UC General Endowment Pool Bond Portfolio

General Endowment Pool
Bond Portfolio
December 31, 2002
DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE
ABBOTT LABORATORIES NC 5,000,000 5.625 7/1/06 5,442,650
ALCOA INC NC 3,000,000 5.375 1/15/13 3,179,040
ALLSTATE CORP NC 1,000,000 7.200 12/1/09 1,159,650
ALLSTATE CORP. NC 12,000,000 6.900 5/15/2038 13,213,320
AMERICAN GENERAL CAP II NC 5,000,000 8.500 7/1/2030 6,515,500
AMERICAN GENERAL INST CAP A NC 4,000,000 7.570 12/1/2045 4,755,640
ANADARKO FINANCE NC 1,000,000 7.500 5/1/2031 1,188,860
AOL TIME WARNER INC NC 3,000,000 7.625 4/15/2031 3,071,340
ATHABASCA OIL SANDS NC 9,000,000 8.200 4/1/27 10,581,695
AXA NC 7,000,000 8.600 12/15/2030 7,993,580
BECTON DICKINSON NC 10,000,000 7.000 8/1/27 11,288,300
BELLSOUTH CORP NC 3,000,000 6.875 10/15/2031 3,361,200
BOMBARDIER NC 4,600,000 7.350 12/22/26 2,186,749
BRITISH TEL PLC NC 4,000,000 8.375 12/15/10 4,804,760
BURLINGTON RESOURCES NC 3,000,000 9.875 6/15/10 3,873,648
CANADIAN NATL RAILROAD NC 3,000,000 6.800 7/15/18 3,307,110
CARNIVAL CORP NC 4,775,000 7.200 10/1/23 4,785,716
CCCIT 2001-A6 A6 2,000,000 5.650 6/15/06 2,184,280
CELULOSA ARAUCO NC 8,000,000 7.750 9/13/11 8,836,720
CEMEX S A PT09 5,000,000 9.625 10/1/09 5,512,500
CHAMT 2001-4 A 3,000,000 5.500 11/15/08 3,265,380
CHILE REP NC 1,500,000 7.125 1/11/12 1,691,385
CITIGROUP INC NC 2,500,000 5.500 8/9/06 2,699,325
CITIGROUP INC NC 10,000,000 6.000 2/21/12 10,990,700
CLEAR CHANNEL COMMUNICATIONS NC 5,000,000 7.650 9/15/10 5,658,200
CODELCO INC NC 3,000,000 6.375 11/30/12 3,157,410
DCAT 2001-B A4 1,000,000 5.320 6/1/04 1,058,340
EATON CORP NC 1,900,000 8.100 8/15/22 2,183,664
EMERSON ELECTRIC NC 2,000,000 7.125 8/15/10 2,324,580
FGCI POOL #E01084 3,499,622 5.500 1/1/17 3,628,495
FGCI POOL #E01098 8,807,713 6.000 2/1/17 9,199,597
FGCI POOL #E01251 3,971,612 5.500 11/1/17 4,119,485
FGCI POOL #G11212 2,616,482 6.500 11/1/16 2,752,489
FHLG POOL #C62885 5,845,785 6.500 1/1/2032 6,092,878
FHLG POOL #G01317 3,810,259 7.000 10/1/2031 3,996,449
FHLG POOL #G01323 7,600,772 7.000 9/1/2031 7,961,322
FHLG POOL #G01324 4,703,975 7.000 10/1/2031 4,927,113
FHLG POOL #G01391 14,631,964 7.000 4/1/2032 15,346,960
FHR 2422 DM 5,000,000 6.500 4/15/28 5,240,576
FHR 2484 PA 6,765,915 6.000 4/15/22 7,085,545
FHR 2484 VA 2,909,095 6.000 9/15/12 3,088,006
FHR 2494 CD 5,000,000 5.500 8/15/14 5,318,182
Source: University of California, Office of the Treasurer

Bond Portfolio
December 31, 2002
FHR 2501 MA 3,000,000 5.500 3/15/12 3,135,404
FHR 2509 TA 2,000,000 5.500 10/15/09 2,076,636
FIRSTENERGY CORP NC 4,000,000 5.500 11/15/06 4,022,520
FNCI 5 1/2 TBA 10,000,000 5.500 1/5/18 10,232,812
FNCI POOL #254308 3,330,372 6.500 5/1/17 3,512,341
FNCI POOL #254373 897,487 6.500 7/1/17 946,525
FNCI POOL #545125 4,239,036 6.000 8/1/16 4,428,724
FNCI POOL #545296 3,614,862 6.000 11/1/16 3,776,620
FNCI POOL #581853 1,120,017 6.000 7/1/16 1,170,135
FNCI POOL #598444 5,473,933 6.500 6/1/17 5,773,024
FNCI POOL #612304 11,234,355 6.000 10/1/16 11,737,069
FNCI POOL #639018 3,195,758 6.500 4/1/17 3,370,371
FNCI POOL #673022 6,210,043 5.500 12/1/17 6,439,977
FNMA POOL #254146 7,181,649 6.000 1/1/2032 7,425,832
FNMA POOL #254548 6,988,353 5.500 12/1/2032 7,133,311
FNMA POOL #516493 812,922 6.000 6/1/29 840,328
FNMA POOL #535811 7,003,383 6.500 4/1/2031 7,284,189
FNMA POOL #535911 3,960,843 6.500 5/1/2031 4,116,787
FNMA POOL #545506 2,068,313 7.000 2/1/2032 2,174,007
FNMA POOL #555139 5,246,000 6.500 10/1/2032 5,465,676
FNMA POOL #581706 1,526,773 6.500 7/1/2031 1,587,990
FNMA POOL #581975 2,824,443 6.500 8/1/2031 2,937,691
FNMA POOL #585628 7,344,345 6.500 6/1/2031 7,638,821
FNMA POOL #591189 3,135,792 6.500 8/31/2031 3,261,523
FNMA POOL #591497 1,568,466 6.500 9/1/2031 1,631,355
FNMA POOL #592020 4,882,997 6.500 6/1/2031 5,078,784
FNMA POOL #597384 3,235,190 6.500 6/1/2031 3,364,907
FNMA POOL #610324 6,833,792 6.500 10/1/2031 7,107,798
FNMA POOL #614359 5,160,607 6.500 12/1/2031 5,367,525
FNMA POOL #620451 2,595,774 6.500 1/1/2032 2,699,853
FNMA POOL #633865 11,073,054 7.000 3/1/2032 11,638,903
FNMA POOL #672415 2,918,077 6.500 9/1/2032 3,039,246
FNMA POOL #673572 3,000,000 6.000 11/1/2032 3,104,768
FNMA POOL #676633 6,000,000 6.000 12/1/2032 6,210,937
FNMA-BENCHMARK 20,000,000 4.000 11/17/06 20,339,000
FNMA-BENCHMARK 33,000,000 5.000 1/15/07 35,772,330
FNMA-BENCHMARK 5,000,000 5.250 1/15/09 5,465,350
FNMA-BENCHMARK 5,000,000 5.500 3/15/11 5,485,250
FNR 02-09 PB 4,000,000 6.000 11/25/14 4,208,868
G2SF POOL#TBA 11,000,000 6.000 1/3/28 11,441,718
GENERAL ELECTRIC NC 5,000,000 4.625 9/15/09 5,137,550
GENERAL ELECTRIC CAPITAL NC 8,000,000 6.125 2/22/11 8,647,680

Bond Portfolio
December 31, 2002
GEORGIA POWER NC 3,000,000 5.125 11/15/12 3,093,780
GNMA-I POOL #523006 5,253,031 6.500 2/15/2032 5,518,261
GNMA-I POOL #546959 2,695,461 7.000 9/15/2031 2,851,567
GNMA-I POOL #552383 6,829,885 6.000 2/15/2032 7,119,303
GNMA-I POOL #569552 6,454,633 6.000 1/15/2032 6,725,046
GNMA-I POOL #569569 7,015,286 6.000 1/15/2032 7,312,560
GNMA-I POOL #569703 6,277,335 6.500 2/15/2032 6,594,283
GNMA-I POOL #570142 5,564,577 6.000 12/15/2031 5,797,702
GNMA-I POOL #572861 5,195,610 6.500 2/15/2032 5,451,857
GNMA-I POOL #580979 2,705,921 6.000 2/15/2032 2,819,284
GNMA-I POOL #781029 1,978,939 6.500 5/15/29 2,086,080
GNMA-I POOL #781130 3,511,787 7.000 1/15/2030 3,733,606
GNMA-I POOL #781228 934,337 7.000 12/15/28 993,354
GNMA-II POOL #2824 913,708 7.000 10/20/29 962,526
GNMA-II POOL #2957 2,262,301 7.500 8/20/2030 2,396,534
GNMA-II POOL #2958 956,659 8.000 8/20/2030 1,021,808
GNMA-II POOL #2973 1,223,836 8.000 9/20/2030 1,307,180
GNMA-II POOL #2987 4,649,564 7.500 10/20/2030 4,925,445
GNMA-II POOL #2999 2,542,098 7.500 11/20/2030 2,692,933
GNMA-II POOL #3011 1,324,974 7.500 12/20/2030 1,403,591
GNR 02-45 QB 25,000,000 6.500 7/20/2045 26,268,078
GRAND MET INVT CORP NC 1,761,000 8.000 9/15/22 2,202,131
GRAND MET INVT CORP NC 3,815,000 9.000 8/15/11 4,973,310
GRUPO TELEVISA SA NC 4,000,000 8.000 9/13/11 4,160,000
HALLMARK INC. NC 2,000,000 8.920 7/23/12 2,480,000
HAROT 2002-1 A4 5,000,000 4.220 4/16/07 5,223,050
HYDRO QUEBEC NC 6,384,000 8.250 4/15/26 8,506,233
HYDRO QUEBEC NC 1,487,000 8.250 1/15/27 1,986,691
IBM CANADA CREDIT NC 5,000,000 3.750 11/30/07 5,003,535
IBM CORP NC 3,000,000 4.750 11/29/12 3,010,620
IBM CORP NC 4,500,000 6.500 1/15/28 4,825,305
INTL BK R&D(PRNPT)STRIPS 23,000,000 0.000 2/15/15 12,319,490
KFW INTL FINANCE NC 3,000,000 5.250 6/28/06 3,263,520
KIMBERLY CLARK DE MEX NC 5,000,000 8.875 8/1/09 5,822,500
LOBLAW NC 9,000,000 6.450 2/9/28 5,741,289
LOBLAW NC 2,000,000 6.650 11/8/27 1,307,125
LOBLAW CO. LTD NC 2,000,000 6.500 1/22/29 1,283,248
LOBLAW CO. LTD RESIDS NC 60,000,000 0.000 5/23/2031 6,389,718
LOCKHEED MARTIN CORP NC 6,500,000 8.500 12/1/29 8,686,665
LORAL NC 5,150,000 7.000 9/15/23 5,728,670
M & I CAPITAL SEC. NC06 5,500,000 7.650 12/1/26 6,054,556

Bond Portfolio
December 31, 2002
MARSH & MCLENNAN COS INC NC 3,000,000 5.375 3/15/07 3,213,180
MASCO NC 8,000,000 7.125 8/15/13 9,261,280
MELLON A CAPITAL SEC. NC06 6,000,000 7.720 12/1/26 6,654,291
MERCK NC 15,000,000 6.400 3/1/28 16,626,300
MEXICO VALUE RECOVERY RIGHTS NC 40,850,000 0.000 135,214
NORFOLK SOUTHERN NC 2,046,000 9.000 3/1/21 2,667,022
NORWEST NC 10,000,000 6.750 12/15/27 11,044,700
ONTARIO PROV CDA NC 5,000,000 3.500 9/17/07 5,092,200
PEMEX PROJECT NC 5,000,000 7.375 12/15/14 5,125,000
RESOLUTION TRUST FUNDING NC 1,950,000 8.625 1/15/21 2,760,089
SBC COMMUNICATIONS NC 5,000,000 5.875 8/15/12 5,419,950
SPIEKER PROP. REIT NC 5,000,000 7.250 5/1/09 5,482,400
STARWOOD HOTELS NC 2,000,000 7.875 5/1/12 1,975,000
STATE STREET INSTL CAP B NC07 5,000,000 8.035 3/15/27 5,700,250
TELEFONOS MEXICO NC 5,000,000 8.250 1/26/06 5,475,000
TIME WARNER INC. NC 2,465,000 9.150 2/1/23 2,788,285
TOYOTA MTR CRED NC 1,000,000 5.650 1/15/07 1,082,610
TRANSCANADA PIPELINE NC 4,500,000 8.625 5/15/12 5,678,280
TRANSCANADA PIPELINE NC 3,000,000 9.450 3/20/18 2,373,698
TREASURY INFLATION INDEX NC 8,500,000 3.375 1/15/07 10,534,609
U.S.BANCORP CAP A SEC. NC06 7,000,000 8.270 12/15/26 8,077,930
UNITED MEXICAN STATES NC 3,000,000 8.125 12/30/19 3,168,750
UNIVISION COMM INC NC 4,500,000 7.850 7/15/11 5,041,728
US BANK NA NC 12,000,000 6.375 8/1/11 13,454,160
US TREASURY BOND NC 57,500,000 5.250 11/15/28 60,038,050
US TREASURY NOTE NC 4,900,000 4.000 11/15/12 4,969,678
VERIZON MARYLAND INC NC 4,000,000 6.125 3/1/12 4,325,680
VERIZON NY INC NC 5,000,000 7.375 4/1/2032 5,742,050
VESSEL MGMT SVC TITLE XI 2,636,750 6.080 5/20/24 2,875,534
VODAFONE GROUP NC 6,500,000 7.750 2/15/10 7,658,235
WACHOVIA CAPITAL SEC. NC07 5,000,000 7.965 6/1/27 5,212,924
WAL-MART STORES NC 5,000,000 6.875 8/10/09 5,873,500

Bond Portfolio
December 31, 2002
WELLS FARGO & CO NC 2,000,000 6.450 2/1/11 2,240,680
WESTERN ATLAS NC 2,000,000 8.550 6/15/24 2,528,005
WISCONSIN ENERGY CORP NC 3,000,000 5.500 12/1/08 3,219,870
WYETH NC 2,000,000 6.250 3/15/06 2,165,580
WYETH NC 14,600,000 6.700 3/15/11 16,173,442
ZENECA NC 4,000,000 7.000 11/15/23 4,688,400
Total Bond Portfolio 1,357,186,350

Cash and equivalents 46,911,000
Total General Endowment Pool Bond Portfolio 1,404,094,350

U.S. Equity
December 31, 2002
ISSUER SHARES MARKET VALUE
ISHARES RUSS3000 195,000 9,547,200
RUSSELL 3000 INDEX FUND 10,969,575 704,444,146
RUSSELL 3000 INDEX TRANS FUNDS 23,239,862 1,492,417,431
PRIVATE EQUITY DISTRIBUTIONS 11,186 76,311
Total U.S. Equity 2,206,485,088
% of Portfolio 85.52%

Non-U.S. Equity
December 31, 2002
CGI EMERGING MARKETS GF 532,972 21,953,117
EAFE INDEX FUND 3,528,608 214,081,805
TEMPLETON EMERGING MKTS 1,266,875 10,261,688
Total Non-U.S. Equity 246,296,610

Private Equity
December 31, 2002
ACCEL VIII 6,456 383,434
AIG ASIAN INFRASTRUCTURE 122,770 3,497,956
AIG ASIAN INFRASTRUCTURE II 103,500 6,112,290
AIG GE CAP LATIN AMER 143,851 9,192,515
AIG INDIAN SEC. EQUITY 18,367 1,520,473
ALTA S D II 5,215 298
ALTA S D III 13,000 420,615
CHINA VEST IV 27,000 1,325,538
GOLDER THOMA CRESSEY III 13,188 410,424
GOLDER THOMA CRESSEY IV 35,165 247,597
GOLDER THOMA CRESSEY V 59,891 4,388,919
HUMMER WINBLAD III 14,923 284,393
INSTITUTIONAL VENTURE IV 8,940 164,746
INSTITUTIONAL VENTURE V 12,189 24,622
INSTITUTIONAL VENTURE VI 18,800 339,885
INSTITUTIONAL VENTURE VII 27,105 1,996,012
INSTITUTIONAL VENTURE VIII 44,471 2,593,474
INTERSOUTH PARTNERS V 8,080 619,469
INTERWEST PARTNERS IV 8,400 63,672
INTERWEST PARTNERS V 22,860 452,465
INTERWEST PARTNERS VI 21,998 1,842,091
INTERWEST PARTNERS VII 19,333 957,205
INTERWEST PARTNERS VIII 14,000 948,640
INVERNESS PARTNERS II L.P. 2,933 293,345
INVESTMENT CO OF CHINA 117,500 273,775
KPCB II 7,250 80,200
KPCB II ANNEX FUND 1,350 3,683
KPCB IV 7,800 40,482
KPCB IX-A 25,500 1,145,588
KPCB VI 16,775 96,641
KPCB VII 22,500 489,803
KPCB VIII 30,000 1,321,530
KPCB X-A 7,600 524,347
LAKE CAPITAL PARTNERS LP 1,793 179,275
LATIN AMER CAP PART II 79,022 4,122,329
LINDSAY GOLDBERG & BESSEMER L.P. 2,565 248,658
MAYFIELD VI 11,850 71,989
MAYFIELD VII 20,075 266,877
MAYFIELD VIII 18,500 933,584
MPAE V 8,806 31,534
OXFORD BIOSCIENCE III 17,000 1,446,105
OXFORD BIOSCIENCE PARTNERS IV 6,250 543,769
PERSEUS-SOROS BIOPHARMACEUTICAL 6,998 703,120
POLARIS VENTURE PARTNERS III 13,200 879,463
POLARIS VENTURE PARTNERS IV 1,875 183,763
REDPOINT VENTURES I 33,750 1,466,066
REDPOINT VENTURES II 7,500 492,300
SEQUOIA CAPITAL FRANCHISE 24,811 986,863
SEQUOIA CAPITAL GROWTH 9,101 45,432
SEQUOIA CAPITAL III 3,200 2,362
SEQUOIA CAPITAL IX 23,166 639,289
SEQUOIA CAPITAL V 5,304 41,159
SEQUOIA CAPITAL VI 11,733 188,532
SEQUOIA CAPITAL VII 19,729 1,834,738
SEQUOIA CAPITAL VIII 22,314 1,019,995
Private Equity
December 31, 2002

SEQUOIA CAPITAL X 13,440 848,951
SKM EQUITY FUND II 78,323 6,467,687
STRAWBERRY TOWN & COUNTRY 37,500 15,000,000
TECHNOLOGY VENTURE III 5,680 7,094
TECHNOLOGY VENTURE IV 11,400 154,595
VENTURE STRATEGY PARTNERS II 6,300 490,153
VERSANT VENTURES I 24,000 2,316,840
VERSANT VENTURES II 2,400 204,864
WARBURG PINCUS PRIVATE EQTY VIII 1,446 116,780
WCAS CAPITAL PARTNERS II 23,500 804,805
WCAS CAPITAL PARTNERS III 240,000 26,098,320
WCAS VI 67,700 2,556,555
WCAS VII 150,000 8,811,450
Total Private Equity 122,261,423

Total Equities
December 31, 2002
Total Equities 2,575,043,121
Cash and equivalents 5,085,000

Total General Endowment Pool Equity Portfolio 2,580,128,121

GENERAL ENDOWMENT POOL
Fixed Income Portfolio
December 31, 2003
ALCAN INC NC 1,000,000 5.200 1/15/2014 1,010,810
ALCAN INC NC 500,000 6.125 12/15/2033 502,780
ALCOA INC NC 790,000 5.375 1/15/2013 819,451
ALLSTATE CORP NC 5,000,000 5.350 6/1/2033 4,602,400
ALLSTATE CORP NC 790,000 7.200 12/1/2009 910,799
AMERICAN ELECTRIC POWER NC 2,000,000 5.250 6/1/2015 1,939,900
AMERICAN INTERNATIONAL GROUP NC 3,500,000 4.250 5/15/2013 3,310,615
ARCEL FINANCE LIMITED NC 500,000 7.048 9/1/2011 515,000
AT&T WIRELESS NC 1,500,000 8.125 5/1/2012 1,750,095
BECTON DICKINSON NC 1,000,000 4.900 4/15/2018 964,130
BP CAP MKTS AMER NC 5,000,000 4.200 6/15/2018 4,533,193
BRITISH SKY BROADCASTING NC 1,500,000 8.200 7/15/2009 1,785,960
CEMEX S A PT09 5,000,000 9.625 10/1/2009 6,050,000
CENTEX NC 2,000,000 5.125 10/1/2013 1,969,080
CENTEX NC 790,000 5.800 9/15/2009 847,425
CIA BRASIL DE BEBIDAS NC 3,000,000 8.750 9/15/2013 3,180,000
CINCINNATI GAS & ELEC NC 2,000,000 5.375 6/15/2033 1,781,860
CITIGROUP NC 5,000,000 6.000 10/31/2033 5,003,750
CITIGROUP INC NC 1,000,000 6.625 6/15/2032 1,085,620
CODELCO INC NC 1,000,000 5.500 10/15/2013 1,014,790
CODELCO INC NC 2,000,000 6.375 11/30/2012 2,164,243
COMCAST CORP NC 6,200,000 5.300 1/15/2014 6,171,418
COMCAST CORP NC 6,800,000 6.500 1/15/2015 7,391,872
CONS EDISON CO OF NY NC 790,000 5.875 4/1/2033 795,473
COSOLIDATED NATURAL GAS NC 2,000,000 5.000 3/1/2014 1,992,240
CRH AMERICA NC 2,500,000 5.300 10/15/2013 2,522,575
CRH AMERICA NC 2,000,000 6.400 10/15/2033 2,055,400
DOMINION RESOURCES NC 4,000,000 5.000 3/15/2013 3,991,080
EATON CORP NC 1,000,000 8.100 8/15/2022 1,200,909
ENBRIDGE ENERGY PARTNERS L P NC 500,000 4.750 6/1/2013 481,265
ENCANA CORP NC 1,500,000 4.750 10/15/2013 1,475,730
ENERSIS NC 2,500,000 7.375 1/15/2014 2,582,398
ENTERPRISE PRODUCTS NC 1,200,000 6.875 3/1/2033 1,192,548
FGCI POOL #E01084 534,080 5.500 1/1/2017 554,123

