UAL 11K
SECURITIES AND EXCHANGE COMMISSION

Washington D.C. 20549

FORM 11-K

FOR ANNUAL REPORTS OF EMPLOYEE STOCK PURCHASE, SAVINGS

AND SIMILAR PLANS PURSUANT TO SECTION 15(d) OF THE

SECURITIES EXCHANGE ACT OF 1934

(Mark One)

       [ x ] ANNUAL REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES

        EXCHANGE ACT OF 1934

             For the fiscal year ended November 30, 2001

OR

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

              For the transition period from ___ to ___

              Commission File No. 1 - 6033

A.   United Air Lines, Inc.
        Pilots' Directed Account Retirement Income Plan
        (Full title of the Plan)

        United Air Lines, Inc.
        (Employer sponsoring the Plan)

  B.    UAL Corporation
       (Issuer of the shares held pursuant to the Plan)

        1200 Algonquin Road, Elk Grove Township, Illinois
        Mailing Address: P.O. Box 66100, Chicago, Illinois  60666
        (Address of principal executive offices)

 
 
 
 
 
REPORT OF INDEPENDENT PUBLIC ACCOUNTANTS
 
 

To the Board of Directors
of  United Air Lines, Inc.
Pilots' Directed Account Retirement Income Plan:
 

We have audited the accompanying statements of net assets available for plan benefits of the United Air Lines, Inc. Pilots' Directed Account Retirement Income Plan as of November 30, 2001 and 2000, and the related statements of changes in net assets available for plan benefits for the years then ended. These financial statements are the responsibility of the Plan's management. Our responsibility is to express an opinion on these financial statements based on our audits.

We conducted our audits in accordance with auditing standards generally accepted in the United States. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. An audit also includes assessing the accounting principles used and significant estimates made by the Plan's management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements referred to above present fairly, in all material respects, the net assets available for plan benefits of the United Air Lines, Inc. Pilots' Directed Account Retirement Income Plan as of November 30, 2001 and 2000, and the changes in its net assets available for plan benefits for the years then ended in conformity with accounting principles generally accepted in the United States.

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

/s/ ARTHUR ANDERSEN LLP
ARTHUR ANDERSEN LLP
 

Chicago, Illinois
May 15, 2002
 
 
 

UNITED AIR LINES, INC.
PILOTS' DIRECTED ACCOUNT RETIREMENT INCOME PLAN

STATEMENTS OF NET ASSETS AVAILABLE FOR PLAN BENEFITS
As of November 30, 2001 and 2000

(in thousands)


 
2001
 
2000
ASSETS:      
    Investments:      
      Cash and cash equivalents
$    606,575
 
$    641,244
      Equity securities, net of offsets
1,039,373
 
1,348,154
      Asset backed securities
40,824
 
18,040
      Corporate and international bonds
71,935
 
52,341
      Government securities and other fixed instruments,      
         net of offsets
127,769
 
164,729
      Other assets, net
14,208
 
17,917
      Securities on loan (see Note 2)
156,125
 
-
          Total investments
2,056,809
 
2,242,425
       
     Accrued income, net
2,935
 
3,490
       
      Collateral received for securities loaned (see Note 2)
154,140
 
106,890
       
           Total Assets
2,213,884
 
2,352,805
       
LIABILITIES:      
      Pending trade payables, net
(87,708)
 
(61,072)
      Obligation for collateral received for securities       
            loaned (see Note 2)
(154,140)
 
      (106,890)
           Total liabilities
(241,848)
 
(167,962)
       
NET ASSETS AVAILABLE FOR PLAN BENEFITS
$1,972,036
 
$2,184,843

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

UNITED AIR LINES, INC.
PILOTS' DIRECTED ACCOUNT RETIREMENT INCOME PLAN

STATEMENTS OF CHANGES IN NET ASSETS AVAILABLE FOR PLAN BENEFITS

For the Years Ended November 30, 2001 and 2000

(in thousands)


   
2001
 
2000
RESULTS OF INVESTMENT ACTIVITY:        
  Net depreciation in value of investments (see Note 2)  
$ (234,729)
 
$ (150,275)
  Interest  
46,276
 
50,653
  Dividends  
13,461
 
15,931
  Other income (loss)  
(5,821)
 
4,737
  Income from securities lending  
500
 
450
            Total investment activity  
(180,313)
 
(78,504)
         
CONTRIBUTIONS        
  Employer  
165,070
 
95,743
  Employee  
56,421
 
23,450
         
            Total contributions  
221,491
 
119,193
         
BENEFIT PAYMENTS  
(241,896)
 
(298,694)
         
ADMINISTRATIVE EXPENSES  
(12,089)
 
(14,049)
         
            Net decrease in net assest available for plan        
                benefits during the year  
(212,807)
 
(272,054)
         
NET ASSETS AVAILABLE FOR PLAN BENEFITS        
    Beginning of the year  
2,184,843
 
2,456,897
    End of the year  
$1,972,036
       $2,184,843

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

UNITED AIR LINES, INC.
PILOTS' DIRECTED ACCOUNT RETIREMENT INCOME PLAN

NOTES TO FINANCIAL STATEMENTS

November 30, 2001 and 2000

1.  DESCRIPTION OF PLAN

This description is for general information purposes only.  Participants should refer to their summary plan description for detailed benefit information.

General and Plan Participants

United Air Lines, Inc. ("United") established the Pilots' Variable Benefit Retirement Income Plan (the "Variable Plan") in 1955 to provide retirement income and other benefits for the pilots of United.  On September 1, 1982, the Variable Plan was amended and restructured, retroactive to February 1, 1981, and for active participants is now known as the United Air Lines, Inc. Pilots' Directed Account Retirement Income Plan (the "Directed Account Plan" or "Plan").  All active participants in the Variable Plan automatically became participants in the Directed Account Plan. The transition from the Variable Plan to the Directed Account Plan did not constitute a termination of the Variable Plan.  The Plan is a defined contribution plan and is subject to the Employee Retirement Income Security Act of 1974 ("ERISA"), as amended.

United pilots are eligible to become participants in the Plan on the date of their hire.

Directed Account Plan Investment Options

Participants are able to individually allocate their account balances among various different investment options.  The investment funds consist of the Money Market Fund, the UAL Stock Fund, the Short-Term Securities Fund, the Diversified Bond Fund,  the Value Equity Fund, the Growth Equity Fund, the Small Cap Equity Fund, the International Equity Fund, the S&P 500 Index Fund, the Individual Brokerage Account Option and five balanced funds.  If a participant does not allocate his account balance among the investment funds, his balance will be invested in the Money Market Fund.  Participants may reallocate their fund balances or change their future contribution allocation daily.  In the five balanced funds that invest in the other investment funds in predetermined portions, automatic daily reallocation is performed.

Participants may invest in the UAL Stock Fund only through transfers from the Money Market Fund.  Existing balances from Company contributions, 401(k) contributions, after-tax contributions, rollover contributions from qualified defined contribution plans and earnings from all money types may be invested in the UAL Stock Fund.

Contributions and Vesting

United makes a contribution in an amount equivalent to 11% of a pilot's earnings to the Plan.  In 2000, United made a contribution in an amount equivalent to 9% which in midyear 2000 increased to 11% (retroactive to April 12, 2000) of a pilot's earnings to the plan.  Prior to April 12, 2000, United contributed an amount equivalent to 1%.  Company contributions on behalf of a participant are allocated directly to each participant's account.  Pilots may also elect to voluntarily contribute, in multiples of 1%, any percentage, up to 50% (subject to the 25% overall limit discussed below) of each paycheck received.  Pilots immediately vest in company and voluntary contributions.

Pilot pretax election deferrals to the Plan can be made, subject to a maximum of $10,500 in 2001 and in 2000, on a pretax basis as permitted by Section 401(k) of the Internal Revenue Code.  Lower limits may apply to certain highly compensated participants if the Plan does not pass certain nondiscrimination tests required by law.  Section 415 of the Internal Revenue Code limits the total amount of contributions from all qualified defined contribution retirement plans to the lesser of 25% of annual taxable earnings or $35,000.

Contributions to the Plan include $4,736,751 and $2,702,865 for 2001 and 2000, respectively, which were transferred from other qualified plans as rollovers under the Internal Revenue Code Sections 402(c) and 408(d).

Withdrawals

Withdrawals from the Plan may be made as follows, as applicable to the participant's eligibility, amount requested, and existing balances:

 
Participants who have separated from service (for reasons other than death) may elect payment in the form of a lump sum, periodic distributions, irregular partial distributions, or through the purchase of an annuity. Taxable or taxable portions of distributions may also be directly rolled over into an IRA or qualified plan (with the exception of periodic distributions of 10 years or more duration).

 Withdrawals are normally made in the form of a fixed life annuity, if the participant is unmarried, or a 50% contingent annuity with the spouse as the contingent annuitant, if the participant is married. Spousal consent is required if the participant elects to take a distribution in the form of a lump sum payment, periodic distributions, irregular partial distributions, and other forms of annuities. Participants who have terminated employment are able to defer the distribution of the account until April 1 of the next calendar year after reaching age 70-1/2.

 Distributions of accounts due to the death of a participant may be taken by the participant's beneficiary in the form of a lump sum payment or through the purchase of an annuity. The participant's surviving spouse, if any, is automatically the beneficiary of half of the account, unless the spouse waives this right. The surviving spouse may also maintain the directed account plan as a plan participant.

 In-service withdrawals for participants who are actively employed or are absent due to reasons of illness (other than grounded status), or approved leave of absence and maintain an employer-employee relationship with United Air Lines, Inc. are permitted as follows:

       -   Discretionary withdrawals of post-tax contributions and earnings

       -   Hardship withdrawals from 401(k) account, subject to restrictions described in the Plan

       -   After reaching age 59-1/2, subject to certain requirements specified in the Plan, all or a portion of the participant's 401(k) account may be withdrawn

       -  Upon reaching age 70-1/2, minimum distributions required under the Internal Revenue Code  401(a)(9) must be taken no later than April 1 following the  calendar year that the participant has reached age 70-1/2.  Effective January 1, 1997, active participants that have reached age 70-1/2 may choose to defer distribution.


If a participant's account has never exceeded $5,000, total distribution of the account will be made in a lump sum payment upon termination of employment or death.

Generally, withdrawals are allocated pro-rata to the balances of each of the investment funds in the participant's account, according to a money-type hierarchy.  Distributions from the UAL Stock Fund, may be made in cash.

Plan Termination Provisions

Although it has not expressed any intent to do so, the Company has the right under the Plan to terminate the Plan subject to the provisions of ERISA.  If the Plan is terminated, all amounts credited to a participant's account at the time of termination shall be retained in the Trust and will be distributed in accordance with the normal distribution rules of the Plan.

Plan Administration

The Frank Russell Trust Company serves as Plan trustee.  The Northern Trust Company serves as the asset custodian of the Plan.  PFPC Inc. Retirement Services serves as the recordkeeper.

2.  SIGNIFICANT ACCOUNTING POLICIES

Basis of Accounting

The financial statements are presented on the accrual basis.

Investments

In September, 1999, the American Institute of Certified Public Accountants issued Statement of Position 99-3 ("SOP 99-3"), "Accounting for and Reporting of Certain Defined Contribution Plan Investments and Other Disclosure Matters."  SOP 99-3 simplifies the disclosure for certain investments and is effective for plan years ending after December 15, 1999.  The Plan adopted SOP 99-3 during the Plan year ending November 30, 2000.

The Trustee is authorized to engage in the lending of certain Trust assets.  Securities lending is an investment management strategy that utilizes the existing securities (government bonds, corporate bonds or equities) of the Trust to earn additional income.  It involves the loaning of securities to a select group of approved broker-dealers.  In return for the loaned securities, the Trustee simultaneously receives collateral in the form of cash or U.S. Government securities as a safeguard against possible default of any borrower on the return of the loan.  Each loan is collateralized to the extent of 102% for domestic securities and 105% for international securities of the fair value of the loan plus accrued interest.  The collateral is market-to-market on a daily basis to maintain the margin requirement.  For the plan year ended November 30, 2001, the Plan began accounting for its securities lending activities in accordance with Statement of Financial Accounting Standards ("SFAS") No. 140 "Accounting for Transfers and Servicing of Financial Assets and Extinguishments of Liabilities".

Domestic investments are stated at fair value, generally, as determined by market prices quoted on U.S. securities exchanges.  The fair value of foreign securities and foreign currency deposits is based on market prices quoted on foreign securities exchanges and this value is converted to U.S. dollars using the exchange rate in effect at plan year end.  Assets in the UAL Stock Fund are invested in UAL Corporation common stock and are valued at market prices quoted on the New York Stock Exchange ("NYSE").  Transfers into the UAL Stock Fund are made as of the close of the NYSE on a daily basis.

The pending trade payables are recorded net of related receivables and represent net amounts due from investment managers arising from security trading activities settled subsequent to year end.

The following presents investments that represent 5% or more of the Plan's net assets:

   
November 30
 
 
2001
 
2000
  Money Market Fund
$451,272
 
$444,811
Net Appreciation (Depreciation) in Value of Investments

Net appreciation or depreciation in value of investments includes realized and unrealized gains and losses.  Realized and unrealized gains and losses are calculated as the difference between fair value at December 1, or date of purchase if subsequent to December 1, and fair value at date of sale or the current year end.  The unrealized gain or loss on investments in the International Equity Fund represents the difference between fair value at December 1, or date of purchase, and the fair value at the date of sale or the current year-end plus, where applicable, the change in the exchange rate between the U.S. dollar and the foreign currency in which the assets are denominated from December 1, or the date of purchase, to the date of sale or the current year end.

The Plan provides for investments that, in general, are exposed to various risks, such as interest rate, credit and overall market volatility risks.  Due to the level of risk associated with certain investment securities, it is reasonably possible that changes in the value of investment securities will occur in the near term and that such changes could materially affect the amounts reported in the statements of net assets available for benefits.

During 2001 and 2000, the Plan investments depreciated in value by $234,729 and $150,275, respectively, as follows (in thousands):

   
2001
 
2000
         
  UAL Stock Fund  
$(39,684)
 
$(63,912)
  Short-Term  Securities Fund  
2,545
 
(605)
  Diversified  Bond Fund  
5,831
 
1,646
  Government Bond Fund  
1,546
 
3,859
Value Equity Fund  
(376)
 
5,586
  Growth Equity Fund  
(78,014)
 
(30,019)
  Small Cap Equity Fund  
(8,655)
 
4,218
  International Equity Fund  
(22,947)
 
(14,025)
  S & P 500 Index Fund  
(43,513)
 
(16,777)
  Mutual Fund Option  
(9,445)
 
(11,330)
  Individual Brokerage Account Option        
         Cash  
3
 
-
         Equity securities  
(42,062)
 
(28,940)
         Corporate and international bonds  
66
 
(73)
         Government and securities  
(22)
 
97
          Other assets  
(2)
 
-
   
$(234,729)
 
$(150,275)

  Plan Expenses

Management fees, which are paid by the Plan, are paid to the trustee based upon investment fund balances.  Brokerage and other investment fees are included in the cost of the related security.  United performs certain administrative functions for the Plan without charge.

Participant Loans

Effective April 1, 1997, the Pilots' Directed Account Retirement Income Plan was amended to allow participants to obtain loans from the total vested balance of their account.  Participants may borrow up to 50% of their total vested account balance, not to exceed $50,000.  The minimum that may be borrowed is $1,000.  Loans will be funded by charging the participant's interest (interest ranged from 6.50% to 10.50% for the year ended November 30, 2001, and 8.75% to 10.50% for the year ended November 30, 2000) in the Money Market Fund.  No loan will be funded from any investment fund other than the Money Market Fund and applications which designate an amount which cannot be fully funded from this fund will be denied.  Generally, loan repayments will be made through payroll deductions on an after-tax basis for the term of the loan, which is a minimum of six months to a maximum of sixty months.  The term of the loan may be extended to a period longer than sixty months if the loan is used to acquire a principal residence.  Prepayment of the full balance of the loan is allowed after six months from the date of the loan without penalty.  Participants may only have one loan outstanding at any time and are able to take out another loan after twelve months from the date the old loan is retired.  An administrative fee of $90 is charged to each participant taking a loan and is automatically deducted from the participant's account.

Use of Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States requires management to make estimates and assumptions that affect the reported amount of net assets available for plan benefits and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of changes in net assets available for plan benefits during the reporting period.  Actual results could differ from those estimates.

Payment of Benefits

Benefits are recorded when paid.

Reclassifications

Certain prior year balances have been reclassified to conform to the current year presentation.

3.   INVESTMENT ADMINISTRATION

Plan assets are invested by a group of investment managers.  The investment managers buy or sell securities on behalf of the Plan, in accordance with the investment objectives and guidelines established for each of the investment funds.

             As of November 30, 2001, the investment managers were as follows:
 
 
Money Market Fund
-
Frank Russell Trust Company
UAL Stock Fund
-
Frank Russell Trust Company
Short-Term Securities Fund
-
Pacific Investment Management
Diversified Bond Fund
-
Western Asset Management Company
Value Equity Bond
-
Westpeak Investment Advisors
 
-
Dodge and Cox, Inc.
 
-
Frank Russell Trust Company
Growth Equity Fund
-
Alliance Capital Management
 
-
Lincoln Capital Management Company
 
-
Suffolk Investment Partners
 
-
Turner Investment Partners, Inc.
 
-
Frank Russell Trust Company
Small Cap Equity Fund
-
Jacobs Levy Equity Management, Inc.
 
-
Capital Works
 
-
Peregrine Capital Management
 
-
Turner Investment Partners, Inc.
 
-
Frank Russell Trust Company
International Equity Fund
-
Capital Guardian Trust Company
 
-
Rowe Price-Fleming International, Inc.
 
-
The Boston Company Asset Mgt., Inc.
 
-
Frank Russell Trust Company
S&P 500 Index Fund
-
PanAgora Asset Management
Individual Brokerage Account Option
-
Self-Directed Account with Charles Schwab

  4.  TAX STATUS

The Internal Revenue Service has determined and informed the Company by letter dated June 18, 1996, that the Plan and related trust are designed in accordance with applicable sections of the Internal Revenue Code. The Plan was amended, restated, and submitted to the IRS on February 28, 2002 for a determination letter. The Plan administrator and the Plan's counsel believe that the Plan is designed and is currently being operated in compliance with the applicable provisions of the Internal Revenue Code.
 
 

5.  RECONCILIATION TO FORM 5500

At November 30, 2001, certain participants had requested distributions from the plan, but were not paid until December.  No liability is recorded in the financial statements for such transactions.  However, these amounts are included as a benefit payable in the Form 5500.  A reconciliation between the financial statements and the Form 5500 is as follows (in thousands):

Net assets available for plan benefits per financial statements           $1,972,036
Less- Amounts allocated to withdrawing participants                 (2,234)
Net assets available for plan benefits per Form 5500          $1,969,802
Benefits paid to participants per financial statements             $241,896
Add- Amounts allocated to withdrawing participants at November 30, 2001                  2,234
Less- Amounts allocated to withdrawing participants at November 30, 2000              (16,978)
Benefits paid to participants per Form 5500             $227,152

  6.   RELATED-PARTY TRANSACTIONS

The Plan holds investments managed by Frank Russell Trust Company.   Frank Russell Trust Company acts as trustee as defined by the Plan.  Transactions in such investments qualify as party-in-interest transactions which are exempt from the prohibited transaction rules.

7.   DERIVATIVES

The Plan allows certain investment managers to reduce the funds' exposure to fluctuations in the value of foreign currency assets and liabilities through foreign currency forwards and options.  The Plan also authorizes other investment managers to earn equity returns on the Funds' cash position through equity index future contracts.  Certain investment managers use interest rate futures and money market futures to replicate government bond positions and manage interest rate exposure.  The Plan prohibits investment managers from being a party to any leveraged derivatives.  All derivative positions are stated at fair value, generally, determined by exchange quoted market prices or through other valuation techniques.

  8.   SUBSEQUENT EVENT

Effective December 1, 2001, the Plan changed the year end from November 30 to December 31.

Effective January 1, 2002, the name of the plan changed to United Airlines Pilot Directed  Account Plan.

Effective April 1, 2002, the contribution limit increased from 50% to 60% of compensation, as  defined.

 
UNITED AIR LINES, INC.
PILOTS' DIRECTED ACCOUNT RETIREMENT INCOME PLAN

TIE IN OF SCHEDULE H, Line 4i - SCHEDULES OF ASSETS (HELD AT END OF YEAR) TO
NET ASSETS AVAILABLE FOR PLAN BENEFITS

As of November 30, 2001

(in thousands)


Total investments per statement of net assets available for plan benefits          $2,056,809
Less- Pending trade payables, net              (87,708)
Total assets per schedule of assets held for investment purposes          $1,969,101

 
 
 

Signature

Pursuant to the requirements of the Securities Exchange Act of 1934, the United Air Lines, Inc. Pension and Welfare Plans Administration Committee has duly caused this annual report to be signed on its behalf by the undersigned hereunto duly authorized.
 
 
 
 
 
 
 
 
 
  

United Air Lines, Inc.
Pilots' Directed Account
Retirement Income Plan 

 
 
 
 
 
 
 

Dated May 15, 2002 

/s/Frederic F. Brace
By Frederic F. Brace
 
Frederic F. Brace
Member, United Air
Lines, Inc. Pension
and Welfare Plans
Administration Committee

 

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Account
Number

  Identity of party involved
  Description of asset (include interest rate and maturity in case of a loan)
  Date
  Share/Par Value
  Cost of asset
  Current value of
asset on transaction date

  Net gain or (loss)
 
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/13/2001   3/13/2001   (1,150,000.00 ) 579,025.00   579,025.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/13/2001   3/13/2001   1,150,000.00   578,956.00   595,873.45   16,917.45  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/16/2001   3/16/2001   250,000.00   123,642.50   129,537.71   5,895.21  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 04/11/2001   4/11/2001   (200,000.00 ) 99,790.00   103,630.16   (3,840.16 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 04/26/2001   4/26/2001   (200,000.00 ) 101,500.00   103,630.16   (2,130.16 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 06/18/2001   6/18/2001   (1,000,000.00 ) 523,400.00   523,400.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 06/18/2001   6/18/2001   1,000,000.00   521,800.00   494,149.27   (27,650.73 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 08/16/2001   8/16/2001   200,000.00   105,328.00   98,829.85   (6,498.15 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 08/16/2001   8/16/2001   200,000.00   105,328.00   98,829.85   (6,498.15 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 09/17/2001   9/17/2001   (1,200,000.00 ) 603,120.00   603,120.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 09/17/2001   9/17/2001   1,200,000.00   601,200.00   623,822.25   22,622.25  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 10/15/2001   10/15/2001   (500,000.00 ) 256,730.00   259,925.94   (3,195.94 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 10/31/2001   10/31/2001   (100,000.00 ) 50,245.00   51,985.19   (1,740.19 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/07/2001   3/7/2001   (500,000.00 ) 736,015.00   722,000.81   14,014.19  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/13/2001   3/13/2001   (1,500,000.00 ) 2,173,800.00   2,173,800.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/13/2001   3/13/2001   1,500,000.00   2,171,235.00   2,092,721.51   (78,513.49 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 04/26/2001   4/26/2001   (200,000.00 ) 288,046.00   279,029.54   9,016.46  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 06/16/2001   6/16/2001   (1,300,000.00 ) 1,823,900.00   1,813,691.98   10,208.02  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 06/18/2001   6/18/2001   1,300,000.00   1,817,530.00   1,908,537.03   91,007.03  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 06/29/2001   6/29/2001   (400,000.00 ) 562,888.00   587,242.16   (24,354.16 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 07/04/2001   7/4/2001   500,000.00   702,200.00   734,052.70   31,852.70  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 07/25/2001   7/25/2001   (250,000.00 ) 356,290.00   367,026.35   (10,736.35 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 08/16/2001   8/16/2001   300,000.00   432,639.00   440,431.62   7,792.62  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 08/16/2001   8/16/2001   300,000.00   432,639.00   440,431.62   7,792.62  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 08/28/2001   8/28/2001   (200,000.00 ) 289,792.00   293,621.08   (3,829.08 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 09/17/2001   9/17/2001   (1,250,000.00 ) 1,833,000.00   1,833,000.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 09/17/2001   9/17/2001   1,250,000.00   1,826,300.00   1,781,803.45   (44,496.55 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 09/27/2001   9/27/2001   (500,000.00 ) 734,500.00   712,721.38   21,778.62  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 10/03/2001   10/3/2001   500,000.00   734,325.00   712,721.38   (21,603.62 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 10/31/2001   10/31/2001   (500,000.00 ) 726,035.00   712,721.38   13,313.62  

UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 11/08/2001   11/8/2001   500,000.00   728,275.00   712,721.38   (15,553.62 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 11/19/2001   11/19/2001   (250,000.00 ) 356,125.00   356,360.69   (235.69 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 12/11/2000   12/11/2000   (500,000.00 ) 728,875.00   722,000.81   6,874.19  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 02/26/2001   2/26/2001   (500,000.00 ) 458,655.00   453,276.28   5,378.72  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/13/2001   3/13/2001   (4,600,000.00 ) 4,203,480.00   4,203,480.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/13/2001   3/13/2001   4,600,000.00   4,206,332.00   3,918,495.30   (287,836.70 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/16/2001   3/16/2001   1,500,000.00   1,342,200.00   1,277,770.21   (64,429.79 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/30/2001   3/30/2001   (2,000,000.00 ) 1,771,000.00   1,703,693.61   67,306.39  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 04/03/2001   4/3/2001   1,000,000.00   880,450.00   851,846.80   (28,603.20 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 04/04/2001   4/4/2001   (500,000.00 ) 450,800.00   425,923.40   24,876.60  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 06/01/2001   6/1/2001   500,000.00   423,450.00   425,923.40   2,473.40  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 06/15/2001   6/15/2001   (500,000.00 ) 430,495.00   464,722.89   (34,227.89 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 06/18/2001   6/18/2001   (5,100,000.00 ) 4,393,140.00   4,393,140.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 06/18/2001   6/18/2001   5,100,000.00   4,385,490.00   4,740,173.43   354,683.43  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 06/27/2001   6/27/2001   (1,000,000.00 ) 860,650.00   929,445.77   (68,795.77 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 07/05/2001   7/5/2001   1,000,000.00   836,410.00   929,445.77   93,035.77  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 07/23/2001   7/23/2001   (500,000.00 ) 433,895.00   464,722.89   (30,827.89 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 08/16/2001   8/16/2001   750,000.00   684,862.50   697,084.33   12,221.83  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 08/16/2001   8/16/2001   750,000.00   684,862.50   697,084.33   12,221.83  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 08/31/2001   8/31/2001   (1,000,000.00 ) 910,320.00   929,445.77   (19,125.77 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 09/04/2001   9/4/2001   1,000,000.00   892,745.00   929,445.77   36,700.77  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 09/17/2001   9/17/2001   (4,850,000.00 ) 4,487,705.00   4,487,705.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 09/17/2001   9/17/2001   4,850,000.00   4,479,460.00   4,341,171.15   (138,288.85 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 09/20/2001   9/20/2001   (500,000.00 ) 462,300.00   447,543.42   14,756.58  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 09/28/2001   9/28/2001   (1,000,000.00 ) 912,620.00   895,086.84   17,533.16  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 10/17/2001   10/17/2001   1,000,000.00   901,520.00   895,086.84   (6,433.16 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 10/29/2001   10/29/2001   (1,000,000.00 ) 898,710.00   895,086.84   3,623.16  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 10/30/2001   10/30/2001   (600,000.00 ) 544,140.00   537,052.10   7,087.90  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 11/02/2001   11/2/2001   1,000,000.00   901,740.00   895,086.84   (6,653.16 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 11/19/2001   11/19/2001   (500,000.00 ) 441,675.00   447,543.42   (5,868.42 )

UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/07/2001   3/7/2001   50,000,000.00   419,013.14   410,509.03   (8,504.11 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/13/2001   3/13/2001   (275,000,000.00 ) 2,289,758.53   2,289,758.53   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/13/2001   3/13/2001   275,000,000.00   2,319,129.02   2,230,422.97   (88,706.05 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/16/2001   3/16/2001   100,000,000.00   825,055.28   811,062.90   (13,992.38 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 04/06/2001   4/6/2001   (50,000,000.00 ) 406,177.14   405,531.45   645.69  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 05/01/2001   5/1/2001   (50,000,000.00 ) 411,461.68   405,531.45   5,930.23  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 06/18/2001   6/18/2001   (275,000,000.00 ) 2,232,142.86   2,232,142.86   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 06/18/2001   6/18/2001   275,000,000.00   2,252,547.43   2,344,515.96   91,968.53  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 08/14/2001   8/14/2001   (50,000,000.00 ) 411,201.12   426,275.63   (15,074.51 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 08/16/2001   8/16/2001   60,000,000.00   501,140.09   511,530.76   10,390.67  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 08/16/2001   8/16/2001   60,000,000.00   501,140.09   511,530.76   10,390.67  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 08/27/2001   8/27/2001   (50,000,000.00 ) 417,522.59   426,275.63   (8,753.04 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 09/17/2001   9/17/2001   (235,000,000.00 ) 1,999,659.63   1,999,659.63   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 09/17/2001   9/17/2001   235,000,000.00   2,012,847.97   1,909,574.51   (103,273.46 )
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 10/31/2001   10/31/2001   (85,000,000.00 ) 697,012.69   690,697.16   6,315.53  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 02/26/2001   2/26/2001   458,655.00   458,655.00   458,655.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/07/2001   3/7/2001   (419,013.14 ) 419,013.14   419,013.14   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/07/2001   3/7/2001   736,015.00   736,015.00   736,015.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/13/2001   3/13/2001   4,203,480.00   4,203,480.00   4,203,480.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/13/2001   3/13/2001   2,173,800.00   2,173,800.00   2,173,800.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/13/2001   3/13/2001   2,289,758.53   2,289,758.53   2,289,758.53   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/13/2001   3/13/2001   579,025.00   579,025.00   579,025.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/13/2001   3/13/2001   (4,206,332.00 ) 4,206,332.00   4,206,332.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/13/2001   3/13/2001   (2,171,235.00 ) 2,171,235.00   2,171,235.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/13/2001   3/13/2001   (2,319,129.02 ) 2,319,129.02   2,319,129.02   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/13/2001   3/13/2001   (578,956.00 ) 578,956.00   578,956.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/16/2001   3/16/2001   (825,055.28 ) 825,055.28   825,055.28   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/16/2001   3/16/2001   (1,342,200.00 ) 1,342,200.00   1,342,200.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/16/2001   3/16/2001   (123,642.50 ) 123,642.50   123,642.50   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 03/30/2001   3/30/2001   1,771,000.00   1,771,000.00   1,771,000.00   0  

UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 04/03/2001   4/3/2001   (880,450.00 ) 880,450.00   880,450.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 04/04/2001   4/4/2001   450,800.00   450,800.00   450,800.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 04/06/2001   4/6/2001   406,177.14   406,177.14   406,177.14   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 04/11/2001   4/11/2001   99,790.00   99,790.00   99,790.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 04/26/2001   4/26/2001   101,500.00   101,500.00   101,500.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 04/26/2001   4/26/2001   288,046.00   288,046.00   288,046.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 05/01/2001   5/1/2001   411,461.68   411,461.68   411,461.68   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 06/01/2001   6/1/2001   (423,450.00 ) 423,450.00   423,450.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 06/15/2001   6/15/2001   430,495.00   430,495.00   430,495.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 06/16/2001   6/16/2001   1,823,900.00   1,823,900.00   1,823,900.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 06/18/2001   6/18/2001   2,232,142.86   2,232,142.86   2,232,142.86   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 06/18/2001   6/18/2001   4,393,140.00   4,393,140.00   4,393,140.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 06/18/2001   6/18/2001   523,400.00   523,400.00   523,400.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 06/18/2001   6/18/2001   (521,800.00 ) 521,800.00   521,800.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 06/18/2001   6/18/2001   (2,252,547.43 ) 2,252,547.43   2,252,547.43   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 06/18/2001   6/18/2001   (1,817,530.00 ) 1,817,530.00   1,817,530.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 06/18/2001   6/18/2001   (4,385,490.00 ) 4,385,490.00   4,385,490.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 06/27/2001   6/27/2001   860,650.00   860,650.00   860,650.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 06/29/2001   6/29/2001   562,888.00   562,888.00   562,888.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 07/04/2001   7/4/2001   (702,200.00 ) 702,200.00   702,200.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 07/05/2001   7/5/2001   (836,410.00 ) 836,410.00   836,410.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 07/23/2001   7/23/2001   433,895.00   433,895.00   433,895.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 07/25/2001   7/25/2001   356,290.00   356,290.00   356,290.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 08/14/2001   8/14/2001   411,201.12   411,201.12   411,201.12   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 08/16/2001   8/16/2001   (105,328.00 ) 105,328.00   105,328.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 08/16/2001   8/16/2001   (684,862.50 ) 684,862.50   684,862.50   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 08/16/2001   8/16/2001   (432,639.00 ) 432,639.00   432,639.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 08/16/2001   8/16/2001   (501,140.09 ) 501,140.09   501,140.09   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 08/16/2001   8/16/2001   (105,328.00 ) 105,328.00   105,328.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 08/16/2001   8/16/2001   (684,862.50 ) 684,862.50   684,862.50   0  

UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 08/16/2001   8/16/2001   (432,639.00 ) 432,639.00   432,639.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 08/16/2001   8/16/2001   (501,140.09 ) 501,140.09   501,140.09   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 08/27/2001   8/27/2001   417,522.59   417,522.59   417,522.59   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 08/28/2001   8/28/2001   289,792.00   289,792.00   289,792.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 08/31/2001   8/31/2001   910,320.00   910,320.00   910,320.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 09/04/2001   9/4/2001   (892,745.00 ) 892,745.00   892,745.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 09/17/2001   9/17/2001   603,120.00   603,120.00   603,120.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 09/17/2001   9/17/2001   4,487,705.00   4,487,705.00   4,487,705.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 09/17/2001   9/17/2001   1,833,000.00   1,833,000.00   1,833,000.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 09/17/2001   9/17/2001   1,999,659.63   1,999,659.63   1,999,659.63   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 09/17/2001   9/17/2001   (601,200.00 ) 601,200.00   601,200.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 09/17/2001   9/17/2001   (4,479,460.00 ) 4,479,460.00   4,479,460.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 09/17/2001   9/17/2001   (1,826,300.00 ) 1,826,300.00   1,826,300.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 09/17/2001   9/17/2001   (2,012,847.97 ) 2,012,847.97   2,012,847.97   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 09/20/2001   9/20/2001   462,300.00   462,300.00   462,300.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 09/27/2001   9/27/2001   734,500.00   734,500.00   734,500.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 09/28/2001   9/28/2001   912,620.00   912,620.00   912,620.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 10/03/2001   10/3/2001   (734,325.00 ) 734,325.00   734,325.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 10/15/2001   10/15/2001   256,730.00   256,730.00   256,730.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 10/17/2001   10/17/2001   (901,520.00 ) 901,520.00   901,520.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 10/29/2001   10/29/2001   898,710.00   898,710.00   898,710.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 10/30/2001   10/30/2001   544,140.00   544,140.00   544,140.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 10/31/2001   10/31/2001   726,035.00   726,035.00   726,035.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 10/31/2001   10/31/2001   697,012.69   697,012.69   697,012.69   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 10/31/2001   10/31/2001   50,245.00   50,245.00   50,245.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 11/02/2001   11/2/2001   (901,740.00 ) 901,740.00   901,740.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 11/08/2001   11/8/2001   (728,275.00 ) 728,275.00   728,275.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 11/19/2001   11/19/2001   441,675.00   441,675.00   441,675.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 11/19/2001   11/19/2001   356,125.00   356,125.00   356,125.00   0  
UAL01   STATE STREET BOSTON DTC #997   FX DEAL TRANSACTED ON 12/11/2000   12/11/2000   728,875.00   728,875.00   728,875.00   0  
                Total FX Deals with State Street Boston DTC       167,358,779.52   167,223,287.09   (143,644.35 )

Description of asset (include interest rate and
maturity in case of a loan)

  Cost of asset
  Current value of asset on
transaction date

  Net gain or (loss)
COLTV SHORT TERM INVT FD            
Total number of purchases = 2783   1,307,106,292.14   1,307,106,292.14   0
Total number of sales = 2956   1,348,619,943.94   1,348,619,943.94   0
TOTAL COLTV SHORT TERM INVT FD   2,655,726,236.08   2,655,726,236.08   0

MFO FRANK RUSSELL SHORT-TERM INVT FD FBOUAL-DV

 

 

 

 

 

 
Total number of purchases = 128   289,348,851.76   289,348,851.76   0
Total number of sales = 133   280,951,810.94   280,951,810.94   0
TOTAL MFO FRANK RUSSELL SHORT-TERM INVT FD FBOUAL-DV   570,300,662.70   570,300,662.70   0

MFO FRANK RUSSELL UAL STIF

 

 

 

 

 

 
Total number of purchases = 85   206,257,647.06   206,257,647.06   0
Total number of sales = 37   222,600,000.00   222,600,000.00   0
TOTAL MFO FRANK RUSSELL UAL STIF   428,857,647.06   428,857,647.06   0

Identity of issue, borrower, lessor, or similar party
  Description of investments including
maturity date, rate of interest,
collateral, par, or maturity value

  Shares/Par Value
  Cost
  Current Value
 
Non-Interest Bearing Cash — USD   Australian dollar   (10,429.08 ) (10,429.08 ) (10,429.08 )
Non-Interest Bearing Cash — USD   Australian dollar   268.93   268.93   268.93  
Non-Interest Bearing Cash — USD   Australian dollar   0.22   0.22   0.22  
Non-Interest Bearing Cash — USD   Canadian dollar   318.85   318.85   318.85  
Non-Interest Bearing Cash — USD   Canadian dollar   0.01   0.01   0.01  
Non-Interest Bearing Cash — USD   Swiss franc   41.91   41.91   41.91  
Non-Interest Bearing Cash — USD   Swiss franc   310.24   310.24   310.24  
Non-Interest Bearing Cash — USD   Danish krone   14.52   14.52   14.52  
Non-Interest Bearing Cash — USD   Euro   639,756.26   639,756.26   639,756.26  
Non-Interest Bearing Cash — USD   Euro   120,528.03   120,528.03   120,528.03  
Non-Interest Bearing Cash — USD   Euro   599.67   599.67   599.67  
Non-Interest Bearing Cash — USD   British pound sterling   (12,873.62 ) (12,873.62 ) (12,873.62 )
Non-Interest Bearing Cash — USD   British pound sterling   6,423.05   6,423.05   6,423.05  
Non-Interest Bearing Cash — USD   British pound sterling   17,258.71   17,258.71   17,258.71  
Non-Interest Bearing Cash — USD   British pound sterling   24,745.28   24,745.28   24,745.28  
Non-Interest Bearing Cash — USD   British pound sterling   87.33   87.33   87.33  
Non-Interest Bearing Cash — USD   Hong Kong dollar   3,755.71   3,755.71   3,755.71  
Non-Interest Bearing Cash — USD   Hong Kong dollar   77,412.14   77,412.14   77,412.14  
Non-Interest Bearing Cash — USD   Hong Kong dollar   7.51   7.51   7.51  
Non-Interest Bearing Cash — USD   Hong Kong dollar   (165,124.80 ) (165,124.80 ) (165,124.80 )
Non-Interest Bearing Cash — USD   Indonesian rupiah   0.07   0.07   0.07  
Non-Interest Bearing Cash — USD   Japanese yen   (160,952.87 ) (160,952.87 ) (160,952.87 )
Non-Interest Bearing Cash — USD   Japanese yen   1,113.24   1,113.24   1,113.24  
Non-Interest Bearing Cash — USD   Japanese yen   142,240.34   142,240.34   142,240.34  
Non-Interest Bearing Cash — USD   Japanese yen   58,214.42   58,214.42   58,214.42  
Non-Interest Bearing Cash — USD   Mexican peso   67.94   67.94   67.94  
Non-Interest Bearing Cash — USD   Mexican peso   25.27   25.27   25.27  
Non-Interest Bearing Cash — USD   Malaysian ringgit   3.16   3.16   3.16  
Non-Interest Bearing Cash — USD   Malaysian ringgit   23.80   23.80   23.80  
Non-Interest Bearing Cash — USD   Norwegian krone   59.42   59.42   59.42  
Non-Interest Bearing Cash — USD   New Zealand dollar   45.44   45.44   45.44  
Non-Interest Bearing Cash — USD   New Zealand dollar   187.34   187.34   187.34  
Non-Interest Bearing Cash — USD   Swedish krona   71.49   71.49   71.49  
Non-Interest Bearing Cash — USD   Swedish krona   9.89   9.89   9.89  
Non-Interest Bearing Cash — USD   Singapore dollar   54.15   54.15   54.15  
Non-Interest Bearing Cash — USD   Singapore dollar   191.13   191.13   191.13  
Non-Interest Bearing Cash — USD   United States dollar   35,449.36   35,449.36   35,449.36  
Non-Interest Bearing Cash — USD   United States dollar   1,793,441.69   1,793,441.69   1,793,441.69  
Non-Interest Bearing Cash — USD   United States dollar   1,783.38   1,783.38   1,783.38  
Non-Interest Bearing Cash — USD   United States dollar   2,565.20   2,565.20   2,565.20  
Non-Interest Bearing Cash — USD   United States dollar   (249,542.06 ) (249,542.06 ) (249,542.06 )
Non-Interest Bearing Cash — USD   United States dollar   (4,348.57 ) (4,348.57 ) (4,348.57 )
Receivables — Other — USD   Pending foreign exchange purchases: Australian dollar   0   601,200.00   623,822.25  
Receivables — Other — USD   Pending foreign exchange purchases: Euro   0   145,114.99   147,802.55  
Receivables — Other — USD   Pending foreign exchange purchases: Euro   0   179,924.58   179,772.13  
Receivables — Other — USD   Pending foreign exchange purchases: Euro   0   199,000.00   198,749.44  
Receivables — Other — USD   Pending foreign exchange purchases: Euro   0   29,982.62   29,345.52  
Receivables — Other — USD   Pending foreign exchange purchases: Euro   0   649,445.40   664,342.42  
Receivables — Other — USD   Pending foreign exchange purchases: Euro   0   119,884.36   119,782.78  
Receivables — Other — USD   Pending foreign exchange purchases: Euro   0   96,851.30   96,304.07  
Receivables — Other — USD   Pending foreign exchange purchases: Euro   0   374,926.16   370,535.10  
Receivables — Other — USD   Pending foreign exchange purchases: Euro   0   189,845.64   193,361.62  
Receivables — Other — USD   Pending foreign exchange purchases: Euro   0   39,766.30   40,192.85  
Receivables — Other — USD   Pending foreign exchange purchases: Euro   0   901,520.00   895,086.84  
Receivables — Other — USD   Pending foreign exchange purchases: Euro   0   229,829.30   233,008.88  
Receivables — Other — USD   Pending foreign exchange purchases: Euro   0   235,624.22   238,377.54  
Receivables — Other — USD   Pending foreign exchange purchases: Euro   0   929,299.05   967,166.65  
Receivables — Other — USD   Pending foreign exchange purchases: Euro   0   151,000.00   151,493.07  
Receivables — Other — USD   Pending foreign exchange purchases: Euro   0   663,318.92   691,357.42  
Receivables — Other — USD   Pending foreign exchange purchases: Euro   0   29,982.62   29,346.40  
Receivables — Other — USD   Pending foreign exchange purchases: Euro   0   50,124.19   50,546.55  

Receivables — Other — USD   Pending foreign exchange purchases: Euro   0   901,740.00   895,086.84  
Receivables — Other — USD   Pending foreign exchange purchases: Euro   0   4,479,460.00   4,341,171.15  
Receivables — Other — USD   Pending foreign exchange purchases: Euro   0   79,990.55   83,120.24  
Receivables — Other — USD   Pending foreign exchange purchases: British pound sterling   0   1,826,300.00   1,781,803.45  
Receivables — Other — USD   Pending foreign exchange purchases: British pound sterling   0   728,275.00   712,721.38  
Receivables — Other — USD   Pending foreign exchange purchases: British pound sterling   0   19,931.66   19,964.63  
Receivables — Other — USD   Pending foreign exchange purchases: British pound sterling   0   734,325.00   712,721.38  
Receivables — Other — USD   Pending foreign exchange purchases: Japanese yen   0   2,012,847.97   1,909,574.51  
Receivables — Other — USD   Pending foreign exchange purchases: Japanese yen   0   30,232.42   28,722.01  
Receivables — Other — USD   Pending foreign exchange purchases: United States dollar   0   256,730.00   256,730.00  
Receivables — Other — USD   Pending foreign exchange purchases: United States dollar   0   912,620.00   912,620.00  
Receivables — Other — USD   Pending foreign exchange purchases: United States dollar   0   3,557.43   3,557.43  
Receivables — Other — USD   Pending foreign exchange purchases: United States dollar   0   898,710.00   898,710.00  
Receivables — Other — USD   Pending foreign exchange purchases: United States dollar   0   462,300.00   462,300.00  
Receivables — Other — USD   Pending foreign exchange purchases: United States dollar   0   544,140.00   544,140.00  
Receivables — Other — USD   Pending foreign exchange purchases: United States dollar   0   726,035.00   726,035.00  
Receivables — Other — USD   Pending foreign exchange purchases: United States dollar   0   50,245.00   50,245.00  
Receivables — Other — USD   Pending foreign exchange purchases: United States dollar   0   52,333.71   52,333.71  
Receivables — Other — USD   Pending foreign exchange purchases: United States dollar   0   734,500.00   734,500.00  
Receivables — Other — USD   Pending foreign exchange purchases: United States dollar   0   697,012.69   697,012.69  
Receivables — Other — USD   Pending foreign exchange purchases: United States dollar   0   592.20   592.20  
Receivables — Other — USD   Pending foreign exchange purchases: United States dollar   0   279,000.00   279,000.00  
Receivables — Other — USD   Pending foreign exchange purchases: United States dollar   0   356,125.00   356,125.00  
Receivables — Other — USD   Pending foreign exchange purchases: United States dollar   0   441,675.00   441,675.00  
Receivables — Other — USD   Pending trade sales: Australian dollar   0   104.02   104.02  
Receivables — Other — USD   Pending trade sales: Euro   0   6,550.40   6,615.03  
Receivables — Other — USD   Pending trade sales: Euro   0   15,274.69   15,274.69  
Receivables — Other — USD   Pending trade sales: Hong Kong dollar   0   6,539.47   6,539.47  
Receivables — Other — USD   Pending trade sales: Japanese yen   0   40,451.29   40,722.34  
Receivables — Other — USD   Pending trade sales: Japanese yen   0   6,172.84   6,172.84  
Receivables — Other — USD   Pending trade sales: Japanese yen   0   52,086.11   52,399.17  
Receivables — Other — USD   Pending trade sales: United States dollar   0   732,274.11   732,274.11  
Receivables — Other — USD   Pending trade sales: United States dollar   0   655,559.38   655,559.38  
Receivables — Other — USD   Pending trade sales: United States dollar   0   169,630.07   169,630.07  
Receivables — Other — USD   Pending trade sales: United States dollar   0   6,955.76   6,955.76  
Receivables — Other — USD   Pending trade sales: United States dollar   0   13,265,858.96   13,265,858.96  
Receivables — Other — USD   Pending trade sales: United States dollar   0   163,861.14   163,861.14  
Receivables — Other — USD   Pending trade sales: United States dollar   0   630,567.82   630,567.82  
Receivables — Other — USD   Pending trade sales: United States dollar   0   73,342.36   73,342.36  
Receivables — Other — USD   Pending trade sales: United States dollar   0   78,820.54   78,820.54  
Receivables — Other — USD   Pending trade sales: United States dollar   0   665,248.88   665,248.88  

Receivables — Other — USD   Pending trade sales: United States dollar   0   1,322,359.12   1,322,359.12  
Interest Bearing Cash — USD   Australian dollar   140,946.89   137,425.82   140,946.89  
Interest Bearing Cash — USD   Canadian dollar   636.27   629.18   636.27  
Interest Bearing Cash — USD   Swiss franc   102,016.03   101,363.95   102,016.03  
Interest Bearing Cash — USD   Danish krone   481.15   477.54   481.15  
Interest Bearing Cash — USD   Euro   325,012.53   322,012.83   325,012.53  
Interest Bearing Cash — USD   British pound sterling   1,426.05   1,426.05   1,426.05  
Interest Bearing Cash — USD   British pound sterling   134,761.28   136,629.09   134,761.28  
Interest Bearing Cash — USD   Hong Kong dollar   28,594.14   28,593.82   28,594.14  
Interest Bearing Cash — USD   Norwegian krone   895.58   889.52   895.58  
Interest Bearing Cash — USD   New Zealand dollar   18,713.28   18,006.57   18,713.28  
Interest Bearing Cash — USD   Swedish krona   44,551.14   45,069.71   44,551.14  
Interest Bearing Cash — USD   Singapore dollar   25,666.93   25,920.81   25,666.93  
Interest Bearing Cash — USD   Singapore dollar   1,092.21   1,140.06   1,092.21  
Interest Bearing Cash — USD   United States dollar   14,230,952.44   14,230,952.44   14,230,952.44  
Interest Bearing Cash — USD   United States dollar   41,941.54   41,941.54   41,941.54  
Interest Bearing Cash — USD   United States dollar   5,706,494.58   5,706,494.58   5,706,494.58  
Interest Bearing Cash — USD   United States dollar   394,690.00   394,690.00   394,690.00  
Interest Bearing Cash — USD   United States dollar   1,439,972.45   1,439,972.45   1,439,972.45  
Interest Bearing Cash — USD   United States dollar   2,297,853.82   2,297,853.82   2,297,853.82  
Certificates of Deposit   PROVIDIAN NATL BK TILTON NEW HAMPSHIRE DTD 05-09-2001 5.9 05-09-2008   50,000.00   50,000.00   500.00  
U.S. Government Securities   ARGENTINA(REP OF) 0% BDS 15/10/02'D'USD10000   90,000.00   67,407.30   87,862.50  
U.S. Government Securities   UTD MEXICAN STS MEDIUM TERM NTS BOOK #TR 00006 8.375 01-14-2011 REG   490,000.00   479,751.22   504,455.00  
U.S. Government Securities   PANAMA(REP OF) FRN 7/2016 USD10000   210,000.00   166,087.93   174,300.00  
U.S. Government Securities   7.43 DUE 08-01-2023 REG   364,484.08   390,567.46   373,254.48  
U.S. Government Securities   FHA 221D4 P9-00 PROJ GMAC 26 MCP 7.43 BDDUE 01-01-2021   997,868.90   1,019,632.42   1,052,971.22  
U.S. Government Securities   FHA INSD MTG P/T #091 REILLY 7.43 BD DUE07-01-2023   1,215,186.86   1,308,832.83   1,237,510.21  
U.S. Government Securities   FHA INSD PROJ #54 GREYSTONE SERV CORP 7.43 GTD MTG CTF DUE 5-1-23 REG   493,610.69   507,816.81   502,382.30  
U.S. Government Securities   FHA INSD PROJ GMAC POOL #1 7.483 DUE 04-01-2019 REG   2,663,019.60   2,705,014.19   2,686,229.68  
U.S. Government Securities   FHA PROJ #075-35261-PM SLEEPY HOLLOW APTS 7.73 PARTN CTF DUE 05-01-2021   1,516,229.02   1,571,192.11   1,543,172.86  
U.S. Government Securities   FHLMC 15 YR PARTN CTF (PC) 7 15 YEARS SETTLES DEC   600,000.00   624,187.50   624,186.00  
U.S. Government Securities   FHLMC 30 YR GOLD PARTN CTF (PC) 6.5 30 YEARS SETTLES DEC   5,900,000.00   6,040,000.00   5,973,750.00  
U.S. Government Securities   FHLMC 7.44 DUE 08-01-2022 REG   1,688,739.34   1,697,183.04   1,715,540.14  
U.S. Government Securities   FHLMC DEB 5.875 03-21-2011   35,000.00   34,786.15   35,525.00  
U.S. Government Securities   FHLMC DEB DTD 07/16/2001 5.5 07-15-2006   2,000,000.00   2,102,187.50   2,081,560.00  
U.S. Government Securities   FHLMC DTD 01/16/2001 5.25 01-15-2006   440,000.00   441,760.00   454,506.80  
U.S. Government Securities   FHLMC GROUP #A0-0952 9.0 MTG PARTN CTF DUE 09-01-2000 REG   808,041.48   859,049.11   874,446.33  
U.S. Government Securities   FHLMC GROUP #B0-0083 8.5 MTG PARTN CTF DUE 11-01-2002 REG   76,427.51   80,057.82   78,075.29  
U.S. Government Securities   FHLMC GROUP #B00549 8.5 MTG PARTN CTF DUE 04-01-2004 REG   24,263.10   24,934.13   24,786.21  
U.S. Government Securities   FHLMC MULTICLASS SER 1475 CL H 6.75 MTG PARTN CTF DUE 04-15-2006 REG   37,298.32   37,601.37   37,379.63  
U.S. Government Securities   FHLMC MULTICLASS SER 1564 CL I 6.5 MTG PARTN CTF DUE 05-15-2007 REG   150,767.40   23,934.32   5,465.32  

