combined*

Source: University of California, Office of the Treasurer

University of California Retirement Plan Fixed Income Portfolio December 31, 2002

DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE ABBOTT LABORATORIES NC 10,000,000 5.625 7/1/06 10,885,300 ALCOA INC NC 14,000,000 5.375 1/15/13 14,835,520 ALLSTATE CORP NC 24,000,000 7.200 12/1/09 27,831,600 ALLSTATE CORP. NC 13,000,000 6.900 5/15/2038 14,314,430 AMERICAN GENERAL CAP II NC 29,000,000 8.500 7/1/2030 37,789,900 AMERICAN GENERAL INST CAP A NC 37,500,000 7.570 12/1/2045 44,584,125 ANADARKO FINANCE NC 27,500,000 7.500 5/1/2031 32,693,650 AOL TIME WARNER INC NC 26,000,000 6.875 5/1/12 27,462,240 AOL TIME WARNER INC NC 45,000,000 7.625 4/15/2031 46,070,100 AOL TIME WARNER INC NC 20,000,000 7.700 5/1/2032 20,881,000 ATHABASCA OIL SANDS NC 20,000,000 8.200 4/1/27 23,514,878 AXA NC 31,000,000 8.600 12/15/2030 35,400,140 BECTON DICKINSON NC 37,000,000 7.000 8/1/27 41,766,710 BELLSOUTH CORP NC 5,000,000 5.000 10/15/06 5,347,800 BELLSOUTH CORP NC 29,000,000 6.875 10/15/2031 32,491,600 BOMBARDIER NC 18,200,000 7.350 12/22/26 8,651,920 BRITISH TEL PLC NC 12,000,000 8.375 12/15/10 14,414,280 BRITISH TEL PLC NC 38,000,000 8.875 12/15/2030 48,427,200 BURLINGTON RESOURCES NC 24,300,000 9.875 6/15/10 31,376,552 CANADIAN NATL RAILROAD NC 22,000,000 6.800 7/15/18 24,252,140 CANADIAN NATL RAILROAD NC 38,525,000 6.900 7/15/28 43,621,858 CARNIVAL CORP NC 23,500,000 7.200 10/1/23 23,552,736 CCCIT 2001-A6 A6 6,000,000 5.650 6/15/06 6,552,840 CELULOSA ARAUCO NC 41,632,000 7.750 9/13/11 45,986,291 CEMEX S A PT09 50,000,000 9.625 10/1/09 55,125,000 CHAMT 2001-4 A 6,000,000 5.500 11/15/08 6,530,760 CHILE REP NC 11,000,000 7.125 1/11/12 12,403,490 CITIGROUP INC NC 16,500,000 5.500 8/9/06 17,815,545 CITIGROUP INC NC 35,000,000 6.000 2/21/12 38,467,450 CLEAR CHANNEL COMMUNICATIONS NC 34,750,000 7.650 9/15/10 39,324,490 CODELCO INC NC 21,000,000 6.375 11/30/12 22,101,870 DCAT 2001-B A4 4,000,000 5.320 6/1/04 4,233,360 EATON CORP NC 10,650,000 8.100 8/15/22 12,240,012 EMERSON ELECTRIC NC 16,000,000 7.125 8/15/10 18,596,640 FEDERAL HOME LOAN BANK 186,000,000 5.375 2/15/07 203,978,760 FGCI POOL #E01084 20,997,729 5.500 1/1/17 21,770,968 FGCI POOL #E01098 48,842,773 6.000 2/1/17 51,015,948 FGCI POOL #E01251 28,794,189 5.500 11/1/17 29,866,263 FGCI POOL #G11212 14,390,648 6.500 11/1/16 15,138,687 FHLG POOL #C62885 33,404,488 6.500 1/1/2032 34,816,448 FHLG POOL #G01317 23,814,120 7.000 10/1/2031 24,977,804 FHLG POOL #G01323 32,936,677 7.000 9/1/2031 34,499,063 FHLG POOL #G01324 18,815,900 7.000 10/1/2031 19,708,452 FHLG POOL #G01391 100,594,758 7.000 4/1/2032 105,510,352



DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE FHR 2422 DM 45,000,000 6.500 4/15/28 47,165,184 FHR 2484 PA 51,227,643 6.000 4/15/22 53,647,698 FHR 2484 VA 9,696,984 6.000 9/15/12 10,293,352 FHR 2494 CD 13,750,000 5.500 8/15/14 14,624,999 FHR 2501 MA 17,000,000 5.500 3/15/12 17,767,288 FHR 2509 TA 11,000,000 5.500 10/15/09 11,421,500 FIRSTENERGY CORP NC 24,000,000 5.500 11/15/06 24,135,120 FIRSTENERGY CORP NC 30,000,000 6.450 11/15/11 29,848,800 FIRSTENERGY CORP NC 26,500,000 7.375 11/15/2031 25,679,030 FNCI 5 1/2 TBA 60,000,000 5.500 1/5/18 61,396,872 FNCI POOL #254308 5,097,908 6.500 5/1/17 5,376,453 FNCI POOL #254373 13,928,734 6.500 7/1/17 14,689,790 FNCI POOL #545125 29,673,250 6.000 8/1/16 31,001,067 FNCI POOL #545296 32,533,757 6.000 11/1/16 33,989,576 FNCI POOL #581853 62,829,957 6.000 7/1/16 65,641,468 FNCI POOL #598444 5,473,933 6.500 6/1/17 5,773,024 FNCI POOL #609541 11,152,776 6.500 10/1/16 11,748,262 FNCI POOL #612304 59,916,559 6.000 10/1/16 62,597,702 FNCI POOL #639018 5,529,155 6.500 4/1/17 5,831,264 FNCI POOL #650503 16,026,900 6.500 6/1/17 16,902,597 FNCI POOL #651388 5,499,887 6.500 8/1/17 5,800,397 FNCI POOL #673022 61,839,544 5.500 12/1/17 64,129,222 FNMA POOL #555139 78,685,000 6.500 10/1/2032 81,979,934 FNMA POOL #254146 40,396,775 6.000 1/1/2032 41,770,303 FNMA POOL #254548 42,928,457 5.500 12/1/2032 43,818,912 FNMA POOL #516493 2,438,765 6.000 6/1/29 2,520,983 FNMA POOL #535811 7,503,625 6.500 4/1/2031 7,804,488 FNMA POOL #535911 22,444,849 6.500 5/1/2031 23,328,538 FNMA POOL #545506 31,024,702 7.000 2/1/2032 32,610,111 FNMA POOL #581706 21,143,778 6.500 7/1/2031 21,991,552 FNMA POOL #581861 26,016,855 6.500 7/1/2031 27,060,018 FNMA POOL #581975 21,883,104 6.500 8/1/2031 22,760,522 FNMA POOL #585628 60,090,095 6.500 6/1/2031 62,499,447 FNMA POOL #591189 11,759,218 6.500 8/31/2031 12,230,711 FNMA POOL #591497 16,468,896 6.500 9/1/2031 17,129,228 FNMA POOL #592020 27,670,313 6.500 6/1/2031 28,779,773 FNMA POOL #597249 39,186,081 6.500 9/1/2031 40,757,273 FNMA POOL #597384 42,866,271 6.500 6/1/2031 44,585,023 FNMA POOL #597545 10,829,016 6.500 9/1/2031 11,263,213 FNMA POOL #597699 42,003,608 6.500 9/1/2031 43,687,770 FNMA POOL #610324 78,208,954 6.500 10/1/2031 81,344,794 FNMA POOL #614359 26,832,636 6.500 12/1/2031 27,908,508 FNMA POOL #620451 17,305,161 6.500 1/1/2032 17,999,023 FNMA POOL #633857 10,783,688 7.000 3/1/2032 11,334,751



DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE FNMA POOL #635030 43,838,332 6.500 5/1/2032 45,658,658 FNMA POOL #640008 24,708,008 7.000 4/1/2032 25,970,625 FNMA POOL #672415 11,672,306 6.500 9/1/2032 12,156,982 FNMA POOL #673572 29,000,000 6.000 11/1/2032 30,012,753 FNMA POOL #676633 94,999,548 6.000 12/1/2032 98,339,371 FNMA POOL #676739 15,089,273 6.000 1/1/2033 15,619,755 FNMA POOL #676740 19,114,643 6.000 1/1/2033 19,786,641 FNMA POOL #676868 10,329,704 6.000 1/1/2033 10,690,443 FNMA-BENCHMARK 65,000,000 4.000 11/17/06 66,101,750 FNMA-BENCHMARK 68,000,000 5.000 1/15/07 73,712,680 FNMA-BENCHMARK 83,000,000 5.250 1/15/09 90,724,810 FNMA-BENCHMARK 85,000,000 5.500 3/15/11 93,249,250 FNMA-DUS POOL #382064 7,645,739 7.030 11/1/09 8,854,225 FNMA-DUS POOL #383233 7,967,764 6.275 3/1/2031 8,953,536 FNMA-DUS POOL #383428 6,868,763 6.080 5/1/11 7,607,155 FNMA-POOL #627118 74,278,170 7.000 3/1/2032 78,073,897 FNMA-POOL #627131 75,749,864 7.000 3/1/2032 79,620,796 FNR 02-09 PB 36,000,000 6.000 11/25/14 37,879,812 FNR 02-18 VA 14,258,642 6.500 2/25/13 15,095,739 FNR 02-29 VA 14,347,542 6.500 2/15/13 15,178,058 FNR 02-33 VA 9,558,614 6.500 6/25/13 10,045,646 G2SF POOL#TBA 39,000,000 6.000 1/3/28 40,566,092 GENERAL ELECTRIC NC 20,000,000 4.625 9/15/09 20,550,200 GENERAL ELECTRIC NC 40,000,000 6.000 6/15/12 43,122,800 GENERAL ELECTRIC CAPITAL NC 52,000,000 6.125 2/22/11 56,209,920 GENERAL ELECTRIC CAPITAL NC 57,000,000 6.750 3/15/2032 63,177,660 GEORGIA POWER NC 15,000,000 5.125 11/15/12 15,468,900 GNMA-I POOL #523006 10,283,047 6.500 2/15/2032 10,802,248 GNMA-I POOL #546959 3,089,014 7.000 9/15/2031 3,267,912 GNMA-I POOL #550274 9,003,998 7.000 8/15/2031 9,525,458 GNMA-I POOL #551683 8,798,156 7.000 10/15/2031 9,307,695 GNMA-I POOL #552383 17,398,654 6.000 2/15/2032 18,135,926 GNMA-I POOL #569552 24,216,371 6.000 1/15/2032 25,230,902 GNMA-I POOL #569569 24,860,397 6.000 1/15/2032 25,913,862 GNMA-I POOL #569703 35,571,562 6.500 2/15/2032 37,367,604 GNMA-I POOL #570142 38,952,030 6.000 12/15/2031 40,583,904 GNMA-I POOL #572861 10,170,653 6.500 2/15/2032 10,672,270 GNMA-I POOL #586579 3,587,665 6.500 5/15/2032 3,768,809 GNMA-I POOL #780933 32,042,945 7.000 12/15/28 34,106,962 GNMA-I POOL #781029 34,136,704 6.500 5/15/29 35,984,886 GNMA-I POOL #781130 35,995,818 7.000 1/15/2030 38,269,461 GNMA-II POOL #2824 7,766,516 7.000 10/20/29 8,181,470 GNMA-II POOL #2957 19,687,914 7.500 8/20/2030 20,856,094 GNMA-II POOL #2958 8,322,931 8.000 8/20/2030 8,889,729



DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE GNMA-II POOL #2973 10,577,442 8.000 9/20/2030 11,297,774 GNMA-II POOL #2999 21,624,163 7.500 11/20/2030 22,907,230 GNMA-II POOL #3011 11,262,282 7.500 12/20/2030 11,930,528 GNR 02-29 VC 29,027,848 6.500 2/16/13 30,679,576 GNR 02-32 QC 23,327,000 6.000 11/20/27 24,238,386 GNR 02-40 VC 47,126,688 6.500 10/20/14 49,361,497 GNR 02-45 QB 32,299,000 6.500 4/20/28 33,937,305 GNR 02-45 VA 17,976,261 6.000 4/20/13 19,091,866 GNR 02-46 PD 27,040,000 6.000 7/20/07 28,663,392 GRAND MET INVT CORP NC 7,750,000 8.000 9/15/22 9,691,375 GRAND MET INVT CORP NC 36,600,000 9.000 8/15/11 47,712,492 GRUPO TELEVISA SA NC 40,000,000 8.000 9/13/11 41,600,000 GRUPO TELEVISA SA NC 16,000,000 8.500 3/11/2032 15,200,000 HALLMARK INC. NC 17,000,000 8.920 7/23/12 21,080,000 HAROT 2002-1 A4 18,600,000 4.220 4/16/07 19,429,746 HAROT 2002-3 A3 2,000,000 3.000 5/18/06 2,036,620 HYDRO QUEBEC NC 29,440,000 8.250 4/15/26 39,226,739 HYDRO QUEBEC NC 29,200,000 8.250 1/15/27 39,012,368 IBM CORP NC 20,000,000 4.750 11/29/12 20,070,800 IBM CORP NC 43,000,000 6.500 1/15/28 46,108,470 INTL BK R&D(INTPT)STRIPS 60,000,000 0.000 2/15/16 30,225,600 INTL BK R&D(PRNPT)STRIPS 32,000,000 0.000 2/15/15 17,140,160 KFW INTL FINANCE NC 17,000,000 5.250 6/28/06 18,493,280 KIMBERLY CLARK DE MEX NC 30,000,000 8.875 8/1/09 34,935,000 LOBLAW NC 22,000,000 6.450 2/9/28 14,034,263 LOBLAW NC 25,000,000 6.650 11/8/27 16,339,059 LOBLAW CO. LTD NC 28,000,000 6.500 1/22/29 17,965,474 LOBLAW CO. LTD RESIDS NC 80,000,000 0.000 5/23/2031 8,519,624 LOCKHEED MARTIN CORP NC 31,000,000 8.500 12/1/29 41,428,710 LORAL NC 35,875,000 7.000 9/15/23 39,906,030 M & I CAPITAL SEC. NC06 24,500,000 7.650 12/1/26 26,970,294 MARSH & MCLENNAN COS INC NC 30,000,000 5.375 3/15/07 32,131,800 MARSH & MCLENNAN COS INC NC 46,000,000 7.125 6/15/09 53,384,840 MASCO NC 8,000,000 6.750 3/15/06 8,718,960 MASCO NC 20,000,000 7.125 8/15/13 23,153,200 MELLON A CAPITAL SEC. NC06 42,000,000 7.720 12/1/26 46,580,035 MERCK NC 43,000,000 6.400 3/1/28 47,662,060 MEXICO VALUE RECOVERY RIGHTS NC 377,550,000 0.000 1,249,691 NAROT 2002-C A4 12,000,000 3.330 1/15/08 12,223,128 NORFOLK SOUTHERN NC 19,055,000 9.000 3/1/21 24,838,764 NORWEST NC 30,000,000 6.750 12/15/27 33,134,100 ONTARIO PROV CDA NC 15,000,000 3.500 9/17/07 15,276,600 PEMEX MASTER TRUST NC 10,000,000 7.875 2/1/09 10,700,000 PEMEX PROJECT NC 25,000,000 7.375 12/15/14 25,625,000



DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE PEMEX PROJECT NC 6,000,000 8.000 11/15/11 6,450,000 RESOLUTION TRUST FUNDING NC 38,700,000 8.625 1/15/21 54,777,141 SBC COMMUNICATIONS NC 35,000,000 5.875 8/15/12 37,939,650 SEARIVER MARITIME INC. 198,815,000 0.000 9/1/12 130,225,447 SPIEKER PROP. REIT NC 30,250,000 7.250 5/1/09 33,168,520 STARWOOD HOTELS NC 17,000,000 7.875 5/1/12 16,787,500 STATE STREET INSTL CAP A NC06 25,500,000 7.940 12/30/26 29,438,985 STATE STREET INSTL CAP B NC07 39,000,000 8.035 3/15/27 44,461,950 TELEFONOS MEXICO NC 55,000,000 8.250 1/26/06 60,225,000 TIME WARNER ENTERTAINMENT NC 14,500,000 8.875 10/1/12 17,272,835 TIME WARNER INC. NC 20,500,000 9.150 2/1/23 23,188,575 TOYOTA MTR CRED NC 4,000,000 5.650 1/15/07 4,330,440 TRANSCANADA PIPELINE NC 41,320,000 8.290 2/5/26 29,220,299 TRANSCANADA PIPELINE NC 13,396,000 8.625 5/15/12 16,903,609 TRANSCANADA PIPELINE NC 21,500,000 9.450 3/20/18 17,011,504 TRANSCANADA PIPELINE NC 17,500,000 9.875 1/1/21 24,078,775 TREASURY INFLATION INDEX NC 157,188,000 3.000 7/15/12 168,446,308 TREASURY INFLATION INDEX NC 111,000,000 3.375 1/15/07 137,569,604 TREASURY INFLATION INDEX NC 154,672,000 3.375 1/15/07 191,695,187 TREASURY INFLATION INDEX NC 58,202,000 3.375 1/15/12 64,956,854 TREASURY INFLATION INDEX NC 47,086,000 3.375 4/15/2032 55,485,323 TREASURY INFLATION INDEX NC 7,950,000 3.500 1/15/11 9,090,939 TREASURY INFLATION INDEX NC 107,145,000 3.500 1/15/11 122,521,850 TREASURY INFLATION INDEX NC 159,555,000 3.625 1/15/08 196,447,291 TREASURY INFLATION INDEX NC 56,750,000 3.625 1/15/08 69,871,729 TREASURY INFLATION INDEX NC 8,600,000 3.625 4/15/28 11,281,207 TREASURY INFLATION INDEX NC 152,652,000 3.625 4/15/28 200,244,039 TREASURY INFLATION INDEX NC 152,479,000 3.875 1/15/09 187,885,996 TREASURY INFLATION INDEX NC 45,000,000 3.875 1/15/09 55,449,405 TREASURY INFLATION INDEX NC 178,818,000 3.875 4/15/29 241,134,857 TREASURY INFLATION INDEX NC 23,050,000 3.875 4/15/29 31,082,768 TREASURY INFLATION INDEX NC 107,662,000 4.250 1/15/10 132,324,037 TREASURY INFLATION INDEX NC 5,600,000 4.250 1/15/10 6,882,787 U.S.BANCORP CAP A SEC. NC06 33,000,000 8.270 12/15/26 38,081,670 UNITED MEXICAN STATES NC 51,000,000 8.125 12/30/19 53,868,750 UNITED MEXICAN STATES NC 66,500,000 8.300 8/15/2031 70,240,625 UNITED MEXICAN STATES NC 4,013,000 8.375 1/14/11 4,544,723 UNIVISION COMM INC NC 27,000,000 7.850 7/15/11 30,250,370 US BANK NA NC 51,000,000 6.375 8/1/11 57,180,180 US TREASURY BOND NC 521,442,000 5.250 11/15/28 544,458,450 US TREASURY BOND NC 40,000,000 5.500 8/15/28 43,200,800 US TREASURY BOND NC 341,000,000 6.000 2/15/26 390,745,080 US TREASURY BOND NC 409,900,000 6.250 8/15/23 481,739,074 US TREASURY BOND NC 114,250,000 7.875 2/15/21 156,808,125



DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE US TREASURY BOND NC 102,000,000 8.125 8/15/21 143,582,340 US TREASURY BOND NC 44,462,000 8.750 5/15/17 64,298,721 US TREASURY NOTE NC 16,600,000 4.000 11/15/12 16,836,052 US TREASURY NOTE NC 178,000,000 4.875 2/15/12 193,308,000 US TREASURY NOTE NC 175,000,000 5.750 8/15/10 201,264,000 US TREASURY NOTE NC 31,800,000 6.000 8/15/09 36,971,316 US TREASURY NOTE NC 258,250,000 6.500 2/15/10 308,768,865 US TREASURY(INTPT)STRIPS 184,000,000 0.000 2/15/11 133,808,480 US TREASURY(INTPT)STRIPS 55,500,000 0.000 8/15/11 39,386,685 US TREASURY(INTPT)STRIPS 46,000,000 0.000 11/15/12 30,331,480 US TREASURY(INTPT)STRIPS 197,000,000 0.000 2/15/13 127,393,990 US TREASURY(INTPT)STRIPS 185,000,000 0.000 5/15/13 117,920,850 US TREASURY(INTPT)STRIPS 175,000,000 0.000 2/15/14 106,214,500 US TREASURY(INTPT)STRIPS 50,000,000 0.000 5/15/14 29,871,500 US TREASURY(INTPT)STRIPS 200,000,000 0.000 11/15/14 115,838,000 VERIZON MARYLAND INC NC 25,000,000 6.125 3/1/12 27,035,500 VERIZON NY INC. NC 50,370,000 7.375 4/1/2032 57,845,412 VESSEL MGMT SVC TITLE XI 14,937,500 6.080 5/20/24 16,290,240 VODAFONE GROUP NC 49,000,000 7.750 2/15/10 57,731,310 WACHOVIA CAPITAL SEC. NC07 39,000,000 7.965 6/1/27 40,660,803 WAL-MART STORES NC 41,000,000 6.875 8/10/09 48,162,700 WELLS FARGO & CO NC 10,000,000 6.450 2/1/11 11,203,400 WESTERN ATLAS NC 16,000,000 8.550 6/15/24 20,224,040 WISCONSIN ENERGY CORP NC 29,000,000 5.500 12/1/08 31,125,410 WYETH NC 17,000,000 6.250 3/15/06 18,407,430 WYETH NC 49,327,000 6.700 3/15/11 54,642,971 ZENECA NC 6,000,000 7.000 11/15/23 7,032,600 Total Fixed Income Portfolio 11,667,781,747

Cash and equivalents 207,378,000

Total University of California Fixed Income Portfolio 11,875,159,747

Source: University of California: Office of the Treasurer

University of California Retirement Plan U.S. Equity December 31, 2002

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


University of California Retirement Plan Non-U.S. Equity December 31, 2002

ISSUER SHARES MARKET VALUE CGI EMERGING MARKETS GF 4,680,717 192,798,746 EAFE INDEX FUND 28,068,394 1,781,802,051 GENESIS EMERGING MARKETS 543,487 76,553,441 TEMPLETON EMERGING MKTS 4,511,938 36,546,699 Total Non-U.S. Equity 2,087,700,937 % of Portfolio 10.07%


University of California Retirement Plan Private Equity December 31, 2002

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


University of California Retirement Plan Private Equity December 31, 2002

ISSUER SHARES MARKET VALUE SEQUOIA CAPITAL VIII 115,372 5,273,769 SEQUOIA CAPITAL X 151,200 9,550,699 SKM EQUITY FUND II 373,218 30,819,207 TECHNOLOGY VENTURE III 71,920 89,828 TECHNOLOGY VENTURE IV 100,080 1,357,185 VENTURE STRATEGY PARTNERS II 70,875 5,514,217 VERSANT VENTURES I 112,000 10,811,920 VERSANT VENTURES II 27,000 2,304,720 WARBURG PINCUS PRIVATE EQTY VIII 141,751 11,444,414 WCAS CAPITAL PARTNERS II 155,400 5,321,984 WCAS CAPITAL PARTNERS III 1,120,000 121,792,160 WCAS VI 364,600 13,768,390 WCAS VII 698,947 41,058,244 Total Private Equity 563,905,709

% of Portfolio 2.72%


University of California Retirement Plan Total Equity December 31, 2002

ISSUER SHARES MARKET VALUE

Total Equities 20,630,224,074

Cash and equivalents 94,446,000 % of Portfolio 0.46% Total University of California Retirement Plan Equity Portfolio 20,724,670,074


UNIVERSITY OF CALIFORNIA RETIREMENT PLAN Fixed Income Portfolio

December 31, 2003

DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE ALCAN INC NC 6,000,000 5.200 1/15/2014 6,064,860 ALCAN INC NC 11,500,000 6.125 12/15/2033 11,563,940 ALCOA INC NC 5,000,000 5.375 1/15/2013 5,186,400 ALLSTATE CORP NC 24,000,000 7.200 12/1/2009 27,669,840 AMERICAN ELECTRIC POWER NC 7,000,000 5.250 6/1/2015 6,789,650 AMERICAN GENERAL CAP II NC 15,000,000 8.500 7/1/2030 19,522,200 AMERICAN INTERNATIONAL GROUP NC 42,000,000 4.250 5/15/2013 39,727,379 ANADARKO FINANCE NC 23,500,000 7.500 5/1/2031 27,481,605 AOL TIME WARNER INC NC 15,000,000 6.875 5/1/2012 16,861,501 AOL TIME WARNER INC NC 26,000,000 7.625 4/15/2031 29,842,800 AOL TIME WARNER INC NC 10,000,000 7.700 5/1/2032 11,639,100 ARCEL FINANCE LIMITED NC 7,000,000 7.048 9/1/2011 7,210,000 AT&T WIRELESS NC 11,500,000 8.125 5/1/2012 13,417,395 ATHABASCA OIL SANDS NC 20,000,000 8.200 4/1/2027 23,490,340 BECTON DICKINSON NC 7,000,000 4.900 4/15/2018 6,748,910 BECTON DICKINSON NC 34,000,000 7.000 8/1/2027 38,614,140 BELLSOUTH CORP NC 21,000,000 6.875 10/15/2031 23,151,029 BP CAP MKTS AMER NC 15,000,000 4.200 6/15/2018 13,599,578 BRITISH SKY BROADCASTING NC 2,000,000 8.200 7/15/2009 2,381,280 BRITISH SKY BROADCASTING GRO NC 5,000,000 6.875 2/23/2009 5,628,550 BRITISH TEL PLC NC 24,500,000 8.875 12/15/2030 31,837,749 BURLINGTON RESOURCES NC 24,300,000 9.875 6/15/2010 31,496,647 CANADIAN NATL RAILROAD NC 22,000,000 6.800 7/15/2018 24,694,780 CANADIAN NATL RAILROAD NC 21,025,000 6.900 7/15/2028 23,369,078 CELULOSA ARAUCO NC 40,632,000 7.750 9/13/2011 46,957,590 CEMEX S A PT09 50,000,000 9.625 10/1/2009 60,500,000 CENTEX NC 14,000,000 5.125 10/1/2013 13,783,560 CENTEX NC 3,500,000 5.800 9/15/2009 3,754,415 CIA BRASIL DE BEBIDAS NC 24,200,000 8.750 9/15/2013 25,652,000 CINCINNATI GAS & ELEC NC 14,000,000 5.375 6/15/2033 12,473,020 CITIGROUP NC 40,000,000 6.000 10/31/2033 40,029,999 CITIGROUP INC NC 6,000,000 3.500 2/1/2008 6,018,120 CITIGROUP INC NC 35,000,000 6.000 2/21/2012 38,190,250 CITIGROUP INC NC 8,500,000 6.625 6/15/2032 9,227,770 CLEAR CHANNEL COMMUNICATIONS NC 24,750,000 7.650 9/15/2010 28,898,595 CODELCO INC NC 12,000,000 5.500 10/15/2013 12,177,480 CODELCO INC NC 15,000,000 6.375 11/30/2012 16,231,826 COMCAST CORP NC 22,500,000 5.300 1/15/2014 22,396,275 COMCAST CORP NC 10,000,000 5.850 1/15/2010 10,687,300 COMCAST CORP NC 19,200,000 6.500 1/15/2015 20,871,168 COMCAST CORP NC 20,000,000 7.050 3/15/2033 21,695,000 COMCAST CORP NC 4,500,000 7.050 3/15/2033 4,881,375 CONS EDISON CO OF NY NC 5,000,000 5.875 4/1/2033 5,034,639 COSOLIDATED NATURAL GAS NC 12,000,000 5.000 3/1/2014 11,953,440



December 31, 2003

DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE CRH AMERICA NC 10,000,000 5.300 10/15/2013 10,090,300 CRH AMERICA NC 18,000,000 6.400 10/15/2033 18,498,599 DOMINION RESOURCES NC 15,500,000 5.000 3/15/2013 15,465,435 DOMINION RESOURCES NC 6,500,000 6.300 3/15/2033 6,591,910 EATON CORP NC 8,750,000 8.100 8/15/2022 10,507,955 ENBRIDGE ENERGY PARTNERS L P NC 8,500,000 4.750 6/1/2013 8,181,505 ENCANA CORP NC 10,000,000 4.750 10/15/2013 9,838,200 ENERSIS NC 23,500,000 7.375 1/15/2014 24,274,539 ENTERPRISE PRODUCTS NC 8,300,000 6.875 3/1/2033 8,248,457 FEDERAL HOME LOAN BANK 186,000,000 5.375 2/15/2007 200,351,760 FGCI POOL #B10827 49,812,907 4.500 11/1/2018 49,922,939 FGCI POOL #E01084 10,523,740 5.500 1/1/2017 10,918,670 FGCI POOL #E01098 20,915,531 6.000 2/1/2017 21,934,579 FGCI POOL #E01251 16,123,682 5.500 11/1/2017 16,731,662 FGCI POOL #E01311 13,643,712 5.500 2/1/2018 14,164,476 FGCI POOL #E01388 11,471,887 4.000 5/1/2018 11,223,523 FGCI POOL #E01537 25,000,000 4.500 12/1/2018 25,055,223 FGCI POOL #E96582 10,526,765 4.500 6/1/2018 10,550,018 FGLMC POOL # C79601 9,662,092 5.000 5/1/2033 9,561,018 FGLMC POOL #A12330 24,831,074 5.000 8/1/2033 24,555,946 FGLMC POOL #A12886 43,537,439 5.000 8/1/2033 43,082,001 FGLMC POOL #A13124 19,911,876 5.000 8/1/2033 19,703,581 FGLMC POOL #A14235 35,626,380 5.000 10/1/2033 35,231,639 FGLMC POOL #A14282 12,354,400 5.000 10/1/2033 12,225,162 FGLMC POOL #A15676 33,615,021 6.500 11/1/2033 35,225,784 FGLMC POOL #A15677 59,951,532 6.500 11/1/2033 62,824,287 FGLMC POOL #A17021 39,000,000 5.500 1/1/2034 39,533,204 FGLMC POOL #C01404 32,621,342 6.500 10/1/2032 34,150,698 FGLMC POOL #C01673 49,853,317 5.000 11/1/2033 49,300,942 FGLMC POOL #C76289 13,106,799 6.000 1/1/2033 13,568,236 FGLMC POOL #C76361 12,393,922 6.000 2/1/2033 12,830,261 FGLMC POOL #C77031 35,204,181 6.000 3/1/2033 36,443,576 FGLMC POOL #C79009 5,733,242 5.500 5/1/2033 5,817,485 FGLMC POOL 78907 7,761,100 5.000 5/1/2033 7,679,912 FHLG POOL #C62885 12,485,500 6.500 1/1/2032 13,070,846 FHLMC GOLD TBA 15YR 25,000,000 4.500 1/1/2034 25,003,905 FHR 2484 VA 8,938,162 6.000 9/15/2012 9,372,473 FHR 2494 CD 13,750,000 5.500 8/15/2014 14,246,257 FHR 2567 MC 11,328,148 4.000 12/15/2032 11,499,970 FHR 2601 TA 15,737,789 4.000 10/15/2022 15,586,227 FHR 2673 MA 21,407,027 5.500 10/15/2033 22,426,378 FHR 2694 NS 21,597,010 5.500 3/15/2019 22,646,065 FIFTH THIRD BANK NC 25,000,000 3.375 8/15/2008 24,794,251 FIRSTENERGY CORP NC 2,000,000 6.450 11/15/2011 2,068,240



December 31, 2003

DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE FIRSTENERGY CORP NC 9,500,000 7.375 11/15/2031 9,681,545 FLORIDA POWER NC 10,000,000 5.100 12/1/2015 9,937,900 FNARM POOL #758810 8,000,000 4.929 11/1/2033 8,123,672 FNCI POOL #254308 2,575,074 6.500 5/1/2017 2,728,258 FNCI POOL #254373 7,636,948 6.500 7/1/2017 8,091,248 FNCI POOL #254719 35,349,204 4.500 4/1/2018 35,460,120 FNCI POOL #254804 13,991,936 5.500 7/1/2018 14,524,827 FNCI POOL #545125 12,133,029 6.000 8/1/2016 12,729,835 FNCI POOL #545296 13,177,789 6.000 11/1/2016 13,825,984 FNCI POOL #555813 24,600,169 4.000 10/1/2018 24,013,696 FNCI POOL #581853 25,500,029 6.000 7/1/2016 26,754,336 FNCI POOL #598444 2,341,502 6.500 6/1/2017 2,480,792 FNCI POOL #639018 3,108,267 6.500 4/1/2017 3,293,169 FNCI POOL #645562 5,481,601 6.500 6/1/2032 5,733,232 FNCI POOL #650503 8,809,986 6.500 6/1/2017 9,334,067 FNCI POOL #651388 3,731,973 6.500 8/1/2017 3,953,977 FNCI POOL #652610 21,811,973 5.000 4/1/2018 22,296,197 FNCI POOL #681357 21,919,427 5.000 3/1/2018 22,406,036 FNCI POOL #681405 20,070,794 5.000 3/1/2018 20,516,364 FNCI POOL #687579 1,876,790 6.500 4/1/2033 1,964,714 FNCI POOL #689076 3,829,777 5.000 6/1/2018 3,914,798 FNCI POOL #689080 21,865,374 5.000 6/1/2018 22,350,784 FNCI POOL #689584 7,732,074 5.500 2/1/2018 8,026,555 FNCI POOL #689613 5,689,268 4.500 5/1/2018 5,707,120 FNCI POOL #689619 2,766,355 4.500 6/1/2018 2,775,035 FNCI POOL #689620 7,498,436 5.000 6/1/2018 7,664,901 FNCI POOL #689621 9,653,019 4.500 6/1/2018 9,683,307 FNCI POOL #694431 33,199,690 5.000 3/1/2018 33,936,720 FNCI POOL #695916 32,400,552 5.000 5/1/2018 33,119,842 FNCI POOL #702895 56,368,262 5.000 4/1/2018 57,619,633 FNCI POOL #704939 5,535,175 5.500 4/1/2018 5,745,986 FNCI POOL #709844 14,366,547 5.000 5/1/2018 14,685,483 FNCI POOL #730016 19,461,809 4.000 4/1/2018 18,997,836 FNCI POOL #737040 3,966,209 4.500 10/1/2018 3,978,654 FNCI POOL #737043 4,114,230 4.500 10/1/2018 4,127,140 FNCI POOL #738691 3,327,178 6.000 10/1/2033 3,443,945 FNCI POOL #747799 32,429,412 5.500 12/1/2018 33,664,507 FNCI POOL #748727 7,897,174 5.500 10/1/2018 8,197,943 FNCI POOL #755497 9,952,968 5.500 11/1/2018 10,332,033 FNCL POO1 #748794 14,987,370 6.500 11/1/2033 15,689,499 FNCL POOL #545759 28,437,780 6.500 7/1/2032 29,735,112 FNCL POOL #555329 36,177,414 5.000 4/1/2033 35,866,400 FNCL POOL #555590 18,924,150 5.500 3/1/2033 19,210,847 FNCL POOL #656563 27,234,898 5.500 3/1/2033 27,647,500



