UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549-1004

 

 


 

 

FORM 11-K

(Mark One)

 

 

 

x

Annual Report Pursuant to Section 15(d) of the Securities Exchange Act of 1934

 

For the period ended December 31, 2005

 

Commission file number 001-09553

 

OR

 

o

Transition Report Pursuant to Section 15(d) of the Securities Exchange Act of 1934

 

 

WESTINGHOUSE SAVINGS PROGRAM

(Full title of the plan)

 

 

CBS Corporation

(Name of issuer of the securities held pursuant to the plan)

 

 

51 W. 52nd Street

New York, New York 10019

(Address of principal executive offices)

 

 

 




WESTINGHOUSE SAVINGS PROGRAM

 

FINANCIAL STATEMENTS AND EXHIBIT

 

DECEMBER 31, 2005

 

INDEX

 

Page

Report of Independent Registered Public Accounting Firm

1

 

 

Financial Statements:

 

 

 

Statements of net assets available for benefits
at December 31, 2005 and December 31, 2004

2

 

 

Statement of changes in net assets available for benefits

 

for the year ended December 31, 2005

3

 

 

Notes to financial statements

4–11

 

 

 

 

Supplemental Schedule:

 

Schedule H, line 4i, Schedule of Assets Held at End of Year

S-1–S-12

 

 

All other schedules required by the Department of Labor Rules and Regulations

 

for Reporting and Disclosure under ERISA are omitted as not applicable or not

 

required.

 

 

 

Signatures

S-13

 

 

Exhibit:

 

23.1-Consent of Independent Registered Public Accounting Firm

 

 

 

 




Report of Independent Registered Public Accounting Firm

 

To the Participants and Administrator of
Westinghouse Savings Program:

In our opinion, the accompanying statements of net assets available for benefits and the related statement of changes in net assets available for benefits present fairly, in all material respects, the net assets available for benefits of the Westinghouse Savings Program (the “Plan”) at December 31, 2004 and December 31, 2005 and the changes in net assets available for benefits for the year ended December 31, 2005 in conformity with accounting principles generally accepted in the United States of America. These financial statements are the responsibility of the Plan’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

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

/s/ PRICEWATERHOUSECOOPERS LLP

New York, New York
June 23, 2006

1




 

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

 

 

 

At December 31,

 

 

 

2005

 

2004

 

Assets

 

 

 

 

 

Investments

 

$

1,656,177

 

$

1,768,896

 

Investments in master trust investment accounts

 

148,789

 

152,161

 

 

 

 

 

 

 

Receivables:

 

 

 

 

 

Interest and dividends

 

6,503

 

6,847

 

Due from broker for securities sold, net

 

1,442

 

820

 

Total assets

 

1,812,911

 

1,928,724

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

Investment manager fees payable

 

166

 

185

 

Other liabilities

 

1,900

 

856

 

Net assets available for benefits

 

$

1,810,845

 

$

1,927,683

 

 

 

 

 

 

 

 

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

 

2




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

 

 

Year Ended
December 31, 2005

 

 

 

 

 

Additions to net assets attributed to:

 

 

 

 

 

 

 

Investment Income:

 

 

 

Interest

 

   $          76,523

 

Dividends

 

4,749

 

Income from master trust investment accounts

 

7,825

 

 

 

 

 

Total additions

 

89,097

 

 

 

 

 

Deductions from net assets attributed to:

 

 

 

 

 

 

 

Benefits paid to participants

 

(192,086

)

 

 

 

 

Net depreciation in fair value of investments

 

(12,165

)

 

 

 

 

Plan expenses

 

(1,684

)

 

 

 

 

Total deductions

 

(205,935

)

 

 

 

 

 

 

 

 

Net decrease

 

(116,838

)

 

 

 

 

Net assets available for benefits, beginning of year

 

1,927,683

 

 

 

 

 

Net assets available for benefits, end of year

 

   $     1,810,845

 

 

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

 

3




WESTINGHOUSE SAVINGS PROGRAM

NOTES TO FINANCIAL STATEMENTS
(Tabular dollars in thousands)

NOTE 1—PLAN DESCRIPTION

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

The Plan was originally established by Westinghouse Electric Corporation.

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

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

Mellon Bank, N.A. (the “Trustee”) is the trustee and custodian of the Plan. Certain Plan investments are shares of funds managed by the Trustee or companies affiliated with the Trustee and therefore qualify as a party-in-interest transaction. In addition, certain Plan investments are shares of former Viacom Inc. (“Former Viacom”) and therefore qualify as a party-in-interest transaction.

Participant Accounts

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

Plan participants have the option of investing their account balances among fourteen investment options. These investment options include master trust investment accounts (“Master Trust Investment Accounts” or “MTIAs”), commingled trust funds (“common collective trusts”) and registered investment companies (mutual funds). In addition, participants have the option of investing their account balance in Former Viacom class B common stock. On December 31, 2005, Former Viacom was separated into two publicly traded entities, CBS Corporation (the “Company” or “CBS Corp.”) and new Viacom Inc. (“New Viacom”) (the “Separation”). The Separation was accomplished pursuant to a merger in which a subsidiary of Former Viacom was merged with and into Former Viacom, with Former Viacom continuing as the surviving entity. On December 31, 2005, Former Viacom was renamed “CBS Corporation.” As a result of the Separation, each outstanding share of Former Viacom class B common stock was converted into .5 of a share of CBS Corp. Class B Common Stock and .5 of a share of New Viacom class B common stock (“Share Conversion”). Participant accounts were adjusted to reflect the Share Conversion on January 3, 2006, the first day of trading for CBS Corp. and New Viacom common stock.

4




WESTINGHOUSE SAVINGS PROGRAM

NOTES TO FINANCIAL STATEMENTS
(Tabular dollars in thousands)

Loans Outstanding

There are no loans outstanding as of December 31, 2005. As the Plan is frozen, no new loans can be requested.

Distributions and Withdrawals

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

Plan Expenses

The fees for investment of Plan assets are charged to the Plan’s investment funds. Certain administrative expenses, such as legal and accounting fees, may be paid by the Plan or may be paid by the Company. The Plan paid in the amount of $602,814, to Mellon Bank, a party-in-interest, or its affiliates, for trustee, record keeping and accounting services provided during the year.

NOTE 2—SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Basis of Accounting

The accrual method of accounting is used for financial statement presentation.

Investment Valuation and Income Recognition

Former Viacom class B common stock is reported at fair value based on quoted market prices on national security exchanges. Investments in registered investment companies are reported at fair value based on quoted market prices representing the net asset value of the units held by the Plan. The fair value of investments in commingled trust funds is determined by each fund’s trustee based upon the fair value of the underlying securities. Guaranteed investment contracts and synthetic guaranteed investment contracts are fully benefit-responsive and are therefore reported at contract value, which represents the aggregate amount of deposits thereto, plus interest at the contract rate, less withdrawals. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value. Interest income is accrued as earned and dividend income is recorded on the ex-dividend date.

Short-term money market obligations are carried at cost which approximates fair value due to the short-term maturity of these investments.

5




WESTINGHOUSE SAVINGS PROGRAM

NOTES TO FINANCIAL STATEMENTS
(Tabular dollars in thousands)

Interest in Master Trust Investment Accounts

The Company entered into a master trust agreement (the “Master Trust”) to invest the assets of the Plan as well as the CBS 401(k) Plan, a defined contribution plan also sponsored by the Company. Pursuant to the Master Trust, the Trustee has created five MTIAs. Prior to April 1, 2005, the MTIAs consisted of the Wellington Growth Portfolio, the Barclays Global Investors S&P 500 Index Fund, Mellon Bank EB SMAM Aggregate Bond Index Fund and the Boston Company Large Cap Value Fund. In April 2005, the Boston Company Large Cap Value Fund was replaced with the Dodge & Cox Value Equity Fund, and the Franklin Portfolio Mid Cap Stock Fund was created to replace the Fidelity Mid Cap Stock Fund, a previously-available registered investment company. The Mellon Bank EB SMAM Aggregate Bond Index Fund and The Boston Company Large Cap Value Fund are each managed by a division or affiliate of the Trustee, a party-in-interest to the Plan. Prior to forming the MTIAs, these investments were held by the plan as commingled trust funds. Each of these MTIAs is maintained exclusively for the Master Trust. Each participating plan has an undivided interest in the MTIAs.

The fair value of a unit of participation in all MTIAs is determined by the Trustee based on the quoted market prices of the underlying securities. Net investment assets and net earnings/losses on the MTIAs are allocated daily to the plans investing in the MTIAs based on each plan’s proportionate interest. Income is distributed to participants based on their respective account balances.

Security Transactions

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

The Plan presents in the statement of changes in net assets available for benefits the net appreciation (depreciation) in the fair value of its investments which consists of the realized gains or losses and the unrealized appreciation (depreciation) on those investments.

Payment of Benefits

Benefit payments are recorded when paid.

Use of Estimates

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

Recent Pronouncements

On December 29, 2005, the Financial Accounting Standards Board (“FASB”) issued FASB Staff Position (“FSP”) AAG INV-1 and SOP 94-1-1 “Reporting of Fully Benefit-Responsive Investment Contracts Held by Certain Investment Companies Subject to the AICPA Investment Company Guide and Defined-Contribution Health and Welfare Pension Plans” effective for periods ending after December 15, 2006. This FSP clarifies the definition of fully benefit responsive investment contracts and establishes enhanced financial statement presentation and disclosure requirements for defined contribution plans.  In addition, benefit responsive investment contracts which are currently stated at contract value, will be stated at fair value. Based on the fair value of benefit responsive investment contracts at December 31, 2005, the adoption of this FSP would not have a material impact on the net assets available for benefits.

6




WESTINGHOUSE SAVINGS PROGRAM

NOTES TO FINANCIAL STATEMENTS
(Tabular dollars in thousands)

NOTE 3—RISKS AND UNCERTAINTIES

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

NOTE 4—INVESTMENTS

The following table presents the Plan’s investments:

 

At December 31,

 

 

 

2005

 

2004

 

Common collective trusts

 

$

103,793

 

$

82,391

 

Common stock

 

72,482

 

99,334

 

Guaranteed investment contracts, at contract value

 

240,184

 

303,188

 

Registered investment companies

 

94,284

 

120,583

 

Synthetic guaranteed investment contracts, at contract value

 

1,145,434

 

1,163,400

 

Investments

 

$

1,656,177

 

$

1,768,896

 

 

At December 31, 2005 and 2004, the fair value of the investments at contract value in the aggregate was approximately $1,402,278,216 and $1,534,212,869 respectively.

A synthetic guaranteed investment contract provides for guaranteed returns on principal over a specified period of time through benefit responsive wrapper contracts issued by a third party which are backed by underlying assets. The wrapper contracts provide market and cash flow risk protection to the Plan and provide for the execution of participant initiated transactions in the Plan at contract value. Included in the contract value of the synthetic guaranteed investment contracts is $(17,950,363) and $11,879,301 at December 31, 2005 and 2004, respectively, attributable to wrapper contract providers representing the amounts by which the value of contracts is (less than) greater than the value of the underlying assets.

7




WESTINGHOUSE SAVINGS PROGRAM

NOTES TO FINANCIAL STATEMENTS
(Tabular dollars in thousands)

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

 

At December 31,

 

At December 31,

 

 

 

2005

 

2004

 

Cash and cash equivalents

 

$

109,589

 

$

56,574

 

Common collective trusts

 

399,419

 

727,587

 

Fixed income

 

739,352

 

393,748

 

Futures

 

(410

)

(2,542

)

Swaps

 

(9

)

(88

)

Net payables

 

(120,457

)

 

 

 

$

1,127,484

 

$

1,175,279

 

 

The average blended yield of all the investment contracts for the year ended December 31, 2005 was 5.14%. The weighted average crediting interest rates as of December 31, 2005 and 2004 was 5.10% and 5.21%, respectively.

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

 

At December 31,

 

 

 

2005

 

2004

 

Investment contracts, at contract value:

 

 

 

 

 

Monumental Life Insurance MDA00303TR

 

$

428,755

 

$

407,451

 

Union Bank of Switzerland No. 3071

 

$

352,992

 

$

335,293

 

CDC Financial Products, Inc. No. 1222-01

 

$

276,356

 

$

262,574

 

Barclays Global Investors S&P 500 Index Fund MTIA

 

$

92,827

 

$

106,695

 

CDC Financial Products, Inc. BR-222-06

 

$

87,331

 

$

110,011

 

Former Viacom class B common stock, at fair value(a)

 

$

72,482

 

$

99,254

 

(a) The Share Conversion has not been reflected as of December 31, 2005 since trading of CBS Corp. and New Viacom common stock did not commence until January 3, 2006.