U.S. Government Securities   FHLMC MULTICLASS SER 1594 CL J 6.0 MTG PARTN CTF DUE 10-15-2008 REG   190,000.00   183,350.00   196,175.00  
U.S. Government Securities   FHLMC MULTICLASS SER 1618 6.0 MTG PARTN CTF DUE 10-15-2007 REG   413,251.16   61,535.69   18,079.74  
U.S. Government Securities   FHLMC MULTICLASS SER 1856 CL 1856-ZE 8 06-15-2018   69,308.26   72,329.23   74,527.87  
U.S. Government Securities   FHLMC MULTICLASS SER 2095 CL 2095-TI 7 11-15-2024   931,127.20   153,345.03   96,017.84  
U.S. Government Securities   FHLMC MULTICLASS SER E3 CL A 6.504 MTG PARTN CTF DUE 08-15-2032 REG   437,669.82   438,147.89   432,058.89  
U.S. Government Securities   FHLMC POOL #306670 11.25 GTD PARTN CTF DUE 04-01-2019 REG   42,764.83   46,961.12   49,152.19  
U.S. Government Securities   FHLMC REFERENCE NT 5.5 09-15-2011   645,000.00   650,282.06   646,612.50  
U.S. Government Securities   FIN CORP PRIN FICO STRIPS SER 16 PRIN PMT 4-5-10 CPN 9.7 BD DUE 2019 BEO   150,000.00   41,838.00   49,638.00  
U.S. Government Securities   FNMA 30 YR PASS-THROUGHS 6 30 YEARS SETTLES DEC   2,000,000.00   2,020,000.00   1,978,760.00  
U.S. Government Securities   FNMA 30 YR PASS-THROUGHS 6.5 30 YEARS SETTLES DEC   1,550,000.00   1,587,843.76   1,567,437.50  
U.S. Government Securities   FNMA BD 7.125 02-15-2005   700,000.00   738,295.46   766,717.00  
U.S. Government Securities   FNMA POOL # 066414 ADJ RT DUE 09-01-2028REG   1,445,684.75   1,471,135.21   1,511,571.96  
U.S. Government Securities   FNMA POOL # 300309 5.249 DUE 12-01-2024 REG   334,004.52   334,032.52   340,568.05  
U.S. Government Securities   FNMA POOL # 313968 ADJ RT DUE 12-01-2027REG   1,088,065.35   1,109,486.63   1,114,244.20  
U.S. Government Securities   FNMA POOL # 420656 8 DUE 07-01-2017 REG   456,779.99   470,197.91   489,919.40  
U.S. Government Securities   FNMA POOL # 443624 ADJ RT DUE 05-01-2023REG   566,635.14   576,639.80   576,284.94  
U.S. Government Securities   FNMA POOL # 516051 9.5 DUE 01-01-2021 REG   620,303.97   652,094.55   677,291.30  
U.S. Government Securities   FNMA POOL # 535460 8 DUE 09-01-2015 REG   174,570.84   177,680.39   182,917.07  
U.S. Government Securities   FNMA POOL # 538927 8 DUE 06-01-2015 REG   378,822.45   385,570.22   396,933.95  
U.S. Government Securities   FNMA PREASSIGN 00060 5.5 02-15-2006   1,040,000.00   1,038,233.04   1,083,222.40  
U.S. Government Securities   FNMA REMIC TR 1992-142 KB 1197.96766 08-25-2007   2,060.62   41,418.46   41,622.10  
U.S. Government Securities   FNMA REMIC TR SER 1996-39 CL H 8.0 GTD MTG PASS THRU CTF DUE 11-25-2023 REG   486,001.48   485,469.92   514,398.55  
U.S. Government Securities   FNMA STRIPPED POOL #35453 MTG BCK SEC SMBS SER K CL K-1 6% DUE 11-1-08 REG   642,869.70   639,655.36   652,994.14  
U.S. Government Securities   FNMA TBA POOL #9999999 6 DUE 12-01-2014 REG   550,000.00   560,312.50   556,704.50  
U.S. Government Securities   FNMA TBA POOL 5.5 15 YR DEC   200,000.00   200,750.00   198,876.00  
U.S. Government Securities   GNMA GPM POOL # 090741 11 DUE 01-15-2010REG   9,142.56   10,019.70   10,273.40  
U.S. Government Securities   GNMA GPM POOL # 090947 11 DUE 01-15-2010REG   11,082.69   12,145.95   12,453.51  
U.S. Government Securities   GNMA GPM POOL # 092213 11 DUE 07-15-2010REG   20,648.98   22,629.96   23,130.37  
U.S. Government Securities   GNMA GPM POOL # 092923 11 DUE 09-15-2010REG   23,771.48   26,052.08   26,628.10  
U.S. Government Securities   GNMA GPM POOL # 098572 11 DUE 06-15-2013REG   100,318.64   109,942.98   114,117.47  
U.S. Government Securities   GNMA GPM POOL # 099519 10.5 DUE 08-15-2013 REG   35,808.61   38,897.10   40,055.87  

U.S. Government Securities   GNMA POOL # 423415 7.5 DUE 12-15-2025 REG   11,729.41   12,066.64   12,282.92  
U.S. Government Securities   GNMA POOL # 434690 SER 2030 8.5 DUE 01-15-2030 REG   64,862.36   67,233.89   68,895.50  
U.S. Government Securities   GNMA POOL # 459066 SER 2028 7.5 DUE 06-15-2028 REG   427,120.87   424,885.15   446,076.49  
U.S. Government Securities   GNMA POOL # 471901 SER 2028 7 DUE 05-15-2028 REG   153,384.03   149,453.55   158,128.20  
U.S. Government Securities   GNMA POOL # 486470 SER 2028 6.5 DUE 08-15-2028 REG   153,665.45   146,666.46   155,922.80  
U.S. Government Securities   GNMA POOL # 486516 SER 2028 6.5 DUE 09-15-2028 REG   143,853.28   137,250.63   145,966.48  
U.S. Government Securities   GNMA POOL # 525327 SER 2030 8.5 DUE 09-15-2030 REG   436,021.10   451,963.13   463,132.89  
U.S. Government Securities   GNMA POOL # 531796 SER 2030 8.5 DUE 08-15-2030 REG   80,110.98   82,792.04   85,092.28  
U.S. Government Securities   GNMA POOL # 781001 SER 2029 7.5 DUE 03-15-2029 REG   219,506.76   218,374.92   229,316.52  
U.S. Government Securities   GNMA POOL #9999999 SER 2029 6 DUE 12-15-2029 REG   1,400,000.00   1,407,437.50   1,389,934.00  
U.S. Government Securities   GNMA TBA POOL #9999999 SER 2028 6.5 UE12-15-2028 REG   11,670,000.00   11,929,846.88   11,841,432.30  
U.S. Government Securities   GNMA TBA POOL #9999999 SER 2028 6.5 UE12-15-2028 REG   3,000,000.00   3,021,562.50   3,044,070.00  
U.S. Government Securities   GNMA TBA POOL 7 TBA   1,800,000.00   1,860,750.00   1,855,134.00  
U.S. Government Securities   GNMA TBA POOL 7 TBA   7,000,000.00   7,273,359.38   7,214,410.00  
U.S. Government Securities   GNMA TBA POOL 7.5 TBA   3,100,000.00   3,234,600.00   3,230,789.00  
U.S. Government Securities   GNMA TBA POOL 7.5 TBA   20,000,000.00   20,798,617.79   20,843,800.00  
U.S. Government Securities   GNMA TBA POOL 8 30YR DEC   16,000,000.00   16,850,000.00   16,850,080.00  
U.S. Government Securities   GNMA, POOL # 93487 SERIES 2010 11.0% DUE 09-15-2010   34,714.50   38,044.91   38,886.14  
U.S. Government Securities   GNMAII POOL # 002855 SER 2029 8.5 DUE 12-20-2029 REG   2,195,289.46   2,294,077.49   2,325,623.80  
U.S. Government Securities   GNMAII POOL # 008540 SER 2024 ADJ RT 11-20-2024   65,438.41   65,274.82   67,412.03  
U.S. Government Securities   GNMAII POOL # 008580 ADJ RT 01-20-2025   38,981.27   39,477.41   39,864.59  
U.S. Government Securities   GNMAII POOL # 008597 ADJ RT 02-20-2025   148,689.75   151,291.83   152,081.36  
U.S. Government Securities   GNMAII POOL # 008608 SER 2025 ADJ RT 03-20-2025   310,393.02   316,267.23   317,426.53  
U.S. Government Securities   GNMAII POOL # 008682 6.75 DUE 08-20-2025REG   212,019.85   209,584.80   218,745.12  
U.S. Government Securities   GNMAII POOL # 008685 6.75 DUE 08-20-2025REG   51,658.85   53,251.60   53,305.73  
U.S. Government Securities   GNMAII POOL # 008781 ADJ RT 01-20-2026   92,772.72   91,933.00   94,831.35  
U.S. Government Securities   GNMAII POOL # 008945 ADJ RT 08-20-2026   147,172.03   143,446.73   151,840.33  
U.S. Government Securities   GNMAII POOL # 080416 SER 2030 5.5 DUE 06-20-2030 REG   4,522,721.76   4,549,421.53   4,605,397.11  
U.S. Government Securities   GNMAII POOL # 080453 SER 2030 ADJ RT 09-20-2030   527,626.62   534,636.77   537,683.18  
U.S. Government Securities   GNMAII POOL # 80408 SER 2030 ADJ RT 05-20-2030   1,644,956.48   1,673,743.22   1,675,026.28  
U.S. Government Securities   GNMAII POOL #008557 SER 2024 ADJ RT DUE 12-20-2024 REG   614,090.60   619,822.12   632,801.94  
U.S. Government Securities   I/O FHLMC MULTICLASS SER 1202 CL 1202-G 819.10 02-15-2007   2,389.39   34,646.15   31,521.60  
U.S. Government Securities   I/O FHLMC MULTICLASS SER 1606 CL 1606-I 6.5 11-15-2008   678,239.10   74,525.55   73,120.96  

U.S. Government Securities   I/O FHLMC MULTICLASS SER 1606 CL IA 11-15-2008   323,033.70   54,057.67   41,286.94  
U.S. Government Securities   I/O FHLMC MULTICLASS SER 1676 CL 1676-I 04-15-2020   181,231.50   17,245.33   6,285.11  
U.S. Government Securities   I/O FNMA REMIC 92-157 JA 1014.60 DUE 9-25-2007   2,409.32   43,608.70   41,431.98  
U.S. Government Securities   I/O FNMA REMIC SER 1993-186 CLJ 03-25-2008   762,015.32   56,750.26   35,571.10  
U.S. Government Securities   I/O FNMA REMIC TR SER 1993-147 CL K 7.0 GTD MTG PASS THRU CTF DUE 06-25-2020 REG   378,385.50   54,283.27   9,932.62  
U.S. Government Securities   I/O FNMA REMIC TR SER 1994-43 CL PM 7.00PASS THRU CTF DUE 02-25-2022 REG   550,788.69   79,692.24   33,559.55  
U.S. Government Securities   INTER AMERN DEV BK GLOBAL FED BOOK ENTRYTRANCHE # TR 1 5.375 DUE 01-18-2006 REG   600,000.00   597,510.00   619,236.00  
U.S. Government Securities   SLM STUD LN TR LN BKD NT FLTG SER 1998-2CL A-1 DUE 04-25-2007 REG   68,068.51   67,544.71   68,093.49  
U.S. Government Securities   TN VY AUTH 7.125 DUE 05-01-2030 REG   710,000.00   699,378.40   803,741.30  
U.S. Government Securities   TN VY AUTH PWR BD 1995 SER E DTD 11/01/95 6.75 DUE 11-01-2025 REG   430,000.00   390,357.20   469,964.20  
U.S. Government Securities   TN VY AUTH PWR BD 1998 SER G 5.375 DUE 11-13-2008 REG   1,270,000.00   1,103,230.36   1,286,662.40  
U.S. Government Securities   U.S TREAS 5.875 NT DUE 11-15-2005   16,000.00   16,860.07   17,180.00  
U.S. Government Securities   US TREAS BD STRIPPED PRIN PMT 08-15-2020REG   200,000.00   51,684.00   67,848.00  
U.S. Government Securities   US TREAS BD STRIPPED PRIN PMT 11-15-2024REG   160,000.00   40,483.20   42,694.40  
U.S. Government Securities   US TREAS BD STRIPPED PRIN PMT 11-15-2027REG   600,000.00   134,054.00   138,852.00  
U.S. Government Securities   US TREAS BD STRIPPED PRIN PMT 7.5 USD1000(PRINCIPLE) 11-15-2016REG   100,000.00   24,578.20   42,781.00  
U.S. Government Securities   US TREAS BD STRIPPED PRIN PMT STRIP INT PMT 15/2/2019 USD 02-15-2019 REG   1,360,000.00   437,756.80   504,002.40  
U.S. Government Securities   US TREAS BD STRIPPED PRIN PMT STRIP PRINPMT 15/11/2021 USD1000 11-15-2021 REG   820,000.00   232,985.33   258,300.00  
U.S. Government Securities   US TREAS BDS 6.75 DUE 08-15-2026 REG   200,000.00   246,901.00   231,688.00  
U.S. Government Securities   US TREAS BDS BD 5.25 DUE 02-15-2029 REG   10,000.00   9,191.19   9,656.30  
U.S. Government Securities   US TREAS BDS BD DTD 11/16/1998 5.25 DUE 11-15-2028 REG   2,640,000.00   2,643,073.50   2,542,636.80  
U.S. Government Securities   US TREAS BDS BD DTD 11/16/1998 5.25 DUE 11-15-2028 REG   97,000.00   99,325.35   93,483.75  
U.S. Government Securities   US TREAS BILLS 12-13-2001 PREASSIGN # 22   970,000.00   961,550.22   969,495.60  
U.S. Government Securities   US TREAS BILLS 12-20-2001 PREASSIGN # 23   3,700,000.00   3,681,916.25   3,696,707.00  
U.S. Government Securities   US TREAS BILLS 12-20-2001 PREASSIGN # 23   3,000,000.00   2,985,337.50   2,997,330.00  
U.S. Government Securities   US TREAS BILLS 12-20-2001 PREASSIGN # 23   1,000,000.00   994,805.56   999,110.00  
U.S. Government Securities   US TREAS BILLS 12-20-2001 PREASSIGN # 23   1,600,000.00   1,592,180.00   1,598,576.00  
U.S. Government Securities   US TREAS NT 4.75 DUE 02-15-2004 REG   16,000.00   15,855.74   16,610.00  
U.S. Government Securities   US TREAS NTS 5 DUE 08-15-2011 REG   3,270,000.00   3,392,104.41   3,332,849.40  
U.S. Government Securities   US TREAS NTS 6.25 15/2/2003 USD1000 6.25DUE 02-15-2003 REG   16,000.00   16,719.73   16,755.04  
U.S. Government Securities   US TREAS NTS 6.25 DUE 02-28-2002 REG   16,000.00   16,578.73   16,170.08  

U.S. Government Securities   US TREAS NTS DTD 00887 4.625 DUE 05-15-2006 REG   2,000,000.00   2,037,109.37   2,051,240.00  
U.S. Government Securities   US TREAS NTS DTD 08/15/2000 5.75 DUE 08-15-2010 REG   50,000.00   52,234.38   53,586.00  
U.S. Government Securities   US TREAS SEC STRIPPED INT PMT 0 15/5/2007 USD1000 05-15-2007 REG   25,000.00   16,228.00   19,672.00  
U.S. Government Securities   US TREAS SEC STRIPPED INT PMT 05-15-2004REG   21,000.00   16,140.39   19,464.48  
U.S. Government Securities   US TREAS SEC STRIPPED INT PMT 05-15-2005REG   22,000.00   15,970.02   19,373.86  
U.S. Government Securities   US TREAS SEC STRIPPED INT PMT 05-15-2006REG   23,000.00   15,798.93   19,248.24  
U.S. Government Securities   US TREAS SEC STRIPPED INT PMT 05-15-2008REG   30,000.00   18,239.40   22,218.90  
U.S. Government Securities   US TREAS SEC STRIPPED INT PMT 05-15-2009REG   29,000.00   19,566.59   20,200.33  
U.S. Government Securities   US TREAS SEC STRIPPED INT PMT 08-15-2011REG   50,000.00   29,738.50   30,297.00  
Corporate Debt Instruments — Preferred   PVTPL CVRD FIN LTD NT 2000-2 144A VAR RT 10-15-07/10-16-02 BEO SF 01-15-03   400,000.00   400,000.00   401,724.00  
Corporate Debt Instruments — Preferred   PVTPL DRESDNER FDG TR I 144A 8.151 DUE 06-30-2031 BEO   240,000.00   240,000.00   260,212.80  
Corporate Debt Instruments — Preferred   TYCO CAPITAL CORP 7.125% BDS 15/10/2004 USD   370,000.00   369,955.60   395,456.74  
Corporate Debt Instruments — Preferred   DEUTSCHE TELEKOM INTL FIN B V GTD NT 8.25 DUE 06-15-2030 BEO   900,000.00   1,004,733.00   987,930.00  
Corporate Debt Instruments — Preferred   BRIT TELECOMMUNICATIONS P L C NT 8.125 DUE 12-15-2010 BEO   195,000.00   194,682.15   218,029.50  
Corporate Debt Instruments — Preferred   BRIT TELECOMMUNICATIONS P L C NT 8.625 DUE 12-15-2030 BEO   100,000.00   101,265.35   116,636.00  
Corporate Debt Instruments — Preferred   MEDALLION TR MTG BKD NT SER 2000-2G CL A-1 FLTG RATE 12-18-2031 BEO   697,899.42   697,899.42   698,826.32  
Corporate Debt Instruments — Preferred   AMERICREDIT AUTOMOBILE RECEIVABLES TR 2000-C AST BKD NT CL A-2 6.97 1-12-04   324,783.70   324,765.48   328,203.67  
Corporate Debt Instruments — Preferred   ANHEUSER BUSCH COS INC DEB 6.8 DUE 08-20-2032 BEO   100,000.00   99,869.00   107,227.00  
Corporate Debt Instruments — Preferred   ANHEUSER BUSCH COS INC NT 7.5 DUE 03-15-2012 BEO   590,000.00   586,306.60   675,249.10  
Corporate Debt Instruments — Preferred   ARCHER DANIELS MIDLAND CO 7.5 DUE 03-15-2027 REG   515,000.00   477,641.90   540,647.00  
Corporate Debt Instruments — Preferred   ASSOC AUTOMOBILE RECEIVABLES TR 2000-2 CL A-2 6.79 DUE 06-15-2003 BEO   163,881.33   163,877.22   164,802.67  
Corporate Debt Instruments — Preferred   AST BACKED SECS CORP HOME EQTY LN TR 2001-HE3 11-15-2031 BEO   1,236,873.08   1,236,873.08   1,237,667.15  
Corporate Debt Instruments — Preferred   ATLC RICHFIELD CO 10.875 DUE 07-15-2005 REG   25,000.00   29,825.00   30,230.00  
Corporate Debt Instruments — Preferred   AZ PUB SVC CO SR NT DTD 11/15/1996 6.75 DUE 11-15-2006 REG   1,900,000.00   1,955,784.00   1,983,524.00  
Corporate Debt Instruments — Preferred   BEAR STEARNS COS INC MEDIUM TERM NTS BOOK ENTRY VAR RT DUE 12-16-2002   500,000.00   499,965.00   499,860.00  
Corporate Debt Instruments — Preferred   BEAR STEARNS COS INC MEDIUM TERM NTS BOOTRANCHE # TR 00459 VAR RT 12-01-2003   500,000.00   499,670.00   500,055.00  
Corporate Debt Instruments — Preferred   BK AMER CORP SUB NT 7.4 DUE 01-15-2011 BEO   515,000.00   551,142.70   560,618.70  
Corporate Debt Instruments — Preferred   BOEING CAP CORP NT 7.375 DUE 09-27-2010 BEO   270,000.00   283,230.60   289,437.30  
Corporate Debt Instruments — Preferred   BOEING CO 6.625 DEB DUE 02-15-2038   140,000.00   137,902.80   132,734.00  

Corporate Debt Instruments — Preferred   BRISTOL MYERS SQUIBB CO NT 5.75 DUE 10-01-2011 BEO   150,000.00   154,122.00   152,808.00  
Corporate Debt Instruments — Preferred   BRIT TELECOMMUNICATIONS P L C NT 7.625 DUE 12-15-2005 BEO   1,400,000.00   1,397,746.00   1,513,820.00  
Corporate Debt Instruments — Preferred   BRIT TELECOMMUNICATIONS P L C NT 8.625 DUE 12-15-2030 BEO   10,000.00   10,302.45   11,594.00  
Corporate Debt Instruments — Preferred   CHASE COML MTG SECS CORP 7.6 DUE 07-18-2028 REG   380,452.99   405,779.13   402,828.95  
Corporate Debt Instruments — Preferred   CHASE FDG TR SER 2000-2 CL IIA-1 FLT RT 05-25-2030 BEO   602,407.49   602,407.49   602,808.09  
Corporate Debt Instruments — Preferred   CHEM MTG SECS INC SER 1996-1 CL A-8 7.25MO BD 1-25-26 BEO   860,555.01   874,270.12   886,638.43  
Corporate Debt Instruments — Preferred   CIT GROUP INC SR NT 7.625 DUE 08-16-2005BEO   700,000.00   698,999.00   754,838.00  
Corporate Debt Instruments — Preferred   CMO BEAR STEARNS ARM TR 2001-3 MTG PASSTHRU CTF VAR CL IV-A 01-25-32 BEO   641,716.68   646,128.49   646,128.48  
Corporate Debt Instruments — Preferred   CMO BEAR STEARNS ARM TR 2001-6 MTG PSTRU CTF II-A VAR RATE 6.688 9-25-31BE   1,800,127.67   1,823,754.35   1,823,754.35  
Corporate Debt Instruments — Preferred   CMO CHASE MTG FIN CORP 1998-AS1 MC MTG CTF CL IA-8 6.75 DUE 08-25-2028 BEO   1,000,000.00   975,625.00   1,008,430.00  
Corporate Debt Instruments — Preferred   CMO CONSECO FIN HOME EQTY LN TR SER 2001-A CTF CL I-A-1 5.68 11-15-16 BEO   502,126.75   502,126.75   508,403.33  
Corporate Debt Instruments — Preferred   CMO CONSECO FIN SECURITIZATIONS CORP 2000-D HOME EQTY LN A-5 8.41 12-15-25   800,000.00   800,000.00   854,248.00  
Corporate Debt Instruments — Preferred   CMO CWMBS INC PASS THRU CTFS 6.75 DUE 07-25-2028 BEO   592,397.48   597,025.58   604,985.33  
Corporate Debt Instruments — Preferred   CMO HOLMES FING NO 4 PLC SER 1 NT CL A DUE 07-15-2015 BEO   900,000.00   900,000.00   900,000.00  
Corporate Debt Instruments — Preferred   CMO IMPAC SECD ASSETS CORP 2001-2 MTG PASSTHRU CTF CL A-1 6.02 03-25-2031BEO   484,519.11   484,620.86   487,697.56  
Corporate Debt Instruments — Preferred   CMO INDYMAC ARM TR 2001-H2 MTG PASSTHRU CTF A-2 VAR RATE DUE 01-25-2032 BEO   1,900,000.00   1,912,889.03   1,912,889.03  
Corporate Debt Instruments — Preferred   CMO MELLON RESDNTL FDG CORP 2001-HEIL1 MTG CL A-1 VAR DUE 1-25-2008 BEO   651,429.94   651,429.94   651,148.52  
Corporate Debt Instruments — Preferred   CMO NORWEST AST SECS CORP 1998-23 PASS THRU CTF CL A-13 6.75 DUE 10-25-2028   771.30   783.47   782.87  
Corporate Debt Instruments — Preferred   CMO SEQUOIA MTG TR 4 AST BKD CTF CL A FLTG DUE 04-22-2025 BEO   530,812.82   530,812.82   531,598.95  
Corporate Debt Instruments — Preferred   CMO STRUCTURED AST SECS CORP 2001-13 MTGPASSTHRU CTF 2-A 7 DUE 10-15-2016 BEO   1,947,965.46   2,000,621.40   2,026,293.15  
Corporate Debt Instruments — Preferred   CMO STRUCTURED AST SECS CORP MTG PASS CTF 2000-3 CL 2-A6 8 07-25-2030 BEO   1,000,000.00   998,750.00   1,059,680.00  
Corporate Debt Instruments — Preferred   CMO WA MUT SER 2000-1 CL A-1DUE 07-25-2024 BEO   587,240.71   587,240.71   587,607.74  
Corporate Debt Instruments — Preferred   CMO WORLD FINL NETWORK CR CARD MASTER 2001-A CL A FLTG 06-16-2008 BEO   100,000.00   100,000.00   100,397.90  
Corporate Debt Instruments — Preferred   CR SUISSE 1ST BSTN USA INC CR SUISSE   1,000,000.00   989,960.00   987,745.35  
Corporate Debt Instruments — Preferred   CWABS INC AST BKD CTF SER 2000-4 CL AF-17.32 DUE 09-25-2015 BEO   281,713.72   282,451.02   284,881.87  

