GENERAL ENDOWMENT POOL

PRIVATE EQUITY
December 31, 2004
ISSUER

SHARES

ACCEL VIII
8,848
AIG ASIAN INFRASTRUCTURE
124,144
AIG ASIAN INFRASTRUCTURE II
117,031
AIG GE CAP LATIN AMER
155,598
AIG INDIAN SEC. EQUITY
19,123
ALTA S D III
13,000
ARCH VENTURE FUND VI
4,688
ARSENAL CAPITAL PARTNERS B
32,977
BAIN CAPITAL FUND VIII
48,300
BAIN CAPITAL FUND VIII COINVESTM
4,255
BLACKSTONE CAPITAL PARTNERS IV
60,066
CHINA VEST IV
27,000
CLEARSTONE VENTURE PARTNERS IIIA
4,600
DARWIN VENTURE CAPITAL FUND
775
DE NOVO VENTURES II LP
12,461
DOLL CAPITAL MANAGEMENT
2,500
DOMAIN PARTNERS VI, LP
3,738
FORTRESS INVESTMENT FUND III LP
2,571
FREMONT PARTNERS III LP
21,867
GENSTAR CAPITAL PARTNERS IV, L.P
1,684
GLENCOE CAPITAL INSTITUTIONAL PA
2,398
GLENCOE CAPITAL PARTNERS III LP
10,136
GLOBESPAN CAPITAL PARTNERS IV
11,275
GOLDER THOMA CRESSEY III
13,188
GOLDER THOMA CRESSEY IV
35,165
GOLDER THOMA CRESSEY V
59,891
GRANITE GLOBAL VENTURES II, L.P.
5,750
HUMMER WINBLAD III
14,923
INSTITUTIONAL VENTURE IV
8,940
INSTITUTIONAL VENTURE V
12,189
INSTITUTIONAL VENTURE VI
18,800
INSTITUTIONAL VENTURE VII
27,105
INSTITUTIONAL VENTURE VIII
44,471
INTERSOUTH PARTNERS V
11,680
INTERSOUTH PARTNERS VI, L.P.
8,250
INTERWEST PARTNERS IV
8,400
INTERWEST PARTNERS V
22,860
INTERWEST PARTNERS VI
21,998
INTERWEST PARTNERS VII
21,722
INTERWEST PARTNERS VIII
28,000
INVERNESS PARTNERS II L.P.
10,808
INVESTMENT CO OF CHINA
117,500
KELSO INVESTMENT ASSOCIATES VII
2,198
KODIAK VENTURE PARTNERS III
3,794
KPCBGEP
114,388
LAKE CAPITAL PARTNERS LP
9,205
LATIN AMER CAP PART II
78,793
LIGHTHOUSE CAPITAL PARTNERS V LP
12,500
LINDSAY GOLDBERG & BESSEMER L.P.
16,397
MAYFIELD VIII
18,500
MPAE V
8,806
NOVAK BIDDLE VENTURE PARTNERS IV
750
OLYMPUS GROWTH FUND IV, L.P.
3,416
OXFORD BIOSCIENCE III
19,500
OXFORD BIOSCIENCE PARTNERS IV
16,875
Source: University of California, Office of the Treasurer of the Regents

MARKET VALUE
474,790
594,528
5,221,457
8,918,724
1,006,727
316,004
356,705
2,261,264
1,103,993
425,500
6,431,758
254,259
460,000
77,498
1,027,688
250,000
329,376
257,145
1,198,100
168,409
236,993
1,019,140
908,729
15,892
36,994
4,127,076
575,000
244,192
157,907
6,948
227,386
1,360,563
873,771
750,592
443,025
15,070
390,652
434,395
917,966
1,974,196
1,011,195
122,200
137,747
332,866
10,222,468
868,931
3,561,897
1,187,075
1,254,495
422,688
194
75,000
344,033
1,042,860
1,261,913

GENERAL ENDOWMENT POOL
PRIVATE EQUITY
December 31, 2004
ISSUER

SHARES

PALOMAR VENTURES III, L.P.
PERSEUS 2000 EXPANSION
PERSEUS-SOROS BIOPHARMACEUTICAL
POLARIS VENTURE PARTNERS III
POLARIS VENTURE PARTNERS IV
REDPOINT VENTURES I
REDPOINT VENTURES II
SEQUOIA GEP
SKM EQUITY FUND II
TECHNOLOGY VENTURE IV
VENTURE STRATEGY PARTNERS II
VENTURE STRATEGY PARTNERS III
VERSANT VENTURES I
VERSANT VENTURES II
WARBURG PINCUS PRIVATE EQTY VIII
WCAS CAPITAL PARTNERS II
WCAS VI
WCAS VII
WELSH CARSON CP III
TOTAL

2,415
7,179
11,894
17,516
15,625
39,375
12,840
139,936
78,323
11,400
9,840
34,500
28,500
10,200
3,646
23,500
67,700
150,000
270,000

PRIVATE EQUITY

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

MARKET VALUE
241,500
778,731
1,063,451
1,059,333
1,324,859
1,059,856
866,032
17,143,610
3,257,614
96,661
449,904
345,000
2,986,458
900,935
307,944
605,627
1,355,896
3,418,650
14,252,290
119,210,324

General Endowment Pool
Bond Portfolio
December 31, 2002
DESCRIPTION
ABBOTT LABORATORIES
ALCOA INC
ALLSTATE CORP
ALLSTATE CORP.
AMERICAN GENERAL CAP II
AMERICAN GENERAL INST CAP A
ANADARKO FINANCE
AOL TIME WARNER INC
ATHABASCA OIL SANDS
AXA
BECTON DICKINSON
BELLSOUTH CORP
BOMBARDIER
BRITISH TEL PLC
BRITISH TEL PLC
BURLINGTON RESOURCES
CANADIAN NATL RAILROAD
CANADIAN NATL RAILROAD
CARNIVAL CORP
CCCIT 2001-A6 A6
CELULOSA ARAUCO
CEMEX S A
CHAMT 2001-4 A
CHILE REP
CITIGROUP INC
CITIGROUP INC
CLEAR CHANNEL COMMUNICATIONS
CODELCO INC
DCAT 2001-B A4
EATON CORP
EMERSON ELECTRIC
FGCI POOL #E01084
FGCI POOL #E01098
FGCI POOL #E01251
FGCI POOL #G11212
FHLG POOL #C62885
FHLG POOL #G01317
FHLG POOL #G01323
FHLG POOL #G01324
FHLG POOL #G01391
FHR 2422 DM
FHR 2484 PA
FHR 2484 VA
FHR 2494 CD

NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
PT09
NC
NC
NC
NC
NC
NC
NC

Source: University of California, Office of the Treasurer

PAR VALUE
5,000,000
3,000,000
1,000,000
12,000,000
5,000,000
4,000,000
1,000,000
3,000,000
9,000,000
7,000,000
10,000,000
3,000,000
4,600,000
4,000,000
6,000,000
3,000,000
3,000,000
12,000,000
4,775,000
2,000,000
8,000,000
5,000,000
3,000,000
1,500,000
2,500,000
10,000,000
5,000,000
3,000,000
1,000,000
1,900,000
2,000,000
3,499,622
8,807,713
3,971,612
2,616,482
5,845,785
3,810,259
7,600,772
4,703,975
14,631,964
5,000,000
6,765,915
2,909,095
5,000,000

RATE
5.625
5.375
7.200
6.900
8.500
7.570
7.500
7.625
8.200
8.600
7.000
6.875
7.350
8.375
8.875
9.875
6.800
6.900
7.200
5.650
7.750
9.625
5.500
7.125
5.500
6.000
7.650
6.375
5.320
8.100
7.125
5.500
6.000
5.500
6.500
6.500
7.000
7.000
7.000
7.000
6.500
6.000
6.000
5.500

MATURITY
7/1/06
1/15/13
12/1/09
5/15/2038
7/1/2030
12/1/2045
5/1/2031
4/15/2031
4/1/27
12/15/2030
8/1/27
10/15/2031
12/22/26
12/15/10
12/15/2030
6/15/10
7/15/18
7/15/28
10/1/23
6/15/06
9/13/11
10/1/09
11/15/08
1/11/12
8/9/06
2/21/12
9/15/10
11/30/12
6/1/04
8/15/22
8/15/10
1/1/17
2/1/17
11/1/17
11/1/16
1/1/2032
10/1/2031
9/1/2031
10/1/2031
4/1/2032
4/15/28
4/15/22
9/15/12
8/15/14

MARKET VALUE
5,442,650
3,179,040
1,159,650
13,213,320
6,515,500
4,755,640
1,188,860
3,071,340
10,581,695
7,993,580
11,288,300
3,361,200
2,186,749
4,804,760
7,646,400
3,873,648
3,307,110
13,587,600
4,785,716
2,184,280
8,836,720
5,512,500
3,265,380
1,691,385
2,699,325
10,990,700
5,658,200
3,157,410
1,058,340
2,183,664
2,324,580
3,628,495
9,199,597
4,119,485
2,752,489
6,092,878
3,996,449
7,961,322
4,927,113
15,346,960
5,240,576
7,085,545
3,088,006
5,318,182

General Endowment Pool
Bond Portfolio
December 31, 2002
DESCRIPTION
FHR 2501 MA
FHR 2509 TA
FIRSTENERGY CORP
FIRSTENERGY CORP
FNCI 5 1/2 TBA
FNCI POOL #254308
FNCI POOL #254373
FNCI POOL #545125
FNCI POOL #545296
FNCI POOL #581853
FNCI POOL #598444
FNCI POOL #612304
FNCI POOL #639018
FNCI POOL #673022
FNMA POOL #254146
FNMA POOL #254548
FNMA POOL #516493
FNMA POOL #535811
FNMA POOL #535911
FNMA POOL #545506
FNMA POOL #555139
FNMA POOL #581706
FNMA POOL #581975
FNMA POOL #585628
FNMA POOL #591189
FNMA POOL #591497
FNMA POOL #592020
FNMA POOL #597384
FNMA POOL #610324
FNMA POOL #614359
FNMA POOL #620451
FNMA POOL #633865
FNMA POOL #672415
FNMA POOL #673572
FNMA POOL #676633
FNMA-BENCHMARK
FNMA-BENCHMARK
FNMA-BENCHMARK
FNMA-BENCHMARK
FNR 02-09 PB
G2SF POOL#TBA
GENERAL ELECTRIC
GENERAL ELECTRIC
GENERAL ELECTRIC CAPITAL

NC
NC

NC
NC
NC

Source: University of California, Office of the Treasurer

PAR VALUE
3,000,000
2,000,000
4,000,000
8,000,000
10,000,000
3,330,372
897,487
4,239,036
3,614,862
1,120,017
5,473,933
11,234,355
3,195,758
6,210,043
7,181,649
6,988,353
812,922
7,003,383
3,960,843
2,068,313
5,246,000
1,526,773
2,824,443
7,344,345
3,135,792
1,568,466
4,882,997
3,235,190
6,833,792
5,160,607
2,595,774
11,073,054
2,918,077
3,000,000
6,000,000
20,000,000
33,000,000
5,000,000
5,000,000
4,000,000
11,000,000
5,000,000
5,000,000
8,000,000

RATE
5.500
5.500
5.500
6.450
5.500
6.500
6.500
6.000
6.000
6.000
6.500
6.000
6.500
5.500
6.000
5.500
6.000
6.500
6.500
7.000
6.500
6.500
6.500
6.500
6.500
6.500
6.500
6.500
6.500
6.500
6.500
7.000
6.500
6.000
6.000
4.000
5.000
5.250
5.500
6.000
6.000
4.625
6.000
6.125

MATURITY
3/15/12
10/15/09
11/15/06
11/15/11
1/5/18
5/1/17
7/1/17
8/1/16
11/1/16
7/1/16
6/1/17
10/1/16
4/1/17
12/1/17
1/1/2032
12/1/2032
6/1/29
4/1/2031
5/1/2031
2/1/2032
10/1/2032
7/1/2031
8/1/2031
6/1/2031
8/31/2031
9/1/2031
6/1/2031
6/1/2031
10/1/2031
12/1/2031
1/1/2032
3/1/2032
9/1/2032
11/1/2032
12/1/2032
11/17/06
1/15/07
1/15/09
3/15/11
11/25/14
1/3/28
9/15/09
6/15/12
2/22/11

MARKET VALUE
3,135,404
2,076,636
4,022,520
7,959,680
10,232,812
3,512,341
946,525
4,428,724
3,776,620
1,170,135
5,773,024
11,737,069
3,370,371
6,439,977
7,425,832
7,133,311
840,328
7,284,189
4,116,787
2,174,007
5,465,676
1,587,990
2,937,691
7,638,821
3,261,523
1,631,355
5,078,784
3,364,907
7,107,798
5,367,525
2,699,853
11,638,903
3,039,246
3,104,768
6,210,937
20,339,000
35,772,330
5,465,350
5,485,250
4,208,868
11,441,718
5,137,550
5,390,350
8,647,680

General Endowment Pool
Bond Portfolio
December 31, 2002
DESCRIPTION
GENERAL ELECTRIC CAPITAL
GEORGIA POWER
GNMA-I POOL #523006
GNMA-I POOL #546959
GNMA-I POOL #552383
GNMA-I POOL #569552
GNMA-I POOL #569569
GNMA-I POOL #569703
GNMA-I POOL #570142
GNMA-I POOL #572861
GNMA-I POOL #580979
GNMA-I POOL #781029
GNMA-I POOL #781130
GNMA-I POOL #781228
GNMA-II POOL #2824
GNMA-II POOL #2957
GNMA-II POOL #2958
GNMA-II POOL #2973
GNMA-II POOL #2987
GNMA-II POOL #2999
GNMA-II POOL #3011
GNR 02-45 QB
GRAND MET INVT CORP
GRAND MET INVT CORP
GRUPO TELEVISA SA
GRUPO TELEVISA SA
HALLMARK INC.
HAROT 2002-1 A4
HYDRO QUEBEC
HYDRO QUEBEC
IBM CANADA CREDIT
IBM CORP
IBM CORP
INTL BK R&D(PRNPT)STRIPS
KFW INTL FINANCE
KIMBERLY CLARK DE MEX
LOBLAW
LOBLAW
LOBLAW CO. LTD
LOBLAW CO. LTD RESIDS
LOBLAW CO. LTD RESIDS
LOCKHEED MARTIN CORP
LORAL
M & I CAPITAL SEC.

NC
NC

NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC06

Source: University of California, Office of the Treasurer

PAR VALUE
3,000,000
3,000,000
5,253,031
2,695,461
6,829,885
6,454,633
7,015,286
6,277,335
5,564,577
5,195,610
2,705,921
1,978,939
3,511,787
934,337
913,708
2,262,301
956,659
1,223,836
4,649,564
2,542,098
1,324,974
25,000,000
1,761,000
3,815,000
4,000,000
2,000,000
2,000,000
5,000,000
6,384,000
1,487,000
5,000,000
3,000,000
4,500,000
23,000,000
3,000,000
5,000,000
9,000,000
2,000,000
2,000,000
60,000,000
40,000,000
6,500,000
5,150,000
5,500,000

RATE
6.750
5.125
6.500
7.000
6.000
6.000
6.000
6.500
6.000
6.500
6.000
6.500
7.000
7.000
7.000
7.500
8.000
8.000
7.500
7.500
7.500
6.500
8.000
9.000
8.000
8.500
8.920
4.220
8.250
8.250
3.750
4.750
6.500
0.000
5.250
8.875
6.450
6.650
6.500
0.000
0.000
8.500
7.000
7.650

MATURITY
3/15/2032
11/15/12
2/15/2032
9/15/2031
2/15/2032
1/15/2032
1/15/2032
2/15/2032
12/15/2031
2/15/2032
2/15/2032
5/15/29
1/15/2030
12/15/28
10/20/29
8/20/2030
8/20/2030
9/20/2030
10/20/2030
11/20/2030
12/20/2030
7/20/2045
9/15/22
8/15/11
9/13/11
3/11/2032
7/23/12
4/16/07
4/15/26
1/15/27
11/30/07
11/29/12
1/15/28
2/15/15
6/28/06
8/1/09
2/9/28
11/8/27
1/22/29
5/23/2031
11/23/2033
12/1/29
9/15/23
12/1/26

MARKET VALUE
3,325,140
3,093,780
5,518,261
2,851,567
7,119,303
6,725,046
7,312,560
6,594,283
5,797,702
5,451,857
2,819,284
2,086,080
3,733,606
993,354
962,526
2,396,534
1,021,808
1,307,180
4,925,445
2,692,933
1,403,591
26,268,078
2,202,131
4,973,310
4,160,000
1,900,000
2,480,000
5,223,050
8,506,233
1,986,691
5,003,535
3,010,620
4,825,305
12,319,490
3,263,520
5,822,500
5,741,289
1,307,125
1,283,248
6,389,718
3,714,169
8,686,665
5,728,670
6,054,556

General Endowment Pool
Bond Portfolio
December 31, 2002
DESCRIPTION
MARSH & MCLENNAN COS INC
MASCO
MELLON A CAPITAL SEC.
MERCK
MEXICO VALUE RECOVERY RIGHTS
NORFOLK SOUTHERN
NORWEST
ONTARIO PROV CDA
PEMEX PROJECT
RESOLUTION TRUST FUNDING
SBC COMMUNICATIONS
SPIEKER PROP. REIT
STARWOOD HOTELS
STATE STREET INSTL CAP B
TELEFONOS MEXICO
TIME WARNER INC.
TOYOTA MTR CRED
TRANSCANADA PIPELINE
TRANSCANADA PIPELINE
TREASURY INFLATION INDEX
TREASURY INFLATION INDEX
TREASURY INFLATION INDEX
U.S.BANCORP CAP A SEC.
UNITED MEXICAN STATES
UNITED MEXICAN STATES
UNITED MEXICAN STATES
UNIVISION COMM INC
US BANK NA
US TREASURY BOND
US TREASURY BOND
US TREASURY BOND
US TREASURY BOND
US TREASURY BOND
US TREASURY BOND
US TREASURY NOTE
US TREASURY NOTE
US TREASURY NOTE
US TREASURY NOTE
VERIZON MARYLAND INC
VERIZON NY INC
VESSEL MGMT SVC TITLE XI
VODAFONE GROUP
WACHOVIA CAPITAL SEC.
WAL-MART STORES

NC
NC
NC06
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC07
NC
NC
NC
NC
NC
NC
NC
NC
NC06
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC07
NC

Source: University of California, Office of the Treasurer

PAR VALUE
3,000,000
8,000,000
6,000,000
15,000,000
40,850,000
2,046,000
10,000,000
5,000,000
5,000,000
1,950,000
5,000,000
5,000,000
2,000,000
5,000,000
5,000,000
2,465,000
1,000,000
4,500,000
3,000,000
8,500,000
25,000,000
11,000,000
7,000,000
3,000,000
3,500,000
2,100,000
4,500,000
12,000,000
57,500,000
10,000,000
61,254,000
80,625,000
10,000,000
7,247,000
4,900,000
31,000,000
25,000,000
53,750,000
4,000,000
5,000,000
2,636,750
6,500,000
5,000,000
5,000,000

RATE
5.375
7.125
7.720
6.400
0.000
9.000
6.750
3.500
7.375
8.625
5.875
7.250
7.875
8.035
8.250
9.150
5.650
8.625
9.450
3.375
3.375
3.500
8.270
8.125
8.300
8.375
7.850
6.375
5.250
5.500
6.000
6.250
6.625
8.750
4.000
4.875
5.750
6.500
6.125
7.375
6.080
7.750
7.965
6.875

MATURITY
3/15/07
8/15/13
12/1/26
3/1/28
3/1/21
12/15/27
9/17/07
12/15/14
1/15/21
8/15/12
5/1/09
5/1/12
3/15/27
1/26/06
2/1/23
1/15/07
5/15/12
3/20/18
1/15/07
1/15/12
1/15/11
12/15/26
12/30/19
8/15/2031
1/14/11
7/15/11
8/1/11
11/15/28
8/15/28
2/15/26
8/15/23
2/15/27
5/15/17
11/15/12
2/15/12
8/15/10
2/15/10
3/1/12
4/1/2032
5/20/24
2/15/10
6/1/27
8/10/09

MARKET VALUE
3,213,180
9,261,280
6,654,291
16,626,300
135,214
2,667,022
11,044,700
5,092,200
5,125,000
2,760,089
5,419,950
5,482,400
1,975,000
5,700,250
5,475,000
2,788,285
1,082,610
5,678,280
2,373,698
10,534,609
27,901,470
12,578,658
8,077,930
3,168,750
3,696,875
2,378,250
5,041,728
13,454,160
60,038,050
10,800,200
70,189,734
94,755,338
12,355,200
10,480,249
4,969,678
33,666,000
28,752,000
64,264,575
4,325,680
5,742,050
2,875,534
7,658,235
5,212,924
5,873,500

General Endowment Pool
Bond Portfolio
December 31, 2002
DESCRIPTION
WELLS FARGO & CO
WESTERN ATLAS
WISCONSIN ENERGY CORP
WYETH
WYETH
ZENECA

NC
NC
NC
NC
NC
NC

PAR VALUE
2,000,000
2,000,000
3,000,000
2,000,000
14,600,000
4,000,000

RATE
6.450
8.550
5.500
6.250
6.700
7.000

MATURITY
2/1/11
6/15/24
12/1/08
3/15/06
3/15/11
11/15/23

Total Bond Portfolio
Cash and equivalents
Total General Endowment Pool Bond Portfolio

