 2009 16,200,000 16,098,750.00
MGM MIRAGE 6.75% 01 Sep 2012 13,625,000 13,812,343.75
MORGAN STANLEY 4.75% 01 Apr 2014 13,400,000 12,843,097.21
MORGAN STANLEY 5.375% 15 Oct 2015 29,885,000 29,895,834.81
NATIONWIDE BLDG SOC 4.25% 01 Feb 2010 7,000,000 6,821,052.00
NEW YORK LIFE INS CO 5.875% 15 May 2033 40,000,000 41,750,680.00
NEWS AMER HLDGS INC 7.7% 30 Oct 2025 25,020,000 28,359,066.37
NEWS AMER HLDGS INC 7.75% 01 Dec 2045 5,000,000 5,771,772.40
NEWS AMER INC 6.4% 15 Dec 2035 19,000,000 19,120,125.60
NEXTEL COMMUNICATIONS INC 5.9% 15 Mar 2014 10,800,000 10,862,029.58
NISOURCE FIN CORP 7.875% 15 Nov 2010 7,750,000 8,595,859.96
NISOURCE FIN CORP 5.4% 15 Jul 2014 11,000,000 10,970,556.30
NISOURCE FIN CORP 5.45% 15 Sep 2020 11,000,000 10,632,904.26
NORFOLK SOUTHN CORP 7.05% 01 May 2037 16,620,000 19,843,121.25
NORFOLK SOUTHN CORP 6.75% 15 Feb 2011 6,900,000 7,422,646.37
NORFOLK SOUTHN CORP 5.59% 17 May 2025 13,161,000 13,156,132.14
OHIO PWR CO 6.6% 15 Feb 2033 22,745,000 25,073,313.53
PACIFIC GAS + ELEC CO 4.2% 01 Mar 2011 7,300,000 7,003,838.49

PACIFIC GAS + ELEC CO 6.05% 01 Mar 2034 38,950,000 40,165,654.04
PANAMERICAN BEVERAGES INC 7.25% 01 Jul 2009 3,000,000 3,208,200.30
PC FINL PARTNERSHIP 5% 15 Nov 2014 11,500,000 11,274,136.90
PEMEX PROJ FDG MASTER TR 8.625% 01 Feb 2022 16,100,000 19,899,598.55
PEMEX PROJ FDG MASTER TR 5.75% 15 Dec 2015 29,550,000 29,308,280.70
PEMEX PROJ FDG MASTER TR 6.625% 15 Jun 2035 25,975,000 26,015,520.48
PEMEX PROJECT FUNDING MASTER T 9.375% 02 Dec 2008 5,495,000 6,085,712.50
PENNEY J C INC 7.125% 15 Nov 2023 12,350,000 13,748,835.10
PENNEY J C INC 7.4% 01 Apr 2037 2,750,000 3,072,338.50
PETRO CDA 5.95% 15 May 2035 25,300,000 25,570,663.70
PETROBRAS INTL FIN CO 7.75% 15 Sep 2014 19,050,000 20,574,000.00
PFIZER INC 4.65% 01 Mar 2018 6,250,000 6,002,855.75
PRINCIPAL LIFE INCOME FUNDINGS 5.1% 15 Apr 2014 9,400,000 9,387,182.16
PROLOGIS 5.25% 15 Nov 2010 14,850,000 14,816,066.56
PSI ENERGY INC 5% 15 Sep 2013 14,000,000 13,832,412.72
PSI ENERGY INC 6.12% 15 Oct 2035 5,000,000 5,108,634.95
QUEST DIAGNOSTICS INC 5.45% 01 Nov 2015 7,000,000 7,031,567.62
QUEST DIAGNOSTICS INC 5.125% 01 Nov 2010 9,500,000 9,512,809.23
RBS CAP TR III 5.512% 29 Sep 2049 31,900,000 31,771,941.92
RESIDENTIAL ACCREDIT LNS INC 5% 25 May 2019 30,954,684 30,375,453.95
RESIDENTIAL ACCREDIT LNS INC 6% 25 Aug 2035 23,379,365 23,520,403.65
RESIDENTIAL ASSET MTG PRODS 6% 25 Jul 2032 5,029,368 5,043,515.26
RESIDENTIAL CAP CORP 1200.375% 30 Jun 2010 14,900,000 15,145,802.47
RESIDENTIAL FDG MTG SECS I INC 5% 25 May 2018 8,038,201 7,888,185.76
RESIDENTIAL FDG MTG SECS I INC 5.5% 25 Dec 2034 13,721,768 13,562,363.53
ROYAL BK SCOTLAND GROUP PLC 6.4% 01 Apr 2009 6,250,000 6,512,409.19
ROYAL CARIBBEAN CRUISES LTD 7.5% 15 Oct 2027 15,881,000 17,012,521.25
ROYAL CARIBBEAN CRUISES LTD 6.875% 01 Dec 2013 11,025,000 11,677,018.50
SEARIVER MARITIME FINL HLDGS 0.01% 01 Sep 2012 43,815,000 31,751,774.89
SIMON PPTY GROUP L P 4.875% 15 Aug 2010 21,240,000 20,931,459.90
SIMON PPTY GROUP L P 5.625% 15 Aug 2014 16,500,000 16,696,292.42
SOUTHERN PWR CO 4.875% 15 Jul 2015 26,260,000 25,357,406.77
SPRINT CAP CORP 6.875% 15 Nov 2028 41,000,000 44,873,441.38
SPRINT CAP CORP 6.9% 01 May 2019 21,650,000 23,818,343.19
STATE STR INSTL CAP B 8.035% 15 Mar 2027 9,000,000 9,605,673.90
STRUCTURED ASSET SECS CORP 5.5% 25 Jul 2033 29,062,794 28,502,125.96
STRUCTURED ASSET SECS CORP 5.5% 25 Oct 2033 31,526,509 30,842,793.95
STRUCTURED ASSET SECS CORP 6% 25 Aug 2035 37,679,093 37,761,535.06
SUNCOR ENERGY INC 5.95% 01 Dec 2034 20,000,000 21,468,963.60
SYSCO CORP 4 2 5.375% 21 Sep 2035 14,000,000 13,819,619.94
TELECOM ITALIA CAP 4.95% 30 Sep 2014 20,000,000 19,123,223.80
TELEFONOS DE MEXICO S A 4.5% 19 Nov 2008 12,173,000 11,940,373.60
TELOFONOS DE MEXICO SA 5.5% 27 Jan 2015 36,000,000 35,514,000.00
TEMASEK FINL LTD 4.5% 21 Sep 2015 16,000,000 15,394,144.00
TENGIZCHEVROIL FIN CO S AR L 6.124% 15 Nov 2014 14,575,000 14,822,775.00
THOMSON CORP 5.5% 15 Aug 2035 13,500,000 13,128,912.68
TIME WARNER ENTMT CO L P 8.375% 15 Jul 2033 25,950,000 30,630,152.82
TIME WARNER ENTMT CO L P 8.375% 15 Mar 2023 15,475,000 17,935,225.40
TIME WARNER INC 6.875% 15 Jun 2018 8,500,000 9,000,658.42
TOYOTA MTR CR CORP 4.25% 15 Mar 2010 4,000,000 3,903,280.64
TRANSCANADA PIPELINES LTD 8.29% 05 Feb 2026 21,320,000 25,068,896.95
TRANSCANADA PIPELINES LTD 4.875% 15 Jan 2015 7,000,000 6,862,500.96
TRANSOCEAN SEDCO FOREX INC 7.5% 15 Apr 2031 11,550,000 14,566,943.16
UNITED MEXICAN STS 4.625% 08 Oct 2008 9,000,000 8,905,500.00
UNITED STATES TREAS BD STRIP 0% 15 Feb 2026 380,000,000 150,596,918.40
UNITED STATES TREAS BD STRPPED 0.01% 15 Feb 2025 250,000,000 103,353,605.00
UNITED STATES TREAS BDS 3.625% 15 Apr 2028 134,947,363 174,441,058.01
UNITED STATES TREAS BDS 2.375% 15 Jan 2025 200,867,890 211,535,984.14
UNITED STATES TREAS NTS 6.5% 15 Feb 2010 100,000,000 107,902,000.00
UNITED STATES TREAS NTS 4.25% 15 Jan 2010 91,768,416 99,497,151.81
UNITED STATES TREAS NTS 3% 15 Jul 2012 176,655,680 186,882,276.94
UNITED STATES TREAS NTS 1.875% 15 Jul 2013 164,464,204 162,293,276.93

UNITED STATES TREAS NTS 2% 15 Jan 2014 169,668,576 168,833,806.62
UNITED STATES TREAS NTS 0% 15 Jul 2014 154,451,904 153,727,524.30
UNITED STATES TREAS NTS 0.875% 15 Apr 2010 223,141,815 212,192,246.31
UNITED STATES TREAS NTS 1.875% 15 Jul 2015 133,909,898 131,775,374.47
UNITED STATES TRES BD STRP PRN 0% 15 Nov 2018 1,000,000,000 556,996,570.00
UNITED STATES TRES BD STRP PRN 0% 15 May 2018 270,000,000 154,033,423.20
UNITED STATES TRES BD STRP PRN 0% 15 Feb 2019 630,000,000 346,463,472.60
UNITED STATES TRES BD STRP PRN 0% 15 Nov 2016 350,000,000 215,560,313.50
UNITED STATES TRES SC STRP INT 0% 15 Feb 2018 112,000,000 64,465,060.80
UNITED STATES TRES SC STRP INT 0% 15 May 2017 160,000,000 95,515,929.60
UNITED STATES TRES SC STRP INT 0% 15 May 2018 450,000,000 256,102,258.50
UNITED STATES TRES SC STRP INT 0% 15 Aug 2017 198,500,000 117,151,664.94
UNITED STATES TRES SC STRP INT 0% 15 Nov 2024 300,000,000 125,107,497.00
UNITED TECHNOLOGIES CORP 4.875% 01 May 2015 7,000,000 6,914,771.85
UNITED TECHNOLOGIES CORP 5.4% 01 May 2035 5,000,000 4,983,138.30
US BK NATL ASSN MINNEAPOLIS MN 4.8% 15 Apr 2015 7,500,000 7,307,985.30
VALE OVERSEAS LTD 8.25% 17 Jan 2034 22,450,000 25,845,562.50
VALERO ENERGY CORP NEW 7.5% 15 Apr 2032 14,000,000 16,966,024.60
VESSEL MGMT SVCS INC 6.08% 20 May 2024 12,854,500 13,882,602.91
VIRGINIA ELEC + PWR CO 4.75% 01 Mar 2013 12,700,000 12,368,817.66
WACHOVIA CAP TR V 7.965% 01 Jun 2027 21,000,000 22,487,721.90
WACHOVIA CORP 4.375% 01 Jun 2010 4,775,000 4,668,669.97
WACHOVIA CORP NEW 5.5% 01 Aug 2035 9,000,000 8,752,950.45
WAL MART STORES INC 5.25% 01 Sep 2035 25,500,000 24,706,323.47
WAMU MTG PASS THROUGH CTFS 5% 25 Nov 2018 12,830,329 12,590,607.39
WAMU MTG PASS THROUGH CTFS 5.5% 25 Aug 2035 29,773,361 29,502,426.78
WELLS FARGO + CO NEW 4.95% 16 Oct 2013 12,500,000 12,412,043.63
WELLS FARGO + CO NEW 5.125% 15 Sep 2016 17,500,000 17,350,519.90
WELLS FARGO MTG BACKED SECS 5% 25 Jun 2018 7,243,090 7,114,075.98
WELLS FARGO MTG BACKED SECS 4.5% 25 Jul 2019 8,297,671 8,005,391.02
WELLS FARGO MTG BACKED SECS 5% 25 Jan 2020 23,943,031 23,492,190.46
WELLS FARGO MTG BACKED SECS 5.143476% 25 May 2035 42,346,496 41,647,613.30
WELLS FARGO MTG BACKED SECS TR 5.395% 25 Aug 2035 75,890,543 75,192,410.49
WESTAR ENERGY INC 5.15% 01 Jan 2017 14,850,000 14,442,159.60
WESTAR ENERGY INC 5.95% 01 Jan 2035 5,000,000 4,968,928.50
WESTAR ENERGY INC 5.1% 15 Jul 2020 3,000,000 2,855,138.85
WORLD SVGS BK FSB OAKLAND CALI 4.125% 15 Dec 2009 8,615,000 8,361,885.10
WRIGLEY WM JR CO 4.65% 15 Jul 2015 19,150,000 18,746,565.99
WYETH 5.5% 01 Feb 2014 24,750,000 25,072,075.46
WYETH 6.45% 01 Feb 2024 5,000,000 5,394,385.90
XTO ENERGY INC 5% 31 Jan 2015 15,000,000 14,668,557.30
XTO ENERGY INC 5.3% 30 Jun 2015 9,000,000 9,007,154.19
TOTAL FIXED INCOME 14,290,668,251.09
ALTERNATIVE ASSETS
PRIVATE EQUITY
ACCEL VIII LP 6,280,121.59

AIG ASIAN INFRASTRUCTURE FNDII 15,874,473.07
AIG ASIAN INFRASTRUCTURE FUND 1,973,361.71
AIG GE CAPITAL LATIN AMERICA 38,003,290.20
AIG INDIAN SECTORAL EQUITY 3,010,713.44
ALTA SUB DEB III 1,092,684.00
ARCH VENTURE FUND VI, LP 2,448,712.00
ARSENAL CAP PTNERS 9,758,721.26
BAIN CAPITAL FUND VIII 7,231,434.02
BAIN CAPITAL VIII COINVETMENT 2,257,926.50
BLACKSTONE CAP PARTN IV LP 36,820,439.43
BLUERUN VENTURES III 2,535,757.20
CANAAN EQUITY PARTNERS VII 1,123,500.56
CENTURY PARK CAPITAL PTNS II 686,569.33
CHARLESBANK EQUITY FUND VI 1,168,694.10
CHINAVEST IV LTD PTNRS 976,594.00

CLAREMONT CREEK VENTURES LP 136,000.00
CLEARSTONE VENTURE PARTNERS 2,488,298.40
DARWIN VENTURE CAPITAL FUNDS 355,169.18
DCM IV 1,799,262.03
DE NOVO VENTURES II LP 5,544,243.49
DOMAIN PARTNERS VI LP 4,246,467.12
EOS CAPITAL PARTNERS III 4,795,422.30
EQUITY DISTRIBUTION SECURITIES 3,203,203.78
FORTRESS INVESTMENT FUND III 2,534,413.94
FREMONT PARTNERS III 4,307,394.47
GENSTAR CAPITAL PARTNERS IV 4,000,752.70
GLENCOE CAP INSTL PARTNERS III 1,329,112.03
GLENCOE CAPITAL PARTNERS III 5,094,207.16
GLOBESPAN CAPITAL PARTNERS IV 5,221,018.31
GOLDER THOMA CRESSEY RAUNER 131,289.04
GOLDER THOMA CRESSEY RAUNER V 9,054,135.43
GRAHAM PARTNERS II 3,450,113.97
GRANITE GLOBAL VENTURES II LP 8,225,102.40
HUMMER WINVLAD VENTURE PTR III 708,846.12
INSIGHT VENTURE PARTNERS V 2,471,017.27
INSIGHT VENURE PARTNERS V 378,344.90
INSTITUTE VENTURES PTNS VI 811,259.40
INSTITUTIONAL VENTURE PARTNS 1,880,156.16
INSTITUTIONAL VENTURE PTR VIII 4,679,144.78
INTERSOUTH PARTNERS V LP 9,938,291.40
INTERSOUTH PARTNERS VI 3,174,967.69
INTERWEST PARTNERS IV 4,964.80
INTERWEST PARTNERS IX 2,800,000.00
INTERWEST PARTNERS V LP 926,372.40
INTERWEST PARTNERS VI LP 1,117,282.16
INTERWEST PARTNERS VII LP 5,463,782.28
INTERWEST PARTNERS VIII 23,646,600.00
INVERNESS PARTNERS II LP 4,591,062.25
IVP VII 5,267,204.67
JLL PARTNERS FUND V, LP 2,169,447.97
KELSO INVESTMENT ASSOC VII 10,166,570.95
KODIAK VENTURES III 2,609,088.21
KPCB AGG INVESTMENT UCRP 25,294,740.90
KRG CAPITAL III LP 1,629,960.58
LAKE CAPITAL PARTNERS LP 7,533,971.24
LATIN AMERICAN CAPITAL II LP 16,378,119.69
LIGHTHOUSE CAPITAL PARTNERS V 9,908,070.16
LINDSAY GOLDBERG + BESSEMER LP 10,080,874.09
MADISON DEARBORN CAP PART IV 34,527,910.96
MAYFIELD VIII 1,339,039.00
NOVAK BIDDLE VENTURE PARTNERS 886,349.94
OLYMPUS GROWTH FUND IV LP 10,635,258.92
OXFORD BIOSCIENCE IV 14,171,404.00
OXFORD BIOSCIENCE PARTNERS III 8,215,590.00
PALOMAR VENTURES III 2,749,887.00
PERSEUS 2000 EXPANSION 8,448,664.33
PERSEUS SOROS BIO PHARM LP 5,871,076.26
POLARIS VENTURE PARTNERS III 9,014,598.67
POLARIS VENTURE PARTNERS IV 8,241,794.40
REDPOINT VENTURE I LP 3,979,017.00
REDPOINT VENTURES II LP 13,550,158.14
RIPPLEWOOD PARTNERS II LP 3,624,064.30
SEQUOIA AGG INVESTMENT UCRP 32,325,480.58
SKM EQUITY FUND II 14,603,266.86
SPC PARTNERS III LP 8,357,575.69
SUN CAPITAL IV LP 1,662,570.00
TECHNOLOGY PARTNERS WEST FD IV 904,523.04
UPDATA PARTNERS III 4,006,871.80
VENTURE STRATEGY PARTN II L P 5,780,268.00
VENTURE STRATEGY PARTNERS III 17,115.00
VERSANT VENTURE CAPITAL II LP 15,194,250.00
VERSANT VENTURES I LP 11,214,028.00
WARBURG PINCUS 38,384,439.90
WARBURG PINCUS IX 13,875,000.00

WARBURG PINCUS PRT EQT VIII 3,920,000.00
WCAS CAPITAL PARTNERS II 3,141,411.00
WCAS III 69,433,560.00
WCAS VI 3,836,685.80
WELSH CARSON ANDERSON + STOWE 18,121,598.87
WICKS COMM + MEDIA PRTNS III 1,338,764.37
REAL ESTATE
AMB INSTITUTIONAL ALLIANCE 29,998,868.55

PRISA II PRUDENTIAL REAL EST. 76,882,910.22
REALTY ASSOCIATES FUND VII 10,000,000.00
TOTAL ALTERNATIVE ASSETS 839,042,738.83
TOTAL SECURITIES 42,885,804,819.73
CASH & CASH EQUIVALENTS 235,574,070.05
ACCOUNTS RECEIVABLE & ACCRUED INCOME 138,275,324.98
ACCOUNTS PAYABLE (792,431.10)
TOTAL NET ASSETS 43,258,861,783.66

UCRP
EQUITY INVESTMENTS
(SC = Small Cap LC = Large Cap)
Security Name Interest RateMaturity Date Shares/Par Value Base Market Value
ADAGE CAPITAL LC 291,423,317.24

ALLIANCE CAPITAL EMERGING MARKETS 175,994,281.05
AMERICAN CENTURY SC 123,289,540.88
AMEX/KENWOOD SC 166,637,951.33
AQR NON-US 404,865,254.42
ARK ASSET MANAGEMENT CO INC LC 645,402,583.03
AXA ROSENBERG SC 136,153,002.81
BRANDYWINE NON- US 405,436,376.59
BURGUNDY SC 123,328,016.92
CAPITAL GUARDIAN TRUST COMPANY LC 540,727,529.20
CAUSEWAY NON-US 335,001,320.23
CGI EMERGING MARKETS GF 207,471,354.40
CORTINA ASSET MGT SC 106,653,528.25
DELAWARE GROWTH LC 619,182,910.11
DELAWARE INV ADV SC 88,252,772.51
DFA INVT DIMENSIONS GRP EMERGING MRKT 226,014,914.58
EAFE + CANADA TF INTL INDEX FD 5,746,415,322.04
FRANKLIN PORTFOLIO ASSOCIATES LC 841,018,277.71
FREEMAN ASSOCIATES INVESTMENT LC 587,302,760.52
GENESIS EMERGING MKT FD 346,311,510.20
GMO NON US 589,844,266.81
GMO TR EMERGING MARKETS 114,332,712.56
GOLDMAN SACHS ASSET MGMT L P LC 489,997,668.96
HANSBERGER NON-US 180,597,468.47
HARRIS ASSOCIATES LP LC 580,427,213.10
HOTCHKIS + WILEY CAP MGMT LC 617,277,613.84
INTECH LC 499,074,178.00
IRONBRIDGE SC 105,731,173.69
JP MORGAN FLEMING NON-US 230,970,000.22
LAZARD EMERGING MKTS 114,615,102.00
LSV ASSET MANAGEMENT LC 355,129,681.19
MAZAMA SC 95,749,600.51
MFS NON-US 335,704,269.09
MONDRIAN NON US 168,563,803.01
NEW STAR NON US 184,778,976.49
NWQ INVESTMENT MGT CP LLC LC 343,872,638.18
PANAGORA NON-US 177,123,472.67
PZENA INVESTMENT MGMT LC 591,981,193.65
RUSSELL 3000 TF INDEX FUND 12,610,202,905.43
SANDERSON NON US 166,369,728.24
T ROWE PRICE EMERGING MKTS 208,469,914.12
TEMPLETON INSTL FDS EMERGING MRKT 107,686,236.76
THORNBURG MTG INC LC 746,407,992.89
UBS SC 98,573,671.36
Source: State Street 1

VICTORY CAPITAL MGT INC LC 698,647,394.38
WELLINGTON MANAGEMENT CO LLP LC 504,381,455.13
WELLINGTON SC 127,944,993.68
TOTAL EQUITY 33,161,337,848.45
FIXED INCOME
ALBERTSONS INC 7.25 5/1/2013 4,700,000 4,780,558.00

ALLSTATE CORP 5.55 5/9/2035 9,000,000 8,676,484.20
AMEREN UN ELEC 5.1 10/1/2019 8,931,000 8,255,274.91
AMEREN UN ELEC 5.3 8/1/2037 9,000,000 8,018,958.69
AMEREN UN ELEC 5.3 8/1/2037 10,000,000 8,909,954.10
AMERENENERGY GENERATING CO 7.95 6/1/2032 7,000,000 8,293,604.48
AMERICA MOVIL S A DE C V 5.5 3/1/2014 10,000,000 9,775,220.00
AMERICAN ELEC PWR INC 5.25 6/1/2015 14,000,000 13,578,875.24
AMERICAN GEN CORP 8.5 7/1/2030 5,700,000 7,431,182.80
AMERICAN GEN FIN CORP MTN 4 3/15/2011 13,500,000 12,829,688.42
AMERICAN INTL GROUP INC 5.05 10/1/2015 17,500,000 17,070,831.23
AMERICAN INTL GROUP INC 5.05 10/1/2015 5,500,000 5,365,118.39
ANADARKO PETE CORP 5.95 9/15/2016 9,000,000 9,016,061.31
ANADARKO PETE CORP 6.45 9/15/2036 11,000,000 11,130,888.56
AT+T WIRELESS 8.125 5/1/2012 10,000,000 11,245,018.00
AT+T WIRELESS SVCS INC 8.75 3/1/2031 8,000,000 10,367,495.12
BAC CAP TR VI 5.625 3/8/2035 1,600,000 1,516,761.60
BAC CAP TR XI 6.625 5/23/2036 14,500,000 15,659,961.29
BAE SYS HLDGS INC 4.75 8/15/2010 10,000,000 9,731,140.00
BAE SYS HLDGS INC 5.2 8/15/2015 12,000,000 11,430,480.00
BANC AMER ALTERNATIVE LN TR 5.5 12/25/2019 5,113,223 5,097,946.72
BANC AMER ALTERNATIVE LN TR 5.5 9/25/2033 15,358,990 15,080,608.60
BANC AMER FDG CORP 6 2/25/2034 6,023,369 6,007,700.16
BANC AMER MTG SECS INC 5.75 1/25/2035 26,662,031 26,353,319.73
BANC AMER MTG SECS INC 5.181129 9/25/2035 4,601,814 4,527,393.62
BANK AMER CORP 5.625 10/14/2016 10,000,000 10,173,065.90
BANK AMER CORP 5.42 3/15/2017 9,900,000 9,823,324.50
BCP CRYSTAL U S HLDGS CORP 9.625 6/15/2014 13,000,000 14,365,000.00
BEAR STEARNS ARM TR 4.625 2/25/2036 63,997,207 62,878,394.94
BEAR STEARNS ARM TRUST 4.756902 12/25/2035 52,629,198 52,063,886.90
BECTON DICKINSON + CO 7 8/1/2027 9,000,000 10,209,674.70
BHP BILLITON FIN USA LTD 5.25 12/15/2015 8,500,000 8,378,051.18
BOYD GAMING CORP 7.125 2/1/2016 13,800,000 13,731,000.00
BRAZIL FEDERATIVE REP 9.25 10/22/2010 25,500,000 28,815,000.00
BRAZIL FEDERATIVE REP 10 8/7/2011 17,000,000 20,060,000.00

