SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
Form 11-K
[X] ANNUAL REPORT PURSUANT TO SECTION 15 (d) OF THE
SECURITIES EXCHANGE ACT OF 1934
For the year ended December 31, 2002
OR
[_] TRANSITION REPORT PURSUANT TO SECTION 15 (d) OF THE
SECURITIES EXCHANGE ACT OF 1934
For the transition period from ______ to ______
Commission file number 1-4448
A. Full title of the plan and the address of the plan, if different from that
of the issuer named below:
Baxter International Inc. and Subsidiaries
Incentive Investment Plan
B. Name of issuer of the securities held pursuant to the plan and the address
of its principal executive office:
Baxter International Inc.
One Baxter Parkway
Deerfield, IL 60015
(847) 948-2000
Baxter International Inc.
and Subsidiaries
Incentive Investment Plan
Financial Statements and Supplemental Schedule
December 31, 2002 and 2001
Baxter International Inc. and Subsidiaries
Incentive Investment Plan
Index To Financial Statements and Supplemental Schedule
--------------------------------------------------------------------------------
Financial Statements: Page(s)
Report of Independent Auditors 1
Statements of Net Assets Available for
Benefits as of December 31, 2002 and 2001 2
Statements of Changes in Net Assets Available for
Benefits for the years ended December 31, 2002 and 2001 3
Notes to Financial Statements 4-9
Supplemental Schedule:*
Exhibit I: Schedule of Assets (Held at End of Year)
at December 31, 2002
* Other schedules required by the Section 2520.103-10 of the Department of Labor
Rules and Regulations for Reporting and Disclosure under ERISA have been omitted
because they are not applicable.
Report of Independent Auditors
To the Participants and Administrative Committee
of the Baxter International Inc. and
Subsidiaries Incentive Investment Plan
In our opinion, the accompanying statements of net assets available for benefits
and the related statements of changes in net assets available for benefits
present fairly, in all material respects, the net assets available for benefits
of the Baxter International Inc. and Subsidiaries Incentive Investment Plan (the
"Plan") at December 31, 2002 and 2001, and the changes in net assets available
for benefits for the years then ended 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 auditing standards
generally accepted in the United States of America, which 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
for Investment Purposes is presented for the purpose of additional analysis and
is not a required part of the basic financial statements but is supplementary
information required by the Department of Labor's Rules and Regulations for
Reporting and Disclosure under the Employee Retirement Income Security Act of
1974. This supplemental schedule is the responsibility of the Plan's management.
The supplemental schedule has been subjected to the auditing procedures applied
in the audits of the basic financial statements and, in our opinion, is fairly
stated in all material respects in relation to the basic financial statements
taken as a whole.
/s/ PricewaterhouseCoopers LLP
PricewaterhouseCoopers LLP
Chicago, Illinois
June 18, 2003
Baxter International Inc. and Subsidiaries
Incentive Investment Plan
Statements of Net Assets Available for Benefits
As of December 31, 2002 and 2001
--------------------------------------------------------------------------------
2002 2001
Assets
Investments:
At fair value
Cash and cash equivalents $ 51,789,770 $ 46,162,512
Common stock 364,892,227 544,830,422
Fixed income securities 63,080,155 60,867,679
Commingled investments 140,182,396 178,841,650
Participant loans 29,550,104 29,458,270
-------------- --------------
649,494,652 860,160,533
At contract value
Guaranteed investment contracts 514,010,372 477,487,900
-------------- --------------
Total investments 1,163,505,024 1,337,648,433
-------------- --------------
Receivables:
Accrued interest and dividends 3,781,220 3,727,571
Due from brokers for securities sold 344,875 2,296,837
Other -- 356,353
-------------- --------------
4,126,095 6,380,761
-------------- --------------
Total assets 1,167,631,119 1,344,029,194
-------------- --------------
Liabilities
Accounts payable 1,084,282 1,422,909
Due to brokers for securities purchased 4,329,765 537,625
-------------- --------------
Total liabilities 5,414,047 1,960,534
-------------- --------------
Net assets available for benefits $1,162,217,072 $1,342,068,660
============== ==============
The accompanying notes are an integral part of these financial statements.
-2-
Baxter International Inc. and Subsidiaries
Incentive Investment Plan
Statements of Changes in Net Assets Available for Benefits
For the Years Ended December 31, 2002 and 2001
--------------------------------------------------------------------------------
2002 2001
Additions to net assets attributed to:
Investment income:
Interest $ 32,701,846 $ 34,286,941
Participant loan interest 2,409,711 2,639,075
Dividends 5,465,938 6,747,872
Net appreciation in fair value of assets -- 5,815,811
-------------- --------------
40,577,495 49,489,699
-------------- --------------
Contributions:
Employer's 21,983,334 17,941,866
Participants' 57,331,985 48,313,693
-------------- --------------
79,315,319 66,255,559
-------------- --------------
Transfers from other plans 1,282,409 11,803,992
-------------- --------------
Total additions 121,175,223 127,549,250
-------------- --------------
Deductions from net assets attributed to:
Benefits paid 64,787,532 68,713,637
Plan expenses 4,794,813 4,579,955
Net depreciation in fair value of assets 231,444,466 --
-------------- --------------
Total deductions 301,026,811 73,293,592
-------------- --------------
Net (decrease) increase (179,851,588) 54,255,658
Net assets available for plan benefits:
Beginning of year 1,342,068,660 1,287,813,002
-------------- --------------
End of year $1,162,217,072 $1,342,068,660
============== ==============
The accompanying notes are an integral part of these financial statements.
-3-
Baxter International Inc. and Subsidiaries
Incentive Investment Plan
Notes to Financial Statements
December 31, 2002 and 2001
--------------------------------------------------------------------------------
1. General Description of the Plan
The following description of the Baxter International Inc. and
Subsidiaries Incentive Investment Plan (the "Plan") is provided for
general information purposes only. Participants should refer to the Plan
agreement for more complete information.
The Plan allows tax deferred contributions in compliance with Section
401(k) of the Internal Revenue Code. Eligible participants may make
pre-tax contributions of up to 12% of their eligible annual compensation,
as defined in the Plan agreement, for the period ended December 31, 2001.
Effective January 1, 2002, participants may make pre-tax contributions of
up to 20% of their eligible annual compensation, as defined in the Plan
agreement. The Plan sponsor, Baxter International Inc. ("Baxter"),
matches participant contributions up to a maximum of 3% of the employees'
compensation. Participant contributions are fully vested at all times.
Vesting in the Plan sponsor matching contributions is based on years of
continuous service. A participant vests in annual increments of 20% and,
therefore, is 100% vested after five years of credited service.
Participants may borrow up to the lesser of $50,000 or 50% of their
account balance. The loans are secured by the balance in the
participant's account and bear interest at variable rates as outlined in
the Plan.
Participants, or their beneficiaries, may elect lump-sum benefit payments
or benefits may be paid in installments. Subject to certain provisions
specified in the Plan agreement, employed participants may withdraw their
pre-tax contributions and related earnings in cases of financial
hardship.
When certain terminations of participation in the Plan occur, the
nonvested portion of the participant's account, as defined by the Plan
agreement, represents a forfeiture. Forfeitures are utilized to reduce
Baxter matching contributions for the plan year. However, if the
participant is re-employed and fulfills certain requirements, as defined
in the Plan agreement, the participant's account will be reinstated.
Forfeitures utilized for the periods ended December 31, 2002 and 2001
were $268,960 and $490,233, respectively.
Upon enrollment in the Plan, a participant may direct contributions in
any of eight investment options: Stable Income Fund, Baxter Common Stock
Fund, Composite Fund, General Equity Fund, S&P 500 Equity Index Fund,
International EAFE Equity Index Fund, Small Cap Fund and the Self-Managed
Fund. In addition, certain participants may maintain shares received in
connection with Baxter's 1996 spin-off of Allegiance Corporation
("Allegiance"), which were subsequently converted into common shares of
Cardinal Health Inc. ("Cardinal") upon Cardinal's acquisition of
Allegiance in 1999. These shares are maintained in the Cardinal Health
Common Stock Fund. Additionally, certain participants maintain shares in
Edwards Lifesciences Corporation. These shares were placed into the
Edwards Lifesciences Common Stock Fund in connection with Baxter's 2000
spin-off of its Cardiovascular Business Group. Participants are not able
to make contributions to the Cardinal Health Common Stock Fund or the
Edwards Lifesciences Common Stock Fund.
2. Summary of Significant Accounting Policies
The accompanying financial statements of the Plan have been prepared on
the accrual basis of accounting. Accordingly, investment income is
recognized when earned and expenses are recognized when incurred. The
valuation of Plan investments is determined as follows:
-4-
Baxter International Inc. and Subsidiaries
Incentive Investment Plan
Notes to Financial Statements
December 31, 2002 and 2001
--------------------------------------------------------------------------------
U.S. government and government Value based on the last reported
agency issues sale price from a national security
exchange on the valuation date
Corporate and other bonds Value based on the last reported
sale price from a national security
exchange on the valuation date
Common stock:
Traded on national exchanges Value based on composite pricing of
all national closing sales prices on
the valuation date
Traded on over-the-counter market Value based on last reported sale
price defaulting to bid quotations
Commingled investments Value based on closing prices of the
underlying securities on the
valuation date
Guaranteed Investment Contracts Value based on contract value
Short term investments Value based on cost which
approximates fair value
Loan fund Value based on cost which
approximates fair value
Plan investment return includes dividend and interest income, gains and
losses on sales of investments and unrealized appreciation or depreciation
of investments. The financial statements reflect the net appreciation or
depreciation in the fair value of the Plan's investments. This net
appreciation or depreciation consists of realized gains and losses
calculated as the difference between proceeds from a sales transaction and
cost determined on a moving average basis, and unrealized gains and losses
calculated as the change in the fair value between beginning of the year
(or purchase date if later) and the end of the year.
The Plan's synthetic Guaranteed Investment Contracts are maintained under
two contract accounts, which are credited monthly with earnings on the
underlying investments and charged for Plan withdrawals and expenses. These
contracts are fully benefit-responsive and are reported in the financial
statements at contract value, which approximates fair value. Contract value
represents contributions made under the contracts, plus earnings, less
withdrawals and expenses. There are no reserves for credit risk of the
contract issuer or otherwise. The Plan's two contracts, Baxter Global Wrap
Account and Pacific Investment Management Company, utilize wrapper
contracts issued by Aegon Institutional Markets and State Street Bank and
Trust Company, respectively. The average yield was 4.1% and 5.2% and the
average crediting interest rate was 6.2% and 6.4% for the investment
contracts for 2002 and 2001, respectively. The crediting interest rates are
based on an agreed-upon formula with the issuers, Aegon Institutional
Markets and State Street Bank and Trust Company, which
-5-
Baxter International Inc. and Subsidiaries
Incentive Investment Plan
Notes to Financial Statements
December 31, 2002 and 2001
--------------------------------------------------------------------------------
are reset quarterly and monthly, respectively. These crediting interest
rates cannot be less than zero percent.
Benefits are recorded when paid.
Due from or due to brokers for securities sold or purchased,
respectively, represent the cash value of security trades initiated but
not yet settled at each respective year-end.
Use of Estimates
The preparation of financial statements in conformity with generally
accepted accounting principles requires management to make estimates and
assumptions that affect the amounts reported in the financial statements
and related notes to the financial statements. Changes in such estimates
may affect amounts reported in future periods.
Risks and Uncertainties
The Plan provides for various investment options in any combination of
registered investment entities, which invest in U.S. government and
government agency issues, corporate and other bonds, common stock,
commingled investments, guaranteed investment contracts, and short term
investments. Investment securities are exposed to various risks, such as
interest rate, market and credit risks. Due to the level of risk
associated with certain investment securities and the level of
uncertainty related to changes in the value of investment securities, it
is at least reasonably possible that changes in risks in the near term
could materially affect participants' account balances and the amounts
reported in the statement of net assets available for benefits and the
statement of changes in net assets available for benefits. Individual
participants' accounts bear the risk of loss resulting from fluctuations
in fund values.
3. Eligibility Requirements
Employees become eligible to participate in the Plan as of the first day
of the month following the completion of thirty days of employment.
Eligible employees are those who meet the following requirements:
1. U.S. employees of Baxter or its subsidiaries which have adopted the
Plan.
2. U.S. employees not covered by a collective bargaining agreement unless
the agreement provides for coverage under the Plan.
3. U.S. employees who are not leased employees.
4. Administration of the Plan
State Street Bank and Trust Company serves as trustee and CitiStreet LLC
serves as record keeper for the Plan.
The Administrative Committee administers the Plan. The Investment
Committee has authority, responsibility and control over the management
of the assets of the Plan. Members of both committees are appointed by
the Board of Directors of Baxter and are employees of Baxter.
-6-
Baxter International Inc. and Subsidiaries
Incentive Investment Plan
Notes to Financial Statements
December 31, 2002 and 2001
--------------------------------------------------------------------------------
Substantially all investment manager, trustee and administrative fees
incurred in the administration of the Plan were paid from the assets of
the Plan.