During the year ended December 31, 2005, the Plan’s investments (including gains and losses on investments bought and sold, as well as held during the year) appreciated/(depreciated) as follows:

Commingled trusts

 

$

1,791

 

Registered investment companies

 

(5,184

)

Former Viacom class B common stock

 

(8,772

)

Net depreciation

 

$

(12,165

)

 

8




WESTINGHOUSE SAVINGS PROGRAM

NOTES TO FINANCIAL STATEMENTS
(Tabular dollars in thousands)

NOTE 5—INCOME TAX STATUS

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

NOTE 6—TERMINATION PRIORITIES

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

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

NOTE 7—INVESTMENT IN MASTER TRUST INVESTMENT ACCOUNTS

The value of the Plan’s interest in the total investments of the MTIAs were as follows:

 

At December 31,

 

 

 

2005

 

2004

 

Barclays Global Investors S&P 500 Index Fund

 

15.98

%

18.12

%

Dodge & Cox Value Equity Fund

 

8.57

%

%

Franklin Portfolio Mid Cap Stock Fund

 

17.98

%

%

Mellon Bank EB SMAM Aggregate Bond Index Fund

 

4.05

%

5.97

%

The Boston Company Large Cap Value Fund

 

%

4.76

%

Wellington Growth Portfolio

 

17.18

%

19.87

%

 

See Note 2 for a description of the MTIAs.

9




WESTINGHOUSE SAVINGS PROGRAM

NOTES TO FINANCIAL STATEMENTS
(Tabular dollars in thousands)

The following table presents the investments held by the MTIAs:

 

At December 31,

 

 

 

2005

 

2004

 

Barclays Global Investors S&P 500 Index Fund (a)

 

$

581,051

 

$

588,773

 

Dodge & Cox Value Equity Fund, at fair value:

 

 

 

 

 

Common stocks

 

111,453

 

 

Common collective trust

 

4,865

 

 

Franklin Portfolio Mid Cap Stock Fund, at fair value:

 

 

 

 

 

Common stocks

 

63,142

 

 

Common collective trust

 

400

 

 

Mellon Bank EB SMAM Aggregate Bond Index Fund(a)

 

63,129

 

60,919

 

The Boston Company Large Cap Value Fund(a)

 

 

86,303

 

Wellington Growth Portfolio, at fair value:

 

 

 

 

 

Common stocks

 

185,027

 

188,276

 

Common collective trust

 

309

 

2,300

 

Net investments held by the MTIAs

 

$

1,009,376

 

$

926,571

 

(a) Invested entirely in commingled trust funds.

Investment income of the MTIAs was as follows:

 

Year Ended
December 31, 2005

 

Dividends

 

$

3,254

 

Interest income

 

281

 

Net appreciation of commingled trusts funds

 

30,185

 

Net appreciation of Dodge & Cox Value Equity Fund

 

7,689

 

Net appreciation of Franklin Portfolio Mid Cap Stock Fund

 

4,914

 

Net appreciation of Wellington Growth Portfolio

 

8,212

 

Investment manager fees

 

(1,433

)

Net investment income of the MTIAs

 

$

53,102

 

 

NOTE 8—RECONCILIATION OF FINANCIAL STATEMENTS TO FORM 5500

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

 

At December 31,

 

 

 

2005

 

2004

 

Net assets available for benefits per the financial statements

 

$

1,810,845

 

$

1,927,683

 

Amounts allocated to withdrawing participants

 

(607

)

(3,889

)

Net assets available for benefits per the Form 5500

 

$

1,810,238

 

$

1,923,794

 

 

10




WESTINGHOUSE SAVINGS PROGRAM

NOTES TO FINANCIAL STATEMENTS
(Tabular dollars in thousands)

The following is a reconciliation of benefits paid to participants as reflected in the financial statements to the Form 5500 for the 2005 Plan year:

 

Year Ended
December 31, 2005

 

Benefits paid to participants per the financial statements

 

$

192,086

 

Add amounts allocated to withdrawing participants as of December 31, 2005

 

607

 

Less amounts allocated to withdrawing participants as of December 31, 2004

 

(3,889

)

Benefits paid to participants per the Form 5500

 

$

188,804

 

 

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

11




SCHEDULE H, line 4i

WESTINGHOUSE SAVINGS PROGRAM
SCHEDULE OF ASSETS HELD AT END OF YEAR
DECEMBER 31, 2005
(in thousands)

 

 

Identity of issue, borrowing lessor or similar party

 

Current
Value

 

Registered Investment Companies:

 

 

 

 

DFA U.S. Small Cap Fund

 

$17,438

 

Fidelity Growth & Income Portfolio

 

48,988

 

 

Vanguard LifeStrategy Income Fund

 

3,494

 

Vanguard LifeStrategy Conservative Growth Fund

 

6,221

 

 

Vanguard LifeStrategy Moderate Growth Fund

 

7,985

 

Vanguard LifeStrategy Growth Fund

 

10,158

 

 

 

 

 

 

Common/Collective Trust:

 

 

 

 

Capital Guardian International Fund (Non-US)

 

12,339

*

 

Mellon EB Temporary Investment Fund

 

 

 

variable% 12/31/2099

 

91,453

 

 

 

 

 

 

Common Stock:

 

 

* (a)

 

Viacom Inc. Class B Common Stock

 

72,482

 

 

 

 

 

 

Guaranteed Investment Contracts:

 

 

 

Security Life of Denver Insurance Company

 

 

 

SA-0276 5.82% 6/1/2006

 

32,225

 

 

Prudential Insurance Company of America

 

 

 

 

4.27% 6/23/2015

 

24,444

 

Security Life of Denver Insurance Company

 

 

 

SA-0556 5.01% 11/15/2025

 

25,050

 

 

Canada Life Assurance Company

 

 

 

 

P46107 5.73% 8/1/2006

 

17,280

 

Jackson National Life Insurance Company

 

 

 

G-1378-3 4.39% 6/20/2015

 

25,484

 

 

Business Mens Assurance Company of America

 

 

 

 

No. 1436 6.01% 7/3/2006

 

12,289

 

Security Life of Denver Insurance Company

 

 

 

SA-0361 5.65% 9/01/2006

 

14,712

 

 

Hartford Life Insurance Company

 

 

 

 

GA-10655A 5.21% 3/1/2007

 

29,812

 

Security Benefit Life Insurance Company

 

 

 

G-0114 4.11% 6/1/2007

 

28,474

 

 

General Electric Corp. GS3835GECA

 

 

 

 

3.30% 12/20/2030

 

30,415


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

(a)             The separation of Viacom Inc. into two publicly traded entities, CBS Corporation (“CBS Corp.”) and new Viacom Inc. (“New Viacom”) was completed on December 31, 2005. As a result, each outstanding share of Viacom Inc. class B common stock was converted into .5 of a share of CBS Corp. Class B Common Stock and .5 of a share of New Viacom class B common stock (“Share Conversion”). The Share Conversion has not been reflected as of December 31, 2005 since trading of CBS Corp. and New Viacom common stock did not commence until January 3, 2006.

S-1




 

SCHEDULE H, line 4i

WESTINGHOUSE SAVINGS PROGRAM
SCHEDULE OF ASSETS HELD AT END OF YEAR
DECEMBER 31, 2005
(in thousands)

 

 

Identity of issue, borrowing lessor or similar party

 

Current
Value

 

Wrapper
 Value

 

 

 

 

 

 

 

 

 

 

 

Synthetic Guaranteed Investment Contracts:

 

 

 

 

 

(b)

 

Monumental Life Insurance Company

 

 

 

 

 

 

MDA00303TR variable% 12/20/2030

 

428,755

 

5,773

 

(b)

 

Union Bank of Switzerland

 

 

 

 

 

 

 

No. 3071 variable% 12/20/2030

 

352,992

 

4,806

 

(b)

 

Caisse des Depots et Consignations

 

 

 

 

 

 

No. 1222-01 variable% 12/20/2030

 

276,356

 

3,813

 

(b)

 

Caisse des Depots et Consignations

 

 

 

 

 

 

 

BR-222-06 5.93% 5/15/2006

 

87,331

 

(32,342

)

 

 

 

 

 

 

 

 

 

Total investments

 

$1,656,177

 

 

 

 

(b)            Refer to Attachment A for listing of assets relating to these contracts.

S-2




Attachment A

 

Security Name

 

Security Description

 

Market Value

 

90DAY EURODOLLAR FUT EXP 3/06

 

CALL MAR 2006 095.250

 

13,800

 

90DAY EURODOLLAR FUT EXP JUN06

 

CALL JUN 06 095.250

 

24,500

 

90DAY EURODOLLAR FUT EXP JUN06

 

CALL JUN 06 095.500

 

(22,050

)

90DAY EURODOLLAR FUTURE (CME)

 

EXP MAR 06

 

 

90DAY EURODOLLAR FUTURE (CME)

 

EXP MAR 07

 

 

90DAY EURODOLLAR FUTURE (CME)

 

EXP JUN 06

 

 

90DAY EURODOLLAR FUTURE (CME)

 

EXP SEP 06

 

 

90DAY EURODOLLAR FUTURE (CME)

 

EXP MAR 07

 

 

90DAY EURODOLLAR FUTURE (CME)

 

EXP JUN 07

 

 

90DAY EURODOLLAR FUTURE (CME)

 

EXP SEP 07

 

 

AEGON N V SR NT

 

4.750% 06/01/2013 DD 05/20/03

 

487,265

 

ALL TEL CORP SR NT

 

4.656% 05/17/2007 DD 02/17/05

 

348,411

 

ALLSTATE FINL GLOBAL FDG 144A

 

5.250% 02/01/2007 DD 01/31/02

 

325,761

 

ALTRIA GROUP INC NT

 

7.000% 11/04/2013 DD 11/04/03

 

246,703

 

AMERICAN ELEC PWR INC SR NT

 

STEP 08/16/2007 DD 05/16/05

 

243,469

 

AMERICAN GEN FIN CORP SR NT

 

8.450% 10/15/2009 DD 11/01/89

 

1,110,940

 

AMERICAN MOVIL S A DE C B GTD

 

5.500% 03/01/2014 DD 09/01/04

 

296,295

 

AMERUS GROUP CO SR NT

 

5.950% 08/15/2015 DD 08/05/05

 

501,560

 

ANZ CAP TR I TR SECS 144A

 

4.484% 01/29/2049 DD 11/26/03

 

1,209,563

 

ANZ DELAWARE INC DISC

 

01/19/2006

 

296,884

 

AOL TIME WARNER INC NT

 

6.750% 04/15/2011 DD 04/19/01

 

220,532

 

ARAB REP EGYPT GTD NT

 

4.450% 09/15/2015 DD 09/27/05

 

2,253,632

 

ARCHSTONE SMITH TR SR NT

 

5.000% 08/15/2007 DD 08/15/02

 

199,874

 

ASIF GLOBAL FING XVIII SR 144A

 

3.850% 11/26/2007 DD 11/26/02

 

250,058

 

ASIF GLOBAL FING XXIII SR NT

 

3.900% 10/22/2008 DD 10/22/03

 

68,107

 

ASSET SEC COML MTG 97-D5 A-1B

 

6.660% 02/14/2043 DD 10/24/97

 

649,751

 

ASSET SECURITIZATION CORP COML MTG PASSTHRU 96-MD VI CL A-1C

 

RATE: 7.04% MATURITY 11/13/29

 

14,900,922

 

ASSOC CORP NA BDS

 

6.250% 11/01/2008 DD 10/30/98

 

243,444

 

AT&T BROADBAND CORP NT

 

8.375% 03/15/2013 DD 11/18/02

 

862,338

 

AT&T BROADBAND CORP NT

 

9.455% 11/15/2022 DD 11/18/02

 

163,770

 

AT&T BROADBAND CORP NT

 

8.375% 03/15/2013 DD 11/18/02

 

868,125

 

BAE SYS HLDGS INC GTD NT 144A

 

5.200% 08/15/2015 DD 07/25/05

 

274,400

 

BANC AMER COML MTG 02 PB2 A4

 

6.186% 06/11/2035 DD 05/01/02

 

1,220,714

 

BANCO DEL ISTMO SA PANAMAPROM

 

7.010% 10/01/2027 DD 1/07/97

 

6,480,000

 

BANK AMER CORP NT

 

7.800% 02/15/2010 DD 02/14/00

 

220,842

 

BANK AMER CORP NT

 

4.500% 08/01/2010 DD 07/26/05

 

329,188

 

BANK AMER MTG SECS 02 G CTF1A3

 

VAR RT 07/20/2032 DD 06/01/02

 

39,164

 

BANK NEW YORK INC SR SUB NT

 

VAR RT 09/04/2012 DD 09/04/02

 

989,840

 

BANK NEW YORK NY MTN #TR0021

 

3.800% 02/01/2008 DD 01/18/05

 

244,803

 

BANK ONE N A MTN # TR 00324

 

3.700% 01/15/2008 DD 01/14/03

 

171,336

 

BARCLAYS US FDG DISC

 

02/24/2006

 

3,351,559

 

BARCLAYS US FDG DISC

 

02/27/2006

 

2,562,690

 

BAYVIEW FINL 1998-1 AI 144A

 

7.010% 05/25/2029 DD 05/01/98

 

249,812

 

BEAR STEARNS ALT 05-4 II 3A2

 

5.446% 05/25/2035 DD 04/01/05

 

907,494

 

BEAR STEARNS ARM 04-5 IIA

 

VAR RT 07/25/2034 DD 06/01/04

 

1,952,249

 

BEAR STEARNS ARM TR 02-11 IA2

 

VAR RT 01/25/2033 DD 12/01/02

 

96,887

 

BEAR STEARNS COML 04-PWR6

 

4.825% 11/11/2041 DD 12/01/04

 

1,175,580

 

BEAR STEARNS COS INC NT

 

3.250% 03/25/2009 DD 03/25/04

 