Source: University of California, Office of the Treasurer

MARKET VALUE
2,240,680
2,528,005
3,219,870
2,165,580
16,173,442
4,688,400
1,357,186,350
46,911,000
1,404,094,350

General Endowment Pool
U.S. Equity
December 31, 2002
ISSUER

SHARES

ISHARES RUSS3000
RUSSELL 3000 INDEX FUND
RUSSELL 3000 INDEX TRANS FUNDS
PRIVATE EQUITY DISTRIBUTIONS

195,000
10,969,575
23,239,862
11,186

Total U.S. Equity
% of Portfolio

Source: University of California, Office of the Treasurer

MARKET VALUE
9,547,200
704,444,146
1,492,417,431
76,311
2,206,485,088
85.52%

General Endowment Pool
Non-U.S. Equity
December 31, 2002
ISSUER

SHARES

CGI EMERGING MARKETS GF
EAFE INDEX FUND
TEMPLETON EMERGING MKTS
Total Non-U.S. Equity
% of Portfolio

Source: University of California, Office of the Treasurer

532,972
3,528,608
1,266,875

MARKET VALUE
21,953,117
214,081,805
10,261,688
246,296,610
9.55%

General Endowment Pool
Private Equity
December 31, 2002
ISSUER
ACCEL VIII
AIG ASIAN INFRASTRUCTURE
AIG ASIAN INFRASTRUCTURE II
AIG GE CAP LATIN AMER
AIG INDIAN SEC. EQUITY
ALTA S D II
ALTA S D III
CHINA VEST IV
GOLDER THOMA CRESSEY III
GOLDER THOMA CRESSEY IV
GOLDER THOMA CRESSEY V
HUMMER WINBLAD III
INSTITUTIONAL VENTURE IV
INSTITUTIONAL VENTURE V
INSTITUTIONAL VENTURE VI
INSTITUTIONAL VENTURE VII
INSTITUTIONAL VENTURE VIII
INTERSOUTH PARTNERS V
INTERWEST PARTNERS IV
INTERWEST PARTNERS V
INTERWEST PARTNERS VI
INTERWEST PARTNERS VII
INTERWEST PARTNERS VIII
INVERNESS PARTNERS II L.P.
INVESTMENT CO OF CHINA
KPCB II
KPCB II ANNEX FUND
KPCB IV
KPCB IX-A
KPCB VI
KPCB VII
KPCB VIII
KPCB X-A
LAKE CAPITAL PARTNERS LP
LATIN AMER CAP PART II
LINDSAY GOLDBERG & BESSEMER L.P.
MAYFIELD VI
MAYFIELD VII
MAYFIELD VIII
MPAE V
OXFORD BIOSCIENCE III
OXFORD BIOSCIENCE PARTNERS IV
PERSEUS-SOROS BIOPHARMACEUTICAL
POLARIS VENTURE PARTNERS III
POLARIS VENTURE PARTNERS IV
REDPOINT VENTURES I
REDPOINT VENTURES II
SEQUOIA CAPITAL FRANCHISE
SEQUOIA CAPITAL GROWTH
SEQUOIA CAPITAL III
SEQUOIA CAPITAL IX
SEQUOIA CAPITAL V
SEQUOIA CAPITAL VI
SEQUOIA CAPITAL VII
SEQUOIA CAPITAL VIII
Source: University of California, Office of the Treasurer

SHARES
6,456
122,770
103,500
143,851
18,367
5,215
13,000
27,000
13,188
35,165
59,891
14,923
8,940
12,189
18,800
27,105
44,471
8,080
8,400
22,860
21,998
19,333
14,000
2,933
117,500
7,250
1,350
7,800
25,500
16,775
22,500
30,000
7,600
1,793
79,022
2,565
11,850
20,075
18,500
8,806
17,000
6,250
6,998
13,200
1,875
33,750
7,500
24,811
9,101
3,200
23,166
5,304
11,733
19,729
22,314

MARKET VALUE
383,434
3,497,956
6,112,290
9,192,515
1,520,473
298
420,615
1,325,538
410,424
247,597
4,388,919
284,393
164,746
24,622
339,885
1,996,012
2,593,474
619,469
63,672
452,465
1,842,091
957,205
948,640
293,345
273,775
80,200
3,683
40,482
1,145,588
96,641
489,803
1,321,530
524,347
179,275
4,122,329
248,658
71,989
266,877
933,584
31,534
1,446,105
543,769
703,120
879,463
183,763
1,466,066
492,300
986,863
45,432
2,362
639,289
41,159
188,532
1,834,738
1,019,995

General Endowment Pool
Private Equity
December 31, 2002
ISSUER

SHARES

SEQUOIA CAPITAL X
SKM EQUITY FUND II
STRAWBERRY TOWN & COUNTRY
TECHNOLOGY VENTURE III
TECHNOLOGY VENTURE IV
VENTURE STRATEGY PARTNERS II
VERSANT VENTURES I
VERSANT VENTURES II
WARBURG PINCUS PRIVATE EQTY VIII
WCAS CAPITAL PARTNERS II
WCAS CAPITAL PARTNERS III
WCAS VI
WCAS VII
Total Private Equity
% of Portfolio

Source: University of California, Office of the Treasurer

13,440
78,323
37,500
5,680
11,400
6,300
24,000
2,400
1,446
23,500
240,000
67,700
150,000

MARKET VALUE
848,951
6,467,687
15,000,000
7,094
154,595
490,153
2,316,840
204,864
116,780
804,805
26,098,320
2,556,555
8,811,450
122,261,423
4.74%

General Endowment Pool
Total Equities
December 31, 2002
ISSUER

SHARES

Total Equities
Cash and equivalents
% of Portfolio
Total General Endowment Pool Equity Portfolio

Source: University of California, Office of the Treasurer

MARKET VALUE
2,575,043,121
5,085,000
0.19%
2,580,128,121

GENERAL ENDOWMENT POOL
Fixed Income Portfolio
December 31, 2003
DESCRIPTION
ALCAN INC
ALCAN INC
ALCOA INC
ALLSTATE CORP
ALLSTATE CORP
AMERICAN ELECTRIC POWER
AMERICAN INTERNATIONAL GROUP
AOL TIME WARNER INC
AOL TIME WARNER INC
ARCEL FINANCE LIMITED
AT&T WIRELESS
ATHABASCA OIL SANDS
BECTON DICKINSON
BECTON DICKINSON
BELLSOUTH CORP
BP CAP MKTS AMER
BRITISH SKY BROADCASTING
BRITISH TEL PLC
BURLINGTON RESOURCES
CANADIAN NATL RAILROAD
CELULOSA ARAUCO
CEMEX S A
CENTEX
CENTEX
CIA BRASIL DE BEBIDAS
CINCINNATI GAS & ELEC
CITIGROUP
CITIGROUP INC
CLEAR CHANNEL COMMUNICATIONS
CODELCO INC
CODELCO INC
COMCAST CORP
COMCAST CORP
CONS EDISON CO OF NY
COSOLIDATED NATURAL GAS
CRH AMERICA
CRH AMERICA
DOMINION RESOURCES
EATON CORP
ENBRIDGE ENERGY PARTNERS L P
ENCANA CORP
ENERSIS
ENTERPRISE PRODUCTS
FGCI POOL #E01084

NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
PT09
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC

Source: University of California, Office of the Treasurer

PAR VALUE
1,000,000
500,000
790,000
5,000,000
790,000
2,000,000
3,500,000
4,790,000
2,000,000
500,000
1,500,000
9,000,000
1,000,000
5,000,000
1,000,000
5,000,000
1,500,000
5,000,000
2,790,000
2,790,000
6,790,000
5,000,000
2,000,000
790,000
3,000,000
2,000,000
5,000,000
1,000,000
4,790,000
1,000,000
2,000,000
6,200,000
6,800,000
790,000
2,000,000
2,500,000
2,000,000
4,000,000
1,000,000
500,000
1,500,000
2,500,000
1,200,000
534,080

RATE
5.200
6.125
5.375
5.350
7.200
5.250
4.250
6.875
7.625
7.048
8.125
8.200
4.900
7.000
6.875
4.200
8.200
8.875
9.875
6.800
7.750
9.625
5.125
5.800
8.750
5.375
6.000
6.625
7.650
5.500
6.375
5.300
6.500
5.875
5.000
5.300
6.400
5.000
8.100
4.750
4.750
7.375
6.875
5.500

MATURITY
1/15/2014
12/15/2033
1/15/2013
6/1/2033
12/1/2009
6/1/2015
5/15/2013
5/1/2012
4/15/2031
9/1/2011
5/1/2012
4/1/2027
4/15/2018
8/1/2027
10/15/2031
6/15/2018
7/15/2009
12/15/2030
6/15/2010
7/15/2018
9/13/2011
10/1/2009
10/1/2013
9/15/2009
9/15/2013
6/15/2033
10/31/2033
6/15/2032
9/15/2010
10/15/2013
11/30/2012
1/15/2014
1/15/2015
4/1/2033
3/1/2014
10/15/2013
10/15/2033
3/15/2013
8/15/2022
6/1/2013
10/15/2013
1/15/2014
3/1/2033
1/1/2017

MARKET VALUE
1,010,810
502,780
819,451
4,602,400
910,799
1,939,900
3,310,615
5,384,439
2,295,600
515,000
1,750,095
10,570,653
964,130
5,678,550
1,102,430
4,533,193
1,785,960
6,497,500
3,616,282
3,131,747
7,847,067
6,050,000
1,969,080
847,425
3,180,000
1,781,860
5,003,750
1,085,620
5,592,900
1,014,790
2,164,243
6,171,418
7,391,872
795,473
1,992,240
2,522,575
2,055,400
3,991,080
1,200,909
481,265
1,475,730
2,582,398
1,192,548
554,123

GENERAL ENDOWMENT POOL
Fixed Income Portfolio
December 31, 2003
DESCRIPTION
FGCI POOL #E01098
FGCI POOL #E01251
FGCI POOL #E01311
FGCI POOL #E01388
FGCI POOL #E01537
FGCI POOL #E95889
FGLMC POOL #A14235
FGLMC POOL #A15677
FGLMC POOL #A17021
FGLMC POOL #B11064
FGLMC POOL #C01404
FGLMC POOL #C01622
FGLMC POOL #C76289
FGLMC POOL #C76361
FGLMC POOL #C77031
FGLMC POOL #C78940
FGLMC POOL #C79009
FHLG POOL #C62885
FHR 2484 VA
FHR 2494 CD
FHR 2567 MC
FHR 2601 TA
FHR 2673 MA
FHR 2694 NS
FIFTH THIRD BANK
FIRSTENERGY CORP
FNCI POOL #254308
FNCI POOL #254373
FNCI POOL #254719
FNCI POOL #545125
FNCI POOL #545296
FNCI POOL #581853
FNCI POOL #598444
FNCI POOL #639018
FNCI POOL #652610
FNCI POOL #681357
FNCI POOL #681405
FNCI POOL #689076
FNCI POOL #689613
FNCI POOL #689619
FNCI POOL #689622
FNCI POOL #694431
FNCI POOL #695916
FNCI POOL #702895

NC
NC

Source: University of California, Office of the Treasurer

PAR VALUE
3,771,653
1,241,524
1,227,934
5,735,943
5,000,000
3,250,492
15,897,586
10,991,114
5,685,790
5,497,312
4,660,192
4,961,736
1,878,507
1,770,560
4,062,021
1,402,363
1,911,081
1,000,401
2,681,449
5,000,000
2,832,037
2,484,914
2,919,140
2,945,047
4,375,000
790,000
1,682,250
492,081
4,418,650
1,733,290
1,464,199
454,567
2,341,502
552,183
1,817,664
2,739,928
2,280,772
3,397,981
2,560,171
1,951,259
2,977,657
4,149,961
3,811,830
8,894,703

RATE
6.000
5.500
5.500
4.000
4.500
4.500
5.000
6.500
5.500
5.500
6.500
5.000
6.000
6.000
6.000
6.000
5.500
6.500
6.000
5.500
4.000
4.000
5.500
5.500
3.375
6.450
6.500
6.500
4.500
6.000
6.000
6.000
6.500
6.500
5.000
5.000
5.000
5.000
4.500
4.500
5.000
5.000
5.000
5.000

MATURITY
2/1/2017
11/1/2017
2/1/2018
5/1/2018
12/1/2018
5/1/2018
10/1/2033
11/1/2033
1/1/2034
11/1/2018
10/1/2032
9/1/2033
1/1/2033
2/1/2033
3/1/2033
5/1/2033
5/1/2033
1/1/2032
9/15/2012
8/15/2014
12/15/2032
10/15/2022
10/15/2033
3/15/2019
8/15/2008
11/15/2011
5/1/2017
7/1/2017
4/1/2018
8/1/2016
11/1/2016
7/1/2016
6/1/2017
4/1/2017
4/1/2018
3/1/2018
3/1/2018
6/1/2018
5/1/2018
6/1/2018
6/1/2018
3/1/2018
5/1/2018
4/1/2018

MARKET VALUE
3,955,416
1,288,338
1,274,803
5,611,762
5,011,045
3,257,672
15,721,441
11,517,786
5,763,526
5,707,138
4,878,671
4,906,760
1,944,642
1,832,894
4,205,028
1,451,734
1,939,162
1,047,302
2,811,742
5,180,457
2,874,993
2,460,983
3,058,143
3,088,100
4,338,994
816,955
1,782,322
521,353
4,432,515
1,818,548
1,536,221
476,927
2,480,792
585,030
1,858,016
2,800,755
2,331,405
3,473,416
2,568,204
1,957,382
3,043,761
4,242,090
3,896,452
9,092,165

GENERAL ENDOWMENT POOL
Fixed Income Portfolio
December 31, 2003
DESCRIPTION
FNCI POOL #709844
FNCI POOL #730016
FNCI POOL #755497
FNCI POOL#708598
FNCL POO1 #748794
FNCL POOL #254549
FNCL POOL #545759
FNCL POOL #555329
FNCL POOL #555590
FNCL POOL #656563
FNCL POOL #662950
FNCL POOL #669991
FNCL POOL #676904
FNCL POOL #676919
FNCL POOL #677508
FNCL POOL #677685
FNCL POOL #683160
FNCL POOL #684687
FNCL POOL #684745
FNCL POOL #688178
FNCL POOL #689100
FNCL POOL #689103
FNCL POOL #689108
FNCL POOL #694517
FNCL POOL #695526
FNCL POOL #695539
FNCL POOL #702021
FNCL POOL #702024
FNCL POOL #702399
FNCL POOL #704520
FNCL POOL #707281
FNCL POOL #709519
FNCL POOL #720111
FNCL POOL #721211
FNCL POOL #721229
FNCL POOL #723240
FNCL POOL #726054
FNCL POOL #733578
FNCL POOL #743272
FNCL POOL #743832
FNCL POOL #747510
FNCL POOL #747510
FNCL POOL #747817
FNCL POOL #748768

Source: University of California, Office of the Treasurer

PAR VALUE
1,795,819
2,432,726
2,235,542
2,669,981
2,083,570
4,540,433
5,036,783
4,522,177
2,365,519
3,404,478
2,097,945
5,959,454
411,733
377,807
608,207
1,754,272
570,895
4,788,684
7,031,980
1,895,274
5,581,006
3,762,415
4,475,856
4,723,881
4,827,225
3,762,614
2,021,467
4,774,206
3,338,591
1,931,587
2,732,605
3,894,991
4,949,194
1,961,720
2,950,923
3,664,878
3,689,364
2,486,861
17,508,071
2,984,348
1,137,256
275,605
4,970,088
1,383,014

RATE
5.000
4.000
5.500
5.500
6.500
6.000
6.500
5.000
5.500
5.500
6.500
5.500
6.000
6.000
6.000
5.000
6.000
6.000
6.500
5.500
5.500
5.500
5.500
5.500
6.000
5.500
5.750
5.250
5.500
5.500
6.000
5.500
4.500
5.000
5.000
5.500
5.500
5.000
6.000
5.500
6.500
6.500
4.500
7.000

MATURITY
5/1/2018
4/1/2018
11/1/2018
6/1/2018
11/1/2033
12/1/2032
7/1/2032
4/1/2033
3/1/2033
3/1/2033
2/1/2033
2/1/2033
1/1/2033
1/1/2033
1/1/2033
2/1/2033
2/1/2033
2/1/2033
4/1/2033
3/1/2033
2/1/2033
2/1/2033
2/1/2033
4/1/2033
4/1/2033
4/1/2033
5/1/2033
5/1/2033
5/1/2033
6/1/2033
5/1/2033
6/1/2033
7/1/2033
6/1/2033
6/1/2033
6/1/2033
6/1/2033
8/1/2033
10/1/2033
11/1/2033
12/1/2033
12/1/2033
11/1/2018
11/1/2033

MARKET VALUE
1,835,686
2,374,729
2,320,684
2,771,669
2,181,181
4,697,611
5,266,562
4,483,300
2,401,356
3,456,055
2,194,251
6,049,739
425,986
390,886
629,552
1,739,191
590,930
4,956,743
7,361,415
1,923,987
5,665,557
3,819,415
4,543,664
4,795,447
4,996,636
3,819,616
2,072,003
4,787,820
3,389,170
1,960,850
2,828,506
3,954,000
4,743,058
1,944,855
2,925,554
3,720,400
3,745,257
2,465,481
18,122,516
3,029,560
1,196,873
290,053
4,985,683
1,464,219

GENERAL ENDOWMENT POOL
Fixed Income Portfolio
December 31, 2003
DESCRIPTION
FNCL POOL #752574
FNCL POOL #753912
FNCL POOL 696940
FNMA POOL #254146
FNMA POOL #516493
FNMA POOL #545506
FNMA POOL #545872
FNMA POOL #555139
FNMA POOL #581706
FNMA POOL #610324
FNMA POOL #614359
FNMA POOL #633865
FNMA POOL #672415
FNMA POOL #673596
FNMA POOL #676633
FNMA POOL #753077
FNMA-BENCHMARK
FNMA-BENCHMARK
FNMA-BENCHMARK
FNMA-BENCHMARK
FNR 03-18 PA
FNR 03-63 GU
FNR 2003-20
FORD MOTOR CREDIT
FORD MOTOR CREDIT
FORD MOTOR CREDIT
FORD MOTOR CREDIT
FREDDIE MAC
FREDDIE MAC
FREDDIE MAC
GENERAL ELECTRIC
GENERAL ELECTRIC CAPITAL
GENERAL ELECTRIC COMPANY
GEORGIA POWER
GMAC
GMC
GMC
GNMA-I POOL #603419
GNMA-I POOL #781130
GNMA-I POOL #781228
GNMA-II POOL #2824
GNMA-II POOL #2999
GNMA-II POOL #3011
GNMA-II POOL #3334

C 7/06
C 2/06
NC
NC

NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC

Source: University of California, Office of the Treasurer

PAR VALUE
2,476,898
5,797,348
3,850,280
2,627,702
370,939
826,487
4,264,230
2,068,027
519,195
2,637,900
2,114,044
6,079,940
901,232
1,929,721
4,044,547
3,000,000
3,000,000
5,600,000
31,750,000
5,000,000
1,547,422
3,000,000
620,993
3,600,000
3,000,000
1,000,000
2,490,000
9,000,000
11,250,000
12,510,000
2,790,000
3,000,000
14,500,000
2,790,000
3,000,000
2,000,000
2,000,000
1,916,859
1,372,958
383,282
354,032
873,244
471,497
8,122,293

RATE
5.500
5.500
5.500
6.000
6.000
7.000
6.500
6.500
6.500
6.500
6.500
7.000
6.500
6.000
6.000
6.500
4.375
4.750
5.000
5.250
4.000
4.000
4.500
6.625
7.000
7.375
7.450
4.000
4.875
5.875
4.625
6.750
5.000
5.125
8.000
8.250
8.375
5.500
7.000
7.000
7.000
7.500
7.500
6.000

MATURITY
11/1/2033
12/1/2033
4/1/2033
1/1/2032
6/1/2029
2/1/2032
7/1/2032
10/1/2032
7/1/2031
10/1/2031
12/1/2031
3/1/2032
9/1/2032
1/1/2033
12/1/2032
12/1/2033
7/17/2013
2/21/2013
1/15/2007
1/15/2009
7/25/2032
7/25/2033
3/25/2031
10/1/2028
10/1/2013
2/1/2011
7/16/2031
6/12/2013
11/15/2013
3/21/2011
9/15/2009
3/15/2032
2/1/2013
11/15/2012
11/1/2031
7/15/2023
7/15/2033
2/15/2033
1/15/2030
12/15/2028
10/20/2029
11/20/2030
12/20/2030
1/20/2033

MARKET VALUE
2,514,422
5,885,176
3,908,611
2,717,995
383,911
874,065
4,459,978
2,162,958
542,876
2,758,221
2,210,470
6,429,944
942,603
1,996,523
4,184,558
3,140,544
2,868,750
5,510,344
33,890,584
5,378,150
1,533,873
3,023,533
631,574
3,287,232
3,148,500
1,085,420
2,512,136
8,405,280
11,363,175
13,543,701
2,900,400
3,332,910
14,647,320
2,832,575
3,355,350
2,258,360
2,320,560
1,954,788
1,462,969
408,916
376,493
932,396
503,435
8,450,337