5. Investments
Investments representing five percent or more of the Plan's assets at
December 31, 2002 and 2001 are summarized as follows:
2002 2001
Baxter Common Stock, 4,888,861 shares
and 4,217,818 shares at December 31,
2002 and 2001, respectively $ 136,888,099 $ 226,202,673
S&P 500 Equity Index Fund 100,709,858 139,339,773
State Street Bank Short Term Investment Fund 130,797,797 97,379,594
Investments as of December 31, 2002 and 2001 are segregated into various
investment funds as follows:
2002 2001
Cash $ 592,183 $ 581,218
Stable Income Fund 545,760,359 506,852,358
Baxter Common Stock Fund 139,150,080 231,083,106
Composite Fund 137,716,763 167,268,052
General Equity Fund 128,728,783 178,529,291
Cardinal Health Common Stock Fund 18,796,554 22,448,072
S&P 500 Equity Index Fund 100,709,858 139,339,773
International EAFE Equity Index Fund 16,777,373 19,461,724
Loan Fund 29,550,104 29,458,270
Edwards Lifesciences Common Stock Fund 10,329,552 12,402,950
Small Cap Fund 15,502,075 12,964,513
Self-Managed Fund 19,891,340 17,259,106
-------------- --------------
Total Investments $1,163,505,024 $1,337,648,433
============== ==============
The fund amounts above include $51,197,587 and $45,581,294 of cash and
cash equivalents at December 31, 2002 and 2001, respectively, which are
awaiting investment in their respective portfolios. These amounts are
included in the State Street Bank Short Term Investment Fund.
-7-
Baxter International Inc. and Subsidiaries
Incentive Investment Plan
Notes to Financial Statements
December 31, 2002 and 2001
--------------------------------------------------------------------------------
Net (depreciation) appreciation for each respective year is comprised of:
2002 2001
Baxter common stock unrealized
(depreciation) appreciation, net $(127,569,227) $ 10,247,204
Other unrealized depreciation, net (86,370,403) (42,323,977)
Baxter common stock realized gain, net 9,419,606 33,011,937
Other realized (loss) gain, net (26,924,442) 4,880,647
-------------- --------------
$(231,444,466) $ 5,815,811
============== ==============
Net (depreciation) appreciation in fair value for each significant class of
investment, which includes realized and unrealized gains and losses, is as
follows:
2002 2001
U.S. government and government
agency issues $ 1,621,062 $ 427,347
Corporate and other bonds 974,799 388,249
Commingled investments (41,013,978) (28,492,957)
Common stock (193,026,349) 33,493,172
-------------- --------------
$(231,444,466) $ 5,815,811
============== ==============
6. Plan Termination
Although it has not expressed any intent to do so, the Company has the
right under the Plan to reduce, suspend or discontinue its contributions at
any time and to terminate the Plan subject to the provisions of ERISA. In
the event of Plan termination, participants would become fully vested and
such termination would not reduce the interest of any participating
employee or their beneficiaries accrued under the Plan up to the date of
such termination.
7. Tax Status of the Plan
The Internal Revenue Service has determined and informed the Plan sponsor
by a letter dated May 4, 1999 that the Plan is designed in accordance with
applicable sections of the Internal Revenue Code (the "IRC"). The Plan has
been amended since the date of the determination letter. The Plan sponsor
believes that the Plan is currently designed and being operated in
compliance with the applicable requirements of the IRC. Therefore, no
provision for income taxes has been included in the Plan's financial
statements.
-8-
Baxter International Inc. and Subsidiaries
Incentive Investment Plan
Notes to Financial Statements
December 31, 2002 and 2001
--------------------------------------------------------------------------------
8. Related Parties
At December 31, 2002 and 2001, the Plan held units of participation in
certain common/collective trust funds and short term investment funds of
State Street Bank and Trust Company, the Plan trustee, shares of common
stock of Baxter, the Plan sponsor, loans with participants, and shares of
common stock and fixed income securities in CitiGroup Inc., CitiBank
Mortgage Securities Inc., CitiBank Credit Card Issuance Trust, Travelers
Property Casualty Corporation, and CitiBank Credit Card Master Trust I,
which are all affiliated with CitiStreet LLC, the record keeper. These
transactions are allowable party-in-interest transactions under the
Employee Retirement Income Security Act of 1974 and the regulations
promulgated thereunder.
9. Plan Merger
In March 2000, Baxter acquired Althin Medical, Inc. The Althin Medical,
Inc. 401(k) Plan was merged into the Plan effective March 1, 2001. As a
result of the merger, total assets of approximately $11.8 million
(including loans) were transferred into the Plan.
In May 2002, Baxter acquired Fusion Medical Technologies, Inc. The Fusion
Medical Technologies, Inc. 401(k) Plan was merged into the Plan effective
September 2002. As a result of the merger, total assets of approximately
$1.3 million were transferred into the Plan.
-9-
Exhibit I
Baxter International Inc. and Subsidiaries
Incentive Investment Plan
Schedule of Assets (Held at End of Year) at December 31, 2002
(Schedule H, Part IV, Line 41 on Form 5500)
Identity of Issue Description of Investment Cost of Asset Current Value
----------------------------------- ------------------------------- ---------------- ---------------
Cash & Cash Equivalents:
* State Street Bank & Trust Co. Short Term Investment Fund - $ 51,789,770
---------------- ---------------
Common Stocks:
1 800 Contacts Inc Common Stock - 2,757
3Com Corp Common Stock - 2,778
3DO Company Common Stock - 254
Abbot Laboratories Common Stock - 347,102
Aberdeen Asia Pacific Income Common Stock - 16,205
Adams Express Company Common Stock - 44,289
ADC Telecommunications Inc Common Stock - 12,018
Adobe Sys Inc Common Stock - 2,480
Advanced Micro Devices Inc Common Stock - 27,584
Advancepcs Nfs LLC Common Stock - 8,884
Aeroflex Inc Common Stock - 5,864
Aetna Inc Common Stock - 4,464,749
Affymetrix Inc Common Stock - 2,289
Aflac Inc Common Stock - 20,614
Agere Sys Inc Common Stock - 4,525
Aim Select Real Estate Income Common Stock - 6,150
Aksys LTD Common Stock - 2,915
Alaris Medical Inc Common Stock - 152,585
Alaska Air Group Inc Common Stock - 4,330
Albemarle Corp Common Stock - 5,720
Alliance Pharmaceutical Co Common Stock - 326
Allou Hlth & Beauty Care Inc Common Stock - 2,670
Alternative Living Services Common Stock - 550
Altria Group Inc Common Stock - 385,005
Ambac Finl Group Inc Common Stock - 651,103
Ambassadors Group Inc Common Stock - 7,118
Amdocs Limited Common Stock - 1,964
American Capital Strategies Common Stock - 5,398
American Elec Pwr Inc Common Stock - 2,690,799
American Express Co Common Stock - 35,350
American Intl Group Inc Common Stock - 3,898,244
Amerigon Inc Common Stock - 2,710
Ameritrade Hldg Corp Common Stock - 5,660
Amgen Inc Common Stock - 2,374,494
Amylin Pharm Inc Common Stock - 565
Andrea Electronics Corp Common Stock - 225
Anheuser Busch Cos Common Stock - 1,308,778
AOL Time Warner Inc Common Stock - 98,355
Aon Corp Common Stock - 1,140,198
APAC Teleservices Inc Common Stock - 2,340
Apollo Group Inc Common Stock - 484
Apple Computer Inc Common Stock - 5,732
Applera Corp Common Stock - 3,508
Applied Digital Solutions Inc Common Stock - 30,689
Applied Imaging Corp Common Stock - 2,200
Applied Innovation Inc Common Stock - 606
Applied Materials Inc Common Stock - 152,764
Applied Micro Circuits Corp Common Stock - 4,705
Aquila Inc Common Stock - 17,700
Archer Daniels Midland Common Stock - 1,302
Ariba Inc Common Stock - 37,696
Arm Holdings Plc Common Stock - 263
Arrow Finl Corp Common Stock - 3,561
Arrrow Electronics Inc Common Stock - 842,263
Artemis Intl Solutions Corp Common Stock - 100
Asia Pulp & Paper Co Ltd Common Stock - 80
Astropower Inc Common Stock - 1,199
AT&T Corp Common Stock - 18,277
AT&T Wireless Svcs Inc Common Stock - 7,684
Atlas Pipeline Partners Common Stock - 2,540
Atmel Corp Common Stock - 223
ATSI Communications Inc Common Stock - 800
ATX Communications Inc Common Stock - 46
Audiocodes Ltd Common Stock - 516
Avantgo Inc Com Common Stock - 8
Avaya Inc Common Stock - 613
Avnet Inc Common Stock - 465,090
Avon Prods Inc Common Stock - 788,910
Backweb Technologies Ltd Common Stock - 779
Baker Huges Inc Common Stock - 11,267
Ballard Pwr Sys Inc Common Stock - 1,550
Bank Amer Corp Common Stock - 3,049,610
Bank One Corp Common Stock - 816,711
* Baxter Intl Inc Common Stock - 136,888,099
Bea Systems Inc Common Stock - 11,585
Bed Bath & Beyond Inc Common Stock - 447,323
Bema Gold Corp Common Stock - 20,800
Berkshire Hathaway Inc Common Stock - 1,961,362
Berkshire Hills Bancorp Inc Common Stock - 48
Best Buy Inc Common Stock - 26,565
Beverly Enterprises Inc Common Stock - 8,550
Beyond Corp Common Stock - 111
Big Lots Inc Common Stock - 14,553
Biolase Tech Inc Common Stock - 5,490
Biomerica Inc Common Stock - 2,520
Biomet Inc Common Stock - 5,732
Biospecifics Techs Corp Common Stock - 1,920
Bisys Group Inc Common Stock - 318
Black Box Corp Common Stock - 4,480
Block H&R Inc Common Stock - 8,073
Blue Martini Software Inc Common Stock - 1,241
Boeing Co Common Stock - 3,332
Bonso Electrs Intl Com Common Stock - 5,165
Boston Biomedica Inc Common Stock - 12,000
Boston Scientific Corp Common Stock - 145,736
Boyd Gaming Corp Common Stock - 4,215
BP Amoco Common Stock - 8,317
Bradley Pharmacetls Inc Common Stock - 782
Bristol Myers Squibb Co Common Stock - 384,710
Britesmile Inc Common Stock - 132
Broadcom Corp Common Stock - 7,078
Broadvision Inc Common Stock - 566
Brocade Communications Sy Common Stock - 23,846
Brown Shoe Inc Common Stock - 2,264
Brown Tom Inc Com Common Stock - 5,648
Burlington Northn Santa Fe Common Stock - 1,811,889
Cable & Wireless PLC Common Stock - 1,258
California Amplifier Common Stock - 90,959
Caliper Technologies Corp Common Stock - 21,608
Calpine Corp Common Stock - 25,102
Cambior Inc Common Stock - 2,860
Canadian 88 Energy Corp Common Stock - 1,607
Candies Inc Common Stock - 2,310
Capstone Turbine Corp Common Stock - 4,500
Cardiac Science Inc Common Stock - 553
Cardinal Health Inc Common Stock - 20,424,746
Caremark Rx Inc Common Stock - 73,125
Carereker Antinori Inc Common Stock - 906
CDW Computer Ctrs Common Stock - 24,118
Cell Genesys Inc Com Common Stock - 669