497,926

 

BELLSOUTH CORP RESET PUT 144A

 

VAR RT 004/26/2021 DD 04/26/05

 

803,994

 

BERKSHIRE HATHAWAY FIN

 

4.125% 01/15/2010 DD 01/11/05

 

592,743

 

BLACKROCK BRS1E9FF4 INT RATE

 

SWAP 4-44371% MAT 08/17/2007

 

69,218

 

BLACKROCK BRS1JV4M7 INT RT

 

SWAP 4.55% MATURITY 10/03/10

 

 

BLACKROCK BRS1N1W7 INT RT SWAP

 

5.0% MATURITY 11/07/10

 

18,057

 

BNP PARIBAS FIN DISC

 

02/14/2006

 

2,571,861

 

BNP PARIBAS FIN DISC

 

02/27/2006

 

2,661,047

 

BNP PARIBAS FIN DISC

 

03/02/2006

 

1,286,365

 

BRANDYWINE OPER LTN L P

 

4.500% 11/01/2009 DD 10/22/04

 

433,476

 

BSDT-LATE MONEY DEPOSIT ACCT

 

VAR RT 12/31/2049 DD 06/26/97

 

1,257

 

CALENERGY CO INC SR NTS

 

7.520% 09/15/2008 DD 09/22/98

 

528,515

 

CANADIAN NATL RY CO NT

 

4.250% 08/01/2009 DD 07/09/04

 

371,271

 

CAPITAL AUTO REC ASSET TR 02 3

 

3.580% 10/16/2006 DD 08/08/02

 

125,777

 

CAROLINA PWR & LT CO 1ST MTG

 

5.250% 12/15/2015 DD 11/30/05

 

294,631

 

CARRINGTON MTG LN 05-NC3 A-1A

 

VAR RT 06/25/2035 DD 06/07/05

 

744,276

 

CASH

 

 

 

(6,382

)

CBA (DELAWARE) DISC

 

02/07/2006

 

395,717

 

CHANCELLOR MEDIA CORP

 

8.000% 11/01/2008 DD 05/01/99

 

106,312

 

CHASE ISSUANCE TR 04-9 NT CLA

 

3.220% 06/15/2010 DD 11/09/04

 

1,582,230

 

CHASE MANHATTAN CORP SUB NTS

 

7.250% 06/01/2007 DD 05/21/97

 

668,785

 

 

S-3




 

 

Security Name

 

Security Description

 

Market Value

 

CHUBB CORP SR NT

 

4.934% 11/16/2007 DD 08/16/05

 

674,575

 

CITIBANK CR CARD 04-A4 A4

 

3.200% 08/24/2009 DD 08/24/04

 

1,852,177

 

CITIBANK CR CARD TR 04 A1 NT

 

2.550% 01/20/2009 DD 01/26/04

 

1,954,020

 

CITICORP SUB NOTES

 

7.200% 06/15/2007 DD 06/06/97

 

1,033,590

 

CITIGROUP INC GLOBAL NT

 

4.125% 02/22/2010 DD 02/22/05

 

1,340,753

 

CITIGROUP INC GLOBAL SR NT

 

3.500% 02/01/2008 DD 01/31/03

 

87,561

 

CITIGROUP INC NT

 

6.200% 03/15/2009 DD 03/31/99

 

570,449

 

CNA FINL CORP NTS

 

6.600% 12/15/2008 DD 12/14/98

 

517,340

 

COMCAST CABLE COMMUNS INC NT

 

6.750% 01/30/2011 DD 01/16/01

 

259,394

 

COMMERCIAL MTG 97-ML1 CL A-3

 

6.570% 12/15/2030 DD 12/01/97

 

510,225

 

COMMERCIAL MTG ASSET 99-C2 A-2

 

VAR RT 11/17/2032 DD 10/11/99

 

1,614,660

 

COMMERCIAL MTG ASSET TR COML MTG PASSTHRU CTF 99-C1 CL A2

 

RATE: 6.585% MATURITY 1/17/32

 

5,301,615

 

COMMIT TO PUR FHLMC GOLD SFM

 

4.500% 01/01/2021 DD 01/01/06

 

389,125

 

COMMIT TO PUR FHLMC GOLD SFM

 

5.000% 01/01/2036 DD 01/01/06

 

7,452,153

 

COMMIT TO PUR FNMA

 

4.500% 01/01/2021 DD 01/01/05

 

9,436,277

 

COMMIT TO PUR FNMA SF MTG

 

5.500% 01/01/2036 DD 01/01/06

 

20,790,000

 

COMMIT TO PUR FNMA SF MTG

 

6.000% 01/01/2036 DD 01/01/06

 

13,118,300

 

COMMIT TO PUR FNMA SF MTG

 

6.000% 02/01/2036 DD 02/01/06

 

2,015,600

 

COMMIT TO PUR FNMA SF MTG

 

5.500% 01/01/2036 DD 01/01/06

 

21,136,500

 

COMMIT TO PUR FNMA SF MTG

 

4.500% 01/01/2036 DD 01/01/06

 

2,353,905

 

COMMIT TO PUR FNMA SF MTG

 

5.000% 01/01/2036 DD 01/01/06

 

1,356,250

 

COMMIT TO PUR FNMA SF MTG

 

5.000% 01/01/2021 DD 01/01/06

 

11,077,495

 

COMMIT TO PUR FNMA SF MTG

 

6.500% 01/01/2036 DD 01/01/06

 

307,688

 

COMMIT TO PUR FNMA SF MTG

 

5.500% 01/01/2021 DD 01/01/06

 

4,023,752

 

COMMIT TO PUR FNMA SF MTG

 

5.500% 01/01/2036 DD 01/01/06

 

99,000

 

COMMIT TO PUR GNMA SF MTG

 

6.000% 01/15/2036 DD 01/01/06

 

409,250

 

COUNTRYWIDE FINL CORP SUB NT

 

VAR RT 04/01/2011 DD 09/30/05

 

449,928

 

COX COMMUNICATIONS INC NEW NT

 

4.625% 01/15/2010 DD 12/15/04

 

895,511

 

CPS AUTO REC TR 02 A CLA2 144A

 

4.814% 12/15/2008 DD 03/07/02

 

533,890

 

CREDIT SUISSE FB

 

4.125% 01/15/2010 DD 12/15/04

 

1,257,139

 

CREDIT SUISSE FB 02 CKN2 CL A3

 

6.133% 04/15/2037 DD 05/01/02

 

923,903

 

CREDIT SUISSE FB 02 P1 A 144A

 

VAR RT 03/25/2032 DD 03/01/02

 

719,968

 

CREDIT SUISSE FB 03 CPN1 A 2

 

4.597% 03/15/2035 DD 03/01/03

 

1,217,688

 

CS FIRST BOSTON MTG SECS CORP

 

6.550% 01/17/2035 DD 12/11/97

 

1,945,619

 

CWABS INC 05-16 CL 4-AV-1

 

VAR RT 01/25/2035 DD 12/28/05

 

1,674,928

 

CWABS INC 2005-IM2 CL A1

 

VAR RT 11/25/2035 DD 10/28/05

 

1,504,316

 

CWALT INC 2005-56 CL 1A1

 

VAR RT 11/25/2035 DD 09/29/05

 

2,053,173

 

DAIMLER CHRYSLER NORTH AMER

 

4.750% 01/15/2008 DD 01/16/03

 

104,048

 

DAIMLERCHRYSLER #TR00033 SER D

 

VAR RT 08/08/2006 DD 08/08/03

 

100,437

 

DAIMLERCHRYSLER AUTO 05-B A-3

 

4.040% 09/08/2009 DD 05/18/05

 

1,981,140

 

DAIMLERCHRYSLER N A HLDG CORP

 

VAR RT 03/07/2007 DD 03/07/05

 

699,230

 

DAIMLERCHRYSLER N A HLDG SR NT

 

6.500% 11/15/2013 DD 11/06/03

 

26,141

 

DAIMLERCHRYSLER NA HLDG CORP

 

4.050% 06/04/2008 DD 06/10/03

 

38,997

 

DAIMLERCHRYSLER NA MTN TR00036

 

VAR RT 09/10/2007 DD 09/10/04

 

1,402,842

 

DEN DANSKE BK NTS 144A

 

VAR RT /06/15/2010 DD 06/11/97

 

516,715

 

DEPFA ACS BK 144A

 

3.625% 10/29/2008 DD 10/29/03

 

1,212,025

 

DEUTSCHE BANK AG NY INSTL C/D

 

VAR RT 03/15/2007 DD 03/15/05

 

475,000

 

DEUTSCHE TELEKOM INTL FIN BV

 

STEP 06/15/2010 DD 07/06/00

 

566,875

 

DEXIA DELAWARE DISC

 

03/14/2006

 

1,879,195

 

DLJ COML MTG CORP 98-CF1 A1B

 

6.410% 02/18/2031 DD 03/01/98

 

1,777,573

 

DNB NOR BANK ASA DISC

 

01/13/2006

 

3,553,640

 

DNB NOR BANK ASA DISC

 

02/16/2006

 

2,868,007

 

DOMINION RES INC DEL SR NT D

 

5.125% 12/15/2009 DD 12/16/02

 

24,926

 

DOMINION RES INC REMKT NT E

 

7.195% 09/15/2014 DD 09/15/04

 

105,538

 

DOMINION RES INC VA NEW SER G

 

3.660% 11/15/2006 DD 11/15/04

 

469,433

 

DTE ENERGY CO SR NT

 

5.630% 08/16/2007 DD 08/11/05

 

302,250

 

EB SMAM ASSET BACKED

 

SECURITIES INDEX FD

 

6,332,273

 

EB SMAM CMBS BOND INDEX FUND

 

 

 

14,677,090

 

EB SMAM INT GOB/CR BOND INDEX

 

FUND

 

219,384,945

 

EB SMAM MORTGAGE-BACKED SECS

 

INDEX

 

159,024,297

 

EB TEMPORARY INVESTMENT FD II

 

4.180%

 

36,521,487

 

EB TEMPORARY INVESTMENT FD II

 

4.180%

 

4,063,557

 

EB TEMPORARY INVESTMENT FD II

 

4.180%

 

17,285,839

 

EB TEMPORARY INVESTMENT FD II

 

4.180%

 

47

 

EKSPORTFINANS A S A MTN #00012

 

3.375% 01/15/2008 DD 11/23/04

 

1,067,881

 

EL PASO ENERGY MTN #TR 00004

 

7.800% 08/01/2031 DD 07/30/01

 

1,396,500

 

ENCANA HLDGS FIN CORP NT

 

5.800% 05/01/2014 DD 05/13/04

 

203,256

 

ENDURANCE SPECIALTY HLDGS LTD

 

6.150% 10/15/2015 DD 10/17/05

 

453,375

 

ENTERGY GULF STS INC 1ST 144A

 

VAR RT 12/08/2008 DD 12/08/05

 

899,856

 

EOP OPER LTD PARTNERSHIP GTD

 

4.650% 10/01/2010 DD 10/07/04

 

343,960

 

EQUITY RESIDENTIAL PPTYS DEBS

 

7.125% 10/15/2017 DD 10/08/97

 

146,128

 

EURO $1YR MID CRV FUT MAR 07

 

CALL MAR 06 095.500

 

(17,250

)

 

S-4




 

 

Security Name

 

Security Description

 

Market Value

 

FAIRFAX CNTY VA RESIDUALS SER

 

VAR RT 04/01/2013 DD 03/24/05

 

1,268,631

 

FARMER MAC GTD P/T AS-1008 1

 

VAR RT 01/25/2012 DD 03/01/97

 

1,783,878

 

FEDERAL AGRIC MTG CORP

 

VAR RT 04/25/2011

 

456,856

 

FEDERAL FARM CR BKS CONS BD

 

4.500% 08/08/2011 DD 09/08/05

 

2,439,125

 

FEDERAL FARM CR BKS CONS SYS

 

4.400% 04/25/2012 DD 07/25/05

 

2,160,070

 

FEDERAL FARM CR BKS CONS SYS

 

4.700% 08/10/2015 DD 08/10/05

 

2,280,680

 

FEDERAL HOME LN BK CONS BDS

 

7.635% 05/15/2007 DD 05/18/00

 

1,037,140

 

FEDERAL HOME LN BK CONS BDS

 

7.375% 02/13/2015 DD 03/01/00

 

3,210,165

 

FEDERAL HOME LN BK CONS BDS

 

6.795% 06/30/2009 DD 06/30/99

 

3,186,750

 

FEDERAL HOME LN BK CONS DISC N

 

MAT 01/03/2006

 

3,298,753

 

FEDERAL HOME LN BKS CONS BD

 

3.375% 02/15/2008 DD 02/05/03

 

973,760

 

FEDERAL HOME LN BKS CONS BD

 

3.625% 02/15/2008 DD 02/03/05

 

1,955,300

 

FEDERAL HOME LN BKS CONS BD

 

4.875% 12/14/2012 DD 11/03/05

 

1,507,800

 

FEDERAL HOME LN BKS CONS BD

 

3.750% 08/15/2008 DD 08/07/03

 

2,442,800

 

FEDERAL HOME LN BKS CONS BD

 

4.080% 04/26/2010 DD 04/26/04

 

2,338,608

 

FEDERAL HOME LN BKS CONS BD

 