Corporate Debt Instruments — Preferred   CWMBS INC MTG SER 1993-12 CL A-11 MTG PASSTHRU 6.625 CTF DUE 02-25-2024 REG   165,000.00   125,013.28   167,938.65  
Corporate Debt Instruments — Preferred   DAIMLERCHRYSLER AUTO TR 2001-A AST BKD NT CL A-2 4.98 DUE 01-06-2004 BEO   562,876.74   562,568.91   570,707.48  
Corporate Debt Instruments — Preferred   DEALER AUTO RECEIVABLES TR SER 2000-1 CLA-2 7.01 DUE 04-15-2003 BEO   93,975.94   93,970.77   94,707.35  
Corporate Debt Instruments — Preferred   DET EDISON CO 6.125 DUE 10-01-2010 BEO   110,000.00   109,980.20   109,780.00  
Corporate Debt Instruments — Preferred   DIAMOND ST TEL CO 4.625 DEB DUE 9-1-2005REG   1,000.00   940.84   982.00  
Corporate Debt Instruments — Preferred   DLJ ACCEP TR SER 1989-2 CL G FLTG RT BD DUE 10-17-2020   294,572.52   297,610.30   302,408.15  
Corporate Debt Instruments — Preferred   DU PONT E I DE NEMOURS & CO NT 6.75 DUE 10-15-2004 BEO   25,000.00   26,187.50   27,120.00  
Corporate Debt Instruments — Preferred   EQTY 1 ABS INC 2000-1 MTG PASSTHRU CTF CL A-3 7.55 DUE 02-25-2032 BEO   1,000,000.00   1,000,000.00   1,055,154.00  
Corporate Debt Instruments — Preferred   FORD CR AUTO OWNER TR 2000-E AST BKD NT CL A-3 6.74 DUE 12-16-2002 BEO   218,499.30   218,481.22   219,795.00  
Corporate Debt Instruments — Preferred   FORD CR AUTO OWNER TR 2000-G NT CL A-3 6.67 DUE 04-15-2003 BEO   366,591.73   366,574.35   370,943.17  
Corporate Debt Instruments — Preferred   GOLDEN W FINL CORP DEL SR NT 5.5 DUE 08-08-2006 BEO   500,000.00   497,650.00   508,765.00  
Corporate Debt Instruments — Preferred   GREEN TREE FINL CORP 98-D HOME EQTY LN CL A-1B ARM FLTG 11-15-2024 BEO   192,337.41   192,006.82   192,168.54  
Corporate Debt Instruments — Preferred   GREEN TREE RCRTONL EQUIP & CONSUMERTR 96-B AST BCKD NT CL A-1 7-15-18 BEO   152,848.66   152,818.80   152,857.98  
Corporate Debt Instruments — Preferred   HELLER FINL INC HELLER FINL INC 6.375 DUE 03-15-2006 BEO   1,000,000.00   1,056,730.00   1,061,210.00  
Corporate Debt Instruments — Preferred   HOME DEPOT INC SR NT 6.5 DUE 09-15-2004 BEO   25,000.00   25,802.00   26,855.00  
Corporate Debt Instruments — Preferred   HSEHD FIN CORP NT 6.375 DUE 10-15-2011 BEO   150,000.00   149,980.50   150,850.50  
Corporate Debt Instruments — Preferred   HSEHD FINL CORP LTD NT 7 DUE 08-01-2003 BEO   700,000.00   719,275.90   740,446.00  
Corporate Debt Instruments — Preferred   HYDRO-QUEBEC QUE HYDRO 6.3 DUE 05-11-2011 BEO   100,000.00   99,831.00   103,798.00  
Corporate Debt Instruments — Preferred   I/O CMO GE CAP MTG SVCS INC REMIC MC PASSTHRU CTF 98-10 CL 1-A4 05-25-2028   634,817.62   110,520.36   172,670.39  
Corporate Debt Instruments — Preferred   I/O CMO GMAC COML MTG SEC INC SER 1999-CTL1 CL X 07-15-2009 BEO   17,800,000.00   552,227.20   450,562.50  
Corporate Debt Instruments — Preferred   I/O CONSECO FIN SECURITIZATIONS CORP 1999-H HOME EQUITY LN A-IO 11-15-29   6,500,000.00   694,211.51   56,797.65  
Corporate Debt Instruments — Preferred   IMC HOME EQTY LN TR SER 1998-1 6.41 ABS CTF DUE 04-20-2018 BEO   168,871.16   169,583.59   169,609.13  
Corporate Debt Instruments — Preferred   J P MORGAN CHASE & CO 5.625 DUE 08-15-2006 BEO   1,500,000.00   1,495,485.00   1,539,810.00  
Corporate Debt Instruments — Preferred   LEHMAN BROS HLDGS INC MEDIUM TERM NT TRANCHE # TR 00383 VAR RT DUE 07-06-2004   900,000.00   900,000.00   896,052.60  
Corporate Debt Instruments — Preferred   M.LYNCH MTG INVS INC SER 1996-C1 CL A-1 7.15 MTG PASSTHRU CTF DUE 04-25-2028 BEO   55,938.51   57,170.90   57,732.07  
Corporate Debt Instruments — Preferred   M.LYNCH MTG INVS INC SER 1998-C1 6.31 ABS CTF DUE 11-15-2026 BEO   692,639.06   691,964.02   716,946.54  
Corporate Debt Instruments — Preferred   MCDONALDS CORP MTN BE TRANCHE # TR 000846 DUE 04-15-2011   25,000.00   24,214.25   25,317.50  

Corporate Debt Instruments — Preferred   MELLON RESDNTL FDG CORP 1999-TBC1 MTG PASSTHRU CTF CL A-3 6.11 1-25-29 BEO   1,500,000.00   1,529,531.25   1,565,818.50  
Corporate Debt Instruments — Preferred   METRIS MASTER TR 2001-3 AST BKD NT CL A FLTG RATE 07-21-2008 BEO   960,000.00   960,000.00   959,734.08  
Corporate Debt Instruments — Preferred   MORGAN J P & CO INC MEDIUM TERM SUB NTS BOOK ENTRY 6 DUE 01-15-2009 BEO   230,000.00   228,102.50   232,191.90  
Corporate Debt Instruments — Preferred   MORGAN J P COML MTG FIN CORP SER 1998- C6 6.373 ABS CTF DUE 01-15-2030 BEO   277,870.85   279,260.21   288,214.87  
Corporate Debt Instruments — Preferred   MORGAN ST CAP I INC SER 1998-MF1 CL A1 6.19 CTF DUE 01-15-2007 BEO   666,976.09   653,297.88   695,393.27  
Corporate Debt Instruments — Preferred   MORGAN STANLEY DEAN WITTER & CO GLOBAL NT 4/25/01 6.75 DUE 4-15-11 BEO   30,000.00   30,075.00   31,143.30  
Corporate Debt Instruments — Preferred   NABISCO INC 6.125 NT DUE 02-01-2033/03   800,000.00   816,288.00   822,200.00  
Corporate Debt Instruments — Preferred   NIAGARA MOHAWK PWR CORP SER E 7.375 SR NT DUE 07-01-2003   756,097.78   771,212.17   794,280.72  
Corporate Debt Instruments — Preferred   NOMURA AST SECS CORP SER 1996-MD5 CL A1A7.07 BD DUE 04-13-2036 BEO   1,225,136.48   1,282,756.19   1,292,766.46  
Corporate Debt Instruments — Preferred   OPT 1 MTG LN TR 2001-2 AST BKD CTF CL A VAR RATE 08-25-2031 BEO   888,960.16   889,272.70   889,307.92  
Corporate Debt Instruments — Preferred   PAINE WEBBER GROUP INC 6.5 DUE 11-01-2005 REG   925,000.00   738,066.75   983,025.25  
Corporate Debt Instruments — Preferred   PHILIP MORRIS COS INC 7.75 DEB DUE 01-15-2027   1,260,000.00   1,440,129.60   1,298,997.00  
Corporate Debt Instruments — Preferred   PVTPL ALPINE PARTNERS L P SER 2000-1 NT CL A FLTG RATE 144A DUE 10-08-209 BEO   1,000,000.00   1,000,000.00   998,984.38  
Corporate Debt Instruments — Preferred   PVTPL SYSTEMS 2001 A T LLC SERIES-2001 CLASS-G 144A 6.684 DUE 09-15-2013 BEO   393,693.11   396,214.71   408,586.52  
Corporate Debt Instruments — Preferred   RESDNTL AST SEC CORP MTG PASS THRU SER 2001-KS1 CTF CL A-I-1 5.593 7-25-16 BEO   456,346.36   456,346.36   461,129.78  
Corporate Debt Instruments — Preferred   RESDNTL FDG MTG SECS I INC SER 1996-S6 CL A-10 7% MTG PASSTHRU CTFS 3-25-26 BEO   858,680.07   867,266.88   878,798.94  
Corporate Debt Instruments — Preferred   RESDNTL FDG MTG SECS I INC SER 97-S9 CL A20 7.5 MTG PASS THRU CTFS 7-25-27 BEO   563,643.54   573,859.58   580,023.02  
Corporate Debt Instruments — Preferred   SARA LEE CORP NT 6.25 DUE 09-15-2011 BEO   525,000.00   527,294.25   542,141.25  
Corporate Debt Instruments — Preferred   SIGNET SER 1995-A FLTG RT BD DUE 06-20-2004   537,913.54   538,165.69   538,192.18  
Corporate Debt Instruments — Preferred   TECO ENERGY INC TECO ENERGY INC DUE 05-15-2002 BEO   400,000.00   400,000.00   400,051.20  
Corporate Debt Instruments — Preferred   TELE COMMUNICATIONS INC TRANCHE # TR 00019 6.58 MTN DUE 2-15-2005 BEO   700,000.00   720,020.00   746,746.00  
Corporate Debt Instruments — Preferred   U S BK NATL ASSN MINNEAPOLIS MINN MEDIUMTRANCHE # SB 00001 6.375 8-1-11 REG   50,000.00   49,755.00   51,111.00  
Corporate Debt Instruments — Preferred   UBS PFD FDG TR I 8.622 DUE 10-10-2050/10-01-2002 BEO   210,000.00   211,302.00   238,450.80  
Corporate Debt Instruments — Preferred   UNILEVER CAP CORP NT 7.125 DUE 11-01-2010 BEO   210,000.00   208,118.40   230,718.60  
Corporate Debt Instruments — Preferred   VERIZON GLOBAL FDG CORP NT 7.25 DUE 12-01-2010 BEO   290,000.00   310,279.70   314,818.20  

Corporate Debt Instruments — Preferred   WACHOVIA CORP 2ND NEW GLOBAL NT 4.95 DUE11-01-2006 REG   1,000,000.00   998,070.00   994,550.00  
Corporate Debt Instruments — Preferred   WELLS FARGO & CO NEW SUB GLOBAL NT 6.375DUE 08-01-2011 BEO   700,000.00   711,781.00   719,390.00  
Corporate Debt Instruments — Other   ALLIANCE ATLANTIS COMMUNICATIONS INC SR SUB NT 13 DUE 12-15-2009/12-15-2004 BEO   12,000.00   11,880.00   12,720.00  
Corporate Debt Instruments — Other   TEMBEC INDS INC GTD SR NT DTD 01/19/20018.5 DUE 02-01-2011 BEO   100,000.00   101,076.52   104,000.00  
Corporate Debt Instruments — Other   PVTPL KOREA AST FDG 2000-1 LTD SECD NTFLTG RATE 144A VAR RT 02-10-2009 BEO   191,825.64   191,825.64   197,205.75  
Corporate Debt Instruments — Other   CIE FIN DE CIC ET UNDTD FR DEBT INS USD(BR)   300,000.00   287,283.00   294,000.00  
Corporate Debt Instruments — Other   PVTPL FRANCE TELECOM SA NT 144A EURO 7.75 DUE 03-01-2011 BEO   200,000.00   199,612.00   215,690.00  
Corporate Debt Instruments — Other   PVTPL FRANCE TELECOM SA NT DTD 03/14/2001 144A EURO 8.5 03-14-2031   150,000.00   150,881.68   171,084.00  
Corporate Debt Instruments — Other   HELLENIC EXCHANGAB 2% CNV BDS 2/8/05 EUR'REGS'   46,000.00   44,954.43   45,757.83  
Corporate Debt Instruments — Other   BANCO NACIONAL DE COMERCIO EXTERIOR 8% NOTES 07-18-2002 USD1000   750,000.00   727,125.00   772,500.00  
Corporate Debt Instruments — Other   PERU(REP OF) VAR NTS 7/3/2017 USD1000   250,000.00   138,375.00   169,537.50  
Corporate Debt Instruments — Other   KOREA ELEC PWR CORP 7.75 BD DUE 4-1-2013REG   100,000.00   93,058.00   106,484.00  
Corporate Debt Instruments — Other   FLEXTRONICS INTL LTD US$SR SUB NT 9.875DUE 07-01-2010/07-01-2005 BEO   39,000.00   39,507.99   42,120.00  
Corporate Debt Instruments — Other   AVECIA GROUP PLC SR NT 11 DUE 07-01-2009/07-01-2004 BEO PUT   73,000.00   73,000.00   70,445.00  
Corporate Debt Instruments — Other   ROYAL BK SCOT GRP ADR REP 1 SER'2'NON-CUM PRF   130,000.00   130,000.00   144,052.38  
Corporate Debt Instruments — Other   ##MOTOROLA INC NT 5.8 DUE 10-15-2008 BE O DO NOT USE SEE 4-780298   5,000.00   4,538.41   4,649.50  
Corporate Debt Instruments — Other   6 FLAGS INC SR NT 9.5 DUE 02-01-2009/02-01-2005 REG   27,000.00   26,814.78   27,810.00  
Corporate Debt Instruments — Other   ADELPHIA COMMUNICATIONS CORP 10.875 DUE 10-01-2010 BEO   43,000.00   42,768.31   44,720.00  
Corporate Debt Instruments — Other   AES CORP 10.25 DUE 07-15-2006/07-15-2001REG   71,000.00   74,521.25   69,580.00  
Corporate Debt Instruments — Other   AES CORP SR NT 9.375 DUE 09-15-2010 BEO   25,000.00   25,000.00   24,875.00  
Corporate Debt Instruments — Other   AES CORP SR NT 9.5 DUE 06-01-2009 BEO   52,000.00   52,396.97   51,740.00  
Corporate Debt Instruments — Other   AGCO CORP SR NT 9.5 DUE 04-01-2008/05-01-2005 BEO   17,000.00   17,000.00   17,850.00  
Corporate Debt Instruments — Other   AK STL CORP 9.125 DUE 12-15-2006/12-15-2001 REG   15,000.00   14,237.50   15,637.50  
Corporate Debt Instruments — Other   AK STL CORP SR NT 7.875 DUE 02-15-2009/02-15-2004 BEO PUT   74,000.00   68,310.00   74,370.00  
Corporate Debt Instruments — Other   ALBRTSNS INC MTN BOOK ENTRY TRANCHE #TR 00072 6.52 DUE 4-10-28   5,000.00   4,125.15   4,617.50  
Corporate Debt Instruments — Other   ALLIED WASTE N AMER INC SR NT 7.375 DUE 01-01-2004 BEO   450,000.00   417,375.00   446,625.00  
Corporate Debt Instruments — Other   ALLIED WASTE N AMER INC SR SECD NT DTD 01/30/2001 8.875 DUE 04-01-2008 BEO   135,000.00   138,407.50   139,050.00  
Corporate Debt Instruments — Other   AMERCO SR NOTES 7.2 DUE 04-01-2002 BEO   1,000,000.00   997,900.00   1,003,340.00  

Corporate Debt Instruments — Other   AMERN AXLE & MFG INC SR SUB NT 9.75 DUE 03-01-2009/03-01-2004 BEO PUT   47,000.00   46,427.86   48,880.00  
Corporate Debt Instruments — Other   AMERN STD COS INC DEL SR NT 8.25 DUE 06-01-2009 BEO   42,000.00   42,262.50   44,310.00  
Corporate Debt Instruments — Other   AMERN STD INC 7.375 DUE 04-15-2005 REG   40,000.00   40,100.00   41,200.00  
Corporate Debt Instruments — Other   AMERN STD INC 7.625 DUE 02-15-2010 REG   14,000.00   13,352.50   14,560.00  
Corporate Debt Instruments — Other   AMERN TEL & TELEG CO IAM COML PAPER 4/2 FRN 08/2002 USD1000 3.325 IBN 08-06-2002   300,000.00   300,000.00   300,018.90  
Corporate Debt Instruments — Other   AMERN TOWER CORP SR NT DTD 01/31/2001 9.375 DUE 02-01-2009/02-01-2002 BEO   39,000.00   38,854.58   33,247.50  
Corporate Debt Instruments — Other   ANCHOR GAMING SR SUB NT 9.875 DUE 10-15-2008/10-15-2001 BEO   47,000.00   46,816.47   50,995.00  
Corporate Debt Instruments — Other   AOL TIME WARNER INC 7.625 DUE 04-15-2031BEO   500,000.00   490,595.00   533,120.00  
Corporate Debt Instruments — Other   AUBURN HILLS TR 12.00 BD DUE 05-01-2020 REG   330,000.00   289,384.27   461,646.90  
Corporate Debt Instruments — Other   AVIS GROUP HLDGS INC 11 DUE 05-01-2009/05-01-2004 BEO   75,000.00   75,687.50   80,250.00  
Corporate Debt Instruments — Other   B.STEARNS MTG SECS INC SER 97-7 CL 1A9 7 MTG PASSTHRU CTF DUE 02-25-2028 BEO   1,400,000.00   1,404,812.50   1,435,434.00  
Corporate Debt Instruments — Other   BAYERISCHE LANDESBANK GIROZENTRALE N Y BRH MTN 5.875 DUE 12-01-2008 BEO   2,230,000.00   2,228,149.10   2,273,596.50  
Corporate Debt Instruments — Other   BECKMAN INSTRS INC NEW SR NT 7.1 DUE 03-04-2003 BEO   750,000.00   749,722.50   771,525.00  
Corporate Debt Instruments — Other   CALPINE CORP 8.5 DUE 02-15-2011 BEO   34,000.00   33,705.56   33,856.38  
Corporate Debt Instruments — Other   CALPINE CORP SR NT 7.75 DUE 04-15-2009 BEO   28,000.00   27,895.00   26,638.92  
Corporate Debt Instruments — Other   CAP 1 BK MEDIUM TERM SR BK NTS BOOK ENTRY 6.62 DUE 08-04-2003 BEO   700,000.00   688,926.00   717,192.00  
Corporate Debt Instruments — Other   CENTURYTEL INC SR NT SER I 7.75 DUE 10-15-2012/10-15-2002 BEO PUT   1,000,000.00   999,440.00   1,034,860.00  
Corporate Debt Instruments — Other   CHANCELLOR MEDIA CORP L A SER B 8.125 SRSUB NT DUE 12-15-2007/02   88,000.00   91,078.75   92,400.00  
Corporate Debt Instruments — Other   CHARTER COMMUNICATIONS HLDGS LLC / CC HLDGS CAP CORP 10.75 10-01-2009   40,000.00   39,965.60   42,800.00  
Corporate Debt Instruments — Other   CHARTER COMMUNICATIONS HLDGS LLC / CORP 8.625 DUE 4-1-2009/04 BEO   122,000.00   117,287.67   120,170.00  
Corporate Debt Instruments — Other   CHRYSLER CORP 7.45 DEB DUE 03-01-2027   5,000.00   4,585.81   4,770.55  
Corporate Debt Instruments — Other   CITIZENS UTILS CO DEL 7 DUE 11-01-2025 REG   10,000.00   7,905.55   8,734.00  
Corporate Debt Instruments — Other   CITIZENS UTILS CO DEL 7.6 DUE 06-01-2006REG   10,000.00   10,048.45   10,410.00  
Corporate Debt Instruments — Other   CKE RESTAURANTS INC 4.25 DUE 03-15-2004/03-20-2001 REG   103,000.00   45,724.33   77,507.50  
Corporate Debt Instruments — Other   CMO CITICORP MTG SECS INC CMSI 2001-18-Y1 4.15 DUE 12-28-2031 BEO   1,000,000.00   996,250.00   996,250.00  
Corporate Debt Instruments — Other   CMO CMC SECS CORP III COLL MTG OBLIG 1994-B CL B-A5 6 DUE 02-25-2009 BEO   653,482.38   642,250.64   660,834.06  
Corporate Debt Instruments — Other   CMS ENERGY CORP 7.5 DUE 01-15-2009 BEO   45,000.00   42,432.36   44,863.65  
Corporate Debt Instruments — Other   CMS ENERGY CORP CMS ENERGY CORP NT 8 1 2DUE 4 1 8.5 DUE 04-15-2011 BEO   70,000.00   68,612.60   74,137.70  