December 31, 2003

FGCI POOL #E01098 3,771,653 6.000 2/1/2017 3,955,416
FGCI POOL #E01251 1,241,524 5.500 11/1/2017 1,288,338
FGCI POOL #E01311 1,227,934 5.500 2/1/2018 1,274,803
FGCI POOL #E01388 5,735,943 4.000 5/1/2018 5,611,762
FGCI POOL #E01537 5,000,000 4.500 12/1/2018 5,011,045
FGCI POOL #E95889 3,250,492 4.500 5/1/2018 3,257,672
FGLMC POOL #A14235 15,897,586 5.000 10/1/2033 15,721,441
FGLMC POOL #A15677 10,991,114 6.500 11/1/2033 11,517,786
FGLMC POOL #A17021 5,685,790 5.500 1/1/2034 5,763,526
FGLMC POOL #B11064 5,497,312 5.500 11/1/2018 5,707,138
FGLMC POOL #C01404 4,660,192 6.500 10/1/2032 4,878,671
FGLMC POOL #C01622 4,961,736 5.000 9/1/2033 4,906,760
FGLMC POOL #C76289 1,878,507 6.000 1/1/2033 1,944,642
FGLMC POOL #C76361 1,770,560 6.000 2/1/2033 1,832,894
FGLMC POOL #C77031 4,062,021 6.000 3/1/2033 4,205,028
FGLMC POOL #C78940 1,402,363 6.000 5/1/2033 1,451,734
FGLMC POOL #C79009 1,911,081 5.500 5/1/2033 1,939,162
FHLG POOL #C62885 1,000,401 6.500 1/1/2032 1,047,302
FHR 2484 VA 2,681,449 6.000 9/15/2012 2,811,742
FHR 2494 CD 5,000,000 5.500 8/15/2014 5,180,457
FHR 2567 MC 2,832,037 4.000 12/15/2032 2,874,993
FHR 2601 TA 2,484,914 4.000 10/15/2022 2,460,983
FHR 2673 MA 2,919,140 5.500 10/15/2033 3,058,143
FHR 2694 NS 2,945,047 5.500 3/15/2019 3,088,100
FIFTH THIRD BANK NC 4,375,000 3.375 8/15/2008 4,338,994
FIRSTENERGY CORP NC 790,000 6.450 11/15/2011 816,955
FNCI POOL #254308 1,682,250 6.500 5/1/2017 1,782,322
FNCI POOL #254373 492,081 6.500 7/1/2017 521,353
FNCI POOL #254719 4,418,650 4.500 4/1/2018 4,432,515
FNCI POOL #545125 1,733,290 6.000 8/1/2016 1,818,548
FNCI POOL #545296 1,464,199 6.000 11/1/2016 1,536,221
FNCI POOL #581853 454,567 6.000 7/1/2016 476,927
FNCI POOL #598444 2,341,502 6.500 6/1/2017 2,480,792
FNCI POOL #639018 552,183 6.500 4/1/2017 585,030
FNCI POOL #652610 1,817,664 5.000 4/1/2018 1,858,016
FNCI POOL #681357 2,739,928 5.000 3/1/2018 2,800,755
FNCI POOL #681405 2,280,772 5.000 3/1/2018 2,331,405
FNCI POOL #689076 3,397,981 5.000 6/1/2018 3,473,416
FNCI POOL #689613 2,560,171 4.500 5/1/2018 2,568,204
FNCI POOL #689619 1,951,259 4.500 6/1/2018 1,957,382
FNCI POOL #689622 2,977,657 5.000 6/1/2018 3,043,761
FNCI POOL #694431 4,149,961 5.000 3/1/2018 4,242,090
FNCI POOL #695916 3,811,830 5.000 5/1/2018 3,896,452
FNCI POOL #702895 8,894,703 5.000 4/1/2018 9,092,165

December 31, 2003

FNCI POOL #709844 1,795,819 5.000 5/1/2018 1,835,686
FNCI POOL #730016 2,432,726 4.000 4/1/2018 2,374,729
FNCI POOL #755497 2,235,542 5.500 11/1/2018 2,320,684
FNCI POOL#708598 2,669,981 5.500 6/1/2018 2,771,669
FNCL POO1 #748794 2,083,570 6.500 11/1/2033 2,181,181
FNCL POOL #254549 4,540,433 6.000 12/1/2032 4,697,611
FNCL POOL #545759 5,036,783 6.500 7/1/2032 5,266,562
FNCL POOL #555329 4,522,177 5.000 4/1/2033 4,483,300
FNCL POOL #555590 2,365,519 5.500 3/1/2033 2,401,356
FNCL POOL #656563 3,404,478 5.500 3/1/2033 3,456,055
FNCL POOL #662950 2,097,945 6.500 2/1/2033 2,194,251
FNCL POOL #669991 5,959,454 5.500 2/1/2033 6,049,739
FNCL POOL #676904 411,733 6.000 1/1/2033 425,986
FNCL POOL #676919 377,807 6.000 1/1/2033 390,886
FNCL POOL #677508 608,207 6.000 1/1/2033 629,552
FNCL POOL #677685 1,754,272 5.000 2/1/2033 1,739,191
FNCL POOL #683160 570,895 6.000 2/1/2033 590,930
FNCL POOL #684687 4,788,684 6.000 2/1/2033 4,956,743
FNCL POOL #684745 7,031,980 6.500 4/1/2033 7,361,415
FNCL POOL #688178 1,895,274 5.500 3/1/2033 1,923,987
FNCL POOL #689100 5,581,006 5.500 2/1/2033 5,665,557
FNCL POOL #689103 3,762,415 5.500 2/1/2033 3,819,415
FNCL POOL #689108 4,475,856 5.500 2/1/2033 4,543,664
FNCL POOL #694517 4,723,881 5.500 4/1/2033 4,795,447
FNCL POOL #695526 4,827,225 6.000 4/1/2033 4,996,636
FNCL POOL #695539 3,762,614 5.500 4/1/2033 3,819,616
FNCL POOL #702021 2,021,467 5.750 5/1/2033 2,072,003
FNCL POOL #702024 4,774,206 5.250 5/1/2033 4,787,820
FNCL POOL #702399 3,338,591 5.500 5/1/2033 3,389,170
FNCL POOL #704520 1,931,587 5.500 6/1/2033 1,960,850
FNCL POOL #707281 2,732,605 6.000 5/1/2033 2,828,506
FNCL POOL #709519 3,894,991 5.500 6/1/2033 3,954,000
FNCL POOL #720111 4,949,194 4.500 7/1/2033 4,743,058
FNCL POOL #721211 1,961,720 5.000 6/1/2033 1,944,855
FNCL POOL #721229 2,950,923 5.000 6/1/2033 2,925,554
FNCL POOL #723240 3,664,878 5.500 6/1/2033 3,720,400
FNCL POOL #726054 3,689,364 5.500 6/1/2033 3,745,257
FNCL POOL #733578 2,486,861 5.000 8/1/2033 2,465,481
FNCL POOL #743272 17,508,071 6.000 10/1/2033 18,122,516
FNCL POOL #743832 2,984,348 5.500 11/1/2033 3,029,560
FNCL POOL #747510 1,137,256 6.500 12/1/2033 1,196,873
FNCL POOL #747510 275,605 6.500 12/1/2033 290,053
FNCL POOL #747817 4,970,088 4.500 11/1/2018 4,985,683
FNCL POOL #748768 1,383,014 7.000 11/1/2033 1,464,219

December 31, 2003

FNCL POOL #752574 2,476,898 5.500 11/1/2033 2,514,422
FNCL POOL #753912 5,797,348 5.500 12/1/2033 5,885,176
FNCL POOL 696940 3,850,280 5.500 4/1/2033 3,908,611
FNMA POOL #254146 2,627,702 6.000 1/1/2032 2,717,995
FNMA POOL #516493 370,939 6.000 6/1/2029 383,911
FNMA POOL #545506 826,487 7.000 2/1/2032 874,065
FNMA POOL #545872 4,264,230 6.500 7/1/2032 4,459,978
FNMA POOL #555139 2,068,027 6.500 10/1/2032 2,162,958
FNMA POOL #581706 519,195 6.500 7/1/2031 542,876
FNMA POOL #610324 2,637,900 6.500 10/1/2031 2,758,221
FNMA POOL #614359 2,114,044 6.500 12/1/2031 2,210,470
FNMA POOL #633865 6,079,940 7.000 3/1/2032 6,429,944
FNMA POOL #672415 901,232 6.500 9/1/2032 942,603
FNMA POOL #673596 1,929,721 6.000 1/1/2033 1,996,523
FNMA POOL #676633 4,044,547 6.000 12/1/2032 4,184,558
FNMA POOL #753077 3,000,000 6.500 12/1/2033 3,140,544
FNMA-BENCHMARK C 7/06 3,000,000 4.375 7/17/2013 2,868,750
FNMA-BENCHMARK C 2/06 5,600,000 4.750 2/21/2013 5,510,344
FNMA-BENCHMARK NC 31,750,000 5.000 1/15/2007 33,890,584
FNR 03-18 PA 1,547,422 4.000 7/25/2032 1,533,873
FNR 03-63 GU 3,000,000 4.000 7/25/2033 3,023,533
FNR 2003-20 620,993 4.500 3/25/2031 631,574
FORD MOTOR CREDIT NC 3,600,000 6.625 10/1/2028 3,287,232
FREDDIE MAC NC 9,000,000 4.000 6/12/2013 8,405,280
FREDDIE MAC NC 11,250,000 4.875 11/15/2013 11,363,175
FREDDIE MAC NC 12,510,000 5.875 3/21/2011 13,543,701
GENERAL ELECTRIC COMPANY NC 14,500,000 5.000 2/1/2013 14,647,320
GEORGIA POWER NC 2,790,000 5.125 11/15/2012 2,832,575
GMAC NC 3,000,000 8.000 11/1/2031 3,355,350
GMC NC 2,000,000 8.250 7/15/2023 2,258,360
GMC NC 2,000,000 8.375 7/15/2033 2,320,560
GNMA-I POOL #603419 1,916,859 5.500 2/15/2033 1,954,788
GNMA-I POOL #781130 1,372,958 7.000 1/15/2030 1,462,969
GNMA-I POOL #781228 383,282 7.000 12/15/2028 408,916
GNMA-II POOL #2824 354,032 7.000 10/20/2029 376,493
GNMA-II POOL #2999 873,244 7.500 11/20/2030 932,396
GNMA-II POOL #3011 471,497 7.500 12/20/2030 503,435
GNMA-II POOL #3334 8,122,293 6.000 1/20/2033 8,450,337

December 31, 2003

GNSF POOL #598267 953,321 6.000 6/15/2033 993,145
GNSF POOL #612376 4,994,330 5.500 11/15/2033 5,093,151
GNSF POOL #781324 1,248,125 7.000 7/15/2031 1,328,076
GOLDMAN SACHS NC 3,500,000 4.750 7/15/2013 3,403,400
GOLDMAN SACHS NC 7,000,000 6.125 2/15/2033 7,057,680
GRUMA SA DE CV NC 3,500,000 7.625 10/15/2007 3,762,500
HERTZ CORP NC 1,790,000 4.700 10/2/2006 1,812,912
HILTON HOTELS NC 1,000,000 7.625 12/1/2012 1,120,000
IBM NC 1,800,000 6.500 1/15/2028 1,963,728
IBM CORP NC 2,790,000 4.750 11/29/2012 2,793,962
IBM CORP NC 1,700,000 5.875 11/29/2032 1,709,605
ILLINOIS STATE TAXABLE PENSION SNK 3,000,000 5.100 6/1/2033 2,758,410
INTL BK R&D(PRNPT)STRIPS 23,000,000 0.000 2/15/2015 12,852,400
JOHNSON & JOHNSON NC 1,790,000 4.950 5/15/2033 1,627,020
L-3 COMMUNICATIONS CORP NC 1,000,000 6.125 1/15/2014 1,000,000
LOBLAW NC 9,000,000 6.450 2/9/2028 7,212,953
LOBLAW NC 2,000,000 6.650 11/8/2027 1,641,011
LOBLAW CO. LTD NC 2,000,000 6.500 1/22/2029 1,613,495
LORAL NC 1,150,000 7.000 9/15/2023 1,264,229
M & I CAPITAL SEC. NC06 2,800,000 7.650 12/1/2026 3,083,136
MASCO NC 5,790,000 7.125 8/15/2013 6,666,895
MELLON A CAPITAL SEC. C 1,500,000 7.720 12/1/2026 1,663,800
MERCK NC 1,000,000 5.950 12/1/2028 1,039,250
MERCK NC 1,000,000 6.400 3/1/2028 1,097,550
MORGAN STANLEY NC 5,290,000 5.300 3/1/2013 5,401,301
NISOURCE FINANCE NC 4,250,000 5.400 7/15/2014 4,304,527
NORWEST NC 10,000,000 6.750 12/15/2027 10,913,800
OHIO POWER COMPANY NC 2,000,000 5.500 2/15/2013 2,069,440
PCCW-HKTC CAP NC 3,000,000 6.000 7/15/2013 3,078,250
PEMEX PRJT FDG MASTER TR 144A NC 4,000,000 8.625 2/1/2022 4,410,000
PEMEX PROJECT NC 1,580,000 6.125 8/15/2008 1,659,000
PFIZER INC NC 1,000,000 4.650 3/1/2018 954,030
PROGRESS ENERGY NC 4,000,000 7.000 10/30/2031 4,269,320
PSI ENERGY INC NC 1,000,000 5.000 9/15/2013 987,880
REPUBLIC OF BRAZIL NC 1,000,000 9.250 10/22/2010 1,075,000
REPUBLIC OF BRAZIL NC 3,600,000 10.000 8/7/2011 4,014,000
ROYAL BK SCOTLAND NC 3,000,000 4.700 7/3/2018 2,773,800
RYLAND GROUP NC 1,000,000 5.375 6/1/2008 1,015,000

December 31, 2003

SBC COMMUNICATIONS NC 1,290,000 5.875 8/15/2012 1,364,433
SOUTHERN POWER NC 3,000,000 4.875 7/15/2015 2,858,790
SPIEKER PROP. REIT NC 4,790,000 7.250 5/1/2009 5,490,011
SPRINT NC 4,000,000 6.875 11/15/2028 3,870,760
SPRINT CAP CORP NC 1,345,000 6.900 5/1/2019 1,369,842
STATE STREET BANK NC 2,000,000 5.250 10/15/2018 2,003,900
STATE STREET REPO 1,113,500 0.700 1/2/2004 1,113,500
SUNCOR ENERGY NC 4,000,000 5.950 12/1/2034 3,980,760
TELECOM ITALIA CAPITAL NC 3,000,000 6.375 11/15/2033 3,011,970
TIME WARNER ENTERTAINMENT NC 2,000,000 8.375 7/15/2033 2,526,180
TOYOTA MTR CRED NC 375,000 5.650 1/15/2007 406,946
UNIVISION COMM INC NC 790,000 3.875 10/15/2008 785,047
UNIVISION COMM INC NC 1,500,000 7.850 7/15/2011 1,759,230
US BANK NA NC 4,000,000 4.800 4/15/2015 3,894,560
US BANK NA NC 1,790,000 6.375 8/1/2011 1,992,342
US TREASURY NOTES NC 36,000,000 1.625 9/30/2005 35,990,999
VALE OVERSEAS LIMITED NC 4,500,000 9.000 8/15/2013 4,905,000
VERIZON GLOBAL NC 2,500,000 7.750 12/1/2030 2,928,875
VERIZON MARYLAND IN NC 3,500,000 5.125 6/15/2033 3,004,505
VERIZON NY INC NC 1,500,000 7.375 4/1/2032 1,649,025
VERIZON NY INC. NC 4,000,000 4.750 10/1/2013 3,869,600
VESSEL MGMT SVC TITLE XI 2,513,750 6.080 5/20/2024 2,708,013
VIRGINIA EL&PWR NC 1,000,000 4.750 3/1/2013 988,280
VODAFONE GROUP NC 500,000 5.000 12/16/2013 497,935

December 31, 2003

WAL-MART STORES NC 2,000,000 4.550 5/1/2013 1,967,140
WELLS FARGO & CO NC 2,500,000 4.950 10/16/2013 2,488,400
WESTERN ATLAS NC 1,790,000 8.550 6/15/2024 2,344,294
WYETH NC 5,600,000 5.500 3/15/2013 5,807,200
WYETH NC 2,000,000 6.450 2/1/2024 2,051,040
Fixed Income Portfolio 1,236,858,501

Cash and Equivalents 62,400,000
TOTAL GEP FIXED INCOME PORTFOLIO 1,299,258,501

Public Equity
December 31, 2003
PRIVATE EQUITY DISTRIBUTIONS 219,428 1,885,830
EAFE INDEX FUND 5,505,239 451,100,152
GMO EMERGING MARKETS FUND 74,273 1,096,263
RUSSELL 3000 INDEX FUND 14,583,613 1,929,146,264
RUSSELL 3000 INDEX TRANS FUNDS 4,861,204 643,048,752
Total Public Equities 3,073,298,385


Private Equity
December 31, 2003

ACCEL VIII 7,273 377,891
AIG ASIAN INFRASTRUCTURE 123,803 856,590
AIG ASIAN INFRASTRUCTURE II 117,031 4,929,581
AIG GE CAP LATIN AMER 151,509 9,125,714
AIG INDIAN SEC. EQUITY 19,123 1,339,287
ALTA S D III 13,000 392,730
ARSENAL CAPITAL PARTNERS B 21,362 1,354,442
BLACKSTONE CAPITAL PARTNERS IV 25,989 2,595,669
CHINA VEST IV 27,000 466,749
DE NOVO VENTURES II LP 6,231 623,075
DOMAIN PARTNERS VI, L.P. 1,869 186,922
FREMONT PARTNERS III LP 21,867 2,186,712
GLOBESTPAN CAPITAL PARTNERS IV 3,694 369,358
GOLDER THOMA CRESSEY III 13,188 411,136
GOLDER THOMA CRESSEY IV 35,165 41,706
GOLDER THOMA CRESSEY V 59,891 3,425,036
HUMMER WINBLAD III 14,923 292,048
INSTITUTIONAL VENTURE IV 8,940 158,667
INSTITUTIONAL VENTURE V 12,189 6,168
INSTITUTIONAL VENTURE VI 18,800 433,547
INSTITUTIONAL VENTURE VII 27,105 1,909,358
INSTITUTIONAL VENTURE VIII 44,471 2,353,596
INTERSOUTH PARTNERS V 9,960 657,589
INTERSOUTH PARTNERS VI, L.P. 4,406 314,170
INTERWEST PARTNERS IV 8,400 13,423
INTERWEST PARTNERS V 22,860 412,209
INTERWEST PARTNERS VI 21,998 1,505,345
INTERWEST PARTNERS VII 20,419 792,285
INTERWEST PARTNERS VIII 20,000 1,236,040
INVERNESS PARTNERS II L.P. 2,933 272,268
INVESTMENT CO OF CHINA 117,500 208,915
KPCB II 7,250 69,593
KPCB II ANNEX FUND 1,350 3,703
KPCB IX-A 26,250 1,061,078
KPCB VI 16,775 76,108
KPCB VII 22,500 809,168
KPCB VIII 30,000 1,845,600
KPCB X-A 8,500 477,224
LAKE CAPITAL PARTNERS LP 4,535 230,478
LATIN AMER CAP PART II 78,793 3,159,931
LIGHTHOUSE CAPITAL PARTNERS V LP 5,000 500,000
LINDSAY GOLDBERG & BESSEMER L.P. 6,019 511,659
MAYFIELD VII 20,075 15,899
MAYFIELD VIII 18,500 629,204
MPAE V 8,806 15,401
OXFORD BIOSCIENCE III 19,500 1,214,850
OXFORD BIOSCIENCE PARTNERS IV 11,875 1,060,473
PERSEUS-SOROS BIOPHARMACEUTICAL 9,201 769,495
POLARIS VENTURE PARTNERS III 15,716 925,547
POLARIS VENTURE PARTNERS IV 6,250 495,031
REDPOINT VENTURES I 37,125 1,131,310
REDPOINT VENTURES II 9,840 597,357

Private Equity
December 31, 2003
SEQUOIA CAPITAL FRANCHISE 26,823 1,114,166

SEQUOIA CAPITAL GROWTH 9,101 31,025
SEQUOIA CAPITAL III 3,200 2,720
SEQUOIA CAPITAL IX 24,975 779,819
SEQUOIA CAPITAL VI 11,733 175,415
SEQUOIA CAPITAL VII 19,729 896,742
SEQUOIA CAPITAL VIII 22,314 965,594
SEQUOIA CAPITAL X 15,904 820,440
SKM EQUITY FUND II 78,323 3,794,049
TECHNOLOGY VENTURE IV 11,400 100,274
VENTURE STRATEGY PARTNERS II 8,100 318,541
VERSANT VENTURES I 27,000 2,442,339
VERSANT VENTURES II 6,000 499,326
WARBURG PINCUS PRIVATE EQTY VIII 2,046 163,251
WCAS CAPITAL PARTNERS II 23,500 636,780
WCAS VI 67,700 2,152,048
WCAS VII 150,000 6,358,500
WELSH CARSON CP III 270,000 24,246,540
STRAWBERRY TOWN & COUNTRY 37,500 15,000,000
Total Private Equity 115,344,904

% of Portfolio 3.6%

Total Equity
December 31, 2003
Total Equities 3,188,643,289

% of Portfolio 0.5%
TOTAL GEP EQUITY PORTFOLIO 3,206,131,289

Absolute Return
December 31, 2003

AVENUE SPECIAL SITUATION FD III 18,095,699 14,389,989
CAMDEN ST ALBANS PARNERS LTD 20,000 20,342,000
CANYON CAPITAL ADVISORS LLC 7,622 21,372,570
CARL MARKS STRATEGIC INVESTMENTS 20,000,000 21,112,860
DAVIDSON KEMPNER INSTITUTIONAL 25,000,000 27,066,425
DESCARTES PARTNERS L.P. 10,000,000 10,069,070
MAVERICK FUND, LTD 28,883 20,242,542
O'CONNOR GLOBALFUNDAMENTALL/SLIM 20,000 19,953,000
SIRIOS OVERSEAS FUND, LTD. 14,752 25,760,224
TOTAL ABSOLUTE RETURN 180,308,680

BOND PORTFOLIO
December 31, 2004
ALCAN INC NC 1,000,000 5.200 1/15/2014 1,026,212
ALLSTATE CORP NC 620,000 5.000 8/15/2014 622,870
AMERICA MOVIL NC 2,000,000 5.500 3/1/2014 1,988,740
AMERICA MOVIL SA NC 2,600,000 5.750 1/15/2015 2,605,434
AMERICAN ELEC PWR INC NC 500,000 5.375 3/15/2010 521,343
AMERICAN ELECTRIC POWER NC 2,000,000 5.250 6/1/2015 2,004,962
AMERICAN GENERAL FINANCE NC 750,000 4.000 3/15/2011 725,929
AMERICAN INTERNATIONAL GROUP NC 2,000,000 4.250 5/15/2013 1,931,722
AOL TIME WARNER INC NC 700,000 6.150 5/1/2007 738,553
ARCEL FINANCE LIMITED NC 1,000,000 7.048 9/1/2011 1,021,960
AT&T WIRELESS NC 2,790,000 8.125 5/1/2012 3,371,264
BAFC 2004-1 8,105,998 6.000 2/25/2034 8,305,496
BECTON DICKINSON & CO NC 500,000 4.550 4/15/2013 494,914
BELLSOUTH CORP NC 550,000 6.550 6/15/2034 599,218
BOAA 2004 1,765,885 6.000 2/25/2034 1,810,896
BOAA 2004-2 3A1 1,653,807 6.000 3/25/2034 1,696,033
BOAMS 2004-1 2A1 2,445,595 5.500 2/25/2034 2,457,384
BP CAP MKTS AMER NC 5,000,000 4.200 6/15/2018 4,594,224
BRITISH SKY BROADCASTING NC 1,500,000 8.200 7/15/2009 1,733,687
BURLINGTON RESOURCES NC 500,000 7.200 8/15/2031 597,759
CELULOSA ARAUCO NC 500,000 5.125 7/9/2013 494,788
CENTEX NC 200,000 5.800 9/15/2009 211,716
CINCINNATI GAS & ELEC NC 2,000,000 5.375 6/15/2033 1,904,007
CINCINNATI GAS & ELEC CO NC 870,000 5.400 6/15/2033 830,885
CITIGROUP NC 5,000,000 6.000 10/31/2033 5,163,598
CITIGROUP INC NC 4,000,000 5.000 9/15/2014 4,015,515
CITIGROUP INC NC 1,000,000 5.850 12/11/2034 1,030,850
CMSI 2004-5 23A5 3,886,839 4.500 8/25/2034 3,839,468
CODELCO INC NC 1,000,000 4.750 10/15/2014 980,994
CODELCO INC NC 2,000,000 6.375 11/30/2012 2,205,403
COMCAST CABLE COMMUNICATIONS NC 4,800,000 8.875 5/1/2017 6,277,504
COMCAST CORP NC 360,000 5.850 1/15/2010 383,926
COMCAST CORP NC 6,800,000 6.500 1/15/2015 7,547,197
Source: University of California, Office of the Treasurer of The Regents