2.750% 05/15/2006 DD 05/19/04

 

1,985,800

 

FEDERAL HOME LN MTG CORP DEBS

 

6.625% 09/15/2009 DD 09/16/99

 

2,126,640

 

FEDERAL HOME LN MTG CORP MTN

 

4.200% 12/28/2007 DD 06/28/05

 

3,949,200

 

FEDERAL HOME LN MTG CORP MTN

 

4.480% 09/09/2008 DD 09/19/05

 

4,973,800

 

FEDERAL HOME LN MTG CORP MTN

 

5.000% 10/27/2014 DD 10/27/04

 

816,182

 

FEDERAL NATIONAL MORTGAGE ASSIGNED POOL # 380169

 

RATE: 6.23% MATURITY 4/1/08

 

7,955,353

 

FEDERAL NATL MTG ASSN DEBS

 

7.250% 01/15/2010 DD 1/14/2000

 

5,129,157

 

FEDERAL NATL MTG ASSN DEBS

 

2.750% 08/11/2006 DD 08/11/03

 

1,977,080

 

FEDERAL NATL MTG ASSN DEBS

 

1.750% 06/16/2006 DD 06/16/03

 

1,036,193

 

FEDERAL NATL MTG ASSN DEBS

 

3.530% 10/19/2007 DD 10/13/04

 

2,745,764

 

FEDERAL NATL MTG ASSN MTN

 

2.200% 12/04/2006 DD 06/04/03

 

2,933,700

 

FEDERAL NATL MTG ASSN MTN

 

3.000% 06/12/2008 DD 06/12/03

 

2,884,230

 

FEDERAL NATL MTG ASSN MTN

 

2.375% 03/30/2007 DD 03/30/04

 

2,917,590

 

FEDERAL NATL MTG ASSN MTN

 

2.710% 01/30/2007 DD 07/30/03

 

2,130,652

 

FEDERATED DEPT STORE INC DEL

 

6.300% 04/01/2009 DD 03/24/99

 

92,813

 

FHA GMAC PROJ #56 221-D4

 

7.430% 11/01/2022 DD 09/01/82

 

583,855

 

FHA INSD P/T MTG 98TH GMAC

 

6.919% 09/01/2019 DD 08/01/83

 

399,161

 

FHA INSD PROJ 16TH REILLY MTG

 

7.000% 04/10/2027 DD 07/01/98

 

134,791

 

FHA POOL #21 GMAC MTG IOWA

 

7.450% 05/01/2021 DD 08/01/81

 

704,741

 

FHA PROJ 221 CL D4 REILLY

 

7.430% 05/01/2022

 

126,156

 

FHA PROJ MTG POOL# 04 REILLY

 

7.430% 07/01/2022 DD 07/01/82

 

145,871

 

FHLMC POOL #1B-1580

 

4.023% 03/01/2034 DD 03/01/04

 

1,076,242

 

FHLMC POOL #1H-2524

 

VAR RT 08/01/2035 DD 09/01/05

 

1,895,308

 

FHLMC POOL #78-2935

 

VAR RT 12/01/2034 DD 12/01/04

 

1,554,908

 

FHLMC POOL #84-5355

 

VAR RT 05/01/2023 DD 05/01/93

 

104,670

 

FHLMC POOL #A1-6199

 

7.000% 04/01/2031 DD 11/01/03

 

312,163

 

FHLMC POOL #A1-8208

 

6.000% 03/01/2024 DD 01/01/04

 

235,860

 

FHLMC POOL #A2-4936

 

6.500% 07/01/2034 DD 07/01/04

 

1,600,813

 

FHLMC POOL #A2-5226

 

6.500% 05/01/2033 DD 07/01/04

 

87,034

 

FHLMC POOL #A2-5365

 

6.500% 08/01/2034 DD 08/01/04

 

1,677,981

 

FHLMC POOL #A2-5810

 

6.500% 08/01/2034 DD 08/01/04

 

557,460

 

FHLMC POOL #A4-7389

 

5.500% 10/01/2035 DD 10/01/05

 

3,136,620

 

FHLMC POOL #B1-0184

 

5.500% 10/01/2018 DD 10/01/03

 

62,890

 

FHLMC POOL #B1-3209

 

4.000% 04/01/2019 DD 04/01/04

 

74,189

 

FHLMC POOL #B1-3801

 

4.500% 04/01/2019 DD 04/01/04

 

211,364

 

FHLMC POOL #B1-3870

 

4.500% 05/01/2019 DD 05/01/04

 

127,713

 

FHLMC POOL #B1-5067

 

4.500% 06/01/2019 DD 06/01/04

 

452,883

 

FHLMC POOL #B1-7088

 

5.000% 11/01/2019 DD 11/01/04

 

93,573

 

FHLMC POOL #B1-8233

 

4.500% 04/01/2020 DD 04/01/05

 

187,114

 

FHLMC POOL #B1-8252

 

4.500% 04/01/2020 DD 04/01/05

 

187,419

 

FHLMC POOL #B1-8292

 

5.000% 05/01/2020 DD 04/01/05

 

183,283

 

FHLMC POOL #B1-8684

 

4.500% 01/01/2020 DD 01/01/05

 

91,110

 

FHLMC POOL #B1-8908

 

4.500% 03/01/2020 DD 03/01/05

 

366,994

 

FHLMC POOL #B1-9552

 

5.000% 08/01/2020 DD 07/01/05

 

947,290

 

FHLMC POOL #C0-1175

 

7.000% 05/01/2031 DD 05/01/01

 

120,908

 

FHLMC POOL #C0-1598

 

5.000% 08/01/2033 DD 08/01/03

 

247,589

 

FHLMC POOL #C0-1672

 

6.000% 10/01/2033 DD 10/01/03

 

132,302

 

FHLMC POOL #C6-6817

 

7.000% 05/01/2032 DD 04/01/02

 

216,324

 

FHLMC POOL #C6-8269

 

7.000% 06/01/2032 DD 06/01/02

 

403,564

 

FHLMC POOL #C6-9013

 

7.000% 07/01/2032 DD 07/01/02

 

509,313

 

FHLMC POOL #C9-0732

 

5.500% 11/01/2023 DD 11/01/03

 

2,221,490

 

FHLMC POOL #C9-0924

 

5.000% 10/01/2025 DD 10/01/05

 

962,695

 

FHLMC POOL #C9-0932

 

5.500% 11/01/2025 DD 11/01/05

 

989,106

 

FHLMC POOL #C9-0946

 

5.500% 01/01/2026 DD 01/01/06

 

998,542

 

FHLMC POOL #D9-4598

 

6.500% 04/01/2021 DD 04/01/01

 

99,262

 

FHLMC POOL #E0-1157

 

6.000% 06/01/2017 DD 06/01/02

 

124,594

 

FHLMC POOL #E0-1606

 

4.500% 04/01/2019 DD 04/01/04

 

726,522

 

 

 

S-5




 

 

Security Name

 

Security Description

 

Market Value

 

FHLMC POOL #E7-6730

 

6.000% 05/01/2014 DD 05/01/99

 

111,419

 

FHLMC POOL #E7-7099

 

6.000% 05/01/2014 DD 05/01/99

 

32,829

 

FHLMC POOL #E9-0288

 

6.000% 06/01/2017 DD 06/01/02

 

99,687

 

FHLMC POOL #E9-8590

 

4.500% 09/01/2018 DD 08/01/03

 

30,328

 

FHLMC POOL #G0-1324

 

7.000% 10/01/2031 DD 10/01/01

 

56,174

 

FHLMC POOL #G0-1391

 

7.000% 04/01/2032 DD 03/01/02

 

240,759

 

FHLMC POOL #G0-1553

 

6.500% 04/01/2033 DD 04/01/03

 

567,940

 

FHLMC POOL #G0-1564

 

6.000% 04/01/2033 DD 05/01/03

 

110,690

 

FHLMC POOL #G0-1731

 

6.500% 12/01/2029 DD 10/01/04

 

871,347

 

FHLMC POOL #G0-1767

 

6.500% 12/01/2032 DD 01/01/05

 

5,174,068

 

FHLMC POOL #G0-1768

 

6.500% 12/01/2031 DD 01/01/05

 

427,719

 

FHLMC POOL #G0-1912

 

5.000% 09/01/2035 DD 09/01/05

 

1,627,494

 

FHLMC POOL #G1-0855

 

6.000% 12/01/2013 DD 11/01/98

 

49,323

 

FHLMC POOL #G1-1409

 

6.000% 05/01/2017 DD 06/01/03

 

119,395

 

FHLMC POOL #G1-1678

 

4.500% 04/01/2020 DD 03/01/05

 

271,290

 

FHLMC POOL #G1-1720

 

4.500% 08/01/2020 DD 07/01/05

 

1,389,980

 

FHLMC POOL #G1-1769

 

5.000% 10/01/2020 DD 09/01/05

 

1,627,284

 

FHLMC POOL #G1-1777

 

5.000% 10/01/2020 DD 09/01/05

 

674,171

 

FHLMC POOL #G1-1798

 

5.000% 11/01/2020 DD 10/01/05

 

594,136

 

FHLMC POOL #G1-1812

 

5.000% 12/01/2020 DD 11/01/05

 

1,979,436

 

FHLMC POOL #G1-8020

 

4.500% 11/01/2019 DD 11/01/04

 

360,780

 

FHLMC POOL #G1-8053

 

5.000% 05/01/2020 DD 05/01/05

 

466,980

 

FHLMC POOL #G1-8056

 

5.000% 06/01/2020 DD 06/01/05

 

472,485

 

FHLMC POOL #G1-8065

 

5.000% 07/01/2020 DD 07/01/05

 

944,506

 

FHLMC POOL #J0-0302

 

5.000% 11/01/2020 DD 10/01/05

 

91,508

 

FHLMC POOL #J0-0773

 

5.000% 12/01/2020 DD 12/01/05

 

903,666

 

FHLMC POOL #P6-0084

 

6.000% 03/01/2016 DD 01/01/03

 

709,424

 

FHLMC GROUP #C4-5817

 

7.500% 12/01/2030 DD 12/01/00

 

69,697

 

FHLMC GROUP #E0-0894

 

8.500% 06/01/2015 DD 06/01/00

 

80,448

 

FHLMC GROUP #E0-0912

 

8.500% 08/01/2015 DD 08/01/00

 

8,111

 

FHLMC GROUP #E0-0935

 

8.500% 10/01/2015 DD 10/01/00

 

108,199

 

FHLMC GROUP #E7-0797

 

5.500% 06/01/2013 DD 06/01/98

 

238,654

 

FHLMC GROUP #E7-8829

 

6.000% 10/01/2014 DD 10/01/99

 

63,376

 

FHLMC GROUP #E8-1255

 

8.500% 08/01/2015 DD 08/01/00

 

95,669

 

FHLMC GROUP #G1-0777

 

9.000% 06/01/2010 DD 01/01/98

 

31,865

 

FHLMC GROUP #G1-0817

 

6.000% 06/01/2013 DD 06/01/98

 

26,290

 

FHLMC MULTICLASS CTF 2106 ZB

 

6.250% 12/15/2028

 

3,157,204

 

FHLMC MULTICLASS CTFS 2425 JG

 

6.000% 09/15/2015 DD 03/01/02

 

317,135

 

FHLMC MULTICLASS CTFS 2458 OD

 

6.000% 04/15/2016 DD 06/01/02

 

868,989

 

FHLMC MULTICLASS CTFS 2933 HD

 

5.500% 02/15/2035 DD 02/01/05

 

2,162,941

 

FHLMC MULTICLASS CTFS 2949 PA

 

5.500% 03/15/2034 DD 03/01/05

 

1,826,116

 

FHLMC MULTICLASS CTFS 2973 EB

 

5.500% 04/15/2035 DD 05/01/05

 

1,060,237

 

FHLMC MULTICLASS CTFS 2979 BC

 

5.000% 04/15/2020 DD 05/01/05

 

1,313,347

 

FHLMC MULTICLASS MTG 1662 N

 

6.250% 01/15/2009 DD 01/01/94

 

86,064

 

FHLMC MULTICLASS MTG 2395 FT

 

VAR RT 12/15/2031 DD 12/15/01

 

152,834

 

FHLMC MULTICLASS SER T-61 1A1

 

VAR RT 07/25/2044 DD 06/01/04

 

4,450,884

 

FIRST REP MTG LN TR 02 FRB1 A

 

VAR RT 08/15/2032 DD 09/05/02

 

1,079,817

 

FLEET FIN GROUP INC NEW

 

6.375% 05/15/2008 DD 05/26/98

 

1,032,500

 

FLORIDA PWR & LT 1ST MTG

 

6.000% 06/01/2008 DD 06/01/98

 

1,023,120

 

FNMA POOL #0253683

 

7.500% 01/01/2031 DD 01/01/01

 

290,964

 

FNMA POOL #0254260

 

6.000% 04/01/2017 DD 03/01/02

 

21,461

 

FNMA POOL #0254308

 

6.500% 05/01/2017 DD 04/01/02

 

65,681

 

FNMA POOL #0254516

 

6.500% 11/01/2032 DD 10/01/02

 

111,248

 

FNMA POOL #0254546

 

5.500% 12/01/2017 DD 11/01/02

 

233,620

 