GENERAL ENDOWMENT POOL
Fixed Income Portfolio
December 31, 2003
DESCRIPTION
GNSF POOL #598267
GNSF POOL #612376
GNSF POOL #781324
GOLDMAN SACHS
GOLDMAN SACHS
GRUMA SA DE CV
GRUPO TELEVISA SA
GRUPO TELEVISA SA
HERTZ CORP
HILTON HOTELS
IBM
IBM CORP
IBM CORP
ILLINOIS STATE TAXABLE PENSION
INTL BK R&D(PRNPT)STRIPS
JOHNSON & JOHNSON
KFW INTL FINANCE
KIMBERLY CLARK DE MEX
L-3 COMMUNICATIONS CORP
LOBLAW
LOBLAW
LOBLAW CO. LTD
LOBLAW CO. LTD RESIDS
LOCKHEED MARTIN CORP
LORAL
M & I CAPITAL SEC.
MASCO
MELLON A CAPITAL SEC.
MERCK
MERCK
MORGAN STANLEY
NISOURCE FINANCE
NORWEST
OHIO POWER COMPANY
PCCW-HKTC CAP
PEMEX PRJT FDG MASTER TR 144A
PEMEX PROJECT
PFIZER INC
PROGRESS ENERGY
PSI ENERGY INC
REPUBLIC OF BRAZIL
REPUBLIC OF BRAZIL
ROYAL BK SCOTLAND
RYLAND GROUP

NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
SNK
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC06
NC
C
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC

Source: University of California, Office of the Treasurer

PAR VALUE
953,321
4,994,330
1,248,125
3,500,000
7,000,000
3,500,000
3,000,000
3,100,000
1,790,000
1,000,000
1,800,000
2,790,000
1,700,000
3,000,000
23,000,000
1,790,000
3,000,000
5,000,000
1,000,000
9,000,000
2,000,000
2,000,000
40,000,000
1,000,000
1,150,000
2,800,000
5,790,000
1,500,000
1,000,000
1,000,000
5,290,000
4,250,000
10,000,000
2,000,000
3,000,000
4,000,000
1,580,000
1,000,000
4,000,000
1,000,000
1,000,000
3,600,000
3,000,000
1,000,000

RATE
6.000
5.500
7.000
4.750
6.125
7.625
8.000
8.500
4.700
7.625
6.500
4.750
5.875
5.100
0.000
4.950
5.250
8.875
6.125
6.450
6.650
6.500
0.000
8.500
7.000
7.650
7.125
7.720
5.950
6.400
5.300
5.400
6.750
5.500
6.000
8.625
6.125
4.650
7.000
5.000
9.250
10.000
4.700
5.375

MATURITY
6/15/2033
11/15/2033
7/15/2031
7/15/2013
2/15/2033
10/15/2007
9/13/2011
3/11/2032
10/2/2006
12/1/2012
1/15/2028
11/29/2012
11/29/2032
6/1/2033
2/15/2015
5/15/2033
6/28/2006
8/1/2009
1/15/2014
2/9/2028
11/8/2027
1/22/2029
11/23/2033
12/1/2029
9/15/2023
12/1/2026
8/15/2013
12/1/2026
12/1/2028
3/1/2028
3/1/2013
7/15/2014
12/15/2027
2/15/2013
7/15/2013
2/1/2022
8/15/2008
3/1/2018
10/30/2031
9/15/2013
10/22/2010
8/7/2011
7/3/2018
6/1/2008

MARKET VALUE
993,145
5,093,151
1,328,076
3,403,400
7,057,680
3,762,500
3,345,000
3,255,000
1,812,912
1,120,000
1,963,728
2,793,962
1,709,605
2,758,410
12,852,400
1,627,020
3,210,180
6,000,000
1,000,000
7,212,953
1,641,011
1,613,495
4,612,270
1,306,580
1,264,229
3,083,136
6,666,895
1,663,800
1,039,250
1,097,550
5,401,301
4,304,527
10,913,800
2,069,440
3,078,250
4,410,000
1,659,000
954,030
4,269,320
987,880
1,075,000
4,014,000
2,773,800
1,015,000

GENERAL ENDOWMENT POOL
Fixed Income Portfolio
December 31, 2003
DESCRIPTION
SBC COMMUNICATIONS
SOUTHERN POWER
SPIEKER PROP. REIT
SPRINT
SPRINT CAP CORP
STARWOOD HOTELS
STARWOOD HOTELS
STATE STREET BANK
STATE STREET REPO
SUNCOR ENERGY
TELECOM ITALIA CAPITAL
TELEFONOS MEXICO
TELEFONOS MEXICO
TIME WARNER ENTERTAINMENT
TOYOTA MTR CRED
U.S.BANCORP CAP A SEC.
UNITED MEXICAN STATES
UNITED MEXICAN STATES
UNITED MEXICAN STATES
UNIVISION COMM INC
UNIVISION COMM INC
US BANK NA
US BANK NA
US TREASURY BOND
US TREASURY BOND
US TREASURY BOND
US TREASURY BOND
US TREASURY BOND
US TREASURY BOND
US TREASURY NOTE
US TREASURY NOTE
US TREASURY NOTE
US TREASURY NOTE
US TREASURY NOTES
VALE OVERSEAS LIMITED
VERIZON GLOBAL
VERIZON MARYLAND IN
VERIZON NY INC
VERIZON NY INC.
VESSEL MGMT SVC TITLE XI
VIRGINIA EL&PWR
VODAFONE GROUP
VODAFONE GROUP
VODAFONE GROUP

NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC06
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC

Source: University of California, Office of the Treasurer

PAR VALUE
1,290,000
3,000,000
4,790,000
4,000,000
1,345,000
1,000,000
1,000,000
2,000,000
1,113,500
4,000,000
3,000,000
1,000,000
4,790,000
2,000,000
375,000
1,000,000
1,500,000
2,500,000
2,150,000
790,000
1,500,000
4,000,000
1,790,000
57,500,000
60,394,000
79,765,000
10,000,000
2,040,000
20,747,000
4,900,000
32,475,000
9,000,000
27,700,000
36,000,000
4,500,000
2,500,000
3,500,000
1,500,000
4,000,000
2,513,750
1,000,000
500,000
1,500,000
1,790,000

RATE
5.875
4.875
7.250
6.875
6.900
7.375
7.875
5.250
0.700
5.950
6.375
4.500
8.250
8.375
5.650
8.270
6.375
7.500
8.125
3.875
7.850
4.800
6.375
5.250
6.000
6.250
6.625
7.875
8.750
4.000
4.875
5.750
6.500
1.625
9.000
7.750
5.125
7.375
4.750
6.080
4.750
5.000
5.375
7.750

MATURITY
8/15/2012
7/15/2015
5/1/2009
11/15/2028
5/1/2019
5/1/2007
5/1/2012
10/15/2018
1/2/2004
12/1/2034
11/15/2033
11/19/2008
1/26/2006
7/15/2033
1/15/2007
12/15/2026
1/16/2013
4/8/2033
12/30/2019
10/15/2008
7/15/2011
4/15/2015
8/1/2011
11/15/2028
2/15/2026
8/15/2023
2/15/2027
2/15/2021
5/15/2017
11/15/2012
2/15/2012
8/15/2010
2/15/2010
9/30/2005
8/15/2013
12/1/2030
6/15/2033
4/1/2032
10/1/2013
5/20/2024
3/1/2013
12/16/2013
1/30/2015
2/15/2010

MARKET VALUE
1,364,433
2,858,790
5,490,011
3,870,760
1,369,842
1,080,000
1,117,500
2,003,900
1,113,500
3,980,760
3,011,970
1,001,270
5,273,934
2,526,180
406,946
1,170,290
1,563,750
2,587,500
2,391,875
785,047
1,759,230
3,894,560
1,992,342
57,992,202
66,941,919
90,941,673
11,945,800
2,717,096
29,090,405
4,852,323
34,395,572
10,097,280
32,169,119
35,990,999
4,905,000
2,928,875
3,004,505
1,649,025
3,869,600
2,708,013
988,280
497,935
1,513,065
2,116,102

GENERAL ENDOWMENT POOL
Fixed Income Portfolio
December 31, 2003
DESCRIPTION
WAL-MART STORES
WELLS FARGO & CO
WESTERN ATLAS
WYETH
WYETH

NC
NC
NC
NC
NC

PAR VALUE
2,000,000
2,500,000
1,790,000
5,600,000
2,000,000

RATE
4.550
4.950
8.550
5.500
6.450

MATURITY
5/1/2013
10/16/2013
6/15/2024
3/15/2013
2/1/2024

MARKET VALUE
1,967,140
2,488,400
2,344,294
5,807,200
2,051,040

Fixed Income Portfolio
Cash and Equivalents

1,236,858,501
62,400,000

TOTAL GEP FIXED INCOME PORTFOLIO

1,299,258,501

Source: University of California, Office of the Treasurer

GENERAL ENDOWMENT POOL
Public Equity
December 31, 2003
ISSUER

SHARES

PRIVATE EQUITY DISTRIBUTIONS
CGI EMERGING MARKETS GF
EAFE INDEX FUND
TEMPLETON EMERGING MKTS
GMO EMERGING MARKETS FUND
RUSSELL 3000 INDEX FUND
RUSSELL 3000 INDEX TRANS FUNDS

219,428
517,323
5,505,239
1,266,875
74,273
14,583,613
4,861,204

Total Public Equities
% of Portfolio

Source: University of California, Office of the Treasurer

MARKET VALUE
1,885,830
31,603,255
451,100,152
15,417,869
1,096,263
1,929,146,264
643,048,752
3,073,298,385
95.9%

GENERAL ENDOWMENT POOL
Private Equity
December 31, 2003
ISSUER
ACCEL VIII
AIG ASIAN INFRASTRUCTURE
AIG ASIAN INFRASTRUCTURE II
AIG GE CAP LATIN AMER
AIG INDIAN SEC. EQUITY
ALTA S D III
ARSENAL CAPITAL PARTNERS B
BLACKSTONE CAPITAL PARTNERS IV
CHINA VEST IV
DE NOVO VENTURES II LP
DOMAIN PARTNERS VI, L.P.
FREMONT PARTNERS III LP
GLOBESTPAN CAPITAL PARTNERS IV
GOLDER THOMA CRESSEY III
GOLDER THOMA CRESSEY IV
GOLDER THOMA CRESSEY V
HUMMER WINBLAD III
INSTITUTIONAL VENTURE IV
INSTITUTIONAL VENTURE V
INSTITUTIONAL VENTURE VI
INSTITUTIONAL VENTURE VII
INSTITUTIONAL VENTURE VIII
INTERSOUTH PARTNERS V
INTERSOUTH PARTNERS VI, L.P.
INTERWEST PARTNERS IV
INTERWEST PARTNERS V
INTERWEST PARTNERS VI
INTERWEST PARTNERS VII
INTERWEST PARTNERS VIII
INVERNESS PARTNERS II L.P.
INVESTMENT CO OF CHINA
KPCB II
KPCB II ANNEX FUND
KPCB IX-A
KPCB VI
KPCB VII
KPCB VIII
KPCB X-A
LAKE CAPITAL PARTNERS LP
LATIN AMER CAP PART II
LIGHTHOUSE CAPITAL PARTNERS V LP
LINDSAY GOLDBERG & BESSEMER L.P.
MAYFIELD VII
MAYFIELD VIII
MPAE V
OXFORD BIOSCIENCE III
OXFORD BIOSCIENCE PARTNERS IV
PERSEUS-SOROS BIOPHARMACEUTICAL
POLARIS VENTURE PARTNERS III
POLARIS VENTURE PARTNERS IV
REDPOINT VENTURES I
REDPOINT VENTURES II

Source: University of California, Office of the Treasurer

SHARES
7,273
123,803
117,031
151,509
19,123
13,000
21,362
25,989
27,000
6,231
1,869
21,867
3,694
13,188
35,165
59,891
14,923
8,940
12,189
18,800
27,105
44,471
9,960
4,406
8,400
22,860
21,998
20,419
20,000
2,933
117,500
7,250
1,350
26,250
16,775
22,500
30,000
8,500
4,535
78,793
5,000
6,019
20,075
18,500
8,806
19,500
11,875
9,201
15,716
6,250
37,125
9,840

MARKET VALUE
377,891
856,590
4,929,581
9,125,714
1,339,287
392,730
1,354,442
2,595,669
466,749
623,075
186,922
2,186,712
369,358
411,136
41,706
3,425,036
292,048
158,667
6,168
433,547
1,909,358
2,353,596
657,589
314,170
13,423
412,209
1,505,345
792,285
1,236,040
272,268
208,915
69,593
3,703
1,061,078
76,108
809,168
1,845,600
477,224
230,478
3,159,931
500,000
511,659
15,899
629,204
15,401
1,214,850
1,060,473
769,495
925,547
495,031
1,131,310
597,357

GENERAL ENDOWMENT POOL
Private Equity
December 31, 2003
ISSUER

SHARES

SEQUOIA CAPITAL FRANCHISE
SEQUOIA CAPITAL GROWTH
SEQUOIA CAPITAL III
SEQUOIA CAPITAL IX
SEQUOIA CAPITAL VI
SEQUOIA CAPITAL VII
SEQUOIA CAPITAL VIII
SEQUOIA CAPITAL X
SKM EQUITY FUND II
TECHNOLOGY VENTURE IV
VENTURE STRATEGY PARTNERS II
VERSANT VENTURES I
VERSANT VENTURES II
WARBURG PINCUS PRIVATE EQTY VIII
WCAS CAPITAL PARTNERS II
WCAS VI
WCAS VII
WELSH CARSON CP III
STRAWBERRY TOWN & COUNTRY
Total Private Equity
% of Portfolio

Source: University of California, Office of the Treasurer

26,823
9,101
3,200
24,975
11,733
19,729
22,314
15,904
78,323
11,400
8,100
27,000
6,000
2,046
23,500
67,700
150,000
270,000
37,500

MARKET VALUE
1,114,166
31,025
2,720
779,819
175,415
896,742
965,594
820,440
3,794,049
100,274
318,541
2,442,339
499,326
163,251
636,780
2,152,048
6,358,500
24,246,540
15,000,000
115,344,904
3.6%

GENERAL ENDOWMENT POOL
Total Equity
December 31, 2003
ISSUER

Total Equities
Cash and Equivalents
% of Portfolio
TOTAL GEP EQUITY PORTFOLIO

Source: University of California, Office of the Treasurer

SHARES

MARKET VALUE

3,188,643,289
17,488,000
0.5%
3,206,131,289

GENERAL ENDOWMENT POOL
Absolute Return
December 31, 2003
ISSUER

SHARES

AVENUE SPECIAL SITUATION FD III
CAMDEN ST ALBANS PARNERS LTD
CANYON CAPITAL ADVISORS LLC
CARL MARKS STRATEGIC INVESTMENTS
DAVIDSON KEMPNER INSTITUTIONAL
DESCARTES PARTNERS L.P.
MAVERICK FUND, LTD
O'CONNOR GLOBALFUNDAMENTALL/SLIM
SIRIOS OVERSEAS FUND, LTD.

18,095,699
20,000
7,622
20,000,000
25,000,000
10,000,000
28,883
20,000
14,752

TOTAL ABSOLUTE RETURN

Source: University of California, Office of the Treasurer

MARKET VALUE
14,389,989
20,342,000
21,372,570
21,112,860
27,066,425
10,069,070
20,242,542
19,953,000
25,760,224
180,308,680

GENERAL ENDOWMENT POOL
BOND PORTFOLIO
December 31, 2004
DESCRIPTION
ALCAN INC
ALLSTATE CORP
AMERICA MOVIL
AMERICA MOVIL SA
AMERICAN ELEC PWR INC
AMERICAN ELECTRIC POWER
AMERICAN GENERAL FINANCE
AMERICAN INTERNATIONAL GROUP
AOL TIME WARNER INC
AOL TIME WARNER INC
ARCEL FINANCE LIMITED
AT&T WIRELESS
ATHABASCA OIL SANDS
BAFC 2004-1
BECTON DICKINSON
BECTON DICKINSON & CO
BELLSOUTH CORP
BELLSOUTH CORP
BELLSOUTH CORP
BELLSOUTH CORP
BOAA 2004
BOAA 2004-2 3A1
BOAMS 2004-1 2A1
BP CAP MKTS AMER
BRITISH SKY BROADCASTING
BRITISH TEL PLC
BURLINGTON RESOURCES
BURLINGTON RESOURCES
CANADIAN NATL RAILROAD
CELULOSA ARAUCO
CELULOSA ARAUCO
CENTEX
CINCINNATI GAS & ELEC
CINCINNATI GAS & ELEC CO
CITIGROUP
CITIGROUP INC
CITIGROUP INC
CLEAR CHANNEL COMMUNICATIONS
CMSI 2004-5 23A5
CODELCO INC
CODELCO INC
COMCAST CABLE COMMUNICATIONS
COMCAST CORP
COMCAST CORP

NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC

NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC

PAR VALUE
1,000,000
620,000
2,000,000
2,600,000
500,000
2,000,000
750,000
2,000,000
700,000
1,500,000
1,000,000
2,790,000
9,000,000
8,105,998
2,500,000
500,000
1,500,000
1,650,000
1,500,000
550,000
1,765,885
1,653,807
2,445,595
5,000,000
1,500,000
5,000,000
500,000
2,790,000
2,790,000
500,000
4,290,000
200,000
2,000,000
870,000
5,000,000
4,000,000
1,000,000
2,000,000
3,886,839
1,000,000
2,000,000
4,800,000
360,000
6,800,000

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

RATE
5.200
5.000
5.500
5.750
5.375
5.250
4.000
4.250
6.150
7.625
7.048
8.125
8.200
6.000
7.000
4.550
4.750
5.200
5.200
6.550
6.000
6.000
5.500
4.200
8.200
8.875
7.200
9.875
6.800
5.125
7.750
5.800
5.375
5.400
6.000
5.000
5.850
4.400
4.500
4.750
6.375
8.875
5.850
6.500

MATURITY
1/15/2014
8/15/2014
3/1/2014
1/15/2015
3/15/2010
6/1/2015
3/15/2011
5/15/2013
5/1/2007
4/15/2031
9/1/2011
5/1/2012
4/1/2027
2/25/2034
8/1/2027
4/15/2013
11/15/2012
9/15/2014
12/15/2016
6/15/2034
2/25/2034
3/25/2034
2/25/2034
6/15/2018
7/15/2009
12/15/2030
8/15/2031
6/15/2010
7/15/2018
7/9/2013
9/13/2011
9/15/2009
6/15/2033
6/15/2033
10/31/2033
9/15/2014
12/11/2034
5/15/2011
8/25/2034
10/15/2014
11/30/2012
5/1/2017
1/15/2010
1/15/2015

MARKET VALUE
1,026,212
622,870
1,988,740
2,605,434
521,343
2,004,962
725,929
1,931,722
738,553
1,814,424
1,021,960
3,371,264
10,926,709
8,305,496
2,922,673
494,914
1,511,178
1,682,855
1,508,194
599,218
1,810,896
1,696,033
2,457,384
4,594,224
1,733,687
6,678,465
597,759
3,535,076
3,288,304
494,788
4,957,306
211,716
1,904,007
830,885
5,163,598
4,015,515
1,030,850
1,938,468
3,839,468
980,994
2,205,403
6,277,504
383,926
7,547,197

GENERAL ENDOWMENT POOL
BOND PORTFOLIO
December 31, 2004
DESCRIPTION
COSOLIDATED NATURAL GAS
COUNTRYWIDE FINANCIAL
COX COMMUNICATIONS INC NEW
COX COMMUNICATIONS INC.
CRH AMERICA
CRH AMERICA
CWHL 2003-50 A1
D.R. HORTON INC.
DAIMLERCHRYSLER NA HLDG
DANA CORPORATION
DELHAIZE AMER INC
DEV BANK SINGAPORE
DEVELOPERS DIVERS REALTY
DIAMLERCHRYSLER NA HLDG
DR HORTON INC
DR HORTON INC.
EATON CORP
ENBRIDGE ENERGY PARTNERS L P
ENCANA CORP
ENERSIS SA
ENTERPRISE PRODUCTS
ENTERPRISE PRODUCTS
ENTERPRISE PRODUCTS OPER
EOP OPERATING LP
ERAC USA FINANCE
FANNIE MAE
FANNIE MAE
FANNIE MAE
FANNIE MAE
FEDERAL NATL MTG ASSN
FGCI PL B14157
FGCI POOL #E01084
FGCI POOL #E01098
FGCI POOL #E01251
FGCI POOL #E01311
FGCI POOL #E01537
FGLMC POOL #A14235
FGLMC POOL #A17995
FGLMC POOL #B11064
FGLMC POOL #C01404
FGLMC POOL #C01622
FGLMC POOL #C76289
FGLMC POOL #C77031
FGLMC POOL #C78940

NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC

PAR VALUE
2,000,000
2,000,000
1,000,000
1,200,000
2,375,000
2,000,000
2,016,118
2,450,000
1,100,000
1,350,000
1,425,000
2,000,000
2,315,000
500,000
1,000,000
400,000
1,000,000
2,200,000
5,300,000
3,000,000
1,250,000
1,750,000
1,290,000
2,750,000
2,000,000
37,000,000
5,805,000
22,700,000
4,300,000
12,400,000
5,972,989
376,756
2,491,905
913,104
900,131
4,443,625
14,302,523
932,257
4,915,631
2,918,168
4,518,571
1,401,406
2,797,371
1,695,503