Cendant Corp Common Stock - 15,720
Central Parking Corp Common Stock - 38
Centurytel Inc Common Stock - 1,206,475
Cerus Corp Common Stock - 36,013
Charter Comm Inc Common Stock - 6,490
Chattem Inc Common Stock - 8,672
Check Point Software Ltd Common Stock - 15,564
Chevrontexaco Corp Common Stock - 1,662
Chicos Fas Inc Common Stock - 2,515
Chubb Corp Common Stock - 2,174,559
Ciena Corp Common Stock - 8,568
Ciphergen Biosystems Inc Common Stock - 12,765
Circuit City Stores Inc Common Stock - 4,452
Cisco Sys Inc Common Stock - 1,813,701
* Citigroup Inc Common Stock - 3,488,457
Citizens Communications Co Common Stock - 1,205,738
Clarent Corp Common Stock - 1
Clear Channel Communications Common Stock - 461,234
CMG Information Svcs Inc Common Stock - 711
CMS Energy Corp Common Stock - 5,135
Coach Inc Common Stock - 141,556
Coco Cola Co Common Stock - 6,632
Cognizant Tech Solutions Co Common Stock - 7,223
Colgate Palmolive Co Common Stock - 1,369,627
Colorado Medtech Inc Common Stock - 2,060
Comcast Corp Common Stock - 1,817,247
Comdisco Hldg Co Inc Common Stock - 264
Commerce One Inc Common Stock - 28
Commtouch Software Ltd Common Stock - 65
Compass Bancshares Inc Common Stock - 52
Conagra Inc Common Stock - 5,002
Concord Efs Inc Common Stock - 2,361
Conexant Sys Inc Common Stock - 564
Conocophillips Common Stock - 3,288,107
Conseco Inc Common Stock - 74
Consolidated Tomoka Ld Co Common Stock - 19,250
Continental Airls Inc Common Stock - 1,269
Convergys Corp Common Stock - 584,650
Cooper Tire & Rubr Co Common Stock - 640,171
Corinthian Colleges Inc Common Stock - 18,249
Corning Inc Common Stock - 533,995
Corvis Corp Common Stock - 16,330
Countrywide Finl Corp Common Stock - 689,958
Covad Communications Group Common Stock - 93
Creative Host Services Inc Common Stock - 30,875
Crown Cork & Seal Inc Common Stock - 449,968
CSX Corp Common Stock - 1,792,827
Cyber-Care Inc Common Stock - 200
Cygnus Inc Common Stock - 264
Cymer Inc Common Stock - 3,225
Cytogen Corp Common Stock - 2,600
Cytyc Corp Common Stock - 1,020
Daimlerchrysler Common Stock - 3,214
Dan River Inc Common Stock - 3,300
Dana Corp Common Stock - 651,649
Data Race Inc Common Stock - 2
Data Stream Systems Inc Common Stock - 800
Deere & Company Common Stock - 3,598
Dell Computer Corp Common Stock - 1,542,180
Delphi Automotive Systems Common Stock - 451
Deluxe Corp Common Stock - 104
Denbury Res Inc Common Stock - 1,130
Diamonds Trust Common Stock - 12,359
Digi Intl Inc Common Stock - 189
Digital Angel Corp Common Stock - 459
Digital Lightwave Inc Common Stock - 5,576
Dillard Inc Common Stock - 3,172
Diomed Hldgs Inc Common Stock - 1,508
Disney Walt Co Common Stock - 30,174
Divine Inc Common Stock - 22
Dollar Thrifty Automotive Common Stock - 4,230
Dollar Gen Corp Common Stock - 12,980
Dot Hill Sys Corp Common Stock - 1,240
Dow Chem Co Common Stock - 2,027,920
Ducommun Inc Common Stock - 159
Duke Energy Co Common Stock - 763,936
Dupont E I De Nemours & Co Common Stock - 4,347
Durban Roodeport Deep Common Stock - 26,528
Dynegy Inc Hldg Co Common Stock - 2,310
E Loan Inc Common Stock - 5,547
E M C Corp Mass Common Stock - 97,221
E. Piphany Inc Common Stock - 834
Eastman Chem Co Common Stock - 1,658,062
Eastman Kodak Co Common Stock - 1,752
Eaton Corp Common Stock - 772,903
EB2B Commerce Inc Common Stock - 30
Echostar Communications Common Stock - 4,452
Edge Pete Corp Common Stock - 750
Edwards Lifesciences Corp Common Stock - 9,999,297
El Paso Corp Common Stock - 209
Elan Corp PLC Common Stock - 3,198
Electronic Data Sys Corp Common Stock - 1,230,971
Emulex Corp Common Stock - 2,541
Enbridge Inc Common Stock - 28
Energizer Hldgs Inc Common Stock - 2,790
Engelhard Corp Common Stock - 630,291
Eno Labs Inc Common Stock - 1,418
Enpro Inds Inc Common Stock - 108
Enron Corp Common Stock - 396
Entravision Communications Common Stock - 1,497
Epicor Software Corp Common Stock - 13,125
Epimmune Inc Common Stock - 69
Equifax Inc Common Stock - 618,224
Ericsson L M Tel Co Common Stock - 16,473
Estee Lauder Companies Inc Common Stock - 7,920
Exxon Mobil Corp Common Stock - 10,679
F A O Inc Common Stock - 7,050
Fairmont Hotels Resort Inc Common Stock - 18,134
Fannie Mae Common Stock - 8,234
Federal Home Ln Mtg Corp Common Stock - 4,937,364
Federal Natl Mtg Assn Common Stock - 1,362,216
Federated Dept Stores Inc Common Stock - 1,644,884
Fedex Corp Common Stock - 30,412
Fifth Third Bancorp Common Stock - 133,252
Filenet Corp Common Stock - 2,440
Finisar Corp Common Stock - 6,270
First Data Corp Common Stock - 536,088
Fleetboston Finl Corp Common Stock - 1,514,835
Flir Sys Inc Common Stock - 8,296
Food Technology Svcs Inc Common Stock - 450
Ford Mtr Co Common Stock - 12,406
Forest Laboratories Inc Common Stock - 2,750
Fortune Brands Inc Common Stock - 1,395
Foster Wheeler Ltd Common Stock - 15,660
Freddie Mac Common Stock - 12,056
Fresenius Medical Care Ag Common Stock - 13,770
Fresh Del Monte Produce In Common Stock - 18,958
Gallagher Arthur J & Co Common Stock - 14,690
Gannett Inc Common Stock - 255,768
Garmin Ltd Common Stock - 14,855
Gateway Inc Common Stock - 8,478
Gemstar TV Guide Intl Inc Common Stock - 975
Genentech Inc Common Stock - 6,533
General Elec Co Common Stock - 2,695,464
General Mills Inc Common Stock - 14,085
General Motors Corp Common Stock - 7,263
Genesis Microchip Inc Common Stock - 653
Genstar Therapeutics Corp Common Stock - 478
Genuine Parts Co Common Stock - 743,634
Georgia Pac Corp Common Stock - 239,856
Getty Images Inc Common Stock - 1,528
Glead Sciences Inc Common Stock - 14,110
Global Crossing Ltd Common Stock - 157
Glodcorp Inc Common Stock - 15,900
Goldman Sachs Group Inc Common Stock - 185,265
Golden West Finl Corp Common Stock - 1,229,277
Goodrich B F Co Common Stock - 328,839
Goodyear Tire and Rubber Common Stock - 191,806
Guidant Corp Common Stock - 154,713
Guilford Pharmaceutical Inc Common Stock - 7,960
H & Q Life Science Invs Sh Be Common Stock - 7,134
Haemonetics Corp Mass Common Stock - 21,460
Halliburton Co Common Stock - 1,018,251
Handspring Inc Common Stock - 39,425
Harley Davidson Inc Common Stock - 1,065,905
Hasbro Inc Common Stock - 23
Headwaters Inc Common Stock - 20,163
Henry Jack & Assoc Inc Common Stock - 2,239
Healthtronics Inc Common Stock - 3,068
Hemosol Inc Common Stock - 520
Hewlett Packard Co Common Stock - 3,272,123
Hibernia Foods Common Stock - 60,060
Home Depot Inc Common Stock - 1,750,669
Honeywell Intl Inc Common Stock - 7,227
Household Intl Inc Common Stock - 13,905
Human Genome Sciences Inc Common Stock - 396
I2 Tech Inc Common Stock - 138
Idec Pharmaceuticals Corp Common Stock - 31,512
Identix Inc Common Stock - 515
Ikon Office Solutions Inc Common Stock - 215
Imax Corp Common Stock - 40
Imclone Sys Inc Common Stock - 4,238
Immucor Inc Common Stock - 6,075
Immunogen Inc Common Stock - 3,692
Immunomedics Inc Common Stock - 1,848
Impco Technologies Inc Common Stock - 4,690
Implant Sciences Corp Common Stock - 3,930
Ims Health Inc Common Stock - 1,203,240
Infospace Inc Com Common Stock - 1,937
Ingram Micro Inc Common Stock - 180,862
Inktomi Corporation Common Stock - 79,600
Innodata Corp Common Stock - 1,162
Integrated Circuit System Inc Common Stock - 1,825
Integrated Device Tech Inc Common Stock - 2,720
Intel Corp Common Stock - 2,004,333
Interliant Inc Common Stock - 45
International Business Machs Common Stock - 437,114
Internet Cap Group Inc Common Stock - 1,890
Internet Commerce Corp Common Stock - 5,200
Interpublic Group Cos Inc Common Stock - 1,100,648
Intrado Inc Common Stock - 735
Invision Tech Inc. Common Stock - 2,900
Ion Networks Inc Common Stock - 115
Iridex Corp Common Stock - 580
Ishares Inc Msci Australia In Common Stock - 7,636
Ishares Inc Msci Pacific Ex Ja Common Stock - 7,333
Ishares Inc Msci Singapore In Common Stock - 6,320
Ishares Tr Dow Jones U S Finl Common Stock - 25,579
Ishares Tr Dow Jones U S He Common Stock - 18,199
Ishares Tr Dow Jones U S Tel Common Stock - 8,101
Ishares Tr Goldman Sachs S Common Stock - 7,929
Ishares Tr Nasdaq Biotechn Common Stock - 29,610
Ishares Tr S&P 500 Index Fd Common Stock - 13,253
Ishares Tr S&P Euro Plus 350 Common Stock - 34,328
Ishares Tr S&P Smallcap Common Stock - 18,188
Ishares Tr S&P/Topix 150 Index Common Stock - 12,962
ITT Inds Inc Common Stock - 60,690
Ivax Corp Common Stock - 1,820
J P Morgan Chase & Co Common Stock - 12,147
Jabil Circuit Inc Common Stock - 48,205
JDS Uniphase Corp Common Stock - 28,314
JNI Corp Common Stock - 1,385
Johnson & Johnson Common Stock - 2,655,353
JS Global Comm Inc Common Stock - 7,045
Juniper Networks Inc Common Stock - 59,548
K Mart Corp Common Stock - 5,797
KCS Energy Inc Common Stock - 684
Key3Media Group Inc Common Stock - 11
Kimberly Clark Corp Common Stock - 150,506
Kla-Tencor Corp Common Stock - 1,769
Knight Trading Group Inc Common Stock - 575
Koala Corp Common Stock - 23
Kohls Corp Common Stock - 3,349,454
Kraft Foods Inc Common Stock - 5,840
Kroger Co Common Stock - 871,409
Krsipy Kreme Doughnuts Inc Common Stock - 23,740
Laboratory Corp Amer Hldg Common Stock - 3,486
Lajolla Pharmaceutical Co Common Stock - 650
Lancaster Colony Corp Common Stock - 5,892
Leap Wireless Intl Inc Common Stock - 210
Leapfrog Enterprises Inc Common Stock - 17,429
Lear Corp Common Stock - 879,252
Lehman Brothers Hldgs Inc Common Stock - 1,824,485
Lennar Corp Common Stock - 5,161
Liberate Techs Inc Common Stock - 429
Liberty Media Corp Common Stock - 1,310,120
Lifecell Corp Common Stock - 542
Lightpath Tech Inc Common Stock - 574
Lilly Eli & Co Common Stock - 635
Linear Technology Corp Common Stock - 2,058
Linuxwizardry Sys Inc Common Stock - 38
Lockheed Martin Corp Common Stock - 857,160
London Pac Group Ltd Common Stock - 133
Lowes Companies Common Stock - 39,006
LSI Logic Corp Common Stock - 7,213
Lubrizol Corp Common Stock - 1,228,324
Luby's Cafeterias Inc Common Stock - 5,820
Lucent Tech Inc Common Stock - 35,564
Lyondell Chemical Co Common Stock - 422,749
Main St & Main Inc Common Stock - 2,120
Marathon Oil Corp Common Stock - 1,116,529
Marconi Plc Spons Adr Common Stock - 531
Maxim Integrated Prods Inc Common Stock - 1,013,492
May Dept Stores Co Common Stock - 1,616,733
MBIA Inc Common Stock - 867,995
MBNA Corp Common Stock - 4,181,895
McData Corp Common Stock - 4,956
McDonalds Corp Common Stock - 14,472
Meadwestvaco Corp Common Stock - 1,964,174