FNMA POOL #0254621

 

6.500% 01/01/2033 DD 12/01/02

 

784,087

 

FNMA POOL #0254719

 

4.500% 04/01/2018 DD 03/01/03

 

909,124

 

FNMA POOL #0254720

 

4.500% 05/01/2018 DD 04/01/03

 

42,996

 

FNMA POOL #0254753

 

4.000% 05/01/2010 DD 04/01/03

 

536,038

 

FNMA POOL #0254759

 

4.500% 06/01/2018 DD 05/01/03

 

43,999

 

FNMA POOL #0254918

 

4.500% 09/01/2033 DD 08/01/03

 

778,020

 

FNMA POOL #0255654

 

4.500% 02/01/2035 DD 01/01/05

 

312,459

 

FNMA POOL #0256101

 

5.500% 02/01/2036 DD 01/01/06

 

3,185,328

 

FNMA POOL #0290788

 

7.000% 08/01/2009 DD 08/01/94

 

1,600

 

FNMA POOL #0303777

 

7.000% 03/01/2011 DD 02/01/96

 

41,663

 

FNMA POOL #0303906

 

7.000% 05/01/2011 DD 04/01/96

 

52,492

 

FNMA POOL #0303945

 

7.000% 12/01/2010 DD 05/01/96

 

37,657

 

FNMA POOL #0313467

 

5.500% 11/01/2011 DD 03/01/97

 

842,080

 

FNMA POOL #0316864

 

7.000% 07/01/2025 DD 07/01/95

 

7,249

 

FNMA POOL #0323331

 

6.500% 11/01/2008 DD 10/01/98

 

271,632

 

FNMA POOL #0323366

 

6.000% 11/01/2008 DD 10/01/98

 

184,784

 

FNMA POOL #0325793

 

7.000% 09/01/2010 DD 10/01/95

 

23,976

 

FNMA POOL #0340901

 

6.000% 03/01/2014 DD 03/01/96

 

827,663

 

 

S-6




 

 

Security Name

 

Security Description

 

Market Value

 

FNMA POOL #0357286

 

6.500% 10/01/2032 DD 10/01/02

 

1,247,739

 

FNMA POOL #0357327

 

5.000% 01/01/2018 DD 01/01/03

 

433,771

 

FNMA POOL #0357329

 

4.500% 01/01/2018 DD 01/01/03

 

36,560

 

FNMA POOL #0357418

 

4.000% 08/01/2018 DD 08/01/03

 

4,053,136

 

FNMA POOL #0357458

 

4.500% 11/01/2018 DD 11/01/03

 

1,933,863

 

FNMA POOL #0357935

 

5.500% 08/01/2035 DD 09/01/05

 

991,580

 

FNMA POOL #0420218

 

7.000% 03/01/2013 DD 03/01/98

 

98,523

 

FNMA POOL #0449943

 

6.500% 12/01/2028 DD 11/01/98

 

54,640

 

FNMA POOL #0453718

 

6.500% 01/01/2029 DD 01/01/99

 

161,218

 

FNMA POOL #0454266

 

6.500% 01/01/2029 DD 01/01/99

 

275,764

 

FNMA POOL #0454953

 

6.500% 12/01/2028 DD 01/01/99

 

296,745

 

FNMA POOL #0456277

 

6.500% 12/01/2028 DD 12/01/98

 

47,336

 

FNMA POOL #0516232

 

8.500% 08/01/2009 DD 09/01/99

 

66,869

 

FNMA POOL #0518113

 

7.000% 10/01/2029 DD 10/01/99

 

60,196

 

FNMA POOL #0535327

 

5.500% 06/01/2011 DD 05/01/00

 

708,672

 

FNMA POOL #0545378

 

5.507% 12/01/2011 DD 12/01/01

 

935,569

 

FNMA POOL #0545933

 

5.627% 08/01/2012 DD 09/01/02

 

1,211,990

 

FNMA POOL #0555114

 

5.500% 12/01/2017 DD 11/01/02

 

237,379

 

FNMA POOL #0555436

 

6.000% 05/01/2033 DD 04/01/03

 

521,539

 

FNMA POOL #0555531

 

5.500% 06/01/2033 DD 05/01/03

 

23,211

 

FNMA POOL #0555531

 

5.500% 06/01/2033 DD 05/01/03

 

2,918,604

 

FNMA POOL #0555880

 

5.500% 11/01/2033 DD 10/01/03

 

594,651

 

FNMA POOL #0564863

 

6.000% 07/01/2016 DD 06/01/01

 

14,255

 

FNMA POOL #0569270

 

7.000% 01/01/2016 DD 01/01/01

 

94,800

 

FNMA POOL #0575384

 

6.500% 04/01/2016 DD 03/01/01

 

89,860

 

FNMA POOL #0575848

 

6.000% 04/01/2016 DD 04/01/01

 

2,266

 

FNMA POOL #0586647

 

6.500% 06/01/2016 DD 06/01/01

 

26,104

 

FNMA POOL #0611001

 

5.500% 11/01/2016 DD 11/01/01

 

51,312

 

FNMA POOL #0626014

 

5.500% 02/01/2017 DD 01/01/02

 

110,812

 

FNMA POOL #0626589

 

6.500% 03/01/2017 DD 03/01/02

 

129,191

 

FNMA POOL #0642713

 

6.500% 05/01/2017 DD 05/01/02

 

11,132

 

FNMA POOL #0643340

 

6.500% 03/01/2017 DD 06/01/02

 

127,539

 

FNMA POOL #0643858

 

6.500% 05/01/2032 DD 05/01/02

 

14,919

 

FNMA POOL #0644886

 

6.500% 06/01/2017 DD 06/01/02

 

134,972

 

FNMA POOL #0654650

 

5.500% 01/01/2018 DD 01/01/03

 

317,153

 

FNMA POOL #0657374

 

6.500% 10/01/2017 DD 10/01/02

 

8,878

 

FNMA POOL #0658434

 

4.500% 08/01/2018 DD 08/01/03

 

44,983

 

FNMA POOL #0658489

 

4.500% 09/01/2018 DD 09/01/03

 

46,033

 

FNMA POOL #0658906

 

VAR RT 01/01/2033 DD 01/01/03

 

535,942

 

FNMA POOL #0668357

 

5.000% 12/01/2017 DD 12/01/02

 

4,722,500

 

FNMA POOL #0678000

 

5.000% 12/01/2017 DD 12/01/02

 

3,973,616

 

FNMA POOL #0678108

 

5.000% 01/01/2018 DD 12/01/02

 

750,570

 

FNMA POOL #0678205

 

4.500% 06/01/2018 DD 06/01/03

 

925,609

 

FNMA POOL #0686044

 

VAR RT 07/01/2033 DD 07/01/03

 

1,187,472

 

FNMA POOL #0689079

 

4.500% 06/01/2018 DD 06/01/03

 

1,774,471

 

FNMA POOL #0693202

 

5.000% 05/01/2018 DD 05/01/03

 

303,820

 

FNMA POOL #0697050

 

5.000% 05/01/2018 DD 05/01/03

 

134,351

 

FNMA POOL #0702857

 

5.000% 04/01/2018 DD 04/01/03

 

1,850,299

 

FNMA POOL #0709122

 

4.500% 07/01/2018 DD 06/01/03

 

55,070

 

FNMA POOL #0709820

 

4.500% 06/01/2018 DD 05/01/03

 

3,872,270

 

FNMA POOL #0710238

 

4.500% 06/01/2018 DD 06/01/03

 

52,095

 

FNMA POOL #0710270

 

4.500% 06/01/2018 DD 06/01/03

 

49,017

 

FNMA POOL #0712610

 

4.500% 06/01/2018 DD 06/01/03

 

31,954

 

FNMA POOL #0713839

 

4.500% 10/01/2018 DD 10/01/03

 

343,546

 

FNMA POOL #0720286

 

5.500% 03/01/2033 DD 05/01/03

 

140,633

 

FNMA POOL #0720320

 

4.500% 07/01/2018 DD 07/01/03

 

43,855

 

FNMA POOL #0722607

 

4.500% 08/01/2018 DD 08/01/03

 

57,048

 

FNMA POOL #0725027

 

5.000% 11/01/2033 DD 12/01/03

 

3,344,297

 

FNMA POOL #0725162

 

6.000% 02/01/2034 DD 01/01/04

 

1,605,957

 

FNMA POOL #0725206

 

5.500% 02/01/2034 DD 02/01/04

 

2,614,723

 

FNMA POOL #0725424

 

5.500% 04/01/2034 DD 04/01/04

 

129,351

 

FNMA POOL #0725425

 

5.500% 04/01/2034 DD 04/01/04

 

12,850,543

 

FNMA POOL #0725773

 

5.500% 09/01/2034 DD 08/01/04

 

12,244,398

 

FNMA POOL #0725922

 

6.500% 12/01/2029 DD 10/01/04

 

536,286

 

FNMA POOL #0725946

 

5.500% 11/01/2034 DD 10/01/04

 

7,079,792

 

FNMA POOL #0727453

 

5.000% 08/01/2018 DD 08/01/03

 

469,912

 

FNMA POOL #0729214

 

VAR RT 02/01/2035 DD 02/01/05

 

2,562,147

 

FNMA POOL #0730338

 

5.000% 09/01/2018 DD 09/01/03

 

687,664

 

FNMA POOL #0731190

 

4.500% 08/01/2018 DD 08/01/03

 

47,749

 

FNMA POOL #0731203

 

4.500% 08/01/2018 DD 08/01/03

 

42,070

 

FNMA POOL #0731220

 

4.500% 08/01/2018 DD 08/01/03

 

36,174

 

FNMA POOL #0731222

 

4.500% 08/01/2018 DD 08/01/03

 

61,089

 

 

S-7




 

Security Name

 

Security Description

 

Market Value

 

FNMA POOL #0731380

 

4.500% 08/01/2033 DD 08/01/03

 

727,479

 

FNMA POOL #0734984

 

4.500% 09/01/2018 DD 09/01/03

 

34,116

 

FNMA POOL #0735141

 

5.500% 01/01/2035 DD 12/01/04

 

7,795,056

 

FNMA POOL #0735224

 

5.500% 02/01/2035 DD 01/01/05

 

23,882,768

 

FNMA POOL #0735228

 

5.500% 02/01/2035 DD 01/01/05

 

4,442,592

 

FNMA POOL #0735494

 

4.500% 03/01/2020 DD 04/01/05

 

1,645,185

 

FNMA POOL #0735611

 

5.500% 03/01/2020 DD 05/01/05

 

85,922

 

FNMA POOL #0735989

 

5.500% 02/01/2035 DD 10/01/05

 

4,006,520

 

FNMA POOL #0739240

 

4.500% 09/01/2018 DD 09/01/03

 

46,446

 

FNMA POOL #0739410

 

5.500% 10/01/2018 DD 09/01/03

 

549,501

 

FNMA POOL #0740482

 

5.500% 10/01/2018 DD 10/01/03

 

15,841

 

FNMA POOL #0740746

 

4.500% 09/01/2018 DD 11/01/03

 

12,838

 

FNMA POOL #0744820

 

4.500% 11/01/2018 DD 11/01/03

 

549,165

 

FNMA POOL #0745140

 

5.000% 11/01/2035 DD 12/01/05

 

1,840,502

 

FNMA POOL #0747775

 

4.500% 10/01/2018 DD 10/01/03

 

782,400

 

FNMA POOL #0758905

 

4.385% 12/01/2033 DD 12/01/03

 

1,348,268

 

FNMA POOL #0761461

 

5.500% 03/01/2019 DD 05/01/04

 

73,000

 

FNMA POOL #0765232

 

4.500% 02/01/2019 DD 02/01/04

 

425

 

FNMA POOL #0765650

 

4.500% 02/01/2019 DD 01/01/04

 

399

 

FNMA POOL #0766312

 

5.500% 03/01/2019 DD 02/01/04

 

121,321

 

FNMA POOL #0777481

 

5.500% 06/01/2034 DD 06/01/04

 

232,504

 

FNMA POOL #0778748

 

4.000% 05/01/2019 DD 05/01/04

 

165,557

 

FNMA POOL #0780394

 

4.000% 06/01/2019 DD 06/01/04

 

162,575

 

FNMA POOL #0780656

 

5.500% 06/01/2034 DD 06/01/04

 

468,647

 

FNMA POOL #0784275

 

5.500% 09/01/2020 DD 09/01/05

 

227,025

 

FNMA POOL #0791589

 

VAR RT 10/01/2034 DD 09/01/04

 

1,708,001

 

FNMA POOL #0795117

 

5.500% 10/01/2019 DD 10/01/04

 

641,441

 

FNMA POOL #0807620

 

5.500% 12/01/2019 DD 12/01/04

 

45,093

 

FNMA POOL #0809350

 

5.500% 12/01/2034 DD 01/01/05

 

4,436,758

 

FNMA POOL #0812185

 

4.500% 02/01/2035 DD 02/01/05

 

302,267

 

FNMA POOL #0812773

 

4.500% 01/01/2020 DD 01/01/05

 

2,191

 

FNMA POOL #0813867

 

4.000% 05/01/2020 DD 05/01/05

 

178,981

 

FNMA POOL #0814474

 

4.500% 03/01/2035 DD 03/01/05

 

270,501

 