December 31, 2003

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



December 31, 2003

DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE FNCL POOL #753412 15,565,124 5.500 11/1/2033 15,800,932 FNCL POOL #753466 9,329,827 5.500 11/1/2033 9,471,171 FNCL POOL 696940 14,438,549 5.500 4/1/2033 14,657,290 FNMA PL #516493 1,112,816 6.000 6/1/2029 1,151,732 FNMA POOL #254146 19,461,257 6.000 1/1/2032 20,129,982 FNMA POOL #254147 2,302,978 6.500 1/1/2032 2,408,022 FNMA POOL #545506 12,397,301 7.000 2/1/2032 13,110,975 FNMA POOL #545872 39,061,349 6.500 7/1/2032 40,854,445 FNMA POOL #555139 31,018,426 6.500 10/1/2032 32,442,316 FNMA POOL #555273 2,298,069 6.500 12/1/2032 2,402,889 FNMA POOL #581706 7,190,153 6.500 7/1/2031 7,518,113 FNMA POOL #597545 4,125,946 6.500 9/1/2031 4,314,141 FNMA POOL #597699 13,045,577 6.500 9/1/2031 13,640,617 FNMA POOL #610324 30,189,303 6.500 10/1/2031 31,566,311 FNMA POOL #614359 10,991,995 6.500 12/1/2031 11,493,366 FNMA POOL #633857 6,526,518 7.000 3/1/2032 6,902,230 FNMA POOL #635030 19,180,993 6.500 5/1/2032 20,061,489 FNMA POOL #640008 10,219,531 7.000 4/1/2032 10,807,837 FNMA POOL #672415 8,383,553 6.500 9/1/2032 8,768,396 FNMA POOL #673596 17,860,697 6.000 1/1/2033 18,478,988 FNMA POOL #676633 64,038,350 6.000 12/1/2032 66,255,191 FNMA POOL #676739 13,194,972 6.000 1/1/2033 13,651,747 FNMA POOL #676740 16,326,829 6.000 1/1/2033 16,892,022 FNMA POOL #676868 8,906,170 6.000 1/1/2033 9,214,478 FNMA POOL #753077 4,904,046 6.500 12/1/2033 5,133,791 FNMA TBA 25,000,000 4.000 1/1/2034 24,355,470 FNMA-BENCHMARK C 7/06 47,000,000 4.375 7/17/2013 44,943,750 FNMA-BENCHMARK C 2/06 44,400,000 4.750 2/21/2013 43,689,157 FNMA-BENCHMARK NC 68,000,000 5.000 1/15/2007 72,584,558 FNMA-BENCHMARK NC 83,000,000 5.250 1/15/2009 89,277,293 FNMA-POOL #627118 32,337,566 7.000 3/1/2032 34,199,138 FNR 02-18 VA 13,212,398 6.500 2/25/2013 13,607,097 FNR 02-29 VA 13,298,598 6.500 2/15/2013 13,690,096 FNR 02-33 VA 8,762,016 6.500 6/25/2013 9,126,921 FNR 03-18 PA 12,379,377 4.000 7/25/2032 12,270,983 FNR 03-19 ME 9,426,844 4.000 3/25/2031 9,557,593 FNR 03-42 CA 5,284,484 4.000 5/25/2033 5,239,480 FNR 03-58 MC 12,106,568 3.750 7/25/2033 10,711,281 FNR 03-63 GU 15,000,000 4.000 7/25/2033 15,117,663 FNR 03-63 TJ 56,269,671 3.000 8/25/2032 53,487,693 FNR 2003-20 4,967,944 4.500 3/25/2031 5,052,590 FORD MOTOR CREDIT NC 28,400,000 6.625 10/1/2028 25,932,607 FORD MOTOR CREDIT NC 22,000,000 7.000 10/1/2013 23,088,999 FORD MOTOR CREDIT NC 3,000,000 7.375 2/1/2011 3,256,260



December 31, 2003

DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE FORD MOTOR CREDIT NC 25,300,000 7.450 7/16/2031 25,524,917 FREDDIE MAC NC 41,000,000 4.000 6/12/2013 38,290,719 FREDDIE MAC NC 88,750,000 4.875 11/15/2013 89,642,822 FREDDIE MAC NC 85,550,000 5.875 3/21/2011 92,618,997 GENERAL ELECTRIC CAPITAL NC 57,000,000 6.750 3/15/2032 63,325,290 GENERAL ELECTRIC COMPANY NC 106,000,000 5.000 2/1/2013 107,076,959 GEORGIA POWER NC 15,000,000 5.125 11/15/2012 15,228,900 GEORGIA POWER NC 5,000,000 5.750 4/15/2023 4,956,802 GMAC NC 23,500,000 8.000 11/1/2031 26,283,575 GMC NC 8,000,000 8.250 7/15/2023 9,033,440 GMC NC 23,000,000 8.375 7/15/2033 26,686,440 GNMA-I POOL #603419 15,334,879 5.500 2/15/2033 15,638,304 GNMA-I POOL #781130 14,072,819 7.000 1/15/2030 14,995,433 GNMA-II POOL #2824 3,009,272 7.000 10/20/2029 3,200,193 GNMA-II POOL #2999 7,428,188 7.500 11/20/2030 7,931,359 GNMA-II POOL #3011 4,007,723 7.500 12/20/2030 4,279,198 GNMA-II POOL #3334 28,797,222 6.000 1/20/2033 29,960,286 GNR 02-45 VA 16,673,457 6.000 4/20/2013 17,506,421 GNR 02-46 PD 27,040,000 6.000 7/20/2007 27,810,251 GNSF POOL #598267 3,813,286 6.000 6/15/2033 3,972,581 GNSF POOL #612376 39,954,640 5.500 11/15/2033 40,745,207 GNSF POOL #781324 12,065,211 7.000 7/15/2031 12,838,066 GOLDMAN SACHS NC 30,500,000 4.750 7/15/2013 29,658,199 GOLDMAN SACHS NC 25,000,000 6.125 2/15/2033 25,205,999 GRAND MET INVT CORP NC 27,000,000 9.000 8/15/2011 34,432,830 GRUMA SA DE CV NC 13,055,000 7.625 10/15/2007 14,034,125 GRUPO TELEVISA SA NC 29,000,000 8.000 9/13/2011 32,335,000 GRUPO TELEVISA SA NC 26,800,000 8.500 3/11/2032 28,140,000 HAROT 2002-3 A3 2,000,000 3.000 5/18/2006 2,020,312 HERTZ CORP NC 16,500,000 4.700 10/2/2006 16,711,200 HILTON HOTELS NC 3,000,000 7.625 12/1/2012 3,360,000 IBM NC 17,000,000 6.500 1/15/2028 18,546,320 IBM CORP NC 20,000,000 4.750 11/29/2012 20,028,400 IBM CORP NC 17,000,000 5.875 11/29/2032 17,096,050 ILLINOIS STATE TAXABLE PENSION SNK 41,635,000 5.100 6/1/2033 38,282,133 INTL BK R&D(INTPT)STRIPS 60,000,000 0.000 2/15/2016 31,336,800 INTL BK R&D(PRNPT)STRIPS 32,000,000 0.000 2/15/2015 17,881,600 JOHNSON & JOHNSON NC 18,000,000 4.950 5/15/2033 16,361,099 KFW INTL FINANCE NC 17,000,000 5.250 6/28/2006 18,191,019 KIMBERLY CLARK DE MEX NC 30,000,000 8.875 8/1/2009 36,000,000 L-3 COMMUNICATIONS CORP NC 11,000,000 6.125 1/15/2014 11,000,000 LOBLAW NC 22,000,000 6.450 2/9/2028 17,631,663 LOBLAW NC 25,000,000 6.650 11/8/2027 20,512,632 LOBLAW CO. LTD NC 28,000,000 6.500 1/22/2029 22,588,927



December 31, 2003

DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE LOBLAW CO. LTD RESIDS NC 40,000,000 0.000 5/23/2031 5,421,854 LOCKHEED MARTIN CORP NC 9,500,000 8.500 12/1/2029 12,412,510 LORAL NC 26,300,000 7.000 9/15/2023 28,912,379 M & I CAPITAL SEC. NC06 12,200,000 7.650 12/1/2026 13,433,664 MASCO NC 13,000,000 7.125 8/15/2013 14,968,850 MELLON A CAPITAL SEC. C 16,500,000 7.720 12/1/2026 18,301,800 MERCK NC 5,000,000 5.950 12/1/2028 5,196,250 MERCK NC 11,000,000 6.400 3/1/2028 12,073,050 MORGAN STANLEY NC 38,000,000 5.300 3/1/2013 38,799,518 NAROT 2002-C A4 12,000,000 3.330 1/15/2008 12,260,400 NISOURCE FINANCE NC 16,500,000 5.400 7/15/2014 16,711,695 NORFOLK SOUTHERN NC 13,161,000 9.000 3/1/2021 17,060,605 NORWEST NC 30,000,000 6.750 12/15/2027 32,741,400 OHIO POWER COMPANY NC 4,445,000 6.600 2/15/2033 4,781,353 PCCW-HKTC CAP NC 19,000,000 6.000 7/15/2013 19,495,581 PEMEX PRJT FDG MASTER TR 144A NC 13,000,000 8.625 2/1/2022 14,332,500 PEMEX PROJECT NC 4,000,000 6.125 8/15/2008 4,200,000 PEMEX PROJECT NC 13,000,000 7.375 12/15/2014 13,812,500 PEMEX PROJECT NC 17,000,000 8.000 11/15/2011 18,997,500 PFIZER INC NC 5,000,000 4.650 3/1/2018 4,770,150 PROGRESS ENERGY NC 9,000,000 7.000 10/30/2031 9,605,970 PSI ENERGY INC NC 13,000,000 5.000 9/15/2013 12,842,440 REPUBLIC OF BRAZIL NC 19,000,000 9.250 10/22/2010 20,425,000 REPUBLIC OF BRAZIL NC 26,400,000 10.000 8/7/2011 29,436,000 RFCO STRIPS NC 100,000,000 0.000 1/15/2013 65,878,700 ROYAL BK SCOTLAND NC 24,500,000 4.700 7/3/2018 22,652,700 ROYAL BK SCOTLAND NC 8,000,000 6.400 4/1/2009 8,811,200 RYLAND GROUP NC 8,000,000 5.375 6/1/2008 8,120,000 SBC COMMUNICATIONS NC 18,500,000 5.875 8/15/2012 19,567,449 SEARIVER MARITIME INC. NC 103,815,000 0.000 9/1/2012 69,625,053 SOUTHERN POWER NC 20,000,000 4.875 7/15/2015 19,058,600 SPIEKER PROP. REIT NC 30,250,000 7.250 5/1/2009 34,670,734 SPRINT NC 33,000,000 6.875 11/15/2028 31,933,769 SPRINT CAP CORP NC 3,500,000 6.375 5/1/2009 3,740,975 SPRINT CAP CORP NC 6,000,000 6.900 5/1/2019 6,110,820 STARWOOD HOTELS NC 2,000,000 7.375 5/1/2007 2,160,000 STARWOOD HOTELS NC 9,500,000 7.875 5/1/2012 10,616,250 STATE STREET BANK NC 11,000,000 5.250 10/15/2018 11,021,450 STATE STREET INSTL CAP B NC07 9,000,000 8.035 3/15/2027 10,286,401 STATE STREET REPO 1,113,500 0.700 1/2/2004 1,113,500 SUNCOR ENERGY NC 3,000,000 5.950 12/1/2034 2,985,570 SUNCOR ENERGY NC 18,000,000 5.950 12/1/2034 17,913,420 TELECOM ITALIA CAPITAL NC 37,000,000 6.375 11/15/2033 37,147,631 TELEFONOS MEXICO NC 15,000,000 4.500 11/19/2008 15,019,050



December 31, 2003

DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE TELEFONOS MEXICO NC 32,720,000 8.250 1/26/2006 36,025,701 TIME WARNER ENTERTAINMENT NC 25,000,000 8.375 7/15/2033 31,577,250 TIME WARNER ENTERTAINMENT NC 10,500,000 8.875 10/1/2012 13,307,700 TIME WARNER INC. NC 4,800,000 6.875 6/15/2018 5,285,136 TOYOTA MTR CRED NC 4,000,000 5.650 1/15/2007 4,340,760 TRANSCANADA PIPELINE NC 21,320,000 8.290 2/5/2026 20,455,718 U.S.BANCORP CAP A SEC. NC06 19,000,000 8.270 12/15/2026 22,235,510 UNITED MEXICAN STATES NC 12,000,000 6.375 1/16/2013 12,510,000 UNITED MEXICAN STATES NC 24,500,000 7.500 4/8/2033 25,357,500 UNITED MEXICAN STATES NC 23,300,000 8.125 12/30/2019 25,921,250 UNIVISION COMM INC NC 7,500,000 3.875 10/15/2008 7,452,975 UNIVISION COMM INC NC 12,000,000 7.850 7/15/2011 14,073,840 US BANK NA NC 19,000,000 4.800 4/15/2015 18,499,160 US BANK NA NC 8,000,000 6.375 8/1/2011 8,904,320 US TREASURY BOND NC 521,442,000 5.250 11/15/2028 525,905,559 US TREASURY BOND NC 429,000,000 6.000 2/15/2026 475,512,193 US TREASURY BOND NC 409,900,000 6.250 8/15/2023 467,335,192 US TREASURY BOND NC 233,750,000 7.875 2/15/2021 311,333,948 US TREASURY BOND NC 102,000,000 8.125 8/15/2021 139,226,940 US TREASURY BOND NC 44,462,000 8.750 5/15/2017 62,342,392 US TREASURY NOTE NC 16,600,000 4.000 11/15/2012 16,438,482 US TREASURY NOTE NC 58,025,000 4.875 2/15/2012 61,456,599 US TREASURY NOTE NC 103,900,000 5.750 8/15/2010 116,567,489 US TREASURY NOTE NC 31,800,000 6.000 8/15/2009 36,007,459 US TREASURY NOTE NC 311,250,000 6.500 2/15/2010 361,467,084 US TREASURY NOTES NC 206,000,000 1.625 9/30/2005 205,948,496 US TREASURY STRIPS NC 50,000,000 0.000 2/15/2013 33,425,499 US TREASURY(INTPT)STRIPS NC 75,000,000 0.000 5/15/2013 49,358,248 US TREASURY(INTPT)STRIPS NC 100,000,000 0.000 5/15/2014 61,855,000 VALE OVERSEAS LIMITED NC 24,000,000 9.000 8/15/2013 26,160,000 VERIZON GLOBAL NC 25,500,000 7.750 12/1/2030 29,874,525 VERIZON MARYLAND IN NC 17,500,000 5.125 6/15/2033 15,022,525 VERIZON NY INC. NC 25,000,000 4.750 10/1/2013 24,185,000 VERIZON NY INC. NC 26,870,000 7.375 4/1/2032 29,539,534 VESSEL MGMT SVC TITLE XI 14,243,500 6.080 5/20/2024 15,344,238 VIRGINIA EL&PWR NC 26,500,000 4.750 3/1/2013 26,189,421 VODAFONE GROUP NC 4,500,000 5.000 12/16/2013 4,481,415 VODAFONE GROUP NC 12,500,000 5.375 1/30/2015 12,608,875 VODAFONE GROUP NC 11,750,000 7.750 2/15/2010 13,890,615 WACHOVIA CAPITAL SEC. NC07 21,000,000 7.965 6/1/2027 23,823,150 WAL-MART STORES NC 16,000,000 4.550 5/1/2013 15,737,120 WELLS FARGO & CO NC 12,500,000 4.950 10/16/2013 12,442,000 WESTERN ATLAS NC 16,000,000 8.550 6/15/2024 20,954,586 WYETH NC 24,900,000 5.500 3/15/2013 25,821,299 WYETH NC 10,000,000 6.450 2/1/2024 10,255,200 Total Bond Portfolio 9,828,330,754


UNIVERSITY OF CALIFORNIA RETIREMENT PLAN

TIPS Portfolio December 31, 2003

DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE TREASURY INFLATION INDEX NC 188,845,000 1.875 7/15/2013 188,888,172 TREASURY INFLATION INDEX NC 207,205,000 3.000 7/15/2012 232,460,260 TREASURY INFLATION INDEX NC 155,880,000 3.375 1/15/2007 197,152,356 TREASURY INFLATION INDEX NC 58,401,000 3.375 1/15/2012 68,093,219 TREASURY INFLATION INDEX NC 46,757,000 3.375 4/15/2032 60,262,952 TREASURY INFLATION INDEX NC 107,265,000 3.500 1/15/2011 128,112,349 TREASURY INFLATION INDEX NC 160,797,000 3.625 1/15/2008 203,616,441 TREASURY INFLATION INDEX NC 153,387,000 3.625 4/15/2028 217,642,595 TREASURY INFLATION INDEX NC 147,772,000 3.875 1/15/2009 188,214,432 TREASURY INFLATION INDEX NC 179,612,000 3.875 4/15/2029 262,013,591 TREASURY INFLATION INDEX NC 104,829,000 4.250 1/15/2010 133,985,332 Total TIPS Portfolio 1,880,441,699



December 31, 2003 Total Fixed Income Portfolio 11,708,772,453 Cash and Equivalents 230,452,000

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


UNIVERSITY OF CALIFORNIA RETIREMENT PLAN Public Equities

December 31, 2003

ISSUER SHARES MARKET VALUE PRIVATE EQUITY DISTRIBUTIONS 1,075,970 8,982,741 CGI EMERGING MARKETS GF 4,543,262 277,547,895 EAFE INDEX FUND 32,182,106 2,834,350,824 TEMPLETON EMERGING MKTS 4,511,938 54,910,287 GENESIS EMERGING MARKETS 543,487 114,522,611 GMO EMERGING MARKETS FUND 652,378 9,629,093 RUSSELL 3000 INDEX FUND 131,477,096 17,209,680,654 RUSSELL 3000 INDEX TRANS FUNDS 43,825,699 5,736,560,246 Total Public Equities 26,246,184,351 % of Portfolio 97.9%


UNIVERSITY OF CALIFORNIA RETIREMENT PLAN Private Equity

December 31, 2003

ISSUER SHARES MARKET VALUE ACCEL VIII 81,819 4,251,161 AIG ASIAN INFRASTRUCTURE 499,854 3,458,493 AIG ASIAN INFRASTRUCTURE II 547,528 23,062,965 AIG GE CAP LATIN AMER 708,951 42,701,537 AIG INDIAN SEC. EQUITY 89,698 6,282,179 ALTA S D III 74,000 2,235,540 ARSENAL CAPITAL PARTNERS QPF 63,233 4,227,963 BLACKSTONE CAPITAL PARTNERS IV 76,928 7,683,174 CHINA VEST IV 146,000 2,523,902 DE NOVO VENTURES II LP 17,254 1,725,425 DELPHI MANAGEMENT PARTNERS, L.P. 6 6 DOMAIN PARTNERS VI, L.P. 5,176 517,628 FREMONT PARTNERS III LP 60,555 6,055,463 GLOBESTPAN CAPITAL PARTNERS IV 10,228 1,022,832 GOLDER THOMA CRESSEY III 127,275 3,967,798 GOLDER THOMA CRESSEY IV 179,848 213,300 GOLDER THOMA CRESSEY V 280,218 16,025,128 HUMMER WINBLAD III 70,155 1,373,004 INSTITUTIONAL VENTURE IV 106,440 1,889,097 INSTITUTIONAL VENTURE V 97,137 49,151 INSTITUTIONAL VENTURE VI 82,900 1,911,757 INSTITUTIONAL VENTURE VII 125,790 8,861,025 INSTITUTIONAL VENTURE VIII 211,058 11,170,007 INTERSOUTH PARTNERS V 112,050 7,397,877 INTERSOUTH PARTNERS VI, L.P. 13,043 929,943 INTERWEST PARTNERS IV 85,600 136,789 INTERWEST PARTNERS V 124,680 2,248,230 INTERWEST PARTNERS VI 106,004 7,253,960 INTERWEST PARTNERS VII 100,161 3,886,333 INTERWEST PARTNERS VIII 225,000 13,905,450 INVERNESS PARTNERS II L.P. 8,683 805,913 INVESTMENT CO OF CHINA 940,000 1,671,320 KPCB II 65,150 625,375 KPCB II ANNEX FUND 13,275 36,413 KPCB IX-A 122,500 4,951,695 KPCB VI 117,350 532,417 KPCB VII 105,000 3,776,115 KPCB VIII 140,000 8,612,800 KPCB X-A 95,625 5,368,770 LAKE CAPITAL PARTNERS LP 14,173 720,246 LATIN AMER CAP PART II 374,983 15,038,306 LIGHTHOUSE CAPITAL PARTNERS V LP 14,800 1,480,000 LINDSAY GOLDBERG & BESSEMER L.P. 17,817 1,514,506 MADISON DEARBORN CAPITAL IV, LP 81,290 3,354,125 MAYFIELD VII 110,450 87,476 MAYFIELD VIII 83,000 2,822,913 MPAE V 81,033 141,727 OLYMPUS GROWTH FUND IV, L.P. 9,284 1,017,093 OXFORD BIOSCIENCE III 165,750 10,326,225 OXFORD BIOSCIENCE PARTNERS IV 100,938 9,014,022 PERSEUS-SOROS BIOPHARMACEUTICAL 34,174 2,858,125 POLARIS VENTURE PARTNERS III 134,396 7,914,849 POLARIS VENTURE PARTNERS IV 18,500 1,465,293 REDPOINT VENTURES I 173,250 5,279,447 REDPOINT VENTURES II 110,701 6,720,295



December 31, 2003

ISSUER SHARES MARKET VALUE RIPPLEWOOD PARTNERS II, L.P. 21,120 1,291,112 SEQUOIA CAPITAL FRANCHISE 122,354 5,082,356 SEQUOIA CAPITAL GROWTH 79,876 272,297 SEQUOIA CAPITAL III 35,920 30,532 SEQUOIA CAPITAL IX 116,550 3,639,157 SEQUOIA CAPITAL VI 61,680 922,171 SEQUOIA CAPITAL VII 90,815 4,127,814 SEQUOIA CAPITAL VIII 115,372 4,992,493 SEQUOIA CAPITAL X 178,920 9,229,946 SKM EQUITY FUND II 373,218 18,079,044 TECHNOLOGY VENTURE IV 100,080 880,304 VENTURE STRATEGY PARTNERS II 91,125 3,583,582 VERSANT VENTURES I 126,000 11,397,582 VERSANT VENTURES II 67,500 5,617,418 WARBURG PINCUS PRIVATE EQTY VIII 200,551 15,998,561 WCAS CAPITAL PARTNERS II 155,400 4,210,874 WCAS VI 364,600 11,589,905 WCAS VII 698,947 29,628,363 WELSH CARSON CP III 1,260,000 113,150,520 Total Private Equity 526,826,614 % of Portfolio 2.0%


UNIVERSITY OF CALIFORNIA RETIREMENT PLAN Total Equity

December 31, 2003


Cash and Equivalents 27,628,000 % of Portfolio 0.1%

TOTAL UCRP EQUITY PORTFOLIO 26,800,638,965

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

UNIVERSITY OF CALIFORNIA RETIREMENT PLAN BOND PORTFOLIO December 31, 2004 DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE ALCAN INC NC 6,000,000 5.200 1/15/2014 6,157,274 ALCAN INC NC 8,000,000 6.125 12/15/2033 8,508,343 ALLSTATE CORP NC 10,800,000 5.000 8/15/2014 10,850,001 ALLSTATE CORP NC 10,500,000 7.200 12/1/2009 11,897,015 AMERICA MOVIL NC 23,900,000 5.500 3/1/2014 23,765,442 AMERICA MOVIL SA NC 18,700,000 5.750 1/15/2015 18,739,083 AMERICAN ELEC PWR INC NC 4,500,000 5.375 3/15/2010 4,692,085 AMERICAN ELECTRIC POWER NC 9,000,000 5.250 6/1/2015 9,022,327 AMERICAN GENERAL CAP II NC 13,000,000 8.500 7/1/2030 17,374,674 AMERICAN GENERAL FINANCE NC 13,500,000 4.000 3/15/2011 13,066,729 AMERICAN INTERNATIONAL GROUP NC 26,000,000 4.250 5/15/2013 25,112,385 ANADARKO FINANCE NC 23,500,000 7.500 5/1/2031 28,948,431 AOL TIME WARNER INC NC 16,500,000 7.625 4/15/2031 19,958,662 ARCEL FINANCE LIMITED NC 11,000,000 7.048 9/1/2011 11,241,560 AT&T WIRELESS NC 14,000,000 8.125 5/1/2012 16,916,739 ATHABASCA OIL SANDS NC 20,000,000 8.200 4/1/2027 24,281,576 BAFC 2004-1 40,623,738 6.000 2/25/2034 41,623,537 BECTON DICKINSON NC 21,500,000 7.000 8/1/2027 25,134,986 BECTON DICKINSON & CO NC 3,500,000 4.550 4/15/2013 3,464,397 BELLSOUTH CORP NC 13,000,000 4.750 11/15/2012 13,096,879 BELLSOUTH CORP NC 11,250,000 5.200 9/15/2014 11,474,014 BELLSOUTH CORP NC 10,000,000 5.200 12/15/2016 10,054,628 BELLSOUTH CORP NC 14,790,000 6.550 6/15/2034 16,113,507 BOAA 2004 14,127,080 6.000 2/25/2034 14,487,167 BOAA 2004-2 3A1 18,191,872 6.000 3/25/2034 18,656,367 BOAMS 2004-1 2A1 19,564,761 5.500 2/25/2034 19,659,073 BOAMS 2004-7 4A1 12,706,060 5.000 8/25/2019 12,807,769 BP CAP MKTS AMER NC 15,000,000 4.200 6/15/2018 13,782,671 BRITISH SKY BROADCASTING NC 9,545,000 8.200 7/15/2009 11,032,030 BRITISH SKY BROADCASTING GRP NC 5,000,000 6.875 2/23/2009 5,484,181 BRITISH TEL PLC NC 24,500,000 8.875 12/15/2030 32,724,480 BURLINGTON RESOURCES NC 11,000,000 7.200 8/15/2031 13,150,703 BURLINGTON RESOURCES NC 24,300,000 9.875 6/15/2010 30,789,373 CANADIAN NATL RAILROAD NC 22,210,000 6.800 7/15/2018 26,176,784 CANADIAN NATL RAILROAD NC 16,025,000 6.900 7/15/2028 18,510,539 CELULOSA ARAUCO NC 4,500,000 5.125 7/9/2013 4,453,096 CELULOSA ARAUCO NC 33,132,000 7.750 9/13/2011 38,285,655 CENTEX NC 2,500,000 5.800 9/15/2009 2,646,447 CINCINNATI GAS & ELEC NC 14,000,000 5.375 6/15/2033 13,328,047 CINCINNATI GAS & ELEC CO NC 12,400,000 5.400 6/15/2033 11,842,496 CITIGROUP NC 45,000,000 6.000 10/31/2033 46,472,381 CITIGROUP INC NC 20,000,000 5.125 5/5/2014 20,486,218 CITIGROUP INC NC 6,500,000 5.000 9/15/2014 6,525,213 CITIGROUP INC NC 8,500,000 5.850 12/11/2034 8,762,228


UNIVERSITY OF CALIFORNIA RETIREMENT PLAN BOND PORTFOLIO December 31, 2004 DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE CITIGROUP INC NC 15,000,000 6.000 2/21/2012 16,419,008 CLEAR CHANNEL COMMUNICATION NC 7,000,000 5.500 9/15/2014 7,016,004 CLEAR CHANNEL COMMUNICATIONS NC 4,000,000 4.250 5/15/2009 3,954,707 CLEAR CHANNEL COMMUNICATIONS NC 9,500,000 4.400 5/15/2011 9,207,725 CMSI 2004-5 23A5 19,434,195 4.500 8/25/2034 19,197,341 CODELCO INC NC 13,500,000 4.750 10/15/2014 13,243,420 CODELCO INC NC 15,000,000 6.375 11/30/2012 16,540,523 COMCAST CABLE COMMUNICATIONS NC 18,200,000 8.875 5/1/2017 23,802,203 COMCAST CORP NC 6,750,000 5.500 3/15/2011 7,123,329 COMCAST CORP NC 6,800,000 5.850 1/15/2010 7,251,932 COMCAST CORP NC 29,200,000 6.500 1/15/2015 32,408,554 COMCAST CORP NC 19,500,000 7.050 3/15/2033 22,280,010 COSOLIDATED NATURAL GAS NC 12,000,000 5.000 3/1/2014 12,088,505 COUNTRYWIDE FINANCIAL NC 7,800,000 4.000 3/22/2011 7,561,300 COX COMMUNICATIONS INC NEW NC 14,400,000 5.500 10/1/2015 14,319,953 COX COMMUNICATIONS INC. NC 9,800,000 4.625 1/15/2010 9,798,300 CRH AMERICA NC 10,700,000 5.300 10/15/2013 10,949,479 CRH AMERICA NC 25,000,000 6.400 10/15/2033 27,065,491 CWHL 2003-50 A1 16,128,941 5.000 11/25/2018 16,274,714 D.R. HORTON INC. NC 17,500,000 5.625 1/15/2016 17,215,625 DAIMLERCHRYS NA NC 8,650,000 8.500 1/18/2031 10,737,508 DANA CORPORATION NC 7,400,000 5.850 1/15/2015 7,326,000 DELHAIZE AMER INC NC 12,850,000 9.000 4/15/2031 16,625,330 DEV BANK SINGAPORE NC 22,500,000 5.000 11/15/2019 22,331,025 DEVELOPERS DIVERS REALTY NC 12,550,000 5.250 4/15/2011 12,771,916 DIAGEO FINANCE NC 32,000,000 3.875 4/1/2011 31,226,731 DIAMLERCHRYSLER NA HLDG NC 4,500,000 6.500 11/15/2013 4,865,296 DR HORTON INC NC 2,900,000 5.000 1/15/2009 2,921,750 DR HORTON INC. NC 8,600,000 5.625 9/15/2014 8,578,500 EATON CORP NC 8,750,000 8.100 8/15/2022 11,301,246 EMPRESA NACIONAL DE ELCTRCID NC 4,500,000 8.500 4/1/2009 5,118,721 ENBRIDGE ENERGY PARTNERS L P NC 19,100,000 4.750 6/1/2013 18,646,589 ENCANA CORP NC 19,000,000 6.500 8/15/2034 20,883,412 ENERSIS SA NC 27,000,000 7.375 1/15/2014 29,426,490 ENTERPRISE PRODUCTS NC 7,500,000 6.650 10/15/2034 7,728,275 ENTERPRISE PRODUCTS NC 15,250,000 6.875 3/1/2033 16,176,624 ENTERPRISE PRODUCTS OPER NC 4,000,000 4.625 10/15/2009 3,983,020 EOP OPERATING LP NC 17,500,000 4.650 10/1/2010 17,569,402 ERAC USA FINANCE NC 28,000,000 6.700 6/1/2034 30,140,507 FANNIE MAE NC 308,000,000 3.875 11/17/2008 306,520,522 FANNIE MAE NC 148,960,000 4.000 12/15/2008 148,775,170 FANNIE MAE NC 185,300,000 5.125 1/2/2014 189,274,907 FANNIE MAE NC 34,700,000 5.250 8/1/2012 36,036,450 FEDERAL HOME LOAN BANK NC 55,500,000 5.375 2/15/2007 57,726,765


UNIVERSITY OF CALIFORNIA RETIREMENT PLAN BOND PORTFOLIO December 31, 2004 DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE FEDERAL NATL MTG ASSN NC 200,000,000 3.750 9/15/2008 198,908,400 FEDERAL NATL MTG ASSN NC 90,600,000 4.625 5/1/2013 89,787,898 FGCI PL B14157 11,945,977 4.000 5/1/2019 11,686,690 FGCI POOL #B10827 43,210,195 4.500 11/1/2018 43,208,069 FGCI POOL #B11815 22,514,111 4.500 1/1/2019 22,513,003 FGCI POOL #B13457 20,201,050 4.500 1/1/2019 20,156,416 FGCI POOL #E01084 8,284,300 5.500 1/1/2017 8,561,789 FGCI POOL #E01098 13,818,746 6.000 2/1/2017 14,488,061 FGCI POOL #E01251 12,581,047 5.500 11/1/2017 12,999,949 FGCI POOL #E01311 10,601,546 5.500 2/1/2018 10,955,716 FGCI POOL #E01537 2,421,776 4.500 12/1/2018 2,421,657 FGLMC POOL # C79601 8,481,200 5.000 5/1/2033 8,453,738 FGLMC POOL #A12330 21,669,641 5.000 8/1/2033 21,599,474 FGLMC POOL #A12886 39,863,669 5.000 8/1/2033 39,734,590 FGLMC POOL #A14235 32,249,782 5.000 10/1/2033 32,145,356 FGLMC POOL #A14282 11,363,855 5.000 10/1/2033 11,327,058 FGLMC POOL #C01404 20,427,173 6.500 10/1/2032 21,411,579 FGLMC POOL #C76289 9,777,951 6.000 1/1/2033 10,099,828 FGLMC POOL #C77031 24,243,882 6.000 3/1/2033 25,041,957 FGLMC POOL #G01674 17,851,934 5.500 4/1/2034 18,157,727 FGLMC POOL 78907 7,097,867 5.000 5/1/2033 7,074,884 FGLMC POOL C01676 56,552,719 6.000 11/1/2033 58,414,356 FGTW POOL C90847 19,071,705 6.000 8/1/2024 19,806,680 FGTW POOL C90865 16,285,370 6.000 11/1/2024 16,912,967 FHARM POOL #781285 17,842,082 4.780 2/1/2034 18,012,438 FHLG POOL #C62885 7,752,066 6.500 1/1/2032 8,125,646 FHR 2567 MC 6,148,550 4.000 12/15/2032 6,152,627 FHR 2601 TA 12,238,336 4.000 10/15/2022 12,099,134 FIFTH THIRD BANK NC 25,000,000 3.375 8/15/2008 24,636,807 FIRSTENERGY CORP NC 4,200,000 5.500 11/15/2006 4,325,442 FIRSTENERGY CORP NC 2,360,000 6.450 11/15/2011 2,558,711 FIRSTENERGY CORP NC 26,500,000 7.375 11/15/2031 30,153,224 FLORIDA POWER NC 18,000,000 5.100 12/1/2015 18,076,672 FNARM POOL #555893 20,969,003 3.917 10/1/2033 20,777,681 FNARM POOL #746038 9,000,095 4.725 1/1/2034 9,106,782 FNARM POOL #748088 4,252,254 4.095 9/1/2033 4,227,693 FNARM POOL #759753 7,582,954 5.036 1/1/2034 7,722,223 FNARM POOL #767500 5,272,618 4.485 3/1/2034 5,294,088 FNARM POOL #770305 5,087,492 4.422 4/1/2034 5,092,977 FNARM POOL #770306 8,285,016 4.432 3/1/2034 8,295,596 FNCI POOL #254308 1,651,357 6.500 5/1/2017 1,749,255 FNCI POOL #254373 1,174,516 6.500 7/1/2017 1,244,145 FNCI POOL #254719 29,715,764 4.500 4/1/2018 29,716,264 FNCI POOL #254804 9,673,455 5.500 7/1/2018 10,003,442