Medifast Inc Common Stock - 9,044
Medimmune Inc Common Stock - 12,770
Medtronic Inc Common Stock - 1,904,127
Mercator Software Inc Common Stock - 1,188
Merck & Co Inc Common Stock - 5,661
Mercury Interactive Corp Common Stock - 8,895
Meridian Gold Inc Common Stock - 26,445
Merrill Lynch & Co Inc Common Stock - 1,047,826
Metlife Inc Common Stock - 270
Metris Companies Inc Common Stock - 494
Metro Goldwyn Mayer Inc Common Stock - 1,300
Metromedia Fiber Network Inc Common Stock - 291
Michaels Stores Inc Common Stock - 10,642
Micromuse Inc Common Stock - 11,460
Microsoft Corp Common Stock - 4,340,641
Microstrategy Inc Common Stock - 4
Millennium Chemicals Inc Common Stock - 373,750
Mirant Corp Nfs LLC Common Stock - 11,875
Monsanto Co Common Stock - 655
Monterey Pasta Co Common Stock - 1,575
Morgan St Dean Witter Disco Common Stock - 1,996
Morgan Stanley Common Stock - 1,188,983
Motorola Inc Common Stock - 81,146
Mpower Holding Corp Common Stock - 15
Murphy Oil Corp Common Stock - 2,143
Mylan Labs Inc Common Stock - 863,344
Myriad Genetics Inc Common Stock - 292
N V R Inc Common Stock - 4,898
Nabi Biopharmaceuticals Common Stock - 930
Nabors Industries Ltd Common Stock - 15,519
Nanophase Tech Corp Common Stock - 2,820
Nasdaq 100 Tr Unit Ser 1 Common Stock - 97,846
National City Corp Common Stock - 2,224,842
Neoforma Inc Com Common Stock - 598
Neoware Systems Inc Common Stock - 7,902
Network Appliance Corp Common Stock - 800
New Millennium Media Co Common Stock - 140
Newell Rubbermaid Inc Common Stock - 6,066
Newmone Mng Corp Common Stock - 1,161
Nextel Comm Inc Common Stock - 22,153
Nokia Corp Common Stock - 2,972,744
Nordic American Tanker Ship Common Stock - 1,354
Norfolk Southn Corp Common Stock - 2,546,705
Nortel Networks Corp Common Stock - 1,052,967
Northfield Laboratories Inc Common Stock - 3,784
Northrop Grumman Corp Common Stock - 5,212
Novartis Ag Common Stock - 1,359
Novell Inc Common Stock - 334
Nuance Communication Common Stock - 868
Nvidia Corp Common Stock - 11,993
O Charleys Inc Common Stock - 4,106
O Reilly Automotive Inc Common Stock - 7,587
Occidental Petroleum Corp Common Stock - 1,935,843
OM Group Inc Common Stock - 103
Omnicare Inc Common Stock - 1,037,517
On Technology Corp Common Stock - 6,930
Opentv Corp Common Stock - 327
Option Care Common Stock - 796
Oracle Corporation Common Stock - 156,384
Owens Ill Inc Common Stock - 686,725
P&O Princess Cruis Es Plc Common Stock - 24,966
Pacific Sunwear Calif Inc Common Stock - 2,123
Pacificare Health Systems Common Stock - 655,867
Palm Inc Common Stock - 26,045
Paradyne Networks Inc Common Stock - 10,246
Parametric Tech Corp Common Stock - 2,772
Parker Drilling Co Common Stock - 666
Paychex Inc Common Stock - 6,757
PDI Inc Common Stock - 1,079
Penn Treaty Amern Cp Common Stock - 5,970
Peoplesoft Inc Common Stock - 842,020
Peregrine Sys Inc Common Stock - 104
Petroleo Brasileiro Sa Petr Common Stock - 1,494
Petsmart Inc Common Stock - 8,051
PF Changs China Bistro Inc Common Stock - 1,271
Pfizer Inc Common Stock - 6,626,927
Pharmaceutical Holdrs Trus Common Stock - 22,230
Pharmaceutical Product De Common Stock - 2,927
Pharmacia Corp Common Stock - 628,780
Philip Morris Cos Inc Common Stock - 1,607,247
Pixar Inc Common Stock - 5,299
PLC Sys Inc Common Stock - 3,364
PMC-Sierra Inc Common Stock - 11,398
Portal Software Inc Common Stock - 1,616
Powerwave Tech Inc Common Stock - 2,700
PPL Corp Common Stock - 857,902
Praecis Pharmaceuticals Inc Common Stock - 33
Praxair Inc Common Stock - 16,464
Priceline.com Inc Common Stock - 3,200
Principal Financial Group Common Stock - 74,535
Procter & Gamble Co Common Stock - 1,422,185
Progressive Corp Ohio Common Stock - 800,480
Protein Design Common Stock - 187
Providian Finl Corp Common Stock - 1,090
Proxim Corp Common Stock - 3,480
Purchasepro Com Inc Common Stock - 7
QLogic Corp Common Stock - 37,961
Qualcomm Inc Common Stock - 3,566
Quantum Corp Common Stock - 299,073
Quest Diagnostics Inc Common Stock - 4,268
Qwest Communications Intl Inc Common Stock - 2,067,056
Racing Champions Corp Common Stock - 2,730
Radioshack Corp Common Stock - 1,874
Rainbow Technologies Inc Common Stock - 1,434
Rambus Inc Common Stock - 1,476
Rare Medium Group Inc Common Stock - 127
Rational Software CP Com Common Stock - 468
Redback Networks Inc Common Stock - 4,847
Rent A Center Inc Common Stock - 11,988
Repeater Technologies Inc Common Stock - 6
Republic SVCS Inc Common Stock - 1,027,612
Return Assured Inc Com Common Stock - 6
RF Micro Devices Inc Common Stock - 1,649
Rite Aid Corp Common Stock - 6,412
Rockwell Intl Corp Common Stock - 8,284
Ross Stores Inc Common Stock - 7,000
RSA Security Inc Common Stock - 599
S&P 500 Depository Receipt Common Stock - 16,764
S&P Mid Cap 400 Dep Rcpts Mi Common Stock - 15,730
SABA Software Inc Common Stock - 530
Safeway Inc Common Stock - 913,037
Sandisk Corp Common Stock - 2,030
Sanmina Corp Common Stock - 723
Savvis Commun Corp Common Stock - 2,460
SBC Communications Common Stock - 6,406
Scansoft Inc Common Stock - 28,548
Schering Plough Corp Common Stock - 916,072
Schwab Charles Corp Common Stock - 2,170
Scientific Atlanta Common Stock - 1,186
SCP Pool Corp Common Stock - 8,030
Seagate Technology Holdin Common Stock - 966
Sears Roebuck & Co Common Stock - 476,850
Seitel Inc Com Common Stock - 198
Seracare Life Sciences Inc Common Stock - 1,200
Serena Software Inc Common Stock - 3,158
Shesapeake Energy Corp Common Stock - 373,068
Sicor Inc Common Stock - 2,378
Siebel Systems Inc Common Stock - 24,494
Signa Corp Common Stock - 716,118
Silicon Storage Tech Inc Common Stock - 4,040
Silicon VY Bancshrs Common Stock - 1,825
Sirius Satellite Radio Inc Common Stock - 64
Sketchers USA Inc Common Stock - 3,396
Skyworks Solutions Inc Common Stock - 1,052
Smurfit Stone Container Corp Common Stock - 1,099,569
Socket Comm Inc Common Stock - 360
Solectron Corp Common Stock - 491,157
Sonicblue Inc Common Stock - 2,300
Sonus Networks Inc Common Stock - 3,050
Southwest Airlns Co Common Stock - 2,780
Spectranetics Corp Common Stock - 6,664
Spectrum Pharmaceuticals Inc Common Stock - 7
Sprint Corp Common Stock - 1,686,412
SPX Corp Common Stock - 223,091
* State Street Corp Common Stock - 3,933
Stemcells Inc Common Stock - 545
Stocker And Yale Inc Common Stock - 6,200
Storagenetworks Inc Common Stock - 10,788
Stratos Lightwave Inc Common Stock - 110
Stryker Corp Common Stock - 6,712
Sumcker J M Co Common Stock - 80
Sun Microsystems Inc Common Stock - 152,633
Suncor Energy Inc Common Stock - 1,457
Surebeam Corp Common Stock - 74,740
Sycamore Networks Inc Common Stock - 12,283
Symantec Corp Common Stock - 6,077
Syncor Intel Corp Common Stock - 13,865
Taiwan Semicndctr Mfg Co Ltd Common Stock - 152,775
Talbots Inc Common Stock - 2,753
Target Corp Common Stock - 407,323
Targeted Genetics Corp Common Stock - 80
Tech Data Corp Common Stock - 498,862
Technitrol Inc Common Stock - 2,582
Telephone & Data Sys Inc Common Stock - 604,846
Tellabs Inc Common Stock - 1,035,895
Tellium Inc Common Stock - 704
Temple Inland Common Stock - 394,893
Tenet Healthcare Corp Common Stock - 612,167
Terayon Comm Sys Common Stock - 1,025
Texas Biotech Corp Common Stock - 168
Texas Instruments Inc Common Stock - 17,942
Textron Inc Common Stock - 850,778
Therma-Wave Inc Common Stock - 473
Thermo Electon Corp Common Stock - 1,124,851
Thor Inds Inc Common Stock - 5,166
Tioga Technologies Ltd Common Stock - 435
Torchmark Inc Common Stock - 1,160,308
Tractor Supply Co Common Stock - 13,461
Transwitch Corp Common Stock - 4,479
* Travelers Ppty Cas Corp Common Stock - 1,475,732
Triad Hosps Inc Common Stock - 935,751
Trimedyne Inc Common Stock - 2,100
Triquint Semiconductor Inc Common Stock - 17,172
TXU Corp Common Stock - 914,957
Tyco Intl Ltd Common Stock - 1,265,978
UAL Corp Common Stock - 1,895
United Defense Industries Inc Common Stock - 13,980
United Health Group Inc Common Stock - 2,515,938
United Online Inc Common Stock - 1,116
US Bancorp Common Stock - 850,392
Utstarcom Inc Common Stock - 9,915
V F Corp Common Stock - 991,673
V I Technologies Inc Common Stock - 1,010
Valero Energy Corp Common Stock - 650,632
Varian Inc Common Stock - 861
Verisign Inc Common Stock - 1,684
Veritas Dgc Inc Common Stock - 1,580
Verizon Communications Common Stock - 13,563
Vermont Pure Holding S Ltd Common Stock - 26
Verticalnet Inc Common Stock - 87
Viacom Inc Common Stock - 4,046,227
Vintage Pete Inc Common Stock - 1,055
Viragen Inc Common Stock - 137
Viryanet Ltd Shs Common Stock - 16
Vitesse Semiconductr Corp Common Stock - 10,270
Vitria Tech Inc Common Stock - 1,500
Vodafone Group PLC Common Stock - 906
Vsource Inc Common Stock - 23
Wachovia Corp Common Stock - 3,162,252
Wal Mart Stores Inc Common Stock - 2,705,678
Walgreen Co Common Stock - 1,974,585
Washington Mutual Inc Common Stock - 2,989,836
Waste Management Inc Common Stock - 4,586
Watson Pharmaceuticals Inc Common Stock - 1,007,040
Weatherford Bermuda Common Stock - 15,573
Wellpoint Health Networks Inc Common Stock - 929,455
Wendys Intl Inc Common Stock - 5,414
Westell Technologies Inc Common Stock - 10,800
Western Digital Corp Common Stock - 9,585
Whirlpool Corp Common Stock - 158,318
Wild Oats Markets Inc Common Stock - 1,032
Williams Sonoma Inc Common Stock - 2,715
Wisconsin Energy Corp Common Stock - 760,535
Worldcom Inc Common Stock - 7,660
Wrigley WM JR Co Common Stock - 439,921
Wyeth Common Stock - 562,515
Wyndham Intl Common Stock - 1,150
Xerox Corp Common Stock - 1,610
Xilinx Inc Common Stock - 4,120
XM Satellite Radio Hldgs Inc Common Stock - 2,962
Xoma Ltd Common Stock - 2,750
XTO Energy Inc Common Stock - 33
Yahoo Inc Common Stock - 5,723
Youthstream Media Network Common Stock - 80
Zimmer Hldgs Inc Common Stock - 623
Zomax Optical Media Inc Common Stock - 4,222
----------- ----------------
- $ 364,892,227
----------- ----------------
Fixed Income Securities:
Alberta Energy Pfd 9.50% 09/30 Fixed Income - 1,343
Anheuser Busch Cos Inc Deb 6.800 08/20/2032 - 695,156
Anthem Inc NT 2012 6.800 08/01/2012 - 538,341
Bank Amer Corp SR NT 3.875 01/15/2008 - 501,899
Bank New York Inc SR Hldg Co NT 5.200 07/01/2007 - 553,893
Boeing Cap Corp SR NT 5.650 05/15/2006 - 725,776
CIA Paranaense De Energia S Fixed Income - 1,124
* Citigroup Inc Global SR NT 5.750 05/10/2006 - 311,514
Coca Cola Enterprises Inc Deb 6.90 11/15/2026 - 787,973
Columbia/HCA Healthcare Corp 7.190 11/15/2015 - 507,643