BRAZIL FERERATIVE REP 11 8/17/2040 5,000,000 6,625,000.00
BURLINGTON RES INC 9.875 6/15/2010 15,500,000 17,714,419.90
C10 CAP SPV LTD 6.722 12/1/2049 8,450,000 8,487,180.00
CANADIAN NATL RY CO 6.8 7/15/2018 9,210,000 10,256,577.43
CANADIAN NATL RY CO 6.9 7/15/2028 19,275,000 21,915,859.65
CASE NEW HOLLAND INC 7.125 3/1/2014 15,000,000 15,225,000.00
CCSA FIN LTD 7.875 5/17/2016 6,250,000 6,703,125.00
CCSA FIN LTD 7.875 5/17/2016 13,350,000 14,317,875.00
CELULOSA ARAUCO Y CONSTITUCION 7.75 9/13/2011 2,932,000 3,163,305.48
CELULOSA ARAUCO Y CONSTITUCION 5.625 4/20/2015 4,000,000 3,929,760.12
CENTEX CORP 5.25 6/15/2015 12,550,000 11,889,287.55
CHESAPEAKE ENERGY CORP 6.375 6/15/2015 19,000,000 18,810,000.00
CHESAPEAKE ENERGY CORP 6.375 6/15/2015 4,750,000 4,702,500.00
CHRYSLER CORP 7.45 3/1/2027 29,215,000 31,246,736.72
CISCO SYS INC 5.5 2/22/2016 17,000,000 17,054,156.05
CITIGROUP INC 5.85 8/2/2016 10,000,000 10,329,562.40
CITIGROUP INC 6 10/31/2033 25,200,000 25,846,082.64
CITIGROUP INC 6 10/31/2033 5,000,000 5,128,191.00
COLOMBIA REP 8.25 12/22/2014 12,000,000 13,620,000.00
COLOMBIA REP 8.125 5/21/2024 12,000,000 13,860,000.00
COLUMBIA REP 9.75 4/23/2009 12,500,000 13,625,000.00
COLUMBIA REP 7.375 9/18/2037 4,500,000 4,830,750.00
COMCAST CABLE COMMUNICATIONS 8.875 5/1/2017 10,000,000 12,099,099.00
COMCAST CORP NEW 5.45 11/15/2010 3,000,000 3,011,010.36
COMCAST CORP NEW 5.9 3/15/2016 5,000,000 5,012,069.30
COMCAST CORP NEW 5.875 2/15/2018 10,300,000 10,168,802.93
COMCAST CORP NEW 6.5 11/15/2035 14,000,000 14,072,370.20
COMPANHIA BRASILEIRA BEBIDAS 8.75 9/15/2013 2,000,000 2,330,000.00
COMPANHIA BRASILEIRA BEBIDAS 8.75 9/15/2013 15,500,000 18,057,500.00
COMPANHIA BRASILEIRA DE BEBIDA 10.5 12/15/2011 14,974,000 18,118,540.00
CONSOLIDATED NAT GAS CO 5 3/1/2014 4,300,000 4,138,081.78
CONSTELLATION BRANDS INC 7.25 9/1/2016 7,500,000 7,706,250.00
CORPORACION NACIONAL DEL COBRE 6.375 11/30/2012 10,800,000 11,273,450.40
CORPORACION NACIONAL DEL COBRE 4.75 10/15/2014 5,000,000 4,762,500.00
COSTA RICA REP 8.11 2/1/2012 5,000,000 5,462,500.00
COSTA RICA REP 8.11 2/1/2012 3,000,000 3,277,500.00
COSTA RICA REP 6.548 3/20/2014 2,000,000 2,037,000.00
COX COMMUNICATIONS INC MTN 6.95 1/15/2028 9,250,000 9,529,692.25
COX COMMUNICATIONS INC NEW 5.875 12/1/2016 9,500,000 9,432,616.50
CRH AMER INC 6 9/30/2016 9,600,000 9,680,151.17
CRH AMER INC 6.4 10/15/2033 10,000,000 9,986,660.00
CRH AMER INC 6.4 10/15/2033 15,000,000 14,979,990.00
D R HORTON INC 6.125 1/15/2014 4,000,000 3,971,688.00
D R HORTON INC 5.625 9/15/2014 9,500,000 9,194,167.26
DAIMLERCHRYSLER NORTH AMER HLD 6.5 11/15/2013 1,480,000 1,521,526.09
DAIMLERCHRYSLER NTH AMER HLDG 5.75 9/8/2011 3,000,000 2,995,838.70
DBS BK LTD SINGAPORE 5 11/15/2019 10,000,000 9,691,100.00
DBS BK LTD SINGAPORE 5 11/15/2019 12,500,000 12,113,875.00
DELHAIZE AMER INC 8.125 4/15/2011 7,000,000 7,551,292.00
DENBURY RES INC DEL 7.5 4/1/2013 11,000,000 11,165,000.00
DEVELOPERS DIVERSIFIED RLTY 5.25 4/15/2011 2,550,000 2,514,078.76
DEVELOPERS DIVERSIFIED RLTY 5.25 4/15/2011 5,000,000 4,929,566.20
DEVELOPERS DIVERSIFIED RLTY CO 5.5 5/1/2015 8,000,000 7,819,471.20
DIAMOND OFFSHORE DRILLING INC 4.875 7/1/2015 10,000,000 9,415,431.20

DIAMOND OFFSHORE DRILLING INC 4.875 7/1/2015 6,750,000 6,355,416.06
DIRECTV HLDGS LLC 6.375 6/15/2015 2,700,000 2,588,625.00
DOMINION RES INC VA NEW 6.3 9/30/2066 5,000,000 5,023,373.80
DPL INC 6.875 9/1/2011 16,800,000 17,630,882.98
EMBARQ CORP 7.082 6/1/2016 11,000,000 11,201,364.79
EMPRESA NACIONAL DE 8.5 4/1/2009 13,330,000 14,193,784.40
EMPRESA NACIONAL DE ELECTRIC 8.35 8/1/2013 6,492,000 7,308,823.50
ENCANA CORP 4.75 10/15/2013 5,000,000 4,742,211.15
ENCANA CORP 4.75 10/15/2013 4,000,000 3,793,768.92
ENCANA CORP 6.5 8/15/2034 10,000,000 10,273,229.20
ENCANA CORP 6.5 8/15/2034 5,350,000 5,496,177.62
ENERSIS S A 7.4 12/1/2016 4,600,000 5,054,420.20
ENERSIS SA 7.375 1/15/2014 3,500,000 3,761,485.04
ENERSIS SA 7.375 1/15/2014 4,000,000 4,298,840.04
ENTERPRISE PRODS OPER L P 6.875 3/1/2033 10,750,000 11,239,332.05
ENTERPRISE PRODUCTS OPER 4.95 6/1/2010 7,431,000 7,293,189.28
EQUISTAR CHEMICALS PL FDG CORP 8.75 2/15/2009 10,500,000 10,998,750.00
EQUISTAR CHEMICALS PL FDG CORP 8.75 2/15/2009 2,000,000 2,095,000.00
EQUITY RESIDENTIAL 5.125 3/15/2016 16,500,000 15,878,551.10
ERAC USA FIN CO 6.7 6/1/2034 20,000,000 20,516,220.00
FED HM LN PC POOL B14157 4 5/1/2019 4,690,198 4,416,528.61
FEDERAL HOME LN BKS 4.85 2/4/2011 97,000,000 96,363,243.50
FEDERAL HOME LN MTG CORP 3.75 4/15/2007 20,055,000 19,967,909.16
FEDERAL HOME LN MTG CORP 4 10/15/2022 9,496,138 9,060,007.05
FEDERAL NATL MTG ASSN 5.125 4/15/2011 212,000,000 213,406,217.20
FEDERAL NATL MTG ASSN 5.125 1/2/2014 185,300,000 185,010,783.76
FEDERAL NATL MTG ASSN 6 8/22/2016 200,000,000 201,343,900.00
FEDERAL NATL MTG ASSN 4 7/25/2032 4,091,366 3,894,728.46
FEDERAL NATL MTG ASSN GTD 3 8/25/2032 28,807,867 26,324,873.98
FEDERAL NATL MTG ASSN GTD REMI 3.75 7/25/2033 4,385,128 4,064,558.41
FLORIDA PWR + LT CO 5.65 2/1/2037 19,000,000 18,676,454.13
FNMA TBA JAN 15 SINGLE FAM 5.5 12/1/2099 455,500,000 455,357,656.25
FNMA TBA JAN 15 SINGLE FAM 5 12/1/2099 49,000,000 48,165,471.20
FNMA POOL 555813 4 10/1/2018 17,054,935 16,080,105.31
FNMA POOL 730016 4 7/1/2018 12,589,327 11,869,743.54
FNMA POOL 745443 5.549 3/1/2036 73,599,179 73,951,322.84
FNMA POOL 791868 5.061 8/1/2034 7,205,487 7,146,132.10
FNMA POOL 826797 4.201 7/1/2035 33,414,059 32,240,339.83
FORD MTR CO DEL 7.45 7/16/2031 8,000,000 6,280,000.00
FORD MTR CR CO 6.625 6/16/2008 5,000,000 4,996,600.00
FORD MTR CR CO 5.8 1/12/2009 5,000,000 4,909,200.00
FORD MTR CR CO 5.7 1/15/2010 7,400,000 7,058,003.82
FORD MTR CR CO 7.25 10/25/2011 1,000,000 979,270.00

FORD MTR CR CO 8 12/15/2016 3,800,000 3,754,970.00
FPL GROUP CAP INC 6.35 10/1/2066 11,500,000 11,653,080.99
FREDDIE MAC 4.5 1/15/2014 13,800,000 13,417,105.20
GAZ CAP SA LUXEMBOURG 6.212 11/22/2016 16,500,000 16,615,500.00
GAZ CAPITAL 8.625 4/28/2034 5,000,000 6,425,000.00
GAZPROM INTL S A 7.201 2/1/2020 22,000,000 23,265,000.00
GAZPROM INTL S A 7.201 2/1/2020 8,000,000 8,460,000.00
GENERAL ELEC CAP CORP MTN 6.75 3/15/2032 30,000,000 34,405,407.60
GENERAL ELEC CO 5 2/1/2013 21,750,000 21,486,511.58
GENERAL MTRS ACCEP CORP 5.125 5/9/2008 7,000,000 6,925,170.00
GENERAL MTRS CORP 8.375 7/15/2033 7,500,000 6,937,500.00
GENETECH INC 4.75 7/15/2015 22,000,000 21,054,372.02
GMAC LLC 6.125 1/22/2008 5,000,000 4,989,050.00
GOLDMAN SACHS CAP I 6.345 2/15/2034 17,750,000 17,922,038.50
GOLDMAN SACHS GROUP INC 4.75 7/15/2013 5,000,000 4,821,697.25
GRUPO TELEVISA SA 6.625 3/18/2025 17,000,000 17,656,948.00
GRUPO TELEVISA SA 6.625 3/18/2025 12,100,000 12,567,592.40
GS MTG SECS CORP 6.5 2/25/2035 16,634,579 16,746,761.18
HARRAHS OPER INC 5.5 7/1/2010 4,000,000 3,920,604.00
HARRAHS OPER INC 5.5 7/1/2010 2,000,000 1,960,302.00
HARRAHS OPER INC 5.5 7/1/2010 7,450,000 7,158,077.71
HARRAHS OPER INC 5.625 6/1/2015 8,900,000 7,633,067.20
HCA INC 9.125 11/15/2014 3,400,000 3,633,750.00
HERTZ CORP 8.875 1/1/2014 17,000,000 17,807,500.00
HOST HOTELS + RESORTS L P 6.875 11/1/2014 3,340,000 3,381,750.00
HOST MARRIOTT L P 6.375 3/15/2015 2,000,000 1,972,500.00
HOVNANIAN K ENTERPRISES INC 6.25 1/15/2015 7,500,000 7,125,000.00
HSBC BK USA 5.875 11/1/2034 17,985,000 17,947,777.70
HSBC FIN CAP TR IX 5.911 11/30/2035 15,400,000 15,565,612.99
HSBC FIN CORP 5 6/30/2015 8,600,000 8,359,907.69
HUTCHISON WHAMPOA INTL 6.25 1/24/2014 5,000,000 5,191,800.00
HUTCHISON WHAMPOA INTL 6.25 1/24/2014 5,420,000 5,627,911.20
HUTCHISON WHAMPOA INTL LTD 7.45 11/24/2033 10,930,000 12,602,617.90
HUTCHISON WHAMPOA INTL LTD 7.45 11/24/2033 18,370,000 21,181,161.10
IDEARC INC 8 11/15/2016 7,800,000 7,917,000.00
ILLINOIS ST 5.1 6/1/2033 6,635,000 6,358,984.00
INTERNATIONAL BUSINESS MACHS 6.22 8/1/2027 29,800,000 31,440,329.97
INTERNATIONAL FIN FAC 5 11/14/2011 20,250,000 20,069,430.75
ITC HLDGS CORP 5.875 9/30/2016 8,100,000 8,038,213.20
JPMORGAN CHASE + CO 5.15 10/1/2015 27,700,000 27,192,850.67
JPMORGAN CHASE CAP XV 5.875 3/15/2035 24,500,000 23,889,873.81
KERR MCGEE CORP 6.95 7/1/2024 8,000,000 8,538,256.80
L 3 COMMUNICATIONS CORP 6.125 1/15/2014 5,000,000 4,887,500.00
LEHMAN BROS HLDGS INC 5.75 1/3/2017 24,500,000 24,826,906.44
LOBLAW COMPANIES LTD 6.5 1/22/2029 14,000,000 13,283,902.52

LOBLAW COS LIMITED 6.65 11/8/2027 25,000,000 24,145,357.82
LOBLAWS COS LTD CPN RCPTS CDS 0 5/23/2031 40,000,000 8,038,098.51
LOBLAWS COS LTD CPN RCPTS CDS 0 11/23/2033 25,000,000 4,384,760.60
LORAL CORP 7 9/15/2023 26,300,000 29,714,789.37
LUBRIZOL CORP 4.625 10/1/2009 7,000,000 6,843,268.60
LUBRIZOL CORP 5.5 10/1/2014 3,750,000 3,656,433.98
LUBRIZOL CORP 5.5 10/1/2014 5,500,000 5,362,769.83
LYONDELL CHEMICAL CO 8 9/15/2014 6,000,000 6,225,000.00
MEDTRONIC INC 4.75 9/15/2015 10,000,000 9,483,064.30
MEDTRONIC INC 4.75 9/15/2015 9,000,000 8,534,757.87
METLIFE INC 6.375 6/15/2034 3,200,000 3,423,737.79
METLIFE INC 5.7 6/15/2035 19,000,000 18,582,113.62
METLIFE INC 6.4 12/15/2036 8,000,000 8,067,999.60
MEXICO UNITED MEXICAN STS 8.125 12/30/2019 7,200,000 8,748,000.00
MGM MIRAGE 6 10/1/2009 16,200,000 16,159,500.00
MGM MIRAGE 6.75 9/1/2012 10,625,000 10,465,625.00
MGM MIRAGE FORMLY MGM GRAND 6.75 4/1/2013 2,000,000 1,955,000.00
MGM MIRAGE FORMLY MGM GRAND 6.75 4/1/2013 5,700,000 5,571,750.00
MIDAMERICAN ENERGY CO 5.8 10/15/2036 5,000,000 4,937,471.75
MIDAMERICAN ENERGY HLDGS CO N 6.125 4/1/2036 32,000,000 32,325,776.32
MILLER BREWING CO 5.5 8/15/2013 24,700,000 24,304,883.98
NATIONAL GAS CO TRINIDAD + TOB 6.05 1/15/2036 5,000,000 4,876,485.00
NATIONAL GAS CO TRINIDAD + TOB 6.05 1/15/2036 6,000,000 5,851,782.00
NEIMAN MARCUS GROUP INC 10.375 10/15/2015 8,700,000 9,678,750.00
NEVADA PWR CO 6.5 5/15/2018 16,800,000 17,415,888.00
NEW YORK LIFE INS CO 5.875 5/15/2033 10,500,000 10,644,922.05
NEWS AMER HLDGS INC 7.7 10/30/2025 8,755,000 9,875,687.01
NEWS AMER INC 6.4 12/15/2035 19,000,000 19,000,427.69
NEXTEL COMMUNICATIONS INC 5.95 3/15/2014 10,800,000 10,570,500.00
NORFOLK SOUTHN CORP 6.75 2/15/2011 3,900,000 4,088,740.50
OHIO PWR CO 4.85 1/15/2014 9,700,000 9,304,754.10
OHIO PWR CO 6.6 2/15/2033 24,745,000 26,316,843.23
OWENS BROCKWAY GLASS CONTAINER 7.75 5/15/2011 5,000,000 5,137,500.00
OWENS BROCKWAY GLASS CONTAINER 6.75 12/1/2014 8,000,000 7,760,000.00
PACIFIC GAS + ELEC CO 6.05 3/1/2034 10,000,000 10,093,097.70
PANAMA REP 7.25 3/15/2015 11,000,000 11,907,500.00
PANAMA REP 7.25 3/15/2015 3,000,000 3,247,500.00
PANAMA REP 7.125 1/29/2026 11,000,000 11,880,000.00
PANAMERICAN BEVERAGES INC 7.25 7/1/2009 3,000,000 3,120,000.00
PEMEX PROJ FDG MASTER TR 9.375 12/2/2008 5,495,000 5,879,650.00
PEMEX PROJECT FD MAST TRUST 7.875 2/1/2009 2,000,000 2,096,000.00
PENNEY J C INC 7.125 11/15/2023 9,800,000 10,783,166.38
PENNEY J C INC 7.4 4/1/2037 2,750,000 2,997,736.50
PERU REP 9.125 2/21/2012 5,000,000 5,775,000.00
PERU REP 8.375 5/3/2016 13,000,000 15,437,500.00
PERU REP 7.35 7/21/2025 10,000,000 11,300,000.00
PETROBRAS INTL FIN CO 7.75 9/15/2014 10,000,000 11,125,000.00

PHILIPPINE LONG DIST TEL CO ME 8.35 3/6/2017 5,895,000 6,690,825.00
PHILIPPINE LONG DIST TEL CO ME 8.35 3/6/2017 7,800,000 8,853,000.00
PHILIPPINES REP 8.375 3/12/2009 5,000,000 5,312,500.00
PHILIPPINES REP 8.375 2/15/2011 10,750,000 11,771,250.00
PHILIPPINES REP 8.25 1/15/2014 17,000,000 19,188,750.00
PHILIPPINES REP 8.25 1/15/2014 3,000,000 3,386,250.00
PHILIPPINES REP 8.875 3/17/2015 3,000,000 3,551,250.00
PHILIPPINES REP 8 1/15/2016 13,150,000 14,958,125.00
PHILIPPINES REP 9.375 1/18/2017 8,800,000 10,846,000.00
PHILIPPINES REP 7.75 1/14/2031 6,500,000 7,377,500.00
PREMCOR REFNG GROUP INC 6.75 5/1/2014 6,250,000 6,550,428.13
PRINCIPAL FINL GROUP INC 6.05 10/15/2036 6,000,000 6,159,514.14
PRINCIPAL LIFE INCOME FUNDINGS 5.1 4/15/2014 9,400,000 9,234,348.97
PROLOGIS 5.625 11/15/2016 7,500,000 7,416,077.03
QUEST DIAGNOSTICS INC 5.125 11/1/2010 5,000,000 4,935,284.05
QUEST DIAGNOSTICS INC 5.45 11/1/2015 13,000,000 12,510,441.97
R H DONNELLEY CORP 6.875 1/15/2013 15,500,000 14,860,625.00
RAS LAFFAN LIQUEFIED NAT GAS 6.332 9/30/2027 3,000,000 3,038,670.00
RAS LAFFAN LIQUEFIED NAT GAS 6.332 9/30/2027 13,300,000 13,471,437.00
RAS LAFFAN LNG 5.832 9/30/2016 7,500,000 7,533,792.00
RBS CAP TR III 5.512 9/29/2049 11,000,000 10,881,542.21
RESIDENTIAL ASSET MTG PRODS 6 7/25/2032 4,306,583 4,307,930.83
RESIDENTIAL CAP CORP 6.375 6/30/2010 10,000,000 10,125,537.90
RESIDENTIAL CAP CORP 6.5 4/17/2013 15,000,000 15,226,504.95
RESIDENTIAL FDG MTG SECS I INC 5.5 12/25/2034 14,207,233 14,056,874.95
ROGERS CABLE INC 5.5 3/15/2014 15,000,000 14,342,850.00
ROYAL CARIBBEAN CRUISES LTD 6.875 12/1/2013 11,025,000 11,175,447.15
RUSSIAN FEDERATION 10 6/26/2007 11,000,000 11,231,000.00
RUSSIAN FEDN 8.25 3/31/2010 24,889,282 26,009,299.44
RUSSIAN FEDN 5 3/31/2030 48,000,000 54,300,000.00
SBC COMMUNICATIONS INC 6.15 9/15/2034 20,500,000 20,124,671.24
SEARIVER MARITIME FINL HLDGS 0 9/1/2012 43,815,000 32,752,290.86
SIEMENS FINANCIERINGSMAATSCHAP 6.125 8/17/2026 20,000,000 20,435,380.00
SIMON PPTY GROUP L P 4.875 8/15/2010 3,840,000 3,774,012.02
SIMON PPTY GROUP LP 5.875 3/1/2017 4,000,000 4,061,022.64
SOCIEDAD QUIMICA Y MINERA DE 6.125 4/15/2016 11,400,000 11,452,326.00
SOUTHERN POWERCO 6.375 11/15/2036 4,500,000 4,405,513.50
SOUTHERN PWR CO 6.25 7/15/2012 5,000,000 5,156,579.60
SOUTHERN PWR CO 6.25 7/15/2012 12,050,000 12,427,356.84
SOUTHERN PWR CO 4.875 7/15/2015 19,910,000 18,831,425.13
SOUTHERN PWR CO 4.875 7/15/2015 5,250,000 4,965,594.27
SPRINT CAP CORP 6.9 5/1/2019 17,750,000 18,276,671.43
SPRINT CAP CORP 6.875 11/15/2028 2,000,000 2,003,261.56
SUNCOR ENERGY INC 5.95 12/1/2034 15,000,000 15,143,253.75
SUNGARD DATA SYS INC 9.9725 8/15/2013 2,600,000 2,700,750.00
SUNGARD DATA SYSTEMS 10.25 8/15/2015 2,500,000 2,668,750.00
TECO ENERGY INC 7 5/1/2012 10,000,000 10,525,000.00

TECO ENERGY INC 7 5/1/2012 1,000,000 1,052,500.00
TECO ENERGY INC 6.75 5/1/2015 7,000,000 7,315,000.00
TELEFONOS DE MEXICO S A 4.5 11/19/2008 5,000,000 4,909,815.00
TELOFONOS DE MEXICO SA 5.5 1/27/2015 15,000,000 14,601,960.00
TELOFONOS DE MEXICO SA 5.5 1/27/2015 13,500,000 13,141,764.00
TEMASEK FINL LTD 4.5 9/21/2015 10,000,000 9,488,360.00
TENGIZCHEVROIL FIN CO S AR L 6.124 11/15/2014 12,000,000 11,970,000.00
TENGIZCHEVROIL FIN CO S AR L 6.124 11/15/2014 7,575,000 7,556,062.50
TEVA PHARMACEUTICAL FIN CO LLC 6.15 2/1/2036 21,500,000 20,932,662.52
TIME WARNER ENTMT CO L P 8.375 3/15/2023 19,475,000 22,753,256.55
TIME WARNER INC 6.875 6/15/2018 8,500,000 9,026,753.33
TRANSCANADA PIPELINES LTD 4.875 1/15/2015 6,000,000 5,708,592.24
TRANSCANADA PIPELINES LTD 8.29 2/5/2026 21,320,000 24,805,401.06
TRANSOCEAN SEDCO FOREX INC 7.5 4/15/2031 11,550,000 13,088,897.05
TURKEY REP 10.5 1/13/2008 20,000,000 21,000,000.00
TURKEY REP 9.875 3/19/2008 10,000,000 10,530,000.00
TURKEY REP 11.75 6/15/2010 10,000,000 11,800,000.00
TURKEY REP 7.25 3/15/2015 19,000,000 19,641,250.00
TURKEY REP 7.375 2/5/2025 4,500,000 4,612,500.00
TURKEY REP 6.875 3/17/2036 12,000,000 11,460,000.00
UNITED MEXICAN STS MTN 5.625 1/15/2017 22,000,000 22,022,000.00
UNITED MEXICAN STS MTN 5.625 1/15/2017 20,000,000 20,020,000.00
UNITED STATES TREAS BD 0 11/15/2027 450,000,000 163,552,500.00
UNITED STATES TREAS BDS 2.375 1/15/2025 193,847,178 193,102,804.97
UNITED STATES TREAS BDS 2 1/15/2026 125,991,303 118,453,243.71
UNITED STATES TREAS NTS 3.625 1/15/2008 124,933,000 126,241,048.51
UNITED STATES TREAS NTS 3 7/15/2012 168,785,876 173,756,620.55
UNITED STATES TRES BD STRP PRN 0 2/15/2015 80,000,000 54,760,800.00
UNITED STATES TRES SC STRP INT 0 2/15/2017 54,000,000 33,433,560.00
URBI DESARROLLOS URBANOS S A 8.5 4/19/2016 7,000,000 7,567,000.00

URBI DESARROLLOS URBANOS S A 8.5 4/19/2016 14,025,000 15,161,025.00
VALE OVERSEAS LTD 6.25 1/11/2016 10,500,000 10,602,049.50
VALERO ENERGY CORP NEW 7.5 4/15/2032 14,000,000 15,993,201.28
VESSEL MGMT SVCS INC 6.08 5/20/2024 12,159,500 12,814,532.27
VOTO VOTORANTIM OVERSEAS 7.875 1/23/2014 9,000,000 9,990,000.00
VOTO VOTORANTIM OVERSEAS TRAD 7.75 6/24/2020 9,700,000 10,961,000.00
WAL MART STORES INC 5.25 9/1/2035 13,500,000 12,432,852.00
WAMU MTG PASS THROUGH CTFS 5.5 8/25/2035 31,943,936 31,302,846.66
WELLS FARGO BK NATL ASSN 5.75 5/16/2016 12,500,000 12,823,001.88
WELLS FARGO CAP X 5.95 12/15/2086 9,000,000 9,006,523.11
WELLS FARGO MTG BACKED SECS 5.136486 5/25/2035 39,246,063 38,445,812.01
WESTAR ENERGY INC 5.15 1/1/2017 7,900,000 7,566,520.46
WESTERN RES INC 7.125 8/1/2009 6,000,000 6,201,678.00
WINDSTREAM CORP 8.625 8/1/2016 12,500,000 13,687,500.00
WYETH 5.5 2/1/2014 10,000,000 10,066,930.40
WYETH 5.5 2/1/2014 6,000,000 6,040,158.24
WYETH 5.5 2/15/2016 3,500,000 3,506,169.98
WYETH 6.45 2/1/2024 10,000,000 10,732,445.50
XTO ENERGY INC 5 1/31/2015 12,000,000 11,406,177.12
XTO ENERGY INC 6.1 4/1/2036 11,000,000 10,764,589.99
FIXED INCOME - EXTERNALLY MANAGED FUNDS
GOLDMAN SACHS HIGH YIELD 230,670,139.25

NCRAM HIGH YIELD TOTAL RETURN 325,482,818.64
WGBI EX US INDEX FUND 1,394,196,895.34
TOTAL FIXED INCOME 12,328,755,755.97
ALTERNATIVE ASSETS
PRIVATE EQUITY
ACCEL VIII LP 8,019,270.15

AIG ASIAN INFRASTRUCTURE FNDII 9,298,664.37
AIG ASIAN INFRASTRUCTURE FUND 259,590.10
AIG GE CAPITAL LATIN AMERICA 26,799,456.06
AIG INDIAN SECTORAL EQUITY 2,327,663.15
AISLING CAPITAL 11 790,611.33
ALTA SUB DEB III 926,184.00
APOLLO INVESTMENT FUND VI LP 4,239,583.51
ARCH VENTURE FUND VI, LP 4,343,889.68
ARES CORP OPPORTUNITY FUND II 3,641,327.42
ARSENAL CAP PTNERS 9,280,697.67