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


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


UNIVERSITY OF CALIFORNIA RETIREMENT PLAN BOND PORTFOLIO December 31, 2004 DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE FNMA POOL #640008 4,808,742 7.000 4/1/2032 5,087,224 FNMA POOL #672415 6,400,339 6.500 9/1/2032 6,704,637 FNMA POOL #676868 7,227,402 6.000 1/1/2033 7,469,690 FNMA POOL #753077 4,243,354 6.500 12/1/2033 4,442,784 FNMA-POOL #627118 14,296,910 7.000 3/1/2032 15,124,868 FNR 03-18 PA 6,952,238 4.000 7/25/2032 6,796,111 FNR 03-19 ME 5,023,331 4.000 3/25/2031 5,020,164 FNR 03-42 CA 2,993,068 4.000 5/25/2033 2,926,870 FNR 03-58 MC 7,757,610 3.750 7/25/2033 7,481,038 FNR 03-63 GU 13,976,508 4.000 7/25/2033 14,014,576 FNR 03-63 TJ 48,494,584 3.000 8/25/2032 45,770,599 FNR 2003-20 2,218,908 4.500 3/25/2031 2,230,033 FORD MOTOR CREDIT NC 15,000,000 6.625 10/1/2028 13,855,202 FORD MOTOR CREDIT NC 3,000,000 7.375 2/1/2011 3,231,430 FORD MOTOR CREDIT NC 11,500,000 7.450 7/16/2031 11,452,996 FORD MOTOR CREDIT CO NC 11,000,000 5.700 1/15/2010 11,090,726 FREDDIE MAC NC 450,000,000 4.250 5/4/2009 450,961,110 FREDDIE MAC NC 303,000,000 5.000 1/30/2014 303,779,195 FREDDIE MAC NC 50,000,000 6.250 3/5/2012 52,235,015 GENERAL ELECTRIC CAPITAL NC 92,000,000 6.750 3/15/2032 107,464,721 GENERAL ELECTRIC COMPANY NC 79,750,000 5.000 2/1/2013 81,835,498 GENERAL MOTORS NC 30,700,000 8.250 7/15/2023 31,943,555 GENERAL MOTORS NC 4,500,000 8.375 7/15/2033 4,628,908 GEORGIA POWER NC 15,000,000 5.125 11/15/2012 15,345,737 GEORGIA POWER NC 5,000,000 5.750 4/15/2023 5,061,566 GMAC NC 6,800,000 6.750 12/1/2014 6,771,002 GMAC NC 30,410,000 6.875 8/28/2012 30,742,361 GMAC NC 5,500,000 8.000 11/1/2031 5,606,255 GNMA-I POOL #603419 12,684,033 5.500 2/15/2033 12,966,665 GNMA-I POOL #781130 7,535,151 7.000 1/15/2030 7,998,728 GNMA-II POOL #2824 1,594,969 7.000 10/20/2029 1,690,521 GNMA-II POOL #2999 3,638,392 7.500 11/20/2030 3,891,662 GNMA-II POOL #3011 1,937,742 7.500 12/20/2030 2,072,629 GNSF POOL #598267 3,373,199 6.000 6/15/2033 3,495,574 GNSF POOL #612376 36,639,363 5.500 11/15/2033 37,455,779 GNSF POOL #621888 5,538,074 6.000 1/15/2034 5,738,989 GNSF POOL #627135 5,553,490 5.000 3/15/2034 5,563,989 GNSF POOL #781324 5,893,025 7.000 7/15/2031 6,253,133 GOLDMAN SACHS NC 30,500,000 4.750 7/15/2013 30,186,939 GOLDMAN SACHS NC 30,000,000 5.150 1/15/2014 30,414,347 GOLDMAN SACHS NC 7,000,000 6.125 2/15/2033 7,219,027 GRAND MET INVT CORP NC 13,000,000 9.000 8/15/2011 16,390,043 GRUPO TELEVISA SA NC 5,000,000 8.000 9/13/2011 5,800,000 GRUPO TELEVISA SA NC 28,963,000 8.500 3/11/2032 33,452,265


UNIVERSITY OF CALIFORNIA RETIREMENT PLAN BOND PORTFOLIO December 31, 2004 DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE GSR 2004-2F 14A1 11,491,231 5.500 9/25/2019 11,778,062 HARRAHS OPERATING CO NC 15,750,000 5.500 7/1/2010 16,348,845 HERTZ CORP NC 16,500,000 4.700 10/2/2006 16,667,730 HILTON HOTELS NC 3,000,000 7.625 12/1/2012 3,505,573 HUTCH WHAM INTL LTD NC 9,450,000 6.250 1/24/2014 9,929,111 HUTCHISON WHAMP INTL LTD. NC 8,300,000 7.450 11/24/2033 9,157,031 IBM CORP NC 20,000,000 4.750 11/29/2012 20,398,039 IBM CORP NC 21,200,000 6.220 8/1/2027 23,201,979 ILLINOIS STATE TAXABLE PENSION SNK 24 16,635,000 5.100 6/1/2033 15,979,082 INTL BK R&D(INTPT)STRIPS NC 60,000,000 0.000 2/15/2016 33,564,708 INTL BK R&D(PRNPT)STRIPS NC 32,000,000 0.000 2/15/2015 19,297,885 JERSEY CENT PWR & LT CO NC 5,000,000 5.625 5/1/2016 5,215,469 KFW INTL FINANCE NC 17,000,000 5.250 6/28/2006 17,500,310 KIMBERLY CLARK DE MEX NC 30,000,000 8.875 8/1/2009 35,362,998 L 3 COMMUNICATIONS CORP NC 8,700,000 6.125 1/15/2014 8,961,000 L-3 COMMS CORP NC 13,300,000 5.875 1/15/2015 13,266,750 LOBLAW NC 25,000,000 6.650 11/8/2027 22,692,420 LOBLAW CO. LTD NC 28,000,000 6.500 1/22/2029 24,960,984 LOBLAW CO. LTD RESIDS NC 40,000,000 0.000 5/23/2031 6,533,788 LOCKHEED MARTIN CORP NC 9,500,000 8.500 12/1/2029 12,975,448 LORAL NC 26,300,000 7.000 9/15/2023 30,030,718 LUBRIZOL CORP NC 14,250,000 4.625 10/1/2009 14,228,645 LUBRIZOL CORP NC 2,500,000 6.500 10/1/2034 2,522,663 M & I CAPITAL SEC. NC06 12,200,000 7.650 12/1/2026 13,122,710 MASCO NC 6,000,000 7.125 8/15/2013 6,935,107 MASTR 2003-10 1A1 56,979,893 5.500 11/25/2033 57,336,274 MASTR 2003-7 1A2 12,731,636 5.500 9/25/2033 12,810,339 MELLON A CAPITAL SEC. NC06 16,500,000 7.720 12/1/2026 17,907,366 MGM GRAND NC 11,000,000 6.000 10/1/2009 11,275,000 MGM MIRAGE NC 14,175,000 6.750 9/1/2012 14,919,188 MORGAN STANLEY NC 50,750,000 4.750 4/1/2014 49,455,660 MSM 2004-3 23,384,454 6.000 4/25/2034 23,985,542 MSSTR 2004-2 100,000,000 6.500 12/1/2034 103,171,875 NEW BRUNSWICK PROV CDA NC 5,000,000 3.500 10/23/2007 5,006,068 NEWS AMER INC NC 8,000,000 6.550 3/15/2033 8,519,947 NEWS AMER INC. NC 9,000,000 6.200 12/15/2034 9,165,780 NEWS AMERICA HOLDINGS NC 21,700,000 7.700 10/30/2025 25,803,605 NEXTEL COMMUNICATIONS 3/09@ 4,500,000 5.950 3/15/2014 4,657,500 NISOURCE FINANCE NC 6,500,000 5.400 7/15/2014 6,661,366 NORFOLK SOUTHERN NC 13,161,000 9.000 3/1/2021 17,698,555 OHIO POWER NC 9,745,000 6.600 2/15/2033 10,928,739 PACIFIC GAS & ELECTRIC NC 8,000,000 4.200 3/1/2011 7,905,770 PACIFIC GAS & ELECTRIC NC 12,000,000 4.800 3/1/2014 11,939,257 PEARSON PLC (U.K.) RULE 144A. NC 10,000,000 4.700 6/1/2009 10,163,892


UNIVERSITY OF CALIFORNIA RETIREMENT PLAN BOND PORTFOLIO December 31, 2004 DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE PEMEX PRJ FDG MASTER TR 144A NC 29,700,000 8.625 2/1/2022 34,526,250 PEMEX PROJECT NC 8,250,000 6.125 8/15/2008 8,745,000 PEMEX PROJECT NC 4,000,000 7.375 12/15/2014 4,440,000 PEMEX PROJECT NC 14,500,000 8.000 11/15/2011 16,675,000 PETROBRAS INTL FINANCE NC 5,500,000 7.750 9/15/2014 5,788,750 PETRO-CANADA NC 11,500,000 5.000 11/15/2014 11,474,295 PFIZER INC NC 5,000,000 4.650 3/1/2018 4,805,185 PROGRESS ENERGY NC 16,000,000 7.000 10/30/2031 17,605,008 PSI ENERGY INC NC 13,000,000 5.000 9/15/2013 12,982,467 RALI 2004-QS6 A 37,067,438 5.000 5/25/2019 37,409,248 RBS CAPITAL TRUST III 9/14@ 28,900,000 5.512 9/29/2049 29,561,837 REPUBLIC OF BRAZIL NC 4,500,000 8.875 10/14/2019 4,740,750 REPUBLIC OF BRAZIL NC 3,000,000 9.250 10/22/2010 3,352,500 REPUBLIC OF BRAZIL NC 7,050,000 10.000 8/7/2011 8,170,950 RFCO STRIPS NC 111,500,000 0.000 4/15/2016 64,923,651 RFCO STRIPS NC 105,000,000 0.000 10/15/2017 55,711,194 RFMSI 2003-28 A1 9,910,615 5.000 5/25/2018 9,998,933 RFMSI 2004-S9 16,000,000 5.500 12/1/2034 16,102,500 ROYAL BK SCOTLAND NC 8,000,000 6.400 4/1/2009 8,727,535 ROYAL CARIBBEAN CRUISES NC 7,250,000 6.875 12/1/2013 7,830,000 ROYAL CARIBBEAN CRUISES NC 3,525,000 7.500 10/15/2027 3,846,656 RYLAND GROUP NC 12,750,000 5.375 6/1/2008 13,260,000 S A S C 2003-20 1A1 33,235,278 5.500 7/25/2033 33,440,865 SASC 2003-30 1A1 39,606,844 5.500 10/25/2033 39,856,794 SEARIVER MARITIME INC. NC 43,815,000 0.000 9/1/2012 31,290,803 SHAW NC 18,000,000 7.500 11/20/2013 16,140,304 SHAW COMMUNICATIONS INC NC 8,555,000 7.200 12/15/2011 9,442,581 SIMON PROPERTY GROUP NC 8,390,000 4.875 8/15/2010 8,551,759 SOUTHERN POWER NC 20,000,000 4.875 7/15/2015 19,686,986 SPRINT NC 43,000,000 6.875 11/15/2028 47,069,978 SPRINT CAP CORP NC 19,650,000 6.900 5/1/2019 21,939,871 STATE STREET BANK NC 3,500,000 5.250 10/15/2018 3,510,544 STATE STREET INSTL CAP B NC07 9,000,000 8.035 3/15/2027 10,451,596 STRIP PRINCIPAL NC 922,500,000 0.000 8/15/2017 510,714,450 STRIPS NC 198,500,000 0.000 8/15/2017 109,423,125 SUNCOR ENERGY NC 3,000,000 5.950 12/1/2034 3,140,097 SUNCOR ENERGY NC 18,000,000 5.950 12/1/2034 18,840,585 TELECOM ITALIA CAPITAL NC 3,800,000 4.000 1/15/2010 3,724,022 TELECOM ITALIA CAPITAL NC 52,000,000 6.375 11/15/2033 53,600,986 TELEFONOS MEXICO NC 11,900,000 4.500 11/19/2008 12,005,791 TENGIZCHEVROIL LLP NC 13,300,000 6.124 11/15/2014 13,333,250 TIME WARNER ENTERTAINMENT NC 43,375,000 8.375 3/15/2023 54,376,452 TIME WARNER ENTERTAINMENT NC 30,750,000 8.375 7/15/2033 39,771,659 TIME WARNER INC. NC 8,500,000 6.875 6/15/2018 9,593,550


UNIVERSITY OF CALIFORNIA RETIREMENT PLAN BOND PORTFOLIO December 31, 2004 DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE TOYOTA MTR CRED NC 4,000,000 5.650 1/15/2007 4,202,436 TRANS - CANADA PL NC 7,000,000 4.875 1/15/2015 6,976,243 TRANSCANADA PIPELINE NC 21,320,000 8.290 2/5/2026 22,665,901 U S TREAS BD STRIPPED PRIN NC 350,000,000 0.000 11/15/2016 202,779,514 U S TREAS BD STRIPPED PRIN NC 700,000,000 0.000 11/15/2024 256,235,000 U S TREAS BD STRIPPED PRIN NC 300,000,000 0.000 2/15/2025 108,231,000 U S TREAS SEC STRIPPED INT PRIN NC 300,000,000 0.000 11/15/2024 109,161,003 U S TREASURY BILL 7,617,000 0.000 2/24/2005 7,594,149 U.S.BANCORP CAP A SEC. NC06 19,000,000 8.270 12/15/2026 21,033,465 UNION ELECTRIC NC 12,000,000 5.100 10/1/2019 11,915,056 UNITED MEXICAN STATES NC 7,200,000 8.125 12/30/2019 8,478,000 UNITED MEXICAN STS MTN BE NC 22,810,000 4.625 10/8/2008 23,117,935 UNITED STATES MEXICAN NC 14,200,000 6.750 9/27/2034 14,022,500 UNIVISION COMM INC NC 7,500,000 3.875 10/15/2008 7,457,279 US BANK NA NC 12,500,000 4.800 4/15/2015 12,400,793 US TREASURY BONDS NC 7,750,000 7.875 2/15/2021 10,473,583 US TREASURY BONDS NC 26,900,000 8.875 2/15/2019 38,724,971 US TREASURY NOTES NC 63,700,000 5.750 8/15/2010 70,136,251 US TREASURY NOTES NC 258,650,000 6.500 2/15/2010 292,846,119 US TREASURY STRIP NC 150,000,000 0.000 2/15/2013 106,663,502 US TREASURY STRIPS NC 112,000,000 0.000 2/15/2018 59,969,279 US TREASURY(INPUT)STRIPS NC 160,000,000 0.000 5/15/2017 89,849,597 US TREASURY(INTPT)STRIPS NC 200,000,000 0.000 2/15/2017 113,520,004 VALE OVERSEAS LIMITED NC 23,300,000 8.250 1/17/2034 24,523,250 VERIZON GLOBAL NC 27,100,000 7.750 12/1/2030 33,648,333 VERIZON NEW ENGLAND INC. NC 16,400,000 4.750 10/1/2013 15,977,082 VERIZON NY INC. NC 12,930,000 7.375 4/1/2032 14,885,808 VESSEL MGMT SVC TITLE XI NC 13,548,500 6.080 5/20/2024 14,765,291 VIRGINIA EL&PWR NC 26,500,000 4.750 3/1/2013 26,289,239 VODAFONE GROUP NC 12,500,000 5.375 1/30/2015 12,948,995 VODAFONE GROUP NC 5,000,000 7.750 2/15/2010 5,810,753 WACHOVIA CAPITAL SEC. NC07 21,000,000 7.965 6/1/2027 24,216,788 WELLS FARGO & CO NC 12,500,000 4.950 10/16/2013 12,678,676 WELLS FARGO COMPANY NC 17,500,000 5.125 9/15/2016 17,554,853 WFMBS 2003-6 1A1 9,019,304 5.000 6/25/2018 9,108,793 WFMBS 2004-7 1A1 9,828,698 4.500 7/25/2019 9,741,712 WFMBS 2004-7 2A1 19,171,522 4.500 7/25/2019 19,001,851 WORLD SAV BK FSB NC 13,000,000 4.125 12/15/2009 13,032,961 XTO ENERGY INC NC 14,500,000 5.000 1/31/2015 14,399,853 TOTAL BOND PORTFOLIO 9,933,633,515 Cash and Equivalents 797,523,750 TOTAL UCRP BOND PORTFOLIO 10,731,157,265


UNIVERSITY OF CALIFORNIA RETIREMENT PLAN TIPS PORTFOLIO December 31, 2004 DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE TREASURY INFLATION INDEX NC 114,200,000 0.875 4/15/2010 113,925,475 TREASURY INFLATION INDEX NC 192,017,000 1.875 7/15/2013 205,221,054 TREASURY INFLATION INDEX NC 200,865,000 2.000 1/15/2014 214,807,683 TREASURY INFLATION INDEX NC 180,845,000 2.000 7/15/2014 188,957,897 TREASURY INFLATION INDEX NC 104,660,000 2.375 1/15/2025 113,212,707 TREASURY INFLATION INDEX NC 212,075,000 3.000 7/15/2012 251,231,948 TREASURY INFLATION INDEX NC 158,524,000 3.375 1/15/2007 202,311,981 TREASURY INFLATION INDEX NC 60,184,000 3.375 1/15/2012 73,669,137 TREASURY INFLATION INDEX NC 48,200,000 3.375 4/15/2032 68,540,952 TREASURY INFLATION INDEX NC 110,629,000 3.500 1/15/2011 137,795,555 TREASURY INFLATION INDEX NC 165,870,000 3.625 1/15/2008 213,541,594 TREASURY INFLATION INDEX NC 158,033,000 3.625 4/15/2028 244,606,297 TREASURY INFLATION INDEX NC 151,682,000 3.875 1/15/2009 197,975,412 TREASURY INFLATION INDEX NC 184,758,000 3.875 4/15/2029 294,062,992 TREASURY INFLATION INDEX NC 108,144,000 4.250 1/15/2010 142,314,649 TOTAL TIPS PORTFOLIO 2,662,175,333 Cash and Equivalents 272,000 TOTAL UCRP TIPS PORTFOLIO 2,662,447,333


UNIVERSITY OF CALIFORNIA RETIREMENT PLAN BOND PORTFOLIO December 31, 2004 DESCRIPTION MARKET VALUE TOTAL UCRP BOND PORTFOLIO 10,731,157,265 TOTAL UCRP TIPS PORTFOLIO 2,662,447,333 GRAND TOTAL UCRP BOND PORTFOLIO 13,393,604,598 Portfolio market values do not include accruals.


UNIVERSITY OF CALIFORNIA RETIREMENT PLAN PUBLIC EQUITY December 31, 2004

ISSUER SHARES MARKET VALUE AMERICAN CENTURY SC CORE R2000 90,611,833 107,529,878 AMEX/KENWOOD SC VALUE R2000V 114,652,462 132,134,669 ARK LC GROWTH 3,383,266 375,589,388 AXA ROSENBERG SMC CORE R2500 94,891,713 107,157,037 BURGUNDY SMC VALUE R2500V 88,764,529 102,107,436 CGI EMERGING MARKETS GF 2,596,301 188,543,402 CGT LC CORE 3,389,953 372,248,110 CORTINA SC GROWTH R2000G 45,506,705 49,001,529 DELAWARE SC GROWTH II R2000G 72,415,918 77,898,889 EAFE INDEX FUND 31,176,202 3,311,421,597 FRANKLIN PORTFOLIO LC CORE 4,367,408 478,266,933 FREEMAN LC CORE 2,415,826 265,720,488 GENESIS EMERGING MARKETS 543,487 162,308,837 GMO EMERGING MARKETS FUND 3,597,504 61,733,172 GSAM CONCENTRATED LC GROWTH 3,863,850 427,300,258 HARRIS LC VALUE 3,390,407 370,724,356 HOTCHKIS&WILEY LC DIVS. VALUE 3,888,139 435,460,299 INTECH LC BROAD GROWTH 3,911,310 430,022,336 IRONBRIDGE SC CORE R2000 113,855,061 129,709,948 LSV LC VALUE 2,428,160 266,250,644 MAZAMA SMC GROWTH R2500G 99,740,883 102,645,537 NWQ LC VALUE 2,425,196 263,208,191 PZENA LC VALUE 3,368,609 371,572,174 RUSSELL 1000 INDEX FUND 33,426,424 5,542,268 RUSSELL 3000 INDEX FUND 119,941,211 17,567,940,702 S & P 500 FUTURES 3/05 336 100,099,490 STATE STREET RM SC GROWTH R2000G 175,117 1,641 TEMPLETON EMERGING MKTS 4,511,938 68,085,147 THORNBURG LC VALUE 3,384,753 372,699,330 TRANSAMERICA LC GROWTH 2,922,445 325,944,682 UBS SC CORE R2000 103,632,382 116,651,615 VICTORY LC DIVERSIFIED 2,429,751 262,006,342 WELLINGTON LC GROWTH 2,898,856 319,278,717 WELLINGTON SC VALUE R2000V 103,607,306 120,257,726 TOTAL PUBLIC EQUITY 27,847,062,768 % of Portfolio 97.50%


UNIVERSITY OF CALIFORNIA RETIREMENT PLAN PRIVATE EQUITY December 31, 2004

ISSUER MARKET VALUE PRIVATE EQUITY DISTRIBUTIONS 6,059,939 BUYOUT FUNDS 198,399,329 INTERNATIONAL PRIVATE EQUITY 92,587,649 VENTURE CAPITAL PARTNERSHIPS 356,478,972 REAL ESTATE 36,000,000 TOTAL PRIVATE EQUITY 689,525,889 % of Portfolio 2.41%


UNIVERSITY OF CALIFORNIA RETIREMENT PLAN TOTAL EQUITY December 31, 2004


TOTAL EQUITIES 28,536,588,657

Cash and Equivalents 25,521,250



Portfolio market values do not include accruals.

UCRPHoldings as of December 31, 2005

EQUITY INVESTMENTS

EXTERNALLY MANAGED FUNDS(SC = Small Cap LC + Large Cap)

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

TOTAL EQUITY 27,756,093,829.81

FIXED INCOME

FIXED INCOME - SECURITIES

ALCAN ALUM LTD 5.75% 01 Jun 2035 13,000,000 12,688,535.34 ALCAN INC 5% 01 Jun 2015 6,250,000 6,071,895.63 ALL STATE CORP 7.2% 01 Dec 2009 8,500,000 9,159,906.26 ALLSTATE CORP 5.55% 09 May 2035 23,600,000 23,120,905.84 AMEREN UN ELEC 5.1% 01 Oct 2019 17,000,000 16,445,237.98 AMEREN UN ELEC 5.3% 01 Aug 2037 19,000,000 18,044,406.02 AMERENENERGY GENERATING CO 7.95% 01 Jun 2032 7,000,000 8,916,512.78 AMERICA MOVIL S A DE C V 5.5% 01 Mar 2014 37,350,000 36,819,257.25

Source: State Street

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


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


Security Name Security Description Shares/Par Value Market ValueFEDERAL NATL MTG ASSN 4% 25 Mar 2031 3,192,442 2,959,239.80 FEDERAL NATL MTG ASSN 5.125% 02 Jan 2014 185,300,000 186,094,066.09 FEDERAL NATL MTG ASSN 3.125% 15 Jul 2006 190,000,000 188,470,291.00 FEDERAL NATL MTG ASSN 6.5% 25 Jul 2044 31,452,758 31,925,200.80 FEDERAL NATL MTG ASSN 3.875% 15 May 2007 65,000,000 64,316,148.00 FEDERAL NATL MTG ASSN GTD 3% 25 Aug 2032 34,676,506 31,668,274.15 FEDERAL NATL MTG ASSN GTD REMI 3.75% 25 Jul 2033 5,336,238 4,955,838.43 FHLMC TBA JAN 30 GOLD SINGLE 5.5% 01 Dec 2099 70,000,000 69,343,750.00 FHLMC TBA JAN 30 GOLD SINGLE 6% 01 Dec 2099 20,000,000 20,192,188.00 FIRST ENERGY CORP 7.375% 15 Nov 2031 41,500,000 48,685,444.05 FIRSTENERGY CORP 6.45% 15 Nov 2011 15,690,000 16,583,512.55 FLORIDA PWR CORP 5.1% 01 Dec 2015 10,000,000 9,870,132.40 FNMA TBA JAN 30 SINGLE FAM 5.5% 01 Dec 2099 463,000,000 458,442,320.60 FNMA GRANTOR TRUST 6.5% 25 Jan 2044 12,875,909 13,208,369.04 FNMA POOL 254147 6.5% 01 Jan 2032 909,645 935,134.63 FNMA POOL 254308 6.5% 01 May 2017 1,162,928 1,194,718.01 FNMA POOL 254342 6% 01 Jun 2017 221,103 225,798.26 FNMA POOL 254373 6.5% 01 Jul 2017 843,260 866,311.66 FNMA POOL 254443 6% 01 Sep 2017 1,496,594 1,528,372.35 FNMA POOL 254719 4.5% 01 Apr 2018 24,474,406 23,871,083.50 FNMA POOL 254804 5.5% 01 Jul 2018 7,483,135 7,528,397.33 FNMA POOL 255282 6% 01 Jun 2024 6,226,775 6,316,587.36 FNMA POOL 255342 6% 01 Jul 2024 12,447,915 12,627,458.54 FNMA POOL 255362 6% 01 Aug 2024 30,781,320 31,225,296.06 FNMA POOL 255417 6% 01 Sep 2024 18,371,207 18,636,184.82 FNMA POOL 255466 6% 01 Oct 2024 14,876,046 15,090,611.48 FNMA POOL 255511 6% 01 Nov 2024 10,906,029 11,063,332.48 FNMA POOL 255561 6% 01 Dec 2024 2,337,602 2,371,318.19 FNMA POOL 357970 5% 01 Aug 2035 49,684,263 48,128,419.69 FNMA POOL 412286 6% 01 Jan 2013 318,097 325,216.93 FNMA POOL 545125 6% 01 Aug 2016 2,891,666 2,953,000.17 FNMA POOL 545296 6% 01 Nov 2016 5,916,091 6,041,575.13 FNMA POOL 545506 7% 01 Feb 2032 2,903,495 3,024,665.49 FNMA POOL 555273 6.5% 01 Dec 2032 820,552 843,544.46 FNMA POOL 555329 5% 01 Mar 2033 26,850,944 26,114,697.29 FNMA POOL 555813 4% 01 Oct 2018 19,371,173 18,494,351.63 FNMA POOL 555967 5.5% 01 Nov 2033 222,173,366 220,433,650.44 FNMA POOL 555969 4% 01 Dec 2018 19,813,372 18,916,534.60 FNMA POOL 572805 6% 01 Mar 2016 181,404 185,251.28 FNMA POOL 580052 6% 01 Jul 2016 204,564 208,902.90 FNMA POOL 580848 6% 01 May 2016 29,122 29,739.52 FNMA POOL 581706 6.5% 01 Jul 2031 2,680,733 2,755,850.56 FNMA POOL 597545 6.5% 01 Sep 2031 1,874,163 1,926,678.93 FNMA POOL 598919 6% 01 Nov 2016 320,390 327,185.22 FNMA POOL 627118 7% 01 Mar 2032 6,504,615 6,776,069.98 FNMA POOL 633857 7% 01 Mar 2032 3,206,601 3,340,421.38 FNMA POOL 633865 7% 01 Mar 2032 874,399 910,890.09 FNMA POOL 635030 6.5% 01 May 2032 5,646,745 5,801,619.35 FNMA POOL 639018 6.5% 01 Apr 2017 2,158,688 2,217,698.43 FNMA POOL 640008 7% 01 Apr 2032 2,458,288 2,560,878.64 FNMA POOL 645562 6.5% 01 Jun 2032 2,970,508 3,051,980.98 FNMA POOL 651388 6.5% 01 Aug 2017 1,648,377 1,693,437.55 FNMA POOL 652610 5% 01 Apr 2018 15,653,707 15,513,616.23 FNMA POOL 662707 6.5% 01 Oct 2032 2,152,170 2,211,197.50 FNMA POOL 669991 5.5% 01 Feb 2033 885,492 878,558.19 FNMA POOL 671580 6.5% 01 Nov 2032 523,462 537,818.95 FNMA POOL 672415 6.5% 01 Sep 2032 3,754,869 3,857,853.83 FNMA POOL 676868 6% 01 Jan 2033 5,736,224 5,794,357.03 FNMA POOL 676919 6% 01 Jan 2033 1,419,112 1,433,494.28 FNMA POOL 676956 5% 01 Jan 2033 12,106,996 11,782,719.82 FNMA POOL 681357 5% 01 Mar 2018 15,788,272 15,646,977.07 FNMA POOL 681405 5% 01 Mar 2018 15,548,446 15,409,296.59 FNMA POOL 687517 6% 01 Sep 2018 344,750 352,051.69 FNMA POOL 687579 6.5% 01 Apr 2033 1,123,783 1,151,576.59 FNMA POOL 689076 5% 01 Jun 2018 2,662,394 2,638,566.87 FNMA POOL 689080 5% 01 Jun 2018 15,946,325 15,803,615.56 FNMA POOL 689108 5.5% 01 Feb 2033 25,407,000 25,208,051.63 FNMA POOL 689584 5.5% 01 Feb 2018 4,356,547 4,382,897.60 FNMA POOL 689613 4.5% 01 May 2018 4,194,277 4,090,883.05


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


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


Security Name Security Description Shares/Par Value Market ValuePACIFIC GAS + ELEC CO 6.05% 01 Mar 2034 38,950,000 40,165,654.04 PANAMERICAN BEVERAGES INC 7.25% 01 Jul 2009 3,000,000 3,208,200.30 PC FINL PARTNERSHIP 5% 15 Nov 2014 11,500,000 11,274,136.90 PEMEX PROJ FDG MASTER TR 8.625% 01 Feb 2022 16,100,000 19,899,598.55 PEMEX PROJ FDG MASTER TR 5.75% 15 Dec 2015 29,550,000 29,308,280.70 PEMEX PROJ FDG MASTER TR 6.625% 15 Jun 2035 25,975,000 26,015,520.48 PEMEX PROJECT FUNDING MASTER T 9.375% 02 Dec 2008 5,495,000 6,085,712.50 PENNEY J C INC 7.125% 15 Nov 2023 12,350,000 13,748,835.10 PENNEY J C INC 7.4% 01 Apr 2037 2,750,000 3,072,338.50 PETRO CDA 5.95% 15 May 2035 25,300,000 25,570,663.70 PETROBRAS INTL FIN CO 7.75% 15 Sep 2014 19,050,000 20,574,000.00 PFIZER INC 4.65% 01 Mar 2018 6,250,000 6,002,855.75 PRINCIPAL LIFE INCOME FUNDINGS 5.1% 15 Apr 2014 9,400,000 9,387,182.16 PROLOGIS 5.25% 15 Nov 2010 14,850,000 14,816,066.56 PSI ENERGY INC 5% 15 Sep 2013 14,000,000 13,832,412.72 PSI ENERGY INC 6.12% 15 Oct 2035 5,000,000 5,108,634.95 QUEST DIAGNOSTICS INC 5.45% 01 Nov 2015 7,000,000 7,031,567.62 QUEST DIAGNOSTICS INC 5.125% 01 Nov 2010 9,500,000 9,512,809.23 RBS CAP TR III 5.512% 29 Sep 2049 31,900,000 31,771,941.92 RESIDENTIAL ACCREDIT LNS INC 5% 25 May 2019 30,954,684 30,375,453.95 RESIDENTIAL ACCREDIT LNS INC 6% 25 Aug 2035 23,379,365 23,520,403.65 RESIDENTIAL ASSET MTG PRODS 6% 25 Jul 2032 5,029,368 5,043,515.26 RESIDENTIAL CAP CORP 1200.375% 30 Jun 2010 14,900,000 15,145,802.47 RESIDENTIAL FDG MTG SECS I INC 5% 25 May 2018 8,038,201 7,888,185.76 RESIDENTIAL FDG MTG SECS I INC 5.5% 25 Dec 2034 13,721,768 13,562,363.53 ROYAL BK SCOTLAND GROUP PLC 6.4% 01 Apr 2009 6,250,000 6,512,409.19 ROYAL CARIBBEAN CRUISES LTD 7.5% 15 Oct 2027 15,881,000 17,012,521.25 ROYAL CARIBBEAN CRUISES LTD 6.875% 01 Dec 2013 11,025,000 11,677,018.50 SEARIVER MARITIME FINL HLDGS 0.01% 01 Sep 2012 43,815,000 31,751,774.89 SIMON PPTY GROUP L P 4.875% 15 Aug 2010 21,240,000 20,931,459.90 SIMON PPTY GROUP L P 5.625% 15 Aug 2014 16,500,000 16,696,292.42 SOUTHERN PWR CO 4.875% 15 Jul 2015 26,260,000 25,357,406.77 SPRINT CAP CORP 6.875% 15 Nov 2028 41,000,000 44,873,441.38 SPRINT CAP CORP 6.9% 01 May 2019 21,650,000 23,818,343.19 STATE STR INSTL CAP B 8.035% 15 Mar 2027 9,000,000 9,605,673.90 STRUCTURED ASSET SECS CORP 5.5% 25 Jul 2033 29,062,794 28,502,125.96 STRUCTURED ASSET SECS CORP 5.5% 25 Oct 2033 31,526,509 30,842,793.95 STRUCTURED ASSET SECS CORP 6% 25 Aug 2035 37,679,093 37,761,535.06 SUNCOR ENERGY INC 5.95% 01 Dec 2034 20,000,000 21,468,963.60 SYSCO CORP 4 2 5.375% 21 Sep 2035 14,000,000 13,819,619.94 TELECOM ITALIA CAP 4.95% 30 Sep 2014 20,000,000 19,123,223.80 TELEFONOS DE MEXICO S A 4.5% 19 Nov 2008 12,173,000 11,940,373.60 TELOFONOS DE MEXICO SA 5.5% 27 Jan 2015 36,000,000 35,514,000.00 TEMASEK FINL LTD 4.5% 21 Sep 2015 16,000,000 15,394,144.00 TENGIZCHEVROIL FIN CO S AR L 6.124% 15 Nov 2014 14,575,000 14,822,775.00 THOMSON CORP 5.5% 15 Aug 2035 13,500,000 13,128,912.68 TIME WARNER ENTMT CO L P 8.375% 15 Jul 2033 25,950,000 30,630,152.82 TIME WARNER ENTMT CO L P 8.375% 15 Mar 2023 15,475,000 17,935,225.40 TIME WARNER INC 6.875% 15 Jun 2018 8,500,000 9,000,658.42 TOYOTA MTR CR CORP 4.25% 15 Mar 2010 4,000,000 3,903,280.64 TRANSCANADA PIPELINES LTD 8.29% 05 Feb 2026 21,320,000 25,068,896.95 TRANSCANADA PIPELINES LTD 4.875% 15 Jan 2015 7,000,000 6,862,500.96 TRANSOCEAN SEDCO FOREX INC 7.5% 15 Apr 2031 11,550,000 14,566,943.16 UNITED MEXICAN STS 4.625% 08 Oct 2008 9,000,000 8,905,500.00 UNITED STATES TREAS BD STRIP 0% 15 Feb 2026 380,000,000 150,596,918.40 UNITED STATES TREAS BD STRPPED 0.01% 15 Feb 2025 250,000,000 103,353,605.00 UNITED STATES TREAS BDS 3.625% 15 Apr 2028 134,947,363 174,441,058.01 UNITED STATES TREAS BDS 3.875% 15 Apr 2029 156,861,421 212,056,248.73 UNITED STATES TREAS BDS 3.375% 15 Apr 2032 41,188,495 53,696,204.92 UNITED STATES TREAS BDS 2.375% 15 Jan 2025 200,867,890 211,535,984.14 UNITED STATES TREAS NTS 6.5% 15 Feb 2010 100,000,000 107,902,000.00 UNITED STATES TREAS NTS 4.25% 15 Jan 2010 91,768,416 99,497,151.81 UNITED STATES TREAS NTS 3.875% 15 Jan 2009 128,171,302 134,779,814.57 UNITED STATES TREAS NTS 3.625% 15 Jan 2008 141,793,032 145,648,384.29 UNITED STATES TREAS NTS 3.375% 15 Jan 2007 135,874,228 136,935,405.69 UNITED STATES TREAS NTS 3.5% 15 Jan 2011 93,446,303 99,909,049.80 UNITED STATES TREAS NTS 3.375% 15 Jan 2012 51,117,937 54,975,807.86 UNITED STATES TREAS NTS 3% 15 Jul 2012 176,655,680 186,882,276.94 UNITED STATES TREAS NTS 1.875% 15 Jul 2013 164,464,204 162,293,276.93