Commercial Mtg Accep Corp C2 Cl A 2 6.030 09/15/2030 - 762,146
Community Program Ln Tr 1987 A A Cl Ser 87 A 4 4.500 10/01/2018 - 888,252
Conocophillips NT 144A 4.750 10/15/2012 - 497,407
Constellation Energy Group Inc SR NT 6.125 09/01/2009 - 505,920
Continental Airls Past Thru Ctf Ser 6.90 01/02/2018 - 829,944
Continental Airls Pass Thru Ser 1998 1 Cl A 6.648 03/15/2019 - 107,339
Countrywide Fdg Corp Mtn Tranche Tr 00244 5.250 06/15/2004 - 699,821
Credit Suisse First Boston USA NT 6.125 11/15/2011 - 1,135,684
Devon Fing Corp U L C Deb 7.875 09/30/2031 - 932,287
Dominion Res Inc Del NT 5.700 09/17/2012 - 513,136
Dow Chem Co NT 6.000 10/01/2012 - 505,640
Duke Energy Co SR NT 6.250 01/15/2012 - 304,652
Duke Realty Invest Co Fixed Income Securities - 7,635
Enron Cap Res L P PFD Ser A 9 Fixed Income - 5
Erac USA Fin Co Gtd NT 144A 7.350 06/15/2008 - 473,515
Fed Hm Ln Pc 7.000 12/01/2031 - 1,908,307
Fed Hm Ln Pc 6.500 10/01/2016 - 1,426,785
Fed Hm Ln Pc C48590 6.500 03/01/2031 - 1,288,038
Fed Hm Ln Pc C48827 6.000 03/01/2031 - 591,525
Federal Home Ln Mtg Corp Deb 4.875 03/15/2007 - 1,389,898
Federal Home Ln Mtg Corp 5.125 07/15/2012 - 5,318,494
Federal Natl Mtg Assn Benchmark NT 5.250 01/15/2009 - 4,817,508
Federal Natl Mtg Assn 7.250 01/15/2010 - 527,562
Federal Natl Mtg Assn 5.250 06/15/2006 - 3,342,756
FNBC 1993 A Pass Thru Tr Pass Thru Ctf Ser 8.080 01/05/2018 - 426,163
FNMA Pool 253794 6.500 05/01/2031 - 768,694
FNMA Pool 323887 6.000 12/01/2013 - 1,121,846
FNMA Pool 415728 6.000 04/01/2028 - 1,141,180
FNMA Pool 440830 6.500 10/01/2028 - 429,872
FNMA Pool 535200 7.000 03/01/2015 - 539,925
FNMA Pool 580832 6.500 05/01/2031 - 628,872
FNMA Pool 581043 6.000 05/01/2016 - 543,180
FNMA Pool 6.500 09/01/2031 - 1,278,290
FNMA Pool 6.000 12/01/2016 - 629,107
FNMA Pool 6.500 12/01/2031 - 225,668
FNMA Pool 6.000 01/01/2032 - 3,412,593
FNMA Pool 6.000 05/01/2017 - 700,784
Ford Cr Auto Owner Tr B Cl A4 5.120 10/15/2004 - 943,621
Ford Cr Auto Owner Tr NT Cl B 4.790 11/15/2006 - 489,614
Ford Mtr Cr Co Global Landmark 6.875 02/01/2006 - 991,240
Ford Mtr Cr Co Global Landmark 7.250 10/25/2011 - 480,740
General Elec Cap Corp Mtn Tranche 6.750 03/15/2032 - 246,147
General Elec Cap Corp Mtn Tranche 5.40 01/15/2013 - 819,636
General Mtrs Accep Corp NT 6.875 09/15/2011 - 1,194,022
GMAC Coml Mtg Sec Inc Mtg Pass 6.420 05/15/2035 - 562,541
GNMA Pool 003095 6.500 06/20/2031 - 801,660
GNMA Pool 781216 6.500 12/15/2030 - 502,957
Healthcare Rlty Tr Fixed Income Securities - 5,850
International Business Machs NT 4.250 09/15/2009 - 505,173
LB Coml Conduit Mtg Tr Mtg Passthru 6.780 06/15/2031 - 681,543
Lehman Bros Hldg 7.000 02/01/2008 - 1,034,791
Merrill Lynch Mtg Invs Inc 6.220 02/15/2030 - 91,495
Midamerica Energy Hldgs Co SR NT 2012 144A 5.875 10/01/2012 - 501,547
Mirant Americas Generation LLC SR NT 8.300 05/01/2011 - 122,204
Mirant Americas Generation LLC SR NT 7.200 10/01/2008 - 105,753
Motorola Inc NT 5.800 10/15/2008 - 143,417
National RuralUtils Coop Fin Global NT 5.750 08/28/2009 - 1,056,416
Nova Chem Corp 9.50% 12/31 Fixed Income - 1,860
Pemex Proj Fdg Master Tr Tranche Tr 00005 8.000 11/15/2011 - 531,860
Petrleos Mexicanos Medium Term Tranche Tr 00003 8.625 12/01/2023 - 520,109
Pioneer Nat Res Co SR NT 6.500 01/15/2008 - 254,145
Raytheon Co Deb 6.400 12/15/2018 - 980,889
SBC Communications Inc Global NT 5.875 08/15/2012 - 267,127
Shurgard Storage Ctr Inc C Fixed Income Securities - 51,884
Southwestern Pub SVC Co NT Dtd 5.125 11/01/2006 - 233,650
Sovran Self Storage Inc Fixed Income Securities - 30
Sprint Cap Corp NT 7.900 03/15/2005 - 349,790
Texaco Cap Inc GTDNT 7.90 02/01/2007 - 84,531
Transocean Sedco Forex Inc NT 7.500 04/15/2031 - 868,341
United Mexican STS Mtn Tranche 7.500 01/14/2012 - 371,003
United States Treas Nts 3.000 07/15/2012 - 1,060,222
Viacom Inc SR Deb 7.875 07/30/2030 - 979,255
----------- ---------------
- $ 63,080,155
----------- ---------------
Baxter Global Wrap Account
Cash & Cash Equivalents:
* State Street Bank & Trust Co. Short Term Investment Fund - 68,679,825
United States Treas Bills 0.010 01/09/2003 - 1,933,694
United States Treas Bills 0.010 01/16/2003 - 1,948,061
United States Treas Bills 0.010 02/13/2003 - 11,160,422
United States Treas Bills 0.010 01/09/2003 - 2,218,111
United States Treas Bills 0.010 01/16/2003 - 656,980
United States Treas Bills 0.010 02/13/2003 - 5,526,958
Fixed Income Securities:
Abbey Natl PLC Deb 7.950 10/26/2029 - 159,043
Abbott Labs NT 5.625 07/01/2006 - 541,137
Abitibi Consolidated Inc Deb 8.850 08/01/2030 - 131,364
Advanta Mtg Ln Tr Ctf Cl A 4 7.750 10/25/2026 - 130,247
Ahold Fin USA Inc NT 6.875 05/01/2029 - 172,747
Alcoa Inc NT 2007 4.250 08/15/2007 - 279,440
Allied Waste North Amer Inc SR NT 7.375 01/01/2004 - 148,571
Allied Waste North Amer Inc SR NT 7.625 01/01/2006 - 417,418
Allstate Corp SR NT 6.125 12/15/2032 - 129,784
AMB Ppty L P 2008 NT 7.100 06/30/2008 - 2,207,117
Amerada Hess Corp NT 6.650 08/15/2011 - 609,471
American Express Master Tr Accts Receiv. Tr Ct 5.90 04/15/2004 - 200,439
American Gen Fin Corp Mtn Tranche Tr 00385 4.500 11/15/2007 - 196,522
American Std Inc Shelf 2 7.375 02/01/2008 - 50,881
Americsourcebergen Corp SR NT 8.125 09/01/2008 - 185,853
Amvescap PLC SR NT 6.600 05/15/2005 - 214,941
Amvescap PLC SR NT 5.900 01/15/2007 - 540,659
Anadarko Pete Corp SR NT 5.375 03/01/2007 - 397,317
Anadarko Pete Corp SR NT 5.000 10/01/2012 - 363,233
Anthem Inc NT 2005 4.875 08/01/2005 - 533,888
Anthem Inc NT 2012 6.800 08/01/2012 - 1,342,063
AOL Time Warner Inc 6.150 05/01/2007 - 513,516
Aramark Svcs inc GTD NT 7.000 07/15/2006 - 617,703
Aramark Svcs inc NT 7.000 05/01/2007 - 269,254
Archer Daniels Midland Co SR Nts 5.935 10/01/2032 - 374,690
Archstone Smith Oper Tr NT 6.500 02/15/2012 - 256,619
Archstone Smith Tr SR NT 5.000 08/15/2007 - 379,789
Asset Bkd Secs Corp Hm Eq Ln 2001 He 2 Cl A1 1.000 06/15/2031 - 302,619
Associates Corp North Amer SR NT 6.250 11/01/2008 - 1,092,832
AT&T Broadband Corp NT 8.375 03/15/2013 - 332,728
AT&T Corp USD SR NT 1.000 11/15/2011 - 1,062,206
AT&T Corp USD SR NT 6.500 11/15/2006 - 2,398,337
AT&T Wireless Svcs Inc NT 7.500 05/01/2007 - 922,674
AT&T Wireless Svcs Inc SR NT 7.875 03/01/2011 - 657,310
Ball Corp SR NT 144A 6.875 12/15/2012 - 79,337
Bank Of America SR NT 6.250 04/15/2012 - 489,148
Bank One Corp 7.875 08/01/2010 - 571,441
Bankboston N A Medium Term Nts Tr 00008 6.375 04/15/2008 - 280,403
Bankboston Na Mtn 6.375 03/25/2008 - 1,828,926
Bear Stearns Coml Mtg Secs Inc 4.720 11/11/2035 - 587,052
Bear Stearns Coml Mtg Secs Inc 4.830 08/15/2038 - 611,137
Bear Stearns Cos Inc SR NT 6.250 07/15/2005 - 1,073,133
Boeing Cap Corp SR NT 7.100 09/27/2005 - 539,545
Boeing Cap Corp SR NT 5.750 02/15/2007 - 210,602
Boston Pptys Ltd Partnership SR NT 144A 6.250 01/15/2013 - 220,217
Bristol Myers Squibb Co NT 5.750 10/01/2011 - 150,609
Bristol Myers Squibb Co 4.750 10/01/2006 - 206,962
British Telecommunications Plc NT 1.000 12/15/2010 - 359,953
British Telecommunications PLC NT 1.000 12/15/2030 - 156,458
Calwest Indl Tr 6.127 02/15/2017 - 381,034
Carnival Corp Shelf 6 6.650 01/15/2028 - 207,273
Carnival Cruise Lines Inc NT 7.050 05/15/2005 - 159,537
Carolina PWR< Co NT 6.500 07/15/2012 - 187,341
Carramerica Rlty Corp SR NT 7.125 01/15/2012 - 153,135
Chase Coml Mtg Secs Corp 7.600 06/18/2006 - 391,518
Chase Coml Mtg Secs Corp 7.370 05/19/2007 - 449,517
Chase Coml Mtg Secs Corp 6.600 12/19/2007 - 383,986
Chase Cr Card Owner Tr 1.000 07/16/2007 - 226,994
Chase Manhattan Corp 6.000 11/01/2005 - 1,063,161
Cincinnati Gas & Elec Co Deb 5.700 09/15/2012 - 144,418
CIT Group Inc SR NT 5.500 11/30/2007 - 1,011,326
CIT Group Inc SR NT 5.500 11/30/2007 - 156,755
CIT Group Inc Tranceh SR 6.875 11/01/2009 - 154,868
CIT Group Inc Mt Sr Nts Tranche SR 5.625 05/17/2004 - 1,516,834
* Citibank Cr Card Issuance Tr NT Cl 2001 A6 5.650 06/16/2008 - 2,619,422
* Citibank Cr Card Issuance Tr NT Cl 2000 A2 1.000 11/17/2005 - 370,272
* Citibank Cr Cord Master Tr I 5.875 03/10/2011 - 1,090,849
* Citicorp Tranche SB 6.375 11/15/2008 - 628,217
* Citigroup Inc 7.250 10/01/2010 - 1,505,306
* Citigroup Inc Global SR NT 5.000 03/06/2007 - 262,908
* Citigroup Inc Global Sub NT 5.625 08/27/2012 - 486,268
CK Witco Corp SR NT 8.500 03/15/2005 - 210,580
Cleveland Elec Illum Secd NT Ser B 7.670 07/01/2004 - 180,573
Cnh Equity Tr 5.380 08/15/2007 - 1,550,700
Coca Cola Enterprises Inc 8.500 01Feb22 8.500 02/01/2022 - 160,374
Coca Cola Enterprises Inc Deb 6.750 01/15/2038 - 138,624
Columbia/Healthcare Coep NT 8.360 04/15/2024 - 25,224
Comcast Cable Communications NT DTD 6.750 01/30/2011 - 127,366
Comcast Cable Communications SR NT 6.200 11/15/2008 - 625,322
Commercial Mtg Asset Tr 6.640 09/17/2010 - 1,332,642
Community Program Ln 4.500 10/01/2018 - 1,978,287
Conagra Inc 6.000 09/15/2006 - 541,417
Conoco Fdg Co NT 6.350 10/15/2011 - 1,305,658
Conoco Fdg Co NT 5.450 10/15/2006 - 166,432
Conoco Inc NT 6.350 04/15/2009 - 563,480
Constellation Energy Group Inc SR NT 6.125 06/01/2009 - 1,012,793
Coors Brewing Co SR NT 6.375 05/15/2012 - 220,589
Countrywide Fdg Corp Mtn 4.250 12/19/2007 - 1,049,415
Cox Communications Inc New 7.125 10/01/2012 - 443,316
Cox Communications Inc New NT 7.750 08/15/2006 - 218,507
Credit Suisse First Boston Mtg 6.505 02/15/2034 - 100,438
Credit Suisse First Boston USA NT 5.750 04/15/2007 - 2,117,591
CSX Corp SR NT 6.750 03/15/2011 - 450,803
CSX Corp NT 6.250 10/15/2008 - 152,213
Deere John Cap Corp Global NT 4.500 08/22/2007 - 342,506
Delphi Corp NT 6.550 06/15/2006 - 2,085,239
Devon Energy Corp SR Deb 7.950 04/15/2032 - 292,157
Devon Fing Corp U L C NT 6.875 09/30/2011 - 362,980
Dial Corp SR NT 7.000 08/15/2006 - 135,670
Discover Card Mt 1 1.000 02/16/2007 - 569,612
DJL Coml Corp 6.080 03/10/2032 - 359,001
Dlj Comjl Mtg Corp 1.000 11/12/2031 - 164,596
Dominion Res Inc Del NT 5.700 09/17/2012 - 662,035
Domtar Inc NT 7.875 10/15/2011 - 375,104
Donaldson Lufkin & Jenrette Inc 2005 SR NT 6.875 11/01/2005 - 1,865,132
Donohue Fst Prods Inc SR NT 7.625 05/15/2007 - 306,609
Dow Chem Co SR NT 5.000 11/15/2007 - 528,405
Dow Chem Co NT 6.000 10/01/2012 - 1,524,687
Duke Cap Corp SR NT 7.500 10/01/2009 - 406,991
Duke Rlty Corp NT 5.875 08/15/2012 - 245,846
Duke Weks Realty Corp NT 6.950 03/15/2011 - 106,117
EOP Oper Ltd Partnership NT 6.375 02/15/2003 - 495,541