FNMA POOL #0816281

 

VAR RT 03/01/2035 DD 03/01/05

 

2,609,627

 

FNMA POOL #0819359

 

4.500% 03/01/2035 DD 03/01/05

 

311,487

 

FNMA POOL #0819592

 

4.500% 03/01/2020 DD 03/01/05

 

704,684

 

FNMA POOL #0821219

 

5.500% 05/01/2020 DD 05/01/05

 

2,150,137

 

FNMA POOL #0824525

 

5.500% 05/01/2035 DD 05/01/05

 

535,468

 

FNMA POOL #0825330

 

5.500% 05/01/2035 DD 05/01/05

 

24,111

 

FNMA POOL #0825768

 

5.500% 08/01/2035 DD 08/01/05

 

3,019,381

 

FNMA POOL #0828126

 

4.500% 07/01/2035 DD 07/01/05

 

943,459

 

FNMA POOL #0828346

 

5.000% 07/01/2035 DD 07/01/05

 

1,444,925

 

FNMA POOL #0832336

 

5.500% 08/01/2035 DD 08/01/05

 

70,575

 

FNMA POOL #0834657

 

5.500% 08/01/2035 DD 08/01/05

 

390,637

 

FNMA POOL #0834950

 

5.500% 07/01/2020 DD 07/01/05

 

654,276

 

FNMA POOL #0838772

 

4.500% 10/01/2035 DD 10/01/05

 

470,407

 

FNMA POOL #0840190

 

5.500% 10/01/2035 DD 10/01/05

 

72,522

 

FNMA POOL #0840639

 

4.500% 09/01/2035 DD 09/01/05

 

186,238

 

FNMA POOL #0847072

 

5.500% 08/01/2020 DD 10/01/05

 

307,391

 

FNMA POOL #0850980

 

6.000% 01/01/2036 DD 01/01/06

 

3,028,507

 

FNMAGTD REMIC P/T

 

10.000% 09/25/2016 DD 08/01/01

 

162,713

 

FNMAGTD REMIC P/T

 

4.700% 06/25/2013 DD 05/01/04

 

1,131,048

 

FNMA GTD REMIC P/T 05-58 EP

 

5.500% 07/25/2035 DD 06/01/05

 

875,089

 

FNMA GTD REMIC P/T 2002-34 FE

 

VAR RT 05/18/2032 DD 04/18/02

 

75,609

 

FNMA GTD REMIC P/T 2002-T6 A1

 

3.310% 03/25/2032 DD 03/01/02

 

311,977

 

FNMA GTD REMIC P/T 2005-87 QB

 

5.000% 11/25/2034 DD 09/01/05

 

1,698,924

 

FNMA GTD REMIC P/T 94-75 J

 

7.000% 10/25/2023 DD 04/01/94

 

942,052

 

FNMA GTD REMIC P/T CTF 88-12A

 

VAR RT 02/25/2018

 

317,655

 

FNMA GTD REMIC P/T CTF 99W4 A9

 

6.250% 02/25/2029

 

4,124,183

 

FNMA GTD REMIC P/T CTF91-24Z

 

5.000% 03/25/2021

 

345,304

 

FNMA GTD REMIC P/T CTF93-19N

 

5.000% 02/25/2023

 

249,589

 

FORD MTR CR CO GBL LANDMARK

 

6.875% 02/01/2006 DD 01/30/01

 

99,781

 

FORT WASH CBO I / FORT WASH CBO

 

CORP I

 

4,821,720

 

FUJI JGB INVT LLC PFD SEC 144A

 

VAR RT 112/31/2049 DD 03/16/98

 

359,427

 

GE CAP COML MTG 02 2 CL A3

 

5.349% 08/11/2036 DD 08/01/02

 

1,357,742

 

GENERAL ELEC CAP MTN # 00714

 

5.000% 11/15/2011 DD 12/02/05

 

1,783,432

 

GENERAL ELEC CAP MTN #TR00605

 

3.500% 08/15/2007 DD 08/19/03

 

857,360

 

GENERAL ELEC CAP MTN #TR00665

 

3.750% 12/15/2009 DD 10/29/04

 

594,809

 

GENERAL ELEC CAP MTN #TR00678

 

VAR RT 01/15/2008 DD 01/20/05

 

2,124,613

 

GENERAL ELEC CAP MTN #TR00699

 

4.125% 09/01/2009 DD 06/08/05

 

223,889

 

GENERAL MTRS ACCEP MTN TR00638

 

VAR RT 09/23/2008 DD 09/23/04

 

22,605

 

GMAC COML MTG SEC 02-C1 CL A2

 

6.278% 11/15/2039 DD 02/01/02

 

2,110,500

 

 

S-8




 

Security Name

 

Security Description

 

Market Value

 

GMAC COML MTG SECS 03-C3 A-3

 

4.646% 04/10/2040 DD 12/01/03

 

1,175,040

 

GMAC COML MTG SECS 99-C2 CL A2

 

6.945% 09/15/2033

 

527,345

 

GNMA POOL #0424340

 

6.500% 05/15/2026 DD 05/01/96

 

74,804

 

GNMA POOL #0446120

 

7.000% 02/15/2028 DD 02/01/98

 

8,839

 

GNMA POOL #0498396

 

6.000% 02/15/2029 DD 02/01/99

 

88,379

 

GNMA POOL #0513834

 

6.500% 08/15/2029 DD 08/01/99

 

46,723

 

GNMA POOL #0520046

 

7.000% 06/15/2031 DD 06/01/01

 

25,380

 

GNMA POOL #0523128

 

7.000% 04/15/2031 DD 04/01/01

 

32,744

 

GNMA POOL #0538840

 

7.000% 04/15/2031 DD 04/01/01

 

3,116

 

GNMA POOL #0569149

 

6.000% 03/15/2032 DD 03/01/02

 

124,800

 

GNMA POOL #0571201

 

7.000% 09/15/2031 DD 09/01/01

 

2,868

 

GNMA POOL #0585255

 

7.000% 07/15/2032 DD 07/01/02

 

74,612

 

GNMA POOL #0604791

 

5.500% 11/15/2033 DD 11/01/03

 

423,124

 

GNMA POOL #0620925

 

4.500% 08/15/2033 DD 08/01/03

 

61,332

 

GNMA POOL #0780680

 

6.500% 11/15/2027 DD 11/01/97

 

167,318

 

GNMA POOL #0781124

 

7.000% 12/15/2029 DD 12/01/99

 

95,097

 

GNMA POOL #0781155

 

6.500% 07/15/2009 DD 04/01/00

 

347,106

 

GNMA POOL #0781328

 

7.000% 09/15/2031 DD 09/01/01

 

124,273

 

GNMA GTD REMIC 02-45 QD

 

6.500% 06/20/2031 DD 06/01/02

 

305,317

 

GNMA GTD REMIC P/T 20020-31 FW

 

VAR RT 06/16/2031 DD 05/16/02

 

194,008

 

GNMA GTD REMIC P/T 2002-21 FV

 

FLTG RT 03/16/2032 DD 03/16/02

 

327,636

 

GNMA II POOL #0001524

 

9.000% 12/20/2020 DD 12/01/90

 

5,374

 

GNMA II POOL #0003056

 

8.000% 03/20/2031 DD 03/01/01

 

47,788

 

GNMA II POOL #0003123

 

VAR RT 08/20/2031 DD 08/01/01

 

17,004

 

GNMA II POOL #0003136

 

VAR RT 09/20/2031 DD 09/01/01

 

40,612

 

GNMA II POOL #0008324

 

VAR RT 11/20/2023 DD 11/01/93

 

34,488

 

GNMA II POOL #0008814

 

VAR RT 02/20/2026 DD 02/01/96

 

16,379

 

GNMA II POOL #0008847

 

VAR RT 04/20/2026 DD 04/01/96

 

58,548

 

GOLDEN ST TOB SECURITIZATION

 

5.000% 06/01/2021 DD 01/29/03

 

609,078

 

GOLDEN WEST FINL CORP DEL SR

 

5.500% 08/08/2006 DD 08/08/01

 

637,578

 

GOLDMAN SACHS GRP MTN #TR00207

 

VAR RT 07/23/2009 DD 07/23/04

 

1,105,841

 

GOVERNOR & CO BK SCOTLAND 144A

 

VAR RT E11/29/2049 DD 11/17/97

 

1,031,560

 

GREATER BAY BANCORP SR NT

 

5.250% 03/31/2008 DD 03/24/03

 

225,140

 

GREYSTONE SVCG FHA #2063 PROJ

 

7.440% 12/31/2039 DD 12/28/87

 

11,084

 

GS MTG SECS CORP 05-GG4 A4

 

4.761% 07/10/2039 DD 06/01/05

 

557,710

 

GS MTG SECS CORP 2005-AR6

 

VAR RT 09/25/2035 DD 09/01/05

 

1,023,343

 

GULFSTREAM NAT GAS 144A

 

5.560% 11/01/2015 DD 10/26/05

 

454,145

 

HANCOCK JOHN II MTN 00001 144A

 

7.900% 07/02/2010 DD 06/30/00

 

337,359

 

HARTFORD FINL SVCS GROUP INC

 

2.375% 06/01/2006 DD 05/23/03

 

346,339

 

HARTFORD LIFE NTS

 

7.100% 06/15/2007 DD 06/15/97

 

515,155

 

HBOS PLC MTN SR #00007 144A

 

3.750% 09/30/2008 DD 09/18/03

 

296,896

 

HBOS TREASURY PLC DISC

 

02/24/2006

 

3,757,031

 

HBOS TREASURY PLC DISC

 

02/27/2006

 

1,088,016

 

HBOS TREASURY PLC DISC

 

02/06/2006

 

593,250

 

HEALTH CARE PPTY INVS INC MTN

 

4.875% 09/15/2010 DD 09/16/05

 

779,368

 

HONDA AUTO RECV 2005-6 CL A-3

 

4.800% 10/19/2009 DD 12/12/05

 

1,626,689

 

HOUSEHOLD FIN CORP

 

4.125% 11/16/2009 DD 11/23/04

 

917,187

 

HOUSEHOLD FIN CORP NT

 

7.200% 07/15/2006 DD 07/15/99

 

354,155

 

HOUSEHOLD FIN CORP NT

 

5.750% 01/30/2007 DD 01/30/02

 

90,745

 

HSBC BANK USA NA INSTL C/D

 

3.870% 06/07/2007 DD 06/07/05

 

1,625,935

 

HSBC BK USA MTN #SR00012

 

VAR RT 09/21/2007 DD 09/21/04

 

901,539

 

HSBC CAP FDG DLR 2 LP 144A

 

VAR RT 12/29/2049 DD 06/27/03

 

660,163

 

HUNTINGTON NATL BK COLUMBUS

 

3.125% 05/15/2008 DD 05/12/03

 

360,233

 

HUNTINGTON NATL MTN # TR 00129

 

2.750% 10/16/2006 DD 10/10/03

 

245,898

 

IFC SBA LN BACKED 97-1 A 144A

 

VAR RT 01/15/2024 DD 11/25/97

 

419,942

 

IMC HOME EQ LN TR 97-2 CL A-7

 

7.230% 05/20/2027 DD 03/01/97

 

150,118

 

IMPAC CMB TR V/R 2003-7COLL ASSET BKD BD CL A

 

RATE: 4.83375% MATURITY 8/25/33

 

3,418,978

 

ISTAR FINL INC SR NT

 

5.700% 03/01/2014 DD 03/09/04

 

197,812

 

ISTAR FINL INC SR NT

 

5.150% 03/01/2012 DD 03/01/05

 

266,318

 

JONES INTERCABLE INC SR NTS

 

7.625% 04/15/2008 DD 04/06/98

 

709,803

 

KERN RIV FDG CORP SR NT 144A

 

4.893% 04/30/2018 DD 05/01/03

 

261,014

 

KINDER MORGAN FIN CORP 144A

 

5.350% 01/05/2011 DD 12/09/05

 

450,630

 

KOREA DEV BANK NT

 

VAR RT 10/20/2009 DD 10/20/04

 

755,153

 

LANDESKREDITBANK BADEN WURTTEM

 

4.250% 09/15/2010 DD 07/20/05

 

859,408

 

LB UBS COML MTG 03-C7 A-3

 

VAR RT 09/15/2027 DD 09/11/03

 

986,265

 

LB UBS COML MTG 03-C7 CL A-2

 

4.064% 09/15/2027 DD 09/11/03

 

583,290

 

LB UBS COML MTG TR 04-C4 A3

 

VAR RT 06/15/2029 DD 05/11/04

 

1,235,646

 

LB UBS COML MTG TR 05-C1 CL A3

 

4.545% 02/15/2030 DD 01/11/05

 

1,228,311

 

LB UBS COML MTG TR 05-C3 A-5

 

4.739% 07/15/2030 DD 06/11/05

 

1,264,406

 

LEHMAN BROS HLDGS MTN #TR00578

 

4.500% 07/26/2010 DD 07/13/05

 

489,530

 

LEHMAN BROTHERS HOLDING

 

5.000% 01/14/2011 DD 12/21/05

 

898,164

 

LEHMAN BROTHERS HOLDING NTS

 

6.625% 02/05/2006 DD 02/05/99

 

150,234

 

 

S-9




 

Security Name

 

Security Description

 