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

RATE
5.000
4.000
5.500
4.625
5.300
6.400
5.000
5.625
8.500
5.850
9.000
5.000
5.250
6.500
5.000
5.625
8.100
4.750
6.500
7.375
6.650
6.875
4.625
4.650
6.700
3.875
4.000
5.125
5.250
4.625
4.000
5.500
6.000
5.500
5.500
4.500
5.000
6.500
5.500
6.500
5.000
6.000
6.000
6.000

MATURITY
3/1/2014
3/22/2011
10/1/2015
1/15/2010
10/15/2013
10/15/2033
11/25/2018
1/15/2016
1/18/2031
1/15/2015
4/15/2031
11/15/2019
4/15/2011
11/15/2013
1/15/2009
9/15/2014
8/15/2022
6/1/2013
8/15/2034
1/15/2014
10/15/2034
3/1/2033
10/15/2009
10/1/2010
6/1/2034
11/17/2008
12/15/2008
1/2/2014
8/1/2012
5/1/2013
5/1/2019
1/1/2017
2/1/2017
11/1/2017
2/1/2018
12/1/2018
10/1/2033
1/1/2034
11/1/2018
10/1/2032
9/1/2033
1/1/2033
3/1/2033
5/1/2033

MARKET VALUE
2,014,751
1,938,795
994,441
1,199,792
2,430,375
2,165,239
2,034,339
2,410,188
1,365,463
1,336,500
1,843,665
1,984,980
2,355,935
540,588
1,007,500
399,000
1,291,571
2,147,775
5,825,373
3,269,610
1,288,046
1,856,334
1,284,524
2,760,906
2,152,893
36,822,271
5,797,797
23,186,942
4,465,612
12,288,851
5,843,345
389,376
2,612,601
943,507
930,202
4,443,406
14,256,212
976,845
5,079,849
3,058,797
4,503,940
1,447,539
2,889,457
1,751,317

GENERAL ENDOWMENT POOL
BOND PORTFOLIO
December 31, 2004
DESCRIPTION
FGLMC POOL #G01674
FGLMC POOL C01676
FGTW POOL C90852
FHLG POOL #C62885
FHR 2567 MC
FHR 2601 TA
FIFTH THIRD BANK
FIRSTENERGY CORP
FIRSTENERGY CORP
FIRSTENERGY CORP
FLORIDA POWER
FNARM PL 804082
FNARM POOL #555893
FNARM POOL #726233
FNARM POOL #748088
FNARM POOL #764105
FNARM POOL #766244
FNARM POOL #770305
FNCI POOL #254308
FNCI POOL #254373
FNCI POOL #254719
FNCI POOL #545125
FNCI POOL #545296
FNCI POOL #639018
FNCI POOL #652610
FNCI POOL #681357
FNCI POOL #681405
FNCI POOL #689076
FNCI POOL #689613
FNCI POOL #689619
FNCI POOL #689622
FNCI POOL #694431
FNCI POOL #695916
FNCI POOL #702895
FNCI POOL #709844
FNCI POOL #711268
FNCI POOL #730016
FNCI POOL #755497
FNCI POOL #755498
FNCI POOL#708598
FNCL PL 255458
FNCL POO1 #748794
FNCL POOL #545759
FNCL POOL #555329

NC
NC
NC
NC
NC

PAR VALUE
5,581,922
8,813,410
6,114,541
242,385
1,537,138
1,932,369
3,375,000
1,050,000
790,000
4,000,000
1,500,000
2,131,056
2,822,750
2,592,886
4,252,254
4,716,255
6,029,042
4,003,632
1,078,802
323,941
3,714,470
2,826,699
905,467
405,349
1,531,697
2,320,140
1,923,042
2,856,332
2,284,735
1,731,893
2,674,959
3,406,993
3,085,044
7,273,645
1,423,150
790,308
2,117,604
1,912,967
1,694,092
2,171,368
4,931,865
1,201,214
2,860,365
3,926,558

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

RATE
5.500
6.000
6.000
6.500
4.000
4.000
3.375
5.500
6.450
7.375
5.100
5.384
3.917
4.709
4.095
4.158
4.921
4.422
6.500
6.500
4.500
6.000
6.000
6.500
5.000
5.000
5.000
5.000
4.500
4.500
5.000
5.000
5.000
5.000
5.000
5.500
4.000
5.500
5.500
5.500
5.500
6.500
6.500
5.000

MATURITY
4/1/2034
11/1/2033
7/1/2024
1/1/2032
12/15/2032
10/15/2022
8/15/2008
11/15/2006
11/15/2011
11/15/2031
12/1/2015
8/1/2034
10/1/2033
7/1/2033
9/1/2033
3/1/2034
2/1/2034
4/1/2034
5/1/2017
7/1/2017
4/1/2018
8/1/2016
11/1/2016
4/1/2017
4/1/2018
3/1/2018
3/1/2018
6/1/2018
5/1/2018
6/1/2018
6/1/2018
3/1/2018
5/1/2018
4/1/2018
5/1/2018
11/1/2018
4/1/2018
11/1/2018
11/1/2018
6/1/2018
11/1/2034
11/1/2033
7/1/2032
4/1/2033

MARKET VALUE
5,677,537
9,103,535
6,350,180
254,066
1,538,157
1,910,390
3,325,969
1,081,361
856,518
4,551,430
1,506,389
2,156,714
2,796,996
2,627,413
4,227,693
4,682,544
6,107,607
4,007,948
1,142,757
343,145
3,714,533
2,961,926
948,783
429,380
1,558,170
2,360,239
1,956,278
2,905,698
2,284,773
1,731,922
2,721,191
3,465,876
3,138,363
7,399,355
1,447,746
817,267
2,069,389
1,978,223
1,751,882
2,245,439
5,010,137
1,257,669
2,996,359
3,908,968

GENERAL ENDOWMENT POOL
BOND PORTFOLIO
December 31, 2004
DESCRIPTION
FNCL POOL #662950
FNCL POOL #669991
FNCL POOL #676919
FNCL POOL #677508
FNCL POOL #677685
FNCL POOL #683160
FNCL POOL #684745
FNCL POOL #689108
FNCL POOL #694517
FNCL POOL #702021
FNCL POOL #702024
FNCL POOL #702399
FNCL POOL #709519
FNCL POOL #721211
FNCL POOL #721229
FNCL POOL #726054
FNCL POOL #743272
FNCL POOL #747510
FNCL POOL #747510
FNCL POOL #747817
FNCL POOL #748768
FNCL POOL #750871
FNCL POOL #753093
FNCL POOL #753912
FNCL POOL #756390
FNCL POOL #763642
FNCL POOL #790927
FNCL POOL #794967
FNCL POOL #794978
FNCL POOL 793999
FNCL POOL 794024
FNCT POOL #255417
FNGT 2004-T3
FNMA POOL #545506
FNMA POOL #545872
FNMA POOL #555139
FNMA POOL #581706
FNMA POOL #633865
FNMA POOL #672415
FNMA POOL #753077
FNMA-BENCHMARK
FNR 03-18 PA
FNR 03-63 GU
FNR 2003-20

NC

PAR VALUE
920,486
4,571,382
296,369
457,536
1,567,738
449,718
4,133,011
3,331,638
3,980,848
1,470,465
4,135,620
2,792,034
3,431,554
1,802,064
2,602,848
3,376,447
13,627,809
1,123,363
272,238
4,458,192
993,653
1,602,406
3,019,731
5,043,173
3,330,645
1,857,299
8,696,198
2,991,040
3,476,589
9,497,126
11,734,418
2,880,734
2,370,131
384,976
3,129,933
1,249,965
288,299
3,598,010
213,403
2,595,829
12,350,000
869,030
2,795,302
277,364

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

RATE
6.500
5.500
6.000
6.000
5.000
6.000
6.500
5.500
5.500
5.750
5.250
5.500
5.500
5.000
5.000
5.500
6.000
6.500
6.500
4.500
7.000
6.000
6.500
5.500
6.500
6.500
6.000
5.500
5.500
5.500
5.500
6.000
7.000
7.000
6.500
6.500
6.500
7.000
6.500
6.500
5.000
4.000
4.000
4.500

MATURITY
2/1/2033
2/1/2033
1/1/2033
1/1/2033
2/1/2033
2/1/2033
4/1/2033
2/1/2033
4/1/2033
5/1/2033
5/1/2033
5/1/2033
6/1/2033
6/1/2033
6/1/2033
6/1/2033
10/1/2033
12/1/2033
12/1/2033
11/1/2018
11/1/2033
10/1/2033
12/1/2033
12/1/2033
9/1/2032
1/1/2034
9/1/2034
10/1/2034
10/1/2034
9/1/2034
9/1/2034
9/1/2024
2/25/2044
2/1/2032
7/1/2032
10/1/2032
7/1/2031
3/1/2032
9/1/2032
12/1/2033
1/15/2007
7/25/2032
7/25/2033
3/25/2031

MARKET VALUE
964,249
4,646,151
306,305
472,843
1,560,715
464,764
4,327,255
3,386,129
4,045,958
1,508,519
4,164,617
2,837,700
3,487,680
1,793,992
2,591,188
3,431,672
14,083,743
1,176,159
285,033
4,458,267
1,049,978
1,656,016
3,161,653
5,125,658
3,488,997
1,946,386
8,990,441
3,038,509
3,531,765
9,647,851
11,920,650
2,991,623
2,511,592
407,270
3,278,743
1,309,393
301,983
3,806,377
223,549
2,717,828
12,756,995
849,514
2,802,915
278,754

GENERAL ENDOWMENT POOL
BOND PORTFOLIO
December 31, 2004
DESCRIPTION
FORD MOTOR CREDIT
FORD MOTOR CREDIT
FORD MOTOR CREDIT
FORD MOTOR CREDIT CO
FREDDIE MAC
GENERAL ELEC CAP CORP
GENERAL ELECTRIC CAPITAL
GENERAL ELECTRIC COMPANY
GENERAL MOTORS
GENERAL MOTORS
GEORGIA POWER
GMAC
GMAC
GMAC
GNMA-I POOL #603419
GNMA-I POOL #781130
GNMA-I POOL #781228
GNMA-II POOL #2824
GNMA-II POOL #2999
GNMA-II POOL #3011
GNSF POOL #598267
GNSF POOL #612376
GNSF POOL #781324
GOLDMAN SACHS
GOLDMAN SACHS
GOLDMAN SACHS
GRUPO TELEVISA SA
HARRAHS OPERATING CO
HERTZ CORP
HILTON HOTELS
HUTCH WHAM INTL LTD
HUTCHISON WHAMP INTL LTD.
IBM CORP
IBM CORP
INTL BK R&D(PRNPT)STRIPS
KFW INTL FINANCE
KIMBERLY CLARK DE MEX
L 3 COMMUNICATIONS CORP
L-3 COMMS CORP
LOBLAW
LOBLAW CO. LTD
LOBLAW CO. LTD RESIDS
LOCKHEED MARTIN CORP
LORAL

NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC

NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC

PAR VALUE
2,000,000
1,000,000
500,000
1,200,000
57,000,000
4,750,000
7,025,000
11,000,000
3,100,000
500,000
2,790,000
1,000,000
3,690,000
1,000,000
1,585,504
735,137
198,497
187,643
427,723
227,970
843,300
4,579,920
609,623
3,500,000
5,000,000
2,000,000
3,300,000
2,800,000
1,790,000
500,000
1,150,000
2,000,000
2,790,000
1,300,000
23,000,000
3,000,000
5,000,000
1,050,000
1,700,000
2,000,000
2,000,000
40,000,000
1,000,000
1,150,000

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

RATE
6.625
7.375
7.450
5.700
5.000
3.750
6.750
5.000
8.250
8.375
5.125
6.750
6.875
8.000
5.500
7.000
7.000
7.000
7.500
7.500
6.000
5.500
7.000
4.750
5.150
6.125
8.500
5.500
4.700
7.625
6.250
7.450
4.750
6.220
0.000
5.250
8.875
6.125
5.875
6.650
6.500
0.000
8.500
7.000

MATURITY
10/1/2028
2/1/2011
7/16/2031
1/15/2010
1/30/2014
12/15/2009
3/15/2032
2/1/2013
7/15/2023
7/15/2033
11/15/2012
12/1/2014
8/28/2012
11/1/2031
2/15/2033
1/15/2030
12/15/2028
10/20/2029
11/20/2030
12/20/2030
6/15/2033
11/15/2033
7/15/2031
7/15/2013
1/15/2014
2/15/2033
3/11/2032
7/1/2010
10/2/2006
12/1/2012
1/24/2014
11/24/2033
11/29/2012
8/1/2027
2/15/2015
6/28/2006
8/1/2009
1/15/2014
1/15/2015
11/8/2027
1/22/2029
11/23/2033
12/1/2029
9/15/2023

MARKET VALUE
1,847,360
1,077,143
497,956
1,209,897
57,146,581
4,678,297
8,205,866
11,287,655
3,225,571
514,323
2,854,307
995,736
3,730,329
1,019,319
1,620,833
780,364
210,735
198,885
457,497
243,839
873,894
4,681,972
646,876
3,464,075
5,069,058
2,062,579
3,811,500
2,906,461
1,808,196
584,262
1,208,305
2,206,513
2,845,526
1,422,763
13,870,355
3,088,290
5,893,833
1,081,500
1,695,750
1,815,394
1,782,927
5,600,532
1,365,837
1,313,130

GENERAL ENDOWMENT POOL
BOND PORTFOLIO
December 31, 2004
DESCRIPTION
LUBRIZOL CORP
LUBRIZOL CORP
M & I CAPITAL SEC.
MASCO
MASTR 2003-10 3A
MASTR 2003-7 1A2
MELLON A CAPITAL SEC.
MGM GRAND
MGM MIRAGE
MORGAN STANLEY
MSM 2004-3
MSSTR 2004-2
NEWS AMER INC.
NEWS AMERICA HOLDINGS
NEXTEL COMMUNICATIONS
NISOURCE FINANCE
OHIO POWER COMPANY
PACIFIC GAS & ELECTRIC
PACIFIC GAS & ELECTRIC
PEARSON PLC
PEMEX PRJ FDG MASTER TR 144A
PEMEX PROJECT
PEMEX PROJECT
PETROBRAS INTL FINANCE
PETRO-CANADA
PFIZER INC
PROGRESS ENERGY
PSI ENERGY INC
RALI 2004-QS6 A
RBS CAPITAL TRUST III
REPUBLIC OF BRAZIL
REPUBLIC OF BRAZIL
RFCO STRIPS
RFMSI 2004-S9
ROYAL CARIBBEAN CRUISES
ROYAL CARIBBEAN CRUISES
RYLAND GROUP
S A S C 2003-20 1A1
SHAW
SHAW COMMUNICATIONS INC
SIMON PROPERTY GROUP
SOUTHERN POWER
SPRINT
SPRINT CAP CORP

NC
NC
NC06
NC

NC06
NC
NC
NC

NC
NC
3/09
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
9/14
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC

PAR VALUE
3,500,000
620,000
2,800,000
3,000,000
7,338,320
1,446,777
1,500,000
2,000,000
1,150,000
6,735,000
5,644,524
8,000,000
1,000,000
3,320,000
300,000
1,750,000
2,000,000
1,500,000
1,000,000
2,700,000
4,800,000
880,000
2,500,000
1,500,000
3,000,000
1,000,000
4,000,000
1,000,000
4,633,430
3,250,000
500,000
950,000
13,500,000
2,000,000
800,000
1,500,000
1,250,000
4,458,391
3,000,000
1,485,000
1,250,000
3,000,000
5,500,000
4,345,000

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

RATE
4.625
6.500
7.650
7.125
5.500
5.500
7.720
6.000
6.750
4.750
6.000
6.500
6.200
7.700
5.950
5.400
5.500
4.200
4.800
4.700
8.625
6.125
8.000
7.750
5.000
4.650
7.000
5.000
5.000
5.512
8.875
10.000
0.000
5.500
6.875
7.500
5.375
5.500
7.500
7.200
4.875
4.875
6.875
6.900

MATURITY
10/1/2009
10/1/2034
12/1/2026
8/15/2013
11/25/2033
9/25/2033
12/1/2026
10/1/2009
9/1/2012
4/1/2014
4/25/2034
12/1/2034
12/15/2034
10/30/2025
3/15/2014
7/15/2014
2/15/2013
3/1/2011
3/1/2014
6/1/2009
2/1/2022
8/15/2008
11/15/2011
9/15/2014
11/15/2014
3/1/2018
10/30/2031
9/15/2013
5/25/2019
9/29/2049
10/14/2019
8/7/2011
4/15/2016
12/1/2034
12/1/2013
10/15/2027
6/1/2008
7/25/2033
11/20/2013
12/15/2011
8/15/2010
7/15/2015
11/15/2028
5/1/2019

MARKET VALUE
3,494,755
625,620
3,011,770
3,467,553
7,384,217
1,455,720
1,627,942
2,050,000
1,210,375
6,563,229
5,789,614
8,253,750
1,018,420
3,947,833
310,500
1,793,445
2,090,638
1,482,332
994,938
2,744,251
5,580,000
932,800
2,875,000
1,578,750
2,993,294
961,037
4,401,252
998,651
4,676,156
3,324,428
526,750
1,101,050
7,860,711
2,012,813
864,000
1,636,875
1,300,000
4,485,970
2,690,051
1,639,069
1,274,100
2,953,048
6,020,579
4,851,335

GENERAL ENDOWMENT POOL
BOND PORTFOLIO
December 31, 2004
DESCRIPTION
STATE STREET BANK
STRIP PRINCIPAL
STRIPS
SUNCOR ENERGY
TELECOM ITALIA CAPITAL
TELEFONOS MEXICO
TENGIZCHEVROIL LLP
TIME WARNER ENTERTAINMENT
TIME WARNER ENTERTAINMENT
TOYOTA MTR CRED
U S TREASURY BILL
U.S.BANCORP CAP A SEC.
UNION ELECTRIC
UNITED MEXICAN STATES
UNITED MEXICAN STS MTN BE
UNITED STATES MEXICAN
UNIVISION COMM INC
US TREASURY BONDS
US TREASURY BONDS
US TREASURY BONDS
US TREASURY BONDS
US TREASURY BONDS
US TREASURY NOTES
US TREASURY NOTES
US TREASURY NOTES
US TREASURY STRIPS(INTEREST PAYM
US TRESURY NOTES
VALE OVERSEAS LIMITED
VERIZON GLOBAL
VERIZON NEW ENGLAND INC.
VERIZON NY INC.
VESSEL MGMT SVC TITLE XI
VIRGINIA EL&PWR
VODAFONE GROUP
WELLS FARGO & CO
WELLS FARGO COMPANY
WFMBS 2003-6 1A1
WORLD SAV BK FSB
XTO ENERGY INC

NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC06
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC
NC

PAR VALUE
1,000,000
87,500,000
26,500,000
4,000,000
6,000,000
1,500,000
1,200,000
5,325,000
2,200,000
375,000
876,000
1,000,000
2,000,000
450,000
2,650,000
300,000
790,000
60,394,000
62,265,000
10,000,000
2,040,000
4,047,000
43,000,000
9,000,000
13,200,000
14,000,000
12,510,000
3,500,000
1,500,000
2,600,000
1,550,000
2,390,750
1,000,000
1,500,000
2,500,000
2,000,000
2,536,679
1,000,000
3,000,000

TOTAL BOND PORTFOLIO
Cash and Equivalents
TOTAL GEP BOND PORTFOLIO

Portfolio market values do not include accruals.
Source: University of California, Office of the Treasurer of The Regents

RATE
5.250
0.000
0.000
5.950
6.375
4.500
6.124
8.375
8.375
5.650
0.000
8.270
5.100
8.125
4.625
6.750
3.875
6.000
6.250
6.625
7.875
8.750
1.625
5.750
6.500
0.000
5.000
8.250
7.750
4.750
7.375
6.080
4.750
5.375
4.950
5.125
5.000
4.125
5.000

MATURITY
10/15/2018
8/15/2017
8/15/2017
12/1/2034
11/15/2033
11/19/2008
11/15/2014
3/15/2023
7/15/2033
1/15/2007
2/24/2005
12/15/2026
10/1/2019
12/30/2019
10/8/2008
9/27/2034
10/15/2008
2/15/2026
8/15/2023
2/15/2027
2/15/2021
5/15/2017
9/30/2005
8/15/2010
2/15/2010
2/15/2018
2/15/2011
1/17/2034
12/1/2030
10/1/2013
4/1/2032
5/20/2024
3/1/2013
1/30/2015
10/16/2013
9/15/2016
6/25/2018
12/15/2009
1/31/2015

MARKET VALUE
1,003,013
48,441,750
14,608,125
4,186,797
6,184,729
1,513,335
1,203,000
6,675,611
2,845,452
393,978
873,372
1,107,024
1,985,843
529,875
2,685,775
296,250
785,500
69,203,068
72,927,881
12,324,400
2,756,917
5,672,599
42,682,660
9,909,360
14,945,172
7,496,160
13,309,013
3,683,750
1,862,454
2,532,952
1,784,455
2,605,463
992,047
1,553,879
2,535,735
2,006,269
2,561,848
1,002,535
2,979,280
1,239,583,814
58,568,550
1,298,152,364