EOP Oper Ltd Partnership NT 7.500 04/19/2029 - 228,782
Erac USA Fin Co GTD NT 144A 7.350 06/15/2008 - 1,662,578
Erac USA Fin Co NT 144A 6.950 03/01/2004 - 1,544,139
Erac USA Fin Co NT 144A 8.250 05/01/2005 - 304,555
Fed Hm Ln Pc 6.500 08/01/2017 - 1,108,827
Fed Hm Ln PC 7.000 06/01/2032 - 4,028,520
Fed Hm Ln PC 5.000 11/01/2007 - 510,207
Fed Hm Ln PC 4.500 11/01/2007 - 960,452
Fed Hm Ln PC 4.500 12/01/2007 - 480,802
Fed Hm Ln Pc G10699 6.500 07/01/2012 - 262,957
Federal Home Ln Mtg Corp Preassign 00249 6.000 07/15/2027 - 1,158,023
Federal Home Ln Mtg Corp Ser 1819 Cl 1819 E 6.000 02/15/2011 - 3,209,373
Federal Home Ln Mtg Corp 5.250 01/15/2006 - 3,054,820
Federal Home Ln Mtg Corp Deb 5.000 05/15/2004 - 1,550,548
Federal Home Ln Mtg Corp Deb 5.500 07/15/2006 - 2,168,815
Federal Home Ln Mtg Corp Deb 3.250 12/15/2003 - 2,508,934
Federal Home Ln Mtg Corp Ser 2059 Cl HA 5.750 12/15/2025 - 399,537
Federal Home Ln Mtg Corp Deb 3.500 09/15/2007 - 1,611,403
Federal Home Ln Mtg Corp Deb 5.250 02/15/2004 - 2,057,611
Federal Home Ln Mtg Corp 5.750 01/15/2012 - 318,555
Federal Home Ln Mtg Corp Ser 2478 CL JE 6.000 04/15/2020 - 209,661
Federal Home Ln Mtg Corp Ser 2533 CL KC 4.250 10/15/2010 - 140,091
Federal Home Ln Mtg Corp GTD Preassign 00392 6.000 04/15/2025 - 1,019,839
Federal Home Ln Mtg PC GTD Ser 1404 FA 4.500 11/15/2007 - 1,056,263
Federal Home Ln Mtg PC GTD 3.500 12/15/2021 - 1,344,515
Federal Home Ln Mtg PC GTD Ser 1673 Cl 1673 H 6.000 11/15/2022 - 1,917,429
Federal Home Ln Mtg PC GTD Ser 1821 Cl 1821 C 6.500 7/15/2024 - 470,291
Federal Natl Mtg Assn 7.125 03/15/2007 - 2,079,416
Federal Natl Mtg Assn 5.500 02/15/2006 - 1,296,288
Federal Natl Mtg Assn 4.375 10/15/2006 - 1,675,669
Federal Natl Mtg Assn Ser 1996 7 Cl H 6.500 12/25/2023 - 1,099,785
Federal Natl Mtg Assn 6.000 03/25/2023 - 5,520,441
Federal Natl Mtg Assn Preassign 00418 6.000 07/25/2026 - 3,026,883
Federal Natl Mtg Assn 5.139 12/25/2011 - 969,056
Federal Natl Mtg Assn 4.768 04/25/2012 - 834,536
Federal Natl Mtg Assn NT 6.000 05/15/2008 - 2,235,726
Federal Natl Mtg Assn GTD 6.500 08/20/2024 - 1,488,491
Federal Natl Mtg Assn GTD 6.500 04/18/2026 - 2,952,463
Federal Natl Mtg Assn Mtn 6.060 02/03/2006 - 2,526,555
Federal Natl Mtg Assn Remic 5.703 05/25/011 - 1,194,724
Federal Natl Mtg Assn Remic 6.750 05/25/2021 - 125,355
FHLMC Jan 15 Gold Single 5.500 12/31/2099 - 827,824
Financement Que NT 5.000 10/25/2012 - 196,878
First Data Corporation SR NT 5.625 11/01/2011 - 519,142
First Un Natl Bk NC Tranche SB 00005 7.800 08/18/2010 - 587,815
First Union Lehman Bros BK Ser 1998 6.560 11/18/2035 - 185,672
First USA Cr Card Master Tr Asset Backed Ser 1.000 07/10 2006 - 345,695
Firstbank P R Sub Cap NT 7.625 12/20/2005 - 1,808,472
Firstenergy Corp NT Ser B 6.450 11/15/2011 - 180,364
Fleet Finl Group Inc New Sub Deb 6.875 01/15/2028 - 155,813
FNMA Jan 15 Single Fam 5.000 12/31/2099 - 352,402
FNMA Jan 15 Single Fam 5.500 12/31/2099 - 9,168,599
FNMA Jan 15 Single Fam 6.000 12/01/2099 - 27,628,200
FNMA Jan 30 Single Fam 6.500 12/01/2099 - 17,711,078
FNMA Jan 30 Single Fam 7.000 12/01/2099 - 3,823,190
FNMA Feb 30 Single Fam 6.000 12/31/2099 - 9,146,705
FNMA Feb 30 Single Fam 6.500 12/31/2099 - 1,948,841
FNMA Pool 125420 5.500 05/01/2011 - 137,061
FNMA Pool 252161 6.000 12/01/2028 - 922,630
FNMA Pool 254088 5.500 12/01/2016 - 891,104
FNMA Pool 254140 5.500 01/01/2017 - 2,246,372
FNMA Pool 343347 5.500 04/01/2011 - 1,031,184
FNMA Pool 415766 6.000 05/01/2028 - 1,279,233
FNMA Pool 313709 6.900 06/01/2007 - 503,783
FNMA Pool 323348 8.500 06/01/2012 - 289,693
FNMA Pool 6.500 06/01/2017 - 1,324,078
FNMA Pool 6.500 08/01/2032 - 2,773,206
FNMA Pool 323927 5.500 08/01/2014 - 1,839,036
FNMA Pool 545539 6.000 06/01/2011 - 1,586,760
Ford Cr Auto Owner Tr 4.790 11/15/2006 - 462,990
Ford Mtr Co Del BD 6.375 02/01/2029 - 684,931
Ford Mtr Co Del Global Landmark 7.450 07/16/2031 - 401,258
Ford Mtr Cr Co Global Landmark 7.375 02/01/2011 - 482,096
Ford Mtr Cr Co CDT 5.800 01/12/2009 - 1,203,769
Ford Mtr Cr Co Global Landmark 7.250 10/25/2011 - 1,786,732
Ford Mtr Cr Co Global Landmark 6.500 01/25/2007 - 563,923
Fpl Group Cap Inc Deb 6.875 06/01/2004 - 516,063
GE Cap Coml Mtg Corp 2002 1 Coml Mtg 5.994 12/10/2035 - 577,452
General Elec Cap Corp Mtn Tranche SR 00521 5.875 02/15/2012 - 580,375
General Elec Cap Corp Mtn Tranche SR 00551 6.000 06/15/2012 - 783,764
General Elec Cap Corp Mtn Tranche SR 00575 5.450 01/15/2013 - 454,537
General Elec Cap Corp Mtn Tranche Tr 00551 6.000 06/15/2012 - 1,436,900
General Mtrs Accep Corp SR NT 6.125 08/28/2007 - 441,523
General Mtrs Accep Corp SR NT 6.875 08/28/2012 - 441,872
General Mtrs Accep Corp NT 6.125 09/15/2006 - 1,013,770
General Mtrs Accep Corp NT 6.875 09/15/2011 - 2,942,679
General Mtrs Accep Corp SR NT 6.125 08/28/2007 - 667,302
General Mtrs Accep Corp NT 8.000 11/01/2031 - 222,049
General Mtrs Accep Corp SR NT 6.875 08/28/2012 - 289,672
GNMA I Jan 30 Single Fam 6.500 12/15/2099 - 3,083,941
GNMA Pool 448335 6.500 04/15/2031 - 948,392
GNMA Pool 567214 6.500 10/15/2031 - 1,018,219
Goldman Sachs Group Inc SR NT 5.700 09/01/2012 - 647,959
Green Tree Finl Corp 1999 6.080 12/01/2030 - 795,898
GS Mtg Secs Corp 2002 1.000 07/25/2032 - 158,987
Harrahs Oper Inc Gtd SR Sub NT 7.875 12/15/2005 - 183,694
HCA Healthcare Co SR NT 7.875 02/01/2011 - 26,766
HCA Healthcare Co NT 8.750 09/01/2010 - 201,376
Health Net Inc SR NT 8.375 04/15/2011 - 205,048
Healthcare Rlty Tr In SR NT 8.125 05/01/2011 - 165,288
HJ Heinz Finance Co 6.750 03/15/2032 - 285,801
Honda Auto Receivables 2002 1 NT Cl A 4 4.220 04/16/2007 - 282,642
Host Marriott L P SR NT Ser I 9.500 01/15/2007 - 90,697
Household Fin Corp NT 7.000 05/15/2012 - 804,459
Household Fin Corp NT 6.500 11/15/2008 - 476,636
Household Fin Corp NT 6.375 11/27/2012 - 288,730
Household Fin Corp NT 6.750 05/15/2011 - 36,919
Household Fin Corp NT 6.375 10/15/2011 - 66,762
Household Fin Corp NT 7.000 05/15/2012 - 75,083
Household Fin Corp NT 7.350 11/27/2032 - 37,231
Inco Ltd NT 7.750 05/15/2012 - 107,953
Inco Ltd Deb 7.200 09/15/2032 - 163,838
International Flavors & Frag NT 6.450 05/15/2006 - 154,638
International Lease Fin Corp Global NT 6.375 03/15/2009 - 711,806
International Paper Co NT 6.750 09/01/2011 - 755,169
Intl BK For Recon + Dev SR Global BD 4.000 01/10/2005 - 715,664
Italy (Republic of) 4.375 10/25/2006 - 814,903
J P Morgan Chase & Co Sub NT 6.750 08/15/2008 - 667,352
J P Morgan Chase & Co Sr HLDG Co NT 5.250 05/30/2007 - 735,108
J P Morgan Chase Coml Mtg Secs 6.260 03/15/2033 - 826,212
Jefferies Group Inc New SR NT 7.750 03/15/2012 - 188,699
JP Morgan Chase 6.75pct 01Feb11 6.750 02/01/2011 - 754,379
Kellogg Co NT Ser B 6.000 04/01/2006 - 508,417
Kellogg Co Deb Ser B 7.450 04/01/2031 - 279,382
Kerr McGee Corp NT 6.875 09/15/2011 - 350,052
Keyspan Corp 7.250 11/15/2005 - 584,011
Keyspan Corp NT 6.150 06/01/2006 - 480,197
KFW Intl Fin Inc GTD Global Nt 4.250 04/18/2005 - 646,514
Kraft Foods Inc Global NT 4.625 11/01/2006 - 524,219
Kroger Co 6.750 04/15/2012 - 760,285
Kroger Co NT 7.500 04/01/2031 - 207,141
Lehman Bros Inc Sr Sub NT 7.360 12/15/2003 - 773,720
Lehman Bros Inc NT 6.500 04/15/2008 - 769,291
Lehman Brothers Hldgs Inc Tranche Tr 00387 6.625 01/18/2012 - 455,207
Liberty Media Corp SR NT 7.875 07/15/2009 - 395,863
Lockheed Martin Corp Deb 8.500 12/01/2029 - 144,902
Lockheed Martin Corp NT 8.200 12/01/2009 - 344,210
Masco Corp SR NT 5.875 07/15/2012 - 370,122
Meadwestvaco Corp NT 6.850 04/01/2012 - 775,217
Meditrust NT 7.820 09/10/2026 - 119,301
Merey Sweeny LP SV BD 144A 8.850 12/18/2019 - 1,107,881
Merrill Lynch Mtg Invs Inc Mtg Ctf 1996 C2 Cl D 6.960 11/21/2028 - 346,720
Metlife Inc SR NT 5.375 12/15/2012 - 173,004
MGM Grand Inc SR Call Bd 6.950 02/01/2005 - 155,053
Midamerican Energy Hldgs Co SR NT 2012 114A 5.875 10/01/2012 - 148,758
Mohegan Tribal Gaming Augh 2006 SR NT 8.125 01/01/2006 - 103,365
Mohegan Tribal Gaming Augh SR Sub NT 8.750 01/01/2009 - 52,237
Morgan JP Coml Mtg Fin Corp 7.088 06/15/2029 - 251,918
Morgan Stanley Cap I Inc 1.000 12/15/2031 - 519,673
Morgan Stanley Dean Witter Cap 6.510 04/15/2034 - 1,668,626
Morgan Stanley Dean Witter Cap 4.570 12/18/2032 - 493,414
Morgan Stanley Dean Witter Cap Ser 2002 IQ3 Cl A4 5.080 09/15/2037 - 758,016
Morgan Stanley Group Inc Global NT 6.750 04/15/2011 - 547,041
Morgan Stanley Group Inc 5.800 04/01/2007 - 395,292
Morgan Stanley Group Inc Global NT 6.750 04/15/2011 - 503,278
Motorola Inc NT 6.750 02/01/2006 - 509,705
Motorola Inc 8.000 11/01/2011 - 1,079,170
National City Bk Tranche SB 00003 6.200 12/15/2011 - 311,091
National City Corp Sub Deb 6.875 05/15/2019 - 105,167
National Rural Utils Coop Fin Global NT 5.750 08/28/2009 - 1,755,985
National Rural Utils Coop Fin NT 2012 7.250 03/01/2012 - 181,204
National Westminster Bk PLC Reset Sub NT 7.750 04/29/2049 - 834,671
Navistar Finl 2002 A Owner Tr Asset Bkd NT Cl A 4 4.760 04/15/2009 - 2,083,945
Newell Rubbermaid Inc NT 6.000 03/15/2007 - 529,349
News Amer Hldgs Inc Gtd SR Deb 9.500 07/15/2024 - 419,996
News Amer Inc SR NT 6.625 01/09/2008 - 465,137
Niagara Mohawk PWR Corp 1st Mtg Dtd 5/15/95 7.750 05/15/2006 - 83,242
Niagara Mohawk PWR Corp SR NT Ser G 7.750 10/01/2008 - 282,352
Nisource Fin Corp Gtd NT 7.875 11/15/2010 - 225,074
Nisource Fin Corp Gtd NT 7.625 11/15/2005 - 225,166
Nomura Asset Secs Corp 94 2 Cl 2A 7.500 05/25/2024 - 210,039
Nomura Asset Secs Corp 6.590 03/15/2030 - 1,144,971
Nordea BK Sweden A B Sub NT 144A 5.250 11/30/2012 - 646,104
Norfolk Southn Corp NT 7.050 05/01/2037 - 215,891
Norfolk Southn Corp SR NT 7.250 02/15/2031 - 343,313
Northern Sts Pwr Co MN 8.000 08/28/2012 - 135,581
Northrop Grumman Corp NT 7.125 02/15/2011 - 172,978
Northrop Grumman Corp Deb 7.750 02/15/2031 - 439,213
NVR Inc SR NT 8.000 06/01/2005 - 61,575
NWA Tr SR Aircraft NT 8.260 03/10/2006 - 290,559
NWA Tr SR Aircraft NT 9.360 03/10/2006 - 245,161
Occidental Peet Corp SR NT 8.450 02/15/2029 - 280,393
Ontario Prov CDA BD 5.500 10/01/2008 - 547,393
PDVSA Fin Ltd NT 144A 6.800 11/15/2008 - 1,637,059
Petrleos Mexicanos Medium Term Tranche Tr 00003 8.625 12/01/2023 - 752,076
Petronas Cap Ltd USD GTD NT 114A 7.000 05/22/2012 - 303,043
Philip Morris Cos Inc NT 6.375 02/01/2006 - 2,975,789
Phillips Pete Co Deb 6.650 07/15/2018 - 157,994
Pinnacle One Partners LP SR NT 144A 8.830 08/15/2004 - 307,211
Pioneer Nat Res Co SR NT 6.500 01/15/2008 - 1,504,214
Praxair Inc NT 6.375 04/01/2012 - 460,911