Market Value

 

LENNAR CORP SR NT SER B

 

5.600% 05/31/2015 DD 04/28/05

 

57,928

 

LIBERTY MUT GRP INC 144A

 

5.750% 03/15/2014 DD 03/23/04

 

271,433

 

LORAL CORP DEB

 

7.000% 09/15/2023 DD 09/16/93

 

312,398

 

MASSACHUSETTS RRB BEC-A CL A-4

 

6.910% 09/15/2009 DD 07/29/99

 

1,287,992

 

MASSMUTUAL GLOBAL FDG II 144A

 

2.550% 07/15/2008 DD 06/17/03

 

330,474

 

MASTR ADJ RATE MTGS 02 3 B2

 

VAR RT 10/25/2032 DD 08/01/02

 

485,785

 

MAY DEPT STORES CO NT

 

5.750% 07/15/2014 DD 07/20/04

 

91,758

 

MBNA CR CARD MASTER TR 04-4 A

 

2.700% 09/15/2009 DD 04/15/04

 

1,680,633

 

MERCK & CO INC GLOBAL NT

 

5.250% 07/01/2006 DD 07/02/01

 

170,213

 

MERCK & CO INT NT

 

2.500% 03/30/2007 DD 02/11/04

 

256,883

 

MERRILL LYNCH MTG SER C3 CL A3

 

5.880% 12/15/2030 DD 12/01/98

 

1,016,920

 

METLIFE INC SR NT

 

5.000% 06/15/2015 DD 06/23/05

 

343,273

 

METROPOLITAN LIFE MTN #TR00011

 

4.250% 07/30/2009 DD 07/26/04

 

181,444

 

METROPOLITAN MTG FDG 00 B 144A

 

VAR RT 12/25/2029 DD 09/28/00

 

348,634

 

MID ST TR IV ASST BKD NT

 

8.330% 04/01/2030

 

1,315,591

 

MONEY STORE AUTO TR 99-1 A

 

VAR RT 07/15/2025 DD 03/01/99

 

584,244

 

MONEY STORE SER 97-2 CL A

 

VAR RT 02/15/2029 DD 12/15/97

 

773,215

 

MONUMENTAL GLOBAL FDG 144A

 

5.200% 01/30/2007 DD 01/30/02

 

500,780

 

MORGAN J P & CO INC SUB NT

 

6.250% 02/15/2011 DD 02/15/96

 

367,444

 

MORGAN J P COML MTG FIN CORP *PP* MTG PASSTHRU CTF 1999-PLs! CL 144A A-2

 

RATE: 0.000% MATURITY 2/15/32

 

5,239,563

 

MORGAN STANLEY DW & CO GL NT

 

6.750% 04/15/2011 DD 04/23/01

 

268,272

 

MORGAN STANLEY GLOBAL NT

 

5.300% 03/01/2013 DD 02/26/03

 

200,406

 

MORGAN STANLEY NT

 

5.050% 01/21/2011 DD 10/21/05

 

975,302

 

NATIONAL AUSTRALIA BK SER A

 

8.600% 05/19/2010 DD 05/19/00

 

569,140

 

NATIONSLINK FDG CORP 99-SL A6

 

6.608% 05/10/2007 DD 05/01/99

 

439,604

 

NATIONSLINK FUNDING CORP SERIES 1999-SL CL A6

 

RATE: 6.608% MATURITY 11/16/30

 

7,420,003

 

NATIONWIDE BLDG MTN #SR00014

 

3.500% 07/31/2007 DD 07/23/04

 

465,424

 

NATIONWIDE MTN #SR00019 144A

 

4.250% 02/01/2010 DD 02/03/05

 

43,847

 

NELNET INC NT

 

5.125% 06/01/2010 DD 05/25/05

 

324,430

 

NEW SOUTH HOME EQUITY TR 1999-1 ASSET BKD CTF CL A-6

 

RATE: 6.73% MATURITY 5/25/30

 

2,144,782

 

NEW YORK LIFE GBL MTN #TR00002

 

3.875% 01/15/2009 DD 01/12/04

 

427,209

 

NEW YORK N Y CITY TRANSITIONAL

 

5.000% 02/01/2033 DD 02/05/04

 

2,079,460

 

NEWS AMER HLDGS INC SHELF 9

 

9.500% 07/15/2024 DD 07/15/94

 

170,421

 

NEWS AMER INC BD

 

5.300% 12/15/2014 DD 12/03/04

 

362,263

 

NISOURCE FIN CORP

 

VAR RT 11/23/2009 DD 11/23/04

 

777,418

 

NISOURCE FIN CORP

 

VAR RT 11/23/2009 DD 11/23/04

 

551,716

 

NISOURCE FIN CORP GTD NT

 

7.875% 11/15/2010 DD 11/14/00

 

110,796

 

NISSAN AUTO REC 2005 C CL A-3

 

4.190% 07/15/2009 DD 09/16/05

 

1,706,836

 

NORAM ENERGY CORP DEBS

 

6.500% 02/01/2008 DD 02/10/98

 

589,375

 

NORDBANKEN AB STEP UP CAP 144A

 

FIX/FLOAT 11/29/2049

 

620,637

 

NORTHRUP GRUMMAN CORP DEB

 

4.079% 11/16/2006 DD 08/16/04

 

520,979

 

ONEOK INC NEW SR NT

 

5.510% 02/16/2008 DD 11/16/05

 

567,204

 

PECO ENERGY 99-A CL A-6

 

6.050% 03/01/2009 DD 03/25/99

 

1,529,436

 

PHH CORP NT

 

7.125% 03/01/2013 DD 02/19/03

 

183,827

 

PIMCO SWAP #27832 INT RT SWAP

 

4.000% 12/15/2010 DD 06/10/05

 

(380,242

)

PIMCO SWAP #39944 INT RATE

 

4.000% 12/15/2007 DD 12/15/04

 

(226,104

)

PIMCO SWAP #39944 INT RATE

 

4.000% 12/15/2007 DD 12/15/04

 

 

PIMCO SWAP #47871 INT RT SWAP

 

5.0% MATURITY 06/21/2011

 

120,503

 

PIMCO SWAP #47871 INT RT SWAP

 

5.0% MATURITY 06/21/2011

 

 

PIMCO SWAP #48184 CRED DEF

 

5.000% 06/21/2013 DD 07/01/04

 

 

PIMCO SWAP #48184 CRED DEF

 

5.000% 06/21/2013 DD 07/01/04

 

(1,434

)

PIMCO SWAP CO 8208 DEERE CRED

 

24.000% 12/20/2008 DD 10/22/03

 

(737

)

PIMCO SWAP CO 8208 DEERE CRED

 

24.000% 12/20/2008 DD 10/22/03

 

 

PIMCO SWAP CO 8216 RADIOSHACK

 

37.000% 12/20/2008 DD 10/22/03

 

 

PIMCO SWAP CO 8216 RADIOSHACK

 

37.000% 12/20/2008 DD 10/22/03

 

2,282

 

PIMCO SWAP CO 8224 CATERPILLAR

 

19.000% 12/20/2008 DD 10/22/03

 

(544

)

PIMCO SWAP CO 8224 CATERPILLAR

 

19.000% 12/20/2008 DD 10/22/03

 

 

PIMCO SWAP CO 9081 EMERSON

 

22.000% 12/20/2008 DD 10/22/03

 

(377

)

PIMCO SWAP CO 9081 EMERSON

 

22.000% 12/20/2008 DD 10/22/03

 

 

PIMCO SWAP CO 9149 INTL PAPER

 

60.000% 12/20/2008 DD 10/22/03

 

(1,319

)

PIMCO SWAP CO 9149 INTL PAPER

 

60.000% 12/20/2008 DD 10/22/03

 

 

PIMCO SWAP CO 9156 ANADARKO

 

27.000% 12/20/2008 DD 10/22/03

 

(453

)

PIMCO SWAP CO 9156 ANADARKO

 

27.000% 12/20/2008 DD 10/22/03

 

 

PIMCO SWAP CO 9172 COUNTRYWIDE

 

42.000% 12/20/2008 DD 10/22/03

 

(1,097

)

PIMCO SWAP CO 9172 COUNTRYWIDE

 

42.000% 12/20/2008 DD 10/22/03

 

 

PIMCO SWAP CO 9180 OCCIDENTAL

 

28.000% 12/20/2008 DD 10/22/03

 

(666

)

PIMCO SWAP CO 9180 OCCIDENTAL

 

28.000% 12/20/2008 DD 10/22/03

 

 

PIMCO SWAP CO 9222 SIMON PROP

 

44.000% 12/20/2008 DD 10/22/03

 

(1,044

)

PIMCO SWAP CO 9222 SIMON PROP

 

44.000% 12/20/2008 DD 10/22/03

 

 

PIMCO SWAP CO 9230 KROGER CRED

 

53.000% 12/20/2008 DD 10/22/03

 

(1,325

)

PIMCO SWAP CO 9230 KROGER CRED

 

53.000% 12/20/2008 DD 10/22/03

 

 

PIMCO SWAP CO 9248 WAL MART

 

15.000% 12/20/2008 DD 10/22/03

 

(468

)

 

S-10




 

Security Name

 

Security Description

 

Market Value

 

PIMCO SWAP CO 9248 WAL MART

 

15.000% 12/20/2008 DD 10/22/03

 

 

PIMCO SWAP CO 9255 MOTOROLA

 

85.000% 12/20/2008 DD 10/22/03

 

(3,902

)

PIMCO SWAP CO 9255 MOTOROLA

 

85.000% 12/20/2008 DD 10/22/03

 

 

PNC MTG OPTION CL A-1

 

EXP 03/25/2005

 

 

PRINCIPAL FINL GRP 144A

 

8.200% 08/15/2009 DD 08/25/99

 

493,380

 

PRINCIPAL LIFE GLOBAL FDG 144A

 

3.625% 04/30/2008 DD 04/11/03

 

189,483

 

PROJECT FDG I ASSET BKD I 144A

 

VAR RT 01/15/2012 DD 03/05/98

 

406,497

 

PROLOGIS NT 144A

 

5.250% 11/15/2010 DD 11/02/05

 

415,257

 

PROTECTIVE LIFE MTN #TR 00001

 

3.700% 11/24/2008 DD 11/24/03

 

48,524

 

PRUDENTIAL FDG MTN #00064 144A

 

6.600% 05/15/2008 DD 05/14/01

 

259,803

 

PRUDENTIAL FINL INC DEB

 

4.104% 11/15/2006 DD 08/16/04

 

496,715

 

PRUDENTIAL FINL MTN TR 00001

 

3.750% 05/01/2008 DD 05/01/03

 

438,584

 

PRUDENTIAL INS CO SR NTS 144A

 

6.375% 07/23/2006 DD 07/30/98

 

907,164

 

PSEG FDG TR I GTD NT TR SECS

 

5.381% 11/16/2007 DD 08/08/05

 

350,546

 

PULTE HOMES INC GTD SR NT

 

5.200% 02/15/2015 DD 02/10/05

 

65,855

 

QBE INS GROUP LTD SUB FXD 144A

 

VAR RT /07/01/2023 DD 06/17/03

 

670,991

 

RABOBANK USA FINL DISC

 

01/20/2006

 

593,647

 

RAYTHEON CO NTS

 

6.150% 11/01/2008 DD 11/05/98

 

89,252

 

REILLY MTG ASSOC 67TH FHA INSD

 

7.430% 12/31/2039 DD 01/01/83

 

605,345

 

REILLY MTG ASSOC 91ST FHA PROJ

 

7.430% 07/01/2023 DD 07/01/83

 

212,762

 

REILLY MTG GRP FHA POOL #64

 

7.430% 01/25/2024 DD 03/01/84

 

236,871

 

REINSURANCE GROUP AMER INC

 

VAR RT 12/15/2065 DD 12/08/05

 

327,893

 

RESIDENTIAL ASSET 05-RS8 CL A1

 

VAR RT 05/25/2035 DD 09/29/05

 

1,459,666

 

RESIDENTIAL ASSET 05-RZ4 A1

 

VAR RT 11/25/2035 DD 12/06/05

 

1,668,138

 

RESIDENTIAL ASSET SECURITIES CORP SER 1999-KS3 CL AI7

 

RATE: 7.505% MATURITY 10/25/30

 

3,785,896

 

RESIDENTIAL CAP CORP NT

 

6.125% 11/21/2008 DD 11/21/05

 

576,438

 

RESONA PFD GLOBAL SECS 144A

 

VAR RT 12/29/2049 DD 07/25/05

 

530,465

 

ROYAL BK SCOTLAND GROUP PLC

 

VAR RT 04/29/2049 DD 03/26/96

 

1,006,090

 

SALES TAX ASSET RECEIVABLE N Y

 

3.830% 10/15/2009 DD 11/04/04

 

275,407

 

SALOMON BROS MTG 01-C2 CL A 3

 

6.499% 10/13/2011 DD 12/01/01

 

1,022,573

 

SALOMON BROS MTG VII 00-C1 A2

 

7.520% 12/18/2009 DD 06/01/00

 

863,472

 

SALOMON BROS MTG VII 94-20 A

 

VAR RT 08/01/2024

 

41,203

 

SALOMON SMITH BARNEY HLDGS NT

 

6.500% 02/15 /2008 DD 02/06/01

 