ARSENAL CAPITAL PARTNERS II LP 3,500,354.40
BAIN CAPITAL FUND IX LP 16,615,129.05
BAIN CAPITAL FUND VIII 11,831,769.92
BAIN CAPITAL IX COINVESTMENT F 5,602,957.65
BAIN CAPITAL VIII COINVETMENT 3,796,566.48
BLACKSTONE CAP PARTN IV LP 32,358,602.48
BLACKSTONE CAPITAL PARTNERS V 15,521,863.18
BLUERUN VENTURES LP 7,059,962.13
CALERA CAPITAL 6,719,073.07
CANAAN EQUITY PARTNERS VII 2,884,593.53
CENTURY PARK CAPITAL PTNS II 5,415,256.12
CHARLESBANK EQUITY FUND VI 1,541,666.44
CLAREMONT CREEK VENTURES LP 827,923.20
CLEARSTONE VENTURE PARTNERS 5,565,280.00
DARWIN VENTURE CAPITAL FUNDS 1,204,106.28
DCM IV 4,999,293.68
DE NOVO VENTURES II LP 9,829,332.22
DE NOVO VENTURES III 1,455,000.00
DOMAIN PARTNERS VI LP 5,862,066.45
DOMAIN PARTNERS VII 1,863,974.28
EOS CAPITAL PARTNERS III 10,927,729.51
EQUITY DISTRIBUTION SECURITIES 3,788,295.20
FIRST RESERVE FUND XI LP 854,145.60
FORTRESS INVESTMENT FUND III 8,252,673.89
FORTRESS INVESTMENT FUND IV 2,955,624.00
FOX PAINE CAPITAL FUND III LP 338,699.58
GENSTAR CAPITAL PARTNERS IV 6,488,752.92
GLENCOE CAP INSTL PARTNERS III 977,291.35
GLENCOE CAPITAL PARTNERS III 3,488,779.00
GLOBESPAN CAPITAL PARTNERS IV 6,575,286.18
GLOBESPAN CAPITAL PARTNERS V 4,957,936.98
GOLDER THOMA CRESSEY RAUNER 1,798.48
GOLDER THOMA CRESSEY RAUNER V 7,445,121.61
GRAHAM PARTNERS II 6,886,970.80
GRANITE CLOBAL VENTURES III 2,036,406.20
GRANITE GLOBAL VENTURES II LP 12,199,859.11
GRANITE VENTURES II 1,473,656.25
HUMMER WINBLAD VENTURE PTR III 221,970.42
INSTITUTIONAL VENTURE PARTNS 3,783,622.68
INSTITUTIONAL VENTURE PTR VIII 5,415,946.51
INTERSOUTH PARTNERS V LP 10,005,315.75
INTERSOUTH PARTNERS VI 5,108,682.04
INTERSOUTH PARTNERS VII 1,358,000.00
INTERWEST PARTNERS IX 6,375,040.00
INTERWEST PARTNERS V LP 662,300.16
INTERWEST PARTNERS VI LP 862,766.56
INTERWEST PARTNERS VII LP 5,916,637.84
INTERWEST PARTNERS VIII 25,375,815.00
INVERNESS PARTNERS II LP 5,624,564.07
ITU VENTURES III 1,062,909.99
IVP VI 697,769.30
IVP VII 5,449,097.01
J C FLOWERS II LP 11,777,793.10
JLL PARTNERS FUND V, LP 5,767,421.63

KELSO INVESTMENT ASSOC VII 11,098,702.41
KODIAK VENTURES III 4,674,820.24
KPCB AGG INVESTMENT UCRP 26,697,450.83
KRG CAPITAL III LP 4,341,187.59
LAKE CAPITAL PARTNERS LP 11,082,833.95
LATIN AMERICAN CAPITAL II LP 7,556,651.51
LIGHTHOUSE CAPITAL PARTNERS V 13,069,317.60
LIGHTSPEED VENTURE PTNERS VII 1,795,956.45
LINDSAY GOLDBERG + BESSEMER II 1,653,868.44
LINDSAY GOLDBERG + BESSEMER LP 12,754,713.48
MADISON DEARBORN CAP PART IV 44,635,688.60
MADISON DEARBORN V 3,246,354.90
MAYFIELD VIII 1,058,914.00
NOVAK BIDDLE VENTURE PARTNERS 3,675,680.67
OLYMPUS GROWTH FUND IV LP 15,164,780.21
OXFORD BIOSCIENCE IV 15,518,798.50
OXFORD BIOSCIENCE PARTNERS III 6,871,570.00
PALOMAR VENTURES III 4,491,286.80
PERSEUS 2000 EXPANSION 6,534,464.75
PERSEUS PARTNERS VII LP 5,316,215.29
PERSEUS SOROS BIO PHARM LP 4,237,126.06
POLARIS VENTURE PARTNERS III 8,956,582.93
POLARIS VENTURE PARTNERS IV 13,921,956.70
POLARIS VENTURE PRTNRS V LP 1,026,000.00
QUAD C PARTNERS VII LP 1,970,554.45
REDPOINT VENTURE I LP 4,726,953.00
REDPOINT VENTURES II LP 20,964,322.12
RIPPLEWOOD PARTNERS II LP 9,763,997.09
SEQUOIA AGG INVESTMENT UCRP 27,522,889.25
SHAMROCK CAPITAL GROWTH FD II 3,115,980.67
SKM EQUITY FUND II 14,752,180.77
SPC PARTNERS III LP 10,977,147.63
SUN CAPITAL IV LP 2,377,869.00
TECHNOLOGY PARTNERS WEST FD IV 200,160.00
TRINITY VENTURES IX P 2,037,006.60
UPDATA PARTNERS III 7,048,349.95
VENTURE STRATEGY PARTN II L P 5,998,653.45
VERSANT VENTURE CAPITAL II LP 19,516,450.50
VERSANT VENTURES I LP 14,048,580.00
VESTAR CAPITAL PARTNERS V LP 6,479,404.21
WARBURG IX BUYOUT 13,803,699.00
WARBURG IX VENTURE 20,705,548.50
WARBURG PINCUS VIII 49,845,845.15
WATER STREET CAPITAL PARTNERS 3,047,275.61
WCAS CAPITAL PARTNERS II 3,227,813.40
WCAS III 75,605,180.00
WCAS VI 5,957,199.40
WELLSPRING CAPITAL PARTNERS IV 2,874,530.70
WELSH CARSON ANDERSON + STOWE 11,875,808.48
WICKS COMM + MEDIA PRTNS III 2,864,772.96
WIND POINT PARTNERS VI 2,128,575.58
REAL ESTATE
AMB INSTITUTIONAL ALLIANCE 63,981,221.18

BEACON CAPITAL STRATEGIC 9,646,011.50

BLACKSTONE REAL ESTATE PRTN V 21,852,262.48
CALIFORNIA SMART GROWTH FD IV 8,274,621.36
CIM URBAN REIT LLC 16,151,704.79
KSL CAPITAL PARTNERS II 1,760,350.30
LEGACY PARTNERS REALTY FUND II 15,780,068.60
MORGAN STANLEY RE FUND V 6,339,127.44
PRISA II PRUDENTIAL REAL EST. 109,042,295.41
PRUDENTIAL SNR HSING PTNRS III 15,602,758.39
REALTY ASSOCIATES FUND VII 24,359,583.49
REEF GLOBAL OPPORTUNITIES FD 14,086,773.59
RREEF AMERICA REIT III 33,471,850.99
WALTON STREET REAL ESTATE V 21,633,348.02
TOTAL ALTERNATIVE ASSETS 1,331,863,634.90
TOTAL SECURITIES 46,821,957,239.32
CASH & CASH EQUIVALENTS 413,788,838.28
ACCOUNTS RECEIVABLE & ACCRUED INCOME 152,274,053.09
ACCOUNTS PAYABLE (246,215,928.83)
TOTAL NET ASSETS 47,141,804,201.86

UCRP
EQUITY INVESTMENTS
(SC = Small Cap LC = Large Cap)
Security Name Interest Rate Maturity Date Shares/Par Value Base Market Value
ADAGE CAPITAL LC 325,488,620
ALLIANCE CAPITAL 244,267,291
AMERICAN CENTURY SC 54,042,180
AMEX/KENWOOD SC 84,366,320
AQR NON-US 438,942,466
ARK ASSET MANAGEMENT CO INC LC 466,613,893
AXA ROSENBERG SC 140,758,982
BRANDYWINE NON-US 438,164,852
BURGUNDY SC 125,707,486
CAPITAL GUARDIAN TRUST COMPANY LC 161,403,401
CAUSEWAY NON-US 362,504,010
CGI EMERGING MARKETS GF 278,697,467
CORTINA ASSET MGT SC 72,638
CORTINA OPPTNTY SC 114,460,883
DELAWARE LC 590,642,754
DELAWARE INV ADV SC 90,319,079
DFA INVT DIMENSIONS GRP INC 329,162,297
EAFE STATE ST INTL INDEX 5,381,853,540
FRANKLIN PORTFOLIO ASSOCIATES LC 237,061,346
FREEMAN ASSOCIATES LC 232,815,767
GENESIS EMERGING MKT LP 295,465,393
GMO NON-US 635,174,263
GMO TR EMERGING MARKETS 179,219,513
GOLDMAN SACHS ASSET MGMT L P LC 667,547,244
HANSBERGER NON-US 215,863,248
HARRIS ASSOCIATES LP LC 441,170,287
HOTCHKIS + WILEY CAP MGMT LC 498,404,095
INTECH LC 364,002,413
IRONBRIDGE SC 176,765,182
JP MORGAN FLEMING NON-US 256,573,249
LAZARD EMERGING MKTS 154,709,976
LSV ASSET MANAGEMENT LC 585,003,990
MAZAMA SC 47,556,962
MFS NON-US 369,369,729
MONDRIAN NON US 188,720,765
NEW STAR NON-US 213,354,748
NWQ INVESTMENT MGT CP LLC LC 341,225,585
PANAGORA NON-US 195,149,509
PZENA INVESTMENT MGMT LC 571,668,568
RUSSEL 2000 TF INDEX FUND 471,068,075
RUSSELL 1000 GROWTH SL CTF 353,951,608
RUSSELL 1000 TF INDEX FUND 11,251,837,008
SANDERSON NON-US 174,234,615
T ROWE PRICE EMERGING MKTS 298,675,625
TEMPLETON INSTL FDS INC 135,494,444
THORNBURG MTG INC LC 759,880,663
UBS SC 451,510

VICTORY CAPITAL MGT INC LC 728,283,653
WELLINGTON MANAGEMENT CO LLP LC 539,988,533
WELLINGTON SC 124,073,071
TOTAL EQUITY 31,332,228,796
FIXED INCOME
AT+T INC 6.5 9/1/2037 9,000,000.00 9,436,085

AT+T INC 6.3 1/15/2038 40,500,000.00 41,307,772
AT+T WIRELESS SVCS INC 8.75 3/1/2031 8,000,000.00 10,297,574
ADVANCED MED OPTICS INC 7.5 5/1/2017 2,625,000.00 2,415,000
ALBERTSONS INC 7.25 5/1/2013 6,400,000.00 6,544,877
ALLIED WASTE NORTH AMER INC 6.875 6/1/2017 9,500,000.00 9,262,500
FNMA TBA JAN 30 SINGLE FAM 5 12/1/2099 170,500,000.00 166,330,746
ALLSTATE CORP 5.55 5/9/2035 9,000,000.00 7,951,722
ALLSTATE CORP 6.125 5/15/2037 3,800,000.00 3,666,308
ALTERNATIVE LN TR 6 4/25/2037 20,000,000.00 19,200,000
AMERICA MOVIL S A DE C V 5.5 3/1/2014 6,350,000.00 6,308,966
AMERICA MOVIL SAB DE CV 5.625 11/15/2017 9,500,000.00 9,282,403
AMERICAN ELEC PWR INC 5.25 6/1/2015 4,500,000.00 4,330,579
AMERICAN GEN FIN CORP MTN 5.75 9/15/2016 3,500,000.00 3,294,802
AMERICAN GEN FIN CORP 6.9 12/15/2017 7,000,000.00 6,998,344
AMERICAN INTL GROUP INC 6.25 3/15/2087 19,750,000.00 17,663,992
AMERICAN INTL GROUP INC 5.45 5/18/2017 17,000,000.00 16,647,165
FHLMC TBA JAN 30 GOLD SINGLE 5.5 12/1/2099 440,500,000.00 439,433,153
ANHEUSER BUSCH COS INC 5.5 1/15/2018 4,700,000.00 4,759,708
APACHE CORP 6 1/15/2037 6,000,000.00 5,949,067
APACHE CORP 5.625 1/15/2017 3,000,000.00 3,040,669
APPALACHIAN PWR CO 5.65 8/15/2012 3,000,000.00 3,048,540
ARGENTINA (REP) 8.28 12/31/2033 29,604,416.25 28,420,240
ATLAS COPCO AB 5.6 5/22/2017 9,700,000.00 9,703,541
BAC CAP TR VI 5.625 3/8/2035 17,600,000.00 14,931,643
BAE SYS HLDGS INC 5.2 8/15/2015 12,000,000.00 11,652,300
BMW VEH LEASE TR 4.59 8/15/2013 19,000,000.00 19,022,811
BW GROUP LTD 6.625 6/28/2017 15,000,000.00 16,127,433
BANC AMER FDG CORP 6 2/25/2034 5,278,454.90 5,278,455
BANC AMER ALTERNATIVE LN TR 5.5 12/25/2019 4,527,535.76 4,491,984
BANC AMER MTG SECS INC 5.75 1/25/2035 24,741,561.79 24,494,146
BANC AMER MTG SECS INC 5.176909 9/25/2035 4,288,528.03 4,170,594
BANC AMER COML MTG TR 5.688454 4/10/2049 18,000,000.00 18,438,750
BANC OF AMERICA FNDG CORP 5.76037 5/20/2047 16,175,000.00 15,386,469
BANCO MERCANTILE DEL NORTE SA 6.862 10/13/2021 11,000,000.00 11,660,242
BANCO MERCANTILE DEL NORTE SA 6.135 10/13/2016 7,750,000.00 7,663,975
BANK AMER NA CHARLOTTE NC 6 10/15/2036 15,500,000.00 14,800,390
BANK OF AMERICA 5.3 3/15/2017 24,700,000.00 24,027,215
BAXTER INTL INC 6.25 12/1/2037 8,500,000.00 8,695,049
BEAR STEARNS ARM TR 4.902872 7/25/2034 24,900,282.65 24,068,613
BEAR STEARNS ARM TR 5.348134 2/25/2036 4,338,879.26 4,333,456
BEAR STEARNS COMMERCIAL MORT 5.471 1/12/2045 12,000,000.00 12,063,600
BECTON DICKINSON + CO 7 8/1/2027 9,000,000.00 10,084,410
BOYD GAMING CORP 7.125 2/1/2016 6,950,000.00 6,567,750
BOMBARDIER INC 6.3 5/1/2014 3,100,000.00 3,030,250

BRAZIL FEDERATIVE REP 10.125 5/15/2027 15,000,000.00 21,637,500
BRAZIL FERERATIVE REP 11 8/17/2040 5,000,000.00 6,680,000
BRAZIL FEDERATIVE REP 10 8/7/2011 17,000,000.00 19,932,500
CCSA FIN LTD 7.875 5/17/2016 19,600,000.00 19,894,000
C8 CAP SPV LTD 6.64 12/31/2049 6,000,000.00 5,685,840
CHS CMNTY HEALTH SYS INC 8.875 7/15/2015 6,750,000.00 6,876,563
CRH AMER INC 6 9/30/2016 14,600,000.00 14,371,755
C10 CAP SPV LTD 6.722 12/31/2049 6,000,000.00 5,522,160
CVS CAREMARK CORP 6.25 6/1/2027 20,300,000.00 20,158,325
CVS CAREMARK CORP 6.302 6/1/2037 4,000,000.00 3,844,718
CWMBS INC 5.5 8/25/2033 20,216,344.72 20,112,146
CANADIAN NATL RY CO 6.9 7/15/2028 19,275,000.00 20,684,006
CARGILL INC 5.6 9/15/2012 2,000,000.00 2,032,780
CARGILL INC 6.625 9/15/2037 8,500,000.00 8,460,535
CARGILL INC 6 11/27/2017 9,800,000.00 9,777,617
CASE NEW HOLLAND INC 7.125 3/1/2014 15,000,000.00 14,962,500
CELULOSA ARAUCO Y CONSTITUCION 7.75 9/13/2011 2,932,000.00 3,157,404
CELULOSA ARAUCO Y CONSTITUCION 5.625 4/20/2015 4,000,000.00 3,908,993
CENTEX CORP 5.25 6/15/2015 7,400,000.00 6,266,401
CHASE MTG FIN TR 6.25 10/25/2036 20,500,000.00 20,090,000
CHASE MTG FIN TR 6 10/25/2036 12,000,000.00 11,550,000
CHESAPEAKE ENERGY CORP 6.375 6/15/2015 19,150,000.00 18,527,625
CISCO SYS INC 5.5 2/22/2016 22,000,000.00 22,384,052
CITIGROUP INC 5.875 5/29/2037 15,700,000.00 14,589,037
CITIGROUP INC 6.125 11/21/2017 8,000,000.00 8,217,552
CITIGROUP MTG LN TR 4.903672 3/25/2035 14,792,949.37 14,792,949
CITIGROUP CAP 8.3 12/21/2057 12,000,000.00 12,673,356
CITIGROUP MORTGAGE LOAN TR 6.060166 8/25/2036 23,278,214.94 23,532,948
CITIGROUP MTG LOAN TRUST INC 5.61183 4/25/2037 34,939,415.99 34,852,067
CITIGROUP COML MTG TR 5.700263 12/10/2049 44,000,000.00 45,170,400
CITIGROUP MTG LN TR 5.976388 3/25/2037 31,645,777.56 31,368,877
COCA COLA CO 5.35 11/15/2017 10,000,000.00 10,204,875
COLOMBIA REP 8.125 5/21/2024 13,000,000.00 15,502,500
COLOMBIA REP 8.25 12/22/2014 12,000,000.00 13,680,000
COLOMBIA REP 7.375 1/27/2017 9,500,000.00 10,426,250
COLUMBIA REP 7.375 9/18/2037 12,300,000.00 13,683,750
COMCAST CABLE COMMUNICATIONS 8.875 5/1/2017 10,000,000.00 11,964,867
COMCAST CORP NEW 6.5 11/15/2035 14,000,000.00 14,248,851
COMCAST CORP NEW 5.9 3/15/2016 5,000,000.00 5,024,378
COMCAST CORP NEW 5.875 2/15/2018 5,000,000.00 4,996,653
COMCAST CORP NEW 6.95 8/15/2037 6,000,000.00 6,450,201
COMPANHIA BRASILEIRA DE BEBIDA 10.5 12/15/2011 10,974,000.00 12,771,541
COMPANHIA BRASILEIRA BEBIDAS 8.75 9/15/2013 17,500,000.00 19,906,250
CONSOLIDATED NAT GAS CO 5 3/1/2014 4,300,000.00 4,184,516
COOPER U S INC 6.1 7/1/2017 7,500,000.00 7,867,532
CORPORACION NACIONAL DEL COBRE 6.375 11/30/2012 10,800,000.00 11,559,866
CORPORACION NACIONAL DEL COBRE 4.75 10/15/2014 5,000,000.00 4,809,738
COSAN FINANCE LTD 7 2/1/2017 13,800,000.00 12,937,500
COSTA RICA REP 8.11 2/1/2012 5,000,000.00 5,437,500
COSTA RICA REP 6.548 3/20/2014 2,000,000.00 2,055,000
COX COMMUNICATIONS INC MTN 6.95 1/15/2028 4,175,000.00 4,307,719

DBS BK LTD SINGAPORE 5 11/15/2019 20,000,000.00 18,860,960
DPL INC 6.875 9/1/2011 3,800,000.00 4,049,407
DR HORTON INC 8 2/1/2009 4,364,000.00 4,233,080
D R HORTON INC 7.875 8/15/2011 2,450,000.00 2,376,500
D R HORTON INC 6.125 1/15/2014 6,100,000.00 5,338,988
D R HORTON INC 5.625 9/15/2014 5,100,000.00 4,283,587
DAIMLERCHRYSLER NORTH AMER HLD 6.5 11/15/2013 5,480,000.00 5,728,260
DANAHER CORP 5.625 1/15/2018 17,500,000.00 17,460,904
DELHAIZE GROUP SA 6.5 6/15/2017 15,300,000.00 15,652,313
DENBURY RES INC DEL 7.5 4/1/2013 12,700,000.00 12,827,000
DEVELOPERS DIVERSIFIED RLTY CO 5.5 5/1/2015 8,000,000.00 7,901,187
DIAMOND OFFSHORE DRILLING INC 4.875 7/1/2015 10,000,000.00 9,541,591
DIRECTV HLDGS LLC 6.375 6/15/2015 2,700,000.00 2,592,000
DISNEY WALT CO NEW MTN BOOK 6 7/17/2017 8,500,000.00 8,984,770
DOMINION RES INC VA NEW 6.3 9/30/2066 11,200,000.00 10,856,459
DUKE RLTY LTD PARTNERSHIP 6.5 1/15/2018 5,000,000.00 5,042,879
ERAC USA FIN CO 6.7 6/1/2034 20,000,000.00 17,818,740
ERAC USA FIN CO 6.375 10/15/2017 4,800,000.00 4,637,342
ECHOSTAR DBS 6.375 10/1/2011 6,250,000.00 6,175,000
ECHOSTAR DBS CORP 7 10/1/2013 5,000,000.00 5,050,000
ECUADOR REP 10 8/15/2030 11,500,000.00 11,126,250
EMBARQ CORP 7.082 6/1/2016 16,000,000.00 16,486,096
EMPRESA NACIONAL DE ELECTRIC 8.35 8/1/2013 2,692,000.00 3,049,848
ENCANA CORP 6.625 8/15/2037 4,800,000.00 5,019,496
ENERSIS S A 7.4 12/1/2016 4,600,000.00 4,984,923
ENERSIS SA 7.375 1/15/2014 7,500,000.00 8,029,260
ENTERPRISE PRODS OPER L P 6.875 3/1/2033 7,750,000.00 7,901,252
ENTERPRISE PRODUCTS OPER 4.95 6/1/2010 3,000,000.00 3,004,861
ENTERPRISE PRODS OPER LLC 6.3 9/15/2017 4,500,000.00 4,603,330
EQUITY RESIDENTIAL 5.125 3/15/2016 16,500,000.00 15,288,018
FPL GROUP CAP INC 6.35 10/1/2066 16,500,000.00 15,363,145
FPL GROUP CAP INC 7.3 9/1/2067 3,500,000.00 3,576,286
FED HM LN PC POOL 1B3462 6.127 7/1/2037 3,887,069.48 3,956,259
FED HM LN PC POOL 1G1708 6.163 4/1/2037 16,797,637.98 17,112,594
FED HM LN PC POOL 1G1642 5.59 4/1/2037 46,687,073.48 46,745,432
FED HM LN PC POOL 1G2614 6.246 3/1/2037 18,564,360.29 18,935,648
FED HM LN PC POOL 1G1968 5.952 6/1/2037 16,282,023.53 16,449,110
FED HM LN PC POOL B14157 4 5/1/2019 4,220,806.84 4,065,267
FEDERAL HOME LN MTG CORP 6.5 7/15/2031 7,086,129.82 7,292,362
FEDERAL HOME LN BKS 4.85 2/4/2011 105,900,000.00 109,056,000
FEDERAL HOME LOAN BANK 4.875 11/27/2013 186,000,000.00 192,939,176
FEDERAL HOME LN MTG (Preferred Stock) 280,000.00 7,322,000
FED HM LN PC POOL 783164 5.786 1/1/2037 111,566,461.03 112,347,426
FREDDIE MAC 4.5 1/15/2014 8,422,000.00 8,607,167
FEDERAL HOME LN MTG CORP 5 12/14/2018 50,000,000.00 50,261,600
FEDERAL NATL MTG ASSN (Prefered Stock) 665,000.00 17,123,750
FEDERAL NATL MTG ASSN 5.125 4/15/2011 212,000,000.00 221,025,688
FEDERAL NATL MTG ASSN 6 8/22/2016 140,700,000.00 142,007,638
FNMA POOL 555813 4 10/1/2018 14,761,830.68 14,297,035
FEDERAL NATL MTG ASSN 4 7/25/2032 3,419,697.63 3,313,322
FEDERAL NATL MTG ASSN GTD REMI 3.75 7/25/2033 3,792,008.47 3,517,578
FEDERAL NATL MTG ASSN GTD 3 8/25/2032 24,298,388.08 22,341,785
FEDERAL HOME LN MTG CORP 4 10/15/2022 8,078,778.18 7,858,787

FEDERAL NATL MTG ASSN 4.875 5/18/2012 130,000,000.00 134,917,588
FNMA POOL 730016 4 7/1/2018 11,030,264.60 10,682,962
FNMA POOL 745443 5.525 3/1/2036 61,212,142.40 61,900,779
FNMA POOL 791868 5.012 8/1/2034 6,294,759.24 6,343,229
FNMA POOL 826797 4.195 7/1/2035 29,419,156.61 28,877,844
FISERV INC 6.125 11/20/2012 5,000,000.00 5,047,820
FLORIDA PWR + LT CO 5.65 2/1/2037 4,800,000.00 4,625,915
FORD MTR CO DEL 7.45 7/16/2031 5,300,000.00 3,935,250
FORD MTR CR CO 7.375 10/28/2009 4,000,000.00 3,764,984
FORD MTR CR CO 7.875 6/15/2010 5,000,000.00 4,613,335
FORD MTR CR CO 7.25 10/25/2011 1,000,000.00 866,159
FORD MTR CR CO 5.7 1/15/2010 7,400,000.00 6,667,237
FORD MTR CR CO 8 12/15/2016 3,800,000.00 3,227,762
FORD MTR CR CO 7.8 6/1/2012 4,000,000.00 3,506,648
FREEPORT MCMORAN COPPER + GOLD 8.25 4/1/2015 2,500,000.00 2,650,000
FREEPORT MCMORAN COPPER + GOLD 8.375 4/1/2017 2,500,000.00 2,681,250
FRESENIUS MED CARE CAP TR IV 7.875 6/15/2011 3,000,000.00 3,105,000
GTL TRADE FIN INC 7.25 10/20/2017 18,300,000.00 18,573,658
GMAC LLC 6.625 5/15/2012 14,633,000.00 12,164,662
GMAC LLC 6.625 5/15/2012 6,150,000.00 5,112,600
GS MTG SECS CORP 4.4962 10/25/2033 23,415,156.80 22,803,483
GS MTG SECS CORP 5 9/25/2034 27,637,022.83 26,669,727
GS MTG SECS TR 2007 GG10 5.799235 8/10/2045 17,000,000.00 17,567,800
GSC HLDGS CORP / GAMESTOP INC 8 10/1/2012 9,620,000.00 10,016,825
GAZ CAPITAL 8.625 4/28/2034 1,600,000.00 1,977,600
GAZ CAP SA LUXEMBOURG 6.212 11/22/2016 16,500,000.00 15,830,100
GAZPROM INTL S A 7.201 2/1/2020 22,660,099.34 22,971,676
GENETECH INC 4.75 7/15/2015 22,000,000.00 21,344,762
GENERAL ELEC CO 5.25 12/6/2017 12,000,000.00 11,996,916
GENERAL ELEC CAP CORP MTN 6.15 8/7/2037 4,500,000.00 4,780,931
GENERAL MTRS ACCEP CORP 5.85 1/14/2009 6,000,000.00 5,738,016
GENERAL MTRS CORP 6.375 5/1/2008 1,500,000.00 1,492,500
GOLDMAN SACHS GROUP INC 1 5.95 1/15/2027 5,000,000.00 4,519,092
GOLDMAN SACHS GROUP INC 5.625 1/15/2017 5,000,000.00 4,859,361
GOLDMAN SACHS GROUP INC 6.75 10/1/2037 8,500,000.00 8,273,520
GOLDMAN SACHS CAPITAL II 5.793 12/29/2049 8,700,000.00 7,745,828
GOLDMAN SACHS CAP I 6.345 2/15/2034 15,750,000.00 14,067,670
GRUPO TELEVISA SA 6.625 3/18/2025 24,350,000.00 24,755,476
HCA INC FORMERLY HCA HEALTHCAR 9.125 11/15/2014 6,950,000.00 7,228,000
HSBC BK USA 5.875 11/1/2034 17,985,000.00 16,327,804
HSBC FIN CAP TR IX 5.911 11/30/2035 15,400,000.00 14,188,383
HARRAHS OPER INC 5.375 12/15/2013 2,000,000.00 1,520,000
HARRAHS OPER INC 5.5 7/1/2010 14,450,000.00 13,438,500
HARRAHS OPER INC 5.625 6/1/2015 13,775,000.00 10,055,750
HASBRO INC 6.3 9/15/2017 8,400,000.00 8,594,754
HERTZ CORP 8.875 1/1/2014 14,000,000.00 14,192,500