GENERAL ENDOWMENT POOL
Public Equity
December 31, 2004
ISSUER

SHARES

CGI EMERGING MARKETS GF
EAFE INDEX FUND
GMO EMERGING MARKETS FUND
RUSSELL 1000 INDEX FUND
RUSSELL 3000 INDEX FUND
TEMPLETON EMERGING MKTS
S & P 500 FUTURES 3/05
ARK LC GROWTH
CGT LC CORE
FRANKLIN PORTFOLIO LC CORE
FREEMAN LC CORE
GSAM CONCENTRATED LC GROWTH
HARRIS LC VALUE
HOTCHKIS&WILEY LC DIVS. VALUE
INTECH LC BROAD GROWTH
LSV LC VALUE
NWQ LC VALUE
PZENA LC VALUE
THORNBURG LC VALUE
TRANSAMERICA LC GROWTH
VICTORY LC DIVERSIFIED
WELLINGTON LC GROWTH

409,075
5,515,450
1,923,095
742,261
14,091,347
1,266,875
38
378,706
379,454
488,865
270,415
432,500
379,505
435,218
437,812
271,796
271,464
377,065
378,872
327,124
271,974
324,483

TOTAL PUBLIC EQUITY
% of Portfolio

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

MARKET VALUE
29,707,018
531,508,710
33,000,309
52,926
2,045,917,958
19,117,144
11,530,150
41,699,490
41,466,429
53,252,819
29,556,678
47,445,113
41,281,525
48,494,620
47,941,950
29,592,064
29,323,046
41,382,644
41,424,612
36,236,392
29,080,545
35,578,700
3,264,590,842
96.14%

GENERAL ENDOWMENT POOL
PRIVATE EQUITY
December 31, 2004
ISSUER

MARKET VALUE

PRIVATE EQUITY DISTRIBUTIONS
BUYOUT FUNDS
INTERNATIONAL PRIVATE EQUITY
VENTURE CAPITAL PARTNERSHIPS
REAL ESTATE

TOTAL PRIVATE EQUITY
% of Portfolio

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

1,208,492
45,932,805
19,679,792
53,597,728
4,000,000

124,418,817
3.66%

GENERAL ENDOWMENT POOL
TOTAL EQUITY
December 31, 2004
ISSUER

SHARES

TOTAL EQUITY
Cash and Equivalents
% of Portfolio
TOTAL GEP EQUITY PORTFOLIO

Portfolio market values do not include accruals.
Source: University of California, Office of the Treasurer of The Regents

MARKET VALUE

3,389,009,659
6,725,450
0.20%
3,395,735,109

GENERAL ENDOWMENT POOL
ABSOLUTE RETURN PORTFOLIO
December 31, 2004

NAME
AVENUE SPECIAL SITUATION FD III
CAMDEN ST ALBANS PARNERS LTD
CANYON CAPITAL ADVISORS LLC
CARL MARKS STRATEGIC INVESTMENTS
DAVIDSON KEMPNER INSTITUTIONAL
DESCARTES PARTNERS L.P.
MAVERICK FUND, LTD
OCM HIGH YEAELD PLUS CAYMAN FUND
O'CONNOR GLOBAL FUNDMENTAL
SIRIOS OVERSEAS FUND, LTD
ZAXIS OFFSHORE LIMITED
TOTAL ABSOLUTE RETURN

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

SHARES
23,839,672
11,159
9,330
16,990,886
25,000,000
20,000,000
49,483
19,762
32,606
25,270
25,000

MARKET
VALUE
23,905,851
20,625,051
29,604,146
23,260,693
29,210,750
20,255,140
38,324,240
20,904,317
37,325,770
41,552,420
24,382,350
$309,350,728

GEP
Holdings as of December 31, 2005
EQUITY INVESTMENTS
EXTERNALLY MANAGED FUNDS
(SC = Small Cap LC + Large Cap)
Security Name
Security Description
ACADIAN EMERGING MARKETS FUND
AMERICAN CENTURY SC
AMEX/KENWOOD SC
AQR NON-US
ARK ASSET MANAGEMENT CO INC LC
AXA ROSENBERG SC
BRANDYWINE NON- US
BURGUNDY SC
CAPITAL GUARDIAN TRUST COMPANY LC
CAUSEWAY NON-US
CGI EMERGING MARKETS GF
CORTINA ASSET MGT SC
DELAWARE GROWTH LC
DELAWARE INV ADV SC
EAFE + CANADA TF INTL INDEX FD
FRANKLIN PORTFOLIO ASSOCIATES LC
FREEMAN ASSOCIATES INVESTMENT LC
GENESIS EMERGING MKT FD
GMO NON US
GMO TR EMERGING MARKETS
GOLDMAN SACHS ASSET MGMT L P LC
HANSBERGER NON-US
HARRIS ASSOCIATES LP LC
HOTCHKIS + WILEY CAP MGMT LC
INTECH LC
IRONBRIDGE SC
JP MORGAN FLEMING NON-US
LSV ASSET MANAGEMENT LC
MAZAMA SC
MFS NON-US
MONDRIAN NON US
NEW STAR NON US
NWQ INVESTMENT MGT CP LLC LC
PANAGORA NON-US
PZENA INVESTMENT MGMT LC
RUSSELL 3000 TF INDEX FUND
SANDERSON NON US
TEMPLETON INSTL FDS EMERGING MRKT
THORNBURG MTG INC LC
UBS SC
VICTORY CAPITAL MGT INC LC
WELLINGTON MANAGEMENT CO LLP LC
WELLINGTON SC

Shares/Par Value

TOTAL EQUITY

Market Value
66,730,717.44
13,308,285.86
15,866,409.49
40,545,977.17
61,337,683.43
13,606,748.43
40,281,292.06
11,552,800.30
50,212,844.68
79,217,892.89
39,719,781.04
5,954,869.96
57,949,988.48
9,283,647.93
595,367,132.17
55,603,005.79
31,924,477.88
101,402,531.86
56,028,780.74
81,520,953.52
48,989,118.83
43,690,327.70
49,789,244.97
56,714,072.64
51,488,150.03
15,446,743.72
56,223,512.96
31,946,952.36
13,154,994.23
78,382,968.17
38,432,616.18
45,669,822.42
31,893,795.33
40,312,628.80
51,644,541.96
1,187,752,618.76
38,689,253.07
48,141,733.90
59,349,907.27
13,810,023.96
55,116,002.80
47,908,392.43
15,134,543.83
3,547,097,787.44

FIXED INCOME
FIXED INCOME - SECURITIES
ALCAN INC
ALL STATE CORP
ALLSTATE CORP
AMEREN UN ELEC
AMERICA MOVIL S A DE C V
AMERICA MOVIL S A DE C V
AMERICAN ELEC PWR INC

Source:State Street

5% 01 Jun 2015
7.2% 01 Dec 2009
5.55% 09 May 2035
5.1% 01 Oct 2019
5.5% 01 Mar 2014
5.75% 15 Jan 2015
5.375% 15 Mar 2010

500,000
2,000,000
1,000,000
2,000,000
2,125,000
1,525,000
500,000

485,751.65
2,155,272.06
979,699.40
1,934,733.88
2,094,803.79
1,526,113.34
504,137.27

Security Name
AMERICAN ELEC PWR INC
AMERICAN GEN FIN CORP MTN
AMERICAN GEN FIN CORP MTN
AMERICAN INTL GROUP INC
ARCEL FINANCE
AT+T WIRELESS
AT+T WIRELESS SVCS INC
ATHABASCA OIL SANDS INVTS INC
BAE SYS HLDGS INC
BANC AMER ALT LN TR
BANC AMER ALTERNATIVE LN TR
BANC AMER ALTERNATIVE LN TR
BANC AMER ALTERNATIVE LN TR
BANC AMER FDG CORP
BANC AMER FDG CORP
BANC AMER MTG SECS INC
BANC AMER MTG SECS INC
BANK AMER CORP
BECTON DICKINSON + CO
BELLSOUTH CORP
BELLSOUTH CORP
BELLSOUTH CORP
BELLSOUTH TELECOMM INC
BHP BILLITON FIN USA LTD
BHP FINANCE USA
BRAZIL FEDERATIVE REP
BRAZIL FEDERATIVE REP
BRAZIL FEDERATIVE REP
BRITISH SKY BROADCASTING GROUP
BRITISH SKY BROADCASTING GROUP
BURLINGTON RES FIN CO
BURLINGTON RES INC
CANADIAN NATL RY CO
CARNIVAL CORP
CELULOSA ARAUCO Y CONSTITUCION
CENTEX CORP
CHRYSLER CORP
CINCINNATI GAS + ELEC CO
CITICORP MTG SECS INC
CITIGROUP INC
COMCAST CORP NEW
CONSOLIDATED NAT GAS CO
CORPORACION NACIONAL DEL COBRE
CORPORACION NACIONAL DEL COBRE
COX COMMUNICATIONS INC NEW
CRH AMER INC
CWMBS INC
D R HORTON INC
D R HORTON INC
DAIMLER CHRYSLER HLDGS
DAIMLERCHRYSLER NORTH AMER
DAIMLERCHRYSLER NORTH AMER HLD
DBS BK LTD SINGAPORE
DELHAIZE AMER INC
DEVELOPERS DIVERSIFIED RLTY
DIAGEO CAP PLC
DIAMOND OFFSHORE DRILLING INC
EATON CORP
EMPRESA NACIONAL DE
EMPRESA NACIONAL DE ELECTRIC
ENBRIDGE ENERGY PARTNERS L P
ENERSIS S A
ENERSIS SA
ENTERPRISE PRODUCTS OPER
EQUITY RESIDENTIAL
FED HM LN PC POOL 1B3931
FED HM LN PC POOL A17995
FED HM LN PC POOL A47345

Source:State Street

Security Description
5.25% 01 Jun 2015
4% 15 Mar 2011
4.875% 15 Jul 2012
4.25% 15 May 2013
7.048% 01 Sep 2011
8.125% 01 May 2012
8.75% 01 Mar 2031
8.2% 01 Apr 2027
4.75% 15 Aug 2010
6% 25 Mar 2034
6% 25 Feb 2034
6% 25 Aug 2035
5.5% 25 Sep 2033
6% 25 Feb 2034
6% 25 Feb 2034
5.75% 25 Jan 2035
5.18587% 25 Sep 2035
4.75% 01 Aug 2015
7% 01 Aug 2027
6% 15 Nov 2034
4.75% 15 Nov 2012
5.2% 15 Dec 2016
6.375% 01 Jun 2028
5.25% 15 Dec 2015
6.42% 01 Mar 2026
10% 07 Aug 2011
8.75% 04 Feb 2025
7.875% 07 Mar 2015
8.2% 15 Jul 2009
6.875% 23 Feb 2009
7.2% 15 Aug 2031
9.875% 15 Jun 2010
6.8% 15 Jul 2018
3.75% 15 Nov 2007
7.75% 13 Sep 2011
5.8% 15 Sep 2009
7.45% 01 Mar 2027
5.4% 15 Jun 2033
4.5% 25 Aug 2034
5% 15 Sep 2014
5.45% 15 Nov 2010
5% 01 Mar 2014
7.375% 01 May 2009
6.375% 30 Nov 2012
4.625% 15 Jan 2010
5.3% 15 Oct 2013
5% 25 Nov 2018
6.875% 01 May 2013
5.625% 15 Sep 2014
8.5% 18 Jan 2031
4.875% 15 Jun 2010
6.5% 15 Nov 2013
1% 15 Nov 2019
8.125% 15 Apr 2011
5.25% 15 Apr 2011
4.375% 03 May 2010
4.875% 01 Jul 2015
8.1% 15 Aug 2022
8.5% 01 Apr 2009
8.35% 01 Aug 2013
4.75% 01 Jun 2013
7.4% 01 Dec 2016
7.375% 15 Jan 2014
4.95% 01 Jun 2010
5.125% 15 Mar 2016
3.552% 01 Oct 2035
6.5% 01 Jan 2034
4.5% 01 Oct 2035

Shares/Par Value
1,000,000
750,000
2,000,000
1,700,000
945,300
1,790,000
850,000
2,000,000
3,300,000
1,189,198
1,203,447
3,345,001
1,991,986
5,933,152
3,610,970
2,836,710
4,895,606
1,000,000
2,500,000
750,000
1,500,000
1,500,000
210,000
750,000
500,000
700,000
250,000
500,000
1,200,000
2,525,000
500,000
4,590,000
2,790,000
5,315,000
1,360,000
200,000
637,000
870,000
3,445,428
2,000,000
3,000,000
700,000
2,500,000
1,450,000
3,360,000
4,070,000
1,622,793
500,000
450,000
650,000
550,000
1,450,000
2,000,000
1,000,000
2,315,000
3,600,000
650,000
1,000,000
2,670,000
200,000
400,000
600,000
1,200,000
5,359,000
500,000
4,794,048
799,304
498,765

Market Value
997,072.98
709,960.50
1,956,955.88
1,608,115.27
948,892.14
2,068,301.63
1,126,605.38
2,535,411.80
3,240,906.90
1,197,228.84
1,209,482.70
3,365,772.24
1,958,994.66
5,975,806.41
3,605,821.87
2,807,885.40
4,835,749.01
970,054.24
2,967,736.00
747,635.25
1,460,475.32
1,469,421.50
217,186.19
755,221.65
556,071.17
815,500.00
276,250.00
531,250.00
1,310,858.09
2,645,905.91
617,409.10
5,479,739.37
3,191,612.97
5,196,335.45
1,508,584.92
202,579.40
691,111.90
808,292.64
3,329,548.44
1,968,109.58
3,018,706.50
687,439.13
2,679,665.00
1,559,319.85
3,248,668.72
4,085,315.61
1,596,443.88
521,773.50
433,465.20
787,201.56
536,533.37
1,516,164.54
1,946,032.00
1,090,067.00
2,295,670.65
3,519,651.20
631,985.95
1,290,746.40
2,912,003.46
227,783.40
380,856.40
652,138.20
1,290,751.20
5,254,526.24
485,870.59
4,428,945.51
818,837.18
469,242.37

Security Name
FED HM LN PC POOL A47378
FED HM LN PC POOL B11064
FED HM LN PC POOL B14157
FED HM LN PC POOL C01676
FED HM LN PC POOL C76289
FED HM LN PC POOL C78940
FED HM LN PC POOL C90852
FED HM LN PC POOL C90932
FED HM LN PC POOL E01098
FED HM LN PC POOL E01251
FED HM LN PC POOL G01674
FED HM LN PC POOL G08084
FEDERAL HOME LN BKS
FEDERAL HOME LN MTG CORP
FEDERAL HOME LN MTG CORP
FEDERAL HOME LOAN MTG CORP
FEDERAL NATL MTG ASSN
FEDERAL NATL MTG ASSN
FEDERAL NATL MTG ASSN
FEDERAL NATL MTG ASSN
FHLMC TBA JAN 30 GOLD SINGLE
FIRSTENERGY CORP
FNMA TBA JAN 30 SINGLE FAM
FNMA POOL 254308
FNMA POOL 254373
FNMA POOL 254719
FNMA POOL 255257
FNMA POOL 255362
FNMA POOL 255417
FNMA POOL 255813
FNMA POOL 545125
FNMA POOL 545296
FNMA POOL 545506
FNMA POOL 555329
FNMA POOL 555967
FNMA POOL 576412
FNMA POOL 581706
FNMA POOL 633865
FNMA POOL 639018
FNMA POOL 652610
FNMA POOL 669991
FNMA POOL 672415
FNMA POOL 676919
FNMA POOL 681357
FNMA POOL 689076
FNMA POOL 689108
FNMA POOL 689613
FNMA POOL 689619
FNMA POOL 689622
FNMA POOL 694431
FNMA POOL 695916
FNMA POOL 702021
FNMA POOL 702024
FNMA POOL 702399
FNMA POOL 702895
FNMA POOL 708598
FNMA POOL 709844
FNMA POOL 711268
FNMA POOL 721229
FNMA POOL 725773
FNMA POOL 726054
FNMA POOL 730016
FNMA POOL 743272
FNMA POOL 747510
FNMA POOL 747817
FNMA POOL 748768
FNMA POOL 748794
FNMA POOL 750871

Source:State Street

Security Description
4.5% 01 Oct 2035
5.5% 01 Nov 2018
4% 01 May 2019
6% 01 Nov 2033
6% 01 Jan 2033
6% 01 May 2033
6% 01 Jul 2024
5.5% 01 Nov 2025
6% 01 Feb 2017
5.5% 01 Nov 2017
5.5% 01 Apr 2034
4.5% 01 Oct 2035
3.5% 15 Sep 2006
3.75% 15 Apr 2007
4.25% 28 Feb 2007
5.875% 21 Mar 2011
6.25% 01 Feb 2011
4.625% 01 May 2013
2.375% 15 Feb 2007
3.875% 15 Jul 2008
6% 01 Dec 2099
6.45% 15 Nov 2011
5.5% 01 Dec 2099
6.5% 01 May 2017
6.5% 01 Jul 2017
4.5% 01 Apr 2018
6% 01 Apr 2024
6% 01 Aug 2024
6% 01 Sep 2024
5% 01 Aug 2035
6% 01 Aug 2016
6% 01 Nov 2016
7% 01 Feb 2032
5% 01 Mar 2033
5.5% 01 Nov 2033
5.5% 01 Apr 2016
6.5% 01 Jul 2031
7% 01 Mar 2032
6.5% 01 Apr 2017
5% 01 Apr 2018
5.5% 01 Feb 2033
6.5% 01 Sep 2032
6% 01 Jan 2033
5% 01 Mar 2018
5% 01 Jun 2018
5.5% 01 Feb 2033
4.5% 01 May 2018
4.5% 01 Jun 2018
5% 01 Jun 2018
5% 01 Mar 2018
5% 01 May 2018
5.75% 01 May 2033
5.25% 01 May 2033
5.5% 01 May 2033
5% 01 Apr 2018
5.5% 01 Jun 2018
5% 01 May 2018
5.5% 01 Nov 2018
5% 01 Jun 2033
5.5% 01 Sep 2034
5.5% 01 Jun 2033
4% 01 Jul 2018
6% 01 Oct 2033
6.5% 01 Dec 2033
4.5% 01 Nov 2018
7% 01 Nov 2033
6.5% 01 Nov 2033
6% 01 Oct 2033

Shares/Par Value
19,899,039
1,421,451
5,196,370
6,378,020
943,338
825,998
4,875,612
13,498,651
1,847,979
718,153
4,514,768
9,439,158
36,375,000
15,500,000
47,000,000
1,500,000
16,000,000
14,450,000
25,000,000
24,250,000
40,000,000
3,810,000
12,000,000
759,720
2,998,858
3,059,301
4,609,969
3,030,479
2,296,401
12,388,703
2,035,772
657,343
193,566
3,356,368
2,978,195
3,159,020
193,573
2,376,608
273,856
1,304,476
3,099,222
125,197
177,389
1,973,534
2,362,217
2,805,585
1,887,425
1,457,028
2,179,468
2,818,657
2,428,289
1,101,362
3,403,765
2,248,274
598,816
1,587,175
1,202,032
670,795
2,281,469
10,487,228
2,634,878
1,796,162
1,849,023
1,112,168
3,845,380
730,702
519,107
1,310,089

Market Value
18,721,188.97
1,429,773.58
4,948,427.79
6,439,368.18
952,411.53
833,942.70
4,946,344.05
13,453,175.50
1,884,491.77
722,792.74
4,478,087.98
8,880,442.53
36,065,761.58
15,323,476.70
46,741,410.70
1,561,301.70
16,890,798.40
14,056,133.46
24,366,187.50
23,791,757.45
40,384,376.00
4,026,971.50
11,881,874.40
780,487.96
3,080,836.45
2,983,885.44
4,676,461.43
3,074,189.05
2,329,523.10
12,000,755.88
2,078,951.62
671,286.13
201,644.37
3,264,337.16
2,954,874.67
3,180,974.43
198,997.52
2,475,790.55
281,342.57
1,292,801.35
3,074,953.66
128,630.56
179,186.41
1,955,872.13
2,341,076.36
2,783,615.82
1,840,897.37
1,421,110.47
2,159,963.27
2,793,431.52
2,406,557.40
1,104,050.49
3,347,190.53
2,230,668.89
593,456.77
1,596,775.65
1,191,274.96
674,852.24
2,218,911.30
10,395,386.60
2,614,245.99
1,714,860.14
1,865,434.97
1,139,674.39
3,750,587.21
760,877.99
531,945.80
1,321,717.92

Security Name
FNMA POOL 753077
FNMA POOL 753912
FNMA POOL 755497
FNMA POOL 755498
FNMA POOL 756390
FNMA POOL 763642
FNMA POOL 790927
FNMA POOL 794024
FNMA POOL 808168
FNMA POOL 820266
FNMA POOL 826743
FNMA POOL 829196
FNMA POOL 841471
FNMA POOL 848358
FORD MTR CR CO
GENERAL ELEC CAP CORP MTN
GENERAL ELEC CO
GENETECH INC
GEORGIA PWR CO
GNMA II POOL 002999
GNMA II POOL 003011
GNMA POOL 598267
GNMA POOL 603419
GNMA POOL 612376
GNMA POOL 781130
GNMA POOL 781228
GNMA POOL 781324
GOLDMAN SACHS CAP I
GOLDMAN SACHS GROUP INC
GOLDMAN SACHS GROUP INC
GRUPO TELEVISA SA
GRUPO TELEVISA SA DE CV
GS MTG SECS CORP
HARRAHS OPER INC
HSBC FIN CAP TR IX
HSBC FIN CORP
HSBC FIN CORP
HUTCHISON WHAMPOA INTL
IBM CDA CR SVCS CO
INGERSOLL RAND CO
JPMORGAN CHASE + CO
JPMORGAN CHASE CAP XV
L 3 COMMUNICATIONS CORP
L 3 COMMUNICATIONS CORP
LEHMAN BROTHERS HLDGS INC
LEHMAN BROTHERS HLDGS INC
LOBLAWS COS LTD CPN RCPTS CDS
LORAL CORP
LOWES COMPANIES INC
LUBRIZOL CORP
LUBRIZOL CORP
M + I CAPITAL TR A
M + I MARSHALL + ILSLEY BK
MARRIOTT INTL INC NEW
MARSH + MCLENNAN COS INC
MASCO CORP
MASTR ASSET SECURITIZATION TR
MASTR ASSET SECURITIZATION TR
MASTR SEASONED SECURITIZAT TR
MEDTRONIC INC
MEDTRONIC INC
METLIFE INC
METLIFE INC
METROPOLITAN LIFE GLOBAL FDG I
MEXICO UNITED MEXICAN STS
MGM MIRAGE
MGM MIRAGE
MORGAN STANLEY