Corporate Debt Instruments — Other   CMS ENERGY CORP SR NT 9.875 DUE 10-15-2007 BEO   16,000.00   15,915.30   17,730.24  
Corporate Debt Instruments — Other   CMS PANHANDLE HLDG CO NT 6.125 DUE 03-15-2004 BEO   300,000.00   299,052.00   307,998.00  
Corporate Debt Instruments — Other   COLUMBIA / HCA HEALTHCARE CORP 7.25 DUE 05-20-2008 REG   55,000.00   55,875.00   56,650.00  
Corporate Debt Instruments — Other   COLUMBIA /HCA HEALTHCARE CORP 6.91 BD DUE 06-15-2005 REG   20,000.00   20,650.00   20,600.00  
Corporate Debt Instruments — Other   COMPAGNIE GENERALE DES GEOPHYSIQUE SR NT10.625 DUE 11-15-2007/11-15-2001 BEO   31,000.00   31,000.00   30,690.00  
Corporate Debt Instruments — Other   CONOCO FDG CO NT 6.35 DUE 10-15-2011 BEO   1,000,000.00   998,380.00   1,015,730.00  
Corporate Debt Instruments — Other   CONOCO FDG CO NT 6.35 DUE 10-15-2011 BEO   100,000.00   99,838.00   101,573.00  
Corporate Debt Instruments — Other   CONS RAIL CORP 7.875 DEB DUE 5-15-2043 REG   90,000.00   95,416.20   95,230.80  
Corporate Debt Instruments — Other   CONSTELLATION BRANDS INC SR NT DTD 02/21/2001 8 DUE 02-15-2008 BEO   55,000.00   55,000.00   56,375.00  
Corporate Debt Instruments — Other   COX ENTERPRISES INC NT 7.5 DUE 08-15-2004 BEO   700,000.00   732,284.00   746,382.00  
Corporate Debt Instruments — Other   CROWN CASTLE INTL CORP SR NT 9.375 DUE 08-01-2011/08-01-2006 BEO   59,000.00   58,705.00   56,935.00  
Corporate Debt Instruments — Other   CSC HLDGS INC SER B 8.125 SR DEB DUE 08-15-2009   160,000.00   161,300.80   164,315.20  
Corporate Debt Instruments — Other   CSC HLDGS INC SR NT SER B DTD 07/13/19998.125 DUE 07-15-2009 BEO   60,000.00   59,720.40   61,608.00  
Corporate Debt Instruments — Other   DAIMLER CHRYSLER N AMER HLDG CORP 7.75 DUE 05-27-2003 BEO   600,000.00   628,800.00   629,280.00  
Corporate Debt Instruments — Other   DAIMLER CHRYSLER N AMER HLDG CORP GTD NT6.9 DUE 09-01-2004 BEO   5,000.00   5,095.16   5,259.50  
Corporate Debt Instruments — Other   DUKE ENERGY FIELD SVCS LLC NT 7.5 DUE 08-16-2005 BEO   1,300,000.00   1,295,099.00   1,376,336.00  
Corporate Debt Instruments — Other   EASTMAN CHEM CO 6.375 DUE 01-15-2004 REG   10,000.00   10,016.65   10,281.00  
Corporate Debt Instruments — Other   ECHOSTAR DBS CORP SR NT 9.375 DUE 02-01-2009/02-01-2004 BEO PUT   90,000.00   90,271.81   94,950.00  
Corporate Debt Instruments — Other   EL PASO CORP ZERO CPN CONV DEB 0 DUE 02-28-2021/02-28-2006 BEO PUT   90,000.00   37,350.00   37,237.50  
Corporate Debt Instruments — Other   EMMIS COMMUNICATIONS CORP SR SUB NT 8.125 DUE 03-15-2009/03-15-2004 BEO PUT   17,000.00   16,383.75   16,405.00  
Corporate Debt Instruments — Other   ENTERGY MISS INC 1ST MTG BD DTD 02/15/2000 7.75 DUE 02-15-2003 BEO   1,000,000.00   1,011,660.00   1,039,350.00  
Corporate Debt Instruments — Other   EXTD STAY AMER INC SR SUB NT 9.875 DUE 06-15-2011/06-15-2006 BEO   30,000.00   30,000.00   31,200.00  
Corporate Debt Instruments — Other   FIRSTENERGY CORP NT SER B 6.45 DUE 11-15-2011 BEO   130,000.00   129,546.30   127,353.32  
Corporate Debt Instruments — Other   FIRSTENERGY CORP NT SER C 7.375 DUE 11-15-2031 BEO   120,000.00   119,798.40   118,033.20  
Corporate Debt Instruments — Other   FNMA DISC NT 02-21-2002   700,000.00   686,927.89   694,464.31  
Corporate Debt Instruments — Other   FORD MTR CO DEL DEB 8.9 DUE 01-15-2032 REG   220,000.00   234,194.40   242,356.40  
Corporate Debt Instruments — Other   FORD MTR CR CO GLOBAL LANDMARK SECS-GLOBLS FLTG RATE DUE 03-17-2003 BEO   1,000,000.00   996,560.00   986,091.00  
Corporate Debt Instruments — Other   FORD MTR CR CO MEDIUM TERM NTS BOOK ENTRY TR 00845 VAR RT DUE 06-30-2005   1,300,000.00   1,284,140.00   1,252,642.30  
Corporate Debt Instruments — Other   FORD MTR CR CO NT DTD 02/23/1999 5.75 DUE 02-23-2004 BEO   1,330,000.00   1,278,914.70   1,356,959.10  

Corporate Debt Instruments — Other   FORD MTR CR CO NT FLTG RATE DUE 04-17-2003 BEO   500,000.00   502,888.00   496,610.00  
Corporate Debt Instruments — Other   GA GULF CORP SR SUB NT 10.375 DUE 11-01-2007/11-01-2003 BEO PUT   5,000.00   5,044.75   5,175.00  
Corporate Debt Instruments — Other   GEN MTR CORP 8.80 BD DUE 3-1-2021 REG PUTABLE ON 3-1-98   1,500,000.00   1,842,315.00   1,676,415.00  
Corporate Debt Instruments — Other   GEN MTRS ACCEP CORP 7.625 DUE 06-15-2004BEO   1,300,000.00   1,299,194.00   1,383,655.00  
Corporate Debt Instruments — Other   GEN MTRS ACCEP CORP GLOBAL BD 7.25 DUE 03-02-2011 BEO   380,000.00   378,746.00   387,227.60  
Corporate Debt Instruments — Other   GEN MTRS ACCEP CORP MEDIUM TERM NTS BOOKENTRY TR # 00593 VAR RT DUE 01-20-24   800,000.00   800,000.00   789,264.00  
Corporate Debt Instruments — Other   GEN MTRS ACCEP CORP MEDIUM TERM NTS TR 00609 VAR RT 5-16-2003 BEO   600,000.00   601,686.00   593,739.00  
Corporate Debt Instruments — Other   GEN MTRS CORP SR UNSECD NT 7.2 DUE 01-15-2011 BEO   30,000.00   30,865.80   30,462.30  
Corporate Debt Instruments — Other   GMAC COML MTG SEC INC 97-C1 CL A3 6.869 MTG PASSTHRU CTF DUE 8-15-2007 BEO   30,000.00   28,543.36   31,859.49  
Corporate Debt Instruments — Other   GMAC COML MTG SEC INC SER 1998-C1 CL A2 6.7 CTF DUE 03-15-2008 BEO   80,000.00   75,126.17   83,328.08  
Corporate Debt Instruments — Other   GS ESCR CORP SR NT 7 DUE 08-01-2003 BEO   400,000.00   370,852.00   406,828.00  
Corporate Debt Instruments — Other   HARRAHS OPER INC GTD SR SUB NT 7.875 DUE12-15-2005 BEO   92,000.00   94,185.00   96,715.00  
Corporate Debt Instruments — Other   HCA-HEALTHCARE CO HCA-06/01/2006 7.125   30,000.00   30,900.00   31,050.00  
Corporate Debt Instruments — Other   HCA-HEALTHCARE CO NT 8.75 DUE 09-01-2010BEO   57,000.00   61,582.50   62,700.00  
Corporate Debt Instruments — Other   HEALTHSOUTH CORP SR NT DTD 02/01/2001 8.5 DUE 02-01-2008 BEO   80,000.00   85,450.00   84,800.00  
Corporate Debt Instruments — Other   HEALTHSOUTH CORP SR SUB NT 10.75 DUE 10-01-2008/10-01-2004 BEO   47,000.00   51,398.75   52,170.00  
Corporate Debt Instruments — Other   HMH PPTYS INC 8.45 DUE 12-01-2008/12-01-2003 BEO   4,000.00   3,786.79   3,820.00  
Corporate Debt Instruments — Other   HORSESHOE GAMING LLC SR SUB NT 8.625 DUE05-15-2009/05-15-2004 BEO   55,000.00   54,535.35   57,750.00  
Corporate Debt Instruments — Other   HOST MARRIOTT L P SR NT SER G 9.25 DUE 10-01-2007 BEO   4,000.00   3,949.64   3,990.00  
Corporate Debt Instruments — Other   HOUGHTON MIFFLIN CO MTN 5.99 DUE 12-03-2001 BEO   1,000,000.00   1,000,000.00   1,000,000.00  
Corporate Debt Instruments — Other   I/O CMO NORWEST ASSET SECS CORP SER 97-1MTG PASSTHRU CTF CL A-5 01-25-12   111,754.15   13,969.27   9,289.00  
Corporate Debt Instruments — Other   INSIGHT MIDWEST L P / INSIGHT CAP INC SRNT 10.5 DUE 11-01-2010/11-01-2005 BEO   37,000.00   36,556.10   40,422.50  
Corporate Debt Instruments — Other   INTL GAME TECH SR NT 8.375 DUE 05-15-2009 BEO   40,000.00   39,589.60   42,400.00  
Corporate Debt Instruments — Other   KCS ENERGY INC 8.875 SR SUB NT DUE 01-15-2008/03 BEO   70,000.00   15,004.34   55,650.00  
Corporate Debt Instruments — Other   KELLOGG CO NT SER B 5.5 DUE 04-01-2003 BEO   500,000.00   513,375.00   513,825.00  
Corporate Debt Instruments — Other   KROGER CO PUTTABLE RESET SECS DUE 08-16-2012/08-16-2002 BEO PUT   1,900,000.00   1,900,000.00   1,900,279.30  
Corporate Debt Instruments — Other   KS CY SOUTHN RY CO SR NT 9.5 DUE 10-01-2008 BEO   17,000.00   17,595.00   18,530.00  
Corporate Debt Instruments — Other   LEAR CORP SR NT SER B 7.96 DUE 05-15-2005 BEO   160,000.00   160,000.00   165,526.40  

Corporate Debt Instruments — Other   LOCKHEED MARTIN CORP BD 8.5 DUE 12-01-2029 BEO   250,000.00   249,066.07   300,537.50  
Corporate Debt Instruments — Other   LYONDELL CHEM CO SR SECD NT SER A 9.625 DUE 05-01-2007   21,000.00   21,173.36   21,420.00  
Corporate Debt Instruments — Other   LYONDELL CHEM CO SR SECD NT SER B 9.875 DUE 05-01-2007/05-01-2004 BEO PUT   13,000.00   13,000.00   13,162.50  
Corporate Debt Instruments — Other   MANOR CARE INC NEW SR NT DTD 06/22/2001 8 DUE 03-01-2008 BEO   35,000.00   35,318.75   37,261.70  
Corporate Debt Instruments — Other   MEDIACOM LLC / MEDIACOM CAP CORP SR NT 9.5 DUE 01-15-2013/01-15-2006 BEO   37,000.00   36,677.36   39,220.00  
Corporate Debt Instruments — Other   MIRANT AMERICAS GENERATION LLC 8.3 5/1/11   350,000.00   369,120.50   345,361.80  
Corporate Debt Instruments — Other   MOHEGAN TRIBAL GAMING AUTH SR NT 8.125 DUE 01-01-2006 BEO PUT   10,000.00   10,500.00   10,400.00  
Corporate Debt Instruments — Other   MOHEGAN TRIBAL GAMING AUTH SR SUB NT 8.75 DUE 01-01-2009/01-01-2004 BEO PUT   27,000.00   27,847.50   28,485.00  
Corporate Debt Instruments — Other   MOTOROLA INC 7.5 DUE 05-15-2025 REG   10,000.00   9,262.95   9,174.00  
Corporate Debt Instruments — Other   NEWS AMER HLDGS INC 7.75 DUE 02-01-2024 REG   40,000.00   36,008.80   39,931.20  
Corporate Debt Instruments — Other   NEWS AMER INC GTD SR DEB 7.625 DUE 11-30-2028 BEO   270,000.00   245,070.90   262,669.50  
Corporate Debt Instruments — Other   NEXTEL COMMUNICATIONS INC SR SER NT 9.375 DUE 11-15-2009/11-15-2004 BEO   125,000.00   110,820.02   103,437.50  
Corporate Debt Instruments — Other   NORTEK INC 9.25 SR NT DUE 03-15-2007/02   4,000.00   3,370.00   4,050.00  
Corporate Debt Instruments — Other   NORTEK INC SR NT SER B 8.875 DUE 08-01-2008/08-01-2003 BEO PUT   95,000.00   94,126.61   94,287.50  
Corporate Debt Instruments — Other   NORTHN TELECOM CAP CORP NT DTD 06/17/1996 7.875 DUE 06-15-2026 REG   10,000.00   9,393.85   7,288.00  
Corporate Debt Instruments — Other   NRG N E GENERATING LLC SR SECD BD SER A DTD 2/25/2000 8.065 DUE 12-15-2004 BEO   703,125.00   736,108.59   721,209.38  
Corporate Debt Instruments — Other   OCEAN ENERGY INC 8.875 DUE 07-15-2007/07-15-2002 REG   40,000.00   42,300.00   42,158.80  
Corporate Debt Instruments — Other   OCEAN ENERGY INC SR SUB NT SER B 8.375 DUE 07-01-2008/07-01-2003 BEO   30,000.00   31,650.00   31,077.00  
Corporate Debt Instruments — Other   OMNICARE INC 8.125 BONDS 15 FEB 2011   75,000.00   77,750.00   79,500.00  
Corporate Debt Instruments — Other   ORION PWR HLDGS INC SR NT 12 DUE 05-01-2010 REG   58,000.00   58,000.00   70,470.00  
Corporate Debt Instruments — Other   P & L COAL HLDGS CORP SR SUB NT 9.625 DUE 05-15-2008/05-15-2003 BEO   70,000.00   69,250.00   75,425.00  
Corporate Debt Instruments — Other   PARKER & PARSLEY PETE CO DEL SR NT DTD 08/22/1995 8.25 DUE 08-15-2007 REG   20,000.00   20,600.00   20,750.00  
Corporate Debt Instruments — Other   PDVSA FIN LTD NT 8.5 DUE 11-16-2012 BEO   220,000.00   217,745.00   211,750.00  
Corporate Debt Instruments — Other   PHILIP MORRIS COS INC 7.5 DUE 01-15-2002REG   35,000.00   37,105.92   35,178.50  
Corporate Debt Instruments — Other   PHILLIPS PETE CO NT 8.75 DUE 05-25-2010 BEO   700,000.00   817,887.00   819,980.00  
Corporate Debt Instruments — Other   PIONEER NAT RES CO SR NT 9.625 DUE 04-01-2010/03-31-2001 BEO PUT   12,000.00   11,957.64   13,290.00  
Corporate Debt Instruments — Other   PK PL ENTMT CORP SR SUB NT 9.375 DUE 02-15-2007 BEO   79,000.00   80,850.00   83,542.50  
Corporate Debt Instruments — Other   PK PL ENTMT CORP SR SUB NT DTD 12/21/1998 7.875 DUE 12-15-2005 BEO   110,000.00   110,650.00   111,100.00  

Corporate Debt Instruments — Other   PROGRESS ENERGY INC SR NT 7.1 DUE 03-01-2011 BEO   340,000.00   359,913.80   360,104.20  
Corporate Debt Instruments — Other   PUB SVC ENTERPRISE GROUP INC NT FLTG RATE DUE 05-21-2002/02-21-2002 BEO   400,000.00   400,000.00   400,262.40  
Corporate Debt Instruments — Other   PVTPL ASSOC MANUFACTURED HSG   1,572,668.06   1,575,100.80   1,572,668.06  
Corporate Debt Instruments — Other   PVTPL AT&T CORP USD SR NT 144A 8 DUE 11-15-2031 BEO   210,000.00   207,744.60   211,071.00  
Corporate Debt Instruments — Other   PVTPL BAYVIEW FINL REVOLVING AST TR 2000-D CL A FLTG 144A 3C7 11-25-2030 BEO   800,000.00   800,000.00   802,500.00  
Corporate Debt Instruments — Other   PVTPL BURL RES FIN CO BURL RES INC 6.5 DUE 12-01-2011 BEO   50,000.00   49,859.50   48,458.00  
Corporate Debt Instruments — Other   PVTPL CHANCELLOR MEDIA CORP L A SR NT DTD 11/16/1998 8 DUE 11-01-2008 BEO PUT   14,000.00   14,577.50   14,700.00  
Corporate Debt Instruments — Other   PVTPL CMO MORGAN J P COML MTG FIN CORP 2000-FL1 CL A 144A VAR RT 4-15-10 BEO   198,032.08   198,032.08   197,644.73  
Corporate Debt Instruments — Other   PVTPL CMO SASCO FLOATING RATE COML MTG TR 144A VAR RT DUE 10-21-2002 BEO   21,742.48   21,746.73   21,787.49  
Corporate Debt Instruments — Other   PVTPL HEALTHSOUTH CORP SR NT 144A 8.375 DUE 10-01-2011 BEO   73,000.00   72,877.36   78,110.00  
Corporate Debt Instruments — Other   PVTPL HERCULES INC SR NT 144A 11.125 DUE11-15-2007 BEO   7,000.00   7,003.79   7,245.00  
Corporate Debt Instruments — Other   PVTPL HOLMES FING NO 4 PLC 2001-HLV2 LN BKD NT CL A-1B 144A 4.934 05-25-2026 BEO   510,273.73   510,269.39   514,738.63  
Corporate Debt Instruments — Other   PVTPL ICN PHARMACEUTICALS INC NEW SR NT 144A 8.75 DUE 11-15-2008 BEO PUT   31,840.00   32,534.01   35,660.80  
Corporate Debt Instruments — Other   PVTPL IMC GLOBAL INC SR NT 144A 10.875 DUE 06-01-2008 BEO   28,000.00   27,661.20   30,392.88  
Corporate Debt Instruments — Other   PVTPL PULTE HOMES INC FORMERLY PULTE CORP 144A 7.875 DUE 08-01-2011 BEO   46,000.00   45,582.78   46,374.44  
Corporate Debt Instruments — Other   PVTPL SCHULER HOMES INC SR NT 144A 9.375DUE 07-15-2009/07-15-2005 BEO   60,000.00   60,000.00   62,700.00  
Corporate Debt Instruments — Other   PVTPL SMITHFIELD FOODS INC SR NT 144A 8 DUE 10-15-2009 BEO   23,000.00   23,000.00   23,920.00  
Corporate Debt Instruments — Other   PVTPL TEEKAY SHIPPING CORP SR NT 144A 8.875 DUE 07-15-2011 BEO   5,000.00   5,112.50   5,187.50  
Corporate Debt Instruments — Other   QWEST CAP FDG INC NT 7.75 DUE 02-15-2031REG   1,000,000.00   999,700.00   986,390.00  
Corporate Debt Instruments — Other   R J REYNOLDS TOB HLDGS INC NT SER B 7.75DUE 05-15-2006 BEO   740,000.00   736,633.00   778,013.80  
Corporate Debt Instruments — Other   RAYTHEON CO 6.45 DUE 08-15-2002 REG   1,100,000.00   1,104,103.00   1,123,771.00  
Corporate Debt Instruments — Other   RAYTHEON CO NT 6.55 DUE 03-15-2010 REG   600,000.00   588,708.00   607,710.00  
Corporate Debt Instruments — Other   RJ REYNOLDS TOB HLDGS INC NT SER B 7.875DUE 05-15-2009 BEO   500,000.00   492,870.00   512,340.00  
Corporate Debt Instruments — Other   RYLAND GROUP INC 8 DUE 08-15-2006 BEO   33,000.00   33,000.00   33,165.00  
Corporate Debt Instruments — Other   RYLAND GROUP INC SR NT 9.75 DUE 09-01-2010/09-01-2005 BEO   15,000.00   15,637.50   15,900.00  
Corporate Debt Instruments — Other   SAFETY-KLEEN CORP NEW 9.25 DUE 05-15-2009 BEO DBTFL   65,000.00   65,165.00   6.50  
Corporate Debt Instruments — Other   SCOTIA PAC CO LLC TIMBER COLL NT SER B CL A-3 7.71 DUE 07-20-2028 BEO   160,000.00   113,600.00   133,612.80  

Corporate Debt Instruments — Other   SECURITIZED AST SALES INC SER 1995-B CL A4 INC 7.41 MTG BKD CTF DUE 9-25-24 BEO   765,416.05   775,462.13   781,436.21  
Corporate Debt Instruments — Other   SMS STUD LN TR SER 1997-9A CL A1 VAR RT ABS CTF DUE 10-27-2025 REG   908,254.96   889,876.99   900,462.13  
Corporate Debt Instruments — Other   SOUTHN CAL EDISON CO NT DTD 11/08/2000 FLTG RATE DUE 05-01-2002 BEO   200,000.00   120,008.00   190,000.00  
Corporate Debt Instruments — Other   SPRINT CAP CORP DEB 6.9 DUE 05-01-2019 BEO   80,000.00   75,670.40   73,960.00  
Corporate Debt Instruments — Other   SPRINT CAP CORP MTN 7.625 DUE 06-10-2002   1,500,000.00   1,498,515.00   1,534,845.00  
Corporate Debt Instruments — Other   TCI COMMUNICATIONS INC 7.875 DUE 02-15-2026 REG   310,000.00   362,486.39   322,093.10  
Corporate Debt Instruments — Other   TEEKAY SHIPPING CORP SR NT 8.875 DUE 07-15-2011 BEO   30,000.00   30,000.00   31,125.00  
Corporate Debt Instruments — Other   TELECORP PCS INC SR SUB NT DTD 07/14/00 10.625 DUE 07-15-10/07-15-05 BEO   2,000.00   2,045.00   2,340.00  
Corporate Debt Instruments — Other   TEMBEC FIN CORP GTD SR NT DTD 08/29/1995 9.875 DUE 09-30-2005   9,000.00   9,097.50   9,270.00  
Corporate Debt Instruments — Other   TENET HEALTHCARE CORP 7.875 DUE 01-15-2003 REG   10,000.00   10,175.00   10,500.00  
Corporate Debt Instruments — Other   TENET HEALTHCARE CORP 7.875 DUE 01-15-2003 REG   1,000,000.00   1,002,500.00   1,050,000.00  
Corporate Debt Instruments — Other   TENET HEALTHCARE CORP 8 DUE 01-15-2005 REG   10,000.00   10,300.00   11,135.90  
Corporate Debt Instruments — Other   TENET HEALTHCARE CORP SR SUB NT SER B 8.125 DUE 12-01-2008/06-01-2003 BEO   120,000.00   126,350.00   129,900.00  
Corporate Debt Instruments — Other   TEREX CORP NEW SR SUB NT DTD 03/29/2001 10.375 DUE 04-01-2011/04-01-2006 BEO   20,000.00   20,000.00   20,800.00  
Corporate Debt Instruments — Other   TEREX CORP NEW SR SUB NT SER D 8.875 DUE04-01-2008/04-01-2003 BEO PUT   94,000.00   92,762.50   93,295.00  
Corporate Debt Instruments — Other   TEXTRON FINL CORP FLTG RATE DUE 03-18-2002 BEO   200,000.00   200,000.00   199,644.40  
Corporate Debt Instruments — Other   TRITON ENERGY LTD / TRITON ENERGY CORP SR NT 9.25 DUE 04-15-2005 BEO   15,000.00   15,712.50   16,645.05  
Corporate Debt Instruments — Other   TRITON ENERGY LTD SR NT DTD 04/01/2001 8.875 DUE 10-01-2007/10-01-2004 BEO   16,000.00   16,180.00   17,679.36  
Corporate Debt Instruments — Other   TRW INC MT SR NTS BK ETY TRCHE #SR00044 CPN RT=3MO US$+ 43 BP VAR RT 3-25-02   400,000.00   399,848.80   399,443.20  
Corporate Debt Instruments — Other   TXU EASTN FDG CO GTD SR NT 6.15 DUE 05-15-2002 BEO   1,500,000.00   1,518,735.00   1,520,490.00  
Corporate Debt Instruments — Other   TYSON FOODS INC 7 DUE 01-15-2028 REG   10,000.00   8,678.85   8,625.00  
Corporate Debt Instruments — Other   TYSON FOODS INC 7 DUE 05-01-2018 REG   10,000.00   8,907.05   9,092.00  
Corporate Debt Instruments — Other   USA WASTE SVCS INC 6.5 NT DUE 12-15-2002BEO   500,000.00   499,275.00   513,395.00  
Corporate Debt Instruments — Other   VINTAGE PETE INC 9.0 SR SUB NT DUE 12-15-2005   8,000.00   8,240.00   8,040.00  
Corporate Debt Instruments — Other   VINTAGE PETE INC SR SUB NT DTD 05/25/2001 7.875 DUE 5-15-11 REG   50,000.00   49,579.50   50,250.00  
Corporate Debt Instruments — Other   VISTEON CORP NT DTD 08/03/2000 8.25 DUE 08-01-2010 BEO   180,000.00   180,034.20   186,762.60  
Corporate Debt Instruments — Other   VOICESTREAM WIRELESS CORP SR NT 10.375 DUE 11-15-2009/11-15-2004 BEO PUT   21,000.00   21,351.56   24,185.28  