Security Name Security Description Shares/Par Value Market ValueUNITED STATES TREAS NTS 2% 15 Jan 2014 169,668,576 168,833,806.62 UNITED STATES TREAS NTS 0% 15 Jul 2014 154,451,904 153,727,524.30 UNITED STATES TREAS NTS 0.875% 15 Apr 2010 223,141,815 212,192,246.31 UNITED STATES TREAS NTS 1.625% 15 Jan 2015 152,468,266 147,000,753.59 UNITED STATES TREAS NTS 1.875% 15 Jul 2015 133,909,898 131,775,374.47 UNITED STATES TRES BD STRP PRN 0% 15 Nov 2018 1,000,000,000 556,996,570.00 UNITED STATES TRES BD STRP PRN 0% 15 May 2018 270,000,000 154,033,423.20 UNITED STATES TRES BD STRP PRN 0% 15 Feb 2019 630,000,000 346,463,472.60 UNITED STATES TRES BD STRP PRN 0% 15 Nov 2016 350,000,000 215,560,313.50 UNITED STATES TRES SC STRP INT 0% 15 Feb 2018 112,000,000 64,465,060.80 UNITED STATES TRES SC STRP INT 0% 15 Feb 2013 150,000,000 109,773,856.50 UNITED STATES TRES SC STRP INT 0% 15 Feb 2017 200,000,000 121,139,824.00 UNITED STATES TRES SC STRP INT 0% 15 May 2017 160,000,000 95,515,929.60 UNITED STATES TRES SC STRP INT 0% 15 May 2018 450,000,000 256,102,258.50 UNITED STATES TRES SC STRP INT 0% 15 Aug 2017 198,500,000 117,151,664.94 UNITED STATES TRES SC STRP INT 0% 15 Nov 2024 300,000,000 125,107,497.00 UNITED TECHNOLOGIES CORP 4.875% 01 May 2015 7,000,000 6,914,771.85 UNITED TECHNOLOGIES CORP 5.4% 01 May 2035 5,000,000 4,983,138.30 US BK NATL ASSN MINNEAPOLIS MN 4.8% 15 Apr 2015 7,500,000 7,307,985.30 VALE OVERSEAS LTD 8.25% 17 Jan 2034 22,450,000 25,845,562.50 VALERO ENERGY CORP NEW 7.5% 15 Apr 2032 14,000,000 16,966,024.60 VESSEL MGMT SVCS INC 6.08% 20 May 2024 12,854,500 13,882,602.91 VIRGINIA ELEC + PWR CO 4.75% 01 Mar 2013 12,700,000 12,368,817.66 WACHOVIA CAP TR V 7.965% 01 Jun 2027 21,000,000 22,487,721.90 WACHOVIA CORP 4.375% 01 Jun 2010 4,775,000 4,668,669.97 WACHOVIA CORP NEW 5.5% 01 Aug 2035 9,000,000 8,752,950.45 WAL MART STORES INC 5.25% 01 Sep 2035 25,500,000 24,706,323.47 WAMU MTG PASS THROUGH CTFS 5% 25 Nov 2018 12,830,329 12,590,607.39 WAMU MTG PASS THROUGH CTFS 5.5% 25 Aug 2035 29,773,361 29,502,426.78 WELLS FARGO + CO NEW 4.95% 16 Oct 2013 12,500,000 12,412,043.63 WELLS FARGO + CO NEW 5.125% 15 Sep 2016 17,500,000 17,350,519.90 WELLS FARGO MTG BACKED SECS 5% 25 Jun 2018 7,243,090 7,114,075.98 WELLS FARGO MTG BACKED SECS 4.5% 25 Jul 2019 8,297,671 8,005,391.02 WELLS FARGO MTG BACKED SECS 5% 25 Jan 2020 23,943,031 23,492,190.46 WELLS FARGO MTG BACKED SECS 5.143476% 25 May 2035 42,346,496 41,647,613.30 WELLS FARGO MTG BACKED SECS TR 5.395% 25 Aug 2035 75,890,543 75,192,410.49 WESTAR ENERGY INC 5.15% 01 Jan 2017 14,850,000 14,442,159.60 WESTAR ENERGY INC 5.95% 01 Jan 2035 5,000,000 4,968,928.50 WESTAR ENERGY INC 5.1% 15 Jul 2020 3,000,000 2,855,138.85 WORLD SVGS BK FSB OAKLAND CALI 4.125% 15 Dec 2009 8,615,000 8,361,885.10 WRIGLEY WM JR CO 4.65% 15 Jul 2015 19,150,000 18,746,565.99 WYETH 5.5% 01 Feb 2014 24,750,000 25,072,075.46 WYETH 6.45% 01 Feb 2024 5,000,000 5,394,385.90 XTO ENERGY INC 5% 31 Jan 2015 15,000,000 14,668,557.30 XTO ENERGY INC 5.3% 30 Jun 2015 9,000,000 9,007,154.19

TOTAL FIXED INCOME 14,290,668,251.09

ALTERNATIVE ASSETS

PRIVATE EQUITY

ACCEL VIII LP 6,280,121.59 AIG ASIAN INFRASTRUCTURE FNDII 15,874,473.07 AIG ASIAN INFRASTRUCTURE FUND 1,973,361.71 AIG GE CAPITAL LATIN AMERICA 38,003,290.20 AIG INDIAN SECTORAL EQUITY 3,010,713.44 ALTA SUB DEB III 1,092,684.00 ARCH VENTURE FUND VI, LP 2,448,712.00 ARSENAL CAP PTNERS 9,758,721.26 BAIN CAPITAL FUND VIII 7,231,434.02 BAIN CAPITAL VIII COINVETMENT 2,257,926.50 BLACKSTONE CAP PARTN IV LP 36,820,439.43 BLUERUN VENTURES III 2,535,757.20 CANAAN EQUITY PARTNERS VII 1,123,500.56 CENTURY PARK CAPITAL PTNS II 686,569.33 CHARLESBANK EQUITY FUND VI 1,168,694.10 CHINAVEST IV LTD PTNRS 976,594.00


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


Security Name Security Description Shares/Par Value Market ValueWARBURG PINCUS PRT EQT VIII 3,920,000.00 WCAS CAPITAL PARTNERS II 3,141,411.00 WCAS III 69,433,560.00 WCAS VI 3,836,685.80 WELSH CARSON ANDERSON + STOWE 18,121,598.87 WICKS COMM + MEDIA PRTNS III 1,338,764.37

REAL ESTATE

AMB INSTITUTIONAL ALLIANCE 29,998,868.55 PRISA II PRUDENTIAL REAL EST. 76,882,910.22 REALTY ASSOCIATES FUND VII 10,000,000.00

TOTAL ALTERNATIVE ASSETS 839,042,738.83

TOTAL SECURITIES 42,885,804,819.73

CASH & CASH EQUIVALENTS 235,574,070.05

ACCOUNTS RECEIVABLE & ACCRUED INCOME 138,275,324.98

ACCOUNTS PAYABLE (792,431.10)

TOTAL NET ASSETS 43,258,861,783.66



EQUITY INVESTMENTS

EXTERNALLY MANAGED FUNDS(SC = Small Cap LC = Large Cap)

Security Name Interest RateMaturity Date Shares/Par Value Base Market Value

ADAGE CAPITAL LC 291,423,317.24 ALLIANCE CAPITAL EMERGING MARKETS 175,994,281.05 AMERICAN CENTURY SC 123,289,540.88 AMEX/KENWOOD SC 166,637,951.33 AQR NON-US 404,865,254.42 ARK ASSET MANAGEMENT CO INC LC 645,402,583.03 AXA ROSENBERG SC 136,153,002.81 BRANDYWINE NON- US 405,436,376.59 BURGUNDY SC 123,328,016.92 CAPITAL GUARDIAN TRUST COMPANY LC 540,727,529.20 CAUSEWAY NON-US 335,001,320.23 CGI EMERGING MARKETS GF 207,471,354.40 CORTINA ASSET MGT SC 106,653,528.25 DELAWARE GROWTH LC 619,182,910.11 DELAWARE INV ADV SC 88,252,772.51 DFA INVT DIMENSIONS GRP EMERGING MRKT 226,014,914.58 EAFE + CANADA TF INTL INDEX FD 5,746,415,322.04 FRANKLIN PORTFOLIO ASSOCIATES LC 841,018,277.71 FREEMAN ASSOCIATES INVESTMENT LC 587,302,760.52 GENESIS EMERGING MKT FD 346,311,510.20 GMO NON US 589,844,266.81 GMO TR EMERGING MARKETS 114,332,712.56 GOLDMAN SACHS ASSET MGMT L P LC 489,997,668.96 HANSBERGER NON-US 180,597,468.47 HARRIS ASSOCIATES LP LC 580,427,213.10 HOTCHKIS + WILEY CAP MGMT LC 617,277,613.84 INTECH LC 499,074,178.00 IRONBRIDGE SC 105,731,173.69 JP MORGAN FLEMING NON-US 230,970,000.22 LAZARD EMERGING MKTS 114,615,102.00 LSV ASSET MANAGEMENT LC 355,129,681.19 MAZAMA SC 95,749,600.51 MFS NON-US 335,704,269.09 MONDRIAN NON US 168,563,803.01 NEW STAR NON US 184,778,976.49 NWQ INVESTMENT MGT CP LLC LC 343,872,638.18 PANAGORA NON-US 177,123,472.67 PZENA INVESTMENT MGMT LC 591,981,193.65 RUSSELL 3000 TF INDEX FUND 12,610,202,905.43 SANDERSON NON US 166,369,728.24 T ROWE PRICE EMERGING MKTS 208,469,914.12 TEMPLETON INSTL FDS EMERGING MRKT 107,686,236.76 THORNBURG MTG INC LC 746,407,992.89 UBS SC 98,573,671.36

Source: State Street 1

Security Name Interest RateMaturity Date Shares/Par Value Base Market ValueVICTORY CAPITAL MGT INC LC 698,647,394.38 WELLINGTON MANAGEMENT CO LLP LC 504,381,455.13 WELLINGTON SC 127,944,993.68

TOTAL EQUITY 33,161,337,848.45

FIXED INCOME

FIXED INCOME - SECURITIES

ALBERTSONS INC 7.25 5/1/2013 4,700,000 4,780,558.00 ALLSTATE CORP 5.55 5/9/2035 9,000,000 8,676,484.20 AMEREN UN ELEC 5.1 10/1/2019 8,931,000 8,255,274.91 AMEREN UN ELEC 5.3 8/1/2037 9,000,000 8,018,958.69 AMEREN UN ELEC 5.3 8/1/2037 10,000,000 8,909,954.10 AMERENENERGY GENERATING CO 7.95 6/1/2032 7,000,000 8,293,604.48 AMERICA MOVIL S A DE C V 5.5 3/1/2014 10,000,000 9,775,220.00 AMERICA MOVIL S A DE C V 5.5 3/1/2014 8,000,000 7,820,176.00 AMERICA MOVIL S A DE C V 5.75 1/15/2015 8,053,000 7,959,102.02 AMERICA MOVIL S A DE C V 6.375 3/1/2035 8,000,000 7,805,144.00 AMERICA MOVIL S A DE C V 6.375 3/1/2035 19,500,000 19,025,038.50 AMERICAN ELEC PWR INC 5.25 6/1/2015 14,000,000 13,578,875.24 AMERICAN GEN CORP 8.5 7/1/2030 5,700,000 7,431,182.80 AMERICAN GEN FIN CORP MTN 4 3/15/2011 13,500,000 12,829,688.42 AMERICAN INTL GROUP INC 5.05 10/1/2015 17,500,000 17,070,831.23 AMERICAN INTL GROUP INC 5.05 10/1/2015 5,500,000 5,365,118.39 ANADARKO PETE CORP 5.95 9/15/2016 9,000,000 9,016,061.31 ANADARKO PETE CORP 6.45 9/15/2036 11,000,000 11,130,888.56 AT+T WIRELESS 8.125 5/1/2012 10,000,000 11,245,018.00 AT+T WIRELESS SVCS INC 8.75 3/1/2031 8,000,000 10,367,495.12 BAC CAP TR VI 5.625 3/8/2035 1,600,000 1,516,761.60 BAC CAP TR XI 6.625 5/23/2036 14,500,000 15,659,961.29 BAE SYS HLDGS INC 4.75 8/15/2010 10,000,000 9,731,140.00 BAE SYS HLDGS INC 5.2 8/15/2015 12,000,000 11,430,480.00 BANC AMER ALTERNATIVE LN TR 5.5 12/25/2019 5,113,223 5,097,946.72 BANC AMER ALTERNATIVE LN TR 5.5 9/25/2033 15,358,990 15,080,608.60 BANC AMER FDG CORP 6 2/25/2034 6,023,369 6,007,700.16 BANC AMER MTG SECS INC 5.75 1/25/2035 26,662,031 26,353,319.73 BANC AMER MTG SECS INC 5.181129 9/25/2035 4,601,814 4,527,393.62 BANK AMER CORP 5.625 10/14/2016 10,000,000 10,173,065.90 BANK AMER CORP 5.42 3/15/2017 9,900,000 9,823,324.50 BCP CRYSTAL U S HLDGS CORP 9.625 6/15/2014 13,000,000 14,365,000.00 BEAR STEARNS ARM TR 4.625 2/25/2036 63,997,207 62,878,394.94 BEAR STEARNS ARM TRUST 4.756902 12/25/2035 52,629,198 52,063,886.90 BECTON DICKINSON + CO 7 8/1/2027 9,000,000 10,209,674.70 BHP BILLITON FIN USA LTD 5.25 12/15/2015 8,500,000 8,378,051.18 BOYD GAMING CORP 7.125 2/1/2016 13,800,000 13,731,000.00 BRAZIL FEDERATIVE REP 9.25 10/22/2010 25,500,000 28,815,000.00 BRAZIL FEDERATIVE REP 10 8/7/2011 17,000,000 20,060,000.00 BRAZIL FEDERATIVE REP 7.875 3/7/2015 28,000,000 31,192,000.00 BRAZIL FEDERATIVE REP 7.875 3/7/2015 5,000,000 5,570,000.00 BRAZIL FEDERATIVE REP 6 1/17/2017 8,500,000 8,372,500.00 BRAZIL FEDERATIVE REP 8 1/15/2018 37,000,000 41,144,000.00 BRAZIL FEDERATIVE REP 8.75 2/4/2025 42,300,000 52,240,500.00 BRAZIL FEDERATIVE REP 10.125 5/15/2027 15,000,000 21,075,000.00


Security Name Interest RateMaturity Date Shares/Par Value Base Market ValueBRAZIL FEDERATIVE REP 8.25 1/20/2034 12,500,000 15,156,250.00 BRAZIL FEDERATIVE REP 7.125 1/20/2037 15,000,000 16,117,500.00 BRAZIL FERERATIVE REP 11 8/17/2040 5,000,000 6,625,000.00 BURLINGTON RES INC 9.875 6/15/2010 15,500,000 17,714,419.90 C10 CAP SPV LTD 6.722 12/1/2049 8,450,000 8,487,180.00 CANADIAN NATL RY CO 6.8 7/15/2018 9,210,000 10,256,577.43 CANADIAN NATL RY CO 6.9 7/15/2028 19,275,000 21,915,859.65 CASE NEW HOLLAND INC 7.125 3/1/2014 15,000,000 15,225,000.00 CCSA FIN LTD 7.875 5/17/2016 6,250,000 6,703,125.00 CCSA FIN LTD 7.875 5/17/2016 13,350,000 14,317,875.00 CELULOSA ARAUCO Y CONSTITUCION 7.75 9/13/2011 2,932,000 3,163,305.48 CELULOSA ARAUCO Y CONSTITUCION 5.625 4/20/2015 4,000,000 3,929,760.12 CENTEX CORP 5.25 6/15/2015 12,550,000 11,889,287.55 CHESAPEAKE ENERGY CORP 6.375 6/15/2015 19,000,000 18,810,000.00 CHESAPEAKE ENERGY CORP 6.375 6/15/2015 4,750,000 4,702,500.00 CHRYSLER CORP 7.45 3/1/2027 29,215,000 31,246,736.72 CISCO SYS INC 5.5 2/22/2016 17,000,000 17,054,156.05 CITIGROUP INC 5.85 8/2/2016 10,000,000 10,329,562.40 CITIGROUP INC 6 10/31/2033 25,200,000 25,846,082.64 CITIGROUP INC 6 10/31/2033 5,000,000 5,128,191.00 COLOMBIA REP 8.25 12/22/2014 12,000,000 13,620,000.00 COLOMBIA REP 8.125 5/21/2024 12,000,000 13,860,000.00 COLUMBIA REP 9.75 4/23/2009 12,500,000 13,625,000.00 COLUMBIA REP 7.375 9/18/2037 4,500,000 4,830,750.00 COMCAST CABLE COMMUNICATIONS 8.875 5/1/2017 10,000,000 12,099,099.00 COMCAST CORP NEW 5.45 11/15/2010 3,000,000 3,011,010.36 COMCAST CORP NEW 5.9 3/15/2016 5,000,000 5,012,069.30 COMCAST CORP NEW 5.875 2/15/2018 10,300,000 10,168,802.93 COMCAST CORP NEW 6.5 11/15/2035 14,000,000 14,072,370.20 COMPANHIA BRASILEIRA BEBIDAS 8.75 9/15/2013 2,000,000 2,330,000.00 COMPANHIA BRASILEIRA BEBIDAS 8.75 9/15/2013 15,500,000 18,057,500.00 COMPANHIA BRASILEIRA DE BEBIDA 10.5 12/15/2011 14,974,000 18,118,540.00 CONSOLIDATED NAT GAS CO 5 3/1/2014 4,300,000 4,138,081.78 CONSTELLATION BRANDS INC 7.25 9/1/2016 7,500,000 7,706,250.00 CORPORACION NACIONAL DEL COBRE 6.375 11/30/2012 10,800,000 11,273,450.40 CORPORACION NACIONAL DEL COBRE 4.75 10/15/2014 5,000,000 4,762,500.00 COSTA RICA REP 8.11 2/1/2012 5,000,000 5,462,500.00 COSTA RICA REP 8.11 2/1/2012 3,000,000 3,277,500.00 COSTA RICA REP 6.548 3/20/2014 2,000,000 2,037,000.00 COX COMMUNICATIONS INC MTN 6.95 1/15/2028 9,250,000 9,529,692.25 COX COMMUNICATIONS INC NEW 5.875 12/1/2016 9,500,000 9,432,616.50 CRH AMER INC 6 9/30/2016 9,600,000 9,680,151.17 CRH AMER INC 6.4 10/15/2033 10,000,000 9,986,660.00 CRH AMER INC 6.4 10/15/2033 15,000,000 14,979,990.00 D R HORTON INC 6.125 1/15/2014 4,000,000 3,971,688.00 D R HORTON INC 5.625 9/15/2014 9,500,000 9,194,167.26 DAIMLERCHRYSLER NORTH AMER HLD 6.5 11/15/2013 1,480,000 1,521,526.09 DAIMLERCHRYSLER NTH AMER HLDG 5.75 9/8/2011 3,000,000 2,995,838.70 DBS BK LTD SINGAPORE 5 11/15/2019 10,000,000 9,691,100.00 DBS BK LTD SINGAPORE 5 11/15/2019 12,500,000 12,113,875.00 DELHAIZE AMER INC 8.125 4/15/2011 7,000,000 7,551,292.00 DENBURY RES INC DEL 7.5 4/1/2013 11,000,000 11,165,000.00 DEVELOPERS DIVERSIFIED RLTY 5.25 4/15/2011 2,550,000 2,514,078.76 DEVELOPERS DIVERSIFIED RLTY 5.25 4/15/2011 5,000,000 4,929,566.20 DEVELOPERS DIVERSIFIED RLTY CO 5.5 5/1/2015 8,000,000 7,819,471.20 DIAMOND OFFSHORE DRILLING INC 4.875 7/1/2015 10,000,000 9,415,431.20


Security Name Interest RateMaturity Date Shares/Par Value Base Market ValueDIAMOND OFFSHORE DRILLING INC 4.875 7/1/2015 6,750,000 6,355,416.06 DIRECTV HLDGS LLC 6.375 6/15/2015 2,700,000 2,588,625.00 DOMINION RES INC VA NEW 6.3 9/30/2066 5,000,000 5,023,373.80 DPL INC 6.875 9/1/2011 16,800,000 17,630,882.98 EMBARQ CORP 7.082 6/1/2016 11,000,000 11,201,364.79 EMPRESA NACIONAL DE 8.5 4/1/2009 13,330,000 14,193,784.40 EMPRESA NACIONAL DE ELECTRIC 8.35 8/1/2013 6,492,000 7,308,823.50 ENCANA CORP 4.75 10/15/2013 5,000,000 4,742,211.15 ENCANA CORP 4.75 10/15/2013 4,000,000 3,793,768.92 ENCANA CORP 6.5 8/15/2034 10,000,000 10,273,229.20 ENCANA CORP 6.5 8/15/2034 5,350,000 5,496,177.62 ENERSIS S A 7.4 12/1/2016 4,600,000 5,054,420.20 ENERSIS SA 7.375 1/15/2014 3,500,000 3,761,485.04 ENERSIS SA 7.375 1/15/2014 4,000,000 4,298,840.04 ENTERPRISE PRODS OPER L P 6.875 3/1/2033 10,750,000 11,239,332.05 ENTERPRISE PRODS OPER L P 8.375 8/1/2066 11,500,000 12,456,869.00 ENTERPRISE PRODS OPER L P 8.375 8/1/2066 4,250,000 4,603,625.50 ENTERPRISE PRODUCTS OPER 4.95 6/1/2010 7,431,000 7,293,189.28 EQUISTAR CHEMICALS PL FDG CORP 8.75 2/15/2009 10,500,000 10,998,750.00 EQUISTAR CHEMICALS PL FDG CORP 8.75 2/15/2009 2,000,000 2,095,000.00 EQUITY RESIDENTIAL 5.125 3/15/2016 16,500,000 15,878,551.10 ERAC USA FIN CO 6.7 6/1/2034 20,000,000 20,516,220.00 FED HM LN PC POOL B14157 4 5/1/2019 4,690,198 4,416,528.61 FEDERAL HOME LN BKS 4.85 2/4/2011 97,000,000 96,363,243.50 FEDERAL HOME LN MTG CORP 3.75 4/15/2007 20,055,000 19,967,909.16 FEDERAL HOME LN MTG CORP 5.625 3/15/2011 200,000,000 205,092,820.00 FEDERAL HOME LN MTG CORP 5.5 7/18/2016 15,000,000 15,584,407.50 FEDERAL HOME LN MTG CORP 4.5 8/15/2022 2,278,626 2,213,935.97 FEDERAL HOME LN MTG CORP 4 10/15/2022 9,496,138 9,060,007.05 FEDERAL HOME LN MTG CORP 6.5 7/15/2031 8,624,192 8,852,415.20 FEDERAL NATL MTG ASSN 5.125 4/15/2011 212,000,000 213,406,217.20 FEDERAL NATL MTG ASSN 5.125 1/2/2014 185,300,000 185,010,783.76 FEDERAL NATL MTG ASSN 6 8/22/2016 200,000,000 201,343,900.00 FEDERAL NATL MTG ASSN 4 7/25/2032 4,091,366 3,894,728.46 FEDERAL NATL MTG ASSN GTD 3 8/25/2032 28,807,867 26,324,873.98 FEDERAL NATL MTG ASSN GTD REMI 3.75 7/25/2033 4,385,128 4,064,558.41 FLORIDA PWR + LT CO 5.65 2/1/2037 19,000,000 18,676,454.13 FNMA TBA JAN 15 SINGLE FAM 5.5 12/1/2099 455,500,000 455,357,656.25 FNMA TBA JAN 15 SINGLE FAM 5 12/1/2099 49,000,000 48,165,471.20 FNMA TBA JAN 15 SINGLE FAM 4.5 12/1/2099 158,000,000 152,383,589.80 FNMA TBA JAN 15 SINGLE FAM 5 12/1/2099 182,000,000 178,900,321.60 FNMA TBA JAN 30 SINGLE FAM 5 12/1/2099 172,500,000 166,516,406.25 FNMA TBA JAN 30 SINGLE FAM 6.5 12/1/2099 125,000,000 127,333,987.50 FNMA TBA JAN 30 SINGLE FAM 5 12/1/2099 6,000,000 5,791,875.00 FNMA TBA JAN 30 SINGLE FAM 5.5 12/1/2099 60,000,000 59,301,564.00 FNMA POOL 555813 4 10/1/2018 17,054,935 16,080,105.31 FNMA POOL 730016 4 7/1/2018 12,589,327 11,869,743.54 FNMA POOL 745443 5.549 3/1/2036 73,599,179 73,951,322.84 FNMA POOL 791868 5.061 8/1/2034 7,205,487 7,146,132.10 FNMA POOL 826797 4.201 7/1/2035 33,414,059 32,240,339.83 FNMA TBA JAN 30 SINGLE FAM 6 12/1/2099 20,000,000 20,134,376.00 FORD MTR CO DEL 7.45 7/16/2031 8,000,000 6,280,000.00 FORD MTR CR CO 6.625 6/16/2008 5,000,000 4,996,600.00 FORD MTR CR CO 5.8 1/12/2009 5,000,000 4,909,200.00 FORD MTR CR CO 5.7 1/15/2010 7,400,000 7,058,003.82 FORD MTR CR CO 7.25 10/25/2011 1,000,000 979,270.00


Security Name Interest RateMaturity Date Shares/Par Value Base Market ValueFORD MTR CR CO 8 12/15/2016 3,800,000 3,754,970.00 FPL GROUP CAP INC 6.35 10/1/2066 11,500,000 11,653,080.99 FREDDIE MAC 4.5 1/15/2014 13,800,000 13,417,105.20 GAZ CAP SA LUXEMBOURG 6.212 11/22/2016 16,500,000 16,615,500.00 GAZ CAPITAL 8.625 4/28/2034 5,000,000 6,425,000.00 GAZPROM INTL S A 7.201 2/1/2020 22,000,000 23,265,000.00 GAZPROM INTL S A 7.201 2/1/2020 8,000,000 8,460,000.00 GENERAL ELEC CAP CORP MTN 6.75 3/15/2032 30,000,000 34,405,407.60 GENERAL ELEC CO 5 2/1/2013 21,750,000 21,486,511.58 GENERAL MTRS ACCEP CORP 5.125 5/9/2008 7,000,000 6,925,170.00 GENERAL MTRS ACCEP CORP 5.85 1/14/2009 7,000,000 6,973,470.00 GENERAL MTRS ACCEP CORP 5.625 5/15/2009 3,500,000 3,464,863.50 GENERAL MTRS ACCEP CORP 6.875 9/15/2011 4,800,000 4,946,104.80 GENERAL MTRS CORP 8.375 7/15/2033 7,500,000 6,937,500.00 GENETECH INC 4.75 7/15/2015 22,000,000 21,054,372.02 GMAC LLC 6.125 1/22/2008 5,000,000 4,989,050.00 GOLDMAN SACHS CAP I 6.345 2/15/2034 17,750,000 17,922,038.50 GOLDMAN SACHS GROUP INC 4.75 7/15/2013 5,000,000 4,821,697.25 GOLDMAN SACHS GROUP INC 5.35 1/15/2016 15,000,000 14,805,130.05 GOLDMAN SACHS GROUP INC 6.45 5/1/2036 22,000,000 22,921,402.68 GRUPO TELEVISA SA 6.625 3/18/2025 17,000,000 17,656,948.00 GRUPO TELEVISA SA 6.625 3/18/2025 12,100,000 12,567,592.40 GS MTG SECS CORP 6.5 2/25/2035 16,634,579 16,746,761.18 HARRAHS OPER INC 5.5 7/1/2010 4,000,000 3,920,604.00 HARRAHS OPER INC 5.5 7/1/2010 2,000,000 1,960,302.00 HARRAHS OPER INC 5.5 7/1/2010 7,450,000 7,158,077.71 HARRAHS OPER INC 5.625 6/1/2015 8,900,000 7,633,067.20 HCA INC 9.125 11/15/2014 3,400,000 3,633,750.00 HERTZ CORP 8.875 1/1/2014 17,000,000 17,807,500.00 HOST HOTELS + RESORTS L P 6.875 11/1/2014 3,340,000 3,381,750.00 HOST MARRIOTT L P 6.375 3/15/2015 2,000,000 1,972,500.00 HOVNANIAN K ENTERPRISES INC 6.25 1/15/2015 7,500,000 7,125,000.00 HOVNANIAN K ENTERPRISES INC 6.25 1/15/2015 2,800,000 2,660,000.00 HOVNANIAN K ENTERPRISES INC 7.5 5/15/2016 2,000,000 2,010,000.00 HOVNANIAN K ENTERPRISES INC 7.5 5/15/2016 3,000,000 3,015,000.00 HSBC BK USA 5.875 11/1/2034 17,985,000 17,947,777.70 HSBC FIN CAP TR IX 5.911 11/30/2035 15,400,000 15,565,612.99 HSBC FIN CORP 5 6/30/2015 8,600,000 8,359,907.69 HUTCHISON WHAMPOA INTL 6.25 1/24/2014 5,000,000 5,191,800.00 HUTCHISON WHAMPOA INTL 6.25 1/24/2014 5,420,000 5,627,911.20 HUTCHISON WHAMPOA INTL LTD 7.45 11/24/2033 10,930,000 12,602,617.90 HUTCHISON WHAMPOA INTL LTD 7.45 11/24/2033 18,370,000 21,181,161.10 IDEARC INC 8 11/15/2016 7,800,000 7,917,000.00 ILLINOIS ST 5.1 6/1/2033 6,635,000 6,358,984.00 INTERNATIONAL BUSINESS MACHS 6.22 8/1/2027 29,800,000 31,440,329.97 INTERNATIONAL FIN FAC 5 11/14/2011 20,250,000 20,069,430.75 ITC HLDGS CORP 5.875 9/30/2016 8,100,000 8,038,213.20 JPMORGAN CHASE + CO 5.15 10/1/2015 27,700,000 27,192,850.67 JPMORGAN CHASE CAP XV 5.875 3/15/2035 24,500,000 23,889,873.81 KERR MCGEE CORP 6.95 7/1/2024 8,000,000 8,538,256.80 L 3 COMMUNICATIONS CORP 6.125 1/15/2014 5,000,000 4,887,500.00 L 3 COMMUNICATIONS CORP 6.125 1/15/2014 3,940,000 3,851,350.00 L 3 COMMUNICATIONS CORP 5.875 1/15/2015 12,450,000 12,014,250.00 L 3 COMMUNICATIONS CORP 5.875 1/15/2015 10,000,000 9,650,000.00 LEHMAN BROS HLDGS INC 5.75 1/3/2017 24,500,000 24,826,906.44 LOBLAW COMPANIES LTD 6.5 1/22/2029 14,000,000 13,283,902.52