HOSPIRA INC 6.05 3/30/2017 15,923,000.00 15,996,356
HOST HOTELS + RESORTS L P 6.875 11/1/2014 3,340,000.00 3,323,300
HOST MARRIOTT L P 6.375 3/15/2015 3,550,000.00 3,461,250
HUSKY ENERGY INC 6.8 9/15/2037 22,500,000.00 23,494,996
HUTCHISON WHAMPOA INTL LTD 7.45 11/24/2033 25,620,000.00 29,218,765
IDEARC INC 8 11/15/2016 7,800,000.00 7,156,500
INTERNATIONAL BUSINESS MACHS 6.22 8/1/2027 34,800,000.00 36,112,700
INTERNATIONAL BUSINESS MACHS 5.7 9/14/2017 6,000,000.00 6,202,572
INTERNATIONAL FIN FAC 5 11/14/2011 20,250,000.00 20,901,159
ITC HLDGS CORP 5.875 9/30/2016 13,100,000.00 13,134,990
JP MPORGAN MTG TR 4.948085 11/25/2035 11,004,820.07 10,894,772
JPMORGAN CHASE + CO 5.15 10/1/2015 9,150,000.00 8,819,212
JP MORGAN CHASE CAP XXV 6.8 10/1/2037 3,000,000.00 2,831,410
JERSEY CENT PWR + LT CO 6.15 6/1/2037 16,000,000.00 15,244,496
JP MORGAN CHASE BANK 6 10/1/2017 12,000,000.00 12,235,476
JPMORGAN CHASE CAP XX 6.55 9/29/2036 17,150,000.00 15,398,662
JPM CHASE CAPITAL XXII 6.45 1/15/2087 19,050,000.00 16,873,091
KERR MCGEE CORP 6.95 7/1/2024 4,500,000.00 4,791,591
L 3 COMMUNICATIONS CORP 6.125 1/15/2014 8,940,000.00 8,761,200
L 3 COMMUNICATIONS CORP 5.875 1/15/2015 20,950,000.00 20,216,750
LEHMAN BROS HLDGS INC 6.75 12/28/2017 7,000,000.00 7,187,399
LEHMAN BROTHERS HLDGS INC 6 7/19/2012 17,700,000.00 18,022,742
LEHMAN MTG TR 6 7/25/2037 7,831,000.00 7,635,225
LOBLAW COMPANIES LTD 6.5 1/22/2029 14,000,000.00 13,180,242
LOBLAWS COS LTD CPN RCPTS CDS 0 5/23/2031 40,000,000.00 7,720,756
LOBLAWS COS LTD CPN RCPTS CDS 0 11/23/2033 25,000,000.00 3,951,568
LORAL CORP 7 9/15/2023 26,300,000.00 29,224,973
LUBRIZOL CORP 4.625 10/1/2009 7,000,000.00 7,034,447
MGM MIRAGE 6 10/1/2009 13,200,000.00 13,134,000
MGM MIRAGE 6.75 9/1/2012 6,875,000.00 6,694,531
MGM MIRAGE FORMLY MGM GRAND 6.75 4/1/2013 3,000,000.00 2,910,000
MASTR ADJ RATE MTGS TR 5.064933 7/25/2035 22,008,671.45 21,898,628
MASTR ALTERNATIVE LN TR 6 3/25/2036 12,358,000.00 12,172,630
MCKESSON CORP NEW 5.25 3/1/2013 7,000,000.00 7,095,801
MCKESSON CORP 5.7 3/1/2017 3,700,000.00 3,678,097
MEDTRONIC INC 4.75 9/15/2015 14,700,000.00 13,984,806
MERRILL LYNCH + CO INC 6.4 8/28/2017 8,400,000.00 8,534,047
MERRILL LYNCH CO INC 6.11 1/29/2037 10,500,000.00 9,271,640
METLIFE INC 6.4 12/15/2036 11,350,000.00 10,298,986
MIDAMERICAN ENERGY HLDGS CO N 6.125 4/1/2036 24,375,000.00 24,413,737
MILLER BREWING CO 5.5 8/15/2013 24,700,000.00 24,924,973
NATIONAL GAS CO TRINIDAD + TOB 6.05 1/15/2036 11,000,000.00 10,457,172
NEIMAN MARCUS GROUP INC 10.375 10/15/2015 11,300,000.00 11,766,125
NEVADA PWR CO 6.5 5/15/2018 19,800,000.00 20,271,616
NEVADA PWR CO 6.75 7/1/2037 4,500,000.00 4,651,623
NEW YORK LIFE INS CO 5.875 5/15/2033 10,500,000.00 10,315,767
NEWS AMER HLDGS INC 7.7 10/30/2025 13,530,000.00 15,132,112
NEWS AMER INC 6.4 12/15/2035 19,000,000.00 19,216,871
NEWS AMER INC 6.65 11/15/2037 7,000,000.00 7,220,332
NEXTEL COMMUNICATIONS INC 5.95 3/15/2014 10,800,000.00 10,368,000
NORFOLK SOUTHN CORP 5.59 5/17/2025 16,161,000.00 14,858,653
ODEBRECHT FIN LTD 7.5 10/18/2017 6,000,000.00 6,030,000
OHIO PWR CO 6.6 2/15/2033 24,745,000.00 24,856,778
OHIO PWR CO 4.85 1/15/2014 8,000,000.00 7,663,192
OPTI CDA INC 7.875 12/15/2014 6,750,000.00 6,598,125

OWENS BROCKWAY GLASS CONTAINER 6.75 12/1/2014 8,000,000.00 7,960,000
PACIFICORP 6.25 10/15/2037 8,500,000.00 8,777,295
PANAMA REP 7.25 3/15/2015 14,000,000.00 15,435,000
PANAMA REP 7.125 1/29/2026 16,000,000.00 17,600,000
PANAMA REP 6.7 1/26/2036 8,000,000.00 8,440,000
PANAMERICAN BEVERAGES INC 7.25 7/1/2009 3,000,000.00 3,058,353
PEMEX PROJECT FD MAST TRUST 7.875 2/1/2009 2,000,000.00 2,055,848
PEMEX PROJ FDG MASTER TR 9.375 12/2/2008 2,773,000.00 2,873,660
PEMEX PROJ FDG MASTER TR 6.625 6/15/2035 5,000,000.00 5,270,170
JC PENNEY CORPORATION INC 6.375 10/15/2036 10,300,000.00 9,145,351
PENNEY J C INC 7.125 11/15/2023 12,800,000.00 12,813,861
PERU REP 8.375 5/3/2016 11,371,000.00 13,332,498
PERU REP 7.35 7/21/2025 16,000,000.00 18,240,000
REPUBLIC OF PERU 6.55 3/14/2037 1,000,000.00 1,045,000
PETROBRAS INTL FIN CO 8.375 12/10/2018 1,000,000.00 1,190,000
PETROPLUS FIN LTD 6.75 5/1/2014 8,500,000.00 7,915,625
PHILIPPINE LONG DIST TEL CO ME 8.35 3/6/2017 16,570,000.00 18,392,700
PHILIPPINES REP 9.375 1/18/2017 6,100,000.00 7,548,750
PHILIPPINES REP 8.25 1/15/2014 29,000,000.00 32,480,000
PHILIPPINES REP 8.375 2/15/2011 15,750,000.00 16,931,250
PHILIPPINES REP 8.875 3/17/2015 3,000,000.00 3,532,500
PHILIPPINES REP 8 1/15/2016 9,300,000.00 10,555,500
PHILIPPINES REP 7.75 1/14/2031 3,000,000.00 3,461,250
PHILLIPINES (REP) 7.5 9/25/2024 3,850,000.00 4,331,250
REPUBLIC OF THE PHILIPPINES 6.375 1/15/2032 9,050,000.00 9,004,750
PLAINS EXPL PRODTN CO 7.75 6/15/2015 7,750,000.00 7,750,000
PREMCOR REFNG GROUP INC 6.75 5/1/2014 6,250,000.00 6,711,362
PRINCIPAL FINL GROUP INC 6.05 10/15/2036 7,000,000.00 6,756,968
PRINCIPAL LIFE INCOME FUNDINGS 5.1 4/15/2014 9,400,000.00 9,161,253
PROCTER + GAMBLE CO 5.55 3/5/2037 5,000,000.00 5,026,798
PROLOGIS 5.625 11/15/2016 12,500,000.00 11,864,744
PRUDENTIAL FINL INC MED TERM 6 12/1/2017 9,000,000.00 8,962,884
PRUDENTIAL FINL INC 6.625 12/1/2037 4,000,000.00 4,033,604
PSYCHIATRIC SOLUTIONS INC 7.75 7/15/2015 5,200,000.00 5,187,000
RBS CAP TR III 5.512 9/29/2049 3,000,000.00 2,765,414
R H DONNELLEY CORP 6.875 1/15/2013 11,600,000.00 10,382,000
R H DONNELLEY CORP 8.875 10/15/2017 2,750,000.00 2,598,750
RAS LAFFAN LNG 5.832 9/30/2016 7,000,000.00 7,122,511
RAS LAFFAN LIQUEFIED NAT GAS 6.332 9/30/2027 3,000,000.00 2,848,091
RESIDENTIAL ASSET MTG PRODS 6 7/25/2032 3,419,052.92 3,419,053
RESIDENTIAL ASSET SECURIZATION 6 6/25/2036 70,215,902.87 68,811,585
RESIDENTIAL CAP CORP 7.875 6/30/2010 7,000,000.00 4,480,000
RESIDENTIAL ASSET SECURITIZATI 6.25 12/25/2036 72,294,776.45 73,606,059
ROGERS CABLE INC 5.5 3/15/2014 12,000,000.00 11,823,480
ROYAL CARIBBEAN CRUISES LTD 7.5 10/15/2027 12,881,000.00 11,744,187
RUSSIAN FEDN 8.25 3/31/2010 3,889,017.81 4,034,856
RUSSIAN FEDN 7.5 3/31/2030 39,847,500.00 45,326,531
SBC COMMUNICATIONS INC 5.625 6/15/2016 11,000,000.00 11,089,558
SCHERING PLOUGH CORP 6.55 9/15/2037 11,500,000.00 12,103,010
SIEMENS FINANCIERINGSMAATSCHAP 6.125 8/17/2026 12,500,000.00 12,379,913
SIMON PPTY GROUP L P 4.875 8/15/2010 3,840,000.00 3,802,495
SIMON PPTY GROUP L P 5.625 8/15/2014 8,850,000.00 8,584,331
SOCIEDAD QUIMICA Y MINERA DE 6.125 4/15/2016 11,400,000.00 11,246,955
SOUTHERN PWR CO 4.875 7/15/2015 16,155,000.00 15,221,516

SOUTHERN POWERCO 6.375 11/15/2036 4,500,000.00 4,391,195
SPRINT CAP CORP 6.9 5/1/2019 17,750,000.00 17,702,463
STRUCTURED ASSET SECS CORP 4.6664 7/25/2034 6,623,000.00 6,470,137
SUNCOR ENERGY INC 5.95 12/1/2034 15,000,000.00 14,525,890
SUNGUARD DATA SYS INC 9.125 8/15/2013 2,600,000.00 2,645,500
SUNGARD DATA SYSTEMS 10.25 8/15/2015 14,300,000.00 14,621,750
TARGET CORP 5.375 5/1/2017 6,250,000.00 6,067,600
TECO FIN INC 7 5/1/2012 6,495,000.00 6,495,000
TECO FIN INC 6.75 5/1/2015 7,000,000.00 7,000,000
TECO FIN INC 6.572 11/1/2017 4,505,000.00 4,505,000
TELEFONICA EMISIONES S A U 7.045 6/20/2036 9,500,000.00 10,660,415
TELEFONICA EMISIONES S AU 6.221 7/3/2017 12,600,000.00 13,091,299
TELEFONOS DE MEXICO S A 4.5 11/19/2008 5,000,000.00 4,975,500
TELOFONOS DE MEXICO SA 5.5 1/27/2015 25,700,000.00 25,236,783
TEMASEK FINL LTD 4.5 9/21/2015 10,000,000.00 9,729,920
TENGIZCHEVROIL FIN CO S AR L 6.124 11/15/2014 16,475,000.00 15,527,688
TESCO PLC 5.5 11/15/2017 5,000,000.00 4,996,240
TESCO PLC 6.15 11/15/2037 12,000,000.00 11,723,268
TEVA PHARMACEUTICAL FIN CO LLC 6.15 2/1/2036 21,500,000.00 21,265,456
THOMSON CORP 5.7 10/1/2014 8,950,000.00 8,963,689
TIME WARNER ENTMT CO L P 8.375 3/15/2023 20,375,000.00 24,153,578
TIME WARNER ENTMT CO L P 8.375 7/15/2033 7,500,000.00 9,034,408
TRANSCAPITALINVEST LTD 5.67 3/5/2014 25,750,000.00 24,672,697
TRANSOCEAN SEDCO FOREX INC 7.5 4/15/2031 17,600,000.00 19,218,971
TRANSOCEAN INC 6 3/15/2018 22,800,000.00 22,969,523
TRINIDAD + TOBAGO REP 5.875 5/17/2027 9,500,000.00 9,367,950
TURKEY REP 9.875 3/19/2008 10,000,000.00 10,100,000
TURKEY REP 10.5 1/13/2008 20,000,000.00 20,025,000
TURKEY REP 7.25 3/15/2015 21,500,000.00 23,005,000
TURKEY REP 7.375 2/5/2025 9,750,000.00 10,237,500
TURKEY REP 7 6/5/2020 8,500,000.00 8,818,750
TURKEY REP 6.875 3/17/2036 12,000,000.00 11,790,000
TURKEY REP 7 9/26/2016 5,250,000.00 5,551,875
TURKEY REP 6.75 4/3/2018 5,500,000.00 5,644,375
TURKEY REP 11.75 6/15/2010 10,000,000.00 11,562,500
US CONCRETE INC 8.375 4/1/2014 6,901,000.00 6,038,375
UNITED MEXICAN STS MTN 5.625 1/15/2017 36,300,000.00 36,790,050
UNITED STATES TRES BD STRP PRN 0 5/15/2018 448,000,000.00 286,218,240
UNITED STATES TREAS BD STRIP 0 11/15/2027 445,000,000.00 178,498,400
UNITED STATES TREAS BDS 3.625 4/15/2028 118,675,856.28 150,679,174
UNITED STATES TREAS BDS 2 1/15/2026 115,405,046.32 115,094,607
UNITED STATES TREAS NTS 3.875 1/15/2009 111,287,503.68 114,629,467
US TREASURY NTS 3.5 1/15/2011 80,962,704.33 87,086,723
US TREASURY NTS 3 7/15/2012 154,610,566.22 167,536,010
UNITED STATES TREAS NTS 2 1/15/2014 148,294,516.26 153,271,280

US TREASURY NTS 2.375 1/15/2017 100,213,384.68 105,857,403
US TREASURY SECURITY 2.625 7/15/2017 91,016,036.73 98,290,038
UNITED STATES TRES SC STRP INT 0 2/15/2019 100,000,000.00 61,171,000
URBI DESARROLLOS URBANOS S A 8.5 4/19/2016 16,025,000.00 16,425,625
VALE OVERSEAS LTD 6.25 1/11/2016 18,500,000.00 18,529,674
VALERO ENERGY CORP 6.625 6/15/2037 18,000,000.00 18,028,805
VESSEL MGMT SVCS INC 6.08 5/20/2024 11,464,500.00 12,733,391
VIRGINIA ELEC + PWR CO 5.95 9/15/2017 6,500,000.00 6,627,489
VIRGINIA ELEC + PWR CO 6.35 11/30/2037 3,000,000.00 3,055,695
VODAFONE AIRTOUCH PLC 7.875 2/15/2030 5,500,000.00 6,479,923
VODAFONE GROUP PLC NEW 5.625 2/27/2017 14,000,000.00 13,991,073
VODAFONE GROUP 6.15 2/27/2037 4,000,000.00 3,966,245
VOTO VOTORANTIM OVERSEAS 7.875 1/23/2014 9,000,000.00 9,585,000
VOTO VOTORANTIM OVERSEAS TRAD 7.75 6/24/2020 13,950,000.00 14,821,875
WAMU MTG PASS THROUGH CTFS 5.5 8/25/2035 27,801,690.72 26,967,640
WAMU MTG PASS THRU CTFS 5.71517 2/25/2037 43,968,790.65 43,826,305
WACHOVIA BK NATL ASSN MEDIUM 6.6 1/15/2038 16,500,000.00 16,582,830
WAMU MTG 5.34716 1/25/2037 79,415,003.90 79,219,103
WELLS FARGO + CO NEW 5.625 12/11/2017 17,000,000.00 17,117,918
WELLS FARGO CAP X 5.95 12/15/2036 9,000,000.00 8,344,107
WELLS FARGO BK NATL ASSN 5.75 5/16/2016 12,500,000.00 12,679,092
WELLS FARGO MTG BKD SECS 2005 5.386571 8/25/2035 6,652,615.65 6,602,825
WELLS FARGO MTG BACKED SECS 5.133999 5/25/2035 36,061,373.70 35,091,323
WELLS FARGO MTG BKD SECS 2006 5.75 3/25/2036 8,636,919.94 8,550,551
WELLS FARGO MTG BACKED SECS 5.5 4/25/2037 86,096,529.67 86,661,538
WESTAR ENERGY INC 5.15 1/1/2017 7,900,000.00 7,579,315
WESTAR ENERGY INC 5.1 7/15/2020 3,000,000.00 2,806,303
WESTERN RES INC 7.125 8/1/2009 6,000,000.00 6,162,948
WINDSTREAM CORP 8.625 8/1/2016 17,000,000.00 17,850,000
WYETH 5.5 2/1/2014 4,622,000.00 4,697,433
WYETH 6.45 2/1/2024 18,700,000.00 19,833,379
WYETH 5.95 4/1/2037 10,500,000.00 10,481,140
EATON VANCE HIGH YIELD FD 1,525,783.62 140,511,472

GOLDMAN SACHS HIGH YIELD 304,105,176.81 294,490,588
NCRAM HIGH YIELD TOTAL RETURN 323,817,649.87 327,005,635
STONE HARBOR HIGH YIELD FD 1,366,465.00 131,782,698
WGBI EX US INDEX FUND 13,501,147.04 1,475,397,126
TOTAL FIXED INCOME 13,104,704,217

ALTERNATIVE ASSETS
PRIVATE EQUITY
ACCEL VIII LP 4,113,949

AIG ASIAN INFRASTRUCTURE FNDII 11,276,335
AIG ASIAN INFRASTRUCTURE FUND 34,713
AIG GE CAPITAL LATIN AMERICA 25,114,755
AIG INDIAN SECTORAL EQUITY 511,099
AISLING CAPITAL 11 3,506,743
ALTA SUB DEB III 62,012
APOLLO INVESTMENT FUND VI LP 10,738,162
ARCH VENTURE FUND VI, LP 8,836,619
ARCH VENTURE FUND VII LP 826,926
ARES CORP OPPORTUNITY FUND II 18,125,926
ARSENAL CAP PTNERS 7,426,132
ARSENAL CAPITAL PARTNERS II LP 3,592,411
BAIN CAPITAL FUND IX LP 31,245,402
BAIN CAPITAL FUND VIII 12,320,449
BAIN CAPITAL IX COINVESTMENT F 10,321,214
BAIN CAPITAL VIII COINVETMENT 3,713,101
BLACKSTONE CAP PARTN IV LP 32,141,214
BLACKSTONE CAPITAL PARTNERS V 32,103,335
BLUERUN VENTURES LP 12,930,391
CADUCEUS PRIVATE INV III LP 4,469,855
CALERA CAPITAL 9,708,457
CANAAN EQUITY PARTNERS VII 6,108,380
CANAAN VII LP 450,539
CENTURY PARK CAPITAL PTNS II 6,886,075
CERBERUS SERIES FOUR HOLDINGS 14,417,929
CHARLESBANK EQUITY FUND VI 3,580,447
CLAREMONT CREEK VENTURES LP 2,242,264
CLEARSTONE VENTURE PARTNERS 7,948,319
DARWIN VENTURE CAPITAL FUNDS 2,767,619
DCM IV 5,451,808
DCM V 4,669,651
DE NOVO VENTURES II LP 13,319,979
DE NOVO VENTURES III 6,490,755
DOMAIN PARTNERS VI LP 8,041,944
DOMAIN PARTNERS VII 5,289,494
EOS CAPITAL PARTNERS III 13,579,358
EOS CAPITAL PARTNERSHIP IV 1,033,597
EQUITY DISTRIBUTION SECURITIES 12,845,568
FIRST RESERVE FUND XI LP 8,249,026
FORTRESS INVESTMENT FUND III 9,634,106
FORTRESS INVESTMENT FUND IV 15,754,457
FORTRESS INVESTMENT FUND V 11,782,808
FOX PAINE CAPITAL FUND III LP 8,182,723
GENSTAR CAPITAL PARTNERS IV 12,883,792
GENSTAR CAPITAL PARTNERS V 20,981,265
GLENCOE CAP INSTL PARTNERS III 718,980
GLENCOE CAPITAL PARTNERS III 2,896,561
GLOBESPAN CAPITAL PARTNERS IV 8,080,773
GLOBESPAN CAPITAL PARTNERS V 9,602,974
GOLDER THOMA CRESSEY RAUNER 25,179
GOLDER THOMA CRESSEY RAUNER V 3,106,221
GRAHAM PARTNERS II 11,414,767

GRANITE CLOBAL VENTURES III 7,584,088
GRANITE GLOBAL VENTURES II LP 15,446,921
GRANITE VENTURES II 2,401,425
HUMMER WINBLAD VENTURE PTR III 145,642
INSIGHT VENTURE PARTNERS V 10,392,713
INSIGHT VENTURE PARTNERS VI LP 4,539,091
INSTITUTIONAL VENTURE PARTNS 3,784,261
INSTITUTIONAL VENTURE PTR VIII 2,202,174
INTERSOUTH PARTNERS V LP 9,644,632
INTERSOUTH PARTNERS VI 7,186,889
INTERSOUTH PARTNERS VII 3,409,022
INTERWEST PARTNERS IX 9,589,664
INTERWEST PARTNERS V LP 651,952
INTERWEST PARTNERS VI LP 776,479
INTERWEST PARTNERS VII LP 6,299,487
INTERWEST PARTNERS VIII 29,823,390
INVERNESS PARTNERS II LP 9,133,435
ITU VENTURES III 953,334
IVP VI 378,936
IVP VII 4,570,831
J C FLOWERS II LP 9,189,921
JLL PARTNERS FUND V, LP 17,043,144
KELSO INVESTMENT ASSOC VII 32,701,766
KELSO INVESTMENT ASSOCIATES 1,420,635
KODIAK VENTURES III 7,546,855
KPCB AGG INVESTMENT UCRP 28,838,274
KRG CAPITAL III LP 10,073,593
LAKE CAPITAL PARTNERS LP 13,413,507
LATIN AMERICAN CAPITAL II LP 8,689,099
LIGHTHOUSE CAPITAL PARTNERS V 13,195,684
LIGHTSPEED VENTURE PTNERS VII 5,238,779
LINDSAY GOLDBERG + BESSEMER II 13,776,193
LINDSAY GOLDBERG + BESSEMER LP 10,947,819
MADISON DEARBORN CAP PART IV 47,383,844
MADISON DEARBORN V 73,508,910
MAYFIELD VIII 1,117,180
NOVAK BIDDLE VENTURE PARTNERS 4,775,111
NOVAK BIDDLE VENTURE PTNR V 832,431
OLYMPUS GROWTH FUND IV LP 17,302,129
OXFORD BIOSCIENCE IV 15,551,768
OXFORD BIOSCIENCE PARTNERS III 8,168,500
PALOMAR VENTURES III 5,820,595
PERSEUS 2000 EXPANSION 11,762,428
PERSEUS PARTNERS VII LP 10,022,549
PERSEUS SOROS BIO PHARM LP 3,668,682
POLARIS VENTURE PARTNERS III 8,944,433
POLARIS VENTURE PARTNERS IV 16,718,399
POLARIS VENTURE PRTNRS V LP 6,392,209
QUAD C PARTNERS VII LP 3,035,908
REDPOINT VENTURE I LP 5,412,036
REDPOINT VENTURES II LP 22,275,727
RIPPLEWOOD PARTNERS II LP 11,609,218
SEQUOIA AGG INVESTMENT UCRP 30,695,753
SHAMROCK CAPITAL GROWTH FD II 7,736,805
SKM EQUITY FUND II 14,843,619
SPC PARTNERS III LP 8,693,351

SUN CAPITAL IV LP 4,490,157
SUN CAPITAL PARTNERS V 3,610,782
TECHNOLOGY PARTNERS WEST FD IV 274,519
TERRA FIRMA CAP PARTNER III 15,514,972
THE COLUMN GROUP LP 417,478
TRINITY VENTURES IX P 3,692,116
UPDATA PARTNERS III 12,611,545
UPDATA PARTNERS IV 1,157,307
VECTOR CAPITAL IV L.P 843,184
VENTURE STRATEGY PARTN II L P 6,165,183
VERSANT VENTURE CAPITAL II LP 25,685,100
VERSANT VENTURES I LP 13,032,880
VESTAR CAPITAL PARTNERS V LP 11,481,310
W CAPITAL PARTNERS II LP 5,943,171
WARBURG IX BUYOUT 28,736,542
WARBURG IX VENTURE 43,104,812
WARBURG PINCUS PRVT EQUITY X 18,021,570
WARBURG PINCUS VIII 58,871,498
WATER STREET CAPITAL PARTNERS 9,261,127
WCAS CAPITAL PARTNERS II 3,135,817
WCAS III 35,284,200
WCAS VI 2,379,744
WELLSPRING CAPITAL PARTNERS IV 3,484,426
WELSH CARSON ANDERSON + STOWE 7,532,552
WICKS COMM + MEDIA PRTNS III 7,094,050
WIND POINT PARTNERS VI 7,979,634
WLR RECOVERY FUND IV 11,261,668
REAL ESTATE
AMB INSTITUTIONAL ALLIANCE 91,245,202