Corporate Debt Instruments — Other   WASTE MGMT INC DEL WMI 7.375 DUE 08-01-2010 BEO   510,000.00   507,924.30   530,522.40  
Corporate Debt Instruments — Other   WORLDCOM INC GA NEW 7.50000 05/16/01 05/15/11 7.5 DUE 05-15-2011 BEO   200,000.00   197,808.00   205,480.00  
Corporate Debt Instruments — Other   WORLDCOM INC GA NEW 8.25000 05/16/01 05/15/31 8.25 DUE 05-15-2031 BEO   200,000.00   196,196.00   209,808.00  
Corporate Debt Instruments — Other   WORLDCOM INC GA NEW NT 8.25 DUE 05-15-2010 BEO   230,000.00   242,491.30   246,629.00  
Corporate Debt Instruments — Other   XEROX CORP SUB DEB CONV VAR RATE DUE 04-21-2018/04-21-2003 BEO PUT   350,000.00   130,750.00   176,750.00  
Corporate Stock — Preferred   NEWS CORPORATION PRF AUD0.50   20,210.00   185,088.03   131,926.14  
Corporate Stock — Preferred   NEWS CORPORATION PRF AUD0.50   15,773.00   59,768.61   102,962.44  
Corporate Stock — Preferred   PETROL BRASILEIROS PRF NPV   6,569.00   143,666.50   128,498.52  
Corporate Stock — Preferred   ADR COMPANHIA BRASILEIRA DE DISTR DE ACUCR CIA SPONSORED REP PFD   1,600.00   42,236.32   29,728.00  
Corporate Stock — Preferred   ADR TELE NORTE LESTE PARTICIPACOES S A SPONSORED ADR REPSTG PFD PREF SH   1.00   13.84   13.25  
Corporate Stock — Preferred   ADR TELECOMUNICACOES BRASILEIRAS S A PFDBLOCK   3,022.00   177,735.80   105,679.34  
Corporate Stock — Preferred   SANWA INTERNL FINA UNIT(1000 CV PRF SHS SANWA)   39,000,000.00   303,336.70   171,448.59  
Corporate Stock — Preferred   UFJ INTL FIN (BERMUDA) TR CONV DT 144A   12,000,000.00   103,020.04   101,267.06  
Corporate Stock — Preferred   ##MFO FRKLN TR RISING DIVIDEND FUND CL I DO NOT USE SEE 2696646   2,211.25   59,246.88   54,529.47  
Corporate Stock — Preferred   #REORG USX CORP CONV PFD PLAN OF REORG EFF 12/31/01   0   0   0  
Corporate Stock — Preferred   ADR NEWS CORP LTD SPONSORED ADR REPSTG PFD LTD   50,500.00   1,089,845.81   1,322,090.00  
Corporate Stock — Preferred   ADR TELE NORTE LESTE PARTICIPACOES S A SPONSORED ADR REPSTG PFD PREF SH   500.00   9,079.95   6,625.00  
Corporate Stock — Preferred   AVALONBAY CMNTYS INC PFD STK SER C 8.50%   200.00   4,959.95   5,020.00  
Corporate Stock — Preferred   BANKUNITED CAP III PFD STK   200.00   4,929.95   4,990.00  
Corporate Stock — Preferred   CITIGROUP CAP VI 6.875 TR PFD SECS   560.00   14,100.01   14,000.00  
Corporate Stock — Preferred   CMS ENERGY CORP ADJ CONV TR SEC   102.95   3,490.73   3,222.24  
Corporate Stock — Preferred   DILLARDS CAP TR 1 PFD 7.5%   300.00   5,874.90   6,015.00  
Corporate Stock — Preferred   DUKE RLTY CORP   600.00   14,859.85   15,420.00  
Corporate Stock — Preferred   ENRON CAP TR I TR ORIGINATED PFD SEC 8.30   100.00   2,662.00   90.00  
Corporate Stock — Preferred   GLENBOROUGH RLTY TR INC PFD CONV SER A   300.00   6,049.90   6,045.00  
Corporate Stock — Preferred   GRAND MET DEL L P GTD PFD SECS SER A 9.42   100.00   2,867.00   2,730.00  
Corporate Stock — Preferred   HAWAIIAN ELEC INDS CAP TR I TR ORIGINATED PFD SECS   200.00   5,001.95   5,062.00  
Corporate Stock — Preferred   HOST MARRIOTT CORP NEW PFD CL B 10 PRFERRED STK   200.00   3,999.95   5,020.00  
Corporate Stock — Preferred   HSEHD CAP TR II TR PFD SECS 8.70   100.00   2,780.75   2,544.00  
Corporate Stock — Preferred   INNKEEPERS USA TR PFD CONV SH BEN INT SER A 8.625   300.00   6,464.85   6,786.00  
Corporate Stock — Preferred   ISTAR FINL INC PFD SER D   200.00   4,469.95   4,400.00  
Corporate Stock — Preferred   MERRILL LYNCH & CO INC S&P 500 MKT INDEXTARGET-TERM SECS   800.00   7,527.40   7,240.00  
Corporate Stock — Preferred   MID-AMER APT CMNTYS INC SER A PFD STK   200.00   4,969.95   4,996.00  
Corporate Stock — Preferred   MISSION CAP L P GTD MONTHLY INC PFD SECSB 8.50   500.00   12,881.09   13,015.00  

Corporate Stock — Preferred   PARTNERRE LTD SER A PFD STK   200.00   4,229.95   5,010.00  
Corporate Stock — Preferred   PFD WACHOVIA CORP   252.00   1,328.02   0  
Corporate Stock — Preferred   PPL CAP FDG TR I PREM EQTY PT SECS UNITS7.75   400.00   8,799.90   78.68  
Corporate Stock — Preferred   TCI COMMUNICATIONS FING II TR ORIGINATEDPFD SECS 10   100.00   2,535.95   2,540.00  
Corporate Stock — Preferred   THORNBURG MTG INC PFD SER A CONV   200.00   4,949.95   5,370.00  
Corporate Stock — Preferred   TRANSCANADA CAP TR ORIGINATED PFD SECS 8.75   200.00   5,390.98   5,084.00  
Corporate Stock — Preferred   TXI CAP TR I TR PFD SEC   200.00   6,037.95   7,154.00  
Corporate Stock — Preferred   UAL CORP CAP TR I TR ORIGINATED PFD SECS13.25   2,130.00   69,222.58   45,688.50  
Corporate Stock — Preferred   UAL CORP DEPOS SH REPSTG 1/1000PFD B 12.25   4,600.00   111,075.16   84,180.00  
Corporate Stock — Common   BHP BILLITON LTD NPV   100,725.00   612,151.70   526,122.60  
Corporate Stock — Common   BRAMBLES INDS LTD A$0.50   17,386.00   96,105.76   89,728.19  
Corporate Stock — Common   FOSTERS GROUP LTD COM STK   46,736.00   125,366.29   119,106.05  
Corporate Stock — Common   GOODMAN FIELDR NPV   46,787.00   45,659.85   33,824.10  
Corporate Stock — Common   NATIONAL AUST BANK NPV   10,500.00   164,787.96   172,497.93  
Corporate Stock — Common   NATIONAL AUST BANK NPV   23,493.00   363,509.12   385,951.80  
Corporate Stock — Common   NEWS CORPORATION NPV(AUST LISTING)   18,725.00   40,146.10   143,161.22  
Corporate Stock — Common   QBE INS GROUP LTD NPV   36,649.00   159,051.51   135,333.93  
Corporate Stock — Common   SANTOS LIMITED NPV   82,000.00   277,443.96   274,696.65  
Corporate Stock — Common   WESTPAC BKG CORP NPV   13,013.00   49,640.57   101,080.85  
Corporate Stock — Common   WMC LTD NPV   39,900.00   150,160.50   195,898.50  
Corporate Stock — Common   WOOLWORTHS LTD NPV   23,700.00   117,213.30   136,699.24  
Corporate Stock — Common   BHP BILLITON LTD   21,683.00   208,642.30   229,839.80  
Corporate Stock — Common   DEXIA NPV   22,150.00   264,087.52   307,396.50  
Corporate Stock — Common   DEXIA NPV   6,260.00   66,472.04   86,875.94  
Corporate Stock — Common   DEXIA VVPR STRIP   18,450.00   19.00   165.19  
Corporate Stock — Common   FORTIS B NPV   2,128.00   40,948.34   50,033.38  
Corporate Stock — Common   UCB NPV   440.00   3,136.92   17,137.02  
Corporate Stock — Common   ADR PETROLEO BRASILEIRO SA PETROBAS SPONSORED   5,175.00   91,204.97   104,276.25  
Corporate Stock — Common   ADR PETROLEO BRASILEIRO SA PETROBRAS SPONSORED ADR   1,200.00   25,620.48   24,300.00  
Corporate Stock — Common   ABITIBI-CONS INC COM NPV   17,200.00   133,463.12   120,164.16  
Corporate Stock — Common   ALCAN INC COM STK (CAN QUOTE)   1,050.00   32,640.50   37,873.89  
Corporate Stock — Common   ALCAN INC COM STK (CAN QUOTE)   2,700.00   86,495.98   97,390.00  
Corporate Stock — Common   BK OF NOVA SCOTIA COM NPV   4,100.00   86,217.06   127,749.18  
Corporate Stock — Common   BOMBARDIER INC CLASS'B'SUB VTG NPV CAD   29,600.00   200,604.43   263,671.94  
Corporate Stock — Common   FAIRFAX FINL HLDGS (R1933) COM STK 144A (IPO)   1,500.00   502,308.86   176,470.59  
Corporate Stock — Common   MAGNA INTL INC CL'A'SUB VTG COM NPV (CAD)   6,100.00   258,680.19   386,264.12  
Corporate Stock — Common   MDS INC COM NPV   2,400.00   29,429.98   28,479.62  
Corporate Stock — Common   ROYAL BANK CANADA COM NPV (CAD)   1,820.00   31,904.55   57,020.84  
Corporate Stock — Common   SUNCOR ENERGY INC COM NPV (CAD QUOTE)   4,100.00   116,475.95   123,027.39  
Corporate Stock — Common   ZARLINK SEMICONDUCTOR INC COM   7,900.00   186,630.29   76,906.44  
Corporate Stock — Common   CELESTICA INC SUB VTG SHS   3,192.00   122,600.79   134,989.68  
Corporate Stock — Common   INCO LTD COM   15,000.00   424,169.52   241,500.00  
Corporate Stock — Common   NORTEL NETWORKS CORP NEW COM   17,800.00   189,954.92   138,840.00  
Corporate Stock — Common   THOMSON CORP COM   12,300.00   195,947.91   354,198.72  
Corporate Stock — Common   NOVO-NORDISK AS DKK2 SER B   600.00   22,139.06   23,311.62  
Corporate Stock — Common   TDC A/S DKK5   1,422.00   54,434.90   49,603.96  
Corporate Stock — Common   SOC EUROPEENNE FIDUCIARY DR REP 1'A' (BEL)   2,060.00   31,702.66   25,268.61  

Corporate Stock — Common   KESKO OYJ NPV SER'B'   15,518.00   231,269.39   127,547.49  

Corporate Stock — Common   NOKIA OYJ EUR0.06   59,900.00   675,285.98   1,399,783.32
Corporate Stock — Common   NOKIA OYJ EUR0.06   17,253.00   344,450.23   403,179.66
Corporate Stock — Common   SAMPO OYJ SER'A'NPV   22,500.00   180,597.42   177,078.11
Corporate Stock — Common   SONERA OYJ NPV   20,700.00   92,901.09   107,310.54
Corporate Stock — Common   UPM-KYMMENE CORP NPV   7,500.00   186,604.78   253,496.35
Corporate Stock — Common   ADR NOKIA CORP SPONSORED ADR   7,200.00   178,735.01   165,672.00
Corporate Stock — Common   ACCOR EUR3   3,300.00   134,061.34   109,322.40
Corporate Stock — Common   AIR LIQUIDE(L') EUR11   1,300.00   180,303.67   184,487.14
Corporate Stock — Common   ALSTOM EUR6   5,847.00   162,572.26   68,580.06
Corporate Stock — Common   ALTRAN TECHNOLOGIE EUR0.50   380.00   37,016.69   16,974.25
Corporate Stock — Common   ASS GEN DE FRANCE NPV   3,280.00   168,833.82   161,521.38
Corporate Stock — Common   AVENTIS SA EUR3.82   750.00   17,746.17   52,042.30
Corporate Stock — Common   AVENTIS SA EUR3.82   6,003.00   383,962.23   419,233.94
Corporate Stock — Common   AXA EUR2.29   8,976.00   260,203.72   196,094.84
Corporate Stock — Common   BIC EUR3.82   1,900.00   81,104.02   62,943.20
Corporate Stock — Common   BNP PARIBAS EUR4   3,999.00   320,407.87   350,889.98
Corporate Stock — Common   BNP PARIBAS EUR4   4,281.00   366,858.85   375,633.91
Corporate Stock — Common   BOUYGUES EUR1   19,360.00   960,321.00   667,359.07
Corporate Stock — Common   CAP GEMINI EUR8   600.00   110,005.69   38,464.29
Corporate Stock — Common   CARREFOUR EUR2.50   2,500.00   153,901.27   129,490.19
Corporate Stock — Common   CHRISTIAN DIOR EUR2   3,400.00   148,537.07   104,324.55
Corporate Stock — Common   CIE DE ST-GOBAIN EUR16   857.00   121,689.43   124,995.79
Corporate Stock — Common   CIE DE ST-GOBAIN EUR16   700.00   123,460.66   102,096.91
Corporate Stock — Common   CIE DE ST-GOBAIN EUR16   1,129.00   146,870.70   164,667.74
Corporate Stock — Common   DANONE EUR1   1,500.00   187,895.36   173,384.79
Corporate Stock — Common   DANONE EUR1   600.00   65,637.07   69,353.91
Corporate Stock — Common   HERMES INTL NPV   470.00   55,978.38   70,696.94
Corporate Stock — Common   L'OREAL EUR0.20   259.00   9,427.74   17,821.21
Corporate Stock — Common   LAFARGE EUR4   279.00   20,978.69   25,604.81
Corporate Stock — Common   LEGRAND EUR2   1.00   191.37   136.09
Corporate Stock — Common   LVMH MOET HENNESSY EUR0.30   620.00   51,205.48   25,163.49
Corporate Stock — Common   MICHELIN (CGDE) EUR2 (REGD)   7,986.00   309,459.93   261,199.57
Corporate Stock — Common   MICHELIN (CGDE) EUR2 (REGD)   4,800.00   155,192.50   156,994.48
Corporate Stock — Common   ORANGE SA EUR1   6,920.00   61,765.93   60,037.60
Corporate Stock — Common   PEUGEOT SA EUR1   2,800.00   53,090.80   118,530.19
Corporate Stock — Common   SANOFI-SYNTHELABO EUR2   5,210.00   194,030.71   361,054.01
Corporate Stock — Common   SANOFI-SYNTHELABO EUR2   15,200.00   490,543.71   1,053,362.94
Corporate Stock — Common   SCHNEIDER ELECTRIC EUR8   3,444.00   192,386.54   157,571.45
Corporate Stock — Common   SCHNEIDER ELECTRIC EUR8   3,730.00   140,499.22   170,656.65
Corporate Stock — Common   SCHNEIDER ELECTRIC EUR8   3,300.00   162,423.05   150,983.10
Corporate Stock — Common   SOC AIR FRANCE EUR8.50   9,783.00   179,542.16   126,833.54
Corporate Stock — Common   SOC GENERALE EUR1.25   1,278.00   70,094.30   69,570.95
Corporate Stock — Common   SOC GENERALE EUR1.25   1,440.00   56,090.94   78,389.80
Corporate Stock — Common   SODEXHO ALLIANCE EUR4   5,059.00   206,664.50   207,047.21
Corporate Stock — Common   TF1 — TV FRANCAISE EUR0.20   5,744.00   179,991.26   139,475.40
Corporate Stock — Common   TF1 — TV FRANCAISE EUR0.20   14,000.00   144,668.56   339,947.00
Corporate Stock — Common   TOTAL FINA ELF EUR10   200.00   24,807.46   25,517.51
Corporate Stock — Common   TOTAL FINA ELF EUR10   4,890.00   538,897.27   623,903.19
Corporate Stock — Common   USINOR NPV   15,619.00   219,281.55   196,062.59
Corporate Stock — Common   VIVENDI UNIVERSAL EUR5.50   3,558.00   268,057.92   182,060.47
Corporate Stock — Common   VIVENDI UNIVERSAL EUR5.50   3,700.00   154,856.88   189,326.52
Corporate Stock — Common   ADR ALSTOM SPONSORED ADR   3.00   100.00   35.70
Corporate Stock — Common   ADR TOTAL FINA ELF S A SPONSORED ADR   5,831.00   241,061.35   373,708.79
Corporate Stock — Common   AIXTRON ORD NPV   5,400.00   367,286.32   131,992.69
Corporate Stock — Common   ALLIANZ AG NPV(REGD)(VINKULIERT)   1,051.00   288,687.27   248,418.35
Corporate Stock — Common   BAYER AG ORD NPV   1,220.00   38,388.96   39,793.53
Corporate Stock — Common   BAYER AG ORD NPV   11,154.00   363,845.74   363,817.26
Corporate Stock — Common   BAYER HYPO-VEREINS ORD NPV   715.00   39,678.70   22,931.11
Corporate Stock — Common   BAYER HYPO-VEREINS ORD NPV   5,220.00   268,901.41   167,413.15
Corporate Stock — Common   BAYER MOTOREN WERK EUR1   8,000.00   203,275.69   257,861.18
Corporate Stock — Common   COMMERZBANK AG ORD NPV   13,100.00   359,012.17   224,143.15

Corporate Stock — Common   DAIMLERCHRYSLER AG ORD NPV(REGD)   13,900.00   612,082.92   579,457.06
Corporate Stock — Common   DEUTSCHE BANK AG NPV(REGD)   1,700.00   151,515.59   109,591.00
Corporate Stock — Common   DEUTSCHE BANK AG NPV(REGD)   1,613.00   116,883.59   103,982.52
Corporate Stock — Common   DEUTSCHE LUFTHANSA ORD NPV (REGD)(VINK)   10,974.00   219,603.96   140,997.15
Corporate Stock — Common   DEUTSCHE POST AG NPV(REGD)   21,080.00   403,964.07   297,643.08
Corporate Stock — Common   DEUTSCHE TELEKOM NPV(REGD)   3,700.00   85,760.17   63,440.12
Corporate Stock — Common   DEUTSCHE TELEKOM NPV(REGD)   950.00   30,940.04   16,288.68
Corporate Stock — Common   E.ON AG NPV   8,291.00   363,468.20   413,555.27
Corporate Stock — Common   E.ON AG NPV   2,375.00   111,060.27   118,465.05
Corporate Stock — Common   EPCOS ORD NPV   3,800.00   209,948.70   176,921.42
Corporate Stock — Common   GEHE AG NPV   2,150.00   86,721.88   82,005.23
Corporate Stock — Common   INFINEON TECHNOLOG ORD NPV   6,400.00   329,528.06   125,664.35
Corporate Stock — Common   METRO AG ORD NPV   12,600.00   502,791.30   430,950.50
Corporate Stock — Common   MG TECHNOLOGIES AG NPV   6,119.00   100,596.95   51,225.42
Corporate Stock — Common   RHON-KLINIKUM AG ORD NPV   739.00   16,569.18   36,060.72
Corporate Stock — Common   SAP AG ORD NPV   950.00   131,083.96   117,380.56
Corporate Stock — Common   SIEMENS AG NPV(REGD)   741.00   44,147.53   43,788.05
Corporate Stock — Common   VOLKSWAGEN AG ORD NPV   4,541.00   246,826.70   196,580.97
Corporate Stock — Common   ADR INFINEON TECHNOLOGIES AG SPONSORED ADR ADR STK ISIN# US45662N1037   1,400.00   93,313.46   27,370.00
Corporate Stock — Common   OTE(HELLENIC TLCM) EUR2.20(CR)   5,100.00   81,160.64   86,485.57
Corporate Stock — Common   OTE(HELLENIC TLCM) EUR2.20(CR)   1,270.00   20,383.92   21,536.60
Corporate Stock — Common   ADR HELLENIC TELECOMMUNICATIONS ORGANIZATION S A SPONSORED ADR   38,652.00   395,053.60   328,542.00
Corporate Stock — Common   CHEUNG KONG(HLDGS) HKD0.50   66,000.00   805,623.06   638,944.45
Corporate Stock — Common   CHEUNG KONG(HLDGS) HKD0.50   17,000.00   175,390.94   164,576.60
Corporate Stock — Common   CHINA MOBILE (HK) HKD0.10   84,000.00   521,008.59   297,815.05
Corporate Stock — Common   CHINA UNICOM HKD0.10   20,000.00   20,386.45   22,824.02
Corporate Stock — Common   HANG LUNG PROPERTIES HKD1   101,000.00   109,134.94   102,310.61
Corporate Stock — Common   HENDERSON LAND DEV HKD2   15,000.00   71,233.29   56,835.67
Corporate Stock — Common   HSBC HLDGS USD0.50(HONGKONG REG)   5,600.00   60,076.04   67,856.59
Corporate Stock — Common   HUTCHISON WHAMPOA HKD0.25   17,100.00   150,482.26   158,418.60
Corporate Stock — Common   HUTCHISON WHAMPOA HKD0.25   47,200.00   401,596.28   437,272.40
Corporate Stock — Common   JOHNSON ELEC HLDGS HKD0.0125   200,000.00   323,333.43   226,957.99
Corporate Stock — Common   LI & FUNG HKD0.025   4,000.00   3,818.22   4,462.22
Corporate Stock — Common   LI & FUNG HKD0.025   90,000.00   129,318.49   100,400.06
Corporate Stock — Common   PACIFIC CENTURY HKD0.05   96,000.00   21,831.57   27,388.83
Corporate Stock — Common   SHANGRI-LA ASIA HKD1   146,000.00   170,115.88   90,328.00
Corporate Stock — Common   SUN HUNG KAI PROP HKD0.50   3,000.00   27,287.63   22,118.79
Corporate Stock — Common   SWIRE PACIFIC 'A'HKD0.60   43,000.00   267,804.10   208,968.05
Corporate Stock — Common   SWIRE PACIFIC 'A'HKD0.60   37,000.00   190,843.15   179,809.71
Corporate Stock — Common   ADR ICICI LTD SPONSORED ADR   3,150.00   40,333.29   18,931.50
Corporate Stock — Common   ADR VIDESH SANCHAR NIGAM LTD SPONSORED ADR NEW   10,325.00   291,438.67   94,060.75
Corporate Stock — Common   RELIANCE INDS GDS(REP 2 ORD INR10) 144 A   4,400.00   73,771.62   55,440.00
Corporate Stock — Common   ALLIED IRISH BANKS ORD EUR0.32(DUBLIN LISTING)   21,000.00   234,202.93   218,483.63
Corporate Stock — Common   BK OF IRELAND ORD STK EUR0.64   46,851.00   327,017.44   415,286.24
Corporate Stock — Common   CRH ORD EUR0.32(DUBLIN LISTING)   20,090.00   316,962.47   332,770.75
Corporate Stock — Common   IRISH LIFE & PERM ORD EUR0.32   13,000.00   143,891.54   145,494.59
Corporate Stock — Common   ADR ELAN PLC ADR REPSTG SHS   2,400.00   105,853.35   106,128.00
Corporate Stock — Common   ADR ELAN PLC ADR REPSTG SHS   8,050.00   339,983.04   355,971.00
Corporate Stock — Common   ADR SMARTFORCE PUB LTD CO SPONSORED ADRISIN 83170A2069 SEDOL 2254463   1,322.00   43,504.08   29,467.38
Corporate Stock — Common   ALLEANZA ASSICURAZ EUR0.5   13,660.00   142,269.81   143,463.76
Corporate Stock — Common   BCA POP BERGAMO EUR3   10,331.00   231,888.46   167,515.23
Corporate Stock — Common   BIPOP-CARIRE EUR0.26   9,700.00   57,794.78   16,588.17

Corporate Stock — Common   ENI EUR1   19,892.00   223,147.87   233,849.62
Corporate Stock — Common   ENI EUR1   32,970.00   329,721.70   387,594.10
Corporate Stock — Common   ENI EUR1   32,750.00   367,580.45   385,007.79
Corporate Stock — Common   FINMECCANICA SPA EUR0.22   359,917.00   439,685.72   314,518.11
Corporate Stock — Common   GENERALI ASS EUR1   12,500.00   422,376.02   343,031.48
Corporate Stock — Common   GENERALI ASS EUR1   1,925.00   63,056.01   52,826.85
Corporate Stock — Common   INTESABCI EUR0.52   99,915.00   376,928.88   242,881.27
Corporate Stock — Common   MEDIASET EUR0.52   3,310.00   60,806.97   24,775.80
Corporate Stock — Common   MEDIOLANUM EUR0.1   5,540.00   35,545.67   49,751.27
Corporate Stock — Common   OLIVETTI SPA EUR1   21,805.00   49,074.82   26,180.53
Corporate Stock — Common   SANPAOLO IMI SPA EUR2.80   1,600.00   18,979.86   17,634.84
Corporate Stock — Common   SANPAOLO IMI SPA EUR2.80   13,732.00   142,525.25   151,351.01
Corporate Stock — Common   T.I.M.SPA EUR0.06   42,192.00   248,362.04   238,370.75
Corporate Stock — Common   TELECOM ITALIA SPA DI RISP EUR0.55   19,500.00   82,804.95   98,645.33
Corporate Stock — Common   TELECOM ITALIA SPA DI RISP EUR0.55   5,400.00   22,125.47   27,317.17
Corporate Stock — Common   TELECOM ITALIA SPA DI RISP EUR0.55   70,479.00   225,892.65   356,534.59
Corporate Stock — Common   TELECOM ITALIA SPA EUR0.55   14,000.00   52,373.54   119,207.08
Corporate Stock — Common   TELECOM ITALIA SPA EUR0.55   17,445.00   154,728.80   148,540.53
Corporate Stock — Common   UNICREDITO ITALIAN EUR0.50   49,804.00   174,175.82   187,732.65
Corporate Stock — Common   77TH BANK JPY50   36,000.00   353,012.08   167,836.26
Corporate Stock — Common   ACOM CO JPY50   3,700.00   286,677.13   300,519.82
Corporate Stock — Common   ADVANTEST JPY50   5,400.00   380,273.01   344,736.84
Corporate Stock — Common   AEON CO LTD Y50   14,000.00   239,687.61   294,509.42
Corporate Stock — Common   AIFUL CORP JPY50   250.00   21,056.13   19,290.12
Corporate Stock — Common   AIFUL CORP JPY50   3,250.00   212,561.74   250,771.60
Corporate Stock — Common   AIFUL CORP JPY50   3,450.00   359,039.25   266,203.70
Corporate Stock — Common   CANON INC JPY50   9,000.00   285,585.75   304,824.56
Corporate Stock — Common   CANON INC JPY50   13,000.00   375,067.59   440,302.14
Corporate Stock — Common   CHUBU ELEC POWER JPY500   6,000.00   130,341.29   114,522.42
Corporate Stock — Common   CHUDENKO CORP JPY50   18,600.00   262,053.42   285,526.32
Corporate Stock — Common   CHUGAI PHARMA CO Y50   18,000.00   283,062.09   241,666.67
Corporate Stock — Common   CREDIT SAISON CO COM STK   20,700.00   402,948.72   453,947.37
Corporate Stock — Common   DAIWA SEC CO Y50   22,000.00   225,533.88   147,774.53
Corporate Stock — Common   FANUC JPY50   1,700.00   134,654.61   80,084.47
Corporate Stock — Common   FUJI MACHINE JPY50   7,100.00   284,750.03   117,641.33
Corporate Stock — Common   FUJI SOFT ABC INC JPY50   2,700.00   191,145.54   111,842.11
Corporate Stock — Common   FUJI TELEVISION JPY5000   13.00   196,481.16   57,651.07
Corporate Stock — Common   FUJI TELEVISION JPY5000   20.00   148,515.89   88,693.96
Corporate Stock — Common   FUJISAWA PHARMA CO Y50   5,000.00   109,424.15   114,522.42
Corporate Stock — Common   FURUKAWA ELEC CO Y50   18,000.00   381,077.45   107,748.54
Corporate Stock — Common   HIROSE ELECTRIC JPY50   5,000.00   248,179.18   405,701.75
Corporate Stock — Common   HITACHI JPY50   14,000.00   102,068.84   103,476.28
Corporate Stock — Common   HITACHI JPY50   4,000.00   42,481.48   29,564.65
Corporate Stock — Common   HONDA MOTOR CO Y50   8,000.00   186,412.66   303,443.79
Corporate Stock — Common   HOYA CORP JPY50   2,500.00   180,462.37   164,473.68
Corporate Stock — Common   ITO-YOKADO CO Y50   1,000.00   72,475.36   44,915.53
Corporate Stock — Common   KAO CORP JPY50   3,000.00   50,347.93   64,083.82
Corporate Stock — Common   KDDI CORP JPY5000   0   0   0
Corporate Stock — Common   KOKUSAI SECURITIES JPY50   7,000.00   84,871.76   46,507.47
Corporate Stock — Common   KOKUYO CO Y50   0   0   0
Corporate Stock — Common   KONAMI CORP JPY50   4,100.00   199,967.48   138,864.52
Corporate Stock — Common   KYOCERA CORP JPY50   1,000.00   118,814.48   74,886.29
Corporate Stock — Common   LAWSON INC JPY50   5,300.00   193,699.82   172,620.21
Corporate Stock — Common   MABUCHI MOTOR CO JPY50   3,500.00   294,302.41   287,118.26
Corporate Stock — Common   MARUBENI CORP JPY50   133,000.00   371,634.35   113,425.93
Corporate Stock — Common   MARUI CO JPY50   8,000.00   122,317.21   104,873.29
Corporate Stock — Common   MATSUMOTOKIYOSHI C JPY50   6,600.00   311,160.14   262,134.50
Corporate Stock — Common   MATSUSHITA COMM JPY50   600.00   71,623.30   21,637.43
Corporate Stock — Common   MATSUSHITA ELC IND Y50   13,000.00   260,374.26   172,636.45
Corporate Stock — Common   MINEBEA CO JPY50   37,000.00   394,559.68   222,384.67
Corporate Stock — Common   MITSUBISHI EST CO Y50   29,000.00   326,218.26   247,790.77
Corporate Stock — Common   MITSUBISHI HVY IND Y50   54,000.00   195,648.97   149,561.40