BOND PORTFOLIO
December 31, 2004
COSOLIDATED NATURAL GAS NC 2,000,000 5.000 3/1/2014 2,014,751
COUNTRYWIDE FINANCIAL NC 2,000,000 4.000 3/22/2011 1,938,795
COX COMMUNICATIONS INC NEW NC 1,000,000 5.500 10/1/2015 994,441
COX COMMUNICATIONS INC. NC 1,200,000 4.625 1/15/2010 1,199,792
CRH AMERICA NC 2,375,000 5.300 10/15/2013 2,430,375
CRH AMERICA NC 2,000,000 6.400 10/15/2033 2,165,239
CWHL 2003-50 A1 2,016,118 5.000 11/25/2018 2,034,339
D.R. HORTON INC. NC 2,450,000 5.625 1/15/2016 2,410,188
DAIMLERCHRYSLER NA HLDG NC 1,100,000 8.500 1/18/2031 1,365,463
DANA CORPORATION NC 1,350,000 5.850 1/15/2015 1,336,500
DELHAIZE AMER INC NC 1,425,000 9.000 4/15/2031 1,843,665
DEV BANK SINGAPORE NC 2,000,000 5.000 11/15/2019 1,984,980
DEVELOPERS DIVERS REALTY NC 2,315,000 5.250 4/15/2011 2,355,935
DIAMLERCHRYSLER NA HLDG NC 500,000 6.500 11/15/2013 540,588
DR HORTON INC NC 1,000,000 5.000 1/15/2009 1,007,500
DR HORTON INC. NC 400,000 5.625 9/15/2014 399,000
EATON CORP NC 1,000,000 8.100 8/15/2022 1,291,571
ENBRIDGE ENERGY PARTNERS L P NC 2,200,000 4.750 6/1/2013 2,147,775
ENCANA CORP NC 5,300,000 6.500 8/15/2034 5,825,373
ENERSIS SA NC 3,000,000 7.375 1/15/2014 3,269,610
ENTERPRISE PRODUCTS OPER NC 1,290,000 4.625 10/15/2009 1,284,524
EOP OPERATING LP NC 2,750,000 4.650 10/1/2010 2,760,906
ERAC USA FINANCE NC 2,000,000 6.700 6/1/2034 2,152,893
FANNIE MAE NC 37,000,000 3.875 11/17/2008 36,822,271
FANNIE MAE NC 5,805,000 4.000 12/15/2008 5,797,797
FANNIE MAE NC 22,700,000 5.125 1/2/2014 23,186,942
FANNIE MAE NC 4,300,000 5.250 8/1/2012 4,465,612
FEDERAL NATL MTG ASSN NC 12,400,000 4.625 5/1/2013 12,288,851
FGCI PL B14157 5,972,989 4.000 5/1/2019 5,843,345
FGCI POOL #E01084 376,756 5.500 1/1/2017 389,376
FGCI POOL #E01098 2,491,905 6.000 2/1/2017 2,612,601
FGCI POOL #E01251 913,104 5.500 11/1/2017 943,507
FGCI POOL #E01311 900,131 5.500 2/1/2018 930,202
FGCI POOL #E01537 4,443,625 4.500 12/1/2018 4,443,406
FGLMC POOL #A14235 14,302,523 5.000 10/1/2033 14,256,212
FGLMC POOL #A17995 932,257 6.500 1/1/2034 976,845
FGLMC POOL #B11064 4,915,631 5.500 11/1/2018 5,079,849
FGLMC POOL #C01404 2,918,168 6.500 10/1/2032 3,058,797
FGLMC POOL #C01622 4,518,571 5.000 9/1/2033 4,503,940
FGLMC POOL #C76289 1,401,406 6.000 1/1/2033 1,447,539
FGLMC POOL #C77031 2,797,371 6.000 3/1/2033 2,889,457
FGLMC POOL #C78940 1,695,503 6.000 5/1/2033 1,751,317

BOND PORTFOLIO
December 31, 2004
FGLMC POOL #G01674 5,581,922 5.500 4/1/2034 5,677,537
FGLMC POOL C01676 8,813,410 6.000 11/1/2033 9,103,535
FGTW POOL C90852 6,114,541 6.000 7/1/2024 6,350,180
FHLG POOL #C62885 242,385 6.500 1/1/2032 254,066
FHR 2567 MC 1,537,138 4.000 12/15/2032 1,538,157
FHR 2601 TA 1,932,369 4.000 10/15/2022 1,910,390
FIFTH THIRD BANK NC 3,375,000 3.375 8/15/2008 3,325,969
FIRSTENERGY CORP NC 790,000 6.450 11/15/2011 856,518
FLORIDA POWER NC 1,500,000 5.100 12/1/2015 1,506,389
FNARM PL 804082 2,131,056 5.384 8/1/2034 2,156,714
FNARM POOL #555893 2,822,750 3.917 10/1/2033 2,796,996
FNARM POOL #726233 2,592,886 4.709 7/1/2033 2,627,413
FNARM POOL #748088 4,252,254 4.095 9/1/2033 4,227,693
FNARM POOL #764105 4,716,255 4.158 3/1/2034 4,682,544
FNARM POOL #766244 6,029,042 4.921 2/1/2034 6,107,607
FNARM POOL #770305 4,003,632 4.422 4/1/2034 4,007,948
FNCI POOL #254308 1,078,802 6.500 5/1/2017 1,142,757
FNCI POOL #254373 323,941 6.500 7/1/2017 343,145
FNCI POOL #254719 3,714,470 4.500 4/1/2018 3,714,533
FNCI POOL #545125 2,826,699 6.000 8/1/2016 2,961,926
FNCI POOL #545296 905,467 6.000 11/1/2016 948,783
FNCI POOL #639018 405,349 6.500 4/1/2017 429,380
FNCI POOL #652610 1,531,697 5.000 4/1/2018 1,558,170
FNCI POOL #681357 2,320,140 5.000 3/1/2018 2,360,239
FNCI POOL #681405 1,923,042 5.000 3/1/2018 1,956,278
FNCI POOL #689076 2,856,332 5.000 6/1/2018 2,905,698
FNCI POOL #689613 2,284,735 4.500 5/1/2018 2,284,773
FNCI POOL #689619 1,731,893 4.500 6/1/2018 1,731,922
FNCI POOL #689622 2,674,959 5.000 6/1/2018 2,721,191
FNCI POOL #694431 3,406,993 5.000 3/1/2018 3,465,876
FNCI POOL #695916 3,085,044 5.000 5/1/2018 3,138,363
FNCI POOL #702895 7,273,645 5.000 4/1/2018 7,399,355
FNCI POOL #709844 1,423,150 5.000 5/1/2018 1,447,746
FNCI POOL #711268 790,308 5.500 11/1/2018 817,267
FNCI POOL #730016 2,117,604 4.000 4/1/2018 2,069,389
FNCI POOL #755497 1,912,967 5.500 11/1/2018 1,978,223
FNCI POOL #755498 1,694,092 5.500 11/1/2018 1,751,882
FNCI POOL#708598 2,171,368 5.500 6/1/2018 2,245,439
FNCL PL 255458 4,931,865 5.500 11/1/2034 5,010,137
FNCL POO1 #748794 1,201,214 6.500 11/1/2033 1,257,669
FNCL POOL #545759 2,860,365 6.500 7/1/2032 2,996,359
FNCL POOL #555329 3,926,558 5.000 4/1/2033 3,908,968

BOND PORTFOLIO
December 31, 2004
FNCL POOL #662950 920,486 6.500 2/1/2033 964,249
FNCL POOL #669991 4,571,382 5.500 2/1/2033 4,646,151
FNCL POOL #676919 296,369 6.000 1/1/2033 306,305
FNCL POOL #677508 457,536 6.000 1/1/2033 472,843
FNCL POOL #677685 1,567,738 5.000 2/1/2033 1,560,715
FNCL POOL #683160 449,718 6.000 2/1/2033 464,764
FNCL POOL #684745 4,133,011 6.500 4/1/2033 4,327,255
FNCL POOL #689108 3,331,638 5.500 2/1/2033 3,386,129
FNCL POOL #694517 3,980,848 5.500 4/1/2033 4,045,958
FNCL POOL #702021 1,470,465 5.750 5/1/2033 1,508,519
FNCL POOL #702024 4,135,620 5.250 5/1/2033 4,164,617
FNCL POOL #702399 2,792,034 5.500 5/1/2033 2,837,700
FNCL POOL #709519 3,431,554 5.500 6/1/2033 3,487,680
FNCL POOL #721211 1,802,064 5.000 6/1/2033 1,793,992
FNCL POOL #721229 2,602,848 5.000 6/1/2033 2,591,188
FNCL POOL #726054 3,376,447 5.500 6/1/2033 3,431,672
FNCL POOL #743272 13,627,809 6.000 10/1/2033 14,083,743
FNCL POOL #747510 1,123,363 6.500 12/1/2033 1,176,159
FNCL POOL #747510 272,238 6.500 12/1/2033 285,033
FNCL POOL #747817 4,458,192 4.500 11/1/2018 4,458,267
FNCL POOL #748768 993,653 7.000 11/1/2033 1,049,978
FNCL POOL #750871 1,602,406 6.000 10/1/2033 1,656,016
FNCL POOL #753093 3,019,731 6.500 12/1/2033 3,161,653
FNCL POOL #753912 5,043,173 5.500 12/1/2033 5,125,658
FNCL POOL #756390 3,330,645 6.500 9/1/2032 3,488,997
FNCL POOL #763642 1,857,299 6.500 1/1/2034 1,946,386
FNCL POOL #790927 8,696,198 6.000 9/1/2034 8,990,441
FNCL POOL #794967 2,991,040 5.500 10/1/2034 3,038,509
FNCL POOL #794978 3,476,589 5.500 10/1/2034 3,531,765
FNCL POOL 793999 9,497,126 5.500 9/1/2034 9,647,851
FNCL POOL 794024 11,734,418 5.500 9/1/2034 11,920,650
FNCT POOL #255417 2,880,734 6.000 9/1/2024 2,991,623
FNGT 2004-T3 2,370,131 7.000 2/25/2044 2,511,592
FNMA POOL #545506 384,976 7.000 2/1/2032 407,270
FNMA POOL #545872 3,129,933 6.500 7/1/2032 3,278,743
FNMA POOL #555139 1,249,965 6.500 10/1/2032 1,309,393
FNMA POOL #581706 288,299 6.500 7/1/2031 301,983
FNMA POOL #633865 3,598,010 7.000 3/1/2032 3,806,377
FNMA POOL #672415 213,403 6.500 9/1/2032 223,549
FNMA POOL #753077 2,595,829 6.500 12/1/2033 2,717,828
FNR 03-18 PA 869,030 4.000 7/25/2032 849,514
FNR 03-63 GU 2,795,302 4.000 7/25/2033 2,802,915
FNR 2003-20 277,364 4.500 3/25/2031 278,754

BOND PORTFOLIO
December 31, 2004
FORD MOTOR CREDIT NC 500,000 7.450 7/16/2031 497,956
FORD MOTOR CREDIT CO NC 1,200,000 5.700 1/15/2010 1,209,897
FREDDIE MAC NC 57,000,000 5.000 1/30/2014 57,146,581
GENERAL ELEC CAP CORP NC 4,750,000 3.750 12/15/2009 4,678,297
GENERAL ELECTRIC COMPANY NC 11,000,000 5.000 2/1/2013 11,287,655
GENERAL MOTORS NC 3,100,000 8.250 7/15/2023 3,225,571
GENERAL MOTORS NC 500,000 8.375 7/15/2033 514,323
GEORGIA POWER NC 2,790,000 5.125 11/15/2012 2,854,307
GMAC NC 1,000,000 6.750 12/1/2014 995,736
GMAC NC 3,690,000 6.875 8/28/2012 3,730,329
GMAC NC 1,000,000 8.000 11/1/2031 1,019,319
GNMA-I POOL #603419 1,585,504 5.500 2/15/2033 1,620,833
GNMA-I POOL #781130 735,137 7.000 1/15/2030 780,364
GNMA-I POOL #781228 198,497 7.000 12/15/2028 210,735
GNMA-II POOL #2824 187,643 7.000 10/20/2029 198,885
GNMA-II POOL #2999 427,723 7.500 11/20/2030 457,497
GNMA-II POOL #3011 227,970 7.500 12/20/2030 243,839
GNSF POOL #598267 843,300 6.000 6/15/2033 873,894
GNSF POOL #612376 4,579,920 5.500 11/15/2033 4,681,972
GNSF POOL #781324 609,623 7.000 7/15/2031 646,876
GOLDMAN SACHS NC 3,500,000 4.750 7/15/2013 3,464,075
GOLDMAN SACHS NC 5,000,000 5.150 1/15/2014 5,069,058
GOLDMAN SACHS NC 2,000,000 6.125 2/15/2033 2,062,579
HARRAHS OPERATING CO NC 2,800,000 5.500 7/1/2010 2,906,461
HERTZ CORP NC 1,790,000 4.700 10/2/2006 1,808,196
HILTON HOTELS NC 500,000 7.625 12/1/2012 584,262
HUTCH WHAM INTL LTD NC 1,150,000 6.250 1/24/2014 1,208,305
HUTCHISON WHAMP INTL LTD. NC 2,000,000 7.450 11/24/2033 2,206,513
IBM CORP NC 2,790,000 4.750 11/29/2012 2,845,526
IBM CORP NC 1,300,000 6.220 8/1/2027 1,422,763
INTL BK R&D(PRNPT)STRIPS NC 23,000,000 0.000 2/15/2015 13,870,355
L 3 COMMUNICATIONS CORP NC 1,050,000 6.125 1/15/2014 1,081,500
L-3 COMMS CORP NC 1,700,000 5.875 1/15/2015 1,695,750
LOBLAW NC 2,000,000 6.650 11/8/2027 1,815,394
LOBLAW CO. LTD NC 2,000,000 6.500 1/22/2029 1,782,927
LORAL NC 1,150,000 7.000 9/15/2023 1,313,130

BOND PORTFOLIO
December 31, 2004
LUBRIZOL CORP NC 3,500,000 4.625 10/1/2009 3,494,755
LUBRIZOL CORP NC 620,000 6.500 10/1/2034 625,620
M & I CAPITAL SEC. NC06 2,800,000 7.650 12/1/2026 3,011,770
MASCO NC 3,000,000 7.125 8/15/2013 3,467,553
MASTR 2003-10 3A 7,338,320 5.500 11/25/2033 7,384,217
MASTR 2003-7 1A2 1,446,777 5.500 9/25/2033 1,455,720
MELLON A CAPITAL SEC. NC06 1,500,000 7.720 12/1/2026 1,627,942
MGM GRAND NC 2,000,000 6.000 10/1/2009 2,050,000
MGM MIRAGE NC 1,150,000 6.750 9/1/2012 1,210,375
MORGAN STANLEY NC 6,735,000 4.750 4/1/2014 6,563,229
MSM 2004-3 5,644,524 6.000 4/25/2034 5,789,614
MSSTR 2004-2 8,000,000 6.500 12/1/2034 8,253,750
NEWS AMER INC. NC 1,000,000 6.200 12/15/2034 1,018,420
NEWS AMERICA HOLDINGS NC 3,320,000 7.700 10/30/2025 3,947,833
NEXTEL COMMUNICATIONS 3/09 300,000 5.950 3/15/2014 310,500
NISOURCE FINANCE NC 1,750,000 5.400 7/15/2014 1,793,445
OHIO POWER COMPANY NC 2,000,000 5.500 2/15/2013 2,090,638
PACIFIC GAS & ELECTRIC NC 1,500,000 4.200 3/1/2011 1,482,332
PACIFIC GAS & ELECTRIC NC 1,000,000 4.800 3/1/2014 994,938
PEARSON PLC NC 2,700,000 4.700 6/1/2009 2,744,251
PEMEX PRJ FDG MASTER TR 144A NC 4,800,000 8.625 2/1/2022 5,580,000
PEMEX PROJECT NC 880,000 6.125 8/15/2008 932,800
PEMEX PROJECT NC 2,500,000 8.000 11/15/2011 2,875,000
PETROBRAS INTL FINANCE NC 1,500,000 7.750 9/15/2014 1,578,750
PETRO-CANADA NC 3,000,000 5.000 11/15/2014 2,993,294
PFIZER INC NC 1,000,000 4.650 3/1/2018 961,037
PROGRESS ENERGY NC 4,000,000 7.000 10/30/2031 4,401,252
PSI ENERGY INC NC 1,000,000 5.000 9/15/2013 998,651
RALI 2004-QS6 A 4,633,430 5.000 5/25/2019 4,676,156
RBS CAPITAL TRUST III 9/14 3,250,000 5.512 9/29/2049 3,324,428
REPUBLIC OF BRAZIL NC 500,000 8.875 10/14/2019 526,750
REPUBLIC OF BRAZIL NC 950,000 10.000 8/7/2011 1,101,050
RFCO STRIPS NC 13,500,000 0.000 4/15/2016 7,860,711
RFMSI 2004-S9 2,000,000 5.500 12/1/2034 2,012,813
ROYAL CARIBBEAN CRUISES NC 800,000 6.875 12/1/2013 864,000
ROYAL CARIBBEAN CRUISES NC 1,500,000 7.500 10/15/2027 1,636,875
RYLAND GROUP NC 1,250,000 5.375 6/1/2008 1,300,000
S A S C 2003-20 1A1 4,458,391 5.500 7/25/2033 4,485,970
SHAW NC 3,000,000 7.500 11/20/2013 2,690,051
SHAW COMMUNICATIONS INC NC 1,485,000 7.200 12/15/2011 1,639,069
SIMON PROPERTY GROUP NC 1,250,000 4.875 8/15/2010 1,274,100
SOUTHERN POWER NC 3,000,000 4.875 7/15/2015 2,953,048
SPRINT NC 5,500,000 6.875 11/15/2028 6,020,579
SPRINT CAP CORP NC 4,345,000 6.900 5/1/2019 4,851,335

BOND PORTFOLIO
December 31, 2004
STATE STREET BANK NC 1,000,000 5.250 10/15/2018 1,003,013
STRIP PRINCIPAL NC 87,500,000 0.000 8/15/2017 48,441,750
STRIPS NC 26,500,000 0.000 8/15/2017 14,608,125
SUNCOR ENERGY NC 4,000,000 5.950 12/1/2034 4,186,797
TELECOM ITALIA CAPITAL NC 6,000,000 6.375 11/15/2033 6,184,729
TENGIZCHEVROIL LLP NC 1,200,000 6.124 11/15/2014 1,203,000
TOYOTA MTR CRED NC 375,000 5.650 1/15/2007 393,978
U S TREASURY BILL 876,000 0.000 2/24/2005 873,372
UNION ELECTRIC NC 2,000,000 5.100 10/1/2019 1,985,843
UNITED MEXICAN STATES NC 450,000 8.125 12/30/2019 529,875
UNITED MEXICAN STS MTN BE NC 2,650,000 4.625 10/8/2008 2,685,775
UNITED STATES MEXICAN NC 300,000 6.750 9/27/2034 296,250
UNIVISION COMM INC NC 790,000 3.875 10/15/2008 785,500
US TREASURY BONDS NC 60,394,000 6.000 2/15/2026 69,203,068
US TREASURY STRIPS(INTEREST PAYM NC 14,000,000 0.000 2/15/2018 7,496,160
US TRESURY NOTES NC 12,510,000 5.000 2/15/2011 13,309,013
VALE OVERSEAS LIMITED NC 3,500,000 8.250 1/17/2034 3,683,750
VERIZON GLOBAL NC 1,500,000 7.750 12/1/2030 1,862,454
VERIZON NEW ENGLAND INC. NC 2,600,000 4.750 10/1/2013 2,532,952
VERIZON NY INC. NC 1,550,000 7.375 4/1/2032 1,784,455
VESSEL MGMT SVC TITLE XI NC 2,390,750 6.080 5/20/2024 2,605,463
VIRGINIA EL&PWR NC 1,000,000 4.750 3/1/2013 992,047
WELLS FARGO & CO NC 2,500,000 4.950 10/16/2013 2,535,735
WELLS FARGO COMPANY NC 2,000,000 5.125 9/15/2016 2,006,269
WFMBS 2003-6 1A1 2,536,679 5.000 6/25/2018 2,561,848
WORLD SAV BK FSB NC 1,000,000 4.125 12/15/2009 1,002,535
XTO ENERGY INC NC 3,000,000 5.000 1/31/2015 2,979,280
TOTAL BOND PORTFOLIO 1,239,583,814

TOTAL GEP BOND PORTFOLIO 1,298,152,364
Portfolio market values do not include accruals.

Public Equity
December 31, 2004

EAFE INDEX FUND 5,515,450 531,508,710
GMO EMERGING MARKETS FUND 1,923,095 33,000,309
RUSSELL 1000 INDEX FUND 742,261 52,926
RUSSELL 3000 INDEX FUND 14,091,347 2,045,917,958
S & P 500 FUTURES 3/05 38 11,530,150
ARK LC GROWTH 378,706 41,699,490
CGT LC CORE 379,454 41,466,429
FRANKLIN PORTFOLIO LC CORE 488,865 53,252,819
FREEMAN LC CORE 270,415 29,556,678
GSAM CONCENTRATED LC GROWTH 432,500 47,445,113
HARRIS LC VALUE 379,505 41,281,525
HOTCHKIS&WILEY LC DIVS. VALUE 435,218 48,494,620
INTECH LC BROAD GROWTH 437,812 47,941,950
LSV LC VALUE 271,796 29,592,064
NWQ LC VALUE 271,464 29,323,046
PZENA LC VALUE 377,065 41,382,644
THORNBURG LC VALUE 378,872 41,424,612
TRANSAMERICA LC GROWTH 327,124 36,236,392
VICTORY LC DIVERSIFIED 271,974 29,080,545
WELLINGTON LC GROWTH 324,483 35,578,700
TOTAL PUBLIC EQUITY 3,264,590,842

PRIVATE EQUITY
December 31, 2004
ISSUER MARKET VALUE

PRIVATE EQUITY DISTRIBUTIONS 1,208,492
BUYOUT FUNDS 45,932,805
INTERNATIONAL PRIVATE EQUITY 19,679,792
VENTURE CAPITAL PARTNERSHIPS 53,597,728
REAL ESTATE 4,000,000
TOTAL PRIVATE EQUITY 124,418,817


TOTAL EQUITY
December 31, 2004
TOTAL EQUITY 3,389,009,659

TOTAL GEP EQUITY PORTFOLIO 3,395,735,109
Portfolio market values do not include accruals.