Security Name Interest RateMaturity Date Shares/Par Value Base Market ValueLOBLAW COS LIMITED 6.65 11/8/2027 25,000,000 24,145,357.82 LOBLAWS COS LTD CPN RCPTS CDS 0 5/23/2031 40,000,000 8,038,098.51 LOBLAWS COS LTD CPN RCPTS CDS 0 11/23/2033 25,000,000 4,384,760.60 LORAL CORP 7 9/15/2023 26,300,000 29,714,789.37 LUBRIZOL CORP 4.625 10/1/2009 7,000,000 6,843,268.60 LUBRIZOL CORP 5.5 10/1/2014 3,750,000 3,656,433.98 LUBRIZOL CORP 5.5 10/1/2014 5,500,000 5,362,769.83 LYONDELL CHEMICAL CO 8 9/15/2014 6,000,000 6,225,000.00 MEDTRONIC INC 4.75 9/15/2015 10,000,000 9,483,064.30 MEDTRONIC INC 4.75 9/15/2015 9,000,000 8,534,757.87 METLIFE INC 6.375 6/15/2034 3,200,000 3,423,737.79 METLIFE INC 5.7 6/15/2035 19,000,000 18,582,113.62 METLIFE INC 6.4 12/15/2036 8,000,000 8,067,999.60 MEXICO UNITED MEXICAN STS 8.125 12/30/2019 7,200,000 8,748,000.00 MGM MIRAGE 6 10/1/2009 16,200,000 16,159,500.00 MGM MIRAGE 6.75 9/1/2012 10,625,000 10,465,625.00 MGM MIRAGE FORMLY MGM GRAND 6.75 4/1/2013 2,000,000 1,955,000.00 MGM MIRAGE FORMLY MGM GRAND 6.75 4/1/2013 5,700,000 5,571,750.00 MIDAMERICAN ENERGY CO 5.8 10/15/2036 5,000,000 4,937,471.75 MIDAMERICAN ENERGY HLDGS CO N 6.125 4/1/2036 32,000,000 32,325,776.32 MILLER BREWING CO 5.5 8/15/2013 24,700,000 24,304,883.98 NATIONAL GAS CO TRINIDAD + TOB 6.05 1/15/2036 5,000,000 4,876,485.00 NATIONAL GAS CO TRINIDAD + TOB 6.05 1/15/2036 6,000,000 5,851,782.00 NEIMAN MARCUS GROUP INC 10.375 10/15/2015 8,700,000 9,678,750.00 NEVADA PWR CO 6.5 5/15/2018 16,800,000 17,415,888.00 NEW YORK LIFE INS CO 5.875 5/15/2033 10,500,000 10,644,922.05 NEWS AMER HLDGS INC 7.7 10/30/2025 8,755,000 9,875,687.01 NEWS AMER INC 6.4 12/15/2035 19,000,000 19,000,427.69 NEXTEL COMMUNICATIONS INC 5.95 3/15/2014 10,800,000 10,570,500.00 NORFOLK SOUTHN CORP 6.75 2/15/2011 3,900,000 4,088,740.50 NORFOLK SOUTHN CORP 5.59 5/17/2025 16,161,000 15,638,345.66 NORFOLK SOUTHN CORP 7.05 5/1/2037 5,620,000 6,474,518.53 OHIO PWR CO 4.85 1/15/2014 9,700,000 9,304,754.10 OHIO PWR CO 6.6 2/15/2033 24,745,000 26,316,843.23 OWENS BROCKWAY GLASS CONTAINER 7.75 5/15/2011 5,000,000 5,137,500.00 OWENS BROCKWAY GLASS CONTAINER 6.75 12/1/2014 8,000,000 7,760,000.00 PACIFIC GAS + ELEC CO 6.05 3/1/2034 10,000,000 10,093,097.70 PANAMA REP 7.25 3/15/2015 11,000,000 11,907,500.00 PANAMA REP 7.25 3/15/2015 3,000,000 3,247,500.00 PANAMA REP 7.125 1/29/2026 11,000,000 11,880,000.00 PANAMERICAN BEVERAGES INC 7.25 7/1/2009 3,000,000 3,120,000.00 PEMEX PROJ FDG MASTER TR 9.375 12/2/2008 5,495,000 5,879,650.00 PEMEX PROJ FDG MASTER TR 5.75 12/15/2015 10,000,000 9,930,000.00 PEMEX PROJ FDG MASTER TR 5.75 12/15/2015 11,000,000 10,923,000.00 PEMEX PROJ FDG MASTER TR 5.75 12/15/2015 8,550,000 8,490,150.00 PEMEX PROJ FDG MASTER TR 8.625 2/1/2022 10,000,000 12,360,000.00 PEMEX PROJ FDG MASTER TR 6.625 6/15/2035 10,000,000 10,230,000.00 PEMEX PROJ FDG MASTER TR 6.625 6/15/2035 20,000,000 20,460,000.00 PEMEX PROJ FDG MASTER TR 6.625 6/15/2035 5,975,000 6,112,425.00 PEMEX PROJECT FD MAST TRUST 7.875 2/1/2009 2,000,000 2,096,000.00 PENNEY J C INC 7.125 11/15/2023 9,800,000 10,783,166.38 PENNEY J C INC 7.4 4/1/2037 2,750,000 2,997,736.50 PERU REP 9.125 2/21/2012 5,000,000 5,775,000.00 PERU REP 8.375 5/3/2016 13,000,000 15,437,500.00 PERU REP 7.35 7/21/2025 10,000,000 11,300,000.00 PETROBRAS INTL FIN CO 7.75 9/15/2014 10,000,000 11,125,000.00


Security Name Interest RateMaturity Date Shares/Par Value Base Market ValuePETROBRAS INTL FIN CO 7.75 9/15/2014 7,450,000 8,288,125.00 PETROBRAS INTL FIN CO 6.125 10/6/2016 2,000,000 2,020,000.00 PETROBRAS INTL FIN CO 8.375 12/10/2018 1,000,000 1,192,500.00 PETROBRAS INTL FIN CO 8.375 12/10/2018 6,000,000 7,155,000.00 PHILIPPINE LONG DIST TEL CO ME 8.35 3/6/2017 5,895,000 6,690,825.00 PHILIPPINE LONG DIST TEL CO ME 8.35 3/6/2017 7,800,000 8,853,000.00 PHILIPPINES REP 8.375 3/12/2009 5,000,000 5,312,500.00 PHILIPPINES REP 8.375 2/15/2011 10,750,000 11,771,250.00 PHILIPPINES REP 8.25 1/15/2014 17,000,000 19,188,750.00 PHILIPPINES REP 8.25 1/15/2014 3,000,000 3,386,250.00 PHILIPPINES REP 8.875 3/17/2015 3,000,000 3,551,250.00 PHILIPPINES REP 8 1/15/2016 13,150,000 14,958,125.00 PHILIPPINES REP 9.375 1/18/2017 8,800,000 10,846,000.00 PHILIPPINES REP 7.75 1/14/2031 6,500,000 7,377,500.00 PREMCOR REFNG GROUP INC 6.75 5/1/2014 6,250,000 6,550,428.13 PRINCIPAL FINL GROUP INC 6.05 10/15/2036 6,000,000 6,159,514.14 PRINCIPAL LIFE INCOME FUNDINGS 5.1 4/15/2014 9,400,000 9,234,348.97 PROLOGIS 5.625 11/15/2016 7,500,000 7,416,077.03 QUEST DIAGNOSTICS INC 5.125 11/1/2010 5,000,000 4,935,284.05 QUEST DIAGNOSTICS INC 5.45 11/1/2015 13,000,000 12,510,441.97 R H DONNELLEY CORP 6.875 1/15/2013 15,500,000 14,860,625.00 RAS LAFFAN LIQUEFIED NAT GAS 6.332 9/30/2027 3,000,000 3,038,670.00 RAS LAFFAN LIQUEFIED NAT GAS 6.332 9/30/2027 13,300,000 13,471,437.00 RAS LAFFAN LNG 5.832 9/30/2016 7,500,000 7,533,792.00 RBS CAP TR III 5.512 9/29/2049 11,000,000 10,881,542.21 RESIDENTIAL ASSET MTG PRODS 6 7/25/2032 4,306,583 4,307,930.83 RESIDENTIAL CAP CORP 6.375 6/30/2010 10,000,000 10,125,537.90 RESIDENTIAL CAP CORP 6.5 4/17/2013 15,000,000 15,226,504.95 RESIDENTIAL FDG MTG SECS I INC 5.5 12/25/2034 14,207,233 14,056,874.95 ROGERS CABLE INC 5.5 3/15/2014 15,000,000 14,342,850.00 ROYAL CARIBBEAN CRUISES LTD 6.875 12/1/2013 11,025,000 11,175,447.15 ROYAL CARIBBEAN CRUISES LTD 7.5 10/15/2027 12,881,000 12,620,314.32 ROYAL CARIBBEAN CRUISES LTD 7.5 10/15/2027 3,000,000 2,939,286.00 RUSSIAN FEDERATION 10 6/26/2007 11,000,000 11,231,000.00 RUSSIAN FEDN 8.25 3/31/2010 24,889,282 26,009,299.44 RUSSIAN FEDN 5 3/31/2030 48,000,000 54,300,000.00 SBC COMMUNICATIONS INC 6.15 9/15/2034 20,500,000 20,124,671.24 SEARIVER MARITIME FINL HLDGS 0 9/1/2012 43,815,000 32,752,290.86 SIEMENS FINANCIERINGSMAATSCHAP 6.125 8/17/2026 20,000,000 20,435,380.00 SIMON PPTY GROUP L P 4.875 8/15/2010 3,840,000 3,774,012.02 SIMON PPTY GROUP L P 4.875 8/15/2010 7,850,000 7,715,102.70 SIMON PPTY GROUP L P 5.625 8/15/2014 11,200,000 11,213,467.66 SIMON PPTY GROUP L P 5.625 8/15/2014 7,000,000 7,008,417.29 SIMON PPTY GROUP LP 5.875 3/1/2017 4,000,000 4,061,022.64 SOCIEDAD QUIMICA Y MINERA DE 6.125 4/15/2016 11,400,000 11,452,326.00 SOUTHERN POWERCO 6.375 11/15/2036 4,500,000 4,405,513.50 SOUTHERN PWR CO 6.25 7/15/2012 5,000,000 5,156,579.60 SOUTHERN PWR CO 6.25 7/15/2012 12,050,000 12,427,356.84 SOUTHERN PWR CO 4.875 7/15/2015 19,910,000 18,831,425.13 SOUTHERN PWR CO 4.875 7/15/2015 5,250,000 4,965,594.27 SPRINT CAP CORP 6.9 5/1/2019 17,750,000 18,276,671.43 SPRINT CAP CORP 6.875 11/15/2028 2,000,000 2,003,261.56 SUNCOR ENERGY INC 5.95 12/1/2034 15,000,000 15,143,253.75 SUNGARD DATA SYS INC 9.9725 8/15/2013 2,600,000 2,700,750.00 SUNGARD DATA SYSTEMS 10.25 8/15/2015 2,500,000 2,668,750.00 TECO ENERGY INC 7 5/1/2012 10,000,000 10,525,000.00


Security Name Interest RateMaturity Date Shares/Par Value Base Market ValueTECO ENERGY INC 7 5/1/2012 1,000,000 1,052,500.00 TECO ENERGY INC 6.75 5/1/2015 7,000,000 7,315,000.00 TELEFONOS DE MEXICO S A 4.5 11/19/2008 5,000,000 4,909,815.00 TELOFONOS DE MEXICO SA 5.5 1/27/2015 15,000,000 14,601,960.00 TELOFONOS DE MEXICO SA 5.5 1/27/2015 13,500,000 13,141,764.00 TEMASEK FINL LTD 4.5 9/21/2015 10,000,000 9,488,360.00 TENGIZCHEVROIL FIN CO S AR L 6.124 11/15/2014 12,000,000 11,970,000.00 TENGIZCHEVROIL FIN CO S AR L 6.124 11/15/2014 7,575,000 7,556,062.50 TEVA PHARMACEUTICAL FIN CO LLC 6.15 2/1/2036 21,500,000 20,932,662.52 TIME WARNER ENTMT CO L P 8.375 3/15/2023 19,475,000 22,753,256.55 TIME WARNER INC 6.875 6/15/2018 8,500,000 9,026,753.33 TRANSCANADA PIPELINES LTD 4.875 1/15/2015 6,000,000 5,708,592.24 TRANSCANADA PIPELINES LTD 8.29 2/5/2026 21,320,000 24,805,401.06 TRANSOCEAN SEDCO FOREX INC 7.5 4/15/2031 11,550,000 13,088,897.05 TURKEY REP 10.5 1/13/2008 20,000,000 21,000,000.00 TURKEY REP 9.875 3/19/2008 10,000,000 10,530,000.00 TURKEY REP 11.75 6/15/2010 10,000,000 11,800,000.00 TURKEY REP 7.25 3/15/2015 19,000,000 19,641,250.00 TURKEY REP 7.375 2/5/2025 4,500,000 4,612,500.00 TURKEY REP 6.875 3/17/2036 12,000,000 11,460,000.00 UNITED MEXICAN STS MTN 5.625 1/15/2017 22,000,000 22,022,000.00 UNITED MEXICAN STS MTN 5.625 1/15/2017 20,000,000 20,020,000.00 UNITED STATES TREAS BD 0 11/15/2027 450,000,000 163,552,500.00 UNITED STATES TREAS BDS 2.375 1/15/2025 193,847,178 193,102,804.97 UNITED STATES TREAS BDS 2 1/15/2026 125,991,303 118,453,243.71 UNITED STATES TREAS BDS 3.625 4/15/2028 129,564,465 156,611,047.54 UNITED STATES TREAS BDS 3.875 4/15/2029 149,032,875 187,768,009.98 UNITED STATES TREAS BDS 3.375 4/15/2032 39,330,015 47,537,008.99 UNITED STATES TREAS NTS 3.625 1/15/2008 124,933,000 126,241,048.51 UNITED STATES TREAS NTS 3.625 1/15/2008 136,125,747 137,550,984.06 UNITED STATES TREAS NTS 3.875 1/15/2009 123,046,617 126,458,699.37 UNITED STATES TREAS NTS 4.25 1/15/2010 88,014,722 92,649,576.78 UNITED STATES TREAS NTS 6.5 2/15/2010 38,000,000 39,928,118.86 UNITED STATES TREAS NTS 0.875 4/15/2010 201,742,013 191,307,916.28 UNITED STATES TREAS NTS 3.5 1/15/2011 88,385,409 92,003,907.35 UNITED STATES TREAS NTS 2.375 4/15/2011 133,381,821 132,881,639.20 UNITED STATES TREAS NTS 3.375 1/15/2012 48,998,159 51,163,877.77 UNITED STATES TREAS NTS 3 7/15/2012 168,785,876 173,756,620.55 UNITED STATES TREAS NTS 1.875 7/15/2013 157,902,293 152,648,883.56 UNITED STATES TREAS NTS 2 1/15/2014 161,896,804 157,345,884.60 UNITED STATES TREAS NTS 2 7/15/2014 148,288,482 144,001,461.64 UNITED STATES TREAS NTS 1.625 1/15/2015 146,384,914 137,853,600.84 UNITED STATES TREAS NTS 1.875 7/15/2015 127,175,610 121,929,615.69 UNITED STATES TREAS NTS 2 1/15/2016 116,839,023 112,875,843.74 UNITED STATES TREAS NTS 2.5 7/15/2016 123,825,140 124,820,693.86 UNITED STATES TRES BD STRP PRN 0 2/15/2015 80,000,000 54,760,800.00 UNITED STATES TRES BD STRP PRN 0 8/15/2015 137,000,000 91,616,010.00 UNITED STATES TRES BD STRP PRN 0 11/15/2016 5,050,000 3,170,945.50 UNITED STATES TRES BD STRP PRN 0 5/15/2018 720,000,000 417,679,200.00 UNITED STATES TRES BD STRP PRN 0 11/15/2018 275,000,000 155,501,500.00 UNITED STATES TRES BD STRP PRN 0 11/15/2018 105,900,000 59,882,214.00 UNITED STATES TRES BD STRP PRN 0 2/15/2019 160,400,000 89,384,504.00 UNITED STATES TRES SC STRP INT 0 2/15/2017 54,000,000 33,433,560.00 UNITED STATES TRES SC STRP INT 0 2/15/2018 77,500,000 45,471,575.00 UNITED STATES TRES SC STRP INT 0 2/15/2019 300,000,000 166,605,000.00 URBI DESARROLLOS URBANOS S A 8.5 4/19/2016 7,000,000 7,567,000.00


Security Name Interest RateMaturity Date Shares/Par Value Base Market ValueURBI DESARROLLOS URBANOS S A 8.5 4/19/2016 14,025,000 15,161,025.00 VALE OVERSEAS LTD 6.25 1/11/2016 10,500,000 10,602,049.50 VALE OVERSEAS LTD 6.25 1/11/2016 8,000,000 8,077,752.00 VALE OVERSEAS LTD 8.25 1/17/2034 5,000,000 5,922,710.00 VALE OVERSEAS LTD 8.25 1/17/2034 6,050,000 7,166,479.10 VALE OVERSEAS LTD 6.875 11/21/2036 4,400,000 4,498,692.00 VALERO ENERGY CORP NEW 7.5 4/15/2032 14,000,000 15,993,201.28 VESSEL MGMT SVCS INC 6.08 5/20/2024 12,159,500 12,814,532.27 VOTO VOTORANTIM OVERSEAS 7.875 1/23/2014 9,000,000 9,990,000.00 VOTO VOTORANTIM OVERSEAS TRAD 7.75 6/24/2020 9,700,000 10,961,000.00 WAL MART STORES INC 5.25 9/1/2035 13,500,000 12,432,852.00 WAMU MTG PASS THROUGH CTFS 5.5 8/25/2035 31,943,936 31,302,846.66 WELLS FARGO BK NATL ASSN 5.75 5/16/2016 12,500,000 12,823,001.88 WELLS FARGO BK NATL ASSN 5.95 8/26/2036 10,000,000 10,311,893.50 WELLS FARGO BK NATL ASSN 5.95 8/26/2036 4,000,000 4,124,757.40 WELLS FARGO CAP X 5.95 12/15/2086 9,000,000 9,006,523.11 WELLS FARGO MTG BACKED SECS 5.136486 5/25/2035 39,246,063 38,445,812.01 WESTAR ENERGY INC 5.15 1/1/2017 7,900,000 7,566,520.46 WESTAR ENERGY INC 5.15 1/1/2017 4,850,000 4,645,268.89 WESTAR ENERGY INC 5.1 7/15/2020 3,000,000 2,790,376.98 WESTAR ENERGY INC 5.95 1/1/2035 5,000,000 4,713,861.00 WESTERN RES INC 7.125 8/1/2009 6,000,000 6,201,678.00 WINDSTREAM CORP 8.625 8/1/2016 12,500,000 13,687,500.00 WYETH 5.5 2/1/2014 10,000,000 10,066,930.40 WYETH 5.5 2/1/2014 6,000,000 6,040,158.24 WYETH 5.5 2/15/2016 3,500,000 3,506,169.98 WYETH 6.45 2/1/2024 10,000,000 10,732,445.50 XTO ENERGY INC 5 1/31/2015 12,000,000 11,406,177.12 XTO ENERGY INC 6.1 4/1/2036 11,000,000 10,764,589.99

FIXED INCOME - EXTERNALLY MANAGED FUNDS

GOLDMAN SACHS HIGH YIELD 230,670,139.25 NCRAM HIGH YIELD TOTAL RETURN 325,482,818.64 WGBI EX US INDEX FUND 1,394,196,895.34

TOTAL FIXED INCOME 12,328,755,755.97

ALTERNATIVE ASSETS

PRIVATE EQUITY

ACCEL VIII LP 8,019,270.15 AIG ASIAN INFRASTRUCTURE FNDII 9,298,664.37 AIG ASIAN INFRASTRUCTURE FUND 259,590.10 AIG GE CAPITAL LATIN AMERICA 26,799,456.06 AIG INDIAN SECTORAL EQUITY 2,327,663.15 AISLING CAPITAL 11 790,611.33 ALTA SUB DEB III 926,184.00 APOLLO INVESTMENT FUND VI LP 4,239,583.51 ARCH VENTURE FUND VI, LP 4,343,889.68 ARES CORP OPPORTUNITY FUND II 3,641,327.42 ARSENAL CAP PTNERS 9,280,697.67


Security Name Interest RateMaturity Date Shares/Par Value Base Market ValueARSENAL CAPITAL PARTNERS II LP 3,500,354.40 BAIN CAPITAL FUND IX LP 16,615,129.05 BAIN CAPITAL FUND VIII 11,831,769.92 BAIN CAPITAL IX COINVESTMENT F 5,602,957.65 BAIN CAPITAL VIII COINVETMENT 3,796,566.48 BLACKSTONE CAP PARTN IV LP 32,358,602.48 BLACKSTONE CAPITAL PARTNERS V 15,521,863.18 BLUERUN VENTURES LP 7,059,962.13 CALERA CAPITAL 6,719,073.07 CANAAN EQUITY PARTNERS VII 2,884,593.53 CENTURY PARK CAPITAL PTNS II 5,415,256.12 CHARLESBANK EQUITY FUND VI 1,541,666.44 CLAREMONT CREEK VENTURES LP 827,923.20 CLEARSTONE VENTURE PARTNERS 5,565,280.00 DARWIN VENTURE CAPITAL FUNDS 1,204,106.28 DCM IV 4,999,293.68 DE NOVO VENTURES II LP 9,829,332.22 DE NOVO VENTURES III 1,455,000.00 DOMAIN PARTNERS VI LP 5,862,066.45 DOMAIN PARTNERS VII 1,863,974.28 EOS CAPITAL PARTNERS III 10,927,729.51 EQUITY DISTRIBUTION SECURITIES 3,788,295.20 FIRST RESERVE FUND XI LP 854,145.60 FORTRESS INVESTMENT FUND III 8,252,673.89 FORTRESS INVESTMENT FUND IV 2,955,624.00 FOX PAINE CAPITAL FUND III LP 338,699.58 GENSTAR CAPITAL PARTNERS IV 6,488,752.92 GLENCOE CAP INSTL PARTNERS III 977,291.35 GLENCOE CAPITAL PARTNERS III 3,488,779.00 GLOBESPAN CAPITAL PARTNERS IV 6,575,286.18 GLOBESPAN CAPITAL PARTNERS V 4,957,936.98 GOLDER THOMA CRESSEY RAUNER 1,798.48 GOLDER THOMA CRESSEY RAUNER V 7,445,121.61 GRAHAM PARTNERS II 6,886,970.80 GRANITE CLOBAL VENTURES III 2,036,406.20 GRANITE GLOBAL VENTURES II LP 12,199,859.11 GRANITE VENTURES II 1,473,656.25 HUMMER WINBLAD VENTURE PTR III 221,970.42 INSIGHT VENTURE PARTNERS V 1,605,189.48 INSIGHT VENTURE PARTNERS V 5,962,411.78 INSTITUTIONAL VENTURE PARTNS 3,783,622.68 INSTITUTIONAL VENTURE PTR VIII 5,415,946.51 INTERSOUTH PARTNERS V LP 10,005,315.75 INTERSOUTH PARTNERS VI 5,108,682.04 INTERSOUTH PARTNERS VII 1,358,000.00 INTERWEST PARTNERS IX 6,375,040.00 INTERWEST PARTNERS V LP 662,300.16 INTERWEST PARTNERS VI LP 862,766.56 INTERWEST PARTNERS VII LP 5,916,637.84 INTERWEST PARTNERS VIII 25,375,815.00 INVERNESS PARTNERS II LP 5,624,564.07 ITU VENTURES III 1,062,909.99 IVP VI 697,769.30 IVP VII 5,449,097.01 J C FLOWERS II LP 11,777,793.10 JLL PARTNERS FUND V, LP 5,767,421.63


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

REAL ESTATE

AMB INSTITUTIONAL ALLIANCE 63,981,221.18 BEACON CAPITAL STRATEGIC 9,646,011.50


Security Name Interest RateMaturity Date Shares/Par Value Base Market ValueBLACKSTONE REAL ESTATE PRTN V 21,852,262.48 CALIFORNIA SMART GROWTH FD IV 8,274,621.36 CIM URBAN REIT LLC 16,151,704.79 KSL CAPITAL PARTNERS II 1,760,350.30 LEGACY PARTNERS REALTY FUND II 15,780,068.60 MORGAN STANLEY RE FUND V 6,339,127.44 PRISA II PRUDENTIAL REAL EST. 109,042,295.41 PRUDENTIAL SNR HSING PTNRS III 15,602,758.39 REALTY ASSOCIATES FUND VII 24,359,583.49 REEF GLOBAL OPPORTUNITIES FD 14,086,773.59 RREEF AMERICA REIT III 33,471,850.99 WALTON STREET REAL ESTATE V 21,633,348.02

TOTAL ALTERNATIVE ASSETS 1,331,863,634.90

TOTAL SECURITIES 46,821,957,239.32

CASH & CASH EQUIVALENTS 413,788,838.28

ACCOUNTS RECEIVABLE & ACCRUED INCOME 152,274,053.09

ACCOUNTS PAYABLE (246,215,928.83)

TOTAL NET ASSETS 47,141,804,201.86



EQUITY INVESTMENTSEXTERNALLY MANAGED FUNDS(SC = Small Cap LC = Large Cap)

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


Security Name Interest Rate Maturity Date Shares/Par Value Base Market ValueVICTORY CAPITAL MGT INC LC 728,283,653 WELLINGTON MANAGEMENT CO LLP LC 539,988,533 WELLINGTON SC 124,073,071

TOTAL EQUITY 31,332,228,796

FIXED INCOMEFIXED INCOME - SECURITIES

AT+T INC 6.5 9/1/2037 9,000,000.00 9,436,085 AT+T INC 6.3 1/15/2038 40,500,000.00 41,307,772 AT+T WIRELESS SVCS INC 8.75 3/1/2031 8,000,000.00 10,297,574 ADVANCED MED OPTICS INC 7.5 5/1/2017 2,625,000.00 2,415,000 ALBERTSONS INC 7.25 5/1/2013 6,400,000.00 6,544,877 ALLIED WASTE NORTH AMER INC 6.875 6/1/2017 9,500,000.00 9,262,500 FNMA TBA JAN 30 SINGLE FAM 5 12/1/2099 170,500,000.00 166,330,746 ALLSTATE CORP 5.55 5/9/2035 9,000,000.00 7,951,722 ALLSTATE CORP 6.125 5/15/2037 3,800,000.00 3,666,308 ALTERNATIVE LN TR 6 4/25/2037 20,000,000.00 19,200,000 AMERICA MOVIL S A DE C V 5.5 3/1/2014 6,350,000.00 6,308,966 AMERICA MOVIL S A DE C V 5.75 1/15/2015 5,053,000.00 5,063,662 AMERICA MOVIL S A DE C V 6.375 3/1/2035 32,500,000.00 32,136,650 AMERICA MOVIL SAB DE CV 5.625 11/15/2017 9,500,000.00 9,282,403 AMERICAN ELEC PWR INC 5.25 6/1/2015 4,500,000.00 4,330,579 AMERICAN GEN FIN CORP MTN 5.75 9/15/2016 3,500,000.00 3,294,802 AMERICAN GEN FIN CORP 6.9 12/15/2017 7,000,000.00 6,998,344 AMERICAN INTL GROUP INC 6.25 3/15/2087 19,750,000.00 17,663,992 AMERICAN INTL GROUP INC 5.45 5/18/2017 17,000,000.00 16,647,165 FHLMC TBA JAN 30 GOLD SINGLE 5.5 12/1/2099 440,500,000.00 439,433,153 ANHEUSER BUSCH COS INC 5.5 1/15/2018 4,700,000.00 4,759,708 APACHE CORP 6 1/15/2037 6,000,000.00 5,949,067 APACHE CORP 5.625 1/15/2017 3,000,000.00 3,040,669 APPALACHIAN PWR CO 5.65 8/15/2012 3,000,000.00 3,048,540 ARGENTINA (REP) 8.28 12/31/2033 29,604,416.25 28,420,240 ATLAS COPCO AB 5.6 5/22/2017 9,700,000.00 9,703,541 BAC CAP TR VI 5.625 3/8/2035 17,600,000.00 14,931,643 BAE SYS HLDGS INC 5.2 8/15/2015 12,000,000.00 11,652,300 BMW VEH LEASE TR 4.59 8/15/2013 19,000,000.00 19,022,811 BW GROUP LTD 6.625 6/28/2017 15,000,000.00 16,127,433 BANC AMER FDG CORP 6 2/25/2034 5,278,454.90 5,278,455 BANC AMER ALTERNATIVE LN TR 5.5 12/25/2019 4,527,535.76 4,491,984 BANC AMER MTG SECS INC 5.75 1/25/2035 24,741,561.79 24,494,146 BANC AMER MTG SECS INC 5.176909 9/25/2035 4,288,528.03 4,170,594 BANC AMER COML MTG TR 5.688454 4/10/2049 18,000,000.00 18,438,750 BANC OF AMERICA FNDG CORP 5.76037 5/20/2047 16,175,000.00 15,386,469 BANCO MERCANTILE DEL NORTE SA 6.862 10/13/2021 11,000,000.00 11,660,242 BANCO MERCANTILE DEL NORTE SA 6.135 10/13/2016 7,750,000.00 7,663,975 BANK AMER NA CHARLOTTE NC 6 10/15/2036 15,500,000.00 14,800,390 BANK OF AMERICA 5.3 3/15/2017 24,700,000.00 24,027,215 BAXTER INTL INC 6.25 12/1/2037 8,500,000.00 8,695,049 BEAR STEARNS ARM TR 4.902872 7/25/2034 24,900,282.65 24,068,613 BEAR STEARNS ARM TR 5.348134 2/25/2036 4,338,879.26 4,333,456 BEAR STEARNS COMMERCIAL MORT 5.471 1/12/2045 12,000,000.00 12,063,600 BECTON DICKINSON + CO 7 8/1/2027 9,000,000.00 10,084,410 BOYD GAMING CORP 7.125 2/1/2016 6,950,000.00 6,567,750 BOMBARDIER INC 6.3 5/1/2014 3,100,000.00 3,030,250


Security Name Interest Rate Maturity Date Shares/Par Value Base Market ValueBRAZIL FEDERATIVE REP 10.125 5/15/2027 15,000,000.00 21,637,500 BRAZIL FERERATIVE REP 11 8/17/2040 5,000,000.00 6,680,000 BRAZIL FEDERATIVE REP 10 8/7/2011 17,000,000.00 19,932,500 BRAZIL FEDERATIVE REP 8.25 1/20/2034 12,500,000.00 15,812,500 BRAZIL FEDERATIVE REP 8.75 2/4/2025 42,800,000.00 54,249,000 BRAZIL FEDERATIVE REP 7.875 3/7/2015 25,500,000.00 28,789,500 BRAZIL FEDERATIVE REP 8 1/15/2018 37,000,000.00 41,403,000 BRAZIL FEDERATIVE REP 7.125 1/20/2037 15,000,000.00 16,950,000 BRAZIL FEDERATIVE REP 6 1/17/2017 8,500,000.00 8,636,000 CCSA FIN LTD 7.875 5/17/2016 19,600,000.00 19,894,000 C8 CAP SPV LTD 6.64 12/31/2049 6,000,000.00 5,685,840 CHS CMNTY HEALTH SYS INC 8.875 7/15/2015 6,750,000.00 6,876,563 CRH AMER INC 6 9/30/2016 14,600,000.00 14,371,755 C10 CAP SPV LTD 6.722 12/31/2049 6,000,000.00 5,522,160 CVS CAREMARK CORP 6.25 6/1/2027 20,300,000.00 20,158,325 CVS CAREMARK CORP 6.302 6/1/2037 4,000,000.00 3,844,718 CWMBS INC 5.5 8/25/2033 20,216,344.72 20,112,146 CANADIAN NATL RY CO 6.9 7/15/2028 19,275,000.00 20,684,006 CARGILL INC 5.6 9/15/2012 2,000,000.00 2,032,780 CARGILL INC 6.625 9/15/2037 8,500,000.00 8,460,535 CARGILL INC 6 11/27/2017 9,800,000.00 9,777,617 CASE NEW HOLLAND INC 7.125 3/1/2014 15,000,000.00 14,962,500 CELULOSA ARAUCO Y CONSTITUCION 7.75 9/13/2011 2,932,000.00 3,157,404 CELULOSA ARAUCO Y CONSTITUCION 5.625 4/20/2015 4,000,000.00 3,908,993 CENTEX CORP 5.25 6/15/2015 7,400,000.00 6,266,401 CHASE MTG FIN TR 6.25 10/25/2036 20,500,000.00 20,090,000 CHASE MTG FIN TR 6 10/25/2036 12,000,000.00 11,550,000 CHESAPEAKE ENERGY CORP 6.375 6/15/2015 19,150,000.00 18,527,625 CISCO SYS INC 5.5 2/22/2016 22,000,000.00 22,384,052 CITIGROUP INC 5.875 5/29/2037 15,700,000.00 14,589,037 CITIGROUP INC 6.125 11/21/2017 8,000,000.00 8,217,552 CITIGROUP MTG LN TR 4.903672 3/25/2035 14,792,949.37 14,792,949 CITIGROUP CAP 8.3 12/21/2057 12,000,000.00 12,673,356 CITIGROUP MORTGAGE LOAN TR 6.060166 8/25/2036 23,278,214.94 23,532,948 CITIGROUP MTG LOAN TRUST INC 5.61183 4/25/2037 34,939,415.99 34,852,067 CITIGROUP COML MTG TR 5.700263 12/10/2049 44,000,000.00 45,170,400 CITIGROUP MTG LN TR 5.976388 3/25/2037 31,645,777.56 31,368,877 COCA COLA CO 5.35 11/15/2017 10,000,000.00 10,204,875 COLOMBIA REP 8.125 5/21/2024 13,000,000.00 15,502,500 COLOMBIA REP 8.25 12/22/2014 12,000,000.00 13,680,000 COLOMBIA REP 7.375 1/27/2017 9,500,000.00 10,426,250 COLUMBIA REP 7.375 9/18/2037 12,300,000.00 13,683,750 COMCAST CABLE COMMUNICATIONS 8.875 5/1/2017 10,000,000.00 11,964,867 COMCAST CORP NEW 6.5 11/15/2035 14,000,000.00 14,248,851 COMCAST CORP NEW 5.9 3/15/2016 5,000,000.00 5,024,378 COMCAST CORP NEW 5.875 2/15/2018 5,000,000.00 4,996,653 COMCAST CORP NEW 6.95 8/15/2037 6,000,000.00 6,450,201 COMPANHIA BRASILEIRA DE BEBIDA 10.5 12/15/2011 10,974,000.00 12,771,541 COMPANHIA BRASILEIRA BEBIDAS 8.75 9/15/2013 17,500,000.00 19,906,250 CONSOLIDATED NAT GAS CO 5 3/1/2014 4,300,000.00 4,184,516 COOPER U S INC 6.1 7/1/2017 7,500,000.00 7,867,532 CORPORACION NACIONAL DEL COBRE 6.375 11/30/2012 10,800,000.00 11,559,866 CORPORACION NACIONAL DEL COBRE 4.75 10/15/2014 5,000,000.00 4,809,738 COSAN FINANCE LTD 7 2/1/2017 13,800,000.00 12,937,500 COSTA RICA REP 8.11 2/1/2012 5,000,000.00 5,437,500 COSTA RICA REP 6.548 3/20/2014 2,000,000.00 2,055,000 COX COMMUNICATIONS INC MTN 6.95 1/15/2028 4,175,000.00 4,307,719