Corporate Stock — Common   MITSUBISHI MOTORS JPY50   79,000.00   274,897.40   152,071.15
Corporate Stock — Common   MITSUI FUDOSAN JPY50   37,000.00   386,014.28   337,784.28
Corporate Stock — Common   MITSUI FUDOSAN JPY50   11,000.00   118,730.11   100,422.35
Corporate Stock — Common   MITSUI SUMITOMO INSURANCE COMPANY   73,980.00   406,437.73   368,337.72
Corporate Stock — Common   MIZUHO HLDGS JPY50000   44.00   378,623.78   110,786.22
Corporate Stock — Common   MURATA MFG CO JPY50   1,500.00   180,998.49   101,486.35
Corporate Stock — Common   MURATA MFG CO JPY50   1,900.00   145,281.78   128,549.38
Corporate Stock — Common   MURATA MFG CO JPY50   5,000.00   160,050.41   338,287.85
Corporate Stock — Common   NEC CORP Y50   55,000.00   939,082.37   559,291.75
Corporate Stock — Common   NEC CORP Y50   5,000.00   70,853.34   50,844.70
Corporate Stock — Common   NIKKO CORDIAL CORPORATION Y50   23,000.00   160,122.92   121,426.25
Corporate Stock — Common   NIKON CORP JPY50   19,000.00   276,476.25   170,524.69
Corporate Stock — Common   NINTENDO CO JPY50   3,700.00   420,428.92   638,604.61
Corporate Stock — Common   NIPPON EXPRESS CO Y50   87,000.00   578,100.98   313,742.69
Corporate Stock — Common   NIPPON TEL&TEL CP JPY50000   17.00   198,199.42   70,419.10
Corporate Stock — Common   NIPPON TEL&TEL CP JPY50000   21.00   234,319.23   86,988.30
Corporate Stock — Common   NIPPON TEL&TEL CP JPY50000   8.00   124,612.02   33,138.40
Corporate Stock — Common   NISHIMATSU CONS CO Y50   23,900.00   196,329.68   79,006.66
Corporate Stock — Common   NISSAN MOTOR CO Y50   75,000.00   362,011.64   370,370.37
Corporate Stock — Common   NISSAN MOTOR CO Y50   46,000.00   304,098.86   227,160.49
Corporate Stock — Common   NOMURA HOLDINGS INC Y50   14,000.00   289,449.10   194,444.44
Corporate Stock — Common   NOMURA HOLDINGS INC Y50   17,000.00   324,918.32   236,111.11
Corporate Stock — Common   NTT DOCOMO NPV   61.00   862,358.57   797,677.06
Corporate Stock — Common   NTT DOCOMO NPV   16.00   289,533.05   209,226.77
Corporate Stock — Common   PROMISE CO JPY50   3,000.00   222,035.66   173,732.94
Corporate Stock — Common   RINNAI CORP Y50   14,600.00   243,269.62   254,361.60
Corporate Stock — Common   ROHM CO JPY50   3,000.00   267,659.55   407,894.74
Corporate Stock — Common   ROHM CO JPY50   1,000.00   115,417.57   135,964.91
Corporate Stock — Common   SANKYO CO JPY50   3,000.00   68,798.94   52,266.08
Corporate Stock — Common   SANKYO CO JPY50   9,000.00   226,411.84   156,798.25
Corporate Stock — Common   SEKISUI HOUSE Y50   26,000.00   208,160.73   198,505.52
Corporate Stock — Common   SEVEN ELEVEN NPV   2,000.00   147,536.33   83,008.45
Corporate Stock — Common   SHIN-ETSU CHEM CO Y50   5,000.00   207,670.61   189,246.26
Corporate Stock — Common   SHIN-ETSU CHEM CO Y50   2,000.00   69,928.22   75,698.51
Corporate Stock — Common   SHIN-ETSU CHEM CO Y50   7,000.00   318,551.90   264,944.77
Corporate Stock — Common   SHIONOGI & CO JPY50   28,000.00   499,736.11   480,994.15
Corporate Stock — Common   SHISEIDO CO Y50   6,000.00   70,155.22   58,187.13
Corporate Stock — Common   SHOHKOH FUND & CO JPY50   1,000.00   203,161.17   108,593.24
Corporate Stock — Common   SONY CORP Y50   13,900.00   498,041.25   655,937.30
Corporate Stock — Common   SONY CORP Y50   5,000.00   322,097.01   235,948.67
Corporate Stock — Common   SUMITOMO BAKELITE JPY50   28,600.00   197,624.44   184,905.78
Corporate Stock — Common   SUMITOMO CORP JPY50   10,000.00   97,484.66   54,743.34
Corporate Stock — Common   SUMITOMO MITSUI BK JPY50   27,000.00   287,489.43   146,929.82
Corporate Stock — Common   SUMITOMO MITSUI BK JPY50   15,000.00   189,886.80   81,627.68
Corporate Stock — Common   SUMITOMO REAL&DEV Y50   8,000.00   36,207.33   45,549.06
Corporate Stock — Common   SUZUKI MOTOR CORP JPY50   17,000.00   187,560.58   174,528.91
Corporate Stock — Common   TAIYO YUDEN CO Y50   0   0   0
Corporate Stock — Common   TAKEDA CHEMICAL IN Y50   7,000.00   310,252.31   319,525.67
Corporate Stock — Common   TDK CORP JPY50   2,800.00   267,275.85   142,137.75
Corporate Stock — Common   TOKYO ELEC POWER JPY500   4,300.00   100,287.04   99,013.16
Corporate Stock — Common   TOKYO ELECTRON Y50   13,900.00   493,604.86   738,352.83
Corporate Stock — Common   TOKYO ELECTRON Y50   0   0   0
Corporate Stock — Common   TOKYO SEIMITSU CO JPY50   2,700.00   306,162.25   86,622.81
Corporate Stock — Common   TOKYU CORP Y50   33,000.00   164,441.62   127,582.85
Corporate Stock — Common   TORAY IND INC Y50   57,000.00   212,005.41   156,018.52
Corporate Stock — Common   TOSHIBA CORP Y50   12,000.00   87,560.37   51,267.06
Corporate Stock — Common   UFJ HLDGS NPV   24.00   187,064.68   79,337.23
Corporate Stock — Common   UFJ HLDGS NPV   9.00   65,305.16   29,751.46
Corporate Stock — Common   USHIO INC JPY50   8,000.00   186,348.48   100,064.98
Corporate Stock — Common   YAMAHA MOTOR CO JPY50   21,200.00   146,894.88   127,592.59
Corporate Stock — Common   YAMANOUCHI PHARM JPY50   6,000.00   135,823.95   168,615.98
Corporate Stock — Common   YAMANOUCHI PHARM JPY50   4,000.00   182,881.09   112,410.66

Corporate Stock — Common   ADR SONY CORP AMER DEPY RCPT FOR DOLLAR-VALIDATED COM BKD BY 1 SH COM   700.00   25,761.97   33,390.00
Corporate Stock — Common   FOMENTO ECON MEXIC UNITS (REP 1'B'& 4'D'SHS)   25,890.00   101,001.42   87,128.73
Corporate Stock — Common   ADR AMER MOVIL S A DE C V SPONSORED ADR REPSTG SER L SHS   3,000.00   46,084.20   52,050.00
Corporate Stock — Common   ADR AMER MOVIL S A DE C V SPONSORED ADR REPSTG SER L SHS   18,300.00   301,725.73   317,505.00
Corporate Stock — Common   ADR GRUPO IUSACELL S A DE C V NEW SPONSORED ADR REPSTG SER V SHS   3,000.00   45,756.99   8,850.00
Corporate Stock — Common   ADR TELEFONOS DE MEX S A SPONSORED ADR REPSTG SH ORD L   18,300.00   456,643.21   613,233.00
Corporate Stock — Common   ADR TELEFONOS DE MEX S A SPONSORED ADR REPSTG SH ORD L   619.00   17,722.73   20,742.69
Corporate Stock — Common   ADR TELEFONOS DE MEX S A SPONSORED ADR REPSTG SH ORD L   3,110.00   90,821.75   104,216.10
Corporate Stock — Common   GRUPO TELEVISA SA SPONS GDR   1,998.00   123,470.21   69,330.60
Corporate Stock — Common   GRUPO TELEVISA SA SPONS GDR   3,100.00   81,184.45   107,570.00
Corporate Stock — Common   ABN-AMRO HLDGS NV EUR0.56   15,412.00   325,915.07   250,454.66
Corporate Stock — Common   ABN-AMRO HLDGS NV EUR0.56   23,128.00   396,011.80   375,844.50
Corporate Stock — Common   AEGON NV EUR0.12   35,555.00   884,739.94   947,067.95
Corporate Stock — Common   AHOLD(KON)NV EUR0.25   2,700.00   76,470.39   79,775.80
Corporate Stock — Common   AKZO NOBEL NV EUR2   440.00   10,106.06   19,835.61
Corporate Stock — Common   AKZO NOBEL NV EUR2   4,050.00   139,412.52   182,577.81
Corporate Stock — Common   ASML HLDG EUR0.02   8,110.00   158,413.04   143,047.60
Corporate Stock — Common   BUHRMANN NV EUR1.20(POST CONS)   15,661.00   260,827.59   159,571.47
Corporate Stock — Common   ELSEVIER NV EUR0.06   5,750.00   67,964.95   66,515.65
Corporate Stock — Common   EQUANT NV NLG0.02   556.00   53,724.01   6,830.03
Corporate Stock — Common   FORTIS NL EUR0.24   17,969.00   491,720.89   419,268.09
Corporate Stock — Common   FORTIS NL EUR0.24   6,014.00   89,647.85   140,323.79
Corporate Stock — Common   HAGEMEYER EUR1.2   7,000.00   200,922.96   119,583.12
Corporate Stock — Common   HEINEKEN HOLDING 'A'EUR2   11,625.00   370,468.13   322,662.24
Corporate Stock — Common   HEINEKEN NV EUR2   12,250.00   506,352.68   455,174.24
Corporate Stock — Common   HUNTER DOUGLAS NV EUR0.24   8,572.00   255,643.78   202,618.72
Corporate Stock — Common   ING GROEP NV CVA EUR0.24   7,128.00   195,195.14   186,356.28
Corporate Stock — Common   ING GROEP NV CVA EUR0.24   16,916.00   384,437.22   442,256.29
Corporate Stock — Common   KLM EUR2   7,000.00   157,972.52   84,798.73
Corporate Stock — Common   PHILIPS ELEC(KON) EUR0.20   9,700.00   334,556.40   264,889.69
Corporate Stock — Common   PHILIPS ELEC(KON) EUR0.20   12,131.00   366,691.93   331,275.97
Corporate Stock — Common   ROYAL DUTCH PETROL NLG1.25 (BR)   3,492.00   143,835.87   168,834.61
Corporate Stock — Common   ROYAL DUTCH PETROL NLG1.25 (BR)   6,200.00   309,001.35   299,763.63
Corporate Stock — Common   STORK NV EUR5   15,032.00   312,893.67   119,111.45
Corporate Stock — Common   UTD PAN-EUROPE COM EUR1'A'SHS   11,000.00   235,544.64   4,924.43
Corporate Stock — Common   VEDIOR CVA NLG0.05   18,758.00   231,364.94   206,074.65
Corporate Stock — Common   VNU NV EUR0.20   9,740.00   506,239.75   313,945.99
Corporate Stock — Common   VNU NV EUR0.20   3,500.00   177,126.65   112,814.27
Corporate Stock — Common   WOLTERS KLUWER CVA EUR0.12   9,700.00   210,907.47   210,174.77
Corporate Stock — Common   WOLTERS KLUWER CVA EUR0.12   4,420.00   83,230.47   95,770.36
Corporate Stock — Common   ADR ASML HLDG ASML HLDG NV EUR0.02(NY REG)   24,100.00   84,439.02   419,581.00
Corporate Stock — Common   ADR KONINKLIJKE PHILIPS ELECTRS N V N Y REGISTRY SH NEW 2000   2,900.00   96,693.28   78,503.00
Corporate Stock — Common   ADR KONINKLIJKE PHILIPS ELECTRS N V N Y REGISTRY SH NEW 2000   10,300.00   275,731.39   278,821.00
Corporate Stock — Common   ADR STMICROELECTRONICS N V SHS-N Y REGISTRY   2,600.00   57,624.43   87,490.00
Corporate Stock — Common   ROYAL DUTCH PETRO N.Y REGISTRY SH PAR N 1.25 GLDR   300.00   14,857.56   14,502.00
Corporate Stock — Common   TELECOM CORP OF NZ NPV   80,377.00   265,603.26   169,798.09
Corporate Stock — Common   NORSK HYDRO AS NOK20   5,000.00   261,552.91   193,668.28
Corporate Stock — Common   ORKLA ASA NOK6.25 ORD   5,260.00   73,660.26   86,559.65
Corporate Stock — Common   STATOIL ASA NOK2.50   38,000.00   279,536.79   246,731.15
Corporate Stock — Common   STATOIL ASA NOK2.50   21,710.00   157,024.66   140,961.40

Corporate Stock — Common   STATOIL ASA NOK2.50   2,570.00   19,134.51   16,686.82
Corporate Stock — Common   MANILA ELECTRIC CO 'B'PHP10   116,420.00   182,979.36   71,712.03
Corporate Stock — Common   ELEC DE PORTUGAL EUR1(REGD)   87,360.00   214,392.60   200,237.81
Corporate Stock — Common   JERONIMO MARTINS EUR5   2,944.00   51,133.54   21,429.98
Corporate Stock — Common   PORTUGAL TCOM SGPS EUR1(REGD)   35,920.00   306,659.86   273,690.28
Corporate Stock — Common   PORTUGAL TCOM SGPS EUR1(REGD)   8,377.00   67,358.87   63,828.05
Corporate Stock — Common   PORTUGAL TCOM SGPS EUR1(REGD)   14,280.00   117,136.08   108,805.60
Corporate Stock — Common   VODAFONE TELECEL EUR0.5   5,200.00   117,987.82   40,552.25
Corporate Stock — Common   SAMSUNG ELECTRONIC KRW5000   3,656.00   891,660.30   626,111.00
Corporate Stock — Common   SAMSUNG ELECTRONIC KRW5000   1,103.00   152,759.57   188,895.09
Corporate Stock — Common   SHINHAN FINANCIAL KRW5000   4,700.00   51,833.63   58,521.54
Corporate Stock — Common   SK TELECOM KRW500   300.00   52,544.02   62,217.68
Corporate Stock — Common   ADR KOREA ELEC PWR CORP SPONSORED ADR ISIN #US5006311063   16,915.00   214,189.95   170,164.90
Corporate Stock — Common   ADR KOREA TELECOM CORP SPONSORED ADR ISIN US50063P1030   2,605.00   80,676.83   60,566.25
Corporate Stock — Common   ADR POHANG IRON & STL LTD SPONSORED ADR   8,756.00   193,722.90   185,627.20
Corporate Stock — Common   ADR POHANG IRON & STL LTD SPONSORED ADR   1,762.00   45,905.07   37,354.40
Corporate Stock — Common   GDR HYUNDAI MTR CO ISIN # US4491877076   16,952.00   172,222.92   173,758.00
Corporate Stock — Common   SAMSUNG ELECTRONIC GDR-REP 1/2 SH KRW5000(REGS   1,678.00   255,604.50   159,997.30
Corporate Stock — Common   SAMSUNG ELECTRONIC GDS(1/2 NON VTG SHS)RG   4,800.00   146,524.26   172,464.00
Corporate Stock — Common   ADR OIL CO LUKOIL SPONSORED ADR   3,200.00   175,196.93   142,805.76
Corporate Stock — Common   DBS GROUP HLDGS SGD1   69,000.00   506,870.09   429,566.12
Corporate Stock — Common   O/SEAS CHINESE BK SGD1   18,000.00   101,720.06   105,179.81
Corporate Stock — Common   SINGAPORE AIRLINES SGD0.5(1000 BOARD LOT)   15,000.00   140,705.52   77,000.79
Corporate Stock — Common   SINGAPORE PRESS HD SGD1(POST REC LOT OF 1000)   2,000.00   22,620.45   20,751.99
Corporate Stock — Common   SINGAPORE PRESS HD SGD1(POST REC LOT OF 1000)   13,000.00   220,923.35   134,887.91
Corporate Stock — Common   SINGAPORE TECH ENG SGD0.10   223,000.00   224,392.97   245,998.42
Corporate Stock — Common   SINGAPORE TELECOMM SGD0.15   686,640.00   710,409.93   659,960.35
Corporate Stock — Common   UTD O/S BANK SGD1   19,000.00   129,422.47   119,323.92
Corporate Stock — Common   UTD O/S BANK SGD1   27,008.00   179,577.21   169,615.82
Corporate Stock — Common   CREATIVE TECH INC COM STK   17,200.00   209,831.16   127,280.00
Corporate Stock — Common   DATACRAFT ASIA SGD0.10   2,596.00   16,839.25   5,659.28
Corporate Stock — Common   FLEXTRONICS INTL LTD COM STK   2,200.00   76,341.98   55,000.00
Corporate Stock — Common   ALTADIS SA EUR0.60 (REGD)   5,500.00   90,751.66   88,984.49
Corporate Stock — Common   BBVA(BILB-VIZ-ARG) EUR0.49   14,959.00   169,689.04   184,027.52
Corporate Stock — Common   BBVA(BILB-VIZ-ARG) EUR0.49   27,000.00   395,598.22   332,157.44
Corporate Stock — Common   BCO SANT CENT HISP EUR0.50(REGD)   18,168.00   154,210.91   154,859.39
Corporate Stock — Common   ENDESA SA EUR1.2   6,157.00   115,258.34   98,511.56
Corporate Stock — Common   ENDESA SA EUR1.2   30,263.00   544,090.37   484,205.83
Corporate Stock — Common   INDUSTRIA DE DISENO TEXTIL (INDITEX) ORDCOM STK   18,000.00   280,336.47   347,145.62
Corporate Stock — Common   REPSOL YPF SA EUR1   2,916.00   47,674.47   40,990.26
Corporate Stock — Common   TELEFONICA SA EUR1   12,243.00   185,065.15   165,413.36
Corporate Stock — Common   TELEFONICA SA EUR1   14,391.00   134,780.42   194,434.67
Corporate Stock — Common   ADR REPSOL YPF S A SPONSORED ADR   25,793.00   388,144.07   368,839.90
Corporate Stock — Common   ADR TELEFONICA S A SPONSORED   1,854.00   145,654.57   73,993.14
Corporate Stock — Common   ADR TELEFONICA S A SPONSORED   1,443.00   63,252.59   57,590.13
Corporate Stock — Common   ASSA ABLOY SEK1 SER'B'   13,000.00   208,958.84   181,293.20
Corporate Stock — Common   AUTOLIV INC USD1 SDR (SWEDISH DEP RECPT   11,869.00   308,602.04   219,953.67
Corporate Stock — Common   ELECTROLUX AB SER'B'SEK5   4,270.00   69,447.69   61,745.92
Corporate Stock — Common   ERICSSON(LM)TEL SEK1 SER'B'   27,160.00   399,222.67   149,980.11
Corporate Stock — Common   ERICSSON(LM)TEL SEK1 SER'B'   36,200.00   562,657.37   199,899.85