BEACON CAP STRTGIC PARTN V 21,503,124
BEACON CAPITAL STRATEGIC 16,744,153
BLACKSTONE REAL EST PARTNER VI 46,652,073
BLACKSTONE REAL ESTATE PRTN V 52,621,107
BUCHANAN FUND V, LLC 14,064,107
CALIFORNIA SMART GROWTH FD IV 17,064,199
CIM FUND III LP 1,159,082
CIM URBAN REIT LLC 29,893,758
COLONY CAPITAL VIII LP 10,402,076
CORNERSTONE APMNT VENT III LLC 7,064,112
CORNERSTONE SEPARATE ACCOUNT 114,166,240
FORUM ASIAN REALTY INCOME II 18,818,120
HEITMAN AMERICA REAL ESTATE TR 46,387,379
KSL CAPITAL PARTNERS II 674,681
LBA REALTY FUND III 19,524,491
LEGACY PARTNERS REALTY FUND II 33,465,660
LIONSTONE URBAN INV TWO 2,829,624
MACFARLANE URBAN REAL ESTATE 891,526
MORGAN STANLEY RE FUND V 33,664,812
PRISA II PRUDENTIAL REAL EST. 159,966,501
PRUDENTIAL SNR HSING PTNRS III 31,659,227
REALTY ASSOCIATES FUND VII 26,806,397
REALTY ASSOCIATES FUND VIII 41,719,240
REDWOOD GROVE INTERNATIONAL LP 7,983,000
REEF GLOBAL OPPORTUNITIES FD 54,698,681
ROCKPOINT REAL ESTATE FUND III 212,183

RREEF AMERICA REIT III 39,182,176
SQUARE MILE PARTNERS II LP 19,365,036
URBANAMERICA, LP. II 7,025,894
WALTON STREET REAL ESTATE V 67,711,010
WESTBROOK REAL ESTATE FUND VII 4,363,637
ABSOLUTE RETURN
BERNSTEIN GLOBAL DIV HEDGE F 9,517,994

ANCHORAGE CAPITAL PARTNERS 15,936,948
TIGER ASIA OVERSEASFUND LTD 18,296,862
CVI SPECIALIZED VENTURES FD A 10,888,162
CANYON VALUE REALIZATION FD 9,173,799
CHILTON GLOBAL NATURAL RESOURC 15,156,776
DAVIDSON KEMPNER DIS OPP INTL 7,438,299
DAVIDSON KEMPNER INST PRTNR 17,466,386
FONTANA CAPITAL LLC 6,917,494
GEM REALITY SECURITIES LTD 9,862,466
GIOVONE INVESTMENT PARTNERS 17,896,875
H.I.G BRIGHTPOINT CAP PARTNERS 6,903,726
HIGHLINE SELECT LTD 4,956,844
HIGHLINE CAPITAL INTL 13,898,516
IVY RISING STARS OFFSHORE FD 8,565,435
MAVERICK FUND LTD 13,198,043
OCONNOR GLOBAL FUNDAMENTAL 18,992,271
VIKING GLOBAL EQUITIES III LTD 15,779,945
AVENUE SPECIAL SITUATIONS III 134,785
OZ ASIA MASTER FUND LTD. 6,928,443
OZ OVERSEAS FUND LTD 10,772,763
SATELLITE CREDIT OPPORTUNITIES 8,922,058
SATELLITE OVERSEAS LTD PRTNSHP 23,876,090
SILVER POINT CAP OFFSHORE FD 16,319,691
SIRIOS FUND 7,339,511
STERLING STAMOS CONCENTRATED 14,457,617
TIGER CONSUMER PARTNERS LP 9,714,539
TREE LINE ASIA FD LTD 9,472,239
YORK EUROPEAN OPPORTUNITIES 11,824,378
TOTAL ALTERNATIVE ASSETS 2,843,706,996
TOTAL SECURITIES 47,280,640,009
CASH & CASH EQUIVALENTS 290,672,932
ACCOUNTS RECEIVABLE & ACCRUED INCOME 279,754,504
ACCOUNTS PAYABLE (1,183,778)
TOTAL NET ASSETS $ 47,849,883,667

UCRP
EQUITY INVESTMENTS
(SC = Small Cap MC = Mid Cap LC = Large Cap)
Security Name Interest Rate Maturity Date Shares/Par Value Market Value
ACADIAN EMERGING MARKETS 76,995,673

ADAGE CAPITAL LC 265,071,249
ALLIANCE CAPITAL EMERGING MRKT 109,347,586
AQR NON-US 246,015,192
AXA ROSENBERG SC/MC 60,845,115
GLOBAL CURRENTS NON-US 253,223,802
BURGUNDY SC 59,181,019
CAUSEWAY NON-US 193,605,644
CGI EMERGING MARKETS GF 136,224,288
CORTINA OPPORTUNITY SC 64,731,139
DE SHAW ENHANCED LC 227,502,351
DELAWARE LC 277,781,635
DFA EMERGING MRKT 151,611,750
EAFE + CANADA STATE ST INTL INDEX 4,228,843,015
GENESIS EMERGING MKT 149,992,670
GMO NON-US 369,760,453
GMO EMERGING MARKETS 79,032,224
GOLDMAN SACHS ASSET MANAGEMENT LC 340,012,927
HANSBERGER NON-US 106,665,102
IRONBRIDGE SC 142,752,385
JP MORGAN NON-US 139,406,639
LAZARD EMERGING MKTS 78,028,800
LSV ASSET MANAGEMENT LC 314,771,389
MFS NON-US 236,529,581
MONDRIAN NON-US 117,736,347
MSCI ACWI FUND 538,292,976
NEW STAR NON-US 108,150,031
NWQ LC 181,194,210
PANAGORA NON-US 107,215,133
RENAISSANCE INSTITUTIONAL EQUITIES FUND LC 44,913,696
RUSSELL 3000 INDEX FUND 6,712,111,059
SANDERSON NON-US 118,436,888
T ROWE PRICE EMERGING MKTS 117,171,361
TEMPLETON INSTL EMERGING MRKT 58,999,759
TIMESSQUARE MC 146,090,788
VICTORY LC 350,108,493
WELLINGTON SC 85,671,152
TOTAL EQUITY 16,994,023,521
FIXED INCOME
ALBERTSONS INC 7.25 5/1/2013 6,090,000 5,146,050

ALLIED WASTE NORTH AMER INC 6.875 6/1/2017 9,065,000 8,430,450
ALLSTATE CORP 5.55 5/9/2035 9,000,000 7,498,365
ALLSTATE CORP 6.125 5/15/2037 3,450,000 2,173,500
ALTERNATIVE LN TR 6 4/25/2037 20,000,000 18,000,000
AMERICA MOVIL S A DE C V 5.5 3/1/2014 4,350,000 4,002,000
AMERICAN HONDA FIN CORP 7.625 10/1/2018 5,000,000 5,631,687
AMGEN INC 6.15 6/1/2018 6,500,000 6,880,129
ARAMARK CORP 8.5 2/1/2015 3,900,000 3,529,500
ARGENTINA(REP) 8.28 12/31/2033 4,703,041 1,516,731
AT+T INC 5.5 2/1/2018 9,000,000 9,031,087

AT+T INC 6.5 9/1/2037 9,000,000 9,693,632
AT+T INC 6.3 1/15/2038 19,000,000 19,949,946
AT+T WIRELESS SVCS INC 8.75 3/1/2031 7,550,000 9,336,535
ATLAS COPCO AB 5.6 5/22/2017 9,275,000 9,381,198
BAC CAP TR VI 5.625 3/8/2035 17,600,000 14,028,866
BAE SYS HLDGS INC 5.2 8/15/2015 11,500,000 10,646,216
BANC AMER ALTERNATIVE LN TR 5.5 12/25/2019 3,924,467 4,002,956
BANC AMER FDG CORP 6 2/25/2034 4,908,558 4,982,186
BANC AMER MTG SECS INC 5.75 1/25/2035 22,903,735 23,361,810
BANC AMER MTG SECS INC 5.172667 9/25/2035 3,971,922 4,051,360
BANC OF AMERICA FNDG CORP 5.757736 5/20/2036 16,175,000 16,660,250
BANCO MERCANTILE DEL NORTE SA 6.135 10/13/2016 7,750,000 4,964,573
BANCO NACIONAL DE DESENVOLVIME 6.369 6/16/2018 13,000,000 12,350,000
BANK AMER NA CHARLOTTE NC 6 10/15/2036 6,762,000 6,865,647
BANK OF AMERICA 5.3 3/15/2017 25,050,000 23,690,668
BANK OF AMERICA CORP 8 12/29/2049 6,500,000 4,675,372
BANK OF AMERICA CORP 8 12/29/2049 17,350,000 12,318,500
BAXTER INTL INC 5.375 6/1/2018 8,500,000 8,768,550
BAXTER INTL INC 6.25 12/1/2037 8,100,000 9,249,298
BEAR STEARNS ARM TR 4.899173 7/25/2034 23,146,223 23,840,610
BEAR STEARNS ARM TR 5.346249 2/25/2036 3,971,557 4,070,846
BEAR STEARNS COMMERCIAL MORT 5.471 1/12/2045 3,000,000 2,141,042
BECTON DICKINSON + CO 7 8/1/2027 8,575,000 7,976,794
BERKSHIRE HATHAWAY FIN CORP 5 8/15/2013 4,000,000 4,068,964
BERKSHIRE HATHAWAY FIN CORP 5.4 5/15/2018 8,000,000 8,223,624
BHP BILLITON FIN USA LTD 5.4 3/29/2017 3,000,000 2,676,732
BMC SOFTWARE INC 7.25 6/1/2018 5,000,000 4,223,975
BMC SOFTWARE INC 7.25 6/1/2018 4,000,000 3,379,180
BMW VEH LEASE TR 4.59 8/15/2013 19,000,000 18,375,898
BOLIVARIAN REPUBLIC VENEZUELA 9 5/7/2023 15,500,000 6,200,000
BOMBARDIER INC 6.3 5/1/2014 7,775,000 6,394,938
BOYD GAMING CORP 7.125 2/1/2016 6,700,000 3,953,000
BRASKEM FIN LTD 7.25 6/5/2018 3,000,000 2,130,000
BRASKEM FIN LTD 7.25 6/5/2018 1,400,000 994,000
BRAZIL FEDERATIVE REP 10 8/7/2011 15,000,000 17,250,000
BRAZIL FEDERATIVE REP 7.875 3/7/2015 24,200,000 27,467,000
BRAZIL FERERATIVE REP 11 8/17/2040 5,000,000 6,525,000
BW GROUP LTD 6.625 6/28/2017 15,000,000 13,963,578
C10 CAP SPV LTD 6.722 12/31/2049 6,000,000 2,854,980
C8 CAP SPV LTD 6.64 12/31/2049 2,000,000 1,014,000
CAMERON INTL CORP 6.375 7/15/2018 4,500,000 4,173,458
CANADIAN NATL RY CO 6.9 7/15/2028 18,375,000 20,180,441
CARGILL INC 6 11/27/2017 14,800,000 13,645,448
CARGILL INC 6.625 9/15/2037 8,500,000 7,639,217
CASE NEW HOLLAND INC 7.125 3/1/2014 4,600,000 3,266,000
CCSA FIN LTD 7.875 5/17/2016 8,000,000 7,200,000
CCSA FIN LTD 7.875 5/17/2016 8,600,000 7,740,000
CENTEX CORP 4.55 11/1/2010 2,500,000 2,050,000
CENTEX CORP 5.25 6/15/2015 2,425,000 1,503,500
CENTEX CORP 5.25 6/15/2015 7,400,000 4,440,000
CHASE MTG FIN TR 6.25 10/25/2036 20,500,000 20,500,000
CHASE MTG FIN TR 6 10/25/2036 12,000,000 12,000,000
CHESAPEAKE ENERGY CORP 6.375 6/15/2015 11,855,000 9,365,450
CHESAPEAKE ENERGY CORP 6.375 6/15/2015 6,750,000 5,332,500
CHS CMNTY HEALTH SYS INC 8.875 7/15/2015 6,450,000 5,934,000
CISCO SYS INC 5.5 2/22/2016 11,050,000 11,682,920
CITIGROUP CAP 8.3 12/21/2057 12,000,000 8,820,000
CITIGROUP INC 5.5 4/11/2013 7,100,000 6,873,150
CITIGROUP MTG LN TR 5.707511 4/25/2035 9,606,636 9,414,504

CME GROUP INC 5.4 8/1/2013 6,000,000 5,960,880
COLOMBIA REP 8.25 12/22/2014 12,000,000 12,930,000
COLOMBIA REP 7.375 1/27/2017 12,000,000 12,480,000
COLOMBIA REP 8.125 5/21/2024 8,000,000 8,560,000
COLUMBIA REP 7.375 9/18/2037 9,700,000 9,506,000
COMCAST CABLE COMMUNICATIONS 8.875 5/1/2017 10,000,000 10,774,409
COMCAST CORP 5.875 2/15/2018 5,000,000 4,704,950
COMCAST CORP 6.5 11/15/2035 14,700,000 14,539,293
COMCAST CORP 6.4 5/15/2038 6,200,000 6,089,488
COMPANHIA BRASILEIRA DE BEBIDA 10.5 12/15/2011 10,974,000 12,043,965
COMPANHIA DE BEBIDAS DAS 8.75 9/15/2013 2,000,000 2,100,000
COMPANHIA DE BEBIDAS DAS 8.75 9/15/2013 6,750,000 7,087,499
CONSOLIDATED NAT GAS CO 5 3/1/2014 3,650,000 3,351,633
CONSTELLATION BRANDS INC 7.25 9/1/2016 5,000,000 4,725,000
COOPER U S INC 6.1 7/1/2017 7,150,000 7,079,845
CORPORACION NACIONAL DEL COBRE 6.375 11/30/2012 1,750,000 1,780,625
COSTA RICA REP 8.11 2/1/2012 5,000,000 5,030,544
COSTA RICA REP 6.548 3/20/2014 2,000,000 1,882,937
COX COMMUNICATIONS INC NEW 6.25 6/1/2018 12,000,000 10,448,211
CRH AMER INC 6 9/30/2016 13,950,000 8,858,250
CRH AMER INC 8.125 7/15/2018 4,500,000 3,262,500
CVS CAREMARK CORP 6.25 6/1/2027 15,300,000 14,291,134
CVS CAREMARK CORP 6.302 6/1/2037 3,000,000 1,200,000
CWMBS INC 5.5 8/25/2033 19,070,425 19,451,834
D R HORTON INC 7.875 8/15/2011 2,450,000 1,911,000
D R HORTON INC 6.125 1/15/2014 3,600,000 2,340,000
D R HORTON INC 5.625 9/15/2014 2,425,000 1,673,250
DAIMLER CHRYSLER NORTL HLDG CO 7.2 9/1/2009 1,500,000 1,455,350
DANAHER CORP 5.625 1/15/2018 16,675,000 17,011,140
DBS BK LTD SINGAPORE 5 11/15/2019 20,000,000 18,060,700
DELHAIZE GROUP SA 6.5 6/15/2017 14,600,000 13,065,175
DENBURY RES INC DEL 7.5 4/1/2013 10,475,000 7,961,000
DEVELOPERS DIVERSIFIED RLTY CO 5.5 5/1/2015 12,925,000 3,867,064
DIAGEO CAP PLC 7.375 1/15/2014 6,750,000 7,171,671
DIAMOND OFFSHORE DRILLING INC 4.875 7/1/2015 10,100,000 9,367,121
DIRECTV HLDGS LLC 6.375 6/15/2015 2,575,000 2,375,438
DISNEY WALT CO NEW MTN BOOK 6 7/17/2017 8,075,000 8,572,738
DOMINION RES INC 7 6/15/2038 12,900,000 12,304,021
DOMINION RES INC 8.875 1/15/2019 3,000,000 3,231,281
DOMINION RES INC 6.3 9/30/2066 9,650,000 4,149,500
DPL INC 6.875 9/1/2011 3,800,000 3,715,200
DR HORTON INC 8 2/1/2009 4,364,000 4,334,363
DU PONT E I DE NEMOURS + CO 6 7/15/2018 16,700,000 17,312,270
E ON INTL FIN B V 5.8 4/30/2018 7,000,000 6,636,772
E ON UNTL FIN B V 6.65 4/30/2038 10,000,000 9,581,330
ECHOSTAR DBS 6.375 10/1/2011 5,750,000 5,347,500
ECHOSTAR DBS CORP 7 10/1/2013 5,000,000 4,337,500
ECHOSTAR DBS CORP 7.75 5/31/2015 5,000,000 4,250,000
EL SALVADOR REP 8.25 4/10/2032 1,800,000 1,170,000
EMBARQ CORP 7.082 6/1/2016 4,115,000 3,086,250
EMBARQ CORP 7.082 6/1/2016 15,350,000 11,512,500
ENBRIDGE ENERGY PARTNERS L P 9.875 3/1/2019 4,000,000 4,080,000
ENERGY TRANSFER PARTNERS L P 9.7 3/15/2019 4,000,000 4,140,000
ENTERPRISE PRODS OPER L P 8.375 8/1/2066 6,475,000 3,561,250
ENTERPRISE PRODS OPER LLC 6.3 9/15/2017 3,800,000 3,292,250
EQUITY RESIDENTIAL 5.125 3/15/2016 6,850,000 4,876,024
ERAC USA FIN CO 6.375 10/15/2017 4,800,000 3,133,138
ERAC USA FIN CO 6.7 6/1/2034 20,000,000 9,109,958
EVRAZ GROUP S A 8.875 4/24/2013 1,750,000 892,500
FANNIE MAE 5.125 7/13/2009 6,000,000 6,146,316
FANNIE MAE 6.25 2/1/2011 50,000,000 53,210,075
FANNIE MAE 5.125 4/15/2011 50,900,000 54,995,297
FANNIE MAE 5.25 8/1/2012 144,600,000 151,508,063
FANNIE MAE 4.75 1/2/2013 85,000,000 85,000,000
FANNIE MAE 4 7/25/2032 2,882,827 2,893,440
FANNIE MAE 3 8/25/2032 21,036,772 20,591,187
FANNIE MAE 3.75 7/25/2033 3,368,852 3,272,345

FANNIE MAE (Preferred Stock) 915,000 759,450
FANNIE MAE 5.052 8/1/2034 5,342,322 5,436,459
FANNIE MAE 4.166 7/1/2035 27,164,311 27,213,614
FANNIE MAE 5 6/1/2038 20,566,315 21,052,349
FANNIE MAE 6 12/1/2099 521,000,000 536,304,375
FEDERAL HOME LOAN 6.009 7/1/2037 3,050,583 3,121,595
FEDERAL HOME LOAN (Preferred Stock) 288,000 112,320
FEDERAL HOME LOAN 5 12/14/2018 27,750,000 28,763,291
FEDERAL HOME LOAN 4 10/15/2022 6,709,096 6,671,531
FIFTH THIRD BANCORP 8.25 3/1/2038 16,100,000 13,202,000
FISERV INC 6.125 11/20/2012 5,000,000 4,415,389
FLORIDA PWR + LT CO 5.65 2/1/2037 3,900,000 4,106,011
FORD MTR CR CO 7.375 10/28/2009 4,000,000 3,512,884
FORD MTR CR CO 5.7 1/15/2010 3,000,000 2,549,490
FPL GROUP CAP INC 6.35 10/1/2066 16,500,000 7,920,000
FPL GROUP CAP INC 7.3 9/1/2067 3,500,000 1,855,000
FREEPORT MCMORAN COPPER + GOLD 8.25 4/1/2015 2,500,000 2,125,000
FREEPORT MCMORAN COPPER + GOLD 8.375 4/1/2017 2,280,000 1,858,200
FRESENIUS MED CARE CAP TR IV 7.875 6/15/2011 2,865,000 2,721,750
GAZ CAP SA LUXEMBOURG 6.212 11/22/2016 3,200,000 2,112,000
GAZPROM INTL S A 7.201 2/1/2020 6,440,066 4,701,248
GAZPROM INTL S A 7.201 2/1/2020 13,685,140 9,990,152
GENERAL ELEC CAP CORP 5.625 9/15/2017 1,200,000 1,197,800
GENETECH INC 4.75 7/15/2015 17,300,000 17,155,415
GOLDMAN SACHS CAP I 6.345 2/15/2034 8,000,000 5,480,000
GOLDMAN SACHS CAPITAL II 5.793 12/29/2049 7,250,000 2,573,750
GOLDMAN SACHS GROUP 5.3 2/14/2012 5,000,000 4,755,395
GOLDMAN SACHS GROUP 5.95 1/18/2018 5,000,000 4,652,065
GOLDMAN SACHS GROUP INC 6.15 4/1/2018 4,000,000 3,796,695
GRUPO TELEVISA SA 6 5/15/2018 8,000,000 6,640,000
GRUPO TELEVISA SA 6.625 3/18/2025 17,000,000 14,637,901
GRUPO TELEVISA SA 6.625 3/18/2025 7,025,000 6,006,375
GS MTG SECS CORP 4.4918 10/25/2033 21,185,459 21,185,459
GS MTG SECS CORP 5 9/25/2034 25,552,030 25,679,790
GSC HLDGS CORP / GAMESTOP INC 8 10/1/2012 9,170,000 8,528,100
GTL TRADE FIN INC 7.25 10/20/2017 2,500,000 2,097,150
HARRAHS OPER INC 5.5 7/1/2010 2,000,000 1,240,000
HARRAHS OPER INC 5.5 7/1/2010 4,250,000 2,698,750
HCA INC FORMERLY HCA HEALTHCAR 9.125 11/15/2014 7,140,000 6,622,350
HERTZ CORP 8.875 1/1/2014 13,375,000 8,225,625
HEWLETT PACKARD CO 6.125 3/1/2014 10,000,000 10,688,982
HEWLETT PACKARD CO 5.5 3/1/2018 9,000,000 9,293,211
HOSPIRA INC 6.05 3/30/2017 15,273,000 13,926,460
HOST HOTELS + RESORTS L P 6.875 11/1/2014 3,340,000 2,571,800
HOST MARRIOTT L P 6.375 3/15/2015 3,250,000 2,421,250
HSBC BK USA 5.875 11/1/2034 7,335,000 7,041,466
HSBC FIN CAP TR IX 5.911 11/30/2035 15,400,000 7,700,000
HSBC HLDGS PLC 6.8 6/1/2038 10,000,000 10,544,830
HUSKY ENERGY INC 6.8 9/15/2037 21,600,000 17,313,704
HUTCHISON WHAMPOA INTL LTD 7.45 11/24/2033 6,930,000 6,189,322
HUTCHISON WHAMPOA INTL LTD 7.45 11/24/2033 16,740,000 15,396,447
INDONESIA REP 6.75 3/10/2014 2,500,000 2,225,000
INDONESIA REP 6.875 1/17/2018 18,600,000 15,438,000
INTERNATIONAL BUSINESS MACHS 6.22 8/1/2027 23,400,000 25,526,370
INTERNATIONAL BUSINESS MACHS 8 10/15/2038 15,000,000 19,668,569

INTERNATIONAL BUSINESS MACHS 7.625 10/15/2018 1,500,000 1,769,735
INTERNATIONAL FIN FAC 5 11/14/2011 20,250,000 21,412,937
ITC HLDGS CORP 5.875 9/30/2016 12,525,000 11,870,243
ITC HLDGS CORP 6.05 1/31/2018 5,000,000 4,764,727
JP MORGAN CHASE CAP XXV 6.8 10/1/2037 2,350,000 2,002,565
JP MPORGAN MTG TR 4.946402 11/25/2035 8,876,983 9,054,523
JPM CHASE CAPITAL XXII 6.45 2/2/2037 6,250,000 4,922,240
JPMORGAN CHASE + CO 5.15 10/1/2015 9,150,000 8,722,342
JPMORGAN CHASE + CO 7.9 4/29/2049 12,700,000 12,577,747
JPMORGAN CHASE CAP XX 6.55 9/29/2036 17,150,000 13,623,701
KERR MCGEE CORP 6.95 7/1/2024 4,300,000 3,606,443
KROGER CO 7.5 1/15/2014 3,800,000 4,051,261
L 3 COMMUNICATIONS CORP 6.125 1/15/2014 5,000,000 4,537,500
LEHMAN BROS HLDGS INC 5.625 1/24/2013 7,600,000 988,000
LEHMAN MTG TR 6 7/25/2037 7,831,000 7,439,450
LOBLAWS COS LTD CPN RCPTS CDS 0 5/23/2031 40,000,000 4,076,468
LORAL CORP 7 9/15/2023 21,100,000 19,908,288
LUBRIZOL CORP 5.5 10/1/2014 1,000,000 905,142
MASTR ADJ RATE MTGS TR 4.489314 7/25/2035 18,372,693 16,994,741
MASTR ALTERNATIVE LN TR 6 3/25/2036 12,358,000 11,987,260
MCKESSON CORP 5.7 3/1/2017 4,700,000 4,393,377
MCKESSON CORP NEW 5.25 3/1/2013 5,550,000 5,144,661
MERRILL LYNCH + CO INC 6.15 4/25/2013 6,000,000 5,963,100
MERRILL LYNCH + CO INC 6.875 4/25/2018 15,000,000 15,598,455
MERRILL LYNCH MTG INVS TR 5.789129 5/25/2036 16,937,220 17,614,708
METLIFE INC 6.817 8/15/2018 4,000,000 3,800,000
METLIFE INC 6.4 12/15/2036 7,500,000 4,350,000
MGM MIRAGE 6 10/1/2009 2,750,000 2,626,250
MGM MIRAGE 6 10/1/2009 11,200,000 10,883,660
MGM MIRAGE 6.75 9/1/2012 6,575,000 4,602,500
MIDAMERICAN ENERGY HLDGS CO N 6.125 4/1/2036 12,875,000 11,972,283
MILLER BREWING CO 5.5 8/15/2013 5,700,000 5,304,135
MOOG INC 7.25 6/15/2018 5,300,000 4,240,000
MORGAN STANLEY GROUP INC 5.3 3/1/2013 4,000,000 3,640,000
NATIONAL GAS CO TRINIDAD + TOB 6.05 1/15/2036 5,000,000 3,579,210
NATIONAL GAS CO TRINIDAD + TOB 6.05 1/15/2036 6,000,000 4,361,350
NEIMAN MARCUS GROUP INC 10.375 10/15/2015 9,165,000 3,940,950
NEIMAN MARCUS GROUP INC 10.375 10/15/2015 1,700,000 731,000
NEVADA PWR CO 6.5 5/15/2018 13,700,000 13,007,818
NEVADA PWR CO 6.5 8/1/2018 5,000,000 4,743,557
NEVADA PWR CO 6.75 7/1/2037 4,500,000 4,015,618
NEW YORK LIFE INS CO 5.875 5/15/2033 10,075,000 8,824,833
NEWS AMER HLDGS INC 7.7 10/30/2025 13,530,000 13,866,987
NEWS AMER INC 6.4 12/15/2035 17,500,000 16,462,219
NEXTEL COMMUNICATIONS INC 5.95 3/15/2014 4,200,000 1,764,000
NORFOLK SOUTHN CORP 5.75 4/1/2018 4,000,000 3,943,139
NORFOLK SOUTHN CORP 5.59 5/17/2025 15,511,000 13,903,355
NORTHERN TRUST CO BANK MTN 6.5 8/15/2018 7,000,000 7,516,746
ODEBRECHT FIN LTD 7.5 10/18/2017 1,000,000 800,000
ODEBRECHT FIN LTD 7.5 10/18/2017 7,200,000 5,760,000
OHIO PWR CO 5.75 9/1/2013 2,000,000 1,927,677
OHIO PWR CO 6.6 2/15/2033 23,645,000 22,064,141
OPTI CDA INC 7.875 12/15/2014 6,450,000 3,289,500
OWENS BROCKWAY GLASS CONTAINER 6.75 12/1/2014 7,635,000 7,024,200
PACIFICORP 6.25 10/15/2037 8,500,000 8,864,604
PANAMA REP 7.25 3/15/2015 10,000,000 10,200,000
PANAMA REP 7.25 3/15/2015 3,000,000 3,052,500
PANAMA REP 7.125 1/29/2026 16,000,000 15,080,000
PANAMA REP 6.7 1/26/2036 8,000,000 7,200,000
PARKER HANNIFIN CORP MEDIUM 5.5 5/15/2018 8,500,000 8,051,925
PEMEX PROJ FDG MASTER TR 7.875 2/1/2009 2,000,000 2,001,906
PENNEY J C INC 7.125 11/15/2023 4,150,000 2,946,500