Security Name Interest Rate Maturity Date Shares/Par Value Base Market ValueDBS BK LTD SINGAPORE 5 11/15/2019 20,000,000.00 18,860,960 DPL INC 6.875 9/1/2011 3,800,000.00 4,049,407 DR HORTON INC 8 2/1/2009 4,364,000.00 4,233,080 D R HORTON INC 7.875 8/15/2011 2,450,000.00 2,376,500 D R HORTON INC 6.125 1/15/2014 6,100,000.00 5,338,988 D R HORTON INC 5.625 9/15/2014 5,100,000.00 4,283,587 DAIMLERCHRYSLER NORTH AMER HLD 6.5 11/15/2013 5,480,000.00 5,728,260 DANAHER CORP 5.625 1/15/2018 17,500,000.00 17,460,904 DELHAIZE GROUP SA 6.5 6/15/2017 15,300,000.00 15,652,313 DENBURY RES INC DEL 7.5 4/1/2013 12,700,000.00 12,827,000 DEVELOPERS DIVERSIFIED RLTY CO 5.5 5/1/2015 8,000,000.00 7,901,187 DIAMOND OFFSHORE DRILLING INC 4.875 7/1/2015 10,000,000.00 9,541,591 DIRECTV HLDGS LLC 6.375 6/15/2015 2,700,000.00 2,592,000 DISNEY WALT CO NEW MTN BOOK 6 7/17/2017 8,500,000.00 8,984,770 DOMINION RES INC VA NEW 6.3 9/30/2066 11,200,000.00 10,856,459 DUKE RLTY LTD PARTNERSHIP 6.5 1/15/2018 5,000,000.00 5,042,879 ERAC USA FIN CO 6.7 6/1/2034 20,000,000.00 17,818,740 ERAC USA FIN CO 6.375 10/15/2017 4,800,000.00 4,637,342 ECHOSTAR DBS 6.375 10/1/2011 6,250,000.00 6,175,000 ECHOSTAR DBS CORP 7 10/1/2013 5,000,000.00 5,050,000 ECUADOR REP 10 8/15/2030 11,500,000.00 11,126,250 EMBARQ CORP 7.082 6/1/2016 16,000,000.00 16,486,096 EMPRESA NACIONAL DE ELECTRIC 8.35 8/1/2013 2,692,000.00 3,049,848 ENCANA CORP 6.625 8/15/2037 4,800,000.00 5,019,496 ENERSIS S A 7.4 12/1/2016 4,600,000.00 4,984,923 ENERSIS SA 7.375 1/15/2014 7,500,000.00 8,029,260 ENTERPRISE PRODS OPER L P 6.875 3/1/2033 7,750,000.00 7,901,252 ENTERPRISE PRODUCTS OPER 4.95 6/1/2010 3,000,000.00 3,004,861 ENTERPRISE PRODS OPER L P 8.375 8/1/2066 11,500,000.00 11,774,172 ENTERPRISE PRODS OPER L P 8.375 8/1/2066 9,250,000.00 9,470,529 ENTERPRISE PRODS OPER LLC 6.3 9/15/2017 4,500,000.00 4,603,330 EQUITY RESIDENTIAL 5.125 3/15/2016 16,500,000.00 15,288,018 FPL GROUP CAP INC 6.35 10/1/2066 16,500,000.00 15,363,145 FPL GROUP CAP INC 7.3 9/1/2067 3,500,000.00 3,576,286 FED HM LN PC POOL 1B3462 6.127 7/1/2037 3,887,069.48 3,956,259 FED HM LN PC POOL 1G1708 6.163 4/1/2037 16,797,637.98 17,112,594 FED HM LN PC POOL 1G1642 5.59 4/1/2037 46,687,073.48 46,745,432 FED HM LN PC POOL 1G2614 6.246 3/1/2037 18,564,360.29 18,935,648 FED HM LN PC POOL 1G1968 5.952 6/1/2037 16,282,023.53 16,449,110 FED HM LN PC POOL B14157 4 5/1/2019 4,220,806.84 4,065,267 FEDERAL HOME LN MTG CORP 6.5 7/15/2031 7,086,129.82 7,292,362 FEDERAL HOME LN BKS 4.85 2/4/2011 105,900,000.00 109,056,000 FEDERAL HOME LOAN BANK 4.875 11/27/2013 186,000,000.00 192,939,176 FEDERAL HOME LN MTG (Preferred Stock) 280,000.00 7,322,000 FED HM LN PC POOL 783164 5.786 1/1/2037 111,566,461.03 112,347,426 FEDERAL HOME LN MTG CORP 5.625 3/15/2011 200,000,000.00 211,426,480 FREDDIE MAC 4.5 1/15/2014 8,422,000.00 8,607,167 FEDERAL HOME LN MTG CORP 5 12/14/2018 50,000,000.00 50,261,600 FEDERAL NATL MTG ASSN (Prefered Stock) 665,000.00 17,123,750 FEDERAL NATL MTG ASSN 5.125 4/15/2011 212,000,000.00 221,025,688 FEDERAL NATL MTG ASSN 6 8/22/2016 140,700,000.00 142,007,638 FEDERAL HOME LN MTG CORP 5.5 7/18/2016 15,000,000.00 16,130,766 FNMA POOL 555813 4 10/1/2018 14,761,830.68 14,297,035 FEDERAL NATL MTG ASSN 4 7/25/2032 3,419,697.63 3,313,322 FEDERAL NATL MTG ASSN GTD REMI 3.75 7/25/2033 3,792,008.47 3,517,578 FEDERAL NATL MTG ASSN GTD 3 8/25/2032 24,298,388.08 22,341,785 FEDERAL HOME LN MTG CORP 4 10/15/2022 8,078,778.18 7,858,787


Security Name Interest Rate Maturity Date Shares/Par Value Base Market ValueFEDERAL HOME LN MTG CORP 4.5 8/15/2022 1,934,084.35 1,914,372 FEDERAL NATL MTG ASSN 4.875 5/18/2012 130,000,000.00 134,917,588 FNMA POOL 730016 4 7/1/2018 11,030,264.60 10,682,962 FNMA POOL 745443 5.525 3/1/2036 61,212,142.40 61,900,779 FNMA POOL 791868 5.012 8/1/2034 6,294,759.24 6,343,229 FNMA POOL 826797 4.195 7/1/2035 29,419,156.61 28,877,844 FISERV INC 6.125 11/20/2012 5,000,000.00 5,047,820 FLORIDA PWR + LT CO 5.65 2/1/2037 4,800,000.00 4,625,915 FORD MTR CO DEL 7.45 7/16/2031 5,300,000.00 3,935,250 FORD MTR CR CO 7.375 10/28/2009 4,000,000.00 3,764,984 FORD MTR CR CO 7.875 6/15/2010 5,000,000.00 4,613,335 FORD MTR CR CO 7.25 10/25/2011 1,000,000.00 866,159 FORD MTR CR CO 5.7 1/15/2010 7,400,000.00 6,667,237 FORD MTR CR CO 8 12/15/2016 3,800,000.00 3,227,762 FORD MTR CR CO 7.8 6/1/2012 4,000,000.00 3,506,648 FREEPORT MCMORAN COPPER + GOLD 8.25 4/1/2015 2,500,000.00 2,650,000 FREEPORT MCMORAN COPPER + GOLD 8.375 4/1/2017 2,500,000.00 2,681,250 FRESENIUS MED CARE CAP TR IV 7.875 6/15/2011 3,000,000.00 3,105,000 GTL TRADE FIN INC 7.25 10/20/2017 18,300,000.00 18,573,658 GMAC LLC 6.625 5/15/2012 14,633,000.00 12,164,662 GMAC LLC 6.625 5/15/2012 6,150,000.00 5,112,600 GS MTG SECS CORP 4.4962 10/25/2033 23,415,156.80 22,803,483 GS MTG SECS CORP 5 9/25/2034 27,637,022.83 26,669,727 GS MTG SECS TR 2007 GG10 5.799235 8/10/2045 17,000,000.00 17,567,800 GSC HLDGS CORP / GAMESTOP INC 8 10/1/2012 9,620,000.00 10,016,825 GAZ CAPITAL 8.625 4/28/2034 1,600,000.00 1,977,600 GAZ CAP SA LUXEMBOURG 6.212 11/22/2016 16,500,000.00 15,830,100 GAZ CAP SA LUXEMBOURG 6.51 3/7/2022 16,250,000.00 15,448,875 GAZ CAP SA LUXEMBOURG 7.288 8/16/2037 3,000,000.00 3,027,900 GAZ CAP SA LUXEMBOURG 7.288 8/16/2037 8,500,000.00 8,579,050 GAZPROM INTL S A 7.201 2/1/2020 22,660,099.34 22,971,676 GENETECH INC 4.75 7/15/2015 22,000,000.00 21,344,762 GENERAL ELEC CO 5.25 12/6/2017 12,000,000.00 11,996,916 GENERAL ELEC CAP CORP MTN 6.15 8/7/2037 4,500,000.00 4,780,931 GENERAL ELEC CAP CORP MTN 5.625 9/15/2017 2,000,000.00 2,046,723 GENERAL ELEC CAP CORP MTN 6.375 11/15/2067 5,000,000.00 5,162,410 GENERAL ELEC CAP CORP MTN 6.75 3/15/2032 30,000,000.00 33,838,870 GENERAL MTRS ACCEP CORP 5.85 1/14/2009 6,000,000.00 5,738,016 GENERAL MTRS ACCEP CORP 6.875 9/15/2011 8,250,000.00 7,057,826 GENERAL MTRS ACCEP CORP 5.625 5/15/2009 3,500,000.00 3,287,472 GENERAL MTRS CORP 6.375 5/1/2008 1,500,000.00 1,492,500 GENERAL MTRS CORP 7.2 1/15/2011 3,000,000.00 2,760,000 GENERAL MTRS CORP 8.375 7/15/2033 5,300,000.00 4,266,500 GOLDMAN SACHS GROUP INC 1 5.95 1/15/2027 5,000,000.00 4,519,092 GOLDMAN SACHS GROUP INC 5.625 1/15/2017 5,000,000.00 4,859,361 GOLDMAN SACHS GROUP INC 6.75 10/1/2037 8,500,000.00 8,273,520 GOLDMAN SACHS CAPITAL II 5.793 12/29/2049 8,700,000.00 7,745,828 GOLDMAN SACHS CAP I 6.345 2/15/2034 15,750,000.00 14,067,670 GRUPO TELEVISA SA 6.625 3/18/2025 24,350,000.00 24,755,476 HCA INC FORMERLY HCA HEALTHCAR 9.125 11/15/2014 6,950,000.00 7,228,000 HSBC BK USA 5.875 11/1/2034 17,985,000.00 16,327,804 HSBC FIN CAP TR IX 5.911 11/30/2035 15,400,000.00 14,188,383 HARRAHS OPER INC 5.375 12/15/2013 2,000,000.00 1,520,000 HARRAHS OPER INC 5.5 7/1/2010 14,450,000.00 13,438,500 HARRAHS OPER INC 5.625 6/1/2015 13,775,000.00 10,055,750 HASBRO INC 6.3 9/15/2017 8,400,000.00 8,594,754 HERTZ CORP 8.875 1/1/2014 14,000,000.00 14,192,500


Security Name Interest Rate Maturity Date Shares/Par Value Base Market ValueHOSPIRA INC 6.05 3/30/2017 15,923,000.00 15,996,356 HOST HOTELS + RESORTS L P 6.875 11/1/2014 3,340,000.00 3,323,300 HOST MARRIOTT L P 6.375 3/15/2015 3,550,000.00 3,461,250 HUSKY ENERGY INC 6.8 9/15/2037 22,500,000.00 23,494,996 HUTCHISON WHAMPOA INTL LTD 7.45 11/24/2033 25,620,000.00 29,218,765 IDEARC INC 8 11/15/2016 7,800,000.00 7,156,500 INTERNATIONAL BUSINESS MACHS 6.22 8/1/2027 34,800,000.00 36,112,700 INTERNATIONAL BUSINESS MACHS 5.7 9/14/2017 6,000,000.00 6,202,572 INTERNATIONAL FIN FAC 5 11/14/2011 20,250,000.00 20,901,159 ITC HLDGS CORP 5.875 9/30/2016 13,100,000.00 13,134,990 JP MPORGAN MTG TR 4.948085 11/25/2035 11,004,820.07 10,894,772 JPMORGAN CHASE + CO 5.15 10/1/2015 9,150,000.00 8,819,212 JP MORGAN CHASE CAP XXV 6.8 10/1/2037 3,000,000.00 2,831,410 JERSEY CENT PWR + LT CO 6.15 6/1/2037 16,000,000.00 15,244,496 JP MORGAN CHASE BANK 6 10/1/2017 12,000,000.00 12,235,476 JPMORGAN CHASE CAP XX 6.55 9/29/2036 17,150,000.00 15,398,662 JPM CHASE CAPITAL XXII 6.45 1/15/2087 19,050,000.00 16,873,091 KERR MCGEE CORP 6.95 7/1/2024 4,500,000.00 4,791,591 L 3 COMMUNICATIONS CORP 6.125 1/15/2014 8,940,000.00 8,761,200 L 3 COMMUNICATIONS CORP 5.875 1/15/2015 20,950,000.00 20,216,750 LEHMAN BROS HLDGS INC 6.75 12/28/2017 7,000,000.00 7,187,399 LEHMAN BROS HLDGS INC 6.875 7/17/2037 4,800,000.00 4,700,524 LEHMAN BROS HLDGS INC 5.75 1/3/2017 7,000,000.00 6,700,074 LEHMAN BROTHERS HLDGS INC 6 7/19/2012 17,700,000.00 18,022,742 LEHMAN MTG TR 6 7/25/2037 7,831,000.00 7,635,225 LOBLAW COMPANIES LTD 6.5 1/22/2029 14,000,000.00 13,180,242 LOBLAWS COS LTD CPN RCPTS CDS 0 5/23/2031 40,000,000.00 7,720,756 LOBLAWS COS LTD CPN RCPTS CDS 0 11/23/2033 25,000,000.00 3,951,568 LORAL CORP 7 9/15/2023 26,300,000.00 29,224,973 LUBRIZOL CORP 4.625 10/1/2009 7,000,000.00 7,034,447 MGM MIRAGE 6 10/1/2009 13,200,000.00 13,134,000 MGM MIRAGE 6.75 9/1/2012 6,875,000.00 6,694,531 MGM MIRAGE FORMLY MGM GRAND 6.75 4/1/2013 3,000,000.00 2,910,000 MASTR ADJ RATE MTGS TR 5.064933 7/25/2035 22,008,671.45 21,898,628 MASTR ALTERNATIVE LN TR 6 3/25/2036 12,358,000.00 12,172,630 MCKESSON CORP NEW 5.25 3/1/2013 7,000,000.00 7,095,801 MCKESSON CORP 5.7 3/1/2017 3,700,000.00 3,678,097 MEDTRONIC INC 4.75 9/15/2015 14,700,000.00 13,984,806 MERRILL LYNCH + CO INC 6.4 8/28/2017 8,400,000.00 8,534,047 MERRILL LYNCH CO INC 6.11 1/29/2037 10,500,000.00 9,271,640 METLIFE INC 6.4 12/15/2036 11,350,000.00 10,298,986 MIDAMERICAN ENERGY HLDGS CO N 6.125 4/1/2036 24,375,000.00 24,413,737 MILLER BREWING CO 5.5 8/15/2013 24,700,000.00 24,924,973 NATIONAL GAS CO TRINIDAD + TOB 6.05 1/15/2036 11,000,000.00 10,457,172 NEIMAN MARCUS GROUP INC 10.375 10/15/2015 11,300,000.00 11,766,125 NEVADA PWR CO 6.5 5/15/2018 19,800,000.00 20,271,616 NEVADA PWR CO 6.75 7/1/2037 4,500,000.00 4,651,623 NEW YORK LIFE INS CO 5.875 5/15/2033 10,500,000.00 10,315,767 NEWS AMER HLDGS INC 7.7 10/30/2025 13,530,000.00 15,132,112 NEWS AMER INC 6.4 12/15/2035 19,000,000.00 19,216,871 NEWS AMER INC 6.65 11/15/2037 7,000,000.00 7,220,332 NEXTEL COMMUNICATIONS INC 5.95 3/15/2014 10,800,000.00 10,368,000 NORFOLK SOUTHN CORP 5.59 5/17/2025 16,161,000.00 14,858,653 ODEBRECHT FIN LTD 7.5 10/18/2017 6,000,000.00 6,030,000 OHIO PWR CO 6.6 2/15/2033 24,745,000.00 24,856,778 OHIO PWR CO 4.85 1/15/2014 8,000,000.00 7,663,192 OPTI CDA INC 7.875 12/15/2014 6,750,000.00 6,598,125


Security Name Interest Rate Maturity Date Shares/Par Value Base Market ValueOWENS BROCKWAY GLASS CONTAINER 6.75 12/1/2014 8,000,000.00 7,960,000 PACIFICORP 6.25 10/15/2037 8,500,000.00 8,777,295 PANAMA REP 7.25 3/15/2015 14,000,000.00 15,435,000 PANAMA REP 7.125 1/29/2026 16,000,000.00 17,600,000 PANAMA REP 6.7 1/26/2036 8,000,000.00 8,440,000 PANAMERICAN BEVERAGES INC 7.25 7/1/2009 3,000,000.00 3,058,353 PEMEX PROJECT FD MAST TRUST 7.875 2/1/2009 2,000,000.00 2,055,848 PEMEX PROJ FDG MASTER TR 9.375 12/2/2008 2,773,000.00 2,873,660 PEMEX PROJ FDG MASTER TR 6.625 6/15/2035 5,000,000.00 5,270,170 JC PENNEY CORPORATION INC 6.375 10/15/2036 10,300,000.00 9,145,351 PENNEY J C INC 7.125 11/15/2023 12,800,000.00 12,813,861 PERU REP 8.375 5/3/2016 11,371,000.00 13,332,498 PERU REP 7.35 7/21/2025 16,000,000.00 18,240,000 REPUBLIC OF PERU 6.55 3/14/2037 1,000,000.00 1,045,000 PETROBRAS INTL FIN CO 8.375 12/10/2018 1,000,000.00 1,190,000 PETROBRAS INTL FIN CO 7.75 9/15/2014 13,450,000.00 15,010,200 PETROBRAS INTL FIN CO 6.125 10/6/2016 3,000,000.00 3,060,000 PETROBRAS INTL FIN CO 5.875 3/1/2018 8,000,000.00 7,956,000 PETROPLUS FIN LTD 6.75 5/1/2014 8,500,000.00 7,915,625 PHILIPPINE LONG DIST TEL CO ME 8.35 3/6/2017 16,570,000.00 18,392,700 PHILIPPINES REP 9.375 1/18/2017 6,100,000.00 7,548,750 PHILIPPINES REP 8.25 1/15/2014 29,000,000.00 32,480,000 PHILIPPINES REP 8.375 2/15/2011 15,750,000.00 16,931,250 PHILIPPINES REP 8.875 3/17/2015 3,000,000.00 3,532,500 PHILIPPINES REP 8 1/15/2016 9,300,000.00 10,555,500 PHILIPPINES REP 7.75 1/14/2031 3,000,000.00 3,461,250 PHILLIPINES (REP) 7.5 9/25/2024 3,850,000.00 4,331,250 REPUBLIC OF THE PHILIPPINES 6.375 1/15/2032 9,050,000.00 9,004,750 PLAINS EXPL PRODTN CO 7.75 6/15/2015 7,750,000.00 7,750,000 PREMCOR REFNG GROUP INC 6.75 5/1/2014 6,250,000.00 6,711,362 PRINCIPAL FINL GROUP INC 6.05 10/15/2036 7,000,000.00 6,756,968 PRINCIPAL LIFE INCOME FUNDINGS 5.1 4/15/2014 9,400,000.00 9,161,253 PROCTER + GAMBLE CO 5.55 3/5/2037 5,000,000.00 5,026,798 PROLOGIS 5.625 11/15/2016 12,500,000.00 11,864,744 PRUDENTIAL FINL INC MED TERM 6 12/1/2017 9,000,000.00 8,962,884 PRUDENTIAL FINL INC 6.625 12/1/2037 4,000,000.00 4,033,604 PSYCHIATRIC SOLUTIONS INC 7.75 7/15/2015 5,200,000.00 5,187,000 RBS CAP TR III 5.512 9/29/2049 3,000,000.00 2,765,414 R H DONNELLEY CORP 6.875 1/15/2013 11,600,000.00 10,382,000 R H DONNELLEY CORP 8.875 10/15/2017 2,750,000.00 2,598,750 RAS LAFFAN LNG 5.832 9/30/2016 7,000,000.00 7,122,511 RAS LAFFAN LIQUEFIED NAT GAS 6.332 9/30/2027 3,000,000.00 2,848,091 RESIDENTIAL ASSET MTG PRODS 6 7/25/2032 3,419,052.92 3,419,053 RESIDENTIAL ASSET SECURIZATION 6 6/25/2036 70,215,902.87 68,811,585 RESIDENTIAL CAP CORP 7.875 6/30/2010 7,000,000.00 4,480,000 RESIDENTIAL ASSET SECURITIZATI 6.25 12/25/2036 72,294,776.45 73,606,059 ROGERS CABLE INC 5.5 3/15/2014 12,000,000.00 11,823,480 ROYAL CARIBBEAN CRUISES LTD 7.5 10/15/2027 12,881,000.00 11,744,187 RUSSIAN FEDN 8.25 3/31/2010 3,889,017.81 4,034,856 RUSSIAN FEDN 7.5 3/31/2030 39,847,500.00 45,326,531 SBC COMMUNICATIONS INC 5.625 6/15/2016 11,000,000.00 11,089,558 SCHERING PLOUGH CORP 6.55 9/15/2037 11,500,000.00 12,103,010 SIEMENS FINANCIERINGSMAATSCHAP 6.125 8/17/2026 12,500,000.00 12,379,913 SIMON PPTY GROUP L P 4.875 8/15/2010 3,840,000.00 3,802,495 SIMON PPTY GROUP L P 5.625 8/15/2014 8,850,000.00 8,584,331 SOCIEDAD QUIMICA Y MINERA DE 6.125 4/15/2016 11,400,000.00 11,246,955 SOUTHERN PWR CO 4.875 7/15/2015 16,155,000.00 15,221,516


Security Name Interest Rate Maturity Date Shares/Par Value Base Market ValueSOUTHERN POWERCO 6.375 11/15/2036 4,500,000.00 4,391,195 SPRINT CAP CORP 6.9 5/1/2019 17,750,000.00 17,702,463 STRUCTURED ASSET SECS CORP 4.6664 7/25/2034 6,623,000.00 6,470,137 SUNCOR ENERGY INC 5.95 12/1/2034 15,000,000.00 14,525,890 SUNGUARD DATA SYS INC 9.125 8/15/2013 2,600,000.00 2,645,500 SUNGARD DATA SYSTEMS 10.25 8/15/2015 14,300,000.00 14,621,750 TARGET CORP 5.375 5/1/2017 6,250,000.00 6,067,600 TECO FIN INC 7 5/1/2012 6,495,000.00 6,495,000 TECO FIN INC 6.75 5/1/2015 7,000,000.00 7,000,000 TECO FIN INC 6.572 11/1/2017 4,505,000.00 4,505,000 TELEFONICA EMISIONES S A U 7.045 6/20/2036 9,500,000.00 10,660,415 TELEFONICA EMISIONES S AU 6.221 7/3/2017 12,600,000.00 13,091,299 TELEFONOS DE MEXICO S A 4.5 11/19/2008 5,000,000.00 4,975,500 TELOFONOS DE MEXICO SA 5.5 1/27/2015 25,700,000.00 25,236,783 TEMASEK FINL LTD 4.5 9/21/2015 10,000,000.00 9,729,920 TENGIZCHEVROIL FIN CO S AR L 6.124 11/15/2014 16,475,000.00 15,527,688 TESCO PLC 5.5 11/15/2017 5,000,000.00 4,996,240 TESCO PLC 6.15 11/15/2037 12,000,000.00 11,723,268 TEVA PHARMACEUTICAL FIN CO LLC 6.15 2/1/2036 21,500,000.00 21,265,456 THOMSON CORP 5.7 10/1/2014 8,950,000.00 8,963,689 TIME WARNER ENTMT CO L P 8.375 3/15/2023 20,375,000.00 24,153,578 TIME WARNER ENTMT CO L P 8.375 7/15/2033 7,500,000.00 9,034,408 TRANSCAPITALINVEST LTD 5.67 3/5/2014 25,750,000.00 24,672,697 TRANSOCEAN SEDCO FOREX INC 7.5 4/15/2031 17,600,000.00 19,218,971 TRANSOCEAN INC 6 3/15/2018 22,800,000.00 22,969,523 TRINIDAD + TOBAGO REP 5.875 5/17/2027 9,500,000.00 9,367,950 TURKEY REP 9.875 3/19/2008 10,000,000.00 10,100,000 TURKEY REP 10.5 1/13/2008 20,000,000.00 20,025,000 TURKEY REP 7.25 3/15/2015 21,500,000.00 23,005,000 TURKEY REP 7.375 2/5/2025 9,750,000.00 10,237,500 TURKEY REP 7 6/5/2020 8,500,000.00 8,818,750 TURKEY REP 6.875 3/17/2036 12,000,000.00 11,790,000 TURKEY REP 7 9/26/2016 5,250,000.00 5,551,875 TURKEY REP 6.75 4/3/2018 5,500,000.00 5,644,375 TURKEY REP 11.75 6/15/2010 10,000,000.00 11,562,500 US CONCRETE INC 8.375 4/1/2014 6,901,000.00 6,038,375 UNITED MEXICAN STS MTN 5.625 1/15/2017 36,300,000.00 36,790,050 UNITED STATES TRES BD STRP PRN 0 5/15/2018 448,000,000.00 286,218,240 UNITED STATES TRES BD STRP PRN 0 11/15/2018 303,427,000.00 188,646,634 UNITED STATES TRES BD STRP PRN 0 2/15/2019 297,886,000.00 182,321,126 UNITED STATES TREAS BD STRIP 0 11/15/2027 445,000,000.00 178,498,400 UNITED STATES TREAS BDS 3.625 4/15/2028 118,675,856.28 150,679,174 UNITED STATES TREAS BDS 3.875 4/15/2029 136,428,091.86 180,760,400 UNITED STATES TREAS BDS 3.375 4/15/2032 36,021,520.09 46,221,374 UNITED STATES TREAS BDS 2.375 1/15/2025 177,560,380.36 186,688,760 UNITED STATES TREAS BDS 2 1/15/2026 115,405,046.32 115,094,607 UNITED STATES TREAS BDS 2.375 1/15/2027 93,536,429.13 99,053,208 UNITED STATES TREAS NTS 3.875 1/15/2009 111,287,503.68 114,629,467 UNITED STATES TREAS NTS 4.25 1/15/2010 80,615,708.42 86,047,595 UNITED STATES TREAS NTS 6.5 2/15/2010 14,790,000.00 15,817,166 US TREASURY NTS 3.5 1/15/2011 80,962,704.33 87,086,723 UNITED STATES TREAS NTS 3.375 1/15/2012 44,881,407.00 48,980,875 US TREASURY NTS 3 7/15/2012 154,610,566.22 167,536,010 UNITED STATES TREAS NTS 1.875 7/15/2013 144,637,943.04 149,152,093 UNITED STATES TREAS NTS 2 1/15/2014 148,294,516.26 153,271,280 UNITED STATES TREAS NTS 2 7/15/2014 135,828,409.62 140,337,913 UNITED STATES TREAS NTS 0.875 4/15/2010 190,174,070.47 189,595,941


Security Name Interest Rate Maturity Date Shares/Par Value Base Market ValueUNITED STATES TREAS NTS 1.625 1/15/2015 134,083,574.58 134,645,385 UNITED STATES TREAS NTS 1.875 7/15/2015 116,320,724.72 118,595,958 UNITED STATES TREAS NTS 2 1/15/2016 113,880,852.55 116,938,553 UNITED STATES TREAS NTS 2.375 4/15/2011 117,421,551.49 122,424,884 UNITED STATES TREAS NTS 4.875 4/30/2008 56,000,000.00 56,280,000 UNITED STATES TREAS NTS 2.5 7/15/2016 113,014,010.44 120,605,162 US TREASURY NTS 2.375 1/15/2017 100,213,384.68 105,857,403 UNITED STATES TREAS NTS 2 4/15/2012 92,955,757.02 96,380,247 US TREASURY SECURITY 2.625 7/15/2017 91,016,036.73 98,290,038 UNITED STATES TRES SC STRP INT 0 2/15/2019 100,000,000.00 61,171,000 UNITED STATES TRES SC STRP INT 0 5/15/2019 187,000,000.00 113,052,720 UNITED STATES TRES SC STRP INT 0 11/15/2021 265,000,000.00 139,821,950 URBI DESARROLLOS URBANOS S A 8.5 4/19/2016 16,025,000.00 16,425,625 VALE OVERSEAS LTD 6.25 1/11/2016 18,500,000.00 18,529,674 VALE OVERSEAS LTD 6.875 11/21/2036 5,800,000.00 5,867,344 VALE OVERSEAS LTD 6.875 11/21/2036 13,450,000.00 13,606,168 VALERO ENERGY CORP 6.625 6/15/2037 18,000,000.00 18,028,805 VESSEL MGMT SVCS INC 6.08 5/20/2024 11,464,500.00 12,733,391 VIRGINIA ELEC + PWR CO 5.95 9/15/2017 6,500,000.00 6,627,489 VIRGINIA ELEC + PWR CO 6.35 11/30/2037 3,000,000.00 3,055,695 VODAFONE AIRTOUCH PLC 7.875 2/15/2030 5,500,000.00 6,479,923 VODAFONE GROUP PLC NEW 5.625 2/27/2017 14,000,000.00 13,991,073 VODAFONE GROUP 6.15 2/27/2037 4,000,000.00 3,966,245 VOTO VOTORANTIM OVERSEAS 7.875 1/23/2014 9,000,000.00 9,585,000 VOTO VOTORANTIM OVERSEAS TRAD 7.75 6/24/2020 13,950,000.00 14,821,875 WAMU MTG PASS THROUGH CTFS 5.5 8/25/2035 27,801,690.72 26,967,640 WAMU MTG PASS THRU CTFS 5.71517 2/25/2037 43,968,790.65 43,826,305 WACHOVIA BK NATL ASSN MEDIUM 6.6 1/15/2038 16,500,000.00 16,582,830 WAMU MTG PASS THRU CTFS 5.85835 3/25/2037 11,020,728.62 10,828,329 WAMU MTG 5.34716 1/25/2037 79,415,003.90 79,219,103 WAMU MTG PASS THRU CTFS 6.15 9/25/2036 54,574,656.43 54,642,875 WELLS FARGO + CO NEW 5.625 12/11/2017 17,000,000.00 17,117,918 WELLS FARGO CAP X 5.95 12/15/2036 9,000,000.00 8,344,107 WELLS FARGO BK NATL ASSN 5.75 5/16/2016 12,500,000.00 12,679,092 WELLS FARGO MTG BKD SECS 2005 5.386571 8/25/2035 6,652,615.65 6,602,825 WELLS FARGO MTG BACKED SECS 5.133999 5/25/2035 36,061,373.70 35,091,323 WELLS FARGO MTG BKD SECS 2006 5.75 3/25/2036 8,636,919.94 8,550,551 WELLS FARGO MTG BACKED SECS 5.5 4/25/2037 86,096,529.67 86,661,538 WESTAR ENERGY INC 5.15 1/1/2017 7,900,000.00 7,579,315 WESTAR ENERGY INC 5.1 7/15/2020 3,000,000.00 2,806,303 WESTERN RES INC 7.125 8/1/2009 6,000,000.00 6,162,948 WINDSTREAM CORP 8.625 8/1/2016 17,000,000.00 17,850,000 WYETH 5.5 2/1/2014 4,622,000.00 4,697,433 WYETH 6.45 2/1/2024 18,700,000.00 19,833,379 WYETH 5.95 4/1/2037 10,500,000.00 10,481,140


EATON VANCE HIGH YIELD FD 1,525,783.62 140,511,472 GOLDMAN SACHS HIGH YIELD 304,105,176.81 294,490,588 NCRAM HIGH YIELD TOTAL RETURN 323,817,649.87 327,005,635 STONE HARBOR HIGH YIELD FD 1,366,465.00 131,782,698 WGBI EX US INDEX FUND 13,501,147.04 1,475,397,126

TOTAL FIXED INCOME 13,104,704,217


Security Name Interest Rate Maturity Date Shares/Par Value Base Market Value

ALTERNATIVE ASSETSPRIVATE EQUITY

ACCEL VIII LP 4,113,949 AIG ASIAN INFRASTRUCTURE FNDII 11,276,335 AIG ASIAN INFRASTRUCTURE FUND 34,713 AIG GE CAPITAL LATIN AMERICA 25,114,755 AIG INDIAN SECTORAL EQUITY 511,099 AISLING CAPITAL 11 3,506,743 ALTA SUB DEB III 62,012 APOLLO INVESTMENT FUND VI LP 10,738,162 ARCH VENTURE FUND VI, LP 8,836,619 ARCH VENTURE FUND VII LP 826,926 ARES CORP OPPORTUNITY FUND II 18,125,926 ARSENAL CAP PTNERS 7,426,132 ARSENAL CAPITAL PARTNERS II LP 3,592,411 BAIN CAPITAL FUND IX LP 31,245,402 BAIN CAPITAL FUND VIII 12,320,449 BAIN CAPITAL IX COINVESTMENT F 10,321,214 BAIN CAPITAL VIII COINVETMENT 3,713,101 BLACKSTONE CAP PARTN IV LP 32,141,214 BLACKSTONE CAPITAL PARTNERS V 32,103,335 BLUERUN VENTURES LP 12,930,391 CADUCEUS PRIVATE INV III LP 4,469,855 CALERA CAPITAL 9,708,457 CANAAN EQUITY PARTNERS VII 6,108,380 CANAAN VII LP 450,539 CENTURY PARK CAPITAL PTNS II 6,886,075 CERBERUS SERIES FOUR HOLDINGS 14,417,929 CHARLESBANK EQUITY FUND VI 3,580,447 CLAREMONT CREEK VENTURES LP 2,242,264 CLEARSTONE VENTURE PARTNERS 7,948,319 DARWIN VENTURE CAPITAL FUNDS 2,767,619 DCM IV 5,451,808 DCM V 4,669,651 DE NOVO VENTURES II LP 13,319,979 DE NOVO VENTURES III 6,490,755 DOMAIN PARTNERS VI LP 8,041,944 DOMAIN PARTNERS VII 5,289,494 EOS CAPITAL PARTNERS III 13,579,358 EOS CAPITAL PARTNERSHIP IV 1,033,597 EQUITY DISTRIBUTION SECURITIES 12,845,568 FIRST RESERVE FUND XI LP 8,249,026 FORTRESS INVESTMENT FUND III 9,634,106 FORTRESS INVESTMENT FUND IV 15,754,457 FORTRESS INVESTMENT FUND V 11,782,808 FOX PAINE CAPITAL FUND III LP 8,182,723 GENSTAR CAPITAL PARTNERS IV 12,883,792 GENSTAR CAPITAL PARTNERS V 20,981,265 GLENCOE CAP INSTL PARTNERS III 718,980 GLENCOE CAPITAL PARTNERS III 2,896,561 GLOBESPAN CAPITAL PARTNERS IV 8,080,773 GLOBESPAN CAPITAL PARTNERS V 9,602,974 GOLDER THOMA CRESSEY RAUNER 25,179 GOLDER THOMA CRESSEY RAUNER V 3,106,221 GRAHAM PARTNERS II 11,414,767