ABSOLUTE RETURN PORTFOLIO
December 31, 2004
MARKET
NAME SHARES VALUE
AVENUE SPECIAL SITUATION FD III 23,839,672 23,905,851
CAMDEN ST ALBANS PARNERS LTD 11,159 20,625,051
CANYON CAPITAL ADVISORS LLC 9,330 29,604,146
CARL MARKS STRATEGIC INVESTMENTS 16,990,886 23,260,693
DAVIDSON KEMPNER INSTITUTIONAL 25,000,000 29,210,750
DESCARTES PARTNERS L.P. 20,000,000 20,255,140
MAVERICK FUND, LTD 49,483 38,324,240
OCM HIGH YEAELD PLUS CAYMAN FUND 19,762 20,904,317
O'CONNOR GLOBAL FUNDMENTAL 32,606 37,325,770
SIRIOS OVERSEAS FUND, LTD 25,270 41,552,420
ZAXIS OFFSHORE LIMITED 25,000 24,382,350
TOTAL ABSOLUTE RETURN $309,350,728
Source: University of California, Office of the Treasurer of the Regents

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

ACADIAN EMERGING MARKETS FUND 66,730,717.44
AMERICAN CENTURY SC 13,308,285.86
AMEX/KENWOOD SC 15,866,409.49
AQR NON-US 40,545,977.17
ARK ASSET MANAGEMENT CO INC LC 61,337,683.43
AXA ROSENBERG SC 13,606,748.43
BRANDYWINE NON- US 40,281,292.06
BURGUNDY SC 11,552,800.30
CAPITAL GUARDIAN TRUST COMPANY LC 50,212,844.68
CAUSEWAY NON-US 79,217,892.89
CGI EMERGING MARKETS GF 39,719,781.04
CORTINA ASSET MGT SC 5,954,869.96
DELAWARE GROWTH LC 57,949,988.48
DELAWARE INV ADV SC 9,283,647.93
EAFE + CANADA TF INTL INDEX FD 595,367,132.17
FRANKLIN PORTFOLIO ASSOCIATES LC 55,603,005.79
FREEMAN ASSOCIATES INVESTMENT LC 31,924,477.88
GENESIS EMERGING MKT FD 101,402,531.86
GMO NON US 56,028,780.74
GMO TR EMERGING MARKETS 81,520,953.52
GOLDMAN SACHS ASSET MGMT L P LC 48,989,118.83
HANSBERGER NON-US 43,690,327.70
HARRIS ASSOCIATES LP LC 49,789,244.97
HOTCHKIS + WILEY CAP MGMT LC 56,714,072.64
INTECH LC 51,488,150.03
IRONBRIDGE SC 15,446,743.72
JP MORGAN FLEMING NON-US 56,223,512.96
LSV ASSET MANAGEMENT LC 31,946,952.36
MAZAMA SC 13,154,994.23
MFS NON-US 78,382,968.17
MONDRIAN NON US 38,432,616.18
NEW STAR NON US 45,669,822.42
NWQ INVESTMENT MGT CP LLC LC 31,893,795.33
PANAGORA NON-US 40,312,628.80
PZENA INVESTMENT MGMT LC 51,644,541.96
RUSSELL 3000 TF INDEX FUND 1,187,752,618.76
SANDERSON NON US 38,689,253.07
TEMPLETON INSTL FDS EMERGING MRKT 48,141,733.90
THORNBURG MTG INC LC 59,349,907.27
UBS SC 13,810,023.96
VICTORY CAPITAL MGT INC LC 55,116,002.80
WELLINGTON MANAGEMENT CO LLP LC 47,908,392.43
WELLINGTON SC 15,134,543.83
TOTAL EQUITY 3,547,097,787.44
FIXED INCOME
FIXED INCOME - SECURITIES
ALCAN INC 5% 01 Jun 2015 500,000 485,751.65

ALL STATE CORP 7.2% 01 Dec 2009 2,000,000 2,155,272.06
ALLSTATE CORP 5.55% 09 May 2035 1,000,000 979,699.40
AMEREN UN ELEC 5.1% 01 Oct 2019 2,000,000 1,934,733.88
AMERICA MOVIL S A DE C V 5.5% 01 Mar 2014 2,125,000 2,094,803.79
AMERICA MOVIL S A DE C V 5.75% 15 Jan 2015 1,525,000 1,526,113.34
AMERICAN ELEC PWR INC 5.375% 15 Mar 2010 500,000 504,137.27
Source:State Street
AMERICAN ELEC PWR INC 5.25% 01 Jun 2015 1,000,000 997,072.98
AMERICAN GEN FIN CORP MTN 4% 15 Mar 2011 750,000 709,960.50
AMERICAN GEN FIN CORP MTN 4.875% 15 Jul 2012 2,000,000 1,956,955.88
AMERICAN INTL GROUP INC 4.25% 15 May 2013 1,700,000 1,608,115.27
ARCEL FINANCE 7.048% 01 Sep 2011 945,300 948,892.14
AT+T WIRELESS 8.125% 01 May 2012 1,790,000 2,068,301.63
AT+T WIRELESS SVCS INC 8.75% 01 Mar 2031 850,000 1,126,605.38
ATHABASCA OIL SANDS INVTS INC 8.2% 01 Apr 2027 2,000,000 2,535,411.80
BAE SYS HLDGS INC 4.75% 15 Aug 2010 3,300,000 3,240,906.90
BANC AMER ALT LN TR 6% 25 Mar 2034 1,189,198 1,197,228.84
BANC AMER ALTERNATIVE LN TR 6% 25 Feb 2034 1,203,447 1,209,482.70
BANC AMER ALTERNATIVE LN TR 6% 25 Aug 2035 3,345,001 3,365,772.24
BANC AMER ALTERNATIVE LN TR 5.5% 25 Sep 2033 1,991,986 1,958,994.66
BANC AMER FDG CORP 6% 25 Feb 2034 5,933,152 5,975,806.41
BANC AMER FDG CORP 6% 25 Feb 2034 3,610,970 3,605,821.87
BANC AMER MTG SECS INC 5.75% 25 Jan 2035 2,836,710 2,807,885.40
BANC AMER MTG SECS INC 5.18587% 25 Sep 2035 4,895,606 4,835,749.01
BANK AMER CORP 4.75% 01 Aug 2015 1,000,000 970,054.24
BECTON DICKINSON + CO 7% 01 Aug 2027 2,500,000 2,967,736.00
BELLSOUTH CORP 6% 15 Nov 2034 750,000 747,635.25
BELLSOUTH CORP 4.75% 15 Nov 2012 1,500,000 1,460,475.32
BELLSOUTH CORP 5.2% 15 Dec 2016 1,500,000 1,469,421.50
BELLSOUTH TELECOMM INC 6.375% 01 Jun 2028 210,000 217,186.19
BHP BILLITON FIN USA LTD 5.25% 15 Dec 2015 750,000 755,221.65
BHP FINANCE USA 6.42% 01 Mar 2026 500,000 556,071.17
BRAZIL FEDERATIVE REP 10% 07 Aug 2011 700,000 815,500.00
BRAZIL FEDERATIVE REP 8.75% 04 Feb 2025 250,000 276,250.00
BRAZIL FEDERATIVE REP 7.875% 07 Mar 2015 500,000 531,250.00
BRITISH SKY BROADCASTING GROUP 8.2% 15 Jul 2009 1,200,000 1,310,858.09
BRITISH SKY BROADCASTING GROUP 6.875% 23 Feb 2009 2,525,000 2,645,905.91
BURLINGTON RES FIN CO 7.2% 15 Aug 2031 500,000 617,409.10
BURLINGTON RES INC 9.875% 15 Jun 2010 4,590,000 5,479,739.37
CANADIAN NATL RY CO 6.8% 15 Jul 2018 2,790,000 3,191,612.97
CARNIVAL CORP 3.75% 15 Nov 2007 5,315,000 5,196,335.45
CELULOSA ARAUCO Y CONSTITUCION 7.75% 13 Sep 2011 1,360,000 1,508,584.92
CENTEX CORP 5.8% 15 Sep 2009 200,000 202,579.40
CHRYSLER CORP 7.45% 01 Mar 2027 637,000 691,111.90
CINCINNATI GAS + ELEC CO 5.4% 15 Jun 2033 870,000 808,292.64
CITICORP MTG SECS INC 4.5% 25 Aug 2034 3,445,428 3,329,548.44
CITIGROUP INC 5% 15 Sep 2014 2,000,000 1,968,109.58
COMCAST CORP NEW 5.45% 15 Nov 2010 3,000,000 3,018,706.50
CONSOLIDATED NAT GAS CO 5% 01 Mar 2014 700,000 687,439.13
CORPORACION NACIONAL DEL COBRE 7.375% 01 May 2009 2,500,000 2,679,665.00
CORPORACION NACIONAL DEL COBRE 6.375% 30 Nov 2012 1,450,000 1,559,319.85
COX COMMUNICATIONS INC NEW 4.625% 15 Jan 2010 3,360,000 3,248,668.72
CRH AMER INC 5.3% 15 Oct 2013 4,070,000 4,085,315.61
CWMBS INC 5% 25 Nov 2018 1,622,793 1,596,443.88
D R HORTON INC 6.875% 01 May 2013 500,000 521,773.50
D R HORTON INC 5.625% 15 Sep 2014 450,000 433,465.20
DAIMLER CHRYSLER HLDGS 8.5% 18 Jan 2031 650,000 787,201.56
DAIMLERCHRYSLER NORTH AMER 4.875% 15 Jun 2010 550,000 536,533.37
DAIMLERCHRYSLER NORTH AMER HLD 6.5% 15 Nov 2013 1,450,000 1,516,164.54
DBS BK LTD SINGAPORE 1% 15 Nov 2019 2,000,000 1,946,032.00
DELHAIZE AMER INC 8.125% 15 Apr 2011 1,000,000 1,090,067.00
DEVELOPERS DIVERSIFIED RLTY 5.25% 15 Apr 2011 2,315,000 2,295,670.65
DIAGEO CAP PLC 4.375% 03 May 2010 3,600,000 3,519,651.20
DIAMOND OFFSHORE DRILLING INC 4.875% 01 Jul 2015 650,000 631,985.95
EATON CORP 8.1% 15 Aug 2022 1,000,000 1,290,746.40
EMPRESA NACIONAL DE 8.5% 01 Apr 2009 2,670,000 2,912,003.46
EMPRESA NACIONAL DE ELECTRIC 8.35% 01 Aug 2013 200,000 227,783.40
ENBRIDGE ENERGY PARTNERS L P 4.75% 01 Jun 2013 400,000 380,856.40
ENERSIS S A 7.4% 01 Dec 2016 600,000 652,138.20
ENERSIS SA 7.375% 15 Jan 2014 1,200,000 1,290,751.20
ENTERPRISE PRODUCTS OPER 4.95% 01 Jun 2010 5,359,000 5,254,526.24
EQUITY RESIDENTIAL 5.125% 15 Mar 2016 500,000 485,870.59
FED HM LN PC POOL 1B3931 3.552% 01 Oct 2035 4,794,048 4,428,945.51
FED HM LN PC POOL A17995 6.5% 01 Jan 2034 799,304 818,837.18
FED HM LN PC POOL A47345 4.5% 01 Oct 2035 498,765 469,242.37
Source:State Street
FED HM LN PC POOL A47378 4.5% 01 Oct 2035 19,899,039 18,721,188.97
FED HM LN PC POOL B11064 5.5% 01 Nov 2018 1,421,451 1,429,773.58
FED HM LN PC POOL B14157 4% 01 May 2019 5,196,370 4,948,427.79
FED HM LN PC POOL C01676 6% 01 Nov 2033 6,378,020 6,439,368.18
FED HM LN PC POOL C76289 6% 01 Jan 2033 943,338 952,411.53
FED HM LN PC POOL C78940 6% 01 May 2033 825,998 833,942.70
FED HM LN PC POOL C90852 6% 01 Jul 2024 4,875,612 4,946,344.05
FED HM LN PC POOL C90932 5.5% 01 Nov 2025 13,498,651 13,453,175.50
FED HM LN PC POOL E01098 6% 01 Feb 2017 1,847,979 1,884,491.77
FED HM LN PC POOL E01251 5.5% 01 Nov 2017 718,153 722,792.74
FED HM LN PC POOL G01674 5.5% 01 Apr 2034 4,514,768 4,478,087.98
FED HM LN PC POOL G08084 4.5% 01 Oct 2035 9,439,158 8,880,442.53
FEDERAL HOME LN BKS 3.5% 15 Sep 2006 36,375,000 36,065,761.58
FEDERAL HOME LN MTG CORP 3.75% 15 Apr 2007 15,500,000 15,323,476.70
FEDERAL HOME LN MTG CORP 4.25% 28 Feb 2007 47,000,000 46,741,410.70
FEDERAL HOME LOAN MTG CORP 5.875% 21 Mar 2011 1,500,000 1,561,301.70
FEDERAL NATL MTG ASSN 6.25% 01 Feb 2011 16,000,000 16,890,798.40
FEDERAL NATL MTG ASSN 4.625% 01 May 2013 14,450,000 14,056,133.46
FEDERAL NATL MTG ASSN 2.375% 15 Feb 2007 25,000,000 24,366,187.50
FEDERAL NATL MTG ASSN 3.875% 15 Jul 2008 24,250,000 23,791,757.45
FHLMC TBA JAN 30 GOLD SINGLE 6% 01 Dec 2099 40,000,000 40,384,376.00
FIRSTENERGY CORP 6.45% 15 Nov 2011 3,810,000 4,026,971.50
FNMA TBA JAN 30 SINGLE FAM 5.5% 01 Dec 2099 12,000,000 11,881,874.40
FNMA POOL 254308 6.5% 01 May 2017 759,720 780,487.96
FNMA POOL 254373 6.5% 01 Jul 2017 2,998,858 3,080,836.45
FNMA POOL 254719 4.5% 01 Apr 2018 3,059,301 2,983,885.44
FNMA POOL 255257 6% 01 Apr 2024 4,609,969 4,676,461.43
FNMA POOL 255362 6% 01 Aug 2024 3,030,479 3,074,189.05
FNMA POOL 255417 6% 01 Sep 2024 2,296,401 2,329,523.10
FNMA POOL 255813 5% 01 Aug 2035 12,388,703 12,000,755.88
FNMA POOL 545125 6% 01 Aug 2016 2,035,772 2,078,951.62
FNMA POOL 545296 6% 01 Nov 2016 657,343 671,286.13
FNMA POOL 545506 7% 01 Feb 2032 193,566 201,644.37
FNMA POOL 555329 5% 01 Mar 2033 3,356,368 3,264,337.16
FNMA POOL 555967 5.5% 01 Nov 2033 2,978,195 2,954,874.67
FNMA POOL 576412 5.5% 01 Apr 2016 3,159,020 3,180,974.43
FNMA POOL 581706 6.5% 01 Jul 2031 193,573 198,997.52
FNMA POOL 633865 7% 01 Mar 2032 2,376,608 2,475,790.55
FNMA POOL 639018 6.5% 01 Apr 2017 273,856 281,342.57
FNMA POOL 652610 5% 01 Apr 2018 1,304,476 1,292,801.35
FNMA POOL 669991 5.5% 01 Feb 2033 3,099,222 3,074,953.66
FNMA POOL 672415 6.5% 01 Sep 2032 125,197 128,630.56
FNMA POOL 676919 6% 01 Jan 2033 177,389 179,186.41
FNMA POOL 681357 5% 01 Mar 2018 1,973,534 1,955,872.13
FNMA POOL 689076 5% 01 Jun 2018 2,362,217 2,341,076.36
FNMA POOL 689108 5.5% 01 Feb 2033 2,805,585 2,783,615.82
FNMA POOL 689613 4.5% 01 May 2018 1,887,425 1,840,897.37
FNMA POOL 689619 4.5% 01 Jun 2018 1,457,028 1,421,110.47
FNMA POOL 689622 5% 01 Jun 2018 2,179,468 2,159,963.27
FNMA POOL 694431 5% 01 Mar 2018 2,818,657 2,793,431.52
FNMA POOL 695916 5% 01 May 2018 2,428,289 2,406,557.40
FNMA POOL 702021 5.75% 01 May 2033 1,101,362 1,104,050.49
FNMA POOL 702024 5.25% 01 May 2033 3,403,765 3,347,190.53
FNMA POOL 702399 5.5% 01 May 2033 2,248,274 2,230,668.89
FNMA POOL 702895 5% 01 Apr 2018 598,816 593,456.77
FNMA POOL 708598 5.5% 01 Jun 2018 1,587,175 1,596,775.65
FNMA POOL 709844 5% 01 May 2018 1,202,032 1,191,274.96
FNMA POOL 711268 5.5% 01 Nov 2018 670,795 674,852.24
FNMA POOL 721229 5% 01 Jun 2033 2,281,469 2,218,911.30
FNMA POOL 725773 5.5% 01 Sep 2034 10,487,228 10,395,386.60
FNMA POOL 726054 5.5% 01 Jun 2033 2,634,878 2,614,245.99
FNMA POOL 730016 4% 01 Jul 2018 1,796,162 1,714,860.14
FNMA POOL 743272 6% 01 Oct 2033 1,849,023 1,865,434.97
FNMA POOL 747510 6.5% 01 Dec 2033 1,112,168 1,139,674.39
FNMA POOL 747817 4.5% 01 Nov 2018 3,845,380 3,750,587.21
FNMA POOL 748768 7% 01 Nov 2033 730,702 760,877.99
FNMA POOL 748794 6.5% 01 Nov 2033 519,107 531,945.80
FNMA POOL 750871 6% 01 Oct 2033 1,310,089 1,321,717.92
Source:State Street
FNMA POOL 753077 6.5% 01 Dec 2033 2,006,590 2,056,218.45
FNMA POOL 753912 5.5% 01 Dec 2033 4,490,946 4,455,780.12
FNMA POOL 755497 5.5% 01 Nov 2018 1,531,110 1,540,371.44
FNMA POOL 755498 5.5% 01 Nov 2018 1,308,082 1,315,994.18
FNMA POOL 756390 6.5% 01 Sep 2032 2,655,581 2,728,415.58
FNMA POOL 763642 6.5% 01 Jan 2034 1,620,590 1,660,485.25
FNMA POOL 790927 6% 01 Sep 2034 7,051,313 7,113,950.80
FNMA POOL 794024 5.5% 01 Sep 2034 9,500,132 9,416,934.58
FNMA POOL 808168 4.5% 01 Mar 2035 4,836,319 4,554,720.42
FNMA POOL 820266 5.5% 01 Jul 2035 6,917,156 6,849,868.30
FNMA POOL 826743 4.59% 01 Aug 2035 3,260,386 3,185,388.63
FNMA POOL 829196 5% 01 Jul 2035 8,817,995 8,541,862.99
FNMA POOL 841471 5% 01 Oct 2035 9,889,585 9,579,896.89
FNMA POOL 848358 5.5% 01 Dec 2035 3,000,000 2,970,816.74
FORD MTR CR CO 5.7% 15 Jan 2010 950,000 807,500.00
GENERAL ELEC CAP CORP MTN 3.75% 15 Dec 2009 10,050,000 9,648,740.69
GENERAL ELEC CO 1200% 01 Feb 2013 5,500,000 5,490,284.64
GENETECH INC 4.75% 15 Jul 2015 1,300,000 1,261,241.61
GEORGIA PWR CO 5.125% 15 Nov 2012 2,790,000 2,810,514.87
GNMA II POOL 002999 7.5% 20 Nov 2030 249,807 261,897.18
GNMA II POOL 003011 7.5% 20 Dec 2030 144,313 151,297.46
GNMA POOL 598267 6% 15 Jun 2033 543,498 556,114.76
GNMA POOL 603419 5.5% 15 Feb 2033 1,303,953 1,312,747.14
GNMA POOL 612376 5.5% 15 Nov 2033 3,514,037 3,537,735.54
GNMA POOL 781130 7% 15 Jan 2030 455,367 478,434.54
GNMA POOL 781228 7% 15 Dec 2028 125,987 132,366.45
GNMA POOL 781324 7% 15 Jul 2031 371,748 390,522.41
GOLDMAN SACHS CAP I 6.345% 15 Feb 2034 1,050,000 1,105,835.72
GOLDMAN SACHS GROUP INC 4.75% 15 Jul 2013 3,500,000 3,394,402.66
GOLDMAN SACHS GROUP INC 5.15% 15 Jan 2014 3,000,000 2,976,733.92
GRUPO TELEVISA SA 6.625% 18 Mar 2025 1,000,000 1,017,610.09
GRUPO TELEVISA SA DE CV 8.5% 11 Mar 2032 1,100,000 1,325,137.11
GS MTG SECS CORP 6.5% 25 Feb 2035 4,622,563 4,665,147.00
HARRAHS OPER INC 5.5% 01 Jul 2010 2,350,000 2,348,016.69
HSBC FIN CAP TR IX 5.911% 30 Nov 2035 500,000 505,640.34
HSBC FIN CORP 5% 30 Jun 2015 3,000,000 2,916,250.98
HSBC FIN CORP 4.625% 15 Sep 2010 2,000,000 1,956,354.68
HUTCHISON WHAMPOA INTL 6.25% 24 Jan 2014 3,480,000 3,641,851.32
IBM CDA CR SVCS CO 3.75% 30 Nov 2007 2,795,000 2,736,430.78
INGERSOLL RAND CO 4.75% 15 May 2015 500,000 485,277.87
JPMORGAN CHASE + CO 5.15% 01 Oct 2015 3,500,000 3,449,890.71
JPMORGAN CHASE CAP XV 5.875% 15 Mar 2035 250,000 248,676.05
L 3 COMMUNICATIONS CORP 6.125% 15 Jan 2014 480,000 475,200.00
L 3 COMMUNICATIONS CORP 5.875% 15 Jan 2015 2,320,000 2,250,400.00
LEHMAN BROTHERS HLDGS INC 4.25% 27 Jan 2010 2,635,000 2,562,773.73
LEHMAN BROTHERS HLDGS INC 5% 14 Jan 2011 1,500,000 1,497,175.49
LOBLAWS COS LTD CPN RCPTS CDS 0% 23 Nov 2033 40,000,000 7,249,710.54
LORAL CORP 7% 15 Sep 2023 1,150,000 1,317,143.19
LOWES COMPANIES INC 5.5% 15 Oct 2035 1,000,000 1,008,313.14
LUBRIZOL CORP 4.625% 01 Oct 2009 4,500,000 4,414,997.70
LUBRIZOL CORP 5.5% 01 Oct 2014 1,500,000 1,506,142.85
M + I CAPITAL TR A 7.65% 01 Dec 2026 2,800,000 2,946,389.04
M + I MARSHALL + ILSLEY BK 4.4% 15 Mar 2010 2,100,000 2,056,380.52
MARRIOTT INTL INC NEW 4.625% 15 Jun 2012 250,000 241,228.81
MARSH + MCLENNAN COS INC 5.75% 15 Sep 2015 3,000,000 3,019,839.48
MASCO CORP 4.8% 15 Jun 2015 1,150,000 1,068,019.25
MASTR ASSET SECURITIZATION TR 5.5% 25 Nov 2033 6,273,588 6,173,292.49
MASTR ASSET SECURITIZATION TR 5.5% 25 Oct 2019 5,042,764 5,053,424.06
MASTR SEASONED SECURITIZAT TR 6.5% 25 Aug 2032 5,005,265 5,081,825.73
MEDTRONIC INC 4.375% 15 Sep 2010 2,500,000 2,452,322.58
MEDTRONIC INC 4.75% 15 Sep 2015 1,000,000 971,217.65
METLIFE INC 6.375% 15 Jun 2034 250,000 273,519.36
METLIFE INC 5.7% 15 Jun 2035 1,000,000 999,606.55
METROPOLITAN LIFE GLOBAL FDG I 4.5% 05 May 2010 4,000,000 3,922,060.00
MEXICO UNITED MEXICAN STS 8.125% 30 Dec 2019 450,000 555,974.98
MGM MIRAGE 6% 01 Oct 2009 2,300,000 2,285,625.00
MGM MIRAGE 6.75% 01 Sep 2012 800,000 811,000.00
MORGAN STANLEY 4.75% 01 Apr 2014 1,500,000 1,437,660.14
Source:State Street
MORGAN STANLEY 5.375% 15 Oct 2015 3,250,000 3,251,178.29
NATIONWIDE BLDG SOC 4.25% 01 Feb 2010 1,100,000 1,071,879.60
NEWS AMER INC 6.4% 15 Dec 2035 1,000,000 1,006,322.40
NEXTEL COMMUNICATIONS INC 5.9% 15 Mar 2014 1,200,000 1,206,892.18
NISOURCE FIN CORP 7.875% 15 Nov 2010 3,000,000 3,327,429.66
NISOURCE FIN CORP 5.45% 15 Sep 2020 400,000 386,651.06
NORFOLK SOUTHN CORP 6.75% 15 Feb 2011 3,005,000 3,232,616.28
OHIO PWR CO 5.5% 15 Feb 2013 2,000,000 2,030,541.84
OHIO PWR CO 6.6% 15 Feb 2033 900,000 992,129.36
PACIFIC GAS + ELEC CO 4.2% 01 Mar 2011 3,500,000 3,358,004.76
PANAMERICAN BEVERAGES INC 7.25% 01 Jul 2009 3,300,000 3,529,020.33
PC FINL PARTNERSHIP 5% 15 Nov 2014 3,000,000 2,941,079.19
PEMEX PROJ FDG MASTER TR 8.625% 01 Feb 2022 1,750,000 2,162,999.84
PEMEX PROJ FDG MASTER TR 5.75% 15 Dec 2015 1,500,000 1,487,729.99
PEMEX PROJECT FUNDING MASTER T 9.375% 02 Dec 2008 2,530,000 2,801,975.00
PENNEY J C INC 7.125% 15 Nov 2023 1,350,000 1,502,909.10
PENNEY J C INC 7.4% 01 Apr 2037 100,000 111,721.40
PETRO CDA 5.95% 15 May 2035 1,200,000 1,212,837.80
PETROBRAS INTL FIN CO 7.75% 15 Sep 2014 1,800,000 1,944,000.00
PFIZER INC 4.65% 01 Mar 2018 1,250,000 1,200,571.15
PRINCIPAL LIFE INCOME FUNDINGS 5.1% 15 Apr 2014 300,000 299,590.92
PROLOGIS 5.25% 15 Nov 2010 1,400,000 1,396,800.89
QUEST DIAGNOSTICS INC 5.125% 01 Nov 2010 1,750,000 1,752,359.60
RBS CAP TR III 5.512% 29 Sep 2049 3,250,000 3,236,953.33
RESIDENTIAL ACCREDIT LNS INC 5% 25 May 2019 3,869,336 3,796,931.74
RESIDENTIAL CAP CORP 1200.375% 30 Jun 2010 1,500,000 1,524,745.22
RESIDENTIAL FDG MTG SECS I INC 5.5% 25 Dec 2034 1,715,221 1,695,295.44
ROYAL BK SCOTLAND GROUP PLC 6.4% 01 Apr 2009 1,750,000 1,823,474.57
ROYAL CARIBBEAN CRUISES LTD 7.5% 15 Oct 2027 522,000 559,192.50
ROYAL CARIBBEAN CRUISES LTD 6.875% 01 Dec 2013 800,000 847,312.00
SIMON PPTY GROUP L P 4.875% 15 Aug 2010 3,425,000 3,375,247.18
SIMON PPTY GROUP L P 5.625% 15 Aug 2014 750,000 758,922.38
SOUTHERN PWR CO 4.875% 15 Jul 2015 1,500,000 1,448,442.89
SPRINT CAP CORP 6.875% 15 Nov 2028 500,000 547,237.09
SPRINT CAP CORP 6.9% 01 May 2019 2,345,000 2,579,862.11
STRUCTURED ASSET SECS CORP 5.5% 25 Jul 2033 3,898,667 3,823,455.92
STRUCTURED ASSET SECS CORP 6% 25 Aug 2035 4,709,887 4,720,191.88
SYSCO CORP 4 2 5.375% 21 Sep 2035 500,000 493,557.86
TELECOM ITALIA CAP 4% 15 Jan 2010 3,800,000 3,627,540.57
TELEFONOS DE MEXICO S A 4.5% 19 Nov 2008 1,227,000 1,203,551.99
TELOFONOS DE MEXICO SA 5.5% 27 Jan 2015 3,000,000 2,959,500.00
TEMASEK FINL LTD 4.5% 21 Sep 2015 2,000,000 1,924,268.00
TENGIZCHEVROIL FIN CO S AR L 6.124% 15 Nov 2014 2,675,000 2,720,475.00
THOMSON CORP 5.5% 15 Aug 2035 750,000 729,384.04
TIME WARNER ENTMT CO L P 8.375% 15 Mar 2023 1,225,000 1,419,751.28
TOYOTA MTR CR CORP 4.25% 15 Mar 2010 375,000 365,932.56
TRANSOCEAN SEDCO FOREX INC 7.5% 15 Apr 2031 900,000 1,135,086.48
UNITED MEXICAN STS 4.625% 08 Oct 2008 3,040,000 3,008,080.00
UNITED STATES TREAS BD STRIP 0% 15 Aug 2025 7,300,000 2,954,681.28
UNITED STATES TREAS BDS 2.375% 15 Jan 2025 20,321,590 21,400,869.66
UNITED STATES TREAS BDS 3.625% 15 Apr 2028 13,656,436 17,653,128.78
UNITED STATES TREAS NTS 2% 15 Jan 2014 17,168,228 17,083,760.32
UNITED STATES TREAS NTS 0% 15 Jul 2014 15,626,627 15,553,338.60
UNITED STATES TREAS NTS 0.875% 15 Apr 2010 22,576,090 21,468,281.49
UNITED STATES TREAS NTS 1.625% 15 Jan 2015 15,426,250 14,873,064.75
UNITED STATES TREAS NTS 1.875% 15 Jul 2015 13,549,206 13,333,231.22
UNITED STATES TREAS NTS 1.875% 15 Jul 2013 16,640,875 16,421,215.33
UNITED STATES TREAS NTS 3% 15 Jul 2012 17,874,837 18,909,611.37
UNITED STATES TREAS NTS 3.5% 15 Aug 2009 33,000,000 32,046,300.33
UNITED STATES TREAS NTS 2.5% 30 Sep 2006 35,400,000 34,900,858.58
Source:State Street
UNITED STATES TRES BD STRP PRN 0% 15 Aug 2017 29,100,000 17,233,018.25
UNITED STATES TRES BD STRP PRN 0% 15 Nov 2018 31,500,000 17,545,391.96
UNITED STATES TRES BD STRP PRN 0% 15 May 2018 12,100,000 6,902,979.34
UNITED STATES TRES SC STRP INT 0% 15 Feb 2018 6,800,000 3,913,950.12
UNITED STATES TRES SC STRP INT 0% 15 May 2017 45,000,000 26,863,855.20
VALE OVERSEAS LTD 8.25% 17 Jan 2034 2,450,000 2,820,562.50
VALERO ENERGY CORP NEW 7.5% 15 Apr 2032 500,000 605,929.45
VESSEL MGMT SVCS INC 6.08% 20 May 2024 2,268,750 2,450,204.63
VIRGINIA ELEC + PWR CO 4.75% 01 Mar 2013 700,000 681,745.86
WACHOVIA CORP NEW 5.5% 01 Aug 2035 500,000 486,275.03
WAL MART STORES INC 5.25% 01 Sep 2035 - -
WAMU MTG PASS THROUGH CTFS 5% 25 Nov 2018 1,603,791 1,573,825.93
WAMU MTG PASS THROUGH CTFS 5.5% 25 Aug 2035 7,144,921 7,079,902.76
WELLS FARGO + CO NEW 3.5% 04 Apr 2008 2,320,000 2,255,487.92
WELLS FARGO + CO NEW 4.95% 16 Oct 2013 2,500,000 2,482,408.73
WELLS FARGO + CO NEW 5.125% 15 Sep 2016 2,000,000 1,982,916.56
WELLS FARGO MTG BACKED SECS 5% 25 Jun 2018 2,037,119 2,000,833.87
WELLS FARGO MTG BACKED SECS 5% 25 Jan 2020 2,992,879 2,936,523.81
WELLS FARGO MTG BACKED SECS TR 5.395% 25 Aug 2035 14,053,804 13,924,520.45
WESTAR ENERGY INC 5.15% 01 Jan 2017 1,000,000 972,536.00
WORLD SVGS BK FSB OAKLAND CALI 4.125% 15 Dec 2009 5,385,000 5,226,784.82
WRIGLEY WM JR CO 4.65% 15 Jul 2015 2,250,000 2,202,599.14
WYETH 5.5% 01 Feb 2014 1,750,000 1,772,773.01
XTO ENERGY INC 5% 31 Jan 2015 2,500,000 2,444,759.55
XTO ENERGY INC 5.3% 30 Jun 2015 500,000 500,397.46
TOTAL FIXED INCOME 1,270,396,673.37
ALTERNATIVE ASSETS
PRIVATE EQUITY
ACCEL VIII LP 558,245.25