Source:State Street

Security Description
6.5% 01 Dec 2033
5.5% 01 Dec 2033
5.5% 01 Nov 2018
5.5% 01 Nov 2018
6.5% 01 Sep 2032
6.5% 01 Jan 2034
6% 01 Sep 2034
5.5% 01 Sep 2034
4.5% 01 Mar 2035
5.5% 01 Jul 2035
4.59% 01 Aug 2035
5% 01 Jul 2035
5% 01 Oct 2035
5.5% 01 Dec 2035
5.7% 15 Jan 2010
3.75% 15 Dec 2009
1200% 01 Feb 2013
4.75% 15 Jul 2015
5.125% 15 Nov 2012
7.5% 20 Nov 2030
7.5% 20 Dec 2030
6% 15 Jun 2033
5.5% 15 Feb 2033
5.5% 15 Nov 2033
7% 15 Jan 2030
7% 15 Dec 2028
7% 15 Jul 2031
6.345% 15 Feb 2034
4.75% 15 Jul 2013
5.15% 15 Jan 2014
6.625% 18 Mar 2025
8.5% 11 Mar 2032
6.5% 25 Feb 2035
5.5% 01 Jul 2010
5.911% 30 Nov 2035
5% 30 Jun 2015
4.625% 15 Sep 2010
6.25% 24 Jan 2014
3.75% 30 Nov 2007
4.75% 15 May 2015
5.15% 01 Oct 2015
5.875% 15 Mar 2035
6.125% 15 Jan 2014
5.875% 15 Jan 2015
4.25% 27 Jan 2010
5% 14 Jan 2011
0% 23 Nov 2033
7% 15 Sep 2023
5.5% 15 Oct 2035
4.625% 01 Oct 2009
5.5% 01 Oct 2014
7.65% 01 Dec 2026
4.4% 15 Mar 2010
4.625% 15 Jun 2012
5.75% 15 Sep 2015
4.8% 15 Jun 2015
5.5% 25 Nov 2033
5.5% 25 Oct 2019
6.5% 25 Aug 2032
4.375% 15 Sep 2010
4.75% 15 Sep 2015
6.375% 15 Jun 2034
5.7% 15 Jun 2035
4.5% 05 May 2010
8.125% 30 Dec 2019
6% 01 Oct 2009
6.75% 01 Sep 2012
4.75% 01 Apr 2014

Shares/Par Value
2,006,590
4,490,946
1,531,110
1,308,082
2,655,581
1,620,590
7,051,313
9,500,132
4,836,319
6,917,156
3,260,386
8,817,995
9,889,585
3,000,000
950,000
10,050,000
5,500,000
1,300,000
2,790,000
249,807
144,313
543,498
1,303,953
3,514,037
455,367
125,987
371,748
1,050,000
3,500,000
3,000,000
1,000,000
1,100,000
4,622,563
2,350,000
500,000
3,000,000
2,000,000
3,480,000
2,795,000
500,000
3,500,000
250,000
480,000
2,320,000
2,635,000
1,500,000
40,000,000
1,150,000
1,000,000
4,500,000
1,500,000
2,800,000
2,100,000
250,000
3,000,000
1,150,000
6,273,588
5,042,764
5,005,265
2,500,000
1,000,000
250,000
1,000,000
4,000,000
450,000
2,300,000
800,000
1,500,000

Market Value
2,056,218.45
4,455,780.12
1,540,371.44
1,315,994.18
2,728,415.58
1,660,485.25
7,113,950.80
9,416,934.58
4,554,720.42
6,849,868.30
3,185,388.63
8,541,862.99
9,579,896.89
2,970,816.74
807,500.00
9,648,740.69
5,490,284.64
1,261,241.61
2,810,514.87
261,897.18
151,297.46
556,114.76
1,312,747.14
3,537,735.54
478,434.54
132,366.45
390,522.41
1,105,835.72
3,394,402.66
2,976,733.92
1,017,610.09
1,325,137.11
4,665,147.00
2,348,016.69
505,640.34
2,916,250.98
1,956,354.68
3,641,851.32
2,736,430.78
485,277.87
3,449,890.71
248,676.05
475,200.00
2,250,400.00
2,562,773.73
1,497,175.49
7,249,710.54
1,317,143.19
1,008,313.14
4,414,997.70
1,506,142.85
2,946,389.04
2,056,380.52
241,228.81
3,019,839.48
1,068,019.25
6,173,292.49
5,053,424.06
5,081,825.73
2,452,322.58
971,217.65
273,519.36
999,606.55
3,922,060.00
555,974.98
2,285,625.00
811,000.00
1,437,660.14

Security Name
MORGAN STANLEY
NATIONWIDE BLDG SOC
NEWS AMER INC
NEXTEL COMMUNICATIONS INC
NISOURCE FIN CORP
NISOURCE FIN CORP
NORFOLK SOUTHN CORP
OHIO PWR CO
OHIO PWR CO
PACIFIC GAS + ELEC CO
PANAMERICAN BEVERAGES INC
PC FINL PARTNERSHIP
PEMEX PROJ FDG MASTER TR
PEMEX PROJ FDG MASTER TR
PEMEX PROJECT FUNDING MASTER T
PENNEY J C INC
PENNEY J C INC
PETRO CDA
PETROBRAS INTL FIN CO
PFIZER INC
PRINCIPAL LIFE INCOME FUNDINGS
PROLOGIS
QUEST DIAGNOSTICS INC
RBS CAP TR III
RESIDENTIAL ACCREDIT LNS INC
RESIDENTIAL CAP CORP
RESIDENTIAL FDG MTG SECS I INC
ROYAL BK SCOTLAND GROUP PLC
ROYAL CARIBBEAN CRUISES LTD
ROYAL CARIBBEAN CRUISES LTD
SIMON PPTY GROUP L P
SIMON PPTY GROUP L P
SOUTHERN PWR CO
SPRINT CAP CORP
SPRINT CAP CORP
STRUCTURED ASSET SECS CORP
STRUCTURED ASSET SECS CORP
SYSCO CORP 4 2
TELECOM ITALIA CAP
TELEFONOS DE MEXICO S A
TELOFONOS DE MEXICO SA
TEMASEK FINL LTD
TENGIZCHEVROIL FIN CO S AR L
THOMSON CORP
TIME WARNER ENTMT CO L P
TOYOTA MTR CR CORP
TRANSOCEAN SEDCO FOREX INC
UNITED MEXICAN STS
UNITED STATES TREAS BD STRIP
UNITED STATES TREAS BDS
UNITED STATES TREAS BDS
UNITED STATES TREAS BDS
UNITED STATES TREAS BDS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS

Source:State Street

Security Description
5.375% 15 Oct 2015
4.25% 01 Feb 2010
6.4% 15 Dec 2035
5.9% 15 Mar 2014
7.875% 15 Nov 2010
5.45% 15 Sep 2020
6.75% 15 Feb 2011
5.5% 15 Feb 2013
6.6% 15 Feb 2033
4.2% 01 Mar 2011
7.25% 01 Jul 2009
5% 15 Nov 2014
8.625% 01 Feb 2022
5.75% 15 Dec 2015
9.375% 02 Dec 2008
7.125% 15 Nov 2023
7.4% 01 Apr 2037
5.95% 15 May 2035
7.75% 15 Sep 2014
4.65% 01 Mar 2018
5.1% 15 Apr 2014
5.25% 15 Nov 2010
5.125% 01 Nov 2010
5.512% 29 Sep 2049
5% 25 May 2019
1200.375% 30 Jun 2010
5.5% 25 Dec 2034
6.4% 01 Apr 2009
7.5% 15 Oct 2027
6.875% 01 Dec 2013
4.875% 15 Aug 2010
5.625% 15 Aug 2014
4.875% 15 Jul 2015
6.875% 15 Nov 2028
6.9% 01 May 2019
5.5% 25 Jul 2033
6% 25 Aug 2035
5.375% 21 Sep 2035
4% 15 Jan 2010
4.5% 19 Nov 2008
5.5% 27 Jan 2015
4.5% 21 Sep 2015
6.124% 15 Nov 2014
5.5% 15 Aug 2035
8.375% 15 Mar 2023
4.25% 15 Mar 2010
7.5% 15 Apr 2031
4.625% 08 Oct 2008
0% 15 Aug 2025
2.375% 15 Jan 2025
3.625% 15 Apr 2028
3.875% 15 Apr 2029
3.375% 15 Apr 2032
2% 15 Jan 2014
0% 15 Jul 2014
0.875% 15 Apr 2010
1.625% 15 Jan 2015
1.875% 15 Jul 2015
1.875% 15 Jul 2013
4.25% 15 Jan 2010
3.875% 15 Jan 2009
3.625% 15 Jan 2008
3.375% 15 Jan 2007
3.5% 15 Jan 2011
3.375% 15 Jan 2012
3% 15 Jul 2012
3.5% 15 Aug 2009
2.5% 30 Sep 2006

Shares/Par Value
3,250,000
1,100,000
1,000,000
1,200,000
3,000,000
400,000
3,005,000
2,000,000
900,000
3,500,000
3,300,000
3,000,000
1,750,000
1,500,000
2,530,000
1,350,000
100,000
1,200,000
1,800,000
1,250,000
300,000
1,400,000
1,750,000
3,250,000
3,869,336
1,500,000
1,715,221
1,750,000
522,000
800,000
3,425,000
750,000
1,500,000
500,000
2,345,000
3,898,667
4,709,887
500,000
3,800,000
1,227,000
3,000,000
2,000,000
2,675,000
750,000
1,225,000
375,000
900,000
3,040,000
7,300,000
20,321,590
13,656,436
15,865,345
4,165,532
17,168,228
15,626,627
22,576,090
15,426,250
13,549,206
16,640,875
9,285,406
12,965,428
14,342,791
13,747,591
9,453,240
5,170,238
17,874,837
33,000,000
35,400,000

Market Value
3,251,178.29
1,071,879.60
1,006,322.40
1,206,892.18
3,327,429.66
386,651.06
3,232,616.28
2,030,541.84
992,129.36
3,358,004.76
3,529,020.33
2,941,079.19
2,162,999.84
1,487,729.99
2,801,975.00
1,502,909.10
111,721.40
1,212,837.80
1,944,000.00
1,200,571.15
299,590.92
1,396,800.89
1,752,359.60
3,236,953.33
3,796,931.74
1,524,745.22
1,695,295.44
1,823,474.57
559,192.50
847,312.00
3,375,247.18
758,922.38
1,448,442.89
547,237.09
2,579,862.11
3,823,455.92
4,720,191.88
493,557.86
3,627,540.57
1,203,551.99
2,959,500.00
1,924,268.00
2,720,475.00
729,384.04
1,419,751.28
365,932.56
1,135,086.48
3,008,080.00
2,954,681.28
21,400,869.66
17,653,128.78
21,447,884.08
5,430,479.31
17,083,760.32
15,553,338.60
21,468,281.49
14,873,064.75
13,333,231.22
16,421,215.33
10,067,423.03
13,633,925.47
14,732,771.51
13,854,960.04
10,107,025.65
5,560,435.79
18,909,611.37
32,046,300.33
34,900,858.58

Security Name
UNITED STATES TRES BD STRP PRN
UNITED STATES TRES BD STRP PRN
UNITED STATES TRES BD STRP PRN
UNITED STATES TRES SC STRP INT
UNITED STATES TRES SC STRP INT
VALE OVERSEAS LTD
VALERO ENERGY CORP NEW
VESSEL MGMT SVCS INC
VIRGINIA ELEC + PWR CO
WACHOVIA CORP NEW
WAL MART STORES INC
WAMU MTG PASS THROUGH CTFS
WAMU MTG PASS THROUGH CTFS
WELLS FARGO + CO NEW
WELLS FARGO + CO NEW
WELLS FARGO + CO NEW
WELLS FARGO MTG BACKED SECS
WELLS FARGO MTG BACKED SECS
WELLS FARGO MTG BACKED SECS TR
WESTAR ENERGY INC
WORLD SVGS BK FSB OAKLAND CALI
WRIGLEY WM JR CO
WYETH
XTO ENERGY INC
XTO ENERGY INC
TOTAL FIXED INCOME

Security Description
0% 15 Aug 2017
0% 15 Nov 2018
0% 15 May 2018
0% 15 Feb 2018
0% 15 May 2017
8.25% 17 Jan 2034
7.5% 15 Apr 2032
6.08% 20 May 2024
4.75% 01 Mar 2013
5.5% 01 Aug 2035
5.25% 01 Sep 2035
5% 25 Nov 2018
5.5% 25 Aug 2035
3.5% 04 Apr 2008
4.95% 16 Oct 2013
5.125% 15 Sep 2016
5% 25 Jun 2018
5% 25 Jan 2020
5.395% 25 Aug 2035
5.15% 01 Jan 2017
4.125% 15 Dec 2009
4.65% 15 Jul 2015
5.5% 01 Feb 2014
5% 31 Jan 2015
5.3% 30 Jun 2015

Shares/Par Value
29,100,000
31,500,000
12,100,000
6,800,000
45,000,000
2,450,000
500,000
2,268,750
700,000
500,000
1,603,791
7,144,921
2,320,000
2,500,000
2,000,000
2,037,119
2,992,879
14,053,804
1,000,000
5,385,000
2,250,000
1,750,000
2,500,000
500,000

Market Value
17,233,018.25
17,545,391.96
6,902,979.34
3,913,950.12
26,863,855.20
2,820,562.50
605,929.45
2,450,204.63
681,745.86
486,275.03
1,573,825.93
7,079,902.76
2,255,487.92
2,482,408.73
1,982,916.56
2,000,833.87
2,936,523.81
13,924,520.45
972,536.00
5,226,784.82
2,202,599.14
1,772,773.01
2,444,759.55
500,397.46
1,270,396,673.37

ALTERNATIVE ASSETS
PRIVATE EQUITY
ACCEL VIII LP
AIG ASIAN INFRASTRUCTURE FNDII
AIG ASIAN INFRASTRUCTURE FUND
AIG GE CAPITAL LATIN AMERICA
AIG INDIAN SECTORAL EQUITY
ALTA SUB DEB III
ARCH VENTURE FUND VI, LP
ARSENAL CAP PTNERS
BAIN CAPITAL FUND VIII
BAIN CAPITAL VIII COINVETMENT
BLACKSTONE CAP PARTN IV LP
BLUERUN VENTURES III
CANAAN EQUITY PARTNERS VII
CENTURY PARK CAPITAL PTNS II
CHARLESBANK EQUITY FUND VI
CHINAVEST IV LTD PTNRS
CLAREMONT CREEK VENTURES LP
CLEARSTONE VENTURE PARTNERS
DARWIN VENTURE CAPITAL FUNDS
DCM IV
DE NOVO VENTURES II LP
DOMAIN PARTNERS VI LP
EOS CAPITAL PARTNERS III
EQUITY DISTRIBUTION SECURITIES
FORTRESS INVESTMENT FUND III
FREMONT PARTNERS III
GENSTAR CAPITAL PARTNERS IV
GLENCOE CAP INSTL PARTNERS III
GLENCOE CAPITAL PARTNERS III
GLOBESPAN CAPITAL PARTNERS IV
GOLDER THOMA CRESSEY RAUNER
GOLDER THOMA CRESSEY RAUNER V
GRAHAM PARTNERS II
GRANITE GLOBAL VENTURES II LP
HUMMER WINVLAD VENTURE PTR III

Source:State Street

558,245.25
3,393,080.83
488,756.81
8,121,730.17
641,849.16
191,958.00
838,600.00
3,296,847.17
2,278,397.02
711,401.50
12,439,338.18
868,410.00
1,539,123.04
225,587.04
1,121,946.30
180,603.00
130,560.00
817,583.76
116,698.49
616,185.63
2,002,039.31
1,533,458.54
1,510,886.52
452,218.06
832,736.11
1,555,460.14
1,314,533.09
449,020.83
1,721,002.35
1,885,382.52
25,670.45
1,935,132.29
1,133,608.86
2,702,533.66
150,776.94

Security Name
INSIGHT VENTURE PARTNERS V
INSIGHT VENURE PARTNERS V
INSTITUTE VENTURES PTNS VI
INSTITUTIONAL VENTURE PARTNS
INSTITUTIONAL VENTURE PTR VIII
INTERSOUTH PARTNERS V LP
INTERSOUTH PARTNERS VI
INTERWEST PARTNERS IV
INTERWEST PARTNERS IX
INTERWEST PARTNERS V LP
INTERWEST PARTNERS VI LP
INTERWEST PARTNERS VII LP
INTERWEST PARTNERS VIII
INVERNESS PARTNERS II LP
IVP VII
JLL PARTNERS FUND V, LP
KELSO INVESTMENT ASSOC VII
KODIAK VENTURES III
KPCB AGG INVESTMENT GEP
KRG CAPITAL III LP
LAKE CAPITAL PARTNERS LP
LATIN AMERICAN CAPITAL II LP
LIGHTHOUSE CAPITAL PARTNERS V
LINDSAY GOLDBERG + BESSEMER LP
MAYFIELD VIII
NOVAK BIDDLE VENTURE PARTNERS
OXFORD BIOSCIENCE IV
OXFORD BIOSCIENCE PARTNERS III
PALOMAR VENTURES III
PERSEUS 2000 EXPANSION
PERSEUS SOROS BIO PHARM LP
POLARIS VENTURE PARTNERS III
POLARIS VENTURE PARTNERS IV
REDPOINT VENTURE I LP
REDPOINT VENTURES II LP
SEQUOIA AGGREGATE INVESTMENT
SKM EQUITY FUND II
SUN CAPITAL IV LP
TECHNOLOGY PARTNERS WEST FD IV
UPDATA PARTNERS III
VENTURE STRATEGY PARTN II L P
VENTURE STRATEGY PARTNERS III
VERSANT VENTURE CAPITAL II LP
VERSANT VENTURES I LP
WARBURG PINCUS
WARBURG PINCUS IX
WARBURG PINCUS PRT EQT VIII
WCAS CAPITAL PARTNERS II
WCAS III
WCAS VI
WELSH CARSON ANDERSON + STOWE
WICKS COMM + MEDIA PRTNS III

Security Description

Shares/Par Value

Market Value
3,046,880.40
466,517.06
183,976.80
157,916.16
985,927.39
883,403.68
1,072,624.22
487.20
920,000.00
169,848.76
231,858.92
1,113,858.48
2,101,920.00
1,551,034.58
1,134,967.67
2,711,810.00
3,671,290.29
942,178.11
4,049,171.35
1,451,458.99
2,410,871.03
3,441,460.12
3,347,321.00
3,405,701.12
298,460.50
303,544.50
1,667,224.00
966,540.00
903,534.30
2,893,378.42
1,580,673.22
1,054,929.91
2,784,390.00
852,646.50
1,204,455.36
4,956,935.90
3,064,626.26
1,596,067.20
103,033.20
1,316,543.59
513,801.60
5,623.50
1,350,600.00
2,403,006.00
391,677.92
13,320,000.00
40,000.00
475,052.50
14,878,620.00
712,407.10
3,889,050.00
458,481.09

REAL ESTATE
AMB INSTITUTIONAL ALLIANCE
PRISA II PRUDENTIAL REAL EST.
REALTY ASSOCIATES FUND VII

3,172,980.00
7,528,442.39
10,000,000.00

ABSOLUTE RETURN
AVENUE SPECIAL SITUATIONS III
CAMDEN ST ALBANS PARTNERS LTD
CANYON VALUE REALIZATION FD
CARL MARKS STRATEGIC INV LP
DAVIDSON KEMPNER INST PRTNR

Source:State Street

14,334,006.14
20,307,804.34
53,463,763.92
24,868,897.19
53,015,400.00

Security Name
IVY RISING STARS OFFSHORE FD
MAVERICK FUND LTD
OCM HIGH YIELD PLUS
OCONNOR GLOBAL FUNDAMENTAL
OZ OVERSEAS FUND LTD
SATELLITE CREDIT OPPORTUNITIES
SATELLITE OVERSEAS LTD PRTNSHP
SIRIOS FUND

Security Description

TOTAL ALTERNATIVE ASSETS

TOTAL SECURITIES

Shares/Par Value

Market Value
36,124,109.42
40,424,140.09
22,177,531.00
52,007,631.43
41,960,790.56
21,218,940.00
41,677,895.60
46,178,549.56
649,680,028.56