PERU REP 8.375 5/3/2016 10,171,000 10,959,253
PERU REP 7.35 7/21/2025 16,000,000 15,920,000
PETROBRAS INTL FIN CO 7.75 9/15/2014 10,000,000 10,700,000
PETROPLUS FIN LTD 6.75 5/1/2014 8,125,000 5,159,375
PHILIPPINE LONG DIST TEL CO ME 8.35 3/6/2017 7,800,000 7,332,000
PHILIPPINE LONG DIST TEL CO ME 8.35 3/6/2017 8,770,000 8,243,800
PHILIPPINES REP 8.375 2/15/2011 15,750,000 16,380,000
PHILIPPINES REP 8.25 1/15/2014 26,700,000 27,768,000
PHILIPPINES REP 8.875 3/17/2015 3,000,000 3,180,000
PHILIPPINES REP 8 1/15/2016 9,300,000 9,579,000
PHILIPPINES REP 9.375 1/18/2017 6,100,000 6,588,000
PHILIPPINES REP 7.5 9/25/2024 3,850,000 3,696,000
PHILIPPINES REP 7.75 1/14/2031 2,000,000 2,020,000
PLAINS EXPL + PRODTN CO 7.75 6/15/2015 7,400,000 5,587,000
PLAINS EXPL + PRODTN CO 7.625 6/1/2018 2,000,000 1,370,000
PPG INDS INC 6.65 3/15/2018 11,000,000 10,923,601
PREMCOR REFNG GROUP INC 6.75 5/1/2014 6,250,000 6,063,145
PRINCIPAL FINL GROUP INC 6.05 10/15/2036 12,000,000 8,238,585
PROLOGIS 5.625 11/15/2016 12,000,000 4,440,000
PRUDENTIAL FINL INC 6.625 12/1/2037 7,400,000 5,133,557
PRUDENTIAL FINL INC 6 12/1/2017 6,700,000 5,234,998
PSYCHIATRIC SOLUTIONS INC 7.75 7/15/2015 4,975,000 3,656,625
R H DONNELLEY CORP 11.75 5/15/2015 4,740,000 1,161,300
R H DONNELLEY CORP 8.875 10/15/2017 74,000 11,100
RAS LAFFAN LIQUEFIED NAT GAS 5.832 9/30/2016 7,000,000 5,671,574
RAS LAFFAN LIQUEFIED NAT GAS 6.332 9/30/2027 3,000,000 2,015,670
REPUBLIC OF PERU 6.55 3/14/2037 1,000,000 892,500
REPUBLIC OF THE PHILIPPINES 6.375 1/15/2032 5,800,000 5,510,000
REPUBLIC OF TURKEY 7 3/11/2019 8,200,000 7,913,000
RESIDENTIAL ASSET MTG PRODS 6 7/25/2032 2,445,859 2,482,547
RESIDENTIAL ASSET SECURIZATION 6 6/25/2036 64,607,623 45,225,336
RESIDENTIAL ASSET SECURIZATION 6.25 12/25/2036 66,647,364 36,656,050
RESOLUTION FDG CORP PRINC STRP 0 10/15/2019 392,500,000 264,235,318
RFMSI SER 2006 S7 TR 6.25 8/25/2036 22,404,023 22,628,063
RIO TINTO FIN USA LTD 5.875 7/15/2013 5,000,000 3,775,000
ROGERS CABLE INC 5.5 3/15/2014 11,470,000 10,581,706
ROGERS COMMUNICATIONS INC 6.8 8/15/2018 5,000,000 4,930,025
ROYAL CARIBBEAN CRUISES LTD 7.5 10/15/2027 9,456,000 4,255,200
ROYAL CARIBBEAN CRUISES LTD 7.5 10/15/2027 3,000,000 1,440,521
RUSSIAN FEDN 8.25 3/31/2010 2,000,184 2,070,191
RUSSIAN FEDN 7.5 3/31/2030 47,873,000 41,769,193
SABMILLER PLC 6.5 7/1/2016 10,000,000 9,298,689
SABMILLER PLC 6.5 7/15/2018 4,500,000 4,083,014
SCHERING PLOUGH CORP 6.55 9/15/2037 11,000,000 11,233,884
SIEMENS FINANCIERINGSMAATSCHAP 6.125 8/17/2026 11,975,000 11,832,335
SIMON PPTY GROUP L P 5.625 8/15/2014 8,850,000 5,977,520
SLM CORP 4.5 7/26/2010 3,500,000 3,037,535
SOCIEDAD QUIMICA Y MINERA DE 6.125 4/15/2016 11,400,000 11,051,399
SOUTH AFRICA REP 7.375 4/25/2012 4,300,000 4,246,250
SOUTHERN PWR CO 4.875 7/15/2015 11,155,000 10,201,145
SOUTHERN PWR CO 6.375 11/15/2036 3,600,000 2,937,974
SPRINT CAP CORP 6.875 11/15/2028 6,175,000 3,674,125
STRUCTURED ASSET SECS CORP 4.6579 7/25/2034 6,623,000 6,821,690
SUNCOR ENERGY INC 5.95 12/1/2034 14,350,000 10,327,102
SUNCOR ENERGY INC 6.85 6/1/2039 7,000,000 5,630,776
SUNGARD DATA SYSTEMS 9.125 8/15/2013 2,100,000 1,816,500
TBW MORTGAGE BACKED TR 6 7/25/2036 16,468,814 16,715,847
TECO FINANCE INC 7 5/1/2012 5,469,000 5,033,137
TECO FINANCE INC 6.75 5/1/2015 7,500,000 6,965,979
TECO FINANCE INC 6.572 11/1/2017 4,096,000 3,096,073
TECO FINANCE INC 6.572 11/1/2017 2,457,000 1,857,191
TELEFONICA EMISIONES S A U 6.221 7/3/2017 7,600,000 7,462,803
TELEFONICA EMISIONES S A U 7.045 6/20/2036 4,650,000 5,108,429
TEMASEK FINL LTD 4.5 9/21/2015 9,550,000 9,534,624

TENGIZCHEVROIL FIN CO S AR L 6.124 11/15/2014 8,487,000 6,450,120
TENGIZCHEVROIL FIN CO S AR L 6.124 11/15/2014 5,636,568 4,110,102
TESCO PLC 6.15 11/15/2037 7,425,000 6,615,816
TEVA PHARMACEUTICAL FIN CO LLC 6.15 2/1/2036 20,600,000 20,367,041
THORNBURG MTG SECS TR 6.11969 4/25/2045 11,480,739 11,538,143
TICKETMASTER 10.75 8/1/2016 2,700,000 1,458,000
TIME WARNER CABLE INC 6.75 7/1/2018 20,500,000 19,534,497
TIME WARNER CABLE INC 8.75 2/14/2019 2,800,000 3,024,550
TIME WARNER ENTMT CO L P 8.375 3/15/2023 20,375,000 20,268,099
TIME WARNER ENTMT CO L P 8.375 7/15/2033 6,200,000 6,160,358
TRANSCANADA PIPELINES LTD 6.5 8/15/2018 5,000,000 4,877,424
TRANSCAPITALINVEST LTD 5.67 3/5/2014 17,150,000 11,107,026
TRANSOCEAN INC 6 3/15/2018 21,300,000 19,134,000
TRANSOCEAN SEDCO FOREX INC 7.5 4/15/2031 17,600,000 16,538,397
TRINIDAD + TOBAGO REP 5.875 5/17/2027 9,500,000 7,695,000
TURKEY REP 11.75 6/15/2010 5,000,000 5,350,000
TURKEY REP 7.25 3/15/2015 19,500,000 19,402,500
TURKEY REP 7 9/26/2016 5,250,000 5,118,750
TURKEY REP 6.75 4/3/2018 6,500,000 6,175,000
TURKEY REP 7 6/5/2020 8,500,000 8,223,750
TURKEY REP 7.375 2/5/2025 13,550,000 12,737,000
TURKEY REP 6.875 3/17/2036 11,500,000 9,545,000
UNION PAC CORP 7.875 1/15/2019 6,000,000 6,577,952
UNITED MEXICAN STS 5.625 1/15/2017 7,000,000 7,017,500
UNITED STATES TREAS BD STRP PRN 0 11/15/2018 303,427,000 227,081,723
UNITED STATES TREAS INFLATION INDEXED BDS 2.375 1/15/2025 143,589,245 137,666,189
UNITED STATES TREAS INFLATION INDEXED BDS 2 1/15/2026 93,324,723 85,669,296
UNITED STATES TREAS INFLATION INDEXED NTS 4.25 1/15/2010 65,193,444 63,471,686
UNITED STATES TREAS INFLATION INDEXED NTS 2 4/15/2012 75,169,693 72,726,678
UNITED STATES TREAS SC STRP INT 0 2/15/2019 100,000,000 73,704,002
UNITED TECHNOLOGIES CORP 6.125 2/1/2019 7,000,000 7,445,323
URBI DESARROLLOS URBANOS S A 8.5 4/19/2016 5,250,000 3,885,000
URBI DESARROLLOS URBANOS S A 8.5 4/19/2016 8,500,000 6,290,000
USAA AUTO OWNER TR 2008 2 4.64 10/15/2012 4,000,000 3,870,236
USIMINAS COML LTD 7.25 1/18/2018 4,750,000 4,192,841
USIMINAS COML LTD 7.25 1/18/2018 11,000,000 9,709,737

VALE OVERSEAS LTD 6.25 1/11/2016 6,000,000 5,691,000
VALE OVERSEAS LTD 6.875 11/21/2036 6,500,000 5,996,250
VALERO ENERGY CORP 6.625 6/15/2037 16,900,000 12,421,350
VENEZUELA REPUBLIC 8.5 10/8/2014 5,900,000 3,068,000
VERIZON COMMUNICATIONS INC 6.9 4/15/2038 5,000,000 5,515,520
VERIZON COMMUNICATIONS INC 8.95 3/1/2039 8,500,000 10,914,522
VERIZON WIRELESS CAP LLC 7.375 11/15/2013 7,000,000 7,427,567
VERIZON WIRELESS CAP LLC 8.5 11/15/2018 10,000,000 11,597,739
VESSEL MGMT SVCS INC 6.08 5/20/2024 10,769,500 12,386,540
VIRGINIA ELEC + PWR CO 8.875 11/15/2038 3,000,000 3,702,971
VODAFONE AIRTOUCH PLC 7.875 2/15/2030 5,500,000 6,067,198
VODAFONE GROUP 6.15 2/27/2037 4,000,000 3,927,935
VODAFONE GROUP PLC NEW 5.625 2/27/2017 15,900,000 14,884,602
VOTO VOTORANTIM OVERSEAS 7.875 1/23/2014 9,000,000 9,090,000
VOTO VOTORANTIM OVERSEAS TRAD 7.75 6/24/2020 13,950,000 12,066,750
WACHOVIA BK NATL ASSN MEDIUM 6.6 1/15/2038 7,650,000 7,813,152
WAL MART STORES INC 5.8 2/15/2018 13,350,000 14,583,204
WAMU MTG 5.34197 1/25/2037 70,062,433 70,062,433
WAMU MTG PASS THRU CTFS 5.5 8/25/2035 25,665,046 25,408,396
WEA FIN LLC 7.125 4/15/2018 9,000,000 6,480,010
WELLS FARGO + CO 5.625 12/11/2017 5,000,000 5,132,100
WELLS FARGO BK NATL ASSN 5.75 5/16/2016 11,200,000 11,366,698
WELLS FARGO CAP XV 9.75 12/29/2049 3,400,000 3,332,000
WELLS FARGO MTG BACKED SECS 5.134463 5/25/2035 33,803,646 34,817,755
WELLS FARGO MTG BKD SECS 2005 5.386966 8/25/2035 5,546,976 5,713,386
WELLS FARGO MTG BKD SECS 2006 5.75 3/25/2036 7,934,609 8,013,955
WESTAR ENERGY INC 5.15 1/1/2017 7,900,000 6,996,906
WESTAR ENERGY INC 5.1 7/15/2020 3,000,000 2,460,369
WINDSTREAM CORP 8.625 8/1/2016 6,885,000 6,093,225
WINDSTREAM CORP 8.625 8/1/2016 5,500,000 4,867,500
WYETH 5.5 2/1/2014 4,622,000 4,693,208
WYETH 6.45 2/1/2024 17,200,000 18,884,334
WYETH 5.95 4/1/2037 3,400,000 3,676,102
EATON VANCE HIGH YIELD FD 100,395,079

GOLDMAN SACHS HIGH YIELD 208,316,852
NCRAM HIGH YIELD TOTAL RETURN 229,511,835
STONE HARBOR HIGH YIELD FD 104,084,238
WGBI EX US INDEX FUND 848,602,194
TOTAL FIXED INCOME 9,986,748,105
ALTERNATIVE ASSETS
PRIVATE EQUITY
ACCEL VIII LP 4,013,902

AIG ASIAN INFRASTRUCTURE FNDII 1,443,849
AIG ASIAN INFRASTRUCTURE FUND 32,700
AIG GE CAPITAL LATIN AMERICA 15,253,794
AIG INDIAN SECTORAL EQUITY 239,494
AISLING CAPITAL 11 4,827,289
ALTA SUB DEB III 2,812
APOLLO INVESTMENT FUND VI LP 18,461,910
APOLLO INVESTMENT FUND VII LP 4,372,190
ARCH VENTURE FUND VI, LP 12,683,614
ARCH VENTURE FUND VII LP 2,812,333
ARES CORP OPPORTUNITY FUND II 29,276,198
ARES CORP OPPS FUND III 8,560,636
ARSENAL CAP PTNERS 5,718,978

ARSENAL CAPITAL PARTNERS II LP 13,703,737
BAIN CAPITAL EUROPE FUND III 691,745
BAIN CAPITAL FUND IX LP 29,665,205
BAIN CAPITAL FUND VIII 13,183,298
BAIN CAPITAL FUND X 15,831,618
BAIN CAPITAL IX COINVESTMENT F 9,832,423
BAIN CAPITAL VIII COINVETMENT 4,371,363
BAIN CAPITAL X COINVESTMENT 1,384,402
BLACKSTONE CAP PARTN IV LP 26,432,462
BLACKSTONE CAPITAL PARTNERS V 40,985,128
BLUERUN VENTURES IV LP 3,435,510
BLUERUN VENTURES LP 21,487,691
CADUCEUS PRIVATE INV III LP 7,752,549
CALERA CAPITAL 10,493,397
CANAAN EQUITY PARTNERS VII 8,113,274
CANAAN VIII LP 4,297,256
CENTURY PARK CAPITAL PTNS II 10,163,339
CERBERUS SERIES FOUR HOLDINGS 18,537,796
CHARLESBANK EQUITY FUND VI 4,069,396
CLAREMONT CREEK VENTURES II 521,772
CLAREMONT CREEK VENTURES LP 3,659,834
CLEARSTONE VENTURE PARTNERS 10,535,294
DARWIN VENTURE CAPITAL FUNDS 3,747,288
DARWIN VENTURE CPTAL FND II LP 2,310,129
DCM IV 7,293,123
DCM V 9,311,069
DE NOVO VENTURES II LP 13,991,962
DE NOVO VENTURES III 9,187,481
DOMAIN PARTNERS VI LP 6,347,182
DOMAIN PARTNERS VII 9,707,378
ENERGY SPE SITUATIONS FUND II 1,000,947
EOS CAPITAL PARTNERS III 12,007,997
EOS CAPITAL PARTNERSHIP IV 3,703,294
EQUITY DISTRIBUTION SECURITIES 2,000,479
FIRST RESERVE FUND XI LP 33,582,003
FORTRESS INVESTMENT FUND III 4,521,773
FORTRESS INVESTMENT FUND IV 16,065,292
FORTRESS INVESTMENT FUND V 11,685,627
FOUNTAIN VEST CHINA GROWTH PTN 812,268
GENSTAR CAPITAL PARTNERS IV 16,891,889
GENSTAR CAPITAL PARTNERS V 42,425,324
GLENCOE CAP INSTL PARTNERS III 709,776
GLENCOE CAPITAL PARTNERS III 6,660,258
GLOBESPAN CAPITAL PARTNERS IV 9,093,590
GLOBESPAN CAPITAL PARTNERS V 17,344,756
GOLDER THOMA CRESSEY RAUNER 25,179
GOLDER THOMA CRESSEY RAUNER V 1,880,265
GRAHAM PARTNERS II 15,220,952
GRANITE CLOBAL VENTURES III 10,445,630
GRANITE GLOBAL VENTURES II LP 14,510,578
GRANITE VENTURES II 3,668,500
H.I.G BAYSIDE II 2,380,538
HUMMER WINBLAD VENTURE PTR III 196,153
INSIGHT VENTURE PARTNERS VI LP 11,096,858
INSTITUTIONAL VENTURE PARTNS 4,179,473
INSTITUTIONAL VENTURE PTR VIII 333,471
INTERSOUTH PARTNERS V LP 10,364,580
INTERSOUTH PARTNERS VI 7,415,481
INTERSOUTH PARTNERS VII 6,229,146
INTERWEST PARTNERS IX 12,989,760
INTERWEST PARTNERS V LP 93,635
INTERWEST PARTNERS VI LP 934,637
INTERWEST PARTNERS VII LP 5,010,287
INTERWEST PARTNERS VIII 28,122,390
INVERNESS PARTNERS II LP 13,573,528
IVP VI 541,669
IVP VII 3,387,902
J C FLOWERS II LP 20,210,725
JLL PARTNERS FUND V, LP 17,140,660

JLL PARTNERS VI LP 2,944,670
KELSO INVESTMENT ASSOC VII 31,349,573
KELSO INVESTMENT ASSOCIATES 2,776,006
KODIAK VENTURES III 7,768,994
KPCB AGG INVESTMENT UCRP 28,858,470
KRG CAPITAL FUND IV LP 882,867
KRG CAPITAL III LP 13,287,876
LAKE CAPITAL PARTNERS LP 9,357,341
LATIN AMERICAN CAPITAL II LP 5,426,000
LIGHTHOUSE CAPITAL PARTNERS V 11,983,076
LIGHTSPEED VENTURE PRTNRS VIII 2,546,128
LIGHTSPEED VENTURE PTNERS VII 8,497,291
LIME ROCK PARTNERS V L P 1,771,453
LINDSAY GOLDBERG + BESSEMER II 25,767,979
LINDSAY GOLDBERG + BESSEMER LP 9,775,289
LINDSAY GOLDBERG III LP 336,150
MADISON DEARBORN CAP PART IV 48,402,580
MADISON DEARBORN CAP PTNRS VI 9,191,954
MADISON DEARBORN V 68,780,263
MAYFIELD VIII 586,561
NOVAK BIDDLE VENTURE PARTNERS 4,843,516
NOVAK BIDDLE VENTURE PTNR V 2,488,391
OLYMPUS GROWTH FUND IV LP 22,322,543
OLYMPUS GROWTH FUND V 7,621,968
OXFORD BIOSCIENCE IV 11,461,519
OXFORD BIOSCIENCE PARTNERS III 7,490,880
PAINE + PARTNERS CAPITAL FUND 20,275,332
PALOMAR VENTURES III 8,245,616
PERSEUS 2000 EXPANSION 10,060,679
PERSEUS PARTNERS VII LP 31,524,048
PERSEUS SOROS BIO PHARM LP 2,283,724
PINE BROOK CAPITAL PARTNERS 6,124,155
POLARIS VENTURE PARTNERS III 7,824,043
POLARIS VENTURE PARTNERS IV 18,994,202
POLARIS VENTURE PRTNRS V LP 14,753,059
QUAD C PARTNERS VII LP 5,751,041
REDPOINT VENTURE I LP 7,147,228
REDPOINT VENTURES II LP 23,509,040
RIPPLEWOOD PARTNERS II LP 14,851,608
ROCKPORT CAPITAL III LP 2,947,934
SANKATY CREDIT OPPORTUNITY IV 45,091,232
SEGULAH IV LP 1,798,963
SEQUOIA AGG INVESTMENT UCRP 26,682,235
SHAMROCK CAPITAL GROWTH FD II 9,189,642
SKM EQUITY FUND II 14,721,204
SPC PARTNERS III LP 21,787,865
SUN CAPITAL IV LP 8,826,942
SUN CAPITAL PARTNERS V 13,627,727
TECHNOLOGY PARTNERS WEST FD IV 149,019
TERRA FIRMA CAP PARTNER III 15,927,498
THE COLUMN GROUP LP 1,759,850
TRINITY VENTURES IX P 6,292,070
UPDATA PARTNERS III 14,421,169
UPDATA PARTNERS IV 4,688,990
VECTOR CAPITAL IV L.P 2,323,676
VENTURE STRATEGY PARTN II L P 5,717,304
VERSANT VENTURE CAPITAL II LP 22,298,180
VERSANT VENTURES I LP 11,485,880
VESTAR CAPITAL PARTNERS V LP 18,131,675
W CAPITAL PARTNERS II LP 17,066,348
WARBURG IX BUYOUT 29,313,065
WARBURG IX VENTURE 43,969,597
WARBURG PINCUS PRVT EQUITY X 39,334,329
WARBURG PINCUS VIII 46,196,686
WATER STREET CAPITAL PARTNERS 14,321,556
WATER STREET PARTNERS II 5,680,401
WCAS CAPITAL PARTNERS II 3,325,249
WCAS III 33,968,200
WCAS VI 2,109,211
WELLSPRING CAPITAL PARTNERS IV 8,819,486
WELSH CARSON ANDERSON + STOWE 2,797,186

WICKS COMM + MEDIA PRTNS III 10,601,464
WIND POINT PARTNERS VI 10,162,467
WLR RECOVERY FUND IV 30,730,130
REAL ESTATE
AMB INSTITUTIONAL ALLIANCE III 75,751,959

BEACON CAP STRTGIC PARTN V 22,866,319
BEACON CAPITAL STRATEGIC PARTN IV 20,106,183
BLACKSTONE REAL EST PARTNER VI 39,032,355
BLACKSTONE REAL ESTATE PRTN V 50,317,931
BUCHANAN FUND V, LLC 21,399,974
CALIFORNIA SMART GROWTH FD IV 18,584,925
CAPRI URBAN INVESTORS LLC 17,083,723
CIM FUND III LP 1,518,643
CIM URBAN REIT LLC 49,917,909
COLONY CAPITAL VIII LP 15,085,301
CORNERSTONE 102,363,748
CORNERSTONE APMNT VENT III LLC 13,515,157
CPI GLOBAL REAL ESTATE SECURITIES 54,654,539
FAIRFIELD STRAT APT FUND III 2,714,773
FORUM ASIAN REALTY INCOME II 21,838,550
GENESIS WORKFORCE HOUS FUND II 982,727
HEITMAN AMERICA REAL ESTATE TRUST 54,635,579
ING CLARION PTNRS 7,642,032
JPMORGAN INV MGMT 33,529,362
KSL CAPITAL PARTNERS II 6,364,469
LBA REALTY FUND III 22,036,836
LEGACY PARTNERS REALTY FND III 11,059,120
LEGACY PARTNERS REALTY FUND II 47,231,071
LIONSTONE URBAN INV TWO 4,729,440
MACFARLANE URBAN REAL ESTATE II 29,754,780
METRO WORKFORCE HOUSING FUND 1,772,532
MORGAN STANLEY RE FUND V US 27,734,526
PRISA II PRUDENTIAL REAL EST. 118,948,441
PRUDENTIAL SNR HSING PTNRS III 40,731,242
REALTY ASSOCIATES FUND VII 29,304,801
REALTY ASSOCIATES FUND VIII 58,647,886
REDWOOD GROVE INTERNATIONAL LP 13,773,707
REEF GLOBAL OPPORTUNITIES FD II 50,232,455
ROCKPOINT REAL ESTATE FUND III 414,250
RREEF AMERICA REIT III 33,265,923
SQUARE MILE PARTNERS II LP 21,974,399
URBANAMERICA, LP. II 26,313,016
URDANG VALUE ADDED FUND II 7,579,473
WALTON STREET REAL ESTATE V 74,305,670
WESTBROOK REAL ESTATE FUND VII 5,453,793
ABSOLUTE RETURN
ALPHAGEN RHOCAS FUND 18,923,332

ANCHORAGE CAPITAL PARTNERS 45,369,990
ANCHORAGE SHORT CRDT OFFSHORE 52,055,929
AVENUE SPECIAL SITUATIONS III 211,737
CALICO PARTNERS 5,225,669
CARL MARKS STRATEGIC OPP 7,327,522
CHILTON GLOBAL NATURAL RESOURC 49,692,121
CVI SPECIALIZED VENTURES 11,990,845
DAVIDSON KEMPNER DIS OPP INTL 19,287,031
DAVIDSON KEMPNER INST PRTNR 41,893,852
FONTANA CAPITAL OFFSHORE 15,736,287
GEM REALITY SECURITIES 51,618,955
GIOVONE INVESTMENT PARTNERS 52,865,375
H.I.G BRIGHTPOINT CAP PARTNERS 21,640,247
HIGHLINE CAPITAL INTL 57,784,417
HIGHLINE SELECT 14,677,555
HORIZON PORTFOLIO I LIMITED 10,522,228
IVY RISING STARS OFFSHORE 16,650,827
KINGSTREET CAPITAL 34,076,953
MAVERICK FUND 44,269,432
O CONNOR GLOBAL FUNDAMENTAL 69,024,659

OZ ASIA MASTER FUND 30,465,119
OZ OVERSEAS FUND 5,392,501
REAL ASSETS STRATEGIES USA 34,000,000
SATELLITE CREDIT OPPORTUNITIES 14,649,332
SATELLITE OVERSEAS LTD PRTNSHP 36,832,383
SILVER POINT CAP OFFSHORE 29,551,332
STERLING STAMOS CONCENTRATED 48,996,625
TIGER ASIA OVERSEAS FUND 54,948,661
TIGER CONSUMER PARTNERS 23,235,178
TRADING SELECT (USA) 118,565,937
TREE LINE ASIA FD 23,794,337
VIKING GLOBAL EQUITIES III 92,362,894
YORK TOTAL RETURN 81,052,975
TOTAL ALTERNATIVE ASSETS 4,366,334,502
TOTAL SECURITIES 31,347,106,128
CASH & CASH EQUIVALENTS 298,947,313
ACCOUNTS RECEIVABLE & ACCRUED INCOME 100,693,201
ACCOUNTS PAYABLE -
TOTAL NET ASSETS 31,746,746,642