AIG ASIAN INFRASTRUCTURE FNDII 3,393,080.83
AIG ASIAN INFRASTRUCTURE FUND 488,756.81
AIG GE CAPITAL LATIN AMERICA 8,121,730.17
AIG INDIAN SECTORAL EQUITY 641,849.16
ALTA SUB DEB III 191,958.00
ARCH VENTURE FUND VI, LP 838,600.00
ARSENAL CAP PTNERS 3,296,847.17
BAIN CAPITAL FUND VIII 2,278,397.02
BAIN CAPITAL VIII COINVETMENT 711,401.50
BLACKSTONE CAP PARTN IV LP 12,439,338.18
BLUERUN VENTURES III 868,410.00
CANAAN EQUITY PARTNERS VII 1,539,123.04
CENTURY PARK CAPITAL PTNS II 225,587.04
CHARLESBANK EQUITY FUND VI 1,121,946.30
CHINAVEST IV LTD PTNRS 180,603.00
CLAREMONT CREEK VENTURES LP 130,560.00
CLEARSTONE VENTURE PARTNERS 817,583.76
DARWIN VENTURE CAPITAL FUNDS 116,698.49
DCM IV 616,185.63
DE NOVO VENTURES II LP 2,002,039.31
DOMAIN PARTNERS VI LP 1,533,458.54
EOS CAPITAL PARTNERS III 1,510,886.52
EQUITY DISTRIBUTION SECURITIES 452,218.06
FORTRESS INVESTMENT FUND III 832,736.11
FREMONT PARTNERS III 1,555,460.14
GENSTAR CAPITAL PARTNERS IV 1,314,533.09
GLENCOE CAP INSTL PARTNERS III 449,020.83
GLENCOE CAPITAL PARTNERS III 1,721,002.35
GLOBESPAN CAPITAL PARTNERS IV 1,885,382.52
GOLDER THOMA CRESSEY RAUNER 25,670.45
GOLDER THOMA CRESSEY RAUNER V 1,935,132.29
GRAHAM PARTNERS II 1,133,608.86
GRANITE GLOBAL VENTURES II LP 2,702,533.66
HUMMER WINVLAD VENTURE PTR III 150,776.94
Source:State Street
INSIGHT VENTURE PARTNERS V 3,046,880.40
INSIGHT VENURE PARTNERS V 466,517.06
INSTITUTE VENTURES PTNS VI 183,976.80
INSTITUTIONAL VENTURE PARTNS 157,916.16
INSTITUTIONAL VENTURE PTR VIII 985,927.39
INTERSOUTH PARTNERS V LP 883,403.68
INTERSOUTH PARTNERS VI 1,072,624.22
INTERWEST PARTNERS IV 487.20
INTERWEST PARTNERS IX 920,000.00
INTERWEST PARTNERS V LP 169,848.76
INTERWEST PARTNERS VI LP 231,858.92
INTERWEST PARTNERS VII LP 1,113,858.48
INTERWEST PARTNERS VIII 2,101,920.00
INVERNESS PARTNERS II LP 1,551,034.58
IVP VII 1,134,967.67
JLL PARTNERS FUND V, LP 2,711,810.00
KELSO INVESTMENT ASSOC VII 3,671,290.29
KODIAK VENTURES III 942,178.11
KPCB AGG INVESTMENT GEP 4,049,171.35
KRG CAPITAL III LP 1,451,458.99
LAKE CAPITAL PARTNERS LP 2,410,871.03
LATIN AMERICAN CAPITAL II LP 3,441,460.12
LIGHTHOUSE CAPITAL PARTNERS V 3,347,321.00
LINDSAY GOLDBERG + BESSEMER LP 3,405,701.12
MAYFIELD VIII 298,460.50
NOVAK BIDDLE VENTURE PARTNERS 303,544.50
OXFORD BIOSCIENCE IV 1,667,224.00
OXFORD BIOSCIENCE PARTNERS III 966,540.00
PALOMAR VENTURES III 903,534.30
PERSEUS 2000 EXPANSION 2,893,378.42
PERSEUS SOROS BIO PHARM LP 1,580,673.22
POLARIS VENTURE PARTNERS III 1,054,929.91
POLARIS VENTURE PARTNERS IV 2,784,390.00
REDPOINT VENTURE I LP 852,646.50
REDPOINT VENTURES II LP 1,204,455.36
SEQUOIA AGGREGATE INVESTMENT 4,956,935.90
SKM EQUITY FUND II 3,064,626.26
SUN CAPITAL IV LP 1,596,067.20
TECHNOLOGY PARTNERS WEST FD IV 103,033.20
UPDATA PARTNERS III 1,316,543.59
VENTURE STRATEGY PARTN II L P 513,801.60
VENTURE STRATEGY PARTNERS III 5,623.50
VERSANT VENTURE CAPITAL II LP 1,350,600.00
VERSANT VENTURES I LP 2,403,006.00
WARBURG PINCUS 391,677.92
WARBURG PINCUS IX 13,320,000.00
WARBURG PINCUS PRT EQT VIII 40,000.00
WCAS CAPITAL PARTNERS II 475,052.50
WCAS III 14,878,620.00
WCAS VI 712,407.10
WELSH CARSON ANDERSON + STOWE 3,889,050.00
WICKS COMM + MEDIA PRTNS III 458,481.09
REAL ESTATE
AMB INSTITUTIONAL ALLIANCE 3,172,980.00

PRISA II PRUDENTIAL REAL EST. 7,528,442.39
REALTY ASSOCIATES FUND VII 10,000,000.00
ABSOLUTE RETURN
AVENUE SPECIAL SITUATIONS III 14,334,006.14

CAMDEN ST ALBANS PARTNERS LTD 20,307,804.34
CANYON VALUE REALIZATION FD 53,463,763.92
CARL MARKS STRATEGIC INV LP 24,868,897.19
DAVIDSON KEMPNER INST PRTNR 53,015,400.00
Source:State Street
IVY RISING STARS OFFSHORE FD 36,124,109.42
MAVERICK FUND LTD 40,424,140.09
OCM HIGH YIELD PLUS 22,177,531.00
OCONNOR GLOBAL FUNDAMENTAL 52,007,631.43
OZ OVERSEAS FUND LTD 41,960,790.56
SATELLITE CREDIT OPPORTUNITIES 21,218,940.00
SATELLITE OVERSEAS LTD PRTNSHP 41,677,895.60
SIRIOS FUND 46,178,549.56
TOTAL ALTERNATIVE ASSETS 649,680,028.56
TOTAL SECURITIES 5,467,174,489.37
CASH & CASH EQUIVALENTS 40,813,581.76
ACCOUNTS RECEIVABLE & ACCRUED INCOME 11,920,912.04
ACCOUNTS PAYABLE (103,443.24)
TOTAL NET ASSETS 5,519,805,539.93
Source:State Street
GEP
EQUITY INVESTMENTS
(SC = Small Cap LC = Large Cap)
Security Name Interest Rate Maturity Date Shares/Par Value Base Market Value
ACADIAN EMERGING MARKETS FUND 87,824,529.60
ADAGE CAPITAL LC 29,232,234.00
AMERICAN CENTURY SC 14,113,054.66
AMEX/KENWOOD SC 18,829,824.00
AQR NON-US 49,796,711.08
ARK ASSET MANAGEMENT CO INC LC 61,637,926.86
AXA ROSENBERG SC 15,418,061.62
BRANDYWINE NON- US 50,262,218.07
BURGUNDY SC 14,164,934.48
CAPITAL GUARDIAN TRUST COMPANY LC 54,730,627.54
CAUSEWAY NON-US 97,988,878.73
CGI EMERGING MARKETS GF 20,470,461.14
CORTINA ASSET MGT SC 12,140,050.40
DELAWARE GROWTH LC 59,298,321.87
DELAWARE INV ADV SC 10,210,412.92
EAFE + CANADA TF INTL INDEX FD 681,528,781.69
FRANKLIN PORTFOLIO ASSOCIATES LC 89,899,018.12
FREEMAN ASSOCIATES INVESTMENT LC 62,028,386.51
GENESIS EMERGING MKT FD 130,105,182.12
GMO NON US 70,307,538.41
GMO TR EMERGING MARKETS 103,224,843.49
GOLDMAN SACHS ASSET MGMT L P LC 53,541,819.12
HANSBERGER NON-US 53,622,797.07
HARRIS ASSOCIATES LP LC 57,650,148.49
HOTCHKIS + WILEY CAP MGMT LC 64,527,251.00
INTECH LC 54,817,817.53
IRONBRIDGE SC 12,042,884.46
JP MORGAN FLEMING NON-US 67,841,642.79
LSV ASSET MANAGEMENT LC 37,701,546.75
MAZAMA SC 11,189,144.66
MFS NON-US 97,392,910.41
MONDRIAN NON US 48,649,808.54
NEW STAR NON US 54,401,977.17
NWQ INVESTMENT MGT CP LLC LC 37,156,366.75
PANAGORA NON-US 52,047,224.50
PZENA INVESTMENT MGMT LC 59,541,719.63
RUSSELL 3000 TF INDEX FUND 1,032,947,881.59
SANDERSON NON US 48,436,185.31
TEMPLETON INSTL FDS EMERGING MRKT 12,939,338.68
THORNBURG MTG INC LC 71,809,858.71
UBS SC 11,101,115.36
VICTORY CAPITAL MGT INC LC 62,186,258.71
WELLINGTON MANAGEMENT CO LLP LC 49,747,709.06
WELLINGTON SC 14,367,127.62
TOTAL EQUITY - 3,798,872,531.22
Source: State Street 1

FIXED INCOME
ALBERTSONS INC 7.25 5/1/2013 1,300,000 1,322,282.00

ALL STATE CORP 7.2 12/1/2009 2,000,000 2,109,164.88
AMEREN UN ELEC 5.1 10/1/2019 1,000,000 924,339.37
AMERICA MOVIL S A DE C V 6.375 3/1/2035 3,000,000 2,926,929.00
AMERICA MOVIL S A DE C V 6.375 3/1/2035 1,000,000 975,643.00
AMERICAN ELEC PWR INC 5.375 3/15/2010 2,500,000 2,486,955.83
AMERICAN GEN FIN CORP MTN 4.875 7/15/2012 2,000,000 1,950,086.98
AMERICAN INTL GROUP INC 4.25 5/15/2013 1,700,000 1,599,682.34
AMERICAN INTL GROUP INC 5.05 10/1/2015 1,000,000 975,476.07
ANADARKO PETE CORP 5.95 9/15/2016 1,500,000 1,502,676.89
ASSET BACKED FUNDING CERTIFICA 5.49 1/25/2037 1,965,265 1,965,295.92
AT+T WIRELESS 8.125 5/1/2012 790,000 888,356.42
AT+T WIRELESS SVCS INC 8.75 3/1/2031 850,000 1,101,546.36
BAE SYS HLDGS INC 4.75 8/15/2010 1,300,000 1,265,048.20
BANK AMER CORP 5.42 3/15/2017 3,000,000 2,976,765.00
BCP CRYSTAL U S HLDGS CORP 9.625 6/15/2014 3,000,000 3,315,000.00
BEAR STEARNS ARM TR 4.625 2/25/2036 13,914,251 13,670,999.44
BEAR STEARNS ARM TRUST 4.756902 12/25/2035 13,962,546 13,812,568.53
BEAR STEARNS ASSET BKD SEC 5.45 7/25/2036 5,748,828 5,748,917.86
BEAR STEARNS AST BKD SECS TR 5.45 10/25/2036 4,676,856 4,679,049.65
BECTON DICKINSON + CO 7 8/1/2027 500,000 567,204.15
BOYD GAMING CORP 7.125 2/1/2016 3,000,000 2,985,000.00
BRAZIL FEDERATIVE REP 9.25 10/22/2010 4,500,000 5,085,000.00
BRAZIL FEDERATIVE REP 10 8/7/2011 4,500,000 5,310,000.00
BRAZIL FEDERATIVE REP 8.75 2/4/2025 250,000 308,750.00
C10 CAP SPV LTD 6.722 12/1/2049 1,550,000 1,556,820.00
CANADIAN NATL RY CO 6.8 7/15/2018 1,790,000 1,993,406.47
CARNIVAL CORP 3.75 11/15/2007 2,815,000 2,771,327.53
CASE NEW HOLLAND INC 7.125 3/1/2014 4,000,000 4,060,000.00
CCSA FIN LTD 7.875 5/17/2016 1,000,000 1,072,500.00
CCSA FIN LTD 7.875 5/17/2016 3,000,000 3,217,500.00
CELULOSA ARAUCO Y CONSTITUCION 7.75 9/13/2011 700,000 755,223.00
CENTEX CORP 5.25 6/15/2015 500,000 473,676.80
CHESAPEAKE ENERGY CORP 6.375 6/15/2015 3,000,000 2,970,000.00
CHESAPEAKE ENERGY CORP 6.375 6/15/2015 500,000 495,000.00
CHRYSLER CORP 7.45 3/1/2027 1,137,000 1,216,071.87
CISCO SYS INC 5.25 2/22/2011 2,000,000 2,004,885.72
CITIGROUP INC 5.85 8/2/2016 3,000,000 3,098,868.72
COLOMBIA REP 8.25 12/22/2014 1,000,000 1,135,000.00
COLOMBIA REP 7.375 1/27/2017 6,000,000 6,450,000.00
COLUMBIA REP 9.75 4/23/2009 1,000,000 1,090,000.00
COLUMBIA REP 7.375 9/18/2037 500,000 536,750.00
COMCAST CORP NEW 5.45 11/15/2010 2,000,000 2,007,340.24
COMCAST CORP NEW 5.875 2/15/2018 700,000 691,083.69
COMPANHIA BRASILEIRA BEBIDAS 8.75 9/15/2013 1,000,000 1,165,000.00
COMPANHIA BRASILEIRA BEBIDAS 8.75 9/15/2013 1,000,000 1,165,000.00