Security Name Interest Rate Maturity Date Shares/Par Value Base Market ValueGRANITE CLOBAL VENTURES III 7,584,088 GRANITE GLOBAL VENTURES II LP 15,446,921 GRANITE VENTURES II 2,401,425 HUMMER WINBLAD VENTURE PTR III 145,642 INSIGHT VENTURE PARTNERS V 10,392,713 INSIGHT VENTURE PARTNERS V 3,684,415 INSIGHT VENTURE PARTNERS VI LP 4,539,091 INSTITUTIONAL VENTURE PARTNS 3,784,261 INSTITUTIONAL VENTURE PTR VIII 2,202,174 INTERSOUTH PARTNERS V LP 9,644,632 INTERSOUTH PARTNERS VI 7,186,889 INTERSOUTH PARTNERS VII 3,409,022 INTERWEST PARTNERS IX 9,589,664 INTERWEST PARTNERS V LP 651,952 INTERWEST PARTNERS VI LP 776,479 INTERWEST PARTNERS VII LP 6,299,487 INTERWEST PARTNERS VIII 29,823,390 INVERNESS PARTNERS II LP 9,133,435 ITU VENTURES III 953,334 IVP VI 378,936 IVP VII 4,570,831 J C FLOWERS II LP 9,189,921 JLL PARTNERS FUND V, LP 17,043,144 KELSO INVESTMENT ASSOC VII 32,701,766 KELSO INVESTMENT ASSOCIATES 1,420,635 KODIAK VENTURES III 7,546,855 KPCB AGG INVESTMENT UCRP 28,838,274 KRG CAPITAL III LP 10,073,593 LAKE CAPITAL PARTNERS LP 13,413,507 LATIN AMERICAN CAPITAL II LP 8,689,099 LIGHTHOUSE CAPITAL PARTNERS V 13,195,684 LIGHTSPEED VENTURE PTNERS VII 5,238,779 LINDSAY GOLDBERG + BESSEMER II 13,776,193 LINDSAY GOLDBERG + BESSEMER LP 10,947,819 MADISON DEARBORN CAP PART IV 47,383,844 MADISON DEARBORN V 73,508,910 MAYFIELD VIII 1,117,180 NOVAK BIDDLE VENTURE PARTNERS 4,775,111 NOVAK BIDDLE VENTURE PTNR V 832,431 OLYMPUS GROWTH FUND IV LP 17,302,129 OXFORD BIOSCIENCE IV 15,551,768 OXFORD BIOSCIENCE PARTNERS III 8,168,500 PALOMAR VENTURES III 5,820,595 PERSEUS 2000 EXPANSION 11,762,428 PERSEUS PARTNERS VII LP 10,022,549 PERSEUS SOROS BIO PHARM LP 3,668,682 POLARIS VENTURE PARTNERS III 8,944,433 POLARIS VENTURE PARTNERS IV 16,718,399 POLARIS VENTURE PRTNRS V LP 6,392,209 QUAD C PARTNERS VII LP 3,035,908 REDPOINT VENTURE I LP 5,412,036 REDPOINT VENTURES II LP 22,275,727 RIPPLEWOOD PARTNERS II LP 11,609,218 SEQUOIA AGG INVESTMENT UCRP 30,695,753 SHAMROCK CAPITAL GROWTH FD II 7,736,805 SKM EQUITY FUND II 14,843,619 SPC PARTNERS III LP 8,693,351


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

REAL ESTATE

AMB INSTITUTIONAL ALLIANCE 91,245,202 BEACON CAP STRTGIC PARTN V 21,503,124 BEACON CAPITAL STRATEGIC 16,744,153 BLACKSTONE REAL EST PARTNER VI 46,652,073 BLACKSTONE REAL ESTATE PRTN V 52,621,107 BUCHANAN FUND V, LLC 14,064,107 CALIFORNIA SMART GROWTH FD IV 17,064,199 CIM FUND III LP 1,159,082 CIM URBAN REIT LLC 29,893,758 COLONY CAPITAL VIII LP 10,402,076 CORNERSTONE APMNT VENT III LLC 7,064,112 CORNERSTONE SEPARATE ACCOUNT 114,166,240 FORUM ASIAN REALTY INCOME II 18,818,120 HEITMAN AMERICA REAL ESTATE TR 46,387,379 KSL CAPITAL PARTNERS II 674,681 LBA REALTY FUND III 19,524,491 LEGACY PARTNERS REALTY FUND II 33,465,660 LIONSTONE URBAN INV TWO 2,829,624 MACFARLANE URBAN REAL ESTATE 891,526 MORGAN STANLEY RE FUND V 33,664,812 PRISA II PRUDENTIAL REAL EST. 159,966,501 PRUDENTIAL SNR HSING PTNRS III 31,659,227 REALTY ASSOCIATES FUND VII 26,806,397 REALTY ASSOCIATES FUND VIII 41,719,240 REDWOOD GROVE INTERNATIONAL LP 7,983,000 REEF GLOBAL OPPORTUNITIES FD 54,698,681 ROCKPOINT REAL ESTATE FUND III 212,183


Security Name Interest Rate Maturity Date Shares/Par Value Base Market ValueRREEF AMERICA REIT III 39,182,176 SQUARE MILE PARTNERS II LP 19,365,036 URBANAMERICA, LP. II 7,025,894 WALTON STREET REAL ESTATE V 67,711,010 WESTBROOK REAL ESTATE FUND VII 4,363,637

ABSOLUTE RETURN

BERNSTEIN GLOBAL DIV HEDGE F 9,517,994 ANCHORAGE CAPITAL PARTNERS 15,936,948 TIGER ASIA OVERSEASFUND LTD 18,296,862 CVI SPECIALIZED VENTURES FD A 10,888,162 CANYON VALUE REALIZATION FD 9,173,799 CHILTON GLOBAL NATURAL RESOURC 15,156,776 DAVIDSON KEMPNER DIS OPP INTL 7,438,299 DAVIDSON KEMPNER INST PRTNR 17,466,386 FONTANA CAPITAL LLC 6,917,494 GEM REALITY SECURITIES LTD 9,862,466 GIOVONE INVESTMENT PARTNERS 17,896,875 H.I.G BRIGHTPOINT CAP PARTNERS 6,903,726 HIGHLINE SELECT LTD 4,956,844 HIGHLINE CAPITAL INTL 13,898,516 IVY RISING STARS OFFSHORE FD 8,565,435 MAVERICK FUND LTD 13,198,043 OCONNOR GLOBAL FUNDAMENTAL 18,992,271 VIKING GLOBAL EQUITIES III LTD 15,779,945 AVENUE SPECIAL SITUATIONS III 134,785 OZ ASIA MASTER FUND LTD. 6,928,443 OZ OVERSEAS FUND LTD 10,772,763 SATELLITE CREDIT OPPORTUNITIES 8,922,058 SATELLITE OVERSEAS LTD PRTNSHP 23,876,090 SILVER POINT CAP OFFSHORE FD 16,319,691 SIRIOS FUND 7,339,511 STERLING STAMOS CONCENTRATED 14,457,617 TIGER CONSUMER PARTNERS LP 9,714,539 TREE LINE ASIA FD LTD 9,472,239 YORK EUROPEAN OPPORTUNITIES 11,824,378

TOTAL ALTERNATIVE ASSETS 2,843,706,996

TOTAL SECURITIES 47,280,640,009

CASH & CASH EQUIVALENTS 290,672,932

ACCOUNTS RECEIVABLE & ACCRUED INCOME 279,754,504

ACCOUNTS PAYABLE (1,183,778)

TOTAL NET ASSETS 47,849,883,667$



EQUITY INVESTMENTSEXTERNALLY MANAGED FUNDS(SC = Small Cap MC = Mid Cap LC = Large Cap)

Security Name Interest Rate Maturity Date Shares/Par Value Market Value

ACADIAN EMERGING MARKETS 76,995,673 ADAGE CAPITAL LC 265,071,249 ALLIANCE CAPITAL EMERGING MRKT 109,347,586 AQR NON-US 246,015,192 AXA ROSENBERG SC/MC 60,845,115 GLOBAL CURRENTS NON-US 253,223,802 BURGUNDY SC 59,181,019 CAUSEWAY NON-US 193,605,644 CGI EMERGING MARKETS GF 136,224,288 CORTINA OPPORTUNITY SC 64,731,139 DE SHAW ENHANCED LC 227,502,351 DELAWARE LC 277,781,635 DFA EMERGING MRKT 151,611,750 EAFE + CANADA STATE ST INTL INDEX 4,228,843,015 GENESIS EMERGING MKT 149,992,670 GMO NON-US 369,760,453 GMO EMERGING MARKETS 79,032,224 GOLDMAN SACHS ASSET MANAGEMENT LC 340,012,927 HANSBERGER NON-US 106,665,102 IRONBRIDGE SC 142,752,385 JP MORGAN NON-US 139,406,639 LAZARD EMERGING MKTS 78,028,800 LSV ASSET MANAGEMENT LC 314,771,389 MFS NON-US 236,529,581 MONDRIAN NON-US 117,736,347 MSCI ACWI FUND 538,292,976 NEW STAR NON-US 108,150,031 NWQ LC 181,194,210 PANAGORA NON-US 107,215,133 RENAISSANCE INSTITUTIONAL EQUITIES FUND LC 44,913,696 RUSSELL 3000 INDEX FUND 6,712,111,059 SANDERSON NON-US 118,436,888 T ROWE PRICE EMERGING MKTS 117,171,361 TEMPLETON INSTL EMERGING MRKT 58,999,759 TIMESSQUARE MC 146,090,788 VICTORY LC 350,108,493 WELLINGTON SC 85,671,152

TOTAL EQUITY 16,994,023,521

FIXED INCOMEFIXED INCOME - SECURITIES

ALBERTSONS INC 7.25 5/1/2013 6,090,000 5,146,050 ALLIED WASTE NORTH AMER INC 6.875 6/1/2017 9,065,000 8,430,450 ALLSTATE CORP 5.55 5/9/2035 9,000,000 7,498,365 ALLSTATE CORP 6.125 5/15/2037 3,450,000 2,173,500 ALTERNATIVE LN TR 6 4/25/2037 20,000,000 18,000,000 AMERICA MOVIL S A DE C V 5.5 3/1/2014 4,350,000 4,002,000 AMERICA MOVIL S A DE C V 5.625 11/15/2017 3,000,000 2,667,087 AMERICA MOVIL S A DE C V 5.625 11/15/2017 6,500,000 5,744,375 AMERICA MOVIL S A DE C V 6.375 3/1/2035 11,000,000 9,432,500 AMERICA MOVIL S A DE C V 6.375 3/1/2035 21,500,000 18,436,250 AMERICAN HONDA FIN CORP 7.625 10/1/2018 5,000,000 5,631,687 AMGEN INC 6.15 6/1/2018 6,500,000 6,880,129 ARAMARK CORP 8.5 2/1/2015 3,900,000 3,529,500 ARGENTINA(REP) 8.28 12/31/2033 4,703,041 1,516,731 AT+T INC 5.5 2/1/2018 9,000,000 9,031,087


Security Name Interest Rate Maturity Date Shares/Par Value Market ValueAT+T INC 6.5 9/1/2037 9,000,000 9,693,632 AT+T INC 6.3 1/15/2038 19,000,000 19,949,946 AT+T WIRELESS SVCS INC 8.75 3/1/2031 7,550,000 9,336,535 ATLAS COPCO AB 5.6 5/22/2017 9,275,000 9,381,198 BAC CAP TR VI 5.625 3/8/2035 17,600,000 14,028,866 BAE SYS HLDGS INC 5.2 8/15/2015 11,500,000 10,646,216 BANC AMER ALTERNATIVE LN TR 5.5 12/25/2019 3,924,467 4,002,956 BANC AMER FDG CORP 6 2/25/2034 4,908,558 4,982,186 BANC AMER MTG SECS INC 5.75 1/25/2035 22,903,735 23,361,810 BANC AMER MTG SECS INC 5.172667 9/25/2035 3,971,922 4,051,360 BANC OF AMERICA FNDG CORP 5.757736 5/20/2036 16,175,000 16,660,250 BANCO MERCANTILE DEL NORTE SA 6.135 10/13/2016 7,750,000 4,964,573 BANCO MERCANTILE DEL NORTE SA 6.862 10/13/2021 6,000,000 3,600,000 BANCO MERCANTILE DEL NORTE SA 6.862 10/13/2021 5,000,000 3,000,000 BANCO NACIONAL DE DESENVOLVIME 6.369 6/16/2018 13,000,000 12,350,000 BANK AMER NA CHARLOTTE NC 6 10/15/2036 6,762,000 6,865,647 BANK OF AMERICA 5.3 3/15/2017 25,050,000 23,690,668 BANK OF AMERICA CORP 8 12/29/2049 6,500,000 4,675,372 BANK OF AMERICA CORP 8 12/29/2049 17,350,000 12,318,500 BAXTER INTL INC 5.375 6/1/2018 8,500,000 8,768,550 BAXTER INTL INC 6.25 12/1/2037 8,100,000 9,249,298 BEAR STEARNS ARM TR 4.899173 7/25/2034 23,146,223 23,840,610 BEAR STEARNS ARM TR 5.346249 2/25/2036 3,971,557 4,070,846 BEAR STEARNS COMMERCIAL MORT 5.471 1/12/2045 3,000,000 2,141,042 BECTON DICKINSON + CO 7 8/1/2027 8,575,000 7,976,794 BERKSHIRE HATHAWAY FIN CORP 5 8/15/2013 4,000,000 4,068,964 BERKSHIRE HATHAWAY FIN CORP 5.4 5/15/2018 8,000,000 8,223,624 BHP BILLITON FIN USA LTD 5.4 3/29/2017 3,000,000 2,676,732 BMC SOFTWARE INC 7.25 6/1/2018 5,000,000 4,223,975 BMC SOFTWARE INC 7.25 6/1/2018 4,000,000 3,379,180 BMW VEH LEASE TR 4.59 8/15/2013 19,000,000 18,375,898 BOLIVARIAN REPUBLIC VENEZUELA 9 5/7/2023 15,500,000 6,200,000 BOMBARDIER INC 6.3 5/1/2014 7,775,000 6,394,938 BOYD GAMING CORP 7.125 2/1/2016 6,700,000 3,953,000 BRASKEM FIN LTD 7.25 6/5/2018 3,000,000 2,130,000 BRASKEM FIN LTD 7.25 6/5/2018 1,400,000 994,000 BRAZIL FEDERATIVE REP 10 8/7/2011 15,000,000 17,250,000 BRAZIL FEDERATIVE REP 7.875 3/7/2015 24,200,000 27,467,000 BRAZIL FEDERATIVE REP 6 1/17/2017 8,500,000 8,776,250 BRAZIL FEDERATIVE REP 8 1/15/2018 26,500,000 29,587,250 BRAZIL FEDERATIVE REP 8 1/15/2018 2,000,000 2,233,000 BRAZIL FEDERATIVE REP 8.75 2/4/2025 34,300,000 41,846,000 BRAZIL FEDERATIVE REP 8.75 2/4/2025 2,500,000 3,050,000 BRAZIL FEDERATIVE REP 10.125 5/15/2027 15,000,000 20,700,000 BRAZIL FEDERATIVE REP 8.25 1/20/2034 10,500,000 12,836,250 BRAZIL FEDERATIVE REP 7.125 1/20/2037 15,000,000 17,025,000 BRAZIL FERERATIVE REP 11 8/17/2040 5,000,000 6,525,000 BW GROUP LTD 6.625 6/28/2017 15,000,000 13,963,578 C10 CAP SPV LTD 6.722 12/31/2049 6,000,000 2,854,980 C8 CAP SPV LTD 6.64 12/31/2049 2,000,000 1,014,000 CAMERON INTL CORP 6.375 7/15/2018 4,500,000 4,173,458 CANADIAN NATL RY CO 6.9 7/15/2028 18,375,000 20,180,441 CARGILL INC 6 11/27/2017 14,800,000 13,645,448 CARGILL INC 6.625 9/15/2037 8,500,000 7,639,217 CASE NEW HOLLAND INC 7.125 3/1/2014 4,600,000 3,266,000 CCSA FIN LTD 7.875 5/17/2016 8,000,000 7,200,000 CCSA FIN LTD 7.875 5/17/2016 8,600,000 7,740,000 CENTEX CORP 4.55 11/1/2010 2,500,000 2,050,000 CENTEX CORP 5.25 6/15/2015 2,425,000 1,503,500 CENTEX CORP 5.25 6/15/2015 7,400,000 4,440,000 CHASE MTG FIN TR 6.25 10/25/2036 20,500,000 20,500,000 CHASE MTG FIN TR 6 10/25/2036 12,000,000 12,000,000 CHESAPEAKE ENERGY CORP 6.375 6/15/2015 11,855,000 9,365,450 CHESAPEAKE ENERGY CORP 6.375 6/15/2015 6,750,000 5,332,500 CHS CMNTY HEALTH SYS INC 8.875 7/15/2015 6,450,000 5,934,000 CISCO SYS INC 5.5 2/22/2016 11,050,000 11,682,920 CITIGROUP CAP 8.3 12/21/2057 12,000,000 8,820,000 CITIGROUP INC 5.5 4/11/2013 7,100,000 6,873,150 CITIGROUP MTG LN TR 5.707511 4/25/2035 9,606,636 9,414,504 CITIGROUP MTG LN TR 6.05948 8/25/2036 20,211,135 21,019,581 CITIGROUP MTG LN TR 5.967377 3/25/2037 27,728,987 28,560,856


Security Name Interest Rate Maturity Date Shares/Par Value Market ValueCITIGROUP MTG LN TR 5.607182 4/25/2037 31,107,633 31,418,709 CME GROUP INC 5.4 8/1/2013 6,000,000 5,960,880 COLOMBIA REP 8.25 12/22/2014 12,000,000 12,930,000 COLOMBIA REP 7.375 1/27/2017 12,000,000 12,480,000 COLOMBIA REP 8.125 5/21/2024 8,000,000 8,560,000 COLUMBIA REP 7.375 9/18/2037 9,700,000 9,506,000 COMCAST CABLE COMMUNICATIONS 8.875 5/1/2017 10,000,000 10,774,409 COMCAST CORP 5.875 2/15/2018 5,000,000 4,704,950 COMCAST CORP 6.5 11/15/2035 14,700,000 14,539,293 COMCAST CORP 6.4 5/15/2038 6,200,000 6,089,488 COMPANHIA BRASILEIRA DE BEBIDA 10.5 12/15/2011 10,974,000 12,043,965 COMPANHIA DE BEBIDAS DAS 8.75 9/15/2013 2,000,000 2,100,000 COMPANHIA DE BEBIDAS DAS 8.75 9/15/2013 6,750,000 7,087,499 CONSOLIDATED NAT GAS CO 5 3/1/2014 3,650,000 3,351,633 CONSTELLATION BRANDS INC 7.25 9/1/2016 5,000,000 4,725,000 COOPER U S INC 6.1 7/1/2017 7,150,000 7,079,845 CORPORACION NACIONAL DEL COBRE 6.375 11/30/2012 1,750,000 1,780,625 COSTA RICA REP 8.11 2/1/2012 5,000,000 5,030,544 COSTA RICA REP 6.548 3/20/2014 2,000,000 1,882,937 COX COMMUNICATIONS INC NEW 6.25 6/1/2018 12,000,000 10,448,211 CRH AMER INC 6 9/30/2016 13,950,000 8,858,250 CRH AMER INC 8.125 7/15/2018 4,500,000 3,262,500 CVS CAREMARK CORP 6.25 6/1/2027 15,300,000 14,291,134 CVS CAREMARK CORP 6.302 6/1/2037 3,000,000 1,200,000 CWMBS INC 5.5 8/25/2033 19,070,425 19,451,834 D R HORTON INC 7.875 8/15/2011 2,450,000 1,911,000 D R HORTON INC 6.125 1/15/2014 3,600,000 2,340,000 D R HORTON INC 5.625 9/15/2014 2,425,000 1,673,250 DAIMLER CHRYSLER NORTL HLDG CO 7.2 9/1/2009 1,500,000 1,455,350 DANAHER CORP 5.625 1/15/2018 16,675,000 17,011,140 DBS BK LTD SINGAPORE 5 11/15/2019 20,000,000 18,060,700 DELHAIZE GROUP SA 6.5 6/15/2017 14,600,000 13,065,175 DENBURY RES INC DEL 7.5 4/1/2013 10,475,000 7,961,000 DEVELOPERS DIVERSIFIED RLTY CO 5.5 5/1/2015 12,925,000 3,867,064 DIAGEO CAP PLC 7.375 1/15/2014 6,750,000 7,171,671 DIAMOND OFFSHORE DRILLING INC 4.875 7/1/2015 10,100,000 9,367,121 DIRECTV HLDGS LLC 6.375 6/15/2015 2,575,000 2,375,438 DISNEY WALT CO NEW MTN BOOK 6 7/17/2017 8,075,000 8,572,738 DOMINION RES INC 7 6/15/2038 12,900,000 12,304,021 DOMINION RES INC 8.875 1/15/2019 3,000,000 3,231,281 DOMINION RES INC 6.3 9/30/2066 9,650,000 4,149,500 DPL INC 6.875 9/1/2011 3,800,000 3,715,200 DR HORTON INC 8 2/1/2009 4,364,000 4,334,363 DU PONT E I DE NEMOURS + CO 6 7/15/2018 16,700,000 17,312,270 E ON INTL FIN B V 5.8 4/30/2018 7,000,000 6,636,772 E ON UNTL FIN B V 6.65 4/30/2038 10,000,000 9,581,330 ECHOSTAR DBS 6.375 10/1/2011 5,750,000 5,347,500 ECHOSTAR DBS CORP 7 10/1/2013 5,000,000 4,337,500 ECHOSTAR DBS CORP 7.75 5/31/2015 5,000,000 4,250,000 EL SALVADOR REP 8.25 4/10/2032 1,800,000 1,170,000 EMBARQ CORP 7.082 6/1/2016 4,115,000 3,086,250 EMBARQ CORP 7.082 6/1/2016 15,350,000 11,512,500 ENBRIDGE ENERGY PARTNERS L P 9.875 3/1/2019 4,000,000 4,080,000 ENERGY TRANSFER PARTNERS L P 9.7 3/15/2019 4,000,000 4,140,000 ENTERPRISE PRODS OPER L P 8.375 8/1/2066 6,475,000 3,561,250 ENTERPRISE PRODS OPER L P 8.375 8/1/2066 6,000,000 3,000,000 ENTERPRISE PRODS OPER L P 7.034 1/15/2068 4,500,000 2,115,000 ENTERPRISE PRODS OPER L P 7.034 1/15/2068 3,250,000 1,527,500 ENTERPRISE PRODS OPER LLC 6.3 9/15/2017 3,800,000 3,292,250 EQUITY RESIDENTIAL 5.125 3/15/2016 6,850,000 4,876,024 ERAC USA FIN CO 6.375 10/15/2017 4,800,000 3,133,138 ERAC USA FIN CO 6.7 6/1/2034 20,000,000 9,109,958 EVRAZ GROUP S A 8.875 4/24/2013 1,750,000 892,500 FANNIE MAE 5.125 7/13/2009 6,000,000 6,146,316 FANNIE MAE 6.25 2/1/2011 50,000,000 53,210,075 FANNIE MAE 5.125 4/15/2011 50,900,000 54,995,297 FANNIE MAE 5.25 8/1/2012 144,600,000 151,508,063 FANNIE MAE 4.75 1/2/2013 85,000,000 85,000,000 FANNIE MAE 4 7/25/2032 2,882,827 2,893,440 FANNIE MAE 3 8/25/2032 21,036,772 20,591,187 FANNIE MAE 3.75 7/25/2033 3,368,852 3,272,345


Security Name Interest Rate Maturity Date Shares/Par Value Market ValueFANNIE MAE (Preferred Stock) 915,000 759,450 FANNIE MAE 5.052 8/1/2034 5,342,322 5,436,459 FANNIE MAE 4.166 7/1/2035 27,164,311 27,213,614 FANNIE MAE 5 6/1/2038 20,566,315 21,052,349 FANNIE MAE 6 12/1/2099 521,000,000 536,304,375 FEDERAL HOME LOAN 6.009 7/1/2037 3,050,583 3,121,595 FEDERAL HOME LOAN 5.59 4/1/2037 41,594,709 42,394,747 FEDERAL HOME LOAN 6.149 4/1/2037 15,065,067 15,448,706 FEDERAL HOME LOAN 5.942 6/1/2037 15,700,060 16,038,288 FEDERAL HOME LOAN 5.676 10/1/2036 15,360,461 15,632,139 FEDERAL HOME LOAN 6.23 3/1/2037 15,750,849 16,211,104 FEDERAL HOME LOAN 5.773 1/1/2037 86,199,522 87,932,249 FEDERAL HOME LOAN (Preferred Stock) 288,000 112,320 FEDERAL HOME LOAN 5 12/14/2018 27,750,000 28,763,291 FEDERAL HOME LOAN 4.5 8/15/2022 1,590,545 1,617,840 FEDERAL HOME LOAN 4 10/15/2022 6,709,096 6,671,531 FEDERAL HOME LOAN 6.5 7/15/2031 6,113,925 6,414,623 FIFTH THIRD BANCORP 8.25 3/1/2038 16,100,000 13,202,000 FIFTH THIRD BANCORP 4.75 2/1/2015 2,150,000 1,768,676 FIFTH THIRD BANCORP 4.75 2/1/2015 3,500,000 2,849,976 FISERV INC 6.125 11/20/2012 5,000,000 4,415,389 FLORIDA PWR + LT CO 5.65 2/1/2037 3,900,000 4,106,011 FORD MTR CR CO 7.375 10/28/2009 4,000,000 3,512,884 FORD MTR CR CO 5.7 1/15/2010 3,000,000 2,549,490 FPL GROUP CAP INC 6.35 10/1/2066 16,500,000 7,920,000 FPL GROUP CAP INC 7.3 9/1/2067 3,500,000 1,855,000 FREEPORT MCMORAN COPPER + GOLD 8.25 4/1/2015 2,500,000 2,125,000 FREEPORT MCMORAN COPPER + GOLD 8.375 4/1/2017 2,280,000 1,858,200 FRESENIUS MED CARE CAP TR IV 7.875 6/15/2011 2,865,000 2,721,750 GAZ CAP SA LUXEMBOURG 6.212 11/22/2016 3,200,000 2,112,000 GAZ CAP SA LUXEMBOURG 7.288 8/16/2037 3,000,000 1,770,000 GAZ CAP SA LUXEMBOURG 7.288 8/16/2037 8,500,000 5,015,000 GAZPROM INTL S A 7.201 2/1/2020 6,440,066 4,701,248 GAZPROM INTL S A 7.201 2/1/2020 13,685,140 9,990,152 GENERAL ELEC CAP CORP 5.625 9/15/2017 1,200,000 1,197,800 GENERAL ELEC CAP CORP 5.25 12/6/2017 12,000,000 11,872,820 GENERAL ELEC CAP CORP 6.75 3/15/2032 18,500,000 19,654,584 GENERAL ELEC CAP CORP 5.875 1/14/2038 17,300,000 16,689,705 GENERAL ELEC CAP CORP 6.375 11/15/2067 5,000,000 3,125,000 GENETECH INC 4.75 7/15/2015 17,300,000 17,155,415 GOLDMAN SACHS CAP I 6.345 2/15/2034 8,000,000 5,480,000 GOLDMAN SACHS CAPITAL II 5.793 12/29/2049 7,250,000 2,573,750 GOLDMAN SACHS GROUP 5.3 2/14/2012 5,000,000 4,755,395 GOLDMAN SACHS GROUP 5.95 1/18/2018 5,000,000 4,652,065 GOLDMAN SACHS GROUP INC 6.15 4/1/2018 4,000,000 3,796,695 GRUPO TELEVISA SA 6 5/15/2018 8,000,000 6,640,000 GRUPO TELEVISA SA 6.625 3/18/2025 17,000,000 14,637,901 GRUPO TELEVISA SA 6.625 3/18/2025 7,025,000 6,006,375 GS MTG SECS CORP 4.4918 10/25/2033 21,185,459 21,185,459 GS MTG SECS CORP 5 9/25/2034 25,552,030 25,679,790 GSC HLDGS CORP / GAMESTOP INC 8 10/1/2012 9,170,000 8,528,100 GTL TRADE FIN INC 7.25 10/20/2017 2,500,000 2,097,150 HARRAHS OPER INC 5.5 7/1/2010 2,000,000 1,240,000 HARRAHS OPER INC 5.5 7/1/2010 4,250,000 2,698,750 HCA INC FORMERLY HCA HEALTHCAR 9.125 11/15/2014 7,140,000 6,622,350 HERTZ CORP 8.875 1/1/2014 13,375,000 8,225,625 HEWLETT PACKARD CO 6.125 3/1/2014 10,000,000 10,688,982 HEWLETT PACKARD CO 5.5 3/1/2018 9,000,000 9,293,211 HOSPIRA INC 6.05 3/30/2017 15,273,000 13,926,460 HOST HOTELS + RESORTS L P 6.875 11/1/2014 3,340,000 2,571,800 HOST MARRIOTT L P 6.375 3/15/2015 3,250,000 2,421,250 HSBC BK USA 5.875 11/1/2034 7,335,000 7,041,466 HSBC FIN CAP TR IX 5.911 11/30/2035 15,400,000 7,700,000 HSBC HLDGS PLC 6.8 6/1/2038 10,000,000 10,544,830 HUSKY ENERGY INC 6.8 9/15/2037 21,600,000 17,313,704 HUTCHISON WHAMPOA INTL LTD 7.45 11/24/2033 6,930,000 6,189,322 HUTCHISON WHAMPOA INTL LTD 7.45 11/24/2033 16,740,000 15,396,447 INDONESIA REP 6.75 3/10/2014 2,500,000 2,225,000 INDONESIA REP 6.875 1/17/2018 18,600,000 15,438,000 INTERNATIONAL BUSINESS MACHS 6.22 8/1/2027 23,400,000 25,526,370 INTERNATIONAL BUSINESS MACHS 8 10/15/2038 15,000,000 19,668,569


Security Name Interest Rate Maturity Date Shares/Par Value Market ValueINTERNATIONAL BUSINESS MACHS 7.625 10/15/2018 1,500,000 1,769,735 INTERNATIONAL FIN FAC 5 11/14/2011 20,250,000 21,412,937 ITC HLDGS CORP 5.875 9/30/2016 12,525,000 11,870,243 ITC HLDGS CORP 6.05 1/31/2018 5,000,000 4,764,727 JP MORGAN CHASE CAP XXV 6.8 10/1/2037 2,350,000 2,002,565 JP MPORGAN MTG TR 4.946402 11/25/2035 8,876,983 9,054,523 JPM CHASE CAPITAL XXII 6.45 2/2/2037 6,250,000 4,922,240 JPMORGAN CHASE + CO 5.15 10/1/2015 9,150,000 8,722,342 JPMORGAN CHASE + CO 7.9 4/29/2049 12,700,000 12,577,747 JPMORGAN CHASE CAP XX 6.55 9/29/2036 17,150,000 13,623,701 KERR MCGEE CORP 6.95 7/1/2024 4,300,000 3,606,443 KROGER CO 7.5 1/15/2014 3,800,000 4,051,261 L 3 COMMUNICATIONS CORP 6.125 1/15/2014 5,000,000 4,537,500 L 3 COMMUNICATIONS CORP 6.125 1/15/2014 3,940,000 3,575,550 L 3 COMMUNICATIONS CORP 5.875 1/15/2015 9,275,000 8,347,500 L 3 COMMUNICATIONS CORP 5.875 1/15/2015 11,000,000 9,900,000 LEHMAN BROS HLDGS INC 5.625 1/24/2013 7,600,000 988,000 LEHMAN MTG TR 6 7/25/2037 7,831,000 7,439,450 LOBLAWS COS LTD CPN RCPTS CDS 0 5/23/2031 40,000,000 4,076,468 LORAL CORP 7 9/15/2023 21,100,000 19,908,288 LUBRIZOL CORP 5.5 10/1/2014 1,000,000 905,142 MASTR ADJ RATE MTGS TR 4.489314 7/25/2035 18,372,693 16,994,741 MASTR ALTERNATIVE LN TR 6 3/25/2036 12,358,000 11,987,260 MCKESSON CORP 5.7 3/1/2017 4,700,000 4,393,377 MCKESSON CORP NEW 5.25 3/1/2013 5,550,000 5,144,661 MERRILL LYNCH + CO INC 6.15 4/25/2013 6,000,000 5,963,100 MERRILL LYNCH + CO INC 6.875 4/25/2018 15,000,000 15,598,455 MERRILL LYNCH MTG INVS TR 5.789129 5/25/2036 16,937,220 17,614,708 METLIFE INC 6.817 8/15/2018 4,000,000 3,800,000 METLIFE INC 6.4 12/15/2036 7,500,000 4,350,000 MGM MIRAGE 6 10/1/2009 2,750,000 2,626,250 MGM MIRAGE 6 10/1/2009 11,200,000 10,883,660 MGM MIRAGE 6.75 9/1/2012 6,575,000 4,602,500 MIDAMERICAN ENERGY HLDGS CO N 6.125 4/1/2036 12,875,000 11,972,283 MILLER BREWING CO 5.5 8/15/2013 5,700,000 5,304,135 MOOG INC 7.25 6/15/2018 5,300,000 4,240,000 MORGAN STANLEY GROUP INC 5.3 3/1/2013 4,000,000 3,640,000 MORGAN STANLEY GROUP INC 6.25 8/28/2017 5,000,000 4,350,000 MORGAN STANLEY GROUP INC 6.625 4/1/2018 13,000,000 11,635,000 NATIONAL GAS CO TRINIDAD + TOB 6.05 1/15/2036 5,000,000 3,579,210 NATIONAL GAS CO TRINIDAD + TOB 6.05 1/15/2036 6,000,000 4,361,350 NEIMAN MARCUS GROUP INC 10.375 10/15/2015 9,165,000 3,940,950 NEIMAN MARCUS GROUP INC 10.375 10/15/2015 1,700,000 731,000 NEVADA PWR CO 6.5 5/15/2018 13,700,000 13,007,818 NEVADA PWR CO 6.5 8/1/2018 5,000,000 4,743,557 NEVADA PWR CO 6.75 7/1/2037 4,500,000 4,015,618 NEW YORK LIFE INS CO 5.875 5/15/2033 10,075,000 8,824,833 NEWS AMER HLDGS INC 7.7 10/30/2025 13,530,000 13,866,987 NEWS AMER INC 6.4 12/15/2035 17,500,000 16,462,219 NEXTEL COMMUNICATIONS INC 5.95 3/15/2014 4,200,000 1,764,000 NORFOLK SOUTHN CORP 5.75 4/1/2018 4,000,000 3,943,139 NORFOLK SOUTHN CORP 5.59 5/17/2025 15,511,000 13,903,355 NORTHERN TRUST CO BANK MTN 6.5 8/15/2018 7,000,000 7,516,746 ODEBRECHT FIN LTD 7.5 10/18/2017 1,000,000 800,000 ODEBRECHT FIN LTD 7.5 10/18/2017 7,200,000 5,760,000 OHIO PWR CO 5.75 9/1/2013 2,000,000 1,927,677 OHIO PWR CO 6.6 2/15/2033 23,645,000 22,064,141 OPTI CDA INC 7.875 12/15/2014 6,450,000 3,289,500 OWENS BROCKWAY GLASS CONTAINER 6.75 12/1/2014 7,635,000 7,024,200 PACIFICORP 6.25 10/15/2037 8,500,000 8,864,604 PANAMA REP 7.25 3/15/2015 10,000,000 10,200,000 PANAMA REP 7.25 3/15/2015 3,000,000 3,052,500 PANAMA REP 7.125 1/29/2026 16,000,000 15,080,000 PANAMA REP 6.7 1/26/2036 8,000,000 7,200,000 PARKER HANNIFIN CORP MEDIUM 5.5 5/15/2018 8,500,000 8,051,925 PEMEX PROJ FDG MASTER TR 7.875 2/1/2009 2,000,000 2,001,906 PEMEX PROJ FDG MASTER TR 5.75 3/1/2018 2,000,000 1,765,000 PEMEX PROJ FDG MASTER TR 5.75 3/1/2018 5,000,000 4,403,850 PEMEX PROJ FDG MASTER TR 6.625 6/15/2035 4,000,000 3,386,000 PEMEX PROJ FDG MASTER TR 6.625 6/15/2038 5,000,000 4,076,876 PENNEY J C INC 7.125 11/15/2023 4,150,000 2,946,500