Progress Energy Inc SR NT 5.850 10/30/2008 - 519,372
Progress Energy Inc SR NT 7.000 10/30/2031 - 378,023
Protective Life U S Fdg Tr NT 5.875 08/15/2006 - 542,396
Provident Cos Inc SR NT 6.375 07/15/2005 - 1,731,548
Prudential Ins Co Amer SR NT 144A 6.375 07/23/2006 - 533,430
Public Svc Co Colo 7.875 10/01/2012 - 293,281
Qubec Prov CDA Global Deb Ser PJ 6.125 01/22/2011 - 581,681
Quest Diagnostics Inc SR NT 6.750 07/12/2006 - 288,210
Raytheon Co Deb 6.000 12/15/2010 - 514,266
Raytheon Co NT 5.500 11/15/2012 - 125,488
Republic Svcs Inc 2009 NT 7.125 05/15/2009 - 276,874
Republic Svcs Inc 6.750 08/15/2011 - 211,415
Residential Asset Sec Mtg Pass 1.000 09/25/2031 - 185,490
Residential Asset Sec Mtg Pass 2002 KS3 Cl A II 1.000 05/25/2032 - 571,901
Royal BK Scotland Group PLC Global NT 5.000 10/01/2014 - 583,744
Royal Caribbean Cruises Ltd SR NT 8.750 02/02/2011 - 252,707
Royal Kpn Nv NT 8.000 10/01/2010 - 158,079
Sappi Papier Hldg Ag Gtd NT 144A 6.750 06/15/2012 - 263,032
SBC Communications Inc Global NT 6.250 03/15/2011 - 538,189
Science Applications Intl Corp NT 6.250 07/01/2012 - 105,063
Sears Roebuck Accep Corp NT 6.250 05/01/2009 - 359,018
Sears Roebuck Accep Corp NT 6.750 08/15/2011 - 1,164,594
Sears Roebuck Accep Corp NT 7.000 02/01/2011 - 152,504
Simon Debartolo Group LP 6.625pct NT 6.625 06/15/2003 - 240,807
Skandinaviska Enskilda Banken Sub NT Step Up 1.000 12/29/2049 - 502,550
SLM Student Ln Tr 1.000 07/28/2009 - 525,539
SLM Student Ln Tr 1.000 03/17/2008 - 496,419
Sonsolidated Edison Co NY Inc Deb Ser 2002 B 4.875 02/01/2013 - 194,076
South Affrica Rep NT 8.500 06/23/2017 - 2,886,315
Southern Nat Gas Co NT 7.350 02/15/2031 - 178,285
Sprint Cap Corp NT 8.375 03/15/2012 - 157,681
Sprint Cap Corp NT 6.875 11/15/2028 - 400,648
Sprint Cap Corp NT 7.900 03/15/2005 - 2,353,837
Sprint Cap Corp 7.625 01/30/2011 - 516,071
SPX Corp SR NT 7.500 01/01/2013 - 45,015
Standish Ayer & Wood Invt Tr Intl Fixed Income Fd - 5,019,865
Suntrusrt Bk Atlanta GA Tranche SB 00001 7.250 09/15/2006 - 129,957
Target Corp NT 5.875 03/01/2012 - 186,596
TCI Communications Inc Deb 7.875 02/15/2026 - 69,997
Tech Cominco LTD NT 7.000 09/15/2012 - 235,898
Teco energy Inc NT 2007 6.125 05/01/2007 - 206,765
Telekom Malaysia Berhad Deb 144A 7.875 08/01/2025 - 2,168,660
Tenet Healthcare Corp SR NT 6.375 12/01/2011 - 332,956
Texas Eastn Transmission Corp SR NT 5.250 07/15/2007 - 832,887
Textron FINL Corp NT 5.875 06/01/2007 - 335,325
Time Warner Entmt Co L P SR Deb 7.250 09/01/2008 - 2,104,356
Tosco Corp Deb 7.800 01/01/2027 - 173,333
Tosco Corp NT 8.125 02/15/2030 - 112,060
Toyota Auto Rec Owner Tr Ser 2001 B Cl A4 1.000 10/15/2007 - 311,028
Toyota Auto Receivables Cl A 3 Fltg 1.000 12/15/2005 - 172,712
Toyota Auto Receivables 2002 C Asset Bkd 1.000 03/15/2005 - 616,542
Tricon Global Restaurants Inc SR NT 7.650 05/15/2008 - 288,323
Tricon Global Restaurants Inc SR NT 8.875 04/15/2011 - 217,090
TRW Inc NT 6.050 01/15/2005 - 1,528,034
TRW Inc NT 7.125 06/01/2009 - 836,500
U S BK Natl Assn Minneapolis 6.375 08/01/2011 - 577,838
U S Dept Veteran Affairs 6.000 04/15/2008 - 304,573
U S Dept Veteran Affairs 6.000 04/15/2009 - 860,290
Union Planters Corp Sub NT 7.750 03/01/2011 - 373,605
United Mexican Sts Mtn Tranche 7.500 G124 01/14/2012 - 1,111,231
United States Treas Bds 6.250 05/15/2030 - 10,906,368
United States Treas Bds 5.375 02/15/2031 - 1,969,730
United States Treas Nts 6.500 05/15/2005 - 5,992,189
United States Treas Nts 6.500 08/15/2005 - 204,202
United States Treas Nts 5.500 05/15/2009 - 263,152
United States Treas Nts 6.000 08/15/2004 - 264,880
United States Treas Nts 6.000 08/15/2009 - 1,388,335
United States Treas Nts 3.500 11/15/2006 - 5,222,261
United States Treas Nts 3.000 11/30/2003 - 3,258,473
United States Treas Nts 3.000 01/31/2004 - 25,131
United States Treas Nts 3.000 02/29/2004 - 1,786,445
United States Treas Nts 3.250 05/31/2004 - 212,744
United States Treas Nts 2.875 06/30/2004 - 1,805,375
United States Treas Nts 2.125 10/31/2004 - 249,414
United States Treas Nts 3.000 11/15/2007 - 3,835,395
United States Treas Nts 4.000 11/15/2012 - 4,911,218
United States Treas Nts 3.000 07/15/2012 - 1,058,927
United States Treas Nts Inflation Indexed 3.625 01/15/2008 - 2,440,310
United States Treas Nts 5.500 02/28/2003 - 6,447,669
United States Treas Nts 00004 3.250 05/31/2004 - 15,575,902
United States Treas Nts 1.750 12/31/2004 - 3,340,251
United States Treas Nts Inflation Indexed 3.875 01/15/2009 - 6,911,401
Unitedhealth Group Inc NT 5.200 01/17/2007 - 191,963
Univision Commjunications Inc SR NT 7.850 07/15/2011 - 169,478
UNUM Corp NT 6.750 12/15/2028 - 284,918
UPM Kymmene Corp 5.625 12/01/2014 - 168,468
Verizon Global FDG Corp Global NT 7.375 09/01/2012 - 698,676
Verizon Wireless Cap LLC NT 5.375 12/15/2006 - 251,514
Verizon Wireless Cap LLC NT 1.000 12/17/2003 - 1,626,481
Viacom Inc SR NT 7.750 06/01/2005 - 608,943
Vodafone Airtouch PLC NT 7.750 02/15/2010 - 659,902
Wal Mart Stores Inc NT 6.875 08/10/2009 - 204,722
Washington Mut Fin Corp SR NT 6.250 05/15/2006 - 842,146
Waste Mgmt Inc Del SR NT 6.875 05/15/2009 - 278,486
Waste Mgmt Inc Del SR NT 7.375 05/15/2029 - 54,273
Waste Mgmt Inc Del SR NT 7.375 08/01/2010 - 360,123
Waste Mgmt Inc Del SR NT 6.500 11/15/2008 - 19,859
Wells Fargo & Co New Sub NT 5.000 11/15/2014 - 849,809
Wells Fargo BK N A NT DTD 6.450 02/01/2011 - 827,795
Westvaco Corp Deb 8.200 01/15/2030 - 428,582
XL Cap Fin Europe PLC SR NT DTD 6.500 01/15/2012 - 538,045
----------- ----------------
- $ 503,529,521
----------- ----------------
Pacific Investment Management Company
Cash & Cash Equivalents:
* State Street Bank & Trust Co. Short Term Investment Fund - 10,328,202
-
Fixed Income Securities: -
-
Aid Inca Infrastructure Fin Frn 1.000 03/26/2009 - 1,973,549
American Residential Mtg Ln 1.000 05/25/2029 - 2,251
Bear Stearns Arm 1.000 01/25/2032 - 637,957
Citicorp Mtg Secs Inc 4.150 12/25/2031 - 911,001
Columbia/HCA Healthcare Corp. Tranche TR 00003 8.130 08/04/2003 - 401,617
Costal Corp NT DTD 7.750 06/15/2010 - 301,953
Cwmbs Inc 5.250 05/25/2032 - 1,961,606
Daimler Chrysler Hldgs NT 8.500 01/18/2031 - 239,600
Fed Hm Ln Pc 6.500 05/01/2032 - 976,558
Federal Home Ln Mtg Corp Preassign 00070 5.750 06/15/2021 - 1,070,629
Federal Home Ln Mtg Corp Preassign 00337 1.000 02/15/2025 - 988,552
Federal Home Ln Mtg PC Gtd Ser 1628 CL 1628 G 5.850 08/15/2019 - 117,650
Federal Home Ln Mtg PC Gtd Ser 1675 CL 1675 G 6.000 02/15/2020 - 323,610
Federal Home Ln Mtg PC GTD Remic Ser 32 Cla Ph 6.500 09/25/2022 - 6,789,820
Federal Natl Mtg Assn 6.000 07/25/2019 - 1,375,040
Federal Natl Mtg Assn 1.000 02/25/2025 - 987,720
Federal Natl Mtg Assn Preassign 00001 5.000 09/25/2010 - 2,931,587
Federal Natl Mtg Assn GTD 6.250 11/18/2022 - 933,905
FHLMC Jan 30 Gold Single 6.500 12/10/2099 - 10,795,004
FNMA Jan 15 Single Fam 5.500 12/31/2099 - 510,810
FNMA Feb 15 Single Fam 5.500 12/31/2099 - 10,188,446
Freddie Mac Ser 2411 CL FJ 1.000 12/15/2029 - 1,005,668
Govt Natl Mtg Assn GTD Remic 6.750 05/16/2026 - 518,648
IRS USD SWP 031909 6.000 06/18/2023 - (1,102,974)
IRS USD SWP 031883 5.000 06/18/2008 - 754,574
IRS USD SWP 031776 5.000 06/18/2013 - (44,579)
Mid St Tr Iv Asset Backed NT 8.330 04/01/2030 - 1,809,294
National Australia Fdg Del Inc 1.410 01/02/2003 - 4,933,292
Occidental Pete Corp SR NT 6.400 04/01/200 3 - 1,494,906
Pimco Fds Pac Invt Mgmt Private Acct Portfolio - 2,463,233
Pimco Fds Pac Invt Mgmt Ser U S Govt Sector Port Instl Cl - 4,124,638
Pimco Fds Pac Invt Mgmt Ser Ntg Portfolio Instl Cl - 14,872,907
Pimco Fds Pac Invt Mgmt Ser Energing Mkts Portfolio - 5,053,773
Pimco Fds Pac Invt Mgmt Ser Intl Portfolio Instl Cl - 5,270,873
Pimco Fds Pac Invt Mgmt Ser Invt Grade Corp Port Instl Cl - 17,307,827
Small Business Admin Deb Ser 1999 20 K 7.060 11/01/2019 - 976,562
Small Business Admin Deb Ser 1999 20 L 7.190 12/01/2019 - 1,580,354
SWAP Option 3mo Libor Oct 4.0 Call - (59,443)
SWAP Option 3mo Libor P015188 Nov 3.15 Call - (200,670)
SWAP Option 3mo Libor P015787 Jan 6.65 Put - (54,381)
SWAP Option 3mo Libor P030984 Oct 6.0 Put - (75,311)
SWAP Option 3mo Libor P031503 Nov 3.0 Call - (12,904)
SWAP Option 3mo Libor P031511 Nov 3.0 Call - (2,881)
SWAP Option 3mo Libor P031784 Oct 4 Call - (24,240)
SWAP Option 3mo Libor P032097 Jan 4.0 Call - (34)
SWAP Option 3Mo Libor PO15100 Nov 6.13 Put 0.000 11/10/2003 - (203,729)
SWAP Option 3Mo Libor PO15951 Jan 7 Put 0.000 01/07/2005 - (2,615)
SWAP Option 3Mo Libor PO31404 Nov 3.0 Call 0.000 11/12/2003 - (6,350)
United Airls Pass Thru Trs 9.560 10/19/2018 - 148,016
United States Treas Bds 8.750 05/15/2017 - 214,203
United States Treas Bds 8.875 08/15/2017 - 722,039
United States Treas Bds 6.250 08/15/2023 - 5,683,133
United States Treas Bds 5.500 08/15/2028 - 799,109
United States Treas Bills 0.010 02/13/2003 - 492,734
United States Treas Bills 0.010 02/20/2003 - 1,231,554
United States Treas Nts 7.000 07/15/2006 - 5,148,143
Wells Fargo Mtg Backed Secs 5.400 04/25/2032 - 1,252,707
----------- ---------------
- $ 130,815,143
----------- ---------------
Benefit Responsive Interest Rate Wrapper Contracts:
Aegon Institutional Markets open ended maturity - (87,499,830)
* State Street Bank & Trust Co. open ended maturity - (32,834,462)
----------- ---------------
- $ (120,334,292)
----------- ---------------
Guaranteed Investment Contracts - $ 514,010,372
----------- ---------------
Commingled Investments:
Aegis Value Fund Inc Commingled Investments - 4,470
Alleghany/Veredus Aggres Commingled Investments - 3,341
Amer Century Benham Targe Commingled Investments - 674
American Aadvantage Small Commingled Investments - 10,221
American Century 20th Cent Commingled Investments - 5,098
American Century Equity Inc Commingled Investments - 2,723
American Century Nwe Real Commingled Investments - 15,259
Ameristock Mutual Fund Commingled Investments - 42,846
Ariel Appreciation Class B Commingled Investments - 141,832
Ariel Growth Class A Commingled Investments - 73,879
Artisan Internat'l Commingled Investments - 112,847
Artisan Mid Cap Commingled Investments - 18,930
Baron Growth & Inc Commingled Investments - 251
Berger Mid Cap Value Commingled Investments - 27,777
Berger Small Cap Val Retail Commingled Investments - 4,366
Berkshire Focus Fund Commingled Investments - 15,448
Bjurman Micro Cap Growth Commingled Investments - 960