CONSTELLATION BRANDS INC 7.25 9/1/2016 2,500,000 2,568,750.00
CORPORACION NACIONAL DEL COBRE 6.375 11/30/2012 1,450,000 1,513,565.10
COSTA RICA REP 6.548 3/20/2014 2,000,000 2,037,000.00
COX COMMUNICATIONS INC MTN 6.95 1/15/2028 500,000 515,118.50
COX COMMUNICATIONS INC NEW 5.875 12/1/2016 1,000,000 992,907.00
CRH AMER INC 6 9/30/2016 2,000,000 2,016,698.16
D R HORTON INC 6.125 1/15/2014 500,000 496,461.00
D R HORTON INC 5.625 9/15/2014 1,500,000 1,451,710.62
DAIMLERCHRYSLER NTH AMER HLDG 5.75 9/8/2011 1,250,000 1,248,266.13
DELHAIZE AMER INC 8.125 4/15/2011 1,000,000 1,078,756.00
DENBURY RES INC DEL 7.5 4/1/2013 2,500,000 2,537,500.00
DEVELOPERS DIVERSIFIED RLTY 5.25 4/15/2011 1,000,000 985,913.24
DIRECTV HLDGS LLC 6.375 6/15/2015 300,000 287,625.00
DOMINION RES INC VA NEW 6.3 9/30/2066 1,000,000 1,004,674.76
DPL INC 6.875 9/1/2011 1,500,000 1,574,185.98
EMBARQ CORP 7.082 6/1/2016 1,200,000 1,221,967.07
EMPRESA NACIONAL DE 8.5 4/1/2009 2,670,000 2,843,016.08
EMPRESA NACIONAL DE ELECTRIC 8.35 8/1/2013 200,000 225,164.00
ENERSIS SA 7.375 1/15/2014 700,000 752,297.01
ENTERPRISE PRODS OPER L P 8.375 8/1/2066 3,500,000 3,791,221.00
ENTERPRISE PRODUCTS OPER 4.95 6/1/2010 2,359,000 2,315,251.45
EQUISTAR CHEMICALS PL FDG CORP 8.75 2/15/2009 2,000,000 2,095,000.00
EQUISTAR CHEMICALS PL FDG CORP 8.75 2/15/2009 500,000 523,750.00
EQUITY RESIDENTIAL 5.125 3/15/2016 1,500,000 1,443,504.65
FEDERAL HOME LN BANK 4.25 9/26/2007 11,000,000 10,916,296.60
FEDERAL HOME LN MTG CORP 5.25 5/21/2009 12,000,000 12,077,312.40
FEDERAL NATL MTG ASSN 2.375 2/15/2007 6,360,000 6,338,922.96
FEDERAL NATL MTG ASSN 5 9/14/2007 13,000,000 12,971,494.90
FEDERAL NATL MTG ASSN 6 8/22/2016 12,000,000 12,080,634.00
FNMA TBA JAN 15 SINGLE FAM 5.5 12/1/2099 41,000,000 40,987,187.50
FNMA TBA JAN 15 SINGLE FAM 5 12/1/2099 35,000,000 34,403,908.00
FNMA TBA JAN 15 SINGLE FAM 4.5 12/1/2099 26,000,000 25,075,780.60
FNMA TBA JAN 30 SINGLE FAM 5 12/1/2099 35,000,000 33,785,937.50
FNMA POOL 702021 5.75 5/1/2033 969,361 969,512.57
FNMA POOL 702024 5.25 5/1/2033 3,079,164 3,016,557.84
FNMA POOL 730016 4 7/1/2018 1,573,666 1,483,717.94
FORD MTR CO DEL 7.45 7/16/2031 2,000,000 1,570,000.00
FORD MTR CR CO 6.625 6/16/2008 1,500,000 1,498,980.00
FORD MTR CR CO 5.7 1/15/2010 1,450,000 1,382,987.24
FORD MTR CR CO 8 12/15/2016 1,200,000 1,185,780.00
FPL GROUP CAP INC 6.35 10/1/2066 1,500,000 1,519,967.09
GAZ CAP SA LUXEMBOURG 6.212 11/22/2016 3,500,000 3,524,500.00
GAZ CAPITAL 8.625 4/28/2034 2,000,000 2,570,000.00
GAZPROM INTL S A 7.201 2/1/2020 1,000,000 1,057,500.00
GENERAL ELEC CAP CORP MTN 3.75 12/15/2009 2,250,000 2,165,326.83
GENERAL ELEC CAP CORP MTN 5.875 2/15/2012 1,750,000 1,799,881.79
GENERAL ELEC CO 5 2/1/2013 2,500,000 2,469,713.98
GENERAL MTRS ACCEP CORP 5.85 1/14/2009 3,000,000 2,988,630.00
GENERAL MTRS ACCEP CORP 5.625 5/15/2009 250,000 247,490.25
GENERAL MTRS ACCEP CORP 6.875 9/15/2011 500,000 515,219.25
GENERAL MTRS CORP 8.375 7/15/2033 1,500,000 1,387,500.00
GENETECH INC 4.75 7/15/2015 1,300,000 1,244,121.98
GMAC LLC 6.125 1/22/2008 2,000,000 1,995,620.00
GOLDMAN SACHS CAP I 6.345 2/15/2034 1,550,000 1,565,023.08

GOLDMAN SACHS GROUP INC 5.15 1/15/2014 2,000,000 1,964,776.46
GOLDMAN SACHS GROUP INC 6.45 5/1/2036 1,500,000 1,562,822.91
GRUPO TELEVISA SA 6.625 3/18/2025 3,620,000 3,759,891.28
GRUPO TELEVISA SA 6.625 3/18/2025 700,000 727,050.80
GSAMP 5.43 6/25/2036 5,000,000 5,000,000.00
HARRAHS OPER INC 5.5 7/1/2010 1,000,000 980,151.00
HARRAHS OPER INC 5.5 7/1/2010 1,350,000 1,323,203.85
HCA INC 9.125 11/15/2014 600,000 641,250.00
HERTZ CORP 8.875 1/1/2014 3,500,000 3,666,250.00
HOVNANIAN K ENTERPRISES INC 6.25 1/15/2015 1,500,000 1,425,000.00
HOVNANIAN K ENTERPRISES INC 6.25 1/15/2015 1,000,000 950,000.00
HOVNANIAN K ENTERPRISES INC 7.5 5/15/2016 1,000,000 1,005,000.00
HSBC FIN CAP TR IX 5.911 11/30/2035 2,800,000 2,830,111.45
HSBC FIN CORP 4.625 9/15/2010 2,000,000 1,959,448.86
HUTCHISON WHAMPOA INTL 6.25 1/24/2014 1,000,000 1,038,360.00
IDEARC INC 8 11/15/2016 1,200,000 1,218,000.00
INDYMAC INDX MTG LN TR 5.072727 11/25/2036 8,384,230 8,385,508.97
INTERNATIONAL FIN FAC 5 11/14/2011 1,250,000 1,238,853.75
ITC HLDGS CORP 5.875 9/30/2016 700,000 694,660.40
JPMORGAN CHASE + CO 5.15 10/1/2015 2,500,000 2,454,228.40
JPMORGAN CHASE CAP XV 5.875 3/15/2035 1,250,000 1,218,871.11
KERR MCGEE CORP 6.95 7/1/2024 1,000,000 1,067,282.10
L 3 COMMUNICATIONS CORP 6.125 1/15/2014 1,480,000 1,446,700.00
LEHMAN BROS HLDGS INC 5.75 1/3/2017 1,500,000 1,520,014.68
LOBLAWS COS LTD CPN RCPTS CDS 0 11/23/2033 15,000,000 2,630,856.36
LORAL CORP 7 9/15/2023 1,150,000 1,299,315.89
LUBRIZOL CORP 4.625 10/1/2009 2,000,000 1,955,219.60
LYONDELL CHEMICAL CO 8 9/15/2014 1,000,000 1,037,500.00
MEDTRONIC INC 4.375 9/15/2010 1,500,000 1,457,599.19
METLIFE INC 6.4 12/15/2036 1,000,000 1,008,499.95
METROPOLITAN LIFE GLOBAL FDG I 4.5 5/5/2010 2,000,000 1,962,074.00
MEXICO UNITED MEXICAN STS 8.125 12/30/2019 450,000 546,750.00
MGM MIRAGE 6 10/1/2009 2,300,000 2,294,250.00
MGM MIRAGE 6.75 9/1/2012 3,800,000 3,743,000.00
MORGAN STANLEY IXIS REAL ESTAT 5.35 7/25/2036 39,982,700 39,970,225.22
NATIONAL GAS CO TRINIDAD + TOB 6.05 1/15/2036 1,500,000 1,462,945.50
NEIMAN MARCUS GROUP INC 10.375 10/15/2015 1,300,000 1,446,250.00
NEVADA PWR CO 6.5 5/15/2018 1,000,000 1,036,660.00
NEWS AMER INC 6.4 12/15/2035 1,000,000 1,000,022.51
NEXTEL COMMUNICATIONS INC 5.95 3/15/2014 1,200,000 1,174,500.00
NORFOLK SOUTHN CORP 6.75 2/15/2011 2,000,000 2,096,790.00
OHIO PWR CO 6.6 2/15/2033 1,900,000 2,020,691.14
OWENS BROCKWAY GLASS CONTAINER 7.75 5/15/2011 1,500,000 1,541,250.00
OWENS BROCKWAY GLASS CONTAINER 6.75 12/1/2014 2,000,000 1,940,000.00
PACIFIC GAS + ELEC CO 4.2 3/1/2011 2,000,000 1,913,410.64
PANAMA REP 7.25 3/15/2015 3,500,000 3,788,750.00
PANAMA REP 7.125 1/29/2026 2,000,000 2,160,000.00
PANAMERICAN BEVERAGES INC 7.25 7/1/2009 3,300,000 3,432,000.00
PEMEX PROJ FDG MASTER TR 9.375 12/2/2008 1,530,000 1,637,100.00
PEMEX PROJ FDG MASTER TR 8.625 2/1/2022 750,000 927,000.00
PENNEY J C INC 7.125 11/15/2023 1,405,000 1,545,953.96

PERU REP 9.125 2/21/2012 3,000,000 3,465,000.00
PERU REP 8.375 5/3/2016 1,000,000 1,187,500.00
PERU REP 7.35 7/21/2025 1,000,000 1,130,000.00
PETROBRAS INTL FIN CO 7.75 9/15/2014 1,000,000 1,112,500.00
PHILIPPINE LONG DIST TEL CO ME 8.35 3/6/2017 1,006,000 1,141,810.00
PHILIPPINES REP 8.375 2/15/2011 4,250,000 4,653,750.00
PHILIPPINES REP 8.25 1/15/2014 1,000,000 1,128,750.00
PHILIPPINES REP 8.25 1/15/2014 1,000,000 1,128,750.00
PHILIPPINES REP 8 1/15/2016 3,850,000 4,379,375.00
PHILIPPINES REP 9.375 1/18/2017 1,300,000 1,602,250.00
PHILIPPINES REP 7.75 1/14/2031 2,500,000 2,837,500.00
PREMCOR REFNG GROUP INC 6.75 5/1/2014 2,000,000 2,096,137.00
PROLOGIS 5.625 11/15/2016 1,000,000 988,810.27
QUEST DIAGNOSTICS INC 5.125 11/1/2010 1,750,000 1,727,349.42
QUEST DIAGNOSTICS INC 5.45 11/1/2015 500,000 481,170.85
R H DONNELLEY CORP 6.875 1/15/2013 4,000,000 3,835,000.00
RAS LAFFAN LIQUEFIED NAT GAS 6.332 9/30/2027 1,000,000 1,012,890.00
RAS LAFFAN LIQUEFIED NAT GAS 6.332 9/30/2027 700,000 709,023.00
RAS LAFFAN LNG 5.832 9/30/2016 1,300,000 1,305,857.28
RBS CAP TR III 5.512 9/29/2049 3,250,000 3,215,001.11
RESIDENTIAL CAP CORP 6 2/22/2011 2,100,000 2,098,149.82
ROGERS CABLE INC 6.75 3/15/2015 3,500,000 3,606,190.00
ROYAL CARIBBEAN CRUISES LTD 6.875 12/1/2013 800,000 810,916.80
ROYAL CARIBBEAN CRUISES LTD 7.5 10/15/2027 522,000 511,435.76
RUSSIAN FEDERATION 10 6/26/2007 3,000,000 3,063,000.00
RUSSIAN FEDN 8.25 3/31/2010 5,055,635 5,283,138.95
RUSSIAN FEDN 5 3/31/2030 10,000,000 11,312,500.00
SABMILLER PLC 6.2 7/1/2011 3,000,000 3,070,596.00
SBC COMMUNICATIONS INC 6.15 9/15/2034 2,000,000 1,963,382.56
SIEMENS FINANCIERINGSMAATSCHAP 6.125 8/17/2026 2,000,000 2,043,538.00
SIMON PPTY GROUP L P 4.875 8/15/2010 2,000,000 1,965,631.26
SOCIEDAD QUIMICA Y MINERA DE 6.125 4/15/2016 900,000 904,131.00
SOUTHERN PWR CO 4.875 7/15/2015 2,000,000 1,891,654.96
SPRINT CAP CORP 6.9 5/1/2019 450,000 463,352.23
SPRINT CAP CORP 6.875 11/15/2028 500,000 500,815.39
SUNGARD DATA SYS INC 9.9725 8/15/2013 400,000 415,500.00
SUNGARD DATA SYSTEMS 10.25 8/15/2015 500,000 533,750.00
TECO ENERGY INC 7 5/1/2012 1,000,000 1,052,500.00
TELEFONOS DE MEXICO S A 4.5 11/19/2008 1,227,000 1,204,868.60
TELOFONOS DE MEXICO SA 5.5 1/27/2015 2,000,000 1,946,928.00
TEMASEK FINL LTD 4.5 9/21/2015 1,000,000 948,836.00
TENGIZCHEVROIL FIN CO S AR L 6.124 11/15/2014 3,675,000 3,665,812.50
TENGIZCHEVROIL FIN CO S AR L 6.124 11/15/2014 1,000,000 997,500.00
TEVA PHARMACEUTICAL FIN CO LLC 6.15 2/1/2036 750,000 730,209.16
TIME WARNER ENTMT CO L P 8.375 3/15/2023 500,000 584,165.77
TRANSOCEAN SEDCO FOREX INC 7.5 4/15/2031 900,000 1,019,914.06
TURKEY REP 10.5 1/13/2008 4,000,000 4,200,000.00
TURKEY REP 7.25 3/15/2015 5,000,000 5,168,750.00
TURKEY REP 7.375 2/5/2025 2,500,000 2,562,500.00
TURKEY REP 6.875 3/17/2036 2,000,000 1,910,000.00
UNITED MEXICAN STS 6.75 9/27/2034 1,000,000 1,080,000.00
UNITED MEXICAN STS MTN 5.625 1/15/2017 6,500,000 6,506,500.00
UNITED STATES TREAS BD 0 11/15/2027 16,350,000 5,942,407.50

UNITED STATES TREAS BDS 2.375 1/15/2025 24,364,073 24,270,515.00
UNITED STATES TREAS BDS 2 1/15/2026 15,835,478 14,888,041.58
UNITED STATES TREAS NTS 3.625 1/15/2008 6,121,717 6,185,811.38
UNITED STATES TREAS NTS 3 7/15/2012 21,210,771 21,835,428.41
UNITED STATES TRES SC STRP INT 0 11/15/2017 3,865,000 2,294,457.25
UNITED STATES TRES SC STRP INT 0.01 2/15/2018 2,170,000 1,273,204.10
VALE OVERSEAS LTD 6.25 1/11/2016 500,000 504,859.50
VALE OVERSEAS LTD 8.25 1/17/2034 1,000,000 1,184,542.00
VALE OVERSEAS LTD 8.25 1/17/2034 1,000,000 1,184,542.00
VESSEL MGMT SVCS INC 6.08 5/20/2024 2,146,750 2,262,395.42
VOTO VOTORANTIM OVERSEAS TRAD 7.75 6/24/2020 3,430,000 3,875,900.00
WELLS FARGO BK NATL ASSN 5.75 5/16/2016 1,000,000 1,025,840.15
WELLS FARGO BK NATL ASSN 5.95 8/26/2036 500,000 515,594.68
WELLS FARGO CAP X 5.95 12/15/2086 1,000,000 1,000,724.79
WESTERN RES INC 7.125 8/1/2009 1,250,000 1,292,016.25
WINDSTREAM CORP 8.625 8/1/2016 2,500,000 2,737,500.00
WYETH 5.5 2/1/2014 1,750,000 1,761,712.82
XTO ENERGY INC 5 1/31/2015 1,000,000 950,514.76
FIXED INCOME - EXTERNALLY MANAGED FUNDS
GOLDMAN SACHS HIGH YIELD 25,722,400.00

WGBI EX US INDEX FUND 169,568,784.00
TOTAL FIXED INCOME 1,284,431,960.05
ALTERNATIVE ASSETS
PRIVATE EQUITY
ACCEL VIII LP 712,839.61

AIG ASIAN INFRASTRUCTURE FNDII 1,987,538.08
AIG ASIAN INFRASTRUCTURE FUND 64,294.60
AIG GE CAPITAL LATIN AMERICA 5,727,346.85
AIG INDIAN SECTORAL EQUITY 496,230.77
AISLING CAPITAL 11 758,986.79

ALTA SUB DEB III 162,708.00
APOLLO INVESTMENT FUND VI LP 4,070,000.23
ARCH VENTURE FUND VI, LP 1,487,631.88
ARES CORP OPPORTUNITY FUND II 202,295.95
ARSENAL CAP PTNERS 3,135,362.23
ARSENAL CAPITAL PARTNERS II LP 114,142.00
BAIN CAPITAL FUND IX LP 923,062.73
BAIN CAPITAL FUND VIII 3,727,817.92
BAIN CAPITAL IX COINVESTMENT F 311,275.43
BAIN CAPITAL VIII COINVETMENT 1,196,178.48
BLACKSTONE CAP PARTN IV LP 10,931,960.81
BLACKSTONE CAPITAL PARTNERS V 14,900,988.60
BLUERUN VENTURES LP 2,417,795.25
CANAAN EQUITY PARTNERS VII 3,951,706.40
CENTURY PARK CAPITAL PTNS II 1,779,298.42
CHARLESBANK EQUITY FUND VI 1,479,999.78
CLAREMONT CREEK VENTURES LP 794,806.27
CLEARSTONE VENTURE PARTNERS 1,828,592.00
DARWIN VENTURE CAPITAL FUNDS 395,635.00
DCM IV 1,712,086.88
DE NOVO VENTURES II LP 3,549,437.62
DE NOVO VENTURES III 15,000.00
DOMAIN PARTNERS VI LP 2,116,873.99
DOMAIN PARTNERS VII 60,781.77
EOS CAPITAL PARTNERS III 3,442,983.37
EQUITY DISTRIBUTION SECURITIES 672,090.16
FIRST RESERVE FUND XI LP 27,852.50
FORTRESS INVESTMENT FUND III 2,711,593.19
FORTRESS INVESTMENT FUND IV 164,201.32
FOX PAINE CAPITAL FUND III LP 11,902.12
FREMONT PARTNERS III 2,426,350.89
GENSTAR CAPITAL PARTNERS IV 2,132,018.86
GLENCOE CAP INSTL PARTNERS III 330,163.43
GLENCOE CAPITAL PARTNERS III 1,178,632.27
GLOBESPAN CAPITAL PARTNERS IV 2,374,427.45
GLOBESPAN CAPITAL PARTNERS V 51,112.77
GOLDER THOMA CRESSEY RAUNER 351.65
GOLDER THOMA CRESSEY RAUNER V 1,591,239.20
GRAHAM PARTNERS II 2,262,861.75
GRANITE CLOBAL VENTURES III 119,788.60
GRANITE GLOBAL VENTURES II LP 4,008,525.11
GRANITE VENTURES II 1,414,710.00
HUMMER WINBLAD VENTURE PTR III 47,214.79
INSTITUTIONAL VENTURE PARTNS 317,790.18
INSTITUTIONAL VENTURE PTR VIII 1,141,176.49
INTERSOUTH PARTNERS V LP 889,361.40
INTERSOUTH PARTNERS VI 1,725,906.09
INTERSOUTH PARTNERS VII 14,000.00
INTERWEST PARTNERS IX 2,094,656.00
INTERWEST PARTNERS V LP 121,431.58
INTERWEST PARTNERS VI LP 179,041.72
INTERWEST PARTNERS VII LP 1,206,178.59
INTERWEST PARTNERS VIII 2,255,628.00
INVERNESS PARTNERS II LP 1,900,190.63

ITU VENTURES III 1,020,393.59
IVP VI 158,239.60
IVP VII 1,174,161.50
J C FLOWERS II LP 384,058.40
JLL PARTNERS FUND V, LP 7,209,277.14
KELSO INVESTMENT ASSOC VII 4,007,895.94
KODIAK VENTURES III 1,688,142.77
KPCB AGG INVESTMENT GEP 3,581,579.68
KRG CAPITAL III LP 3,865,771.69
LAKE CAPITAL PARTNERS LP 3,546,506.98
LATIN AMERICAN CAPITAL II LP 1,587,844.96
LIGHTHOUSE CAPITAL PARTNERS V 4,415,310.00
LIGHTSPEED VENTURE PTNERS VII 1,724,118.40
LINDSAY GOLDBERG + BESSEMER II 17,050.23
LINDSAY GOLDBERG + BESSEMER LP 4,309,025.45
MADISON DEARBORN V 180,353.10
MAYFIELD VIII 236,023.00
NOVAK BIDDLE VENTURE PARTNERS 1,258,794.75
OXFORD BIOSCIENCE IV 1,825,741.00
OXFORD BIOSCIENCE PARTNERS III 808,420.00
PALOMAR VENTURES III 1,475,708.52
PERSEUS 2000 EXPANSION 2,237,830.66
PERSEUS PARTNERS VII LP 295,345.29
PERSEUS SOROS BIO PHARM LP 1,140,763.97
POLARIS VENTURE PARTNERS III 1,048,320.37
POLARIS VENTURE PARTNERS IV 4,703,363.75
POLARIS VENTURE PRTNRS V LP 57,000.00
QUAD C PARTNERS VII LP 1,891,732.19
REDPOINT VENTURE I LP 1,012,918.50
REDPOINT VENTURES II LP 1,863,491.40
SEQUOIA AGGREGATE INVESTMENT 4,031,499.32
SHAMROCK CAPITAL GROWTH FD II 32,123.55
SKM EQUITY FUND II 3,095,877.17
SUN CAPITAL IV LP 2,282,754.24
TECHNOLOGY PARTNERS WEST FD IV 22,800.00
TRINITY VENTURES IX P 1,955,526.34
UPDATA PARTNERS III 2,315,886.41
VENTURE STRATEGY PARTN II L P 533,213.64
VERSANT VENTURE CAPITAL II LP 1,734,795.60
VERSANT VENTURES I LP 3,010,410.00
VESTAR CAPITAL PARTNERS V LP 6,220,227.83
WARBURG IX BUYOUT 13,251,551.04
WARBURG IX VENTURE 19,877,326.56
WARBURG PINCUS VIII 508,631.03
WATER STREET CAPITAL PARTNERS 2,925,384.70
WCAS CAPITAL PARTNERS II 488,118.50
WCAS III 16,201,110.00
WCAS VI 1,106,150.30
WELLSPRING CAPITAL PARTNERS IV 2,759,549.47
WELSH CARSON ANDERSON + STOWE 2,548,650.00
WICKS COMM + MEDIA PRTNS III 981,086.90
WIND POINT PARTNERS VI 2,043,432.57
REAL ESTATE
AMB INSTITUTIONAL ALLIANCE 6,731,846.90

BEACON CAPITAL STRATEGIC 9,646,011.50
BLACKSTONE REAL ESTATE PRTN V 21,852,262.48
CALIFORNIA SMART GROWTH FD IV 919,402.25
CIM URBAN REIT LLC 6,922,159.20
KSL CAPITAL PARTNERS II 1,760,350.29
MORGAN STANLEY RE FUND V 1,584,781.86
PRISA II PRUDENTIAL REAL EST. 11,608,677.44
PRUDENTIAL SNR HSING PTNRS III 3,900,689.60
REALTY ASSOCIATES FUND VII 24,359,583.49
REEF GLOBAL OPPORTUNITIES FD 3,521,693.40
RREEF AMERICA REIT III 33,471,850.99
WALTON STREET REAL ESTATE V 2,403,705.33
ABSOLUTE RETURN
AVENUE SPECIAL SITUATIONS III 2,703,016.05