December 31, 2003
ALCAN INC NC 6,000,000 5.200 1/15/2014 6,064,860
ALCAN INC NC 11,500,000 6.125 12/15/2033 11,563,940
ALCOA INC NC 5,000,000 5.375 1/15/2013 5,186,400
ALLSTATE CORP NC 24,000,000 7.200 12/1/2009 27,669,840
AT&T WIRELESS NC 11,500,000 8.125 5/1/2012 13,417,395
BRITISH SKY BROADCASTING GRO NC 5,000,000 6.875 2/23/2009 5,628,550
CEMEX S A PT09 50,000,000 9.625 10/1/2009 60,500,000
CENTEX NC 14,000,000 5.125 10/1/2013 13,783,560
CENTEX NC 3,500,000 5.800 9/15/2009 3,754,415
CIA BRASIL DE BEBIDAS NC 24,200,000 8.750 9/15/2013 25,652,000
CITIGROUP NC 40,000,000 6.000 10/31/2033 40,029,999
CITIGROUP INC NC 6,000,000 3.500 2/1/2008 6,018,120
CITIGROUP INC NC 35,000,000 6.000 2/21/2012 38,190,250
CITIGROUP INC NC 8,500,000 6.625 6/15/2032 9,227,770
CODELCO INC NC 12,000,000 5.500 10/15/2013 12,177,480
CODELCO INC NC 15,000,000 6.375 11/30/2012 16,231,826
COMCAST CORP NC 22,500,000 5.300 1/15/2014 22,396,275
COMCAST CORP NC 10,000,000 5.850 1/15/2010 10,687,300
COMCAST CORP NC 19,200,000 6.500 1/15/2015 20,871,168
COMCAST CORP NC 20,000,000 7.050 3/15/2033 21,695,000
COMCAST CORP NC 4,500,000 7.050 3/15/2033 4,881,375
CONS EDISON CO OF NY NC 5,000,000 5.875 4/1/2033 5,034,639

December 31, 2003

CRH AMERICA NC 10,000,000 5.300 10/15/2013 10,090,300
CRH AMERICA NC 18,000,000 6.400 10/15/2033 18,498,599
EATON CORP NC 8,750,000 8.100 8/15/2022 10,507,955
ENCANA CORP NC 10,000,000 4.750 10/15/2013 9,838,200
ENERSIS NC 23,500,000 7.375 1/15/2014 24,274,539
FGCI POOL #B10827 49,812,907 4.500 11/1/2018 49,922,939
FGCI POOL #E01084 10,523,740 5.500 1/1/2017 10,918,670
FGCI POOL #E01098 20,915,531 6.000 2/1/2017 21,934,579
FGCI POOL #E01251 16,123,682 5.500 11/1/2017 16,731,662
FGCI POOL #E01311 13,643,712 5.500 2/1/2018 14,164,476
FGCI POOL #E01388 11,471,887 4.000 5/1/2018 11,223,523
FGCI POOL #E01537 25,000,000 4.500 12/1/2018 25,055,223
FGCI POOL #E96582 10,526,765 4.500 6/1/2018 10,550,018
FGLMC POOL # C79601 9,662,092 5.000 5/1/2033 9,561,018
FGLMC POOL #A12330 24,831,074 5.000 8/1/2033 24,555,946
FGLMC POOL #A12886 43,537,439 5.000 8/1/2033 43,082,001
FGLMC POOL #A13124 19,911,876 5.000 8/1/2033 19,703,581
FGLMC POOL #A14235 35,626,380 5.000 10/1/2033 35,231,639
FGLMC POOL #A14282 12,354,400 5.000 10/1/2033 12,225,162
FGLMC POOL #A15676 33,615,021 6.500 11/1/2033 35,225,784
FGLMC POOL #A15677 59,951,532 6.500 11/1/2033 62,824,287
FGLMC POOL #A17021 39,000,000 5.500 1/1/2034 39,533,204
FGLMC POOL #C01404 32,621,342 6.500 10/1/2032 34,150,698
FGLMC POOL #C01673 49,853,317 5.000 11/1/2033 49,300,942
FGLMC POOL #C76289 13,106,799 6.000 1/1/2033 13,568,236
FGLMC POOL #C76361 12,393,922 6.000 2/1/2033 12,830,261
FGLMC POOL #C77031 35,204,181 6.000 3/1/2033 36,443,576
FGLMC POOL #C79009 5,733,242 5.500 5/1/2033 5,817,485
FGLMC POOL 78907 7,761,100 5.000 5/1/2033 7,679,912
FHLG POOL #C62885 12,485,500 6.500 1/1/2032 13,070,846
FHLMC GOLD TBA 15YR 25,000,000 4.500 1/1/2034 25,003,905
FHR 2484 VA 8,938,162 6.000 9/15/2012 9,372,473
FHR 2494 CD 13,750,000 5.500 8/15/2014 14,246,257
FHR 2567 MC 11,328,148 4.000 12/15/2032 11,499,970
FHR 2601 TA 15,737,789 4.000 10/15/2022 15,586,227
FHR 2673 MA 21,407,027 5.500 10/15/2033 22,426,378
FHR 2694 NS 21,597,010 5.500 3/15/2019 22,646,065

December 31, 2003

FLORIDA POWER NC 10,000,000 5.100 12/1/2015 9,937,900
FNARM POOL #758810 8,000,000 4.929 11/1/2033 8,123,672
FNCI POOL #254308 2,575,074 6.500 5/1/2017 2,728,258
FNCI POOL #254373 7,636,948 6.500 7/1/2017 8,091,248
FNCI POOL #254719 35,349,204 4.500 4/1/2018 35,460,120
FNCI POOL #254804 13,991,936 5.500 7/1/2018 14,524,827
FNCI POOL #545125 12,133,029 6.000 8/1/2016 12,729,835
FNCI POOL #545296 13,177,789 6.000 11/1/2016 13,825,984
FNCI POOL #555813 24,600,169 4.000 10/1/2018 24,013,696
FNCI POOL #581853 25,500,029 6.000 7/1/2016 26,754,336
FNCI POOL #598444 2,341,502 6.500 6/1/2017 2,480,792
FNCI POOL #639018 3,108,267 6.500 4/1/2017 3,293,169
FNCI POOL #645562 5,481,601 6.500 6/1/2032 5,733,232
FNCI POOL #650503 8,809,986 6.500 6/1/2017 9,334,067
FNCI POOL #651388 3,731,973 6.500 8/1/2017 3,953,977
FNCI POOL #652610 21,811,973 5.000 4/1/2018 22,296,197
FNCI POOL #681357 21,919,427 5.000 3/1/2018 22,406,036
FNCI POOL #681405 20,070,794 5.000 3/1/2018 20,516,364
FNCI POOL #687579 1,876,790 6.500 4/1/2033 1,964,714
FNCI POOL #689076 3,829,777 5.000 6/1/2018 3,914,798
FNCI POOL #689080 21,865,374 5.000 6/1/2018 22,350,784
FNCI POOL #689584 7,732,074 5.500 2/1/2018 8,026,555
FNCI POOL #689613 5,689,268 4.500 5/1/2018 5,707,120
FNCI POOL #689619 2,766,355 4.500 6/1/2018 2,775,035
FNCI POOL #689620 7,498,436 5.000 6/1/2018 7,664,901
FNCI POOL #689621 9,653,019 4.500 6/1/2018 9,683,307
FNCI POOL #694431 33,199,690 5.000 3/1/2018 33,936,720
FNCI POOL #695916 32,400,552 5.000 5/1/2018 33,119,842
FNCI POOL #702895 56,368,262 5.000 4/1/2018 57,619,633
FNCI POOL #704939 5,535,175 5.500 4/1/2018 5,745,986
FNCI POOL #709844 14,366,547 5.000 5/1/2018 14,685,483
FNCI POOL #730016 19,461,809 4.000 4/1/2018 18,997,836
FNCI POOL #737040 3,966,209 4.500 10/1/2018 3,978,654
FNCI POOL #737043 4,114,230 4.500 10/1/2018 4,127,140
FNCI POOL #738691 3,327,178 6.000 10/1/2033 3,443,945
FNCI POOL #747799 32,429,412 5.500 12/1/2018 33,664,507
FNCI POOL #748727 7,897,174 5.500 10/1/2018 8,197,943
FNCI POOL #755497 9,952,968 5.500 11/1/2018 10,332,033
FNCL POO1 #748794 14,987,370 6.500 11/1/2033 15,689,499
FNCL POOL #545759 28,437,780 6.500 7/1/2032 29,735,112
FNCL POOL #555329 36,177,414 5.000 4/1/2033 35,866,400
FNCL POOL #555590 18,924,150 5.500 3/1/2033 19,210,847
FNCL POOL #656563 27,234,898 5.500 3/1/2033 27,647,500

December 31, 2003

FNCL POOL #662707 4,975,636 6.500 10/1/2032 5,204,041
FNCL POOL #662950 10,489,726 6.500 2/1/2033 10,971,253
FNCL POOL #669991 1,702,701 5.500 2/1/2033 1,728,497
FNCL POOL #676904 3,293,861 6.000 1/1/2033 3,407,886
FNCL POOL #676919 3,022,465 6.000 1/1/2033 3,127,095
FNCL POOL #676956 18,335,930 5.000 1/1/2033 18,179,060
FNCL POOL #677508 4,865,663 6.000 1/1/2033 5,036,423
FNCL POOL #677685 13,157,040 5.000 2/1/2033 13,043,930
FNCL POOL #682059 8,967,510 5.500 4/1/2033 9,103,365
FNCL POOL #683160 4,567,160 6.000 2/1/2033 4,727,444
FNCL POOL #684687 41,501,931 6.000 2/1/2033 42,958,438
FNCL POOL #684745 32,567,367 6.500 4/1/2033 34,093,086
FNCL POOL #688178 15,162,196 5.500 3/1/2033 15,391,900
FNCL POOL #689062 10,376,642 5.500 6/1/2033 10,533,846
FNCL POOL #689100 52,089,390 5.500 2/1/2033 52,878,531
FNCL POOL #689103 30,099,321 5.500 2/1/2033 30,555,318
FNCL POOL #689108 35,806,848 5.500 2/1/2033 36,349,313
FNCL POOL #694517 37,791,051 5.500 4/1/2033 38,363,576
FNCL POOL #694517 3,197,670 5.500 10/1/2033 3,246,114
FNCL POOL #694758 14,348,277 5.500 4/1/2033 14,565,650
FNCL POOL #695526 49,076,784 6.000 4/1/2033 50,799,130
FNCL POOL #695539 15,050,454 5.500 4/1/2033 15,278,465
FNCL POOL #702449 18,487,911 6.000 6/1/2033 19,136,743
FNCL POOL #703337 11,716,419 5.500 4/1/2033 11,893,920
FNCL POOL #704520 22,213,246 5.500 6/1/2033 22,549,771
FNCL POOL #705209 18,769,467 5.500 5/1/2033 19,053,820
FNCL POOL #707281 26,415,183 6.000 5/1/2033 27,342,222
FNCL POOL #709519 31,159,931 5.500 6/1/2033 31,631,996
FNCL POOL #710141 10,422,079 5.500 5/1/2033 10,579,971
FNCL POOL #711213 8,552,652 5.500 6/1/2033 8,682,223
FNCL POOL #720111 39,593,548 4.500 7/1/2033 37,944,461
FNCL POOL #721211 17,655,479 5.000 6/1/2033 17,503,697
FNCL POOL #726054 18,544,193 5.500 6/1/2033 18,825,133
FNCL POOL #733578 19,894,884 5.000 8/1/2033 19,723,849
FNCL POOL #743832 19,895,651 5.500 11/1/2033 20,197,065
FNCL POOL #744234 27,573,217 5.500 10/1/2033 27,990,944
FNCL POOL #747817 39,760,702 4.500 11/1/2018 39,885,460
FNCL POOL #748737 31,885,874 6.000 10/1/2033 33,004,907
FNCL POOL #748767 22,065,253 6.500 11/1/2033 23,098,968
FNCL POOL #748768 6,785,466 7.000 11/1/2033 7,183,883
FNCL POOL #748793 47,080,443 6.000 11/1/2033 48,732,728
FNCL POOL #748795 8,090,778 7.000 11/1/2033 8,565,838
FNCL POOL #749770 15,141,469 6.000 11/1/2033 15,672,858
FNCL POOL #752574 19,815,180 5.500 11/1/2033 20,115,375

December 31, 2003

FNCL POOL #753412 15,565,124 5.500 11/1/2033 15,800,932
FNCL POOL #753466 9,329,827 5.500 11/1/2033 9,471,171
FNCL POOL 696940 14,438,549 5.500 4/1/2033 14,657,290
FNMA PL #516493 1,112,816 6.000 6/1/2029 1,151,732
FNMA POOL #254146 19,461,257 6.000 1/1/2032 20,129,982
FNMA POOL #254147 2,302,978 6.500 1/1/2032 2,408,022
FNMA POOL #545506 12,397,301 7.000 2/1/2032 13,110,975
FNMA POOL #545872 39,061,349 6.500 7/1/2032 40,854,445
FNMA POOL #555139 31,018,426 6.500 10/1/2032 32,442,316
FNMA POOL #555273 2,298,069 6.500 12/1/2032 2,402,889
FNMA POOL #581706 7,190,153 6.500 7/1/2031 7,518,113
FNMA POOL #597545 4,125,946 6.500 9/1/2031 4,314,141
FNMA POOL #597699 13,045,577 6.500 9/1/2031 13,640,617
FNMA POOL #610324 30,189,303 6.500 10/1/2031 31,566,311
FNMA POOL #614359 10,991,995 6.500 12/1/2031 11,493,366
FNMA POOL #633857 6,526,518 7.000 3/1/2032 6,902,230
FNMA POOL #635030 19,180,993 6.500 5/1/2032 20,061,489
FNMA POOL #640008 10,219,531 7.000 4/1/2032 10,807,837
FNMA POOL #672415 8,383,553 6.500 9/1/2032 8,768,396
FNMA POOL #673596 17,860,697 6.000 1/1/2033 18,478,988
FNMA POOL #676633 64,038,350 6.000 12/1/2032 66,255,191
FNMA POOL #676739 13,194,972 6.000 1/1/2033 13,651,747
FNMA POOL #676740 16,326,829 6.000 1/1/2033 16,892,022
FNMA POOL #676868 8,906,170 6.000 1/1/2033 9,214,478
FNMA POOL #753077 4,904,046 6.500 12/1/2033 5,133,791
FNMA TBA 25,000,000 4.000 1/1/2034 24,355,470
FNMA-BENCHMARK C 7/06 47,000,000 4.375 7/17/2013 44,943,750
FNMA-BENCHMARK C 2/06 44,400,000 4.750 2/21/2013 43,689,157
FNMA-POOL #627118 32,337,566 7.000 3/1/2032 34,199,138
FNR 02-18 VA 13,212,398 6.500 2/25/2013 13,607,097
FNR 02-29 VA 13,298,598 6.500 2/15/2013 13,690,096
FNR 02-33 VA 8,762,016 6.500 6/25/2013 9,126,921
FNR 03-18 PA 12,379,377 4.000 7/25/2032 12,270,983
FNR 03-19 ME 9,426,844 4.000 3/25/2031 9,557,593
FNR 03-42 CA 5,284,484 4.000 5/25/2033 5,239,480
FNR 03-58 MC 12,106,568 3.750 7/25/2033 10,711,281
FNR 03-63 GU 15,000,000 4.000 7/25/2033 15,117,663
FNR 03-63 TJ 56,269,671 3.000 8/25/2032 53,487,693
FNR 2003-20 4,967,944 4.500 3/25/2031 5,052,590

December 31, 2003

FREDDIE MAC NC 41,000,000 4.000 6/12/2013 38,290,719
FREDDIE MAC NC 88,750,000 4.875 11/15/2013 89,642,822
FREDDIE MAC NC 85,550,000 5.875 3/21/2011 92,618,997
GEORGIA POWER NC 15,000,000 5.125 11/15/2012 15,228,900
GEORGIA POWER NC 5,000,000 5.750 4/15/2023 4,956,802
GMAC NC 23,500,000 8.000 11/1/2031 26,283,575
GMC NC 8,000,000 8.250 7/15/2023 9,033,440
GMC NC 23,000,000 8.375 7/15/2033 26,686,440
GNMA-I POOL #603419 15,334,879 5.500 2/15/2033 15,638,304
GNMA-I POOL #781130 14,072,819 7.000 1/15/2030 14,995,433
GNMA-II POOL #2824 3,009,272 7.000 10/20/2029 3,200,193
GNMA-II POOL #2999 7,428,188 7.500 11/20/2030 7,931,359
GNMA-II POOL #3011 4,007,723 7.500 12/20/2030 4,279,198
GNMA-II POOL #3334 28,797,222 6.000 1/20/2033 29,960,286
GNR 02-45 VA 16,673,457 6.000 4/20/2013 17,506,421
GNR 02-46 PD 27,040,000 6.000 7/20/2007 27,810,251
GNSF POOL #598267 3,813,286 6.000 6/15/2033 3,972,581
GNSF POOL #612376 39,954,640 5.500 11/15/2033 40,745,207
GNSF POOL #781324 12,065,211 7.000 7/15/2031 12,838,066
GOLDMAN SACHS NC 30,500,000 4.750 7/15/2013 29,658,199
GOLDMAN SACHS NC 25,000,000 6.125 2/15/2033 25,205,999
GRUMA SA DE CV NC 13,055,000 7.625 10/15/2007 14,034,125
HAROT 2002-3 A3 2,000,000 3.000 5/18/2006 2,020,312
HERTZ CORP NC 16,500,000 4.700 10/2/2006 16,711,200
HILTON HOTELS NC 3,000,000 7.625 12/1/2012 3,360,000
IBM NC 17,000,000 6.500 1/15/2028 18,546,320
IBM CORP NC 20,000,000 4.750 11/29/2012 20,028,400
IBM CORP NC 17,000,000 5.875 11/29/2032 17,096,050
ILLINOIS STATE TAXABLE PENSION SNK 41,635,000 5.100 6/1/2033 38,282,133
JOHNSON & JOHNSON NC 18,000,000 4.950 5/15/2033 16,361,099
L-3 COMMUNICATIONS CORP NC 11,000,000 6.125 1/15/2014 11,000,000
LOBLAW NC 22,000,000 6.450 2/9/2028 17,631,663
LOBLAW NC 25,000,000 6.650 11/8/2027 20,512,632
LOBLAW CO. LTD NC 28,000,000 6.500 1/22/2029 22,588,927

December 31, 2003

LORAL NC 26,300,000 7.000 9/15/2023 28,912,379
M & I CAPITAL SEC. NC06 12,200,000 7.650 12/1/2026 13,433,664
MASCO NC 13,000,000 7.125 8/15/2013 14,968,850
MELLON A CAPITAL SEC. C 16,500,000 7.720 12/1/2026 18,301,800
MERCK NC 5,000,000 5.950 12/1/2028 5,196,250
MERCK NC 11,000,000 6.400 3/1/2028 12,073,050
NAROT 2002-C A4 12,000,000 3.330 1/15/2008 12,260,400
NORWEST NC 30,000,000 6.750 12/15/2027 32,741,400
OHIO POWER COMPANY NC 4,445,000 6.600 2/15/2033 4,781,353
PCCW-HKTC CAP NC 19,000,000 6.000 7/15/2013 19,495,581
PEMEX PRJT FDG MASTER TR 144A NC 13,000,000 8.625 2/1/2022 14,332,500
PEMEX PROJECT NC 4,000,000 6.125 8/15/2008 4,200,000
PEMEX PROJECT NC 13,000,000 7.375 12/15/2014 13,812,500
PEMEX PROJECT NC 17,000,000 8.000 11/15/2011 18,997,500
PFIZER INC NC 5,000,000 4.650 3/1/2018 4,770,150
PSI ENERGY INC NC 13,000,000 5.000 9/15/2013 12,842,440
RFCO STRIPS NC 100,000,000 0.000 1/15/2013 65,878,700
RYLAND GROUP NC 8,000,000 5.375 6/1/2008 8,120,000
SPRINT NC 33,000,000 6.875 11/15/2028 31,933,769
STATE STREET REPO 1,113,500 0.700 1/2/2004 1,113,500
SUNCOR ENERGY NC 3,000,000 5.950 12/1/2034 2,985,570
SUNCOR ENERGY NC 18,000,000 5.950 12/1/2034 17,913,420

December 31, 2003

US BANK NA NC 19,000,000 4.800 4/15/2015 18,499,160
US BANK NA NC 8,000,000 6.375 8/1/2011 8,904,320
VERIZON MARYLAND IN NC 17,500,000 5.125 6/15/2033 15,022,525
VERIZON NY INC. NC 25,000,000 4.750 10/1/2013 24,185,000
VERIZON NY INC. NC 26,870,000 7.375 4/1/2032 29,539,534
WELLS FARGO & CO NC 12,500,000 4.950 10/16/2013 12,442,000
WESTERN ATLAS NC 16,000,000 8.550 6/15/2024 20,954,586
WYETH NC 24,900,000 5.500 3/15/2013 25,821,299
WYETH NC 10,000,000 6.450 2/1/2024 10,255,200
Total Bond Portfolio 9,828,330,754

TIPS Portfolio
December 31, 2003
Total TIPS Portfolio 1,880,441,699

December 31, 2003

TOTAL UCRP FIXED INCOME PORTFOLIO 11,939,224,453

BOND PORTFOLIO
December 31, 2004
ALCAN INC NC 6,000,000 5.200 1/15/2014 6,157,274
ALCAN INC NC 8,000,000 6.125 12/15/2033 8,508,343
ALLSTATE CORP NC 10,800,000 5.000 8/15/2014 10,850,001
ALLSTATE CORP NC 10,500,000 7.200 12/1/2009 11,897,015
AMERICA MOVIL NC 23,900,000 5.500 3/1/2014 23,765,442
AMERICA MOVIL SA NC 18,700,000 5.750 1/15/2015 18,739,083
AMERICAN ELEC PWR INC NC 4,500,000 5.375 3/15/2010 4,692,085
AMERICAN GENERAL FINANCE NC 13,500,000 4.000 3/15/2011 13,066,729
AT&T WIRELESS NC 14,000,000 8.125 5/1/2012 16,916,739
BAFC 2004-1 40,623,738 6.000 2/25/2034 41,623,537
BECTON DICKINSON & CO NC 3,500,000 4.550 4/15/2013 3,464,397
BOAA 2004 14,127,080 6.000 2/25/2034 14,487,167
BOAA 2004-2 3A1 18,191,872 6.000 3/25/2034 18,656,367
BOAMS 2004-1 2A1 19,564,761 5.500 2/25/2034 19,659,073
BOAMS 2004-7 4A1 12,706,060 5.000 8/25/2019 12,807,769
BRITISH SKY BROADCASTING GRP NC 5,000,000 6.875 2/23/2009 5,484,181
CENTEX NC 2,500,000 5.800 9/15/2009 2,646,447
CINCINNATI GAS & ELEC CO NC 12,400,000 5.400 6/15/2033 11,842,496
CITIGROUP NC 45,000,000 6.000 10/31/2033 46,472,381
CITIGROUP INC NC 20,000,000 5.125 5/5/2014 20,486,218
CITIGROUP INC NC 6,500,000 5.000 9/15/2014 6,525,213
CITIGROUP INC NC 8,500,000 5.850 12/11/2034 8,762,228

BOND PORTFOLIO
December 31, 2004
CITIGROUP INC NC 15,000,000 6.000 2/21/2012 16,419,008
CLEAR CHANNEL COMMUNICATION NC 7,000,000 5.500 9/15/2014 7,016,004
CMSI 2004-5 23A5 19,434,195 4.500 8/25/2034 19,197,341
CODELCO INC NC 13,500,000 4.750 10/15/2014 13,243,420
CODELCO INC NC 15,000,000 6.375 11/30/2012 16,540,523
COMCAST CABLE COMMUNICATIONS NC 18,200,000 8.875 5/1/2017 23,802,203
COMCAST CORP NC 6,750,000 5.500 3/15/2011 7,123,329
COMCAST CORP NC 6,800,000 5.850 1/15/2010 7,251,932
COMCAST CORP NC 29,200,000 6.500 1/15/2015 32,408,554
COMCAST CORP NC 19,500,000 7.050 3/15/2033 22,280,010
COUNTRYWIDE FINANCIAL NC 7,800,000 4.000 3/22/2011 7,561,300
COX COMMUNICATIONS INC NEW NC 14,400,000 5.500 10/1/2015 14,319,953
COX COMMUNICATIONS INC. NC 9,800,000 4.625 1/15/2010 9,798,300
CRH AMERICA NC 10,700,000 5.300 10/15/2013 10,949,479
CRH AMERICA NC 25,000,000 6.400 10/15/2033 27,065,491
CWHL 2003-50 A1 16,128,941 5.000 11/25/2018 16,274,714
D.R. HORTON INC. NC 17,500,000 5.625 1/15/2016 17,215,625
DAIMLERCHRYS NA NC 8,650,000 8.500 1/18/2031 10,737,508
DANA CORPORATION NC 7,400,000 5.850 1/15/2015 7,326,000
DELHAIZE AMER INC NC 12,850,000 9.000 4/15/2031 16,625,330
DEV BANK SINGAPORE NC 22,500,000 5.000 11/15/2019 22,331,025
DEVELOPERS DIVERS REALTY NC 12,550,000 5.250 4/15/2011 12,771,916
DIAGEO FINANCE NC 32,000,000 3.875 4/1/2011 31,226,731
DIAMLERCHRYSLER NA HLDG NC 4,500,000 6.500 11/15/2013 4,865,296
DR HORTON INC NC 2,900,000 5.000 1/15/2009 2,921,750
DR HORTON INC. NC 8,600,000 5.625 9/15/2014 8,578,500
EATON CORP NC 8,750,000 8.100 8/15/2022 11,301,246
EMPRESA NACIONAL DE ELCTRCID NC 4,500,000 8.500 4/1/2009 5,118,721
ENCANA CORP NC 19,000,000 6.500 8/15/2034 20,883,412
ENERSIS SA NC 27,000,000 7.375 1/15/2014 29,426,490
ENTERPRISE PRODUCTS OPER NC 4,000,000 4.625 10/15/2009 3,983,020
EOP OPERATING LP NC 17,500,000 4.650 10/1/2010 17,569,402
ERAC USA FINANCE NC 28,000,000 6.700 6/1/2034 30,140,507
FANNIE MAE NC 308,000,000 3.875 11/17/2008 306,520,522
FANNIE MAE NC 148,960,000 4.000 12/15/2008 148,775,170
FANNIE MAE NC 185,300,000 5.125 1/2/2014 189,274,907
FANNIE MAE NC 34,700,000 5.250 8/1/2012 36,036,450
FEDERAL HOME LOAN BANK NC 55,500,000 5.375 2/15/2007 57,726,765