186,017

 

SBA GTD PARTN CTFS SBIC 20-10A

 

8.017% 02/10/2010 DD 02/23/00

 

1,025,723

 

SBC COMMUNICATIONS INC 144A

 

4.389% 06/05/2021 DD 06/05/05

 

598,686

 

SBC COMMUNICATIONS INC GBL NT

 

5.875% 02/01/2012 DD 02/01/02

 

30,844

 

SCOTTISH PWR PLC NT

 

4.910% 03/15/2010 DD 03/21/05

 

520,160

 

SLM CORP MTN # TR 00013

 

3.625% 03/17/2008 DD 02/20/03

 

63,264

 

SLM STUDENT LN TR 03 2 CL A 3

 

VAR RT 12/15/2015 DD 03/04/03

 

1,751,233

 

SMALL BUS ADMIN CTF S-95 20B

 

8.150% 02/01/2015 DD 02/15/95

 

616,834

 

SMALL BUS ADMIN GTD PARTN 97-D

 

7.500% 04/01/2017

 

1,403,687

 

SMALL BUS ADMIN GTD PARTN 97-H

 

6.800% 08/01/2017

 

537,772

 

SMALL BUS ADMIN GTD PARTN CTF

 

1999-20 7.200% 10/01/2019

 

1,976,705

 

SMALL BUSINESS ADMIN 97-F

 

7.200% 06/01/2017 DD 06/01/97

 

226,580

 

SOCIETE GEN N A DISC

 

01/27/2006

 

1,578,528

 

SOCIETE GEN N A DISC

 

03/06/2006

 

1,780,253

 

SOCIETE GEN N A DISC

 

04/20/2006

 

3,054,885

 

SP POWERASSETS LTD #00001 144A

 

3.800% 10/22/2008 DD 10/22/03

 

291,234

 

SPRINT CAP CORP

 

6.875% 11/15/2028 DD 11/16/98

 

409,748

 

SPRINT CAP CORP

 

7.625% 01/30/2011 DD 01/25/01

 

606,458

 

SPRINT CAP CORP

 

7.625% 01/30/2011 DD 01/25/01

 

137,831

 

STRUCTURED ASSET 0121A CL 1A1

 

VAR RT 01/25/2032 DD 12/01/01

 

215,649

 

STRUCTURED ASSET 03-34A 3A3

 

VAR RT 11/25/2033 DD 10/01/03

 

736,628

 

STRUCTURED ASSET SECS 03 144A

 

3.357% 04/25/2031 DD 01/01/03

 

613,701

 

STRUCTURED ASSET SECS 04-5 1A

 

VAR RT 05/25/2034 DD 04/01/04

 

993,458

 

STRUCTURED ASSET SECS 04-6 3A2

 

VAR RT 06/25/2034 DD 05/01/04

 

1,218,325

 

SUMITOMO MITSUI BKG CORP 144A

 

VAR RT 07/29/2049 DD 07/22/05

 

224,156

 

SUNTRUST BK ATLANTA INSTL C/D

 

4.415% 06/15/2009 DD 06/02/04

 

231,191

 

SUNTRUST BKS INC SR NT

 

3.625% 10/15/2007 DD 08/06/04

 

357,072

 

SWEDBANK (FOR AB) DISC

 

01/18/2006

 

3,166,479

 

SWEDBANK (FOR AB) DISC

 

03/28/2006

 

3,362,558

 

SWEDISH EXPT CR CORP GLOBAL NT

 

3.500% 01/15/2008 DD 12/08/04

 

1,467,420

 

TCI COMMUN INC

 

8.750% 08/01/2015 DD 08/01/95

 

169,639

 

TELE COMMUNICATIONS INC DEB

 

7.875% 08/01/2013 DD 08/03/93

 

28,258

 

TELECOM ITALIA CAP GTD SR NT

 

4.950% 09/30/2014 DD 09/30/05

 

859,635

 

TELECOM ITALIA CAP GTD SR NT B

 

5.250% 11/15/2013 DD 05/15/04

 

235,500

 

TELEFONICA EUROPE B V US NT

 

7.750% 09/15/2010 DD 09/21/00

 

191,625

 

TENNESSEE VALLEY AUTH 2001 A

 

5.625% 01/18/2011 DD 01/18/01

 

2,060,520

 

TEXAS ST PUB FIN AUTH REV

 

3.125% 06/15/2007 DD 09/25/03

 

469,195

 

TIAA GLOBAL MKTS INC NT

 

3.875% 01/22/2008 DD 01/16/03

 

132,384

 

TIME WARNER ENTMT CO L P

 

7.250% 09/01/2008 DD 09/01/93

 

366,349

 

TIME WARNER ENTMT CO LP SR DEB

 

8.375% 03/15/2023 DD 09/15/93

 

289,063

 

 

S-11




 

Security Name

 

Security Description

 

Market Value

 

TOBACCO SETTLEMENT AUTH IOWA

 

6.500% 06/01/2023 DD 11/30/05

 

1,104,785

 

TOBACCO SETTLEMENT FING CORP

 

VAR RT 06/01/2015 DD 03/24/05

 

57,569

 

TOBACCO SETTLEMENT FING CORP

 

6.000% 06/01/2037 DD 08/28/02

 

1,037,070

 

TOBACCO SETTLEMENT FING CORP

 

6.375% 06/01/2032 DD 03/07/03

 

824,445

 

TYCO INTL GROUP SA

 

5.800% 08/01/2006 DD 07/30/01

 

170,716

 

TYCO INTL GROUP SA SR NT

 

6.375% 10/15/2011 DD 10/26/01

 

435,448

 

U S BK NATL ASSN MTN #TR00193

 

2.870% 02/01/2007 DD 02/09/04

 

366,911

 

U S TREAS BD STRIP PRIN PMT

 

8.75% 08/15/2020

 

2,193,000

 

U S TREAS STRIP GENERIC TINT

 

02/15/2014

 

1,114,880

 

U S TREAS STRIP GENERIC TINT

 

0.000% 08/15/2014 DD 02/15/85

 

680,300

 

U S TREAS STRIP GENERIC TINT

 

05/15/2014

 

1,377,000

 

U S TREASURY BILL

 

0.000% 03/02/2006 DD 09/01/05

 

178,265

 

U S TREASURY BONDS

 

08.875% 08/15/2017 DD 08/15/87

 

278,000

 

U S TREASURY BONDS

 

13.875% 05/15/2011 DD 05/15/81

 

7,550,938

 

U S TREASURY BONDS

 

08.875% 02/15/2019 DD 02/15/89

 

1,137,752

 

U S TREASURY BONDS

 

10.375% 11/15/2012 DD 11/15/82

 

1,641,853

 

U S TREASURY BONDS

 

6.250% 08/15/2023 DD 08/15/93

 

2,084,184

 

U S TREASURY NOTES

 

4.375% 08/15/2012 DD 08/15/02

 

4,000,800

 

U S TREASURY NOTES

 

4.250% 08/15/2013 DD 08/15/03

 

2,974,230

 

U S TREASURY NOTES

 

3.750% 05/15/2008 DD 05/15/05

 

5,324,940

 

U S TREASURY NOTES

 

4.250% 10/15/2010 DD 10/15/05

 

3,681,870

 

U S TREASURY NOTES

 

4.500% 11/15/2010 DD 11/15/05

 

5,531,350

 

U S TREASURY NOTES

 

06.500% 02/15/2010 DD 02/15/00

 

14,459,471

 

U S TREASURY NOTES

 

3.375% 10/15/2009 DD 10/15/04

 

5,216,400

 

U S TREASURY NOTES

 

3.625% 01/15/2010 DD 01/15/05

 

778,320

 

U S TREASURY NOTES

 

3.375% 02/15/2008 DD 02/15/05

 

489,850

 

U S TREASURY NOTES

 

2.500% 09/30/2006 DD 09/30/04

 

6,854,090

 

U S TREASURY NOTES

 

3.625% 04/30/2007 DD 04/30/05

 

1,890,270

 

U S TREASURY NOTES

 

3.500% 05/31/2007 DD 05/31/05

 

5,624,952

 

U S TREASURY NOTES

 

3.875% 07/31/2007 DD 07/31/05

 

2,083,620

 

U S TREASURY NOTES

 

4.000% 08/31/2007 DD 08/31/05

 

2,101,676

 

U S TREASURY NOTES

 

4.000% 09/30/2007 DD 09/30/05

 

1,122,542

 

U S TREASURY NOTES

 

4.375% 11/15/2008 DD 11/15/05

 

3,606,803

 

U S TREASURY NOTES

 

4.500% 11/15/2010 DD 11/15/05

 

377,138

 

U S TREASURY NOTES

 

4.500% 11/15/2015 DD 11/15/05

 

5,017,288

 

U S TREASURY NTS

 

4.125% 08/15/2008 DD 08/15/05

 

6,630,342

 

UBS FIN DEL INC DISC

 

01/18/2006

 

3,661,658

 

UBS FIN DEL INC DISC

 

01/19/2006

 

1,682,000

 

UBS FIN DEL INC DISC

 

01/26/2006

 

1,183,957

 

UNION PAC CORP NT

 

6.625% 02/01/2008 DD 02/03/98

 

335,663

 

UNITED STATES TREASURY BILL

 

0.000% 03/16/2006 DD 09/15/05

 

1,317,199

 

US 10YR TREAS NT FUT EXP 3/06

 

CALL MAR 2006 111.000

 

(5,000

)

US 10YR TREAS NT FUT EXP MAR06

 

PUT MAR 06 107.000

 

(3,125

)

US 10YR TREAS NTS FUTURE (CBT)

 

EXP MAR 06

 

 

US 5YR TREAS NTS FUTURE (CBT)

 

EXP MAR 06

 

 

US 5YR TREAS NTS FUTURE (CBT)

 

EXP MAR 06

 

 

US BANCORP MTN # TR 00148

 

3.950% 08/23/2007 DD 08/26/02

 

34,546

 

US BK NATL ASSN # TR 00205

 

2.400% 03/12/2007 DD 03/12/04

 

592,078

 

US CENT CR UN NT

 

2.750% 05/30/2008 DD 05/30/03

 

428,590

 

US TREAS BD FUTURE (CBT)

 

EXP MAR 06

 

 

US TREAS BD FUTURE (CBT)

 

EXP MAR 06

 

 

US TREASURY INFLATION INDEX NT

 

1.875% 07/15/2015 DD 07/15/05

 

3,425,017

 

US TREASURY INFLATION INDEX NT

 

0.875% 04/15/2010 DD 10/15/04

 

3,184,683

 

VERIZON NEW JERSEY DEB SER A

 

5.875% 01/17/2012 DD 01/22/02

 

766,886

 

VIRGINIA ELEC & PWR #TR 00038

 

5.730% 11/25/2008 DD 11/25/98

 

340,863

 

VODAFONE AIRTOUCH PLC NT

 

7.750% 02/15/2010 DD 08/15/00

 

548,242

 

VODAFONE AIRTOUCH PLC NT

 

7.750% 02/15/2010 DD 08/15/00

 

679,821

 

VODAFONE GROUP PLC

 

5.000% 09/15/2015 DD 08/08/05

 

48,703

 

VODAFONE GROUP PLC NEW NT

 

5.000% 12/16/2013 DD 09/22/03

 

29,466

 

WACHOVIA BK COML MTG 03-C6 A-4

 

5.125% 08/15/2035 DD 08/01/03

 

1,038,502

 

WACHOVIA BK NATL #SR00017

 

4.375% 08/15/2008 DD 08/08/05

 

321,292

 

WELLPOINT HEALTH NETWORKS NT

 

6.375% 06/15/2006 DD 06/15/01

 

402,624

 

WELLS FARGO & CO NEW GLOBAL NT

 

5.900% 05/21/2006 DD 05/23/01

 

326,268

 

WELLS FARGO & CO NEW NT

 

4.000% 08/15/2008 DD 08/05/04

 

505,344

 

WELLS FARGO & CO NEW NT

 

4.200% 01/15/2010 DD 12/06/04

 

262,869

 

WELLS FARGO & CO NEW NT

 

4.625% 08/09/2010 DD 08/08/05

 

227,125

 

WELLS FARGO MORTGAGE 05-16

 

VAR RT 10/25/2035 DD 09/01/05

 

1,818,326

 

WELLS FARGO MTG BKD 04-H A1

 

VAR RT 06/25/2034 DD 05/01/04

 

1,743,200

 

WISCONSIN ST GEN REV TXB-SER A

 

4.800% 05/01/2013 DD 12/18/03

 

446,679

 

WYETH NT 144A

 

5.500% 02/15/2016 DD 11/14/05

 

758,670

 

ZFS FIN USA TR I SER 1 144A

 

VAR RT 12/15/2065 DD 12/09/05

 

503,670

 

 

 

S-12




 

SIGNATURE

Pursuant to the requirements of the Securities Exchange Act of 1934, the persons who administer the Plan have duly caused this annual report to be signed on its behalf by the undersigned, hereunto duly authorized.

 

WESTINGHOUSE SAVINGS PROGRAM

 

 

 

 

 

 

 

 

 

Date: June 28, 2006

By:

/s/  ANTHONY G. AMBROSIO

 

 

Anthony G. Ambrosio

 

 

Member of the Retirement Committee

 

 

S-13