BERNSTEIN GLOBAL DIV HEDGE F 51,946,542.85
CANYON VALUE REALIZATION FD 61,199,005.01
CARL MARKS STRATEGIC INV LP 27,388,832.49
DAVIDSON KEMPNER DIS OPP INTL 16,205,145.00
DAVIDSON KEMPNER INST PRTNR 72,705,457.03
FONTANA CAPITAL LLC 25,514,325.00
HIGHLINE CAPITAL INTL 24,999,976.65
IVY RISING STARS OFFSHORE FD 40,232,742.10
MAVERICK FUND LTD 44,617,599.01
OCM HIGH YIELD PLUS 24,217,663.00
OCONNOR GLOBAL FUNDAMENTAL 58,481,574.58
OZ ASIA MASTER FUND LTD. 21,622,840.00
OZ OVERSEAS FUND LTD 48,243,294.04
SATELLITE CREDIT OPPORTUNITIES 23,703,178.00
SATELLITE OVERSEAS LTD PRTNSHP 58,887,993.55
SIRIOS FUND 40,798,697.62
TREE LINE ASIA FD LTD 22,833,440.00
YORK EUROPEAN OPPORTUNITIES 30,728,520.00
TOTAL ALTERNATIVE ASSETS 1,089,521,407.25
TOTAL SECURITIES 6,172,825,898.52
CASH & CASH EQUIVALENTS 4,688,825.26
ACCOUNTS RECEIVABLE & ACCRUED INCOME 54,704,728.31
ACCOUNTS PAYABLE -
TOTAL NET ASSETS 6,232,219,452.09

GEP
EQUITY INVESTMENTS
(SC = Small Cap LC = Large Cap)
ACADIAN EMERGING MARKETS FUND $ 122,559,266
ADAGE CAPITAL LC 32,649,273
AMERICAN CENTURY SC 6,101,906
AMEX/KENWOOD SC 9,341,956
AQR NON-US 52,717,887
ARK ASSET MANAGEMENT CO INC LC 46,941,528
AXA ROSENBERG SC 15,771,858
BRANDYWINE NON-US 53,132,454
BURGUNDY SC 14,287,212
CAPITAL GUARDIAN TRUST COMPANY LC 16,853,054
CAUSEWAY NON-US 84,040,094
CGI EMERGING MARKETS GF 27,498,089
CORTINA ASSET MGT SC 5,481
CORTINA OPPTNTY SC 12,894,201
DELAWARE LC 56,141,749
DELAWARE INV ADV SC 10,448,987
EAFE STATE ST INTL INDEX 658,735,377
FRANKLIN PORTFOLIO ASSOCIATES LC 25,690,515
FREEMAN ASSOCIATES LC 23,452,995
GENESIS EMERGING MKT LP 116,379,997
GMO NON-US 75,710,729
GMO TR EMERGING MARKETS 114,395,841
GOLDMAN SACHS ASSET MGMT L P LC 71,174,758
HANSBERGER NON-US 63,264,356
HARRIS ASSOCIATES LP LC 46,177,242
HOTCHKIS + WILEY CAP MGMT LC 51,201,632
INTECH LC 38,623,968
IRONBRIDGE SC 20,011,974
JP MORGAN FLEMING NON-US 73,819,594
LSV ASSET MANAGEMENT LC 61,744,973
MAZAMA SC 5,458,671
MFS NON-US 85,349,445
MONDRIAN NON US 52,848,782
NEW STAR NON-US 61,618,361
NWQ INVESTMENT MGT CP LLC LC 36,238,658
PANAGORA NON-US 55,995,757
PZENA INVESTMENT MGMT LC 56,047,964
RUSSEL 2000 TF INDEXFUND 258,874
RUSSELL 1000 GROWTH SL CTF 37,646,570
RUSSELL 1000 TF INDEX FUND 415,837,498
SANDERSON NON-US 49,521,957
TEMPLETON INSTL FDS INC 16,280,711
THORNBURG MTG INC LC 71,707,859

UBS SC 50,987
VICTORY CAPITAL MGT INC LC 63,400,491
WELLINGTON MANAGEMENT CO LLP LC 53,053,537
WELLINGTON SC 13,747,005
TOTAL EQUITY 3,076,832,068
FIXED INCOME
ABBOTT LABORATORIES 5.15 11/30/2012 2,000,000.00 2,052,560

ADVANCED MED OPTICS INC 7.5 5/1/2017 375,000.00 345,000
AGFC CAP TR I 6 1/15/2067 1,000,000.00 906,854
ALBERTSONS INC 7.25 5/1/2013 1,600,000.00 1,636,219
ALLIED WASTE NORTH AMER INC 6.875 6/1/2017 1,500,000.00 1,462,500
ALLSTATE CORP 6.125 5/15/2037 500,000.00 482,409
AMERICA MOVIL S A DE C V 6.375 3/1/2035 4,000,000.00 3,955,280
AMERICAN ELEC PWR INC 5.375 3/15/2010 2,500,000.00 2,533,403
AMERICAN EXPRESS ISSUANCE TR 5.2275 9/15/2011 2,000,000.00 1,994,062
AMERICAN GEN FIN CORP MTN 4.875 7/15/2012 2,000,000.00 1,889,317
AMERICAN INTL GROUP INC 4.25 5/15/2013 1,700,000.00 1,599,741
AMERICAN INTL GROUP INC 5.45 5/18/2017 2,000,000.00 1,958,490
APACHE CORP 5.625 1/15/2017 500,000.00 506,778
APACHE CORP 6 1/15/2037 500,000.00 495,756
ARGENTINA (REP) 8.28 12/31/2033 3,482,872.50 3,343,558
ASSET BACKED FUNDING CERTIFICA 4.925 1/25/2037 1,171,810.53 1,153,529
ASSET BACKED SECS CORP 5.245 10/25/2034 13,171.91 12,853
AT+T INC 6.3 1/15/2038 3,000,000.00 3,059,835
AT+T WIRELESS SVCS INC 8.75 3/1/2031 850,000.00 1,094,117
ATLAS COPCO AB 5.6 5/22/2017 500,000.00 500,183
BAE SYS HLDGS INC 4.75 8/15/2010 1,300,000.00 1,298,022
BANC AMER COML MTG TR 5.688454 4/10/2049 4,000,000.00 4,097,500
BANC AMER LARGE LN TR 5.7775 7/15/2009 1,000,000.00 1,000,000
BANC AMER MTG SECS INC 6.357836 12/25/2034 824,395.87 824,396
BANC AMER MTG SECS INC 5.75 1/25/2035 8,836,272.00 8,747,909
BANCO MERCANTILE DEL NORTE SA 6.135 10/13/2016 1,445,000.00 1,428,961
BANCO MERCANTILE DEL NORTE SA 6.862 10/13/2021 1,000,000.00 1,060,022
BANK AMER NA CHARLOTTE NC 6 10/15/2036 262,000.00 250,174
BANK OF AMERICA 5.3 3/15/2017 3,500,000.00 3,404,666
BAXTER INTL INC 6.25 12/1/2037 500,000.00 511,473
BEAR STEARNS ALT A TR 5.391176 4/25/2035 1,627,205.96 1,627,206
BEAR STEARNS ARM TR 5.841732 2/25/2036 12,722,458.12 12,722,458
BEAR STEARNS ASSET BKD SEC 4.995 7/25/2036 2,964,755.22 2,905,460
BEAR STEARNS AST BKD SECS TR 4.995 10/25/2036 3,172,355.11 3,108,908
BEAR STEARNS COML MTG SECS TR 5.1875 3/15/2019 1,000,000.00 968,588
BEAR STEARNS COMMERCIAL MORT 5.471 1/12/2045 8,000,000.00 8,042,400
BECTON DICKINSON + CO 7 8/1/2027 500,000.00 560,245
BMW VEH LEASE TR 4.59 8/15/2013 2,000,000.00 2,002,401
BOMBARDIER INC 6.3 5/1/2014 900,000.00 879,750
BOYD GAMING CORP 7.125 2/1/2016 1,050,000.00 992,250
BRAZIL FEDERATIVE REP 10 8/7/2011 2,500,000.00 2,931,250
BRAZIL FEDERATIVE REP 7.875 3/7/2015 8,500,000.00 9,596,500

BRAZIL FEDERATIVE REP 8 1/15/2018 6,000,000.00 6,714,000
BW GROUP LTD 6.625 6/28/2017 500,000.00 537,581
C10 CAP SPV LTD 6.722 12/31/2049 1,000,000.00 920,360
C8 CAP SPV LTD 6.64 12/31/2049 1,000,000.00 947,640
CANADIAN NATL RY CO 6.8 7/15/2018 1,790,000.00 1,935,355
CARGILL INC 5.6 9/15/2012 1,000,000.00 1,016,390
CARGILL INC 6.625 9/15/2037 500,000.00 497,679
CASE NEW HOLLAND INC 7.125 3/1/2014 2,000,000.00 1,995,000
CCSA FIN LTD 7.875 5/17/2016 4,000,000.00 4,060,000
CELULOSA ARAUCO Y CONSTITUCION 7.75 9/13/2011 700,000.00 753,814
CENTEX CORP 5.25 6/15/2015 500,000.00 423,406
CHESAPEAKE ENERGY CORP 6.375 6/15/2015 2,900,000.00 2,805,750
CHS CMNTY HEALTH SYS INC 8.875 7/15/2015 1,250,000.00 1,273,438
CISCO SYS INC 5.25 2/22/2011 1,000,000.00 1,021,833
CITIGROUP CAP 8.3 12/21/2077 1,000,000.00 1,056,113
CITIGROUP COML MTG TR 5.700263 12/10/2049 1,000,000.00 1,026,600
CITIGROUP INC 6.125 11/21/2017 1,000,000.00 1,027,194
CITIGROUP MORTGAGE LOAN TR 6.060166 8/25/2036 9,699,256.22 9,805,395
CITIGROUP MTG LOAN TRUST INC 5.61183 4/25/2037 4,159,454.29 4,149,056
COCA COLA CO 5.35 11/15/2017 2,000,000.00 2,040,975
COLOMBIA REP 8.25 12/22/2014 1,000,000.00 1,140,000
COLOMBIA REP 7.375 1/27/2017 6,500,000.00 7,133,750
COLUMBIA REP 7.375 9/18/2037 1,700,000.00 1,891,250
COMCAST CORP NEW 5.45 11/15/2010 2,000,000.00 2,032,963
COMPANHIA BRASILEIRA BEBIDAS 8.75 9/15/2013 2,000,000.00 2,275,000
COOPER U S INC 6.1 7/1/2017 500,000.00 524,502
CORPORACION NACIONAL DEL COBRE 6.375 11/30/2012 1,450,000.00 1,552,019
COSAN FINANCE LTD 7 2/1/2017 2,350,000.00 2,203,125
COSTA RICA REP 6.548 3/20/2014 2,000,000.00 2,055,000
COX COMMUNICATIONS INC MTN 6.95 1/15/2028 225,000.00 232,153
CREDIT SUISSE FIRST BOSTON MTG 6.5 12/25/2035 1,662,190.64 1,662,191
CRH AMER INC 6 9/30/2016 2,000,000.00 1,968,734
CVS CAREMARK CORP 6.25 6/1/2027 1,000,000.00 993,021
CVS CAREMARK CORP 6.302 6/1/2037 500,000.00 480,590
D R HORTON INC 6.125 1/15/2014 800,000.00 700,195
D R HORTON INC 5.625 9/15/2014 900,000.00 755,927
DAIMLERCHRYSLER AUTO TR 5.8225 3/8/2011 1,000,000.00 998,906
DAIMLERCHRYSLER NTH AMER HLDG 5.75 9/8/2011 1,250,000.00 1,268,711
DANAHER CORP 5.625 1/15/2018 1,000,000.00 997,766
DELHAIZE GROUP SA 6.5 6/15/2017 1,000,000.00 1,023,027
DENBURY RES INC DEL 7.5 4/1/2013 2,800,000.00 2,828,000
DEVELOPERS DIVERSIFIED RLTY 5.25 4/15/2011 1,000,000.00 991,153
DIRECTV HLDGS LLC 6.375 6/15/2015 300,000.00 288,000
DISNEY WALT CO NEW MTN BOOK 6 7/17/2017 500,000.00 528,516
DOMINION RES INC VA NEW 6.3 9/30/2066 1,500,000.00 1,453,990
DPL INC 6.875 9/1/2011 1,500,000.00 1,598,450
DR HORTON INC 8 2/1/2009 400,000.00 388,000
DUKE RLTY LTD PARTNERSHIP 6.5 1/15/2018 400,000.00 403,430
ECHOSTAR DBS 6.375 10/1/2011 750,000.00 741,000
ECHOSTAR DBS CORP 7 10/1/2013 1,000,000.00 1,010,000
ECUADOR REP 10 8/15/2030 1,500,000.00 1,451,250
EMBARQ CORP 7.082 6/1/2016 1,200,000.00 1,236,457

EMPRESA NACIONAL DE 8.5 4/1/2009 2,670,000.00 2,770,474
ENERSIS SA 7.375 1/15/2014 700,000.00 749,398
ENTERPRISE PRODS OPER L P 8.375 8/1/2066 3,500,000.00 3,583,444
EQUITY RESIDENTIAL 5.125 3/15/2016 1,500,000.00 1,389,820
FED HM LN PC POOL 1B3462 6.127 7/1/2037 555,295.64 565,180
FED HM LN PC POOL 1G1708 6.163 4/1/2037 15,864,435.87 16,161,894
FED HM LN PC POOL 1G1968 5.952 6/1/2037 1,915,391.42 1,935,047
FED HM LN PC POOL 783164 5.786 1/1/2037 6,442,380.35 6,487,477
FEDERAL HOME LN BKS 5.25 6/12/2009 7,350,000.00 7,500,648
FEDERAL HOME LN MTG (Preferred Stock) 40,000.00 1,046,000
FEDERAL HOME LN MTG CORP 5.25 5/21/2009 12,000,000.00 12,254,794
FEDERAL HOME LN MTG CORP 5.85 7/30/2012 13,000,000.00 13,158,803
FEDERAL HOME LN MTG CORP 5 12/14/2018 2,700,000.00 2,714,126
FEDERAL HOME LOAN BANK 5 3/12/2010 10,500,000.00 10,778,609
FEDERAL NATL MTG ASSN 4.75 3/12/2010 14,700,000.00 15,058,570
FEDERAL NATL MTG ASSN 6 8/22/2016 10,400,000.00 10,496,656
FEDERAL NATL MTG ASSN (Preferred Stock) 30,000.00 772,500
FISERV INC 6.125 11/20/2012 1,000,000.00 1,009,564
FNMA TBA JAN 30 SINGLE FAM 5 12/1/2099 52,400,000.00 51,118,658
FNMA POOL 702021 5.75 5/1/2033 827,490.34 834,957
FNMA POOL 702024 5.25 5/1/2033 2,834,551.80 2,803,161
FNMA POOL 730016 4 7/1/2018 1,378,783.08 1,335,370
FNMA POOL 905757 6.139 12/1/2036 12,200,059.20 12,413,560
FNMA POOL 909914 5.867 3/1/2037 23,860,242.71 24,134,636
FORD MTR CO DEL 7.45 7/16/2031 700,000.00 519,750
FORD MTR CR CO 7.375 10/28/2009 500,000.00 470,623
FORD MTR CR CO 5.7 1/15/2010 1,450,000.00 1,306,418
FORD MTR CR CO 7.8 6/1/2012 500,000.00 438,331
FORD MTR CR CO 8 12/15/2016 1,200,000.00 1,019,293
FPL GROUP CAP INC 6.35 10/1/2066 1,500,000.00 1,396,650
FPL GROUP CAP INC 7.3 9/1/2067 500,000.00 510,898
FREEPORT MCMORAN COPPER + GOLD 8.25 4/1/2015 500,000.00 530,000
FREEPORT MCMORAN COPPER + GOLD 8.375 4/1/2017 500,000.00 536,250
FRESENIUS MED CARE CAP TR IV 7.875 6/15/2011 1,000,000.00 1,035,000
GAZ CAP SA LUXEMBOURG 6.212 11/22/2016 3,500,000.00 3,357,900
GAZ CAP SA LUXEMBOURG 6.51 3/7/2022 2,500,000.00 2,376,750
GAZ CAPITAL 8.625 4/28/2034 1,400,000.00 1,730,400
GAZPROM INTL S A 7.201 2/1/2020 906,403.98 918,867
GENERAL ELEC CAP CORP MTN 5.875 2/15/2012 1,750,000.00 1,825,805
GENERAL ELEC CO 5.25 12/6/2017 2,000,000.00 1,999,486
GENERAL MTRS ACCEP CORP 5.85 1/14/2009 2,000,000.00 1,912,672
GENERAL MTRS ACCEP CORP 6.875 9/15/2011 500,000.00 427,747
GENERAL MTRS CORP 6.375 5/1/2008 500,000.00 497,500
GENERAL MTRS CORP 8.375 7/15/2033 700,000.00 563,500
GENETECH INC 4.75 7/15/2015 1,300,000.00 1,261,281
GMAC LLC 6.625 5/15/2012 2,400,000.00 1,995,161
GOLDMAN SACHS CAP I 6.345 2/15/2034 1,050,000.00 937,845
GOLDMAN SACHS CAPITAL II 5.793 12/29/2049 1,000,000.00 890,325
GOLDMAN SACHS GROUP INC 6.75 10/1/2037 500,000.00 486,678
GRUPO TELEVISA SA 6.625 3/18/2025 4,070,000.00 4,137,774
GS MTG SECS CORP II 5.50188 3/6/2020 4,000,000.00 3,960,000
GS MTG SECS TR 2007 GG10 5.799235 8/10/2045 2,000,000.00 2,066,800

GSAMP 4.975 6/25/2036 5,000,000.00 4,900,000
GSC HLDGS CORP / GAMESTOP INC 8 10/1/2012 1,335,000.00 1,390,069
GTL TRADE FIN INC 7.25 10/20/2017 1,700,000.00 1,725,422
HARBORVIEW MTG LN TR 4.78848 4/19/2034 3,549,394.07 3,447,349
HARRAHS OPER INC 5.5 7/1/2010 2,350,000.00 2,185,500
HARRAHS OPER INC 5.375 12/15/2013 1,000,000.00 760,000
HARRAHS OPER INC 5.625 6/1/2015 625,000.00 456,250
HASBRO INC 6.3 9/15/2017 500,000.00 511,593
HCA INC FORMERLY HCA HEALTHCAR 9.125 11/15/2014 1,050,000.00 1,092,000
HERTZ CORP 8.875 1/1/2014 1,900,000.00 1,926,125
HOSPIRA INC 6.05 3/30/2017 500,000.00 502,303
HOST MARRIOTT L P 6.375 3/15/2015 1,250,000.00 1,218,750
HSBC FIN CAP TR IX 5.911 11/30/2035 2,800,000.00 2,579,706
HUSKY ENERGY INC 6.8 9/15/2037 500,000.00 522,111
IDEARC INC 8 11/15/2016 2,200,000.00 2,018,500
INDYMAC INDX MTG LN TR 4.945 11/25/2036 5,878,129.36 5,835,416
INTERNATIONAL BUSINESS MACHS 5.7 9/14/2017 1,000,000.00 1,033,762
INTERNATIONAL FIN FAC 5 11/14/2011 1,250,000.00 1,290,195
ITC HLDGS CORP 5.875 9/30/2016 700,000.00 701,870
JC PENNEY CORPORATION INC 6.375 10/15/2036 500,000.00 443,949
JP MORGAN CHASE CAP XXV 6.8 10/1/2037 1,000,000.00 943,803
JP MORGAN CHASE COML MTG SECS 5.3375 4/16/2019 1,452,996.28 1,431,434
JPM CHASE CAPITAL XXII 6.45 2/2/2037 750,000.00 664,295
JPMORGAN CHASE CAP XX 6.55 9/29/2036 1,500,000.00 1,346,822
L 3 COMMUNICATIONS CORP 6.125 1/15/2014 1,480,000.00 1,450,400
L 3 COMMUNICATIONS CORP 5.875 1/15/2015 2,820,000.00 2,721,300
LEHMAN BROTHERS HLDGS INC 6 7/19/2012 2,500,000.00 2,545,585
LEHMAN MTG TR 6 7/25/2037 1,000,000.00 975,000
LOBLAWS COS LTD CPN RCPTS CDS 0 11/23/2033 15,000,000.00 2,370,941
LORAL CORP 7 9/15/2023 1,150,000.00 1,277,898
LUBRIZOL CORP 4.625 10/1/2009 2,000,000.00 2,009,842
MASTR ADJ RATE MTGS TR 7.389028 9/25/2033 360,953.35 360,953
MASTR ADJ RATE MTGS TR 5.064933 7/25/2035 3,001,182.49 2,986,177
MASTR ALTERNATIVE LN TR 6 3/25/2036 2,000,000.00 1,970,000
MCKESSON CORP 5.7 3/1/2017 500,000.00 497,040
MCKESSON CORP NEW 5.25 3/1/2013 1,500,000.00 1,520,529
MERRILL LYNCH + CO INC 6.4 8/28/2017 500,000.00 507,979
METROPOLITAN LIFE GLOBAL FDG I 4.5 5/5/2010 2,000,000.00 2,015,222
MGM MIRAGE 6 10/1/2009 2,300,000.00 2,288,500
MGM MIRAGE 6.75 9/1/2012 1,050,000.00 1,022,438
MORGAN STANLEY IXIS REAL ESTAT 4.895 7/25/2036 15,475,867.29 15,321,109
NATIONAL GAS CO TRINIDAD + TOB 6.05 1/15/2036 1,500,000.00 1,425,978
NEIMAN MARCUS GROUP INC 10.375 10/15/2015 1,700,000.00 1,770,125
NEVADA PWR CO 6.5 5/15/2018 1,000,000.00 1,023,819
NEWS AMER INC 6.4 12/15/2035 1,000,000.00 1,011,414
NEWS AMER INC 6.65 11/15/2037 1,000,000.00 1,031,476
NEXTEL COMMUNICATIONS INC 5.95 3/15/2014 1,200,000.00 1,152,000
NORFOLK SOUTHN CORP 6.75 2/15/2011 2,000,000.00 2,103,113
ODEBRECHT FIN LTD 7.5 10/18/2017 1,000,000.00 1,005,000
OHIO PWR CO 6.6 2/15/2033 1,900,000.00 1,908,583
OPTI CDA INC 7.875 12/15/2014 1,250,000.00 1,221,875
OWENS BROCKWAY GLASS CONTAINER 6.75 12/1/2014 2,000,000.00 1,990,000