5,467,174,489.37

CASH & CASH EQUIVALENTS

40,813,581.76

ACCOUNTS RECEIVABLE & ACCRUED INCOME

11,920,912.04

ACCOUNTS PAYABLE
TOTAL NET ASSETS

Source:State Street

(103,443.24)
5,519,805,539.93

GEP
Holdings as of December 31, 2006
EQUITY INVESTMENTS
EXTERNALLY MANAGED FUNDS
(SC = Small Cap LC = Large Cap)
Security Name
ACADIAN EMERGING MARKETS FUND
ADAGE CAPITAL LC
AMERICAN CENTURY SC
AMEX/KENWOOD SC
AQR NON-US
ARK ASSET MANAGEMENT CO INC LC
AXA ROSENBERG SC
BRANDYWINE NON- US
BURGUNDY SC
CAPITAL GUARDIAN TRUST COMPANY LC
CAUSEWAY NON-US
CGI EMERGING MARKETS GF
CORTINA ASSET MGT SC
DELAWARE GROWTH LC
DELAWARE INV ADV SC
EAFE + CANADA TF INTL INDEX FD
FRANKLIN PORTFOLIO ASSOCIATES LC
FREEMAN ASSOCIATES INVESTMENT LC
GENESIS EMERGING MKT FD
GMO NON US
GMO TR EMERGING MARKETS
GOLDMAN SACHS ASSET MGMT L P LC
HANSBERGER NON-US
HARRIS ASSOCIATES LP LC
HOTCHKIS + WILEY CAP MGMT LC
INTECH LC
IRONBRIDGE SC
JP MORGAN FLEMING NON-US
LSV ASSET MANAGEMENT LC
MAZAMA SC
MFS NON-US
MONDRIAN NON US
NEW STAR NON US
NWQ INVESTMENT MGT CP LLC LC
PANAGORA NON-US
PZENA INVESTMENT MGMT LC
RUSSELL 3000 TF INDEX FUND
SANDERSON NON US
TEMPLETON INSTL FDS EMERGING MRKT
THORNBURG MTG INC LC
UBS SC
VICTORY CAPITAL MGT INC LC
WELLINGTON MANAGEMENT CO LLP LC
WELLINGTON SC

Interest Rate

TOTAL EQUITY

Source: State Street

Maturity Date

Shares/Par Value Base Market Value
87,824,529.60
29,232,234.00
14,113,054.66
18,829,824.00
49,796,711.08
61,637,926.86
15,418,061.62
50,262,218.07
14,164,934.48
54,730,627.54
97,988,878.73
20,470,461.14
12,140,050.40
59,298,321.87
10,210,412.92
681,528,781.69
89,899,018.12
62,028,386.51
130,105,182.12
70,307,538.41
103,224,843.49
53,541,819.12
53,622,797.07
57,650,148.49
64,527,251.00
54,817,817.53
12,042,884.46
67,841,642.79
37,701,546.75
11,189,144.66
97,392,910.41
48,649,808.54
54,401,977.17
37,156,366.75
52,047,224.50
59,541,719.63
1,032,947,881.59
48,436,185.31
12,939,338.68
71,809,858.71
11,101,115.36
62,186,258.71
49,747,709.06
14,367,127.62
-

1

3,798,872,531.22

Security Name

Interest Rate

Maturity Date

Shares/Par Value Base Market Value

FIXED INCOME
FIXED INCOME - SECURITIES
ALBERTSONS INC
ALL STATE CORP
AMEREN UN ELEC
AMERICA MOVIL S A DE C V
AMERICA MOVIL S A DE C V
AMERICAN ELEC PWR INC
AMERICAN GEN FIN CORP MTN
AMERICAN INTL GROUP INC
AMERICAN INTL GROUP INC
ANADARKO PETE CORP
ASSET BACKED FUNDING CERTIFICA
AT+T WIRELESS
AT+T WIRELESS SVCS INC
BAE SYS HLDGS INC
BANK AMER CORP
BCP CRYSTAL U S HLDGS CORP
BEAR STEARNS ARM TR
BEAR STEARNS ARM TRUST
BEAR STEARNS ASSET BKD SEC
BEAR STEARNS AST BKD SECS TR
BECTON DICKINSON + CO
BOYD GAMING CORP
BRAZIL FEDERATIVE REP
BRAZIL FEDERATIVE REP
BRAZIL FEDERATIVE REP
BRAZIL FEDERATIVE REP
BRAZIL FEDERATIVE REP
BRAZIL FEDERATIVE REP
BRAZIL FEDERATIVE REP
BRAZIL FEDERATIVE REP
C10 CAP SPV LTD
CANADIAN NATL RY CO
CARNIVAL CORP
CASE NEW HOLLAND INC
CCSA FIN LTD
CCSA FIN LTD
CELULOSA ARAUCO Y CONSTITUCION
CENTEX CORP
CHESAPEAKE ENERGY CORP
CHESAPEAKE ENERGY CORP
CHRYSLER CORP
CISCO SYS INC
CITIGROUP INC
COLOMBIA REP
COLOMBIA REP
COLUMBIA REP
COLUMBIA REP
COMCAST CORP NEW
COMCAST CORP NEW
COMPANHIA BRASILEIRA BEBIDAS
COMPANHIA BRASILEIRA BEBIDAS

Source: State Street

7.25
7.2
5.1
6.375
6.375
5.375
4.875
4.25
5.05
5.95
5.49
8.125
8.75
4.75
5.42
9.625
4.625
4.756902
5.45
5.45
7
7.125
9.25
10
7.875
6
8
8.75
8.75
8.25
6.722
6.8
3.75
7.125
7.875
7.875
7.75
5.25
6.375
6.375
7.45
5.25
5.85
8.25
7.375
9.75
7.375
5.45
5.875
8.75
8.75

2

5/1/2013
12/1/2009
10/1/2019
3/1/2035
3/1/2035
3/15/2010
7/15/2012
5/15/2013
10/1/2015
9/15/2016
1/25/2037
5/1/2012
3/1/2031
8/15/2010
3/15/2017
6/15/2014
2/25/2036
12/25/2035
7/25/2036
10/25/2036
8/1/2027
2/1/2016
10/22/2010
8/7/2011
3/7/2015
1/17/2017
1/15/2018
2/4/2025
2/4/2025
1/20/2034
12/1/2049
7/15/2018
11/15/2007
3/1/2014
5/17/2016
5/17/2016
9/13/2011
6/15/2015
6/15/2015
6/15/2015
3/1/2027
2/22/2011
8/2/2016
12/22/2014
1/27/2017
4/23/2009
9/18/2037
11/15/2010
2/15/2018
9/15/2013
9/15/2013

1,300,000
2,000,000
1,000,000
3,000,000
1,000,000
2,500,000
2,000,000
1,700,000
1,000,000
1,500,000
1,965,265
790,000
850,000
1,300,000
3,000,000
3,000,000
13,914,251
13,962,546
5,748,828
4,676,856
500,000
3,000,000
4,500,000
4,500,000
9,000,000
1,500,000
6,000,000
11,500,000
250,000
2,000,000
1,550,000
1,790,000
2,815,000
4,000,000
1,000,000
3,000,000
700,000
500,000
3,000,000
500,000
1,137,000
2,000,000
3,000,000
1,000,000
6,000,000
1,000,000
500,000
2,000,000
700,000
1,000,000
1,000,000

1,322,282.00
2,109,164.88
924,339.37
2,926,929.00
975,643.00
2,486,955.83
1,950,086.98
1,599,682.34
975,476.07
1,502,676.89
1,965,295.92
888,356.42
1,101,546.36
1,265,048.20
2,976,765.00
3,315,000.00
13,670,999.44
13,812,568.53
5,748,917.86
4,679,049.65
567,204.15
2,985,000.00
5,085,000.00
5,310,000.00
10,026,000.00
1,477,500.00
6,672,000.00
14,202,500.00
308,750.00
2,425,000.00
1,556,820.00
1,993,406.47
2,771,327.53
4,060,000.00
1,072,500.00
3,217,500.00
755,223.00
473,676.80
2,970,000.00
495,000.00
1,216,071.87
2,004,885.72
3,098,868.72
1,135,000.00
6,450,000.00
1,090,000.00
536,750.00
2,007,340.24
691,083.69
1,165,000.00
1,165,000.00

Security Name
CONSTELLATION BRANDS INC
CORPORACION NACIONAL DEL COBRE
COSTA RICA REP
COX COMMUNICATIONS INC MTN
COX COMMUNICATIONS INC NEW
CRH AMER INC
D R HORTON INC
D R HORTON INC
DAIMLERCHRYSLER NTH AMER HLDG
DELHAIZE AMER INC
DENBURY RES INC DEL
DEVELOPERS DIVERSIFIED RLTY
DIRECTV HLDGS LLC
DOMINION RES INC VA NEW
DPL INC
EMBARQ CORP
EMPRESA NACIONAL DE
EMPRESA NACIONAL DE ELECTRIC
ENERSIS SA
ENTERPRISE PRODS OPER L P
ENTERPRISE PRODUCTS OPER
EQUISTAR CHEMICALS PL FDG CORP
EQUISTAR CHEMICALS PL FDG CORP
EQUITY RESIDENTIAL
FEDERAL HOME LN BANK
FEDERAL HOME LN MTG CORP
FEDERAL NATL MTG ASSN
FEDERAL NATL MTG ASSN
FEDERAL NATL MTG ASSN
FEDERAL NATL MTG ASSN
FEDERAL NATL MTG ASSN
FNMA TBA JAN 15 SINGLE FAM
FNMA TBA JAN 15 SINGLE FAM
FNMA TBA JAN 15 SINGLE FAM
FNMA TBA JAN 30 SINGLE FAM
FNMA POOL 702021
FNMA POOL 702024
FNMA POOL 730016
FORD MTR CO DEL
FORD MTR CR CO
FORD MTR CR CO
FORD MTR CR CO
FPL GROUP CAP INC
GAZ CAP SA LUXEMBOURG
GAZ CAPITAL
GAZPROM INTL S A
GENERAL ELEC CAP CORP MTN
GENERAL ELEC CAP CORP MTN
GENERAL ELEC CO
GENERAL MTRS ACCEP CORP
GENERAL MTRS ACCEP CORP
GENERAL MTRS ACCEP CORP
GENERAL MTRS CORP
GENETECH INC
GMAC LLC
GOLDMAN SACHS CAP I

Source: State Street

Interest Rate
Maturity Date
Shares/Par Value Base Market Value
7.25
9/1/2016
2,500,000
2,568,750.00
6.375
11/30/2012
1,450,000
1,513,565.10
6.548
3/20/2014
2,000,000
2,037,000.00
6.95
1/15/2028
500,000
515,118.50
5.875
12/1/2016
1,000,000
992,907.00
6
9/30/2016
2,000,000
2,016,698.16
6.125
1/15/2014
500,000
496,461.00
5.625
9/15/2014
1,500,000
1,451,710.62
5.75
9/8/2011
1,250,000
1,248,266.13
8.125
4/15/2011
1,000,000
1,078,756.00
7.5
4/1/2013
2,500,000
2,537,500.00
5.25
4/15/2011
1,000,000
985,913.24
6.375
6/15/2015
300,000
287,625.00
6.3
9/30/2066
1,000,000
1,004,674.76
6.875
9/1/2011
1,500,000
1,574,185.98
7.082
6/1/2016
1,200,000
1,221,967.07
8.5
4/1/2009
2,670,000
2,843,016.08
8.35
8/1/2013
200,000
225,164.00
7.375
1/15/2014
700,000
752,297.01
8.375
8/1/2066
3,500,000
3,791,221.00
4.95
6/1/2010
2,359,000
2,315,251.45
8.75
2/15/2009
2,000,000
2,095,000.00
8.75
2/15/2009
500,000
523,750.00
5.125
3/15/2016
1,500,000
1,443,504.65
4.25
9/26/2007
11,000,000
10,916,296.60
5.25
5/21/2009
12,000,000
12,077,312.40
2.375
2/15/2007
6,360,000
6,338,922.96
5
9/14/2007
13,000,000
12,971,494.90
6.25
2/1/2011
9,900,000
10,323,642.78
5.25
8/1/2012
1,200,000
1,207,618.68
6
8/22/2016
12,000,000
12,080,634.00
5.5
12/1/2099
41,000,000
40,987,187.50
5
12/1/2099
35,000,000
34,403,908.00
4.5
12/1/2099
26,000,000
25,075,780.60
5
12/1/2099
35,000,000
33,785,937.50
5.75
5/1/2033
969,361
969,512.57
5.25
5/1/2033
3,079,164
3,016,557.84
4
7/1/2018
1,573,666
1,483,717.94
7.45
7/16/2031
2,000,000
1,570,000.00
6.625
6/16/2008
1,500,000
1,498,980.00
5.7
1/15/2010
1,450,000
1,382,987.24
8
12/15/2016
1,200,000
1,185,780.00
6.35
10/1/2066
1,500,000
1,519,967.09
6.212
11/22/2016
3,500,000
3,524,500.00
8.625
4/28/2034
2,000,000
2,570,000.00
7.201
2/1/2020
1,000,000
1,057,500.00
3.75
12/15/2009
2,250,000
2,165,326.83
5.875
2/15/2012
1,750,000
1,799,881.79
5
2/1/2013
2,500,000
2,469,713.98
5.85
1/14/2009
3,000,000
2,988,630.00
5.625
5/15/2009
250,000
247,490.25
6.875
9/15/2011
500,000
515,219.25
8.375
7/15/2033
1,500,000
1,387,500.00
4.75
7/15/2015
1,300,000
1,244,121.98
6.125
1/22/2008
2,000,000
1,995,620.00
6.345
2/15/2034
1,550,000
1,565,023.08

3

Security Name
GOLDMAN SACHS GROUP INC
GOLDMAN SACHS GROUP INC
GRUPO TELEVISA SA
GRUPO TELEVISA SA
GSAMP
HARRAHS OPER INC
HARRAHS OPER INC
HCA INC
HERTZ CORP
HOVNANIAN K ENTERPRISES INC
HOVNANIAN K ENTERPRISES INC
HOVNANIAN K ENTERPRISES INC
HSBC FIN CAP TR IX
HSBC FIN CORP
HUTCHISON WHAMPOA INTL
IDEARC INC
INDYMAC INDX MTG LN TR
INTERNATIONAL FIN FAC
ITC HLDGS CORP
JPMORGAN CHASE + CO
JPMORGAN CHASE CAP XV
KERR MCGEE CORP
L 3 COMMUNICATIONS CORP
L 3 COMMUNICATIONS CORP
L 3 COMMUNICATIONS CORP
LEHMAN BROS HLDGS INC
LOBLAWS COS LTD CPN RCPTS CDS
LORAL CORP
LUBRIZOL CORP
LYONDELL CHEMICAL CO
MEDTRONIC INC
METLIFE INC
METROPOLITAN LIFE GLOBAL FDG I
MEXICO UNITED MEXICAN STS
MGM MIRAGE
MGM MIRAGE
MORGAN STANLEY IXIS REAL ESTAT
NATIONAL GAS CO TRINIDAD + TOB
NEIMAN MARCUS GROUP INC
NEVADA PWR CO
NEWS AMER INC
NEXTEL COMMUNICATIONS INC
NORFOLK SOUTHN CORP
OHIO PWR CO
OWENS BROCKWAY GLASS CONTAINER
OWENS BROCKWAY GLASS CONTAINER
PACIFIC GAS + ELEC CO
PANAMA REP
PANAMA REP
PANAMERICAN BEVERAGES INC
PEMEX PROJ FDG MASTER TR
PEMEX PROJ FDG MASTER TR
PEMEX PROJ FDG MASTER TR
PEMEX PROJ FDG MASTER TR
PEMEX PROJ FDG MASTER TR
PENNEY J C INC

Source: State Street

Interest Rate
Maturity Date
Shares/Par Value Base Market Value
5.15
1/15/2014
2,000,000
1,964,776.46
6.45
5/1/2036
1,500,000
1,562,822.91
6.625
3/18/2025
3,620,000
3,759,891.28
6.625
3/18/2025
700,000
727,050.80
5.43
6/25/2036
5,000,000
5,000,000.00
5.5
7/1/2010
1,000,000
980,151.00
5.5
7/1/2010
1,350,000
1,323,203.85
9.125
11/15/2014
600,000
641,250.00
8.875
1/1/2014
3,500,000
3,666,250.00
6.25
1/15/2015
1,500,000
1,425,000.00
6.25
1/15/2015
1,000,000
950,000.00
7.5
5/15/2016
1,000,000
1,005,000.00
5.911
11/30/2035
2,800,000
2,830,111.45
4.625
9/15/2010
2,000,000
1,959,448.86
6.25
1/24/2014
1,000,000
1,038,360.00
8
11/15/2016
1,200,000
1,218,000.00
5.072727
11/25/2036
8,384,230
8,385,508.97
5
11/14/2011
1,250,000
1,238,853.75
5.875
9/30/2016
700,000
694,660.40
5.15
10/1/2015
2,500,000
2,454,228.40
5.875
3/15/2035
1,250,000
1,218,871.11
6.95
7/1/2024
1,000,000
1,067,282.10
6.125
1/15/2014
1,480,000
1,446,700.00
5.875
1/15/2015
2,000,000
1,930,000.00
5.875
1/15/2015
1,320,000
1,273,800.00
5.75
1/3/2017
1,500,000
1,520,014.68
0
11/23/2033
15,000,000
2,630,856.36
7
9/15/2023
1,150,000
1,299,315.89
4.625
10/1/2009
2,000,000
1,955,219.60
8
9/15/2014
1,000,000
1,037,500.00
4.375
9/15/2010
1,500,000
1,457,599.19
6.4
12/15/2036
1,000,000
1,008,499.95
4.5
5/5/2010
2,000,000
1,962,074.00
8.125
12/30/2019
450,000
546,750.00
6
10/1/2009
2,300,000
2,294,250.00
6.75
9/1/2012
3,800,000
3,743,000.00
5.35
7/25/2036
39,982,700
39,970,225.22
6.05
1/15/2036
1,500,000
1,462,945.50
10.375
10/15/2015
1,300,000
1,446,250.00
6.5
5/15/2018
1,000,000
1,036,660.00
6.4
12/15/2035
1,000,000
1,000,022.51
5.95
3/15/2014
1,200,000
1,174,500.00
6.75
2/15/2011
2,000,000
2,096,790.00
6.6
2/15/2033
1,900,000
2,020,691.14
7.75
5/15/2011
1,500,000
1,541,250.00
6.75
12/1/2014
2,000,000
1,940,000.00
4.2
3/1/2011
2,000,000
1,913,410.64
7.25
3/15/2015
3,500,000
3,788,750.00
7.125
1/29/2026
2,000,000
2,160,000.00
7.25
7/1/2009
3,300,000
3,432,000.00
9.375
12/2/2008
1,530,000
1,637,100.00
9.375
12/2/2008
1,000,000
1,070,000.00
5.75
12/15/2015
1,500,000
1,489,500.00
8.625
2/1/2022
750,000
927,000.00
8.625
2/1/2022
1,000,000
1,236,000.00
7.125
11/15/2023
1,405,000
1,545,953.96

4

Security Name
PERU REP
PERU REP
PERU REP
PETROBRAS INTL FIN CO
PETROBRAS INTL FIN CO
PETROBRAS INTL FIN CO
PETROBRAS INTL FIN CO
PHILIPPINE LONG DIST TEL CO ME
PHILIPPINES REP
PHILIPPINES REP
PHILIPPINES REP
PHILIPPINES REP
PHILIPPINES REP
PHILIPPINES REP
PREMCOR REFNG GROUP INC
PROLOGIS
QUEST DIAGNOSTICS INC
QUEST DIAGNOSTICS INC
R H DONNELLEY CORP
RAS LAFFAN LIQUEFIED NAT GAS
RAS LAFFAN LIQUEFIED NAT GAS
RAS LAFFAN LNG
RBS CAP TR III
RESIDENTIAL CAP CORP
ROGERS CABLE INC
ROYAL CARIBBEAN CRUISES LTD
ROYAL CARIBBEAN CRUISES LTD
RUSSIAN FEDERATION
RUSSIAN FEDN
RUSSIAN FEDN
SABMILLER PLC
SBC COMMUNICATIONS INC
SIEMENS FINANCIERINGSMAATSCHAP
SIMON PPTY GROUP L P
SOCIEDAD QUIMICA Y MINERA DE
SOUTHERN PWR CO
SPRINT CAP CORP
SPRINT CAP CORP
SUNGARD DATA SYS INC
SUNGARD DATA SYSTEMS
TECO ENERGY INC
TELEFONOS DE MEXICO S A
TELOFONOS DE MEXICO SA
TEMASEK FINL LTD
TENGIZCHEVROIL FIN CO S AR L
TENGIZCHEVROIL FIN CO S AR L
TEVA PHARMACEUTICAL FIN CO LLC
TIME WARNER ENTMT CO L P
TRANSOCEAN SEDCO FOREX INC
TURKEY REP
TURKEY REP
TURKEY REP
TURKEY REP
UNITED MEXICAN STS
UNITED MEXICAN STS MTN
UNITED STATES TREAS BD