Black Oak Emerging Technol Commingled Investments - 102
Boston Partners Sml Cap Va Commingled Investments - 4,434
Brazos Micro Cap Growth Commingled Investments - 317
Bridgeway Aggressive Grow Commingled Investments - 32,589
Bridgeway Aggressive Inves Commingled Investments - 43,965
Bridgeway Ultra Small Index Commingled Investments - 1,435
Brown Capital Mgmt Small C Commingled Investments - 1,830
Buffalo Small Cap Growth Commingled Investments - 27,659
Calamos Growth Class A Commingled Investments - 1,243
Calvert Income Fund Class A Commingled Investments - 37,317
Clipper Commingled Investments - 185,005
Columbia Strategic Value Fd Commingled Investments - 3,138
Cooke & Bieler Mid Cap Equit Commingled Investments - 4,226
Dodge & Cox Balance Commingled Investments - 14,613
Dodge & Cox Income Commingled Investments - 36,726
Dodge & Cox Stock Commingled Investments - 22,757
Domini Social Bond Fund Commingled Investments - 2,113
Dreyfus Emerging Markets Commingled Investments - 10,178
Dreyfus Midcap Value Fund Commingled Investments - 5,869
Dreyfus S&P 500 Index Fund Commingled Investments - 19,465
Eaton Vance Worldwide Hea Commingled Investments - 3,755
Evergreen Healthcare Clas Commingled Investments - 1,197
Excelsior Income Business & Commingled Investments - 6,758
Excelsior Real Estate Commingled Investments - 24,977
Exeter Maximum Horizon Commingled Investments - 2,363
Fam Equity Income Commingled Investments - 5,038
FBR Small Cap Financial Fund Commingled Investments - 3,055
Fidelity Contrafund Commingled Investments - 1,150
Fidelity Convertible Securiti Commingled Investments - 19,495
Fidelity Diversified Internati Commingled Investments - 41,978
Fidelity Dividend Growth Commingled Investments - 174,539
Fidelity Equity Income II Commingled Investments - 8,212
Fidelity Growth & Income Commingled Investments - 20,624
Fidelity Large Capital Stock Commingled Investments - 5,942
Fidelity Low Priced Stock Commingled Investments - 9,771
Fidelity Mid Cap Stock Commingled Investments - 13,504
Fidelity Real Estate Investm Commingled Investments - 21,981
Fidelity Small Cap Stock Commingled Investments - 14,154
Fidelity Worldwide Commingled Investments - 4,305
Firsthand Global Technology Commingled Investments - 134
Firsthand Technology Value Commingled Investments - 228
Franklin Biotech Discovery Commingled Investments - 1,402
Franklin Real Estate Securit Commingled Investments - 10,015
Fremont US Micro Capital Commingled Investments - 28,058
Fundamental Investors Commingled Investments - 11,485
Gabelli Growth Shares Ben I Commingled Investments - 14,182
Gabelli Westwood Equity Re Commingled Investments - 55,611
Growth Fund of America Commingled Investments - 6,312
Hancock Horizon Burkenroa Commingled Investments - 11,317
Harbor Bond Commingled Investments - 9,968
Heartland Group Value Plus Commingled Investments - 2,895
Hussman Strategic Growth Commingled Investments - 9,897
Icon Leisure and Consumers Commingled Investments - 4,109
Icon Technology Commingled Investments - 26,418
Invesco Leisure N/C Commingled Investments - 203
Invesco Technology N/C Commingled Investments - 2,802
Invesco Telecomm #39 N/C Commingled Investments - 877
Janus Flexible Income Commingled Investments - 3,019
Janus Inv't Balanced Commingled Investments - 48,206
Janus Inv't Equity Income Commingled Investments - 39,309
Janus Inv't Growth & Income Commingled Investments - 19,196
Janus Inv't Mercury Commingled Investments - 1,391
Jensen Portfolio, Inc. Commingled Investments - 44,301
JP Morgan Mid Cap Value Inst Commingled Investments - 4,319
Julius Baer Int'l Equity Commingled Investments - 4,014
Kinetics Small Cap Opportun Commingled Investments - 2,093
Liberty Acorn Class Z N/C Commingled Investments - 2,316
Longleaf Partners Commingled Investments - 23,644
Loomis Sayles Bond Commingled Investments - 5,075
Lord Abbett Affiliated Class Commingled Investments - 18,196
Lord Abbett Research Small Commingled Investments - 21,515
Masters Select Equity Commingled Investments - 38,745
Matthews Intl Fds Pac Tiger Commingled Investments - 21,411
Meridian Fund Commingled Investments - 7,312
Meridian Value Fund Commingled Investments - 2,254
Muhlenkamp Fund Commingled Investments - 4,149
Navellier Perf Fund Agg Sma Commingled Investments - 3,361
Needham Growth Fund Commingled Investments - 1,074
Neuberger & Berman Genesis Commingled Investments - 18,707
Oakmark Balanced Commingled Investments - 71,681
Oakmark Fund Commingled Investments - 76,089
Oakmark Global Fund I Commingled Investments - 3,963
Oakmark Internat'l Commingled Investments - 46,666
Oakmark Internat'l Small Ca Commingled Investments - 6,490
Oakmark Select Commingled Investments - 61,978
Oakmark Small Cap Commingled Investments - 22,163
PBHG Clipper Focus N/C Commingled Investments - 3,497
PBHG Large Cap 20 Commingled Investments - 3,599
PBHG Large Cap Value Commingled Investments - 12,499
PBHG Mid Cap Value Commingled Investments - 2,566
Pimco Rcm Biotechnology Cl Commingled Investments - 8,802
Pimco Rcm Global Healthcare Commingled Investments - 43,012
Pimco Rcm Global Technology Commingled Investments - 712
Pimco Rcm Global Technology Commingled Investments - 6,024
Pimco Real Return Bond Class Commingled Investments - 2,233
Pimco Real Return Class C Commingled Investments - 5,087
Pimco Value Institutional Commingled Investments - 175
Pin Oak Aggressive Stock Commingled Investments - 2,718
Pioneer High Yield Class A Commingled Investments - 2,467
Putnam New Opportunities C Commingled Investments - 305
Red Oak Technology Select Commingled Investments - 183
Royce Low Priced Stocked Fun Commingled Investments - 107,685
Royce Microcap Commingled Investments - 11,022
Royce Opportunity Fund Commingled Investments - 25,913
Royce Pa Mutual Commingled Investments - 61,776
Royce Premier Serice Commingled Investments - 2,721
Royce Special Equity Commingled Investments - 1,003
Royce Total Return Commingled Investments - 27,730
RS Global Natural Resource Commingled Investments - 2,867
RS Partners N/C Commingled Investments - 2,728
Rydex Biotechnology Inv Cla Commingled Investments - 232
Rydex Titan 500 Commingled Investments - 31,150
Rydex URSA Fund Commingled Investments - 10,159
Rydex Venture 100 Commingled Investments - 10,595
Safeco Growth Commingled Investments - 21,427
Select Health Care Commingled Investments - 2,935
Selected American Shares Commingled Investments - 9,728
Skyline Special Equities Commingled Investments - 3,330
Spartan Market Index Commingled Investments - 6,056
SSAG Money Market Fund Commingled Investments - 3,827,758
SSAG Real Estate Equity Commingled Investments - 31,656
* State Street Bank & Trust Co. Small Cap Fund - 15,488,656
* State Street Bank & Trust Co. International EAFE Equity Index Fund - 16,777,373
* State Street Bank & Trust Co. S & P 500 Equity Index Fund - 100,709,858
Strong Index 500 Commingled Investments - 19,488
Strong Limited Resources Commingled Investments - 1,930
Strong Opportunity Income Commingled Investments - 6,295
T Rowe Price Balanced Commingled Investments - 23,035
T Rowe Price Mid Cap Growth Commingled Investments - 2,402
T Rowe Price Mid Cap Value Commingled Investments - 20,241
T Rowe Price Science & Tech Commingled Investments - 1,784
T Rowe Price Small Cap Stoc Commingled Investments - 2,325
Third Avenue Real Estate Va Commingled Investments - 11,644
Third Avenue Value Fd Commingled Investments - 19,388
Thompson Plumb Growth Fun Commingled Investments - 2,553
Tocqueville Gold Fund Commingled Investments - 5,124
Transamerica Premier Balance Commingled Investments - 222
Tweedy Browne Global Value Commingled Investments - 101,925
Ultra OTC Pro Fund Investor Commingled Investments - 22,588
Ultra Small Cap Pro Fund In Commingled Investments - -
Ultrashort OTC Profund Inv Commingled Investments - 785
Value Line Leveraged Growth Commingled Investments - 34,386
Vanguard Bond Index Total Commingled Investments - 48,886
Vanguard Calvert Social Ind Commingled Investments - 1,125
Vanguard Fixed Income Inter Commingled Investments - 1,524
Vanguard Gnma Fixed Income Commingled Investments - 24,397
Vanguard High Yeild Bond Fix Commingled Investments - 8,994
Vanguard Index Trust S&P Commingled Investments - 49,019
Vanguard Inflation Protect Commingled Investments - 14,449
Vanguard Mid Cap Index Commingled Investments - 12,710
Vanguard Muni Bond Interme Commingled Investments - 3,670
Vanguard Reit Index Fund Commingled Investments - 3,350
Vanguard Select Value Fund Commingled Investments - 33,359
Vanguard Specialized Energ Commingled Investments - 48,573
Vanguard Specialized Utilities Commingled Investments - 2,319
Vanguard Total Stock Mark Commingled Investments - 20,855
Vanguard US Growth Fund Commingled Investments - 1,506
Vanguard/Wellesley Income Commingled Investments - 23,303
Vanguard/Wellington Income Commingled Investments - 15,031
Vanguard/Windsor II Portfolio Commingled Investments - 2,438
Wasatch Aggressive Equity Commingled Investments - 22,396
Wasatch Growth Commingled Investments - 904
Wasatch Microcap Value Commingled Investments - 23,769
Weitz Partners Value Commingled Investments - 1,649
Weitz Value Commingled Investments - 102,094
White Oak Growth Stock Commingled Investments - 24,603
Whitehall Growth Commingled Investments - 1,750
Yacktman Focused Fd Commingled Investments - 5,045
Yacktman Fund Commingled Investments - 3,075
----------- ---------------
- $ 140,182,396
----------- ---------------
* Participant Loans Interest rate range from 5.25% to 10.67% - $ 29,550,104
----------- ---------------
- $ 1,163,505,024
=========== ===============
* Party-in-interest
Note - Cost information is omitted for participant-directed investments.
SIGNATURE
Pursuant to the requirements of the Securities and Exchange Act of 1934, the
Plan Administrator has duly caused this annual report to be signed on its behalf
by the undersigned thereunto duly authorized.
BAXTER INTERNATIONAL INC. AND SUBSIDIARIES
INCENTIVE INVESTMENT PLAN
Date: June 27, 2003 By: /S/ Brian P. Anderson
-------------------------
Brian P. Anderson
Senior Vice President and
Chief Financial Officer
Exhibit Index
Exhibit
Number Description
------- -----------
23 Consent of PricewaterhouseCoopers LLP
99.1 Certification of Chief Executive Officer Pursuant to 18 U.S.C. Section
1350
99.2 Certification of Chief Financial Officer Pursuant to 18 U.S.C. Section
1350