PANAMA REP 7.25 3/15/2015 3,500,000.00 3,858,750
PANAMA REP 7.125 1/29/2026 2,000,000.00 2,200,000
PANAMA REP 6.7 1/26/2036 1,000,000.00 1,055,000
PANAMERICAN BEVERAGES INC 7.25 7/1/2009 3,300,000.00 3,364,188
PEMEX PROJ FDG MASTER TR 9.375 12/2/2008 1,278,000.00 1,324,391
PENNEY J C INC 7.125 11/15/2023 1,405,000.00 1,406,522
PERU REP 8.375 5/3/2016 3,422,000.00 4,012,295
PERU REP 7.35 7/21/2025 2,000,000.00 2,280,000
PETROBRAS INTL FIN CO 7.75 9/15/2014 1,600,000.00 1,785,600
PETROBRAS INTL FIN CO 5.875 3/1/2018 1,000,000.00 994,500
PETROBRAS INTL FIN CO 5.875 3/1/2018 500,000.00 497,250
PETROBRAS INTL FIN CO 8.375 12/10/2018 1,000,000.00 1,190,000
PETROPLUS FIN LTD 6.75 5/1/2014 2,000,000.00 1,862,500
PHILIPPINE LONG DIST TEL CO ME 8.35 3/6/2017 2,340,000.00 2,597,400
PHILIPPINES REP 8.375 2/15/2011 4,250,000.00 4,568,750
PHILIPPINES REP 8.25 1/15/2014 2,000,000.00 2,240,000
PHILIPPINES REP 8 1/15/2016 2,700,000.00 3,064,500
PHILIPPINES REP 7.75 1/14/2031 1,000,000.00 1,153,750
PHILLIPINES (REP) 7.5 9/25/2024 1,150,000.00 1,293,750
PLAINS EXPL PRODTN CO 7.75 6/15/2015 1,250,000.00 1,250,000
PREMCOR REFNG GROUP INC 6.75 5/1/2014 2,000,000.00 2,147,636
PROLOGIS 5.625 11/15/2016 1,000,000.00 949,180
PRUDENTIAL FINL INC 6.625 12/1/2037 500,000.00 504,201
PRUDENTIAL FINL INC MED TERM 6 12/1/2017 500,000.00 497,938
PSYCHIATRIC SOLUTIONS INC 7.75 7/15/2015 800,000.00 798,000
R H DONNELLEY CORP 6.875 1/15/2013 1,900,000.00 1,700,500
R H DONNELLEY CORP 8.875 10/15/2017 250,000.00 236,250
RAS LAFFAN LIQUEFIED NAT GAS 6.332 9/30/2027 1,000,000.00 949,364
RAS LAFFAN LNG 5.832 9/30/2016 800,000.00 814,001
RBS CAP TR III 5.512 9/29/2049 2,000,000.00 1,843,609
REPUBLIC OF THE PHILIPPINES 6.375 1/15/2032 1,750,000.00 1,741,250
RESIDENTIAL ACCREDIT LNS INC 6 12/25/2032 7,950,345.33 7,950,345
RESIDENTIAL ASSET SECURITIZATI 6.25 12/25/2036 6,426,202.35 6,542,761
RESIDENTIAL ASSET SECURIZATION 6 6/25/2036 5,685,169.39 5,571,466
RESIDENTIAL CAP CORP 7.875 6/30/2010 1,000,000.00 640,000
ROGERS CABLE INC 6.75 3/15/2015 2,000,000.00 2,103,798
ROYAL CARIBBEAN CRUISES LTD 7.5 10/15/2027 522,000.00 475,931
RUSSIAN FEDN 8.25 3/31/2010 833,360.97 864,612
RUSSIAN FEDN 7.5 3/31/2030 7,672,500.00 8,727,469
SABMILLER PLC 6.2 7/1/2011 3,000,000.00 3,138,480
SCHERING PLOUGH CORP 6.55 9/15/2037 1,000,000.00 1,052,436
SEQUOIA MTG TR 5.80939 1/20/2038 457,860.56 458,595
SIEMENS FINANCIERINGSMAATSCHAP 6.125 8/17/2026 1,000,000.00 990,393
SIMON PPTY GROUP L P 4.875 8/15/2010 2,000,000.00 1,980,466
SOCIEDAD QUIMICA Y MINERA DE 6.125 4/15/2016 900,000.00 887,918
SOUNDVIEW HOME LN TR 4.985 1/25/2037 1,423,524.77 1,395,054
SOUTHERN PWR CO 4.875 7/15/2015 1,500,000.00 1,413,326
SPRINT CAP CORP 6.9 5/1/2019 450,000.00 448,795
STRUCTURED ADJ RATE MTG LN TR 7.376559 11/25/2034 721,931.97 727,252
STRUCTURED ASSET SECS CORP 5.005 3/25/2036 954,496.68 849,502
STRUCTURED ASSET SECS CORP 1 7.388143 9/25/2033 272,981.72 272,982
SUNGARD DATA SYSTEMS 10.25 8/15/2015 1,250,000.00 1,278,125
SUNGARD DATA SYSTEMS 10.25 8/15/2015 500,000.00 511,250
SUNGUARD DATA SYS INC 9.125 8/15/2013 400,000.00 407,000

TARGET CORP 5.375 5/1/2017 750,000.00 728,112
TECO FIN INC 7 5/1/2012 1,181,000.00 1,181,000
TECO FIN INC 6.572 11/1/2017 819,000.00 819,000
TELEFONICA EMISIONES S A U 7.045 6/20/2036 500,000.00 561,074
TELEFONICA EMISIONES S AU 6.221 7/3/2017 500,000.00 519,496
TELOFONOS DE MEXICO SA 5.5 1/27/2015 800,000.00 785,581
TEMASEK FINL LTD 4.5 9/21/2015 1,000,000.00 972,992
TENGIZCHEVROIL FIN CO S AR L 6.124 11/15/2014 2,525,000.00 2,379,813
TESCO PLC 6.15 11/15/2037 1,200,000.00 1,172,327
TEVA PHARMACEUTICAL FIN CO LLC 6.15 2/1/2036 750,000.00 741,818
THOMSON CORP 5.7 10/1/2014 500,000.00 500,765
TIME WARNER ENTMT CO L P 8.375 3/15/2023 300,000.00 355,636
TIME WARNER ENTMT CO L P 8.375 7/15/2033 1,000,000.00 1,204,588
TRANSCAPITALINVEST LTD 5.67 3/5/2014 4,250,000.00 4,072,193
TRANSOCEAN INC 6 3/15/2018 950,000.00 957,063
TRANSOCEAN SEDCO FOREX INC 7.5 4/15/2031 1,400,000.00 1,528,782
TRINIDAD + TOBAGO REP 5.875 5/17/2027 500,000.00 493,050
TURKEY REP 10.5 1/13/2008 4,000,000.00 4,005,000
TURKEY REP 7.25 3/15/2015 5,500,000.00 5,885,000
TURKEY REP 7 9/26/2016 750,000.00 793,125
TURKEY REP 6.75 4/3/2018 500,000.00 513,125
TURKEY REP 7 6/5/2020 1,500,000.00 1,556,250
TURKEY REP 7.375 2/5/2025 3,250,000.00 3,412,500
TURKEY REP 6.875 3/17/2036 2,000,000.00 1,965,000
UNITED MEXICAN STS 6.75 9/27/2034 1,000,000.00 1,104,500
UNITED MEXICAN STS MTN 5.625 1/15/2017 5,200,000.00 5,270,200
UNITED STATES TREAS BD STRIP 0 11/15/2027 9,350,000.00 3,750,472
UNITED STATES TREAS BDS 2.375 1/15/2025 25,684,026.28 27,004,442
UNITED STATES TREAS BDS 2 1/15/2026 16,690,342.73 16,645,446
UNITED STATES TREAS NTS 3.875 1/15/2009 16,095,852.85 16,579,211
UNITED STATES TREAS NTS 2 4/15/2012 13,448,243.34 13,943,677
UNITED STATES TRES NT STRP PRN 0 11/15/2013 8,820,000.00 7,156,636
UNITED STATES TRES NT STRP PRN 0 2/15/2014 8,340,000.00 6,686,762
UNITED STATES TRES SC STRP INT 0 2/15/2014 10,500,000.00 8,365,665
UNITED STATES TRES SC STRP INT 0.01 11/15/2019 8,770,000.00 5,155,883
US CONCRETE INC 8.375 4/1/2014 1,467,000.00 1,283,625
US TREASURY NTS 3.5 1/15/2011 11,711,004.84 12,596,825

US TREASURY NTS 3 7/15/2012 22,366,760.52 24,236,622
US TREASURY NTS 2.375 1/15/2017 14,494,536.09 15,310,868
US TREASURY SECURITY 2.625 7/15/2017 13,166,887.86 14,219,186
VALE OVERSEAS LTD 6.25 1/11/2016 500,000.00 500,802
VALE OVERSEAS LTD 6.875 11/21/2036 2,240,000.00 2,266,009
VALERO ENERGY CORP 6.625 6/15/2037 500,000.00 500,800
VESSEL MGMT SVCS INC 6.08 5/20/2024 2,024,750.00 2,248,849
VIRGINIA ELEC + PWR CO 5.95 9/15/2017 500,000.00 509,807
VIRGINIA ELEC + PWR CO 6.35 11/30/2037 1,000,000.00 1,018,565
VODAFONE GROUP 6.15 2/27/2037 500,000.00 495,781
VOTO VOTORANTIM OVERSEAS TRAD 7.75 6/24/2020 4,180,000.00 4,441,250
WACHOVIA BK NATL ASSN MEDIUM 6.6 1/15/2038 1,000,000.00 1,005,020
WAMU MTG PASS THRU CTFS 6.15 9/25/2036 11,748,710.77 11,763,397
WELLS FARGO + CO NEW 5.625 12/11/2017 1,000,000.00 1,006,936
WELLS FARGO BK NATL ASSN 5.75 5/16/2016 1,000,000.00 1,014,327
WELLS FARGO CAP X 5.95 12/15/2036 1,000,000.00 927,123
WELLS FARGO MTG BACKED SECS 5.5 4/25/2037 8,243,284.80 8,297,381
WELLS FARGO MTG BKD SECS 2006 5.75 3/25/2036 2,591,075.98 2,565,165
WESTERN RES INC 7.125 8/1/2009 1,250,000.00 1,283,948
WINDSTREAM CORP 8.625 8/1/2016 2,000,000.00 2,100,000
WYETH 5.95 4/1/2037 500,000.00 499,102
FIXED INCOME - EXTERNALLY MANAGED FUNDS
EATON VANCE HIGH YIELD FD 17,506,136

GOLDMAN SACHS HIGH YIELD 33,463,725
NCRAM HIGH YIELD TOTAL RETURN 42,326,733
STONE HARBOR HIGH YIELD FD 19,255,297
WGBI EX US INDEX FUND 182,482,220
TOTAL FIXED INCOME 1,608,980,429
ALTERNATIVE ASSETS
PRIVATE EQUITY
ACCEL VIII LP 365,692

AIG ASIAN INFRASTRUCTURE FNDII 2,410,254
AIG ASIAN INFRASTRUCTURE FUND 8,598
AIG GE CAPITAL LATIN AMERICA 5,367,310
AIG INDIAN SECTORAL EQUITY 108,960
AISLING CAPITAL 11 3,366,474
ALTA SUB DEB III 10,894
APOLLO INVESTMENT FUND VI LP 10,308,636
ARCH VENTURE FUND VI, LP 3,026,238
ARCH VENTURE FUND VII LP 48,641
ARES CORP OPPORTUNITY FUND II 1,006,996
ARSENAL CAP PTNERS 2,474,288
ARSENAL CAPITAL PARTNERS II LP 117,144
BAIN CAPITAL FUND IX LP 1,735,856
BAIN CAPITAL FUND VIII 3,881,785
BAIN CAPITAL IX COINVESTMENT F 573,401

BAIN CAPITAL VIII COINVETMENT 1,169,881
BLACKSTONE CAP PARTN IV LP 10,858,519
BLACKSTONE CAPITAL PARTNERS V 30,819,202
BLUERUN VENTURES LP 4,428,216
CADUCEUS PRIVATE INV III LP 49,138
CALERA CAPITAL 3,505,859
CANAAN EQUITY PARTNERS VII 8,368,086
CANAAN VII LP 15,535
CENTURY PARK CAPITAL PTNS II 2,262,568
CERBERUS SERIES FOUR HOLDINGS 848,113
CHARLESBANK EQUITY FUND VI 3,437,229
CLAREMONT CREEK VENTURES LP 2,152,573
CLEARSTONE VENTURE PARTNERS 2,611,591
DARWIN VENTURE CAPITAL FUNDS 909,361
DCM IV 1,867,058
DCM V 48,141
DE NOVO VENTURES II LP 4,809,953
DE NOVO VENTURES III 66,915
DOMAIN PARTNERS VI LP 2,904,058
DOMAIN PARTNERS VII 172,484
EOS CAPITAL PARTNERS III 4,278,428
EOS CAPITAL PARTNERSHIP IV 60,800
EQUITY DISTRIBUTION SECURITIES 3,077,739
FIRST RESERVE FUND XI LP 268,990
FORTRESS INVESTMENT FUND III 3,165,492
FORTRESS INVESTMENT FUND IV 875,248
FORTRESS INVESTMENT FUND V 693,106
FOX PAINE CAPITAL FUND III LP 287,518
GENSTAR CAPITAL PARTNERS IV 4,233,246
GENSTAR CAPITAL PARTNERS V 1,234,148
GLENCOE CAP INSTL PARTNERS III 242,897
GLENCOE CAPITAL PARTNERS III 978,560
GLOBESPAN CAPITAL PARTNERS IV 2,918,080
GLOBESPAN CAPITAL PARTNERS V 99,000
GOLDER THOMA CRESSEY RAUNER 4,923
GOLDER THOMA CRESSEY RAUNER V 663,890
GRAHAM PARTNERS II 3,750,566
GRANITE CLOBAL VENTURES III 446,123
GRANITE GLOBAL VENTURES II LP 5,075,417
GRANITE VENTURES II 2,305,368
HUMMER WINBLAD VENTURE PTR III 30,979
INSIGHT VENTURE PARTNERS V 4,543,058
INSIGHT VENTURE PARTNERS V 12,814,569
INSIGHT VENTURE PARTNERS VI LP 267,005
INSTITUTIONAL VENTURE PARTNS 317,844
INSTITUTIONAL VENTURE PTR VIII 464,013
INTERSOUTH PARTNERS V LP 857,301
INTERSOUTH PARTNERS VI 2,428,003
INTERSOUTH PARTNERS VII 35,145
INTERWEST PARTNERS IX 3,150,890
INTERWEST PARTNERS V LP 119,534
INTERWEST PARTNERS VI LP 161,135
INTERWEST PARTNERS VII LP 1,284,227
INTERWEST PARTNERS VIII 2,650,968

INVERNESS PARTNERS II LP 3,085,620
ITU VENTURES III 915,201
IVP VI 85,935
IVP VII 984,914
J C FLOWERS II LP 299,671
JLL PARTNERS FUND V, LP 21,303,930
KELSO INVESTMENT ASSOC VII 11,809,063
KELSO INVESTMENT ASSOCIATES 83,564
KODIAK VENTURES III 2,725,275
KPCB AGG INVESTMENT GEP 3,854,687
KRG CAPITAL III LP 8,970,405
LAKE CAPITAL PARTNERS LP 4,292,322
LATIN AMERICAN CAPITAL II LP 1,825,801
LIGHTHOUSE CAPITAL PARTNERS V 4,458,002
LIGHTSPEED VENTURE PTNERS VII 5,029,228
LINDSAY GOLDBERG + BESSEMER II 142,023
LINDSAY GOLDBERG + BESSEMER LP 3,698,588
MADISON DEARBORN V 4,083,828
MAYFIELD VIII 249,010
NOVAK BIDDLE VENTURE PARTNERS 1,635,312
NOVAK BIDDLE VENTURE PTNR V 48,967
OXFORD BIOSCIENCE IV 1,829,620
OXFORD BIOSCIENCE PARTNERS III 961,000
PALOMAR VENTURES III 1,912,481
PERSEUS 2000 EXPANSION 4,028,229
PERSEUS PARTNERS VII LP 556,808
PERSEUS SOROS BIO PHARM LP 987,721
POLARIS VENTURE PARTNERS III 1,047,120
POLARIS VENTURE PARTNERS IV 5,648,108
POLARIS VENTURE PRTNRS V LP 355,123
QUAD C PARTNERS VII LP 2,914,471
REDPOINT VENTURE I LP 1,159,722
REDPOINT VENTURES II LP 1,980,061
SEQUOIA AGGREGATE INVESTMENT 4,257,544
SHAMROCK CAPITAL GROWTH FD II 79,761
SKM EQUITY FUND II 3,115,066
SUN CAPITAL IV LP 4,310,550
SUN CAPITAL PARTNERS V 212,399
TECHNOLOGY PARTNERS WEST FD IV 31,270
TERRA FIRMA CAP PARTNER III 912,641
THE COLUMN GROUP LP 24,558
TRINITY VENTURES IX P 3,544,431
UPDATA PARTNERS III 4,143,793
UPDATA PARTNERS IV 68,077
VECTOR CAPITAL IV L.P 49,597
VENTURE STRATEGY PARTN II L P 548,016
VERSANT VENTURE CAPITAL II LP 2,283,120
VERSANT VENTURES I LP 2,792,760
VESTAR CAPITAL PARTNERS V LP 11,022,058
W CAPITAL PARTNERS II LP 349,598
WARBURG IX BUYOUT 27,587,080
WARBURG IX VENTURE 41,380,620
WARBURG PINCUS PRVT EQUITY X 621,390
WARBURG PINCUS VIII 600,730

WATER STREET CAPITAL PARTNERS 8,890,682
WCAS CAPITAL PARTNERS II 474,207
WCAS III 7,560,900
WCAS VI 441,878
WELLSPRING CAPITAL PARTNERS IV 3,345,049
WELSH CARSON ANDERSON + STOWE 1,616,550
WICKS COMM + MEDIA PRTNS III 2,429,470
WIND POINT PARTNERS VI 7,660,448
WLR RECOVERY FUND IV 662,483
REAL ESTATE
AMB INSTITUTIONAL ALLIANCE 9,319,769

BEACON CAP STRTGIC PARTN V 2,394,611
BEACON CAPITAL STRATEGIC 16,744,153
BLACKSTONE REAL EST PARTNER VI 5,206,939
BLACKSTONE REAL ESTATE PRTN V 52,621,107
CALIFORNIA SMART GROWTH FD IV 1,896,022
CIM FUND III LP 129,367
CIM URBAN REIT LLC 12,811,611
COLONY CAPITAL VIII LP 1,160,998
CORNERSTONE APMNT VENT III LLC 788,441
FORUM ASIAN REALTY INCOME II 2,100,331
HEITMAN AMERICA REAL ESTATE TR 5,177,398
KSL CAPITAL PARTNERS II 674,681
LBA REALTY FUND III 2,179,171
LIONSTONE URBAN INV TWO 315,821
MORGAN STANLEY RE FUND V 8,416,204
PRISA II PRUDENTIAL REAL EST. 16,322,384
PRUDENTIAL SNR HSING PTNRS III 7,914,806
REALTY ASSOCIATES FUND VII 26,806,397
REALTY ASSOCIATES FUND VIII 10,429,810
REDWOOD GROVE INTERNATIONAL LP 891,000
REEF GLOBAL OPPORTUNITIES FD 13,674,673
ROCKPOINT REAL ESTATE FUND III 23,576
RREEF AMERICA REIT III 39,182,176
SQUARE MILE PARTNERS II LP 2,151,671
URBANAMERICA, LP. II 780,655
WALTON STREET REAL ESTATE V 7,523,445
WESTBROOK REAL ESTATE FUND VII 484,849
ABSOLUTE RETURN
ANCHORAGE CAPITAL PARTNERS 63,417,459

AVENUE SPECIAL SITUATIONS III 536,344
BERNSTEIN GLOBAL DIV HEDGE F 37,874,692
CANYON VALUE REALIZATION FD 36,505,044
CHILTON GLOBAL NATURAL RESOURC 60,312,940
CVI SPECIALIZED VENTURES FD A 43,326,965
DAVIDSON KEMPNER DIS OPP INTL 29,599,020
DAVIDSON KEMPNER INST PRTNR 69,503,508
FONTANA CAPITAL LLC 27,526,595
GEM REALITY SECURITIES LTD 39,245,439
GIOVONE INVESTMENT PARTNERS 71,216,542

H.I.G BRIGHTPOINT CAP PARTNERS 27,471,807
HIGHLINE CAPITAL INTL 55,305,981
HIGHLINE SELECT LTD 19,724,631
IVY RISING STARS OFFSHORE FD 34,084,201
MAVERICK FUND LTD 52,518,610
OCONNOR GLOBAL FUNDAMENTAL 75,575,420
OZ ASIA MASTER FUND LTD. 27,570,164
OZ OVERSEAS FUND LTD 42,867,760
SATELLITE CREDIT OPPORTUNITIES 35,503,298
SATELLITE OVERSEAS LTD PRTNSHP 95,009,467
SILVER POINT CAP OFFSHORE FD 64,940,497
SIRIOS FUND 29,205,914
STERLING STAMOS CONCENTRATED 57,530,799
TIGER ASIA OVERSEASFUND LTD 72,808,199
TIGER CONSUMER PARTNERS LP 38,656,797
TREE LINE ASIA FD LTD 37,692,620
VIKING GLOBAL EQUITIES III LTD 62,792,702
YORK EUROPEAN OPPORTUNITIES 47,052,422
TOTAL ALTERNATIVE ASSETS 2,027,376,290
TOTAL SECURITIES 6,713,188,787
CASH & CASH EQUIVALENTS 22,063,086
ACCOUNTS RECEIVABLE & ACCRUED INCOME 13,349,292
ACCOUNTS PAYABLE (29,213,115)
TOTAL NET ASSETS $ 6,719,388,051

UC General Endowment Pool Bond Portfolio

Uploaded by

Copyright:

Available Formats

UC General Endowment Pool Bond Portfolio

Uploaded by

Document Information

Original Description:

Copyright

Available Formats

Share this document

Share or Embed Document

Sharing Options

Did you find this document useful?

Is this content inappropriate?

Copyright:

Available Formats

UC General Endowment Pool Bond Portfolio

Uploaded by

Copyright:

Available Formats

What types of investments does the portfolio hold?

What types of investments does the portfolio hold?

What industries are represented among the bond holdings?

What industries are represented among the bond holdings?

General Endowment Pool

Source: University of California, Office of the Treasurer

Source: University of California, Office of the Treasurer

Source: University of California, Office of the Treasurer

Source: University of California, Office of the Treasurer

Total Bond Portfolio 1,357,186,350

Source: University of California, Office of the Treasurer

Source: University of California, Office of the Treasurer

Source: University of California, Office of the Treasurer

ISSUER SHARES MARKET VALUE

Source: University of California, Office of the Treasurer

Total Equities 2,575,043,121

Cash and equivalents 5,085,000

Total General Endowment Pool Equity Portfolio 2,580,128,121

Source: University of California, Office of the Treasurer

Source: University of California, Office of the Treasurer

DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE

Source: University of California, Office of the Treasurer

DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE

Source: University of California, Office of the Treasurer

DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE

Source: University of California, Office of the Treasurer

DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE

Source: University of California, Office of the Treasurer

DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE

Source: University of California, Office of the Treasurer

DESCRIPTION PAR VALUE RATE MATURITY MARKET VALUE

Fixed Income Portfolio 1,236,858,501

TOTAL GEP FIXED INCOME PORTFOLIO 1,299,258,501

Source: University of California, Office of the Treasurer

Total Public Equities 3,073,298,385

Source: University of California, Office of the Treasurer

ISSUER SHARES MARKET VALUE

Source: University of California, Office of the Treasurer

SEQUOIA CAPITAL FRANCHISE 26,823 1,114,166

Total Private Equity 115,344,904

Source: University of California, Office of the Treasurer

ISSUER SHARES MARKET VALUE

Total Equities 3,188,643,289

TOTAL GEP EQUITY PORTFOLIO 3,206,131,289

Source: University of California, Office of the Treasurer

ISSUER SHARES MARKET VALUE

TOTAL ABSOLUTE RETURN 180,308,680

Source: University of California, Office of the Treasurer

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

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

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

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

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

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

TOTAL BOND PORTFOLIO 1,239,583,814

Portfolio market values do not include accruals.

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

ISSUER SHARES MARKET VALUE

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