BOND PORTFOLIO
December 31, 2004
FGCI PL B14157 11,945,977 4.000 5/1/2019 11,686,690
FGCI POOL #B10827 43,210,195 4.500 11/1/2018 43,208,069
FGCI POOL #B11815 22,514,111 4.500 1/1/2019 22,513,003
FGCI POOL #B13457 20,201,050 4.500 1/1/2019 20,156,416
FGCI POOL #E01084 8,284,300 5.500 1/1/2017 8,561,789
FGCI POOL #E01098 13,818,746 6.000 2/1/2017 14,488,061
FGCI POOL #E01251 12,581,047 5.500 11/1/2017 12,999,949
FGCI POOL #E01311 10,601,546 5.500 2/1/2018 10,955,716
FGCI POOL #E01537 2,421,776 4.500 12/1/2018 2,421,657
FGLMC POOL # C79601 8,481,200 5.000 5/1/2033 8,453,738
FGLMC POOL #A12330 21,669,641 5.000 8/1/2033 21,599,474
FGLMC POOL #A12886 39,863,669 5.000 8/1/2033 39,734,590
FGLMC POOL #A14235 32,249,782 5.000 10/1/2033 32,145,356
FGLMC POOL #A14282 11,363,855 5.000 10/1/2033 11,327,058
FGLMC POOL #C01404 20,427,173 6.500 10/1/2032 21,411,579
FGLMC POOL #C76289 9,777,951 6.000 1/1/2033 10,099,828
FGLMC POOL #C77031 24,243,882 6.000 3/1/2033 25,041,957
FGLMC POOL #G01674 17,851,934 5.500 4/1/2034 18,157,727
FGLMC POOL 78907 7,097,867 5.000 5/1/2033 7,074,884
FGLMC POOL C01676 56,552,719 6.000 11/1/2033 58,414,356
FGTW POOL C90847 19,071,705 6.000 8/1/2024 19,806,680
FGTW POOL C90865 16,285,370 6.000 11/1/2024 16,912,967
FHARM POOL #781285 17,842,082 4.780 2/1/2034 18,012,438
FHLG POOL #C62885 7,752,066 6.500 1/1/2032 8,125,646
FHR 2567 MC 6,148,550 4.000 12/15/2032 6,152,627
FHR 2601 TA 12,238,336 4.000 10/15/2022 12,099,134
FLORIDA POWER NC 18,000,000 5.100 12/1/2015 18,076,672
FNARM POOL #555893 20,969,003 3.917 10/1/2033 20,777,681
FNARM POOL #746038 9,000,095 4.725 1/1/2034 9,106,782
FNARM POOL #748088 4,252,254 4.095 9/1/2033 4,227,693
FNARM POOL #759753 7,582,954 5.036 1/1/2034 7,722,223
FNARM POOL #767500 5,272,618 4.485 3/1/2034 5,294,088
FNARM POOL #770305 5,087,492 4.422 4/1/2034 5,092,977
FNARM POOL #770306 8,285,016 4.432 3/1/2034 8,295,596
FNCI POOL #254308 1,651,357 6.500 5/1/2017 1,749,255
FNCI POOL #254373 1,174,516 6.500 7/1/2017 1,244,145
FNCI POOL #254719 29,715,764 4.500 4/1/2018 29,716,264
FNCI POOL #254804 9,673,455 5.500 7/1/2018 10,003,442

BOND PORTFOLIO
December 31, 2004
FNCI POOL #545125 4,015,121 6.000 8/1/2016 4,207,201
FNCI POOL #545296 8,149,202 6.000 11/1/2016 8,539,051
FNCI POOL #555813 22,303,514 4.000 10/1/2018 21,795,688
FNCI POOL #639018 3,195,188 6.500 4/1/2017 3,384,609
FNCI POOL #645562 3,621,542 6.500 6/1/2032 3,793,725
FNCI POOL #651388 2,228,505 6.500 8/1/2017 2,360,619
FNCI POOL #652610 18,380,368 5.000 4/1/2018 18,698,037
FNCI POOL #681357 18,561,118 5.000 3/1/2018 18,881,911
FNCI POOL #681405 16,922,773 5.000 3/1/2018 17,215,250
FNCI POOL #687579 1,215,804 6.500 4/1/2033 1,272,945
FNCI POOL #689076 3,219,298 5.000 6/1/2018 3,274,937
FNCI POOL #689080 18,769,903 5.000 6/1/2018 19,094,304
FNCI POOL #689584 5,776,522 5.500 2/1/2018 5,973,575
FNCI POOL #689613 5,077,188 4.500 5/1/2018 5,077,273
FNCI POOL #689619 2,455,353 4.500 6/1/2018 2,455,395
FNCI POOL #689620 6,368,791 5.000 6/1/2018 6,478,863
FNCI POOL #689621 8,432,890 4.500 6/1/2018 8,433,033
FNCI POOL #694431 27,255,943 5.000 3/1/2018 27,727,008
FNCI POOL #695916 26,222,876 5.000 5/1/2018 26,676,087
FNCI POOL #702895 46,095,154 5.000 4/1/2018 46,891,818
FNCI POOL #704939 4,597,163 5.500 4/1/2018 4,753,985
FNCI POOL #709844 11,385,195 5.000 5/1/2018 11,581,965
FNCI POOL #730016 16,940,832 4.000 4/1/2018 16,555,109
FNCI POOL #737040 3,529,869 4.500 10/1/2018 3,529,928
FNCI POOL #737043 3,704,550 4.500 10/1/2018 3,704,612
FNCI POOL #738691 2,658,279 6.000 10/1/2033 2,747,215
FNCI POOL #747799 28,540,673 5.500 12/1/2018 29,514,271
FNCI POOL #748727 5,675,529 5.500 10/1/2018 5,869,136
FNCI POOL #755497 8,516,814 5.500 11/1/2018 8,807,344
FNCL PL 255458 29,591,192 5.500 11/1/2034 30,060,823
FNCL PL 763681 8,615,014 5.500 1/1/2034 8,755,920
FNCL POO1 #748794 8,640,474 6.500 11/1/2033 9,046,561
FNCL POOL #545759 16,149,680 6.500 7/1/2032 16,917,501
FNCL POOL #555329 31,412,463 5.000 4/1/2033 31,271,745
FNCL POOL #662707 3,050,588 6.500 10/1/2032 3,195,626
FNCL POOL #662950 4,602,429 6.500 2/1/2033 4,821,247
FNCL POOL #669991 1,306,109 5.500 2/1/2033 1,327,472
FNCL POOL #676919 2,370,959 6.000 1/1/2033 2,450,442
FNCL POOL #676956 14,538,252 5.000 1/1/2033 14,495,585
FNCL POOL #677508 3,660,289 6.000 1/1/2033 3,782,749
FNCL POOL #677685 11,758,032 5.000 2/1/2033 11,705,360
FNCL POOL #682059 7,270,835 5.500 4/1/2033 7,389,755
FNCL POOL #683160 3,597,748 6.000 2/1/2033 3,718,115
FNCL POOL #684745 19,141,304 6.500 4/1/2033 20,040,911

BOND PORTFOLIO
December 31, 2004
FNCL POOL #689108 30,170,864 5.500 2/1/2033 30,664,334
FNCL POOL #694517 31,846,785 5.500 4/1/2033 32,367,665
FNCL POOL #702449 14,693,015 6.000 6/1/2033 15,184,587
FNCL POOL #705209 16,491,979 5.500 5/1/2033 16,761,719
FNCL POOL #709519 27,452,431 5.500 6/1/2033 27,901,438
FNCL POOL #710141 9,311,959 5.500 5/1/2033 9,464,263
FNCL POOL #721211 16,218,578 5.000 6/1/2033 16,145,924
FNCL POOL #726054 16,971,349 5.500 6/1/2033 17,248,929
FNCL POOL #747817 35,665,538 4.500 11/1/2018 35,666,139
FNCL POOL #748767 14,220,536 6.500 11/1/2033 14,888,876
FNCL POOL #748768 4,875,148 7.000 11/1/2033 5,151,498
FNCL POOL #748795 3,798,494 7.000 11/1/2033 4,013,813
FNCL POOL #749770 12,316,665 6.000 11/1/2033 12,728,734
FNCL POOL #753035 175,258 6.500 12/1/2033 183,494
FNCL POOL #753093 12,745,049 6.500 12/1/2033 13,344,044
FNCL POOL #753412 13,820,706 5.500 11/1/2033 14,046,755
FNCL POOL #753466 8,403,233 5.500 11/1/2033 8,540,674
FNCL POOL #753595 16,037,991 6.000 11/1/2033 16,574,561
FNCL POOL #757113 3,432,867 6.000 12/1/2033 3,547,718
FNCL POOL #766748 23,863,184 5.500 3/1/2034 24,241,908
FNCL POOL #790927 12,910,111 6.000 9/1/2034 13,346,936
FNCL POOL #793349 55,947,382 6.000 8/1/2034 57,840,410
FNCL POOL #794921 132,193,329 5.500 10/1/2034 134,291,321
FNCL POOL #794967 11,640,876 5.500 10/1/2034 11,825,624
FNCL POOL #794978 23,839,468 5.500 10/1/2034 24,217,816
FNCL POOL 793999 26,591,953 5.500 9/1/2034 27,013,985
FNCL POOL 794256 46,587,919 5.500 9/1/2034 47,327,299
FNCLTBA 578,803 6.500 5/1/2034 606,321
FNCT POOL #255417 23,045,868 6.000 9/1/2024 23,932,986
FNCT POOL #255511 10,558,730 6.000 11/1/2024 10,965,174
FNCT POOL #747580 6,828,327 6.000 11/1/2023 7,088,677
FNGT 2004-T1 18,573,474 6.500 1/25/2044 19,552,209
FNGT 2004-T3 26,861,482 7.000 2/25/2044 28,464,710
FNMA POOL #254147 1,340,757 6.500 1/1/2032 1,404,394
FNMA POOL #545506 5,774,637 7.000 2/1/2032 6,109,056
FNMA POOL #545872 29,274,445 6.500 7/1/2032 30,666,271
FNMA POOL #555139 18,748,282 6.500 10/1/2032 19,639,651
FNMA POOL #555273 1,309,627 6.500 12/1/2032 1,371,787
FNMA POOL #555969 22,766,572 4.000 12/1/2018 22,248,203
FNMA POOL #581706 3,992,563 6.500 7/1/2031 4,182,066
FNMA POOL #597545 2,442,548 6.500 9/1/2031 2,558,481
FNMA POOL #633857 4,531,052 7.000 3/1/2032 4,793,453
FNMA POOL #633865 1,323,776 7.000 3/1/2032 1,400,438
FNMA POOL #635030 9,454,299 6.500 5/1/2032 9,903,794

BOND PORTFOLIO
December 31, 2004
FNMA POOL #640008 4,808,742 7.000 4/1/2032 5,087,224
FNMA POOL #672415 6,400,339 6.500 9/1/2032 6,704,637
FNMA POOL #676868 7,227,402 6.000 1/1/2033 7,469,690
FNMA POOL #753077 4,243,354 6.500 12/1/2033 4,442,784
FNMA-POOL #627118 14,296,910 7.000 3/1/2032 15,124,868
FNR 03-18 PA 6,952,238 4.000 7/25/2032 6,796,111
FNR 03-19 ME 5,023,331 4.000 3/25/2031 5,020,164
FNR 03-42 CA 2,993,068 4.000 5/25/2033 2,926,870
FNR 03-58 MC 7,757,610 3.750 7/25/2033 7,481,038
FNR 03-63 GU 13,976,508 4.000 7/25/2033 14,014,576
FNR 03-63 TJ 48,494,584 3.000 8/25/2032 45,770,599
FNR 2003-20 2,218,908 4.500 3/25/2031 2,230,033
FORD MOTOR CREDIT CO NC 11,000,000 5.700 1/15/2010 11,090,726
FREDDIE MAC NC 450,000,000 4.250 5/4/2009 450,961,110
FREDDIE MAC NC 303,000,000 5.000 1/30/2014 303,779,195
FREDDIE MAC NC 50,000,000 6.250 3/5/2012 52,235,015
GEORGIA POWER NC 15,000,000 5.125 11/15/2012 15,345,737
GEORGIA POWER NC 5,000,000 5.750 4/15/2023 5,061,566
GMAC NC 6,800,000 6.750 12/1/2014 6,771,002
GMAC NC 30,410,000 6.875 8/28/2012 30,742,361
GMAC NC 5,500,000 8.000 11/1/2031 5,606,255
GNMA-I POOL #603419 12,684,033 5.500 2/15/2033 12,966,665
GNMA-I POOL #781130 7,535,151 7.000 1/15/2030 7,998,728
GNMA-II POOL #2824 1,594,969 7.000 10/20/2029 1,690,521
GNMA-II POOL #2999 3,638,392 7.500 11/20/2030 3,891,662
GNMA-II POOL #3011 1,937,742 7.500 12/20/2030 2,072,629
GNSF POOL #598267 3,373,199 6.000 6/15/2033 3,495,574
GNSF POOL #612376 36,639,363 5.500 11/15/2033 37,455,779
GNSF POOL #621888 5,538,074 6.000 1/15/2034 5,738,989
GNSF POOL #627135 5,553,490 5.000 3/15/2034 5,563,989
GNSF POOL #781324 5,893,025 7.000 7/15/2031 6,253,133
GOLDMAN SACHS NC 30,500,000 4.750 7/15/2013 30,186,939
GOLDMAN SACHS NC 30,000,000 5.150 1/15/2014 30,414,347
GOLDMAN SACHS NC 7,000,000 6.125 2/15/2033 7,219,027

BOND PORTFOLIO
December 31, 2004
GSR 2004-2F 14A1 11,491,231 5.500 9/25/2019 11,778,062
HARRAHS OPERATING CO NC 15,750,000 5.500 7/1/2010 16,348,845
HERTZ CORP NC 16,500,000 4.700 10/2/2006 16,667,730
HILTON HOTELS NC 3,000,000 7.625 12/1/2012 3,505,573
HUTCH WHAM INTL LTD NC 9,450,000 6.250 1/24/2014 9,929,111
HUTCHISON WHAMP INTL LTD. NC 8,300,000 7.450 11/24/2033 9,157,031
IBM CORP NC 20,000,000 4.750 11/29/2012 20,398,039
IBM CORP NC 21,200,000 6.220 8/1/2027 23,201,979
ILLINOIS STATE TAXABLE PENSION SNK 24 16,635,000 5.100 6/1/2033 15,979,082
INTL BK R&D(INTPT)STRIPS NC 60,000,000 0.000 2/15/2016 33,564,708
INTL BK R&D(PRNPT)STRIPS NC 32,000,000 0.000 2/15/2015 19,297,885
JERSEY CENT PWR & LT CO NC 5,000,000 5.625 5/1/2016 5,215,469
L 3 COMMUNICATIONS CORP NC 8,700,000 6.125 1/15/2014 8,961,000
L-3 COMMS CORP NC 13,300,000 5.875 1/15/2015 13,266,750
LOBLAW NC 25,000,000 6.650 11/8/2027 22,692,420
LOBLAW CO. LTD NC 28,000,000 6.500 1/22/2029 24,960,984
LORAL NC 26,300,000 7.000 9/15/2023 30,030,718
LUBRIZOL CORP NC 14,250,000 4.625 10/1/2009 14,228,645
LUBRIZOL CORP NC 2,500,000 6.500 10/1/2034 2,522,663
M & I CAPITAL SEC. NC06 12,200,000 7.650 12/1/2026 13,122,710
MASCO NC 6,000,000 7.125 8/15/2013 6,935,107
MASTR 2003-10 1A1 56,979,893 5.500 11/25/2033 57,336,274
MASTR 2003-7 1A2 12,731,636 5.500 9/25/2033 12,810,339
MGM GRAND NC 11,000,000 6.000 10/1/2009 11,275,000
MGM MIRAGE NC 14,175,000 6.750 9/1/2012 14,919,188
MSM 2004-3 23,384,454 6.000 4/25/2034 23,985,542
MSSTR 2004-2 100,000,000 6.500 12/1/2034 103,171,875
NEW BRUNSWICK PROV CDA NC 5,000,000 3.500 10/23/2007 5,006,068
NEWS AMER INC NC 8,000,000 6.550 3/15/2033 8,519,947
NEWS AMER INC. NC 9,000,000 6.200 12/15/2034 9,165,780
NEWS AMERICA HOLDINGS NC 21,700,000 7.700 10/30/2025 25,803,605
NEXTEL COMMUNICATIONS 3/09@ 4,500,000 5.950 3/15/2014 4,657,500
OHIO POWER NC 9,745,000 6.600 2/15/2033 10,928,739
PEARSON PLC (U.K.) RULE 144A. NC 10,000,000 4.700 6/1/2009 10,163,892

BOND PORTFOLIO
December 31, 2004
PEMEX PRJ FDG MASTER TR 144A NC 29,700,000 8.625 2/1/2022 34,526,250
PEMEX PROJECT NC 8,250,000 6.125 8/15/2008 8,745,000
PEMEX PROJECT NC 4,000,000 7.375 12/15/2014 4,440,000
PEMEX PROJECT NC 14,500,000 8.000 11/15/2011 16,675,000
PETROBRAS INTL FINANCE NC 5,500,000 7.750 9/15/2014 5,788,750
PETRO-CANADA NC 11,500,000 5.000 11/15/2014 11,474,295
PFIZER INC NC 5,000,000 4.650 3/1/2018 4,805,185
PSI ENERGY INC NC 13,000,000 5.000 9/15/2013 12,982,467
RALI 2004-QS6 A 37,067,438 5.000 5/25/2019 37,409,248
RBS CAPITAL TRUST III 9/14@ 28,900,000 5.512 9/29/2049 29,561,837
RFCO STRIPS NC 111,500,000 0.000 4/15/2016 64,923,651
RFCO STRIPS NC 105,000,000 0.000 10/15/2017 55,711,194
RFMSI 2003-28 A1 9,910,615 5.000 5/25/2018 9,998,933
RFMSI 2004-S9 16,000,000 5.500 12/1/2034 16,102,500
RYLAND GROUP NC 12,750,000 5.375 6/1/2008 13,260,000
S A S C 2003-20 1A1 33,235,278 5.500 7/25/2033 33,440,865
SASC 2003-30 1A1 39,606,844 5.500 10/25/2033 39,856,794
SHAW NC 18,000,000 7.500 11/20/2013 16,140,304
SHAW COMMUNICATIONS INC NC 8,555,000 7.200 12/15/2011 9,442,581
SIMON PROPERTY GROUP NC 8,390,000 4.875 8/15/2010 8,551,759
SPRINT NC 43,000,000 6.875 11/15/2028 47,069,978
STRIP PRINCIPAL NC 922,500,000 0.000 8/15/2017 510,714,450
STRIPS NC 198,500,000 0.000 8/15/2017 109,423,125
SUNCOR ENERGY NC 3,000,000 5.950 12/1/2034 3,140,097
SUNCOR ENERGY NC 18,000,000 5.950 12/1/2034 18,840,585
TENGIZCHEVROIL LLP NC 13,300,000 6.124 11/15/2014 13,333,250

BOND PORTFOLIO
December 31, 2004
TRANS - CANADA PL NC 7,000,000 4.875 1/15/2015 6,976,243
U S TREAS SEC STRIPPED INT PRIN NC 300,000,000 0.000 11/15/2024 109,161,003
U S TREASURY BILL 7,617,000 0.000 2/24/2005 7,594,149
UNION ELECTRIC NC 12,000,000 5.100 10/1/2019 11,915,056
UNITED MEXICAN STS MTN BE NC 22,810,000 4.625 10/8/2008 23,117,935
UNITED STATES MEXICAN NC 14,200,000 6.750 9/27/2034 14,022,500
US BANK NA NC 12,500,000 4.800 4/15/2015 12,400,793
US TREASURY STRIP NC 150,000,000 0.000 2/15/2013 106,663,502
US TREASURY(INPUT)STRIPS NC 160,000,000 0.000 5/15/2017 89,849,597
VERIZON NEW ENGLAND INC. NC 16,400,000 4.750 10/1/2013 15,977,082
VERIZON NY INC. NC 12,930,000 7.375 4/1/2032 14,885,808
VESSEL MGMT SVC TITLE XI NC 13,548,500 6.080 5/20/2024 14,765,291
WELLS FARGO & CO NC 12,500,000 4.950 10/16/2013 12,678,676
WELLS FARGO COMPANY NC 17,500,000 5.125 9/15/2016 17,554,853
WFMBS 2003-6 1A1 9,019,304 5.000 6/25/2018 9,108,793
WFMBS 2004-7 1A1 9,828,698 4.500 7/25/2019 9,741,712
WFMBS 2004-7 2A1 19,171,522 4.500 7/25/2019 19,001,851
WORLD SAV BK FSB NC 13,000,000 4.125 12/15/2009 13,032,961
XTO ENERGY INC NC 14,500,000 5.000 1/31/2015 14,399,853
TOTAL BOND PORTFOLIO 9,933,633,515

TIPS PORTFOLIO
December 31, 2004

TOTAL TIPS PORTFOLIO 2,662,175,333

Cash and Equivalents 272,000

BOND PORTFOLIO
December 31, 2004
DESCRIPTION MARKET VALUE


Public Equities
December 31, 2003
PRIVATE EQUITY DISTRIBUTIONS 1,075,970 8,982,741
EAFE INDEX FUND 32,182,106 2,834,350,824
GMO EMERGING MARKETS FUND 652,378 9,629,093
Total Public Equities 26,246,184,351

Private Equity
December 31, 2003
ACCEL VIII 81,819 4,251,161
ALTA S D III 74,000 2,235,540
ARSENAL CAPITAL PARTNERS QPF 63,233 4,227,963
BLACKSTONE CAPITAL PARTNERS IV 76,928 7,683,174
CHINA VEST IV 146,000 2,523,902
DE NOVO VENTURES II LP 17,254 1,725,425
DELPHI MANAGEMENT PARTNERS, L.P. 6 6
DOMAIN PARTNERS VI, L.P. 5,176 517,628
FREMONT PARTNERS III LP 60,555 6,055,463
GLOBESTPAN CAPITAL PARTNERS IV 10,228 1,022,832
GOLDER THOMA CRESSEY IV 179,848 213,300
INTERSOUTH PARTNERS VI, L.P. 13,043 929,943
KPCB II 65,150 625,375
KPCB IX-A 122,500 4,951,695
KPCB VI 117,350 532,417
KPCB VII 105,000 3,776,115
KPCB VIII 140,000 8,612,800
KPCB X-A 95,625 5,368,770
LIGHTHOUSE CAPITAL PARTNERS V LP 14,800 1,480,000
LINDSAY GOLDBERG & BESSEMER L.P. 17,817 1,514,506
MADISON DEARBORN CAPITAL IV, LP 81,290 3,354,125
MAYFIELD VII 110,450 87,476
MPAE V 81,033 141,727
OLYMPUS GROWTH FUND IV, L.P. 9,284 1,017,093
POLARIS VENTURE PARTNERS IV 18,500 1,465,293
Private Equity
December 31, 2003

TECHNOLOGY VENTURE IV 100,080 880,304
WCAS VI 364,600 11,589,905
WCAS VII 698,947 29,628,363
WELSH CARSON CP III 1,260,000 113,150,520
% of Portfolio 2.0%

Total Equity
December 31, 2003

% of Portfolio 0.1%

PUBLIC EQUITY
December 31, 2004

ARK LC GROWTH 3,383,266 375,589,388
CGT LC CORE 3,389,953 372,248,110
FRANKLIN PORTFOLIO LC CORE 4,367,408 478,266,933
FREEMAN LC CORE 2,415,826 265,720,488
GSAM CONCENTRATED LC GROWTH 3,863,850 427,300,258
HARRIS LC VALUE 3,390,407 370,724,356
HOTCHKIS&WILEY LC DIVS. VALUE 3,888,139 435,460,299
INTECH LC BROAD GROWTH 3,911,310 430,022,336
LSV LC VALUE 2,428,160 266,250,644
NWQ LC VALUE 2,425,196 263,208,191
PZENA LC VALUE 3,368,609 371,572,174
THORNBURG LC VALUE 3,384,753 372,699,330
TRANSAMERICA LC GROWTH 2,922,445 325,944,682
VICTORY LC DIVERSIFIED 2,429,751 262,006,342
WELLINGTON LC GROWTH 2,898,856 319,278,717
S & P 500 FUTURES 3/05 336 100,099,490
EAFE INDEX FUND 31,176,202 3,311,421,597
GMO EMERGING MARKETS FUND 3,597,504 61,733,172
RUSSELL 1000 INDEX FUND 33,426,424 5,542,268
TOTAL PUBLIC EQUITY 26,801,966,865


PRIVATE EQUITY
December 31, 2004
ISSUER MARKET VALUE

PRIVATE EQUITY DISTRIBUTIONS 6,059,939
BUYOUT FUNDS 198,399,329
INTERNATIONAL PRIVATE EQUITY 92,587,649
VENTURE CAPITAL PARTNERSHIPS 356,478,972
REAL ESTATE 36,000,000
TOTAL PRIVATE EQUITY 689,525,889

TOTAL EQUITY
December 31, 2004
TOTAL EQUITIES 27,491,492,754


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University of California Retirement Plan

Fixed Income Portfolio

Source: University of California, Office of the Treasurer

Source: University of California, Office of the Treasurer

Source: University of California, Office of the Treasurer

Source: University of California, Office of the Treasurer

Source: University of California, Office of the Treasurer

Source: University of California, Office of the Treasurer

Source: University of California: Office of the Treasurer

Source: University of California: Office of the Treasurer

Source: University of California: Office of the Treasurer

Total Equities 20,630,224,074

Cash and equivalents 94,446,000

Total University of California Retirement Plan Equity Portfolio 20,724,670,074

Source: University of California: Office of the Treasurer

Source: University of California, Office of the Treasurer

DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE

Source: University of California, Office of the Treasurer

DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE

Source: University of California, Office of the Treasurer

DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE

Source: University of California, Office of the Treasurer

DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE

Source: University of California, Office of the Treasurer

DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE

Source: University of California, Office of the Treasurer

DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE

Source: University of California, Office of the Treasurer

DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE

Total Bond Portfolio 9,828,330,754

Source: University of California, Office of the Treasurer

Total TIPS Portfolio 1,880,441,699

Source: University of California, Office of the Treasurer

Total Fixed Income Portfolio 11,708,772,453

TOTAL UCRP FIXED INCOME PORTFOLIO 11,939,224,453

Source: University of California, Office of the Treasurer

Source: University of California, Office of the Treasurer

ISSUER SHARES MARKET VALUE

Source: University of California, Office of the Treasurer

Total Equities 26,773,010,965

Cash and Equivalents 27,628,000

TOTAL UCRP EQUITY PORTFOLIO 26,800,638,965

Source: University of California, Office of the Treasurer

Source: University of California, Office of the Treasurer of The Regents

Source: University of California, Office of the Treasurer of The Regents

Source: University of California, Office of the Treasurer of The Regents

Source: University of California, Office of the Treasurer of The Regents

Source: University of California, Office of the Treasurer of The Regents

Source: University of California, Office of the Treasurer of The Regents

Source: University of California, Office of the Treasurer of The Regents

Source: University of California, Office of the Treasurer of The Regents

Source: University of California, Office of the Treasurer of The Regents

DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE

TOTAL TIPS PORTFOLIO 2,662,175,333

Source: University of California, Office of the Treasurer of The Regents

DESCRIPTION MARKET VALUE

TOTAL UCRP BOND PORTFOLIO 10,731,157,265

Portfolio market values do not include accruals.

Source: University of California, Office of the Treasurer of The Regents

ISSUER SHARES MARKET VALUE

TOTAL PUBLIC EQUITY 27,847,062,768

Source: University of California, Office of the Treasurer of The Regents

ISSUER MARKET VALUE