Security Name Interest Rate Maturity Date Shares/Par Value Market ValuePERU REP 8.375 5/3/2016 10,171,000 10,959,253 PERU REP 7.35 7/21/2025 16,000,000 15,920,000 PETROBRAS INTL FIN CO 7.75 9/15/2014 10,000,000 10,700,000 PETROBRAS INTL FIN CO 7.75 9/15/2014 3,450,000 3,669,938 PETROBRAS INTL FIN CO 5.875 3/1/2018 12,800,000 11,488,000 PETROPLUS FIN LTD 6.75 5/1/2014 8,125,000 5,159,375 PHILIPPINE LONG DIST TEL CO ME 8.35 3/6/2017 7,800,000 7,332,000 PHILIPPINE LONG DIST TEL CO ME 8.35 3/6/2017 8,770,000 8,243,800 PHILIPPINES REP 8.375 2/15/2011 15,750,000 16,380,000 PHILIPPINES REP 8.25 1/15/2014 26,700,000 27,768,000 PHILIPPINES REP 8.875 3/17/2015 3,000,000 3,180,000 PHILIPPINES REP 8 1/15/2016 9,300,000 9,579,000 PHILIPPINES REP 9.375 1/18/2017 6,100,000 6,588,000 PHILIPPINES REP 7.5 9/25/2024 3,850,000 3,696,000 PHILIPPINES REP 7.75 1/14/2031 2,000,000 2,020,000 PLAINS EXPL + PRODTN CO 7.75 6/15/2015 7,400,000 5,587,000 PLAINS EXPL + PRODTN CO 7.625 6/1/2018 2,000,000 1,370,000 PPG INDS INC 6.65 3/15/2018 11,000,000 10,923,601 PREMCOR REFNG GROUP INC 6.75 5/1/2014 6,250,000 6,063,145 PRINCIPAL FINL GROUP INC 6.05 10/15/2036 12,000,000 8,238,585 PROLOGIS 5.625 11/15/2016 12,000,000 4,440,000 PRUDENTIAL FINL INC 6.625 12/1/2037 7,400,000 5,133,557 PRUDENTIAL FINL INC 6 12/1/2017 6,700,000 5,234,998 PSYCHIATRIC SOLUTIONS INC 7.75 7/15/2015 4,975,000 3,656,625 R H DONNELLEY CORP 11.75 5/15/2015 4,740,000 1,161,300 R H DONNELLEY CORP 8.875 10/15/2017 74,000 11,100 RAS LAFFAN LIQUEFIED NAT GAS 5.832 9/30/2016 7,000,000 5,671,574 RAS LAFFAN LIQUEFIED NAT GAS 6.332 9/30/2027 3,000,000 2,015,670 REPUBLIC OF PERU 6.55 3/14/2037 1,000,000 892,500 REPUBLIC OF THE PHILIPPINES 6.375 1/15/2032 5,800,000 5,510,000 REPUBLIC OF TURKEY 7 3/11/2019 8,200,000 7,913,000 RESIDENTIAL ASSET MTG PRODS 6 7/25/2032 2,445,859 2,482,547 RESIDENTIAL ASSET SECURIZATION 6 6/25/2036 64,607,623 45,225,336 RESIDENTIAL ASSET SECURIZATION 6.25 12/25/2036 66,647,364 36,656,050 RESOLUTION FDG CORP PRINC STRP 0 10/15/2019 392,500,000 264,235,318 RFMSI SER 2006 S7 TR 6.25 8/25/2036 22,404,023 22,628,063 RIO TINTO FIN USA LTD 5.875 7/15/2013 5,000,000 3,775,000 RIO TINTO FIN USA LTD 6.5 7/15/2018 8,000,000 5,865,368 RIO TINTO FIN USA LTD 6.5 7/15/2018 2,000,000 1,430,000 RIO TINTO FIN USA LTD 7.125 7/15/2028 10,000,000 7,050,000 ROGERS CABLE INC 5.5 3/15/2014 11,470,000 10,581,706 ROGERS COMMUNICATIONS INC 6.8 8/15/2018 5,000,000 4,930,025 ROYAL CARIBBEAN CRUISES LTD 7.5 10/15/2027 9,456,000 4,255,200 ROYAL CARIBBEAN CRUISES LTD 7.5 10/15/2027 3,000,000 1,440,521 RUSSIAN FEDN 8.25 3/31/2010 2,000,184 2,070,191 RUSSIAN FEDN 7.5 3/31/2030 47,873,000 41,769,193 SABMILLER PLC 6.5 7/1/2016 10,000,000 9,298,689 SABMILLER PLC 6.5 7/15/2018 4,500,000 4,083,014 SCHERING PLOUGH CORP 6.55 9/15/2037 11,000,000 11,233,884 SIEMENS FINANCIERINGSMAATSCHAP 6.125 8/17/2026 11,975,000 11,832,335 SIMON PPTY GROUP L P 5.625 8/15/2014 8,850,000 5,977,520 SLM CORP 4.5 7/26/2010 3,500,000 3,037,535 SOCIEDAD QUIMICA Y MINERA DE 6.125 4/15/2016 11,400,000 11,051,399 SOUTH AFRICA REP 7.375 4/25/2012 4,300,000 4,246,250 SOUTHERN PWR CO 4.875 7/15/2015 11,155,000 10,201,145 SOUTHERN PWR CO 6.375 11/15/2036 3,600,000 2,937,974 SPRINT CAP CORP 6.875 11/15/2028 6,175,000 3,674,125 STRUCTURED ASSET SECS CORP 4.6579 7/25/2034 6,623,000 6,821,690 SUNCOR ENERGY INC 5.95 12/1/2034 14,350,000 10,327,102 SUNCOR ENERGY INC 6.85 6/1/2039 7,000,000 5,630,776 SUNGARD DATA SYSTEMS 9.125 8/15/2013 2,100,000 1,816,500 SUNGARD DATA SYSTEMS 10.25 8/15/2015 8,400,000 5,544,000 SUNGARD DATA SYSTEMS 10.25 8/15/2015 5,900,000 3,894,000 TBW MORTGAGE BACKED TR 6 7/25/2036 16,468,814 16,715,847 TECO FINANCE INC 7 5/1/2012 5,469,000 5,033,137 TECO FINANCE INC 6.75 5/1/2015 7,500,000 6,965,979 TECO FINANCE INC 6.572 11/1/2017 4,096,000 3,096,073 TECO FINANCE INC 6.572 11/1/2017 2,457,000 1,857,191 TELEFONICA EMISIONES S A U 6.221 7/3/2017 7,600,000 7,462,803 TELEFONICA EMISIONES S A U 7.045 6/20/2036 4,650,000 5,108,429 TEMASEK FINL LTD 4.5 9/21/2015 9,550,000 9,534,624


Security Name Interest Rate Maturity Date Shares/Par Value Market ValueTENGIZCHEVROIL FIN CO S AR L 6.124 11/15/2014 8,487,000 6,450,120 TENGIZCHEVROIL FIN CO S AR L 6.124 11/15/2014 5,636,568 4,110,102 TESCO PLC 6.15 11/15/2037 7,425,000 6,615,816 TEVA PHARMACEUTICAL FIN CO LLC 6.15 2/1/2036 20,600,000 20,367,041 THORNBURG MTG SECS TR 6.11969 4/25/2045 11,480,739 11,538,143 TICKETMASTER 10.75 8/1/2016 2,700,000 1,458,000 TIME WARNER CABLE INC 6.75 7/1/2018 20,500,000 19,534,497 TIME WARNER CABLE INC 8.75 2/14/2019 2,800,000 3,024,550 TIME WARNER ENTMT CO L P 8.375 3/15/2023 20,375,000 20,268,099 TIME WARNER ENTMT CO L P 8.375 7/15/2033 6,200,000 6,160,358 TRANSCANADA PIPELINES LTD 6.5 8/15/2018 5,000,000 4,877,424 TRANSCAPITALINVEST LTD 5.67 3/5/2014 17,150,000 11,107,026 TRANSOCEAN INC 6 3/15/2018 21,300,000 19,134,000 TRANSOCEAN SEDCO FOREX INC 7.5 4/15/2031 17,600,000 16,538,397 TRINIDAD + TOBAGO REP 5.875 5/17/2027 9,500,000 7,695,000 TURKEY REP 11.75 6/15/2010 5,000,000 5,350,000 TURKEY REP 7.25 3/15/2015 19,500,000 19,402,500 TURKEY REP 7 9/26/2016 5,250,000 5,118,750 TURKEY REP 6.75 4/3/2018 6,500,000 6,175,000 TURKEY REP 7 6/5/2020 8,500,000 8,223,750 TURKEY REP 7.375 2/5/2025 13,550,000 12,737,000 TURKEY REP 6.875 3/17/2036 11,500,000 9,545,000 UNION PAC CORP 7.875 1/15/2019 6,000,000 6,577,952 UNITED MEXICAN STS 5.625 1/15/2017 7,000,000 7,017,500 UNITED MEXICAN STS 5.95 3/19/2019 5,000,000 5,000,000 UNITED MEXICAN STS 5.95 3/19/2019 3,000,000 3,015,000 UNITED MEXICAN STS 6.75 9/27/2034 4,250,000 4,483,750 UNITED MEXICAN STS 6.05 1/11/2040 18,250,000 17,748,125 UNITED MEXICAN STS 6.05 1/11/2040 10,550,000 10,259,875 UNITED STATES TREAS BD STRP PRN 0 11/15/2018 303,427,000 227,081,723 UNITED STATES TREAS BD STRP PRN 0 2/15/2019 225,486,000 166,683,754 UNITED STATES TREAS BD STRP PRN 0 8/15/2019 77,000,000 55,332,970 UNITED STATES TREAS BD STRP PRN 0 11/15/2027 276,000,000 151,747,557 UNITED STATES TREAS INFLATION INDEXED BDS 2.375 1/15/2025 143,589,245 137,666,189 UNITED STATES TREAS INFLATION INDEXED BDS 2 1/15/2026 93,324,723 85,669,296 UNITED STATES TREAS INFLATION INDEXED BDS 2.375 1/15/2027 75,637,906 74,585,783 UNITED STATES TREAS INFLATION INDEXED BDS 1.75 1/15/2028 72,811,355 65,882,627 UNITED STATES TREAS INFLATION INDEXED BDS 3.625 4/15/2028 95,973,648 112,229,665 UNITED STATES TREAS INFLATION INDEXED BDS 3.875 4/15/2029 110,326,929 134,013,018 UNITED STATES TREAS INFLATION INDEXED BDS 3.375 4/15/2032 29,137,713 35,875,809 UNITED STATES TREAS INFLATION INDEXED NTS 4.25 1/15/2010 65,193,444 63,471,686 UNITED STATES TREAS INFLATION INDEXED NTS 0.875 4/15/2010 153,788,437 143,360,043 UNITED STATES TREAS INFLATION INDEXED NTS 3.5 1/15/2011 62,238,000 60,799,057 UNITED STATES TREAS INFLATION INDEXED NTS 3.5 1/15/2011 65,473,131 63,959,392 UNITED STATES TREAS INFLATION INDEXED NTS 2.375 4/15/2011 94,951,120 92,414,026 UNITED STATES TREAS INFLATION INDEXED NTS 3.375 1/15/2012 36,287,917 35,754,847 UNITED STATES TREAS INFLATION INDEXED NTS 2 4/15/2012 75,169,693 72,726,678 UNITED STATES TREAS INFLATION INDEXED NTS 3 7/15/2012 125,023,704 121,585,552 UNITED STATES TREAS INFLATION INDEXED NTS 0.625 4/15/2013 72,163,013 68,419,196 UNITED STATES TREAS INFLATION INDEXED NTS 1.875 7/15/2013 116,966,161 109,437,049 UNITED STATES TREAS INFLATION INDEXED NTS 2 1/15/2014 119,924,772 112,842,015 UNITED STATES TREAS INFLATION INDEXED NTS 2 7/15/2014 109,838,020 103,076,392 UNITED STATES TREAS INFLATION INDEXED NTS 1.625 1/15/2015 108,427,093 99,752,926 UNITED STATES TREAS INFLATION INDEXED NTS 1.875 7/15/2015 94,067,093 87,864,309 UNITED STATES TREAS INFLATION INDEXED NTS 2 1/15/2016 92,093,478 87,430,785 UNITED STATES TREAS INFLATION INDEXED NTS 2.5 7/15/2016 91,387,572 89,702,386 UNITED STATES TREAS INFLATION INDEXED NTS 2.375 1/15/2017 6,445,680 6,333,912 UNITED STATES TREAS INFLATION INDEXED NTS 2.375 1/15/2017 83,185,798 81,743,356 UNITED STATES TREAS INFLATION INDEXED NTS 2.625 7/15/2017 101,558,212 102,970,887 UNITED STATES TREAS INFLATION INDEXED NTS 2.625 7/15/2017 73,592,256 74,615,924 UNITED STATES TREAS INFLATION INDEXED NTS 1.625 1/15/2018 72,842,379 68,494,417 UNITED STATES TREAS INFLATION INDEXED NTS 1.375 7/15/2018 70,748,157 65,773,854 UNITED STATES TREAS SC STRP INT 0 2/15/2019 100,000,000 73,704,002 UNITED STATES TREAS SC STRP INT 0 5/15/2019 160,000,000 116,462,402 UNITED STATES TREAS SC STRP INT 0 11/15/2019 115,000,000 81,011,750 UNITED TECHNOLOGIES CORP 6.125 2/1/2019 7,000,000 7,445,323 URBI DESARROLLOS URBANOS S A 8.5 4/19/2016 5,250,000 3,885,000 URBI DESARROLLOS URBANOS S A 8.5 4/19/2016 8,500,000 6,290,000 USAA AUTO OWNER TR 2008 2 4.64 10/15/2012 4,000,000 3,870,236 USIMINAS COML LTD 7.25 1/18/2018 4,750,000 4,192,841 USIMINAS COML LTD 7.25 1/18/2018 11,000,000 9,709,737


Security Name Interest Rate Maturity Date Shares/Par Value Market ValueVALE OVERSEAS LTD 6.25 1/11/2016 6,000,000 5,691,000 VALE OVERSEAS LTD 6.875 11/21/2036 6,500,000 5,996,250 VALERO ENERGY CORP 6.625 6/15/2037 16,900,000 12,421,350 VENEZUELA REPUBLIC 8.5 10/8/2014 5,900,000 3,068,000 VENEZUELA REPUBLIC 5.75 2/26/2016 22,200,000 9,435,000 VENEZUELA REPUBLIC 7.65 4/21/2025 25,800,000 9,726,084 VENEZUELA REPUBLIC 9.25 9/15/2027 8,600,000 4,601,000 VERIZON COMMUNICATIONS INC 6.9 4/15/2038 5,000,000 5,515,520 VERIZON COMMUNICATIONS INC 8.95 3/1/2039 8,500,000 10,914,522 VERIZON WIRELESS CAP LLC 7.375 11/15/2013 7,000,000 7,427,567 VERIZON WIRELESS CAP LLC 8.5 11/15/2018 10,000,000 11,597,739 VESSEL MGMT SVCS INC 6.08 5/20/2024 10,769,500 12,386,540 VIRGINIA ELEC + PWR CO 8.875 11/15/2038 3,000,000 3,702,971 VODAFONE AIRTOUCH PLC 7.875 2/15/2030 5,500,000 6,067,198 VODAFONE GROUP 6.15 2/27/2037 4,000,000 3,927,935 VODAFONE GROUP PLC NEW 5.625 2/27/2017 15,900,000 14,884,602 VOTO VOTORANTIM OVERSEAS 7.875 1/23/2014 9,000,000 9,090,000 VOTO VOTORANTIM OVERSEAS TRAD 7.75 6/24/2020 13,950,000 12,066,750 WACHOVIA BK NATL ASSN MEDIUM 6.6 1/15/2038 7,650,000 7,813,152 WAL MART STORES INC 5.8 2/15/2018 13,350,000 14,583,204 WAMU MTG 5.34197 1/25/2037 70,062,433 70,062,433 WAMU MTG PASS THRU CTFS 5.5 8/25/2035 25,665,046 25,408,396 WAMU MTG PASS THRU CTFS 6.15 9/25/2036 47,869,835 49,305,930 WAMU MTG PASS THRU CTFS 5.71162 2/25/2037 39,720,024 39,918,624 WAMU MTG PASS THRU CTFS 5.83833 3/25/2037 10,125,659 10,429,429 WEA FIN LLC 7.125 4/15/2018 9,000,000 6,480,010 WELLS FARGO + CO 5.625 12/11/2017 5,000,000 5,132,100 WELLS FARGO BK NATL ASSN 5.75 5/16/2016 11,200,000 11,366,698 WELLS FARGO CAP XV 9.75 12/29/2049 3,400,000 3,332,000 WELLS FARGO MTG BACKED SECS 5.134463 5/25/2035 33,803,646 34,817,755 WELLS FARGO MTG BACKED SECS 5.5 4/25/2037 68,807,318 69,495,391 WELLS FARGO MTG BACKED SECS 6.05834 4/25/2037 12,551,102 12,802,124 WELLS FARGO MTG BKD SECS 2005 5.386966 8/25/2035 5,546,976 5,713,386 WELLS FARGO MTG BKD SECS 2006 5.75 3/25/2036 7,934,609 8,013,955 WESTAR ENERGY INC 5.15 1/1/2017 7,900,000 6,996,906 WESTAR ENERGY INC 5.1 7/15/2020 3,000,000 2,460,369 WINDSTREAM CORP 8.625 8/1/2016 6,885,000 6,093,225 WINDSTREAM CORP 8.625 8/1/2016 5,500,000 4,867,500 WYETH 5.5 2/1/2014 4,622,000 4,693,208 WYETH 6.45 2/1/2024 17,200,000 18,884,334 WYETH 5.95 4/1/2037 3,400,000 3,676,102


EATON VANCE HIGH YIELD FD 100,395,079 GOLDMAN SACHS HIGH YIELD 208,316,852 NCRAM HIGH YIELD TOTAL RETURN 229,511,835 STONE HARBOR HIGH YIELD FD 104,084,238 WGBI EX US INDEX FUND 848,602,194

TOTAL FIXED INCOME 9,986,748,105

ALTERNATIVE ASSETSPRIVATE EQUITY

ACCEL VIII LP 4,013,902 AIG ASIAN INFRASTRUCTURE FNDII 1,443,849 AIG ASIAN INFRASTRUCTURE FUND 32,700 AIG GE CAPITAL LATIN AMERICA 15,253,794 AIG INDIAN SECTORAL EQUITY 239,494 AISLING CAPITAL 11 4,827,289 ALTA SUB DEB III 2,812 APOLLO INVESTMENT FUND VI LP 18,461,910 APOLLO INVESTMENT FUND VII LP 4,372,190 ARCH VENTURE FUND VI, LP 12,683,614 ARCH VENTURE FUND VII LP 2,812,333 ARES CORP OPPORTUNITY FUND II 29,276,198 ARES CORP OPPS FUND III 8,560,636 ARSENAL CAP PTNERS 5,718,978


Security Name Interest Rate Maturity Date Shares/Par Value Market ValueARSENAL CAPITAL PARTNERS II LP 13,703,737 BAIN CAPITAL EUROPE FUND III 691,745 BAIN CAPITAL FUND IX LP 29,665,205 BAIN CAPITAL FUND VIII 13,183,298 BAIN CAPITAL FUND X 15,831,618 BAIN CAPITAL IX COINVESTMENT F 9,832,423 BAIN CAPITAL VIII COINVETMENT 4,371,363 BAIN CAPITAL X COINVESTMENT 1,384,402 BLACKSTONE CAP PARTN IV LP 26,432,462 BLACKSTONE CAPITAL PARTNERS V 40,985,128 BLUERUN VENTURES IV LP 3,435,510 BLUERUN VENTURES LP 21,487,691 CADUCEUS PRIVATE INV III LP 7,752,549 CALERA CAPITAL 10,493,397 CANAAN EQUITY PARTNERS VII 8,113,274 CANAAN VIII LP 4,297,256 CENTURY PARK CAPITAL PTNS II 10,163,339 CERBERUS SERIES FOUR HOLDINGS 18,537,796 CHARLESBANK EQUITY FUND VI 4,069,396 CLAREMONT CREEK VENTURES II 521,772 CLAREMONT CREEK VENTURES LP 3,659,834 CLEARSTONE VENTURE PARTNERS 10,535,294 DARWIN VENTURE CAPITAL FUNDS 3,747,288 DARWIN VENTURE CPTAL FND II LP 2,310,129 DCM IV 7,293,123 DCM V 9,311,069 DE NOVO VENTURES II LP 13,991,962 DE NOVO VENTURES III 9,187,481 DOMAIN PARTNERS VI LP 6,347,182 DOMAIN PARTNERS VII 9,707,378 ENERGY SPE SITUATIONS FUND II 1,000,947 EOS CAPITAL PARTNERS III 12,007,997 EOS CAPITAL PARTNERSHIP IV 3,703,294 EQUITY DISTRIBUTION SECURITIES 2,000,479 FIRST RESERVE FUND XI LP 33,582,003 FORTRESS INVESTMENT FUND III 4,521,773 FORTRESS INVESTMENT FUND IV 16,065,292 FORTRESS INVESTMENT FUND V 11,685,627 FOUNTAIN VEST CHINA GROWTH PTN 812,268 GENSTAR CAPITAL PARTNERS IV 16,891,889 GENSTAR CAPITAL PARTNERS V 42,425,324 GLENCOE CAP INSTL PARTNERS III 709,776 GLENCOE CAPITAL PARTNERS III 6,660,258 GLOBESPAN CAPITAL PARTNERS IV 9,093,590 GLOBESPAN CAPITAL PARTNERS V 17,344,756 GOLDER THOMA CRESSEY RAUNER 25,179 GOLDER THOMA CRESSEY RAUNER V 1,880,265 GRAHAM PARTNERS II 15,220,952 GRANITE CLOBAL VENTURES III 10,445,630 GRANITE GLOBAL VENTURES II LP 14,510,578 GRANITE VENTURES II 3,668,500 H.I.G BAYSIDE II 2,380,538 HUMMER WINBLAD VENTURE PTR III 196,153 INSIGHT VENTURE PARTNERS V 4,428,378 INSIGHT VENTURE PARTNERS V 10,715,757 INSIGHT VENTURE PARTNERS VI LP 11,096,858 INSTITUTIONAL VENTURE PARTNS 4,179,473 INSTITUTIONAL VENTURE PTR VIII 333,471 INTERSOUTH PARTNERS V LP 10,364,580 INTERSOUTH PARTNERS VI 7,415,481 INTERSOUTH PARTNERS VII 6,229,146 INTERWEST PARTNERS IX 12,989,760 INTERWEST PARTNERS V LP 93,635 INTERWEST PARTNERS VI LP 934,637 INTERWEST PARTNERS VII LP 5,010,287 INTERWEST PARTNERS VIII 28,122,390 INVERNESS PARTNERS II LP 13,573,528 IVP VI 541,669 IVP VII 3,387,902 J C FLOWERS II LP 20,210,725 JLL PARTNERS FUND V, LP 17,140,660


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


Security Name Interest Rate Maturity Date Shares/Par Value Market ValueWICKS COMM + MEDIA PRTNS III 10,601,464 WIND POINT PARTNERS VI 10,162,467 WLR RECOVERY FUND IV 30,730,130

REAL ESTATE

AMB INSTITUTIONAL ALLIANCE III 75,751,959 BEACON CAP STRTGIC PARTN V 22,866,319 BEACON CAPITAL STRATEGIC PARTN IV 20,106,183 BLACKSTONE REAL EST PARTNER VI 39,032,355 BLACKSTONE REAL ESTATE PRTN V 50,317,931 BUCHANAN FUND V, LLC 21,399,974 CALIFORNIA SMART GROWTH FD IV 18,584,925 CAPRI URBAN INVESTORS LLC 17,083,723 CIM FUND III LP 1,518,643 CIM URBAN REIT LLC 49,917,909 COLONY CAPITAL VIII LP 15,085,301 CORNERSTONE 102,363,748 CORNERSTONE APMNT VENT III LLC 13,515,157 CPI GLOBAL REAL ESTATE SECURITIES 54,654,539 FAIRFIELD STRAT APT FUND III 2,714,773 FORUM ASIAN REALTY INCOME II 21,838,550 GENESIS WORKFORCE HOUS FUND II 982,727 HEITMAN AMERICA REAL ESTATE TRUST 54,635,579 ING CLARION PTNRS 7,642,032 JPMORGAN INV MGMT 33,529,362 KSL CAPITAL PARTNERS II 6,364,469 LBA REALTY FUND III 22,036,836 LEGACY PARTNERS REALTY FND III 11,059,120 LEGACY PARTNERS REALTY FUND II 47,231,071 LIONSTONE URBAN INV TWO 4,729,440 MACFARLANE URBAN REAL ESTATE II 29,754,780 METRO WORKFORCE HOUSING FUND 1,772,532 MORGAN STANLEY RE FUND V US 27,734,526 PRISA II PRUDENTIAL REAL EST. 118,948,441 PRUDENTIAL SNR HSING PTNRS III 40,731,242 REALTY ASSOCIATES FUND VII 29,304,801 REALTY ASSOCIATES FUND VIII 58,647,886 REDWOOD GROVE INTERNATIONAL LP 13,773,707 REEF GLOBAL OPPORTUNITIES FD II 50,232,455 ROCKPOINT REAL ESTATE FUND III 414,250 RREEF AMERICA REIT III 33,265,923 SQUARE MILE PARTNERS II LP 21,974,399 URBANAMERICA, LP. II 26,313,016 URDANG VALUE ADDED FUND II 7,579,473 WALTON STREET REAL ESTATE V 74,305,670 WESTBROOK REAL ESTATE FUND VII 5,453,793

ABSOLUTE RETURN

ALPHAGEN RHOCAS FUND 18,923,332 ANCHORAGE CAPITAL PARTNERS 45,369,990 ANCHORAGE SHORT CRDT OFFSHORE 52,055,929 AVENUE SPECIAL SITUATIONS III 211,737 CALICO PARTNERS 5,225,669 CARL MARKS STRATEGIC OPP 7,327,522 CHILTON GLOBAL NATURAL RESOURC 49,692,121 CVI SPECIALIZED VENTURES 11,990,845 DAVIDSON KEMPNER DIS OPP INTL 19,287,031 DAVIDSON KEMPNER INST PRTNR 41,893,852 FONTANA CAPITAL OFFSHORE 15,736,287 GEM REALITY SECURITIES 51,618,955 GIOVONE INVESTMENT PARTNERS 52,865,375 H.I.G BRIGHTPOINT CAP PARTNERS 21,640,247 HIGHLINE CAPITAL INTL 57,784,417 HIGHLINE SELECT 14,677,555 HORIZON PORTFOLIO I LIMITED 10,522,228 IVY RISING STARS OFFSHORE 16,650,827 KINGSTREET CAPITAL 34,076,953 MAVERICK FUND 44,269,432 O CONNOR GLOBAL FUNDAMENTAL 69,024,659


Security Name Interest Rate Maturity Date Shares/Par Value Market ValueOZ ASIA MASTER FUND 30,465,119 OZ OVERSEAS FUND 5,392,501 REAL ASSETS STRATEGIES USA 34,000,000 SATELLITE CREDIT OPPORTUNITIES 14,649,332 SATELLITE OVERSEAS LTD PRTNSHP 36,832,383 SILVER POINT CAP OFFSHORE 29,551,332 STERLING STAMOS CONCENTRATED 48,996,625 TIGER ASIA OVERSEAS FUND 54,948,661 TIGER CONSUMER PARTNERS 23,235,178 TRADING SELECT (USA) 118,565,937 TREE LINE ASIA FD 23,794,337 VIKING GLOBAL EQUITIES III 92,362,894 YORK TOTAL RETURN 81,052,975

TOTAL ALTERNATIVE ASSETS 4,366,334,502

TOTAL SECURITIES 31,347,106,128

CASH & CASH EQUIVALENTS 298,947,313

ACCOUNTS RECEIVABLE & ACCRUED INCOME 100,693,201

ACCOUNTS PAYABLE -

TOTAL NET ASSETS 31,746,746,642




December 31, 2003

DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE ALCAN INC NC 6,000,000 5.200 1/15/2014 6,064,860 ALCAN INC NC 11,500,000 6.125 12/15/2033 11,563,940 ALCOA INC NC 5,000,000 5.375 1/15/2013 5,186,400 ALLSTATE CORP NC 24,000,000 7.200 12/1/2009 27,669,840 AMERICAN ELECTRIC POWER NC 7,000,000 5.250 6/1/2015 6,789,650 AMERICAN GENERAL CAP II NC 15,000,000 8.500 7/1/2030 19,522,200 AMERICAN INTERNATIONAL GROUP NC 42,000,000 4.250 5/15/2013 39,727,379 ANADARKO FINANCE NC 23,500,000 7.500 5/1/2031 27,481,605 AOL TIME WARNER INC NC 15,000,000 6.875 5/1/2012 16,861,501 AOL TIME WARNER INC NC 26,000,000 7.625 4/15/2031 29,842,800 AOL TIME WARNER INC NC 10,000,000 7.700 5/1/2032 11,639,100 ARCEL FINANCE LIMITED NC 7,000,000 7.048 9/1/2011 7,210,000 AT&T WIRELESS NC 11,500,000 8.125 5/1/2012 13,417,395 ATHABASCA OIL SANDS NC 20,000,000 8.200 4/1/2027 23,490,340 BECTON DICKINSON NC 7,000,000 4.900 4/15/2018 6,748,910 BECTON DICKINSON NC 34,000,000 7.000 8/1/2027 38,614,140 BELLSOUTH CORP NC 21,000,000 6.875 10/15/2031 23,151,029 BP CAP MKTS AMER NC 15,000,000 4.200 6/15/2018 13,599,578 BRITISH SKY BROADCASTING NC 2,000,000 8.200 7/15/2009 2,381,280 BRITISH SKY BROADCASTING GRO NC 5,000,000 6.875 2/23/2009 5,628,550 BRITISH TEL PLC NC 24,500,000 8.875 12/15/2030 31,837,749 BURLINGTON RESOURCES NC 24,300,000 9.875 6/15/2010 31,496,647 CANADIAN NATL RAILROAD NC 22,000,000 6.800 7/15/2018 24,694,780 CANADIAN NATL RAILROAD NC 21,025,000 6.900 7/15/2028 23,369,078 CELULOSA ARAUCO NC 40,632,000 7.750 9/13/2011 46,957,590 CEMEX S A PT09 50,000,000 9.625 10/1/2009 60,500,000 CENTEX NC 14,000,000 5.125 10/1/2013 13,783,560 CENTEX NC 3,500,000 5.800 9/15/2009 3,754,415 CIA BRASIL DE BEBIDAS NC 24,200,000 8.750 9/15/2013 25,652,000 CINCINNATI GAS & ELEC NC 14,000,000 5.375 6/15/2033 12,473,020 CITIGROUP NC 40,000,000 6.000 10/31/2033 40,029,999 CITIGROUP INC NC 6,000,000 3.500 2/1/2008 6,018,120 CITIGROUP INC NC 35,000,000 6.000 2/21/2012 38,190,250 CITIGROUP INC NC 8,500,000 6.625 6/15/2032 9,227,770 CLEAR CHANNEL COMMUNICATIONS NC 24,750,000 7.650 9/15/2010 28,898,595 CODELCO INC NC 12,000,000 5.500 10/15/2013 12,177,480 CODELCO INC NC 15,000,000 6.375 11/30/2012 16,231,826 COMCAST CORP NC 22,500,000 5.300 1/15/2014 22,396,275 COMCAST CORP NC 10,000,000 5.850 1/15/2010 10,687,300 COMCAST CORP NC 19,200,000 6.500 1/15/2015 20,871,168 COMCAST CORP NC 20,000,000 7.050 3/15/2033 21,695,000 COMCAST CORP NC 4,500,000 7.050 3/15/2033 4,881,375 CONS EDISON CO OF NY NC 5,000,000 5.875 4/1/2033 5,034,639 COSOLIDATED NATURAL GAS NC 12,000,000 5.000 3/1/2014 11,953,440