Corporate Stock — Common   FORENINGSSPARBK SEK20 SER'A'   17,600.00   250,775.78   198,495.93
Corporate Stock — Common   HENNES & MAURITZ SEK0.25'B'   6,820.00   104,003.68   135,961.48
Corporate Stock — Common   INVESTOR AB SEK6.25'B'   10,663.00   157,501.69   110,279.19
Corporate Stock — Common   NORDEA ORD EUR0.39632   22,716.00   124,151.35   112,683.32
Corporate Stock — Common   SANDVIK AB SEK6   1,270.00   27,063.79   26,863.59
Corporate Stock — Common   SECURITAS SER'B'SEK1   19,938.00   392,676.90   355,490.88
Corporate Stock — Common   ADR ERICSSON L.M TEL CO CL B SER 10 NEW   20,000.00   450,031.50   109,200.00
Corporate Stock — Common   ADECCO SA CHF1(REGD)   5,930.00   294,047.89   306,078.46
Corporate Stock — Common   BARRY CALLEBAUT AG CHF100(REGD)   1,724.00   314,512.05   190,531.94
Corporate Stock — Common   CLARIANT CHF5(REGD)   13,840.00   366,382.97   258,008.26
Corporate Stock — Common   CREDIT SUISSE GRP CHF3(REGD)   1,440.00   53,024.96   55,525.87
Corporate Stock — Common   CREDIT SUISSE GRP CHF3(REGD)   10,563.00   453,086.61   407,305.38
Corporate Stock — Common   GIVAUDAN AG CHF10   310.00   77,287.44   95,063.15
Corporate Stock — Common   HOLCIM CHF10(BR)   2,933.00   312,619.88   603,769.13
Corporate Stock — Common   NESTLE SA CHF1(REGD)   1,923.00   294,867.42   396,440.67
Corporate Stock — Common   NESTLE SA CHF1(REGD)   2,150.00   349,596.79   443,238.40
Corporate Stock — Common   NOVARTIS AG CHF0.50(REGD)   7,200.00   237,950.38   252,708.28
Corporate Stock — Common   NOVARTIS AG CHF0.50(REGD)   15,846.00   557,414.47   556,168.81
Corporate Stock — Common   RICHEMONT (CIE "A" CHF 1.0 (BR) EQUITY   22,093.00   373,230.61   418,570.32
Corporate Stock — Common   ROCHE HLDGS AG GENUSSCHEINE NPV   1,900.00   127,551.88   135,854.38
Corporate Stock — Common   ROCHE HLDGS AG GENUSSCHEINE NPV   3,700.00   244,685.20   264,558.54
Corporate Stock — Common   ROCHE HLDGS AG GENUSSCHEINE NPV   2,875.00   228,668.47   205,569.13
Corporate Stock — Common   SWISS REINSURANCE CHF0.1(REGD)   7,284.00   692,993.93   734,238.52
Corporate Stock — Common   SWISS REINSURANCE CHF0.1(REGD)   280.00   27,919.98   28,224.44
Corporate Stock — Common   SWISSCOM AG CHF17(REGD)   983.00   294,135.75   267,418.02
Corporate Stock — Common   UBS AG CHF2.80(REGD)   8,839.00   347,021.15   438,783.25
Corporate Stock — Common   UBS AG CHF2.80(REGD)   3,300.00   156,242.53   163,817.71
Corporate Stock — Common   UBS AG CHF2.80(REGD)   5,830.00   238,246.41   289,411.28
Corporate Stock — Common   ZURICH FIN SVS GRP CHF10   1,000.00   416,270.78   254,736.46
Corporate Stock — Common   STMICROELECTRONICS EUR1.04   9,700.00   244,800.17   329,158.01
Corporate Stock — Common   STMICROELECTRONICS EUR1.04   3,376.00   97,895.33   114,560.56
Corporate Stock — Common   ADR TAIWAN SEMICONDUCTOR MFG CO LTD ISINUS8740391003   34,402.00   352,164.85   548,023.86
Corporate Stock — Common   ADR TAIWAN SEMICONDUCTOR MFG CO LTD ISINUS8740391003   10,010.00   125,706.40   159,459.30
Corporate Stock — Common   ASUSTEK COMPUTER GDR REP 1 ORD TWD10 REG'S'   20,352.00   132,543.58   83,850.24
Corporate Stock — Common   GDR HON HAI PRECISION IND LTD GLOBAL DEPOS RCPT   15,912.00   159,062.00   148,777.20
Corporate Stock — Common   ABBEY NATIONAL ORD GBP0.10   3,135.00   36,475.17   43,722.98
Corporate Stock — Common   ALLIED DOMECQ ORD GBP0.25   59,900.00   368,536.57   324,169.33
Corporate Stock — Common   ASTRAZENECA USD PAR .25   16,800.00   503,769.08   751,069.53
Corporate Stock — Common   ASTRAZENECA USD PAR .25   7,827.00   269,018.59   349,917.93
Corporate Stock — Common   AUTONOMY CORP ORD GBX0.333333   1,000.00   47,598.98   5,048.20
Corporate Stock — Common   BAE SYSTEMS ORD GBP0.025   80,426.00   478,079.34   365,864.67
Corporate Stock — Common   BAE SYSTEMS ORD GBP0.025   44,603.00   195,314.37   202,902.82
Corporate Stock — Common   BARCLAYS PLC ORD GBP1   15,309.00   404,872.67   469,373.54
Corporate Stock — Common   BARCLAYS PLC ORD GBP1   800.00   21,047.11   24,527.98
Corporate Stock — Common   BG GROUP ORD GBP0.10   4,309.00   10,143.70   16,222.35
Corporate Stock — Common   BG GROUP ORD GBP0.10   30,400.00   114,391.48   114,448.69
Corporate Stock — Common   BOC GROUP ORD 25P   23,128.00   344,424.45   350,264.33
Corporate Stock — Common   BP ORD USD0.25   24,520.00   165,324.98   181,301.98
Corporate Stock — Common   BRAMBLES INDS (UK) ORD GBP0.05   26,600.00   223,433.55   128,971.54
Corporate Stock — Common   BRAMBLES INDS (UK) ORD GBP0.05   16,450.00   80,882.07   79,758.71
Corporate Stock — Common   BRITISH AIRWAYS ORD 25P   39,000.00   96,471.35   113,178.08
Corporate Stock — Common   BUNZL ORD 25P   62,637.00   261,552.36   422,498.73
Corporate Stock — Common   CABLE & WIRELESS ORD GBP0.25   14,024.00   164,057.51   66,046.23
Corporate Stock — Common   CADBURY SCHWEPPES ORD GBP0.125   34,900.00   219,045.45   221,471.96
Corporate Stock — Common   CADBURY SCHWEPPES ORD GBP0.125   19,931.00   109,043.06   126,480.16

Corporate Stock — Common   CELLTECH GROUP ORD GBP0.50   5,787.00   104,060.45   74,148.94
Corporate Stock — Common   CENTRICA ORD GBX5.555555   35,000.00   133,009.38   106,311.68
Corporate Stock — Common   CENTRICA ORD GBX5.555555   10,683.00   17,681.69   32,449.36
Corporate Stock — Common   COMPASS GROUP ORD GBP0.10   55,410.00   97,220.89   397,061.28
Corporate Stock — Common   COMPASS GROUP ORD GBP0.10   18,000.00   0   128,985.80
Corporate Stock — Common   D S SMITH PLC ORD GBP0.10   7,560.00   28,720.42   17,626.78
Corporate Stock — Common   DIAGEO ORD GBX28.935185   35,422.00   346,907.79   378,850.32
Corporate Stock — Common   DIAGEO ORD GBX28.935185   25,705.00   213,962.63   274,923.71
Corporate Stock — Common   DIMENSION DATA HLD ORD USD0.01   3,500.00   27,216.17   4,541.95
Corporate Stock — Common   ELECTROCOMPONENTS ORD GBP0.10   14,280.00   102,058.56   102,634.19
Corporate Stock — Common   ENTERPRISE OIL ORD GBP0.25   44,428.00   352,574.36   269,898.01
Corporate Stock — Common   FRIENDS PROVIDENT ORD GBP0.10   6,380.00   20,088.44   17,741.43
Corporate Stock — Common   GKN PLC ORD GBP0.50   26,600.00   156,982.47   106,022.19
Corporate Stock — Common   GKN PLC ORD GBP0.50   1,000.00   2,600.57   3,985.80
Corporate Stock — Common   GLAXOSMITHKLINE ORD GBP0.25   40,438.00   829,107.79   1,014,928.98
Corporate Stock — Common   GRANADA ORD GBP0.10   62,845.00   369,960.53   125,467.74
Corporate Stock — Common   GRANADA ORD GBP0.10   47,872.00   415,225.25   95,574.70
Corporate Stock — Common   HAYS ORD 1P   28,492.00   116,125.85   82,480.69
Corporate Stock — Common   HBOS ORD GBP0.25   15,500.00   133,209.95   182,355.54
Corporate Stock — Common   HILTON GRP ORD 10P   7,770.00   24,505.20   23,268.78
Corporate Stock — Common   KINGFISHER ORD GBP0.1375   15,509.00   102,294.04   88,466.15
Corporate Stock — Common   LATTICE GROUP ORD GBP0.10   14,109.00   26,095.90   30,582.51
Corporate Stock — Common   LLOYDS TSB GROUP ORD GBP0.25   37,969.00   413,979.87   390,930.61
Corporate Stock — Common   MARKS & SPENCER ORD 25P   29,500.00   112,659.40   146,608.15
Corporate Stock — Common   MORGAN CRUCIBLE CO ORD GBP0.25   91,589.00   395,577.02   245,546.92
Corporate Stock — Common   NATIONAL GRID GRP ORD GBX11.764705   19,000.00   173,598.77   120,030.23
Corporate Stock — Common   PEARSON ORD 25P   19,400.00   351,606.48   228,791.85
Corporate Stock — Common   PRUDENTIAL PLC 5P   29,000.00   433,813.05   316,161.37
Corporate Stock — Common   RECKITT BENCKISER ORD GBP0.105263   3,000.00   36,689.69   39,487.19
Corporate Stock — Common   REED INTERNATIONAL ORD GBP0.125   65,164.00   500,378.23   548,268.21
Corporate Stock — Common   REUTERS GROUP ORD GBP0.25   31,940.00   362,660.73   310,181.11
Corporate Stock — Common   REXAM ORD GBX64.285714   80,099.00   293,978.11   426,058.51
Corporate Stock — Common   RIO TINTO PLC ORD 10P(REGD)   14,417.00   230,322.28   270,354.73
Corporate Stock — Common   RIO TINTO PLC ORD 10P(REGD)   18,353.00   290,074.06   344,164.55
Corporate Stock — Common   ROYAL BK SCOTLAND ORD GBP0.25   20,987.00   244,427.44   486,336.70
Corporate Stock — Common   ROYAL BK SCOTLAND ORD GBP0.25   28,900.00   602,696.63   669,706.52
Corporate Stock — Common   ROYAL&SUN ALLIANCE ORD GBP0.275   77,289.00   581,298.74   441,421.55
Corporate Stock — Common   SAINSBURY J ORD GBP0.25   15,000.00   89,123.52   77,006.45
Corporate Stock — Common   SCOT & SOUTHERN EN ORD GBP0.50   29,244.00   264,730.49   256,683.62
Corporate Stock — Common   SHELL TRNSPT&TRDG ORD GBP0.25(REGD)   63,045.00   426,540.75   435,140.32
Corporate Stock — Common   SHELL TRNSPT&TRDG ORD GBP0.25(REGD)   33,600.00   279,448.54   231,909.19
Corporate Stock — Common   SHIRE PHARMA GROUP ORD GBP0.05   14,800.00   221,655.38   176,230.68
Corporate Stock — Common   SMITHS GROUP ORD GBP0.25   33,856.00   641,888.03   318,649.25
Corporate Stock — Common   STANDARD CHARTERED ORD USD0.50   6,600.00   88,276.74   75,765.79
Corporate Stock — Common   TATE & LYLE ORD GBP0.25   53,000.00   377,183.42   255,461.75
Corporate Stock — Common   TESCO ORD 5P   35,600.00   90,378.95   122,095.15
Corporate Stock — Common   TOMKINS ORD GBP0.05   33,562.00   125,289.50   93,328.82
Corporate Stock — Common   UNILEVER PLC ORD GBP0.014   47,000.00   376,505.01   379,691.69
Corporate Stock — Common   UNILEVER PLC ORD GBP0.014   48,404.00   319,065.46   391,033.97
Corporate Stock — Common   UNILEVER PLC ORD GBP0.014   17,625.00   159,741.50   142,384.39
Corporate Stock — Common   UTD BUSINESS MEDIA ORD GBP0.25   4,079.00   43,481.26   30,276.65
Corporate Stock — Common   VODAFONE GROUP PLC ORD USD0.10   784,989.00   498,056.73   2,014,973.76
Corporate Stock — Common   VODAFONE GROUP PLC ORD USD0.10   230,210.00   712,639.79   590,921.80
Corporate Stock — Common   WOLSELEY ORD 25P   41,987.00   320,316.07   301,472.46

Corporate Stock — Common   WOOLWORTHS GROUP ORD GBP0.125   14,640.00   7,343.00   9,133.82
Corporate Stock — Common   WPP GROUP ORD 10P   36,080.00   479,088.45   352,444.24
Corporate Stock — Common   ASTRAZENECA ORD USD0.25   23,070.00   612,857.18   1,022,396.78
Corporate Stock — Common   ASTRAZENECA SPON ADR REP 1 ORD USD0.25   2,200.00   80,519.67   99,990.00
Corporate Stock — Common   ##ELAN ENERGY INC RT EXP 03-31-2003 DO NOT USE SEE SEC #2348609   646.00   5,953.53   90.44
Corporate Stock — Common   ##PACIFICARE HLTH SYS CL A COM STK DO NOT USE SEE 2-695837   575.00   9,948.70   10,091.25
Corporate Stock — Common   ##RESH IN MOTION LTD EURO COM STK ISINCA7609751028 SEE SEC #2758322   600.00   14,129.90   13,074.00
Corporate Stock — Common   #REORG 1ST MIRACLE GRP INC REV SPLT & N/C MIRACLE ENTMNT INC 2519524 11/16/01   532,000.00   2,664.05   53.20
Corporate Stock — Common   #REORG ALLIED RISER COMM CORP STK MERGERTO COGENT COMM GRP 2185678 2/4/02   800.00   16,631.76   112.00
Corporate Stock — Common   #REORG ANCHOR GAMING STK MERGER TO INTL GAME TECH 2422575 EFF 12/31/01   50.00   2,650.95   3,045.00
Corporate Stock — Common   #REORG AVIRON STK MERGER TO MEDIMMUNE INC 2584673 EFF 1/16/02   13,310.00   455,650.35   493,135.50
Corporate Stock — Common   #REORG AVIRON STK MERGER TO MEDIMMUNE INC 2584673 EFF 1/16/02   2,270.00   81,602.80   84,103.50
Corporate Stock — Common   #REORG AVIRON STK MERGER TO MEDIMMUNE INC 2584673 EFF 1/16/02   100.00   2,964.95   3,705.00
Corporate Stock — Common   #REORG BLIMPIE INTL INC CASH MERGER EFF 1/23/02   5,000.00   10,520.33   13,050.00
Corporate Stock — Common   #REORG BSTN CHICKEN INC COM STK DEEMED DESP EFF 5/26/00   8,100.00   11,147.74   243.00
Corporate Stock — Common   #REORG BUY.COM CASH MERGER EFF 11/27/01   390.00   2,258.14   65.52
Corporate Stock — Common   #REORG CROSSWORLDS SOFTWARE CASH MERGER EFF 01/11/02   500.00   2,899.75   2,280.00
Corporate Stock — Common   #REORG CYBERCASH INC CASH & STK MERGER TO ESC CYBERCASH INC 6066315   1,600.00   9,633.77   352.00
Corporate Stock — Common   #REORG DATA RETURN CORP STK MERGER TO DIVINE INC CL A 2279634 EFF 1/9/02   1,100.00   27,322.40   1,100.00
Corporate Stock — Common   #REORG E.MEDSOFT.COM N/C TO MED DIVERSIFIED INC 2546730 EFF 1/9/02   39,200.00   246,943.54   46,648.00
Corporate Stock — Common   #REORG FORTUNE FINL SYS INC N/C FORTUNE FINL SYS OF NEVADA INC 4-12-99 2332445   1,700.00   5,219.09   0.17
Corporate Stock — Common   #REORG GENTNER COMMUNICATIONS N/C TO CLEARONE COMM INC 2167135 1/2/02   5,300.00   108,458.52   96,831.00
Corporate Stock — Common   #REORG GENTNER COMMUNICATIONS N/C TO CLEARONE COMM INC 2167135 1/2/02   300.00   5,632.00   5,481.00
Corporate Stock — Common   #REORG GLOBESPAN INC N/C TO GLOBESPAN VIRATA INC 2351394 @1 12/17/01   27,710.00   288,883.99   360,784.20
Corporate Stock — Common   #REORG GLOBESPAN INC N/C TO GLOBESPAN VIRATA INC 2351394 @1 12/17/01   24,330.00   290,689.97   316,776.60
Corporate Stock — Common   #REORG HOMESTAKE MNG STK MERGER TO BARRICK GOLD CORP 2056278 12/14/01   6,600.00   85,231.06   52,272.00

Corporate Stock — Common   #REORG HOMESTAKE MNG STK MERGER TO BARRICK GOLD CORP 2056278 12/14/01   1,725.18   13,912.61   13,663.43
Corporate Stock — Common   #REORG IC GLOBAL COMM HLDGS LTD CL A N/CIC GLBL COMM (HLDGS) LTD 2409003 12/5/01   2.00   0   3.90
Corporate Stock — Common   #REORG ICO GLOBAL COMM HLDGS LTD N/C ICOGLBL COMM (HLDGS) LTD 2409060 12/5/01   14.00   0   1.68
Corporate Stock — Common   #REORG IMAGINON INC REV SPLT TO IMAGINONINC 2414257 EFF 1/24/02   1,500.00   7,991.69   79.50
Corporate Stock — Common   #REORG IMATRON INC STK MERGER TO GEN ELEC CO 2344315 EFF 12/19/01   1,000.00   3,541.46   1,840.00
Corporate Stock — Common   #REORG INGERSOLL RAND RECLASSIFICATION TO CL A COM 2409115 EFF 1/2/02   0   0   0
Corporate Stock — Common   #REORG INGERSOLL RAND RECLASSIFICATION TO CL A COM 2409115 EFF 1/2/02   4,200.00   107,483.53   175,938.00
Corporate Stock — Common   #REORG IVG CORP REV SPLT TO GROUP MGMT CORP 2362873 EFF 12/17/01   1,000.00   1,104.95   70.00
Corporate Stock — Common   #REORG KANA SOFTWARE REV SPLIT TO KANA SOFTWARE 2438456 @.1 EFF 12/13/01   5,600.00   53,402.63   10,080.00
Corporate Stock — Common   #REORG MEAD CORP CASH & STK MERGER TO MEADWESTVACO CORP 2546665 EFF 1/29/02   2,500.00   59,237.13   77,300.00
Corporate Stock — Common   #REORG METRO INFORMATION SVCS INC STK MERGER TO KEANE INC 2447804 EFF 11/30/01   500.00   5,080.10   3,990.00
Corporate Stock — Common   #REORG MPS GROUP INC NAME CHANGE TO MPS GROUP INC 2519596 EFF 12/31/01   7,900.00   41,213.51   45,425.00
Corporate Stock — Common   #REORG NATL SVC INDS INC REV SPLT TO NATL SVCS INDS INC 2607639 EFF 1/7/02   1,000.00   28,240.05   15,920.00
Corporate Stock — Common   #REORG NIAGARA MOHAWK HOLDINGS STK MRGR TO NATL GRID CO ADR 2606603 1/31/02   4,000.00   60,355.56   70,960.00
Corporate Stock — Common   #REORG PUB SVC CO N.M NAME CHANGE TO PNMRES 2693878 EFF 12/31/01   14,000.00   296,747.64   364,000.00
Corporate Stock — Common   #REORG QUANTUM CORP COM EXCH QUANTUM CORP DSSG COM @1 CORP ACT 8-3-99 2753014   421.00   4,947.03   3,999.50
Corporate Stock — Common   #REORG RALSTON-RALSTON PURINA GROUP CASHMERGER EFF 12/12/01   7,800.00   115,280.49   258,414.00
Corporate Stock — Common   #REORG RALSTON-RALSTON PURINA GROUP CASHMERGER EFF 12/12/01   165.00   3,515.24   5,466.45
Corporate Stock — Common   #REORG RENAISSANCE WORLDWIDE INC CASH MERGER EFF 12/06/01   1,000.00   5,904.95   1,930.00
Corporate Stock — Common   #REORG S.W SEC GRP NAME & CUSIP CHANGE TO SWS GROUP 2774918 EFF 12/03/01   5,808.00   153,348.00   117,612.00
Corporate Stock — Common   #REORG SENSORMATIC ELECTRONICS CORP STK MERGER TO TYCO INTL LTD 2878569 11/13/01   350.00   3,223.04   9,800.00
Corporate Stock — Common   #REORG STAPLES INC COM N/C STAPLES INC (RETAIL & DELIVERY) #2844553 EFF N/A   3,300.00   62,919.92   58,080.00

Corporate Stock — Common   #REORG SUIZA FOODS CORP N/C TO DEAN FOODS CO #2251894 12-24-01   3,080.00   143,772.62   185,446.80
Corporate Stock — Common   #REORG SUIZA FOODS CORP N/C TO DEAN FOODS CO #2251894 12-24-01   8,550.00   435,987.94   514,795.50
Corporate Stock — Common   #REORG SUIZA FOODS CORP N/C TO DEAN FOODS CO #2251894 12-24-01   1,800.00   89,140.52   108,378.00
Corporate Stock — Common   #REORG ULTRAMAR-DIAMOND SHAMROCK CASH MERGER EFF 12/31/01   150.00   7,326.15   7,200.00
Corporate Stock — Common   #REORG USX-MARATHON GROUP NAME CHANGE TOMARATHON OIL CORP 2528128 EFF 12/31/01   417.66   11,390.50   11,443.75
Corporate Stock — Common   #REORG USX-MARATHON GROUP NAME CHANGE TOMARATHON OIL CORP 2528128 EFF 12/31/01   7,800.00   187,725.97   213,720.00
Corporate Stock — Common   #REORG USX-MARATHON GROUP NAME CHANGE TOMARATHON OIL CORP 2528128 EFF 12/31/01   35,400.00   880,211.58   969,960.00
Corporate Stock — Common   #REORG USX-US STL GROUP PLAN OF REORG TOUS STL CORP 2882310 EFF 12/31/01   17,500.00   419,766.52   295,575.00
Corporate Stock — Common   #REORG USX-US STL GROUP PLAN OF REORG TOUS STL CORP 2882310 EFF 12/31/01   2,000.00   29,539.90   33,780.00
Corporate Stock — Common   #REORG USX-US STL GROUP PLAN OF REORG TOUS STL CORP 2882310 EFF 12/31/01   2,200.00   67,621.37   37,158.00
Corporate Stock — Common   #REORG UTD SHIPPING & TECH N/C TO VELOCITY EXPRESS CORP 2887938 1/14/02   1,000.00   1,059.95   2,110.00
Corporate Stock — Common   #REORG VENTRO CORP N/C TO NEXPRISE INC 2653681 EFF 1/15/02   1,550.00   24,747.98   1,085.00
Corporate Stock — Common   #REORG VIRATA STK MERGER GLOBESPAN VIRATA 2351394 @1.02 EFF 12/17/01   250.00   15,263.02   3,302.50
Corporate Stock — Common   #REORG VIRATA STK MERGER GLOBESPAN VIRATA 2351394 @1.02 EFF 12/17/01   18,700.00   232,360.40   247,027.00
Corporate Stock — Common   #REORG VITEL CORP N/C TO FORGENT NETWORKS INC 2326937 EFF 1/16/02   1,360.00   6,590.08   4,896.00
Corporate Stock — Common   #REORG WACHOVIA CORP CASH MERGER EFF 11/28/01   100.00   1,053.99   0
Corporate Stock — Common   #REORG WALT DISNEY CO COM N/C DISNEY COMSTOCK SEE SEC# 2279467 EFF N/A   7,038.11   168,985.62   144,070.03
Corporate Stock — Common   #REORG WESTAVCO CORP STK MERGER TO MEADWESTVACO CORP 2546665 EFF 1/29/02   20,890.00   635,856.85   597,662.90
Corporate Stock — Common   #REORG WESTAVCO CORP STK MERGER TO MEADWESTVACO CORP 2546665 EFF 1/29/02   2,550.00   63,497.02   72,955.50
Corporate Stock — Common   1 800 FLOWERS COM INC CL A COM STK   3,400.00   42,121.03   49,164.00
Corporate Stock — Common   1/10 BERKSHIRE HATHAWAY INC DEL CL A COMSTK   50.00   328,925.92   350,000.00
Corporate Stock — Common   1ST AMERN CORP CAL COM COM   17,000.00   396,522.78   303,450.00
Corporate Stock — Common   1ST AMERN CORP CAL COM COM   205.78   2,608.79   3,673.08
Corporate Stock — Common   1ST HLTH GROUP CORP COM   30,900.00   449,890.79   743,145.00
Corporate Stock — Common   1ST HLTH GROUP CORP COM   77.00   2,023.48   1,851.85
Corporate Stock — Common   1ST HLTH GROUP CORP COM   8,390.00   215,802.48   201,779.50

Corporate Stock — Common   1ST HORIZON PHARMACEUTICAL CORP COM   5,100.00   126,584.72   124,797.00
Corporate Stock — Common   1ST MED GROUP INC COM   67.00   676.26   1.68
Corporate Stock — Common   1ST MONTAUK FINL CORP COM   1,000.00   2,497.40   410.00
Corporate Stock — Common   1ST TENN NATL CORP COM   9,800.00   326,155.28   352,604.00
Corporate Stock — Common   2U ONLINE COM INC COM STK   100.00   82.95   2.00
Corporate Stock — Common   360NETWORKS INC SUB VTG SHS COM STK   4,376.00   11,589.65   358.83
Corporate Stock — Common   3COM CORP COMMON STOCK   3,209.00   30,761.83   14,376.32
Corporate Stock — Common   3COM CORP COMMON STOCK   78,300.00   334,218.69   350,784.00
Corporate Stock — Common   3DFX INTERACTIVE INC COM   315.00   2,754.39   126.00
Corporate Stock — Common   3DSHOPPING COM   22,000.00   116,722.69   110.00
Corporate Stock — Common   5TH 3RD BANCORP COM   13,300.00   782,868.42   799,197.00
Corporate Stock — Common   5TH 3RD BANCORP COM   14,511.00   467,173.03   871,965.99
Corporate Stock — Common   724 SOLUTIONS INC COM   100.00   13,038.38   224.00
Corporate Stock — Common   9278 COMMUNICATIONS INC COM   175.00   719.01   49.00
Corporate Stock — Common   99 CENTS ONLY STORES COM   11,250.00   290,087.95   433,125.00
Corporate Stock — Common   A D A M INC COM   1,375.00   19,978.75   3,808.75
Corporate Stock — Common   A.C.L.N LTD COM STK   2,475.00   61,823.08   81,675.00
Corporate Stock — Common   AAR CORP COM   8,700.00   140,545.02   70,905.00
Corporate Stock — Common   AARO BROADBAND WIRELESS COMMUNICATIONS INC COM   4,000.00   989.95   200.00
Corporate Stock — Common   ABACAN RES CORP NEW COM   2,000.00   6,054.40   1.00
Corporate Stock — Common   ABBOTT LAB COM   39,000.00   764,371.01   2,145,000.00
Corporate Stock — Common   ABBOTT LAB COM   2,000.00   103,981.40   110,000.00
Corporate Stock — Common   ABBOTT LAB COM   100.00   4,733.04   5,500.00
Corporate Stock — Common   ABBOTT LAB COM   24,000.00   1,264,571.13   1,320,000.00
Corporate Stock — Common   ABGENIX INC COM   290.00   10,654.75   10,440.00
Corporate Stock — Common   ABGENIX INC COM   15,500.00   524,420.59   558,000.00
Corporate Stock — Common   ABIOMED INC COM   767.00   9,693.63   14,549.99
Corporate Stock — Common   ABITIBI-CONS INC COM   1,375.00   11,405.90   9,528.75
Corporate Stock — Common   ABRAXAS PETE CORP COM   2,000.00   10,159.96   2,580.00
Corporate Stock — Common   ACACIA RESH CORP COM   1,500.00   21,600.95   16,485.00
Corporate Stock — Common   ACCELERATED NETWORKS INC COM ISIN US0042P1075   850.00   3,716.71