Source: State Street

Interest Rate
Maturity Date
Shares/Par Value Base Market Value
9.125
2/21/2012
3,000,000
3,465,000.00
8.375
5/3/2016
1,000,000
1,187,500.00
7.35
7/21/2025
1,000,000
1,130,000.00
7.75
9/15/2014
1,000,000
1,112,500.00
7.75
9/15/2014
1,100,000
1,223,750.00
6.125
10/6/2016
1,000,000
1,010,000.00
8.375
12/10/2018
1,000,000
1,192,500.00
8.35
3/6/2017
1,006,000
1,141,810.00
8.375
2/15/2011
4,250,000
4,653,750.00
8.25
1/15/2014
1,000,000
1,128,750.00
8.25
1/15/2014
1,000,000
1,128,750.00
8
1/15/2016
3,850,000
4,379,375.00
9.375
1/18/2017
1,300,000
1,602,250.00
7.75
1/14/2031
2,500,000
2,837,500.00
6.75
5/1/2014
2,000,000
2,096,137.00
5.625
11/15/2016
1,000,000
988,810.27
5.125
11/1/2010
1,750,000
1,727,349.42
5.45
11/1/2015
500,000
481,170.85
6.875
1/15/2013
4,000,000
3,835,000.00
6.332
9/30/2027
1,000,000
1,012,890.00
6.332
9/30/2027
700,000
709,023.00
5.832
9/30/2016
1,300,000
1,305,857.28
5.512
9/29/2049
3,250,000
3,215,001.11
6
2/22/2011
2,100,000
2,098,149.82
6.75
3/15/2015
3,500,000
3,606,190.00
6.875
12/1/2013
800,000
810,916.80
7.5
10/15/2027
522,000
511,435.76
10
6/26/2007
3,000,000
3,063,000.00
8.25
3/31/2010
5,055,635
5,283,138.95
5
3/31/2030
10,000,000
11,312,500.00
6.2
7/1/2011
3,000,000
3,070,596.00
6.15
9/15/2034
2,000,000
1,963,382.56
6.125
8/17/2026
2,000,000
2,043,538.00
4.875
8/15/2010
2,000,000
1,965,631.26
6.125
4/15/2016
900,000
904,131.00
4.875
7/15/2015
2,000,000
1,891,654.96
6.9
5/1/2019
450,000
463,352.23
6.875
11/15/2028
500,000
500,815.39
9.9725
8/15/2013
400,000
415,500.00
10.25
8/15/2015
500,000
533,750.00
7
5/1/2012
1,000,000
1,052,500.00
4.5
11/19/2008
1,227,000
1,204,868.60
5.5
1/27/2015
2,000,000
1,946,928.00
4.5
9/21/2015
1,000,000
948,836.00
6.124
11/15/2014
3,675,000
3,665,812.50
6.124
11/15/2014
1,000,000
997,500.00
6.15
2/1/2036
750,000
730,209.16
8.375
3/15/2023
500,000
584,165.77
7.5
4/15/2031
900,000
1,019,914.06
10.5
1/13/2008
4,000,000
4,200,000.00
7.25
3/15/2015
5,000,000
5,168,750.00
7.375
2/5/2025
2,500,000
2,562,500.00
6.875
3/17/2036
2,000,000
1,910,000.00
6.75
9/27/2034
1,000,000
1,080,000.00
5.625
1/15/2017
6,500,000
6,506,500.00
0
11/15/2027
16,350,000
5,942,407.50

5

Security Name
UNITED STATES TREAS BDS
UNITED STATES TREAS BDS
UNITED STATES TREAS BDS
UNITED STATES TREAS BDS
UNITED STATES TREAS BDS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TRES SC STRP INT
UNITED STATES TRES SC STRP INT
VALE OVERSEAS LTD
VALE OVERSEAS LTD
VALE OVERSEAS LTD
VESSEL MGMT SVCS INC
VOTO VOTORANTIM OVERSEAS TRAD
WELLS FARGO BK NATL ASSN
WELLS FARGO BK NATL ASSN
WELLS FARGO CAP X
WESTERN RES INC
WINDSTREAM CORP
WYETH
XTO ENERGY INC

Interest Rate
Maturity Date
Shares/Par Value Base Market Value
2.375
1/15/2025
24,364,073
24,270,515.00
2
1/15/2026
15,835,478
14,888,041.58
3.625
4/15/2028
16,285,095
19,684,608.58
3.875
4/15/2029
18,731,934
23,600,551.37
3.375
4/15/2032
4,944,111
5,975,798.40
3.625
1/15/2008
6,121,717
6,185,811.38
3.625
1/15/2008
17,107,076
17,286,186.77
3.875
1/15/2009
15,464,976
15,893,819.99
4.25
1/15/2010
11,063,172
11,645,758.95
0.875
4/15/2010
26,492,236
25,122,057.93
3.5
1/15/2011
11,110,798
11,565,674.35
2.375
4/15/2011
16,767,169
16,704,292.54
3.375
1/15/2012
6,155,176
6,427,235.14
4.875
2/15/2012
25,300,000
25,535,037.25
3
7/15/2012
21,210,771
21,835,428.41
4
11/15/2012
8,600,000
8,305,191.91
1.875
7/15/2013
19,846,856
19,186,551.49
2
1/15/2014
20,349,202
19,777,185.80
2
7/15/2014
18,635,507
18,096,754.53
1.625
1/15/2015
18,395,493
17,323,403.75
1.875
7/15/2015
15,981,002
15,321,785.34
2
1/15/2016
15,836,495
15,299,321.24
2.5
7/15/2016
15,563,968
15,689,101.96
0
11/15/2017
3,865,000
2,294,457.25
0.01
2/15/2018
2,170,000
1,273,204.10
6.25
1/11/2016
500,000
504,859.50
8.25
1/17/2034
1,000,000
1,184,542.00
8.25
1/17/2034
1,000,000
1,184,542.00
6.08
5/20/2024
2,146,750
2,262,395.42
7.75
6/24/2020
3,430,000
3,875,900.00
5.75
5/16/2016
1,000,000
1,025,840.15
5.95
8/26/2036
500,000
515,594.68
5.95
12/15/2086
1,000,000
1,000,724.79
7.125
8/1/2009
1,250,000
1,292,016.25
8.625
8/1/2016
2,500,000
2,737,500.00
5.5
2/1/2014
1,750,000
1,761,712.82
5
1/31/2015
1,000,000
950,514.76

FIXED INCOME - EXTERNALLY MANAGED FUNDS
GOLDMAN SACHS HIGH YIELD
WGBI EX US INDEX FUND

25,722,400.00
169,568,784.00

TOTAL FIXED INCOME

1,284,431,960.05

ALTERNATIVE ASSETS
PRIVATE EQUITY
ACCEL VIII LP
AIG ASIAN INFRASTRUCTURE FNDII
AIG ASIAN INFRASTRUCTURE FUND
AIG GE CAPITAL LATIN AMERICA
AIG INDIAN SECTORAL EQUITY
AISLING CAPITAL 11

Source: State Street

712,839.61
1,987,538.08
64,294.60
5,727,346.85
496,230.77
758,986.79

6

Security Name
ALTA SUB DEB III
APOLLO INVESTMENT FUND VI LP
ARCH VENTURE FUND VI, LP
ARES CORP OPPORTUNITY FUND II
ARSENAL CAP PTNERS
ARSENAL CAPITAL PARTNERS II LP
BAIN CAPITAL FUND IX LP
BAIN CAPITAL FUND VIII
BAIN CAPITAL IX COINVESTMENT F
BAIN CAPITAL VIII COINVETMENT
BLACKSTONE CAP PARTN IV LP
BLACKSTONE CAPITAL PARTNERS V
BLUERUN VENTURES LP
CANAAN EQUITY PARTNERS VII
CENTURY PARK CAPITAL PTNS II
CHARLESBANK EQUITY FUND VI
CLAREMONT CREEK VENTURES LP
CLEARSTONE VENTURE PARTNERS
DARWIN VENTURE CAPITAL FUNDS
DCM IV
DE NOVO VENTURES II LP
DE NOVO VENTURES III
DOMAIN PARTNERS VI LP
DOMAIN PARTNERS VII
EOS CAPITAL PARTNERS III
EQUITY DISTRIBUTION SECURITIES
FIRST RESERVE FUND XI LP
FORTRESS INVESTMENT FUND III
FORTRESS INVESTMENT FUND IV
FOX PAINE CAPITAL FUND III LP
FREMONT PARTNERS III
GENSTAR CAPITAL PARTNERS IV
GLENCOE CAP INSTL PARTNERS III
GLENCOE CAPITAL PARTNERS III
GLOBESPAN CAPITAL PARTNERS IV
GLOBESPAN CAPITAL PARTNERS V
GOLDER THOMA CRESSEY RAUNER
GOLDER THOMA CRESSEY RAUNER V
GRAHAM PARTNERS II
GRANITE CLOBAL VENTURES III
GRANITE GLOBAL VENTURES II LP
GRANITE VENTURES II
HUMMER WINBLAD VENTURE PTR III
INSIGHT VENTURE PARTNERS V
INSIGHT VENTURE PARTNERS V
INSTITUTIONAL VENTURE PARTNS
INSTITUTIONAL VENTURE PTR VIII
INTERSOUTH PARTNERS V LP
INTERSOUTH PARTNERS VI
INTERSOUTH PARTNERS VII
INTERWEST PARTNERS IX
INTERWEST PARTNERS V LP
INTERWEST PARTNERS VI LP
INTERWEST PARTNERS VII LP
INTERWEST PARTNERS VIII
INVERNESS PARTNERS II LP

Source: State Street

Interest Rate

7

Maturity Date

Shares/Par Value Base Market Value
162,708.00
4,070,000.23
1,487,631.88
202,295.95
3,135,362.23
114,142.00
923,062.73
3,727,817.92
311,275.43
1,196,178.48
10,931,960.81
14,900,988.60
2,417,795.25
3,951,706.40
1,779,298.42
1,479,999.78
794,806.27
1,828,592.00
395,635.00
1,712,086.88
3,549,437.62
15,000.00
2,116,873.99
60,781.77
3,442,983.37
672,090.16
27,852.50
2,711,593.19
164,201.32
11,902.12
2,426,350.89
2,132,018.86
330,163.43
1,178,632.27
2,374,427.45
51,112.77
351.65
1,591,239.20
2,262,861.75
119,788.60
4,008,525.11
1,414,710.00
47,214.79
1,979,274.22
7,351,933.87
317,790.18
1,141,176.49
889,361.40
1,725,906.09
14,000.00
2,094,656.00
121,431.58
179,041.72
1,206,178.59
2,255,628.00
1,900,190.63

Security Name
ITU VENTURES III
IVP VI
IVP VII
J C FLOWERS II LP
JLL PARTNERS FUND V, LP
KELSO INVESTMENT ASSOC VII
KODIAK VENTURES III
KPCB AGG INVESTMENT GEP
KRG CAPITAL III LP
LAKE CAPITAL PARTNERS LP
LATIN AMERICAN CAPITAL II LP
LIGHTHOUSE CAPITAL PARTNERS V
LIGHTSPEED VENTURE PTNERS VII
LINDSAY GOLDBERG + BESSEMER II
LINDSAY GOLDBERG + BESSEMER LP
MADISON DEARBORN V
MAYFIELD VIII
NOVAK BIDDLE VENTURE PARTNERS
OXFORD BIOSCIENCE IV
OXFORD BIOSCIENCE PARTNERS III
PALOMAR VENTURES III
PERSEUS 2000 EXPANSION
PERSEUS PARTNERS VII LP
PERSEUS SOROS BIO PHARM LP
POLARIS VENTURE PARTNERS III
POLARIS VENTURE PARTNERS IV
POLARIS VENTURE PRTNRS V LP
QUAD C PARTNERS VII LP
REDPOINT VENTURE I LP
REDPOINT VENTURES II LP
SEQUOIA AGGREGATE INVESTMENT
SHAMROCK CAPITAL GROWTH FD II
SKM EQUITY FUND II
SUN CAPITAL IV LP
TECHNOLOGY PARTNERS WEST FD IV
TRINITY VENTURES IX P
UPDATA PARTNERS III
VENTURE STRATEGY PARTN II L P
VERSANT VENTURE CAPITAL II LP
VERSANT VENTURES I LP
VESTAR CAPITAL PARTNERS V LP
WARBURG IX BUYOUT
WARBURG IX VENTURE
WARBURG PINCUS VIII
WATER STREET CAPITAL PARTNERS
WCAS CAPITAL PARTNERS II
WCAS III
WCAS VI
WELLSPRING CAPITAL PARTNERS IV
WELSH CARSON ANDERSON + STOWE
WICKS COMM + MEDIA PRTNS III
WIND POINT PARTNERS VI

Interest Rate

Maturity Date

Shares/Par Value Base Market Value
1,020,393.59
158,239.60
1,174,161.50
384,058.40
7,209,277.14
4,007,895.94
1,688,142.77
3,581,579.68
3,865,771.69
3,546,506.98
1,587,844.96
4,415,310.00
1,724,118.40
17,050.23
4,309,025.45
180,353.10
236,023.00
1,258,794.75
1,825,741.00
808,420.00
1,475,708.52
2,237,830.66
295,345.29
1,140,763.97
1,048,320.37
4,703,363.75
57,000.00
1,891,732.19
1,012,918.50
1,863,491.40
4,031,499.32
32,123.55
3,095,877.17
2,282,754.24
22,800.00
1,955,526.34
2,315,886.41
533,213.64
1,734,795.60
3,010,410.00
6,220,227.83
13,251,551.04
19,877,326.56
508,631.03
2,925,384.70
488,118.50
16,201,110.00
1,106,150.30
2,759,549.47
2,548,650.00
981,086.90
2,043,432.57

REAL ESTATE
AMB INSTITUTIONAL ALLIANCE

Source: State Street

6,731,846.90

8

Security Name
BEACON CAPITAL STRATEGIC
BLACKSTONE REAL ESTATE PRTN V
CALIFORNIA SMART GROWTH FD IV
CIM URBAN REIT LLC
KSL CAPITAL PARTNERS II
MORGAN STANLEY RE FUND V
PRISA II PRUDENTIAL REAL EST.
PRUDENTIAL SNR HSING PTNRS III
REALTY ASSOCIATES FUND VII
REEF GLOBAL OPPORTUNITIES FD
RREEF AMERICA REIT III
WALTON STREET REAL ESTATE V

Interest Rate

Maturity Date

Shares/Par Value Base Market Value
9,646,011.50
21,852,262.48
919,402.25
6,922,159.20
1,760,350.29
1,584,781.86
11,608,677.44
3,900,689.60
24,359,583.49
3,521,693.40
33,471,850.99
2,403,705.33

ABSOLUTE RETURN
AVENUE SPECIAL SITUATIONS III
BERNSTEIN GLOBAL DIV HEDGE F
CANYON VALUE REALIZATION FD
CARL MARKS STRATEGIC INV LP
DAVIDSON KEMPNER DIS OPP INTL
DAVIDSON KEMPNER INST PRTNR
FONTANA CAPITAL LLC
HIGHLINE CAPITAL INTL
IVY RISING STARS OFFSHORE FD
MAVERICK FUND LTD
OCM HIGH YIELD PLUS
OCONNOR GLOBAL FUNDAMENTAL
OZ ASIA MASTER FUND LTD.
OZ OVERSEAS FUND LTD
SATELLITE CREDIT OPPORTUNITIES
SATELLITE OVERSEAS LTD PRTNSHP
SIRIOS FUND
TREE LINE ASIA FD LTD
YORK EUROPEAN OPPORTUNITIES

2,703,016.05
51,946,542.85
61,199,005.01
27,388,832.49
16,205,145.00
72,705,457.03
25,514,325.00
24,999,976.65
40,232,742.10
44,617,599.01
24,217,663.00
58,481,574.58
21,622,840.00
48,243,294.04
23,703,178.00
58,887,993.55
40,798,697.62
22,833,440.00
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

Source: State Street

6,232,219,452.09

9

GEP
Holdings as of December 31, 2007
EQUITY INVESTMENTS
EXTERNALLY MANAGED FUNDS
(SC = Small Cap LC = Large Cap)
Security Name
ACADIAN EMERGING MARKETS FUND
ADAGE CAPITAL LC
AMERICAN CENTURY SC
AMEX/KENWOOD SC
AQR NON-US
ARK ASSET MANAGEMENT CO INC LC
AXA ROSENBERG SC
BRANDYWINE NON-US
BURGUNDY SC
CAPITAL GUARDIAN TRUST COMPANY LC
CAUSEWAY NON-US
CGI EMERGING MARKETS GF
CORTINA ASSET MGT SC
CORTINA OPPTNTY SC
DELAWARE LC
DELAWARE INV ADV SC
EAFE STATE ST INTL INDEX
FRANKLIN PORTFOLIO ASSOCIATES LC
FREEMAN ASSOCIATES LC
GENESIS EMERGING MKT LP
GMO NON-US
GMO TR EMERGING MARKETS
GOLDMAN SACHS ASSET MGMT L P LC
HANSBERGER NON-US
HARRIS ASSOCIATES LP LC
HOTCHKIS + WILEY CAP MGMT LC
INTECH LC
IRONBRIDGE SC
JP MORGAN FLEMING NON-US
LSV ASSET MANAGEMENT LC
MAZAMA SC
MFS NON-US
MONDRIAN NON US
NEW STAR NON-US
NWQ INVESTMENT MGT CP LLC LC
PANAGORA NON-US
PZENA INVESTMENT MGMT LC
RUSSEL 2000 TF INDEXFUND
RUSSELL 1000 GROWTH SL CTF
RUSSELL 1000 TF INDEX FUND
SANDERSON NON-US
TEMPLETON INSTL FDS INC
THORNBURG MTG INC LC

Source: State Street

Interest Rate

Maturity Date

1

Shares/Par Value

Base Market Value
$
122,559,266
32,649,273
6,101,906
9,341,956
52,717,887
46,941,528
15,771,858
53,132,454
14,287,212
16,853,054
84,040,094
27,498,089
5,481
12,894,201
56,141,749
10,448,987
658,735,377
25,690,515
23,452,995
116,379,997
75,710,729
114,395,841
71,174,758
63,264,356
46,177,242
51,201,632
38,623,968
20,011,974
73,819,594
61,744,973
5,458,671
85,349,445
52,848,782
61,618,361
36,238,658
55,995,757
56,047,964
258,874
37,646,570
415,837,498
49,521,957
16,280,711
71,707,859

Security Name
UBS SC
VICTORY CAPITAL MGT INC LC
WELLINGTON MANAGEMENT CO LLP LC
WELLINGTON SC

Interest Rate

Maturity Date

Shares/Par Value

TOTAL EQUITY

Base Market Value
50,987
63,400,491
53,053,537
13,747,005
3,076,832,068

FIXED INCOME
FIXED INCOME - SECURITIES
ABBOTT LABORATORIES
ADVANCED MED OPTICS INC
AGFC CAP TR I
ALBERTSONS INC
ALLIED WASTE NORTH AMER INC
ALLSTATE CORP
AMERICA MOVIL S A DE C V
AMERICAN ELEC PWR INC
AMERICAN EXPRESS ISSUANCE TR
AMERICAN GEN FIN CORP MTN
AMERICAN INTL GROUP INC
AMERICAN INTL GROUP INC
APACHE CORP
APACHE CORP
ARGENTINA (REP)
ASSET BACKED FUNDING CERTIFICA
ASSET BACKED SECS CORP
AT+T INC
AT+T WIRELESS SVCS INC
ATLAS COPCO AB
BAE SYS HLDGS INC
BANC AMER COML MTG TR
BANC AMER LARGE LN TR
BANC AMER MTG SECS INC
BANC AMER MTG SECS INC
BANCO MERCANTILE DEL NORTE SA
BANCO MERCANTILE DEL NORTE SA
BANK AMER NA CHARLOTTE NC
BANK OF AMERICA
BAXTER INTL INC
BEAR STEARNS ALT A TR
BEAR STEARNS ARM TR
BEAR STEARNS ASSET BKD SEC
BEAR STEARNS AST BKD SECS TR
BEAR STEARNS COML MTG SECS TR
BEAR STEARNS COMMERCIAL MORT
BECTON DICKINSON + CO
BMW VEH LEASE TR
BOMBARDIER INC
BOYD GAMING CORP
BRAZIL FEDERATIVE REP
BRAZIL FEDERATIVE REP

Source: State Street

5.15
7.5
6
7.25
6.875
6.125
6.375
5.375
5.2275
4.875
4.25
5.45
5.625
6
8.28
4.925
5.245
6.3
8.75
5.6
4.75
5.688454
5.7775
6.357836
5.75
6.135
6.862
6
5.3
6.25
5.391176
5.841732
4.995
4.995
5.1875
5.471
7
4.59
6.3
7.125
10
7.875

2

11/30/2012
5/1/2017
1/15/2067
5/1/2013
6/1/2017
5/15/2037
3/1/2035
3/15/2010
9/15/2011
7/15/2012
5/15/2013
5/18/2017
1/15/2017
1/15/2037
12/31/2033
1/25/2037
10/25/2034
1/15/2038
3/1/2031
5/22/2017
8/15/2010
4/10/2049
7/15/2009
12/25/2034
1/25/2035
10/13/2016
10/13/2021
10/15/2036
3/15/2017
12/1/2037
4/25/2035
2/25/2036
7/25/2036
10/25/2036
3/15/2019
1/12/2045
8/1/2027
8/15/2013
5/1/2014
2/1/2016
8/7/2011
3/7/2015

2,000,000.00
375,000.00
1,000,000.00
1,600,000.00
1,500,000.00
500,000.00
4,000,000.00
2,500,000.00
2,000,000.00
2,000,000.00
1,700,000.00
2,000,000.00
500,000.00
500,000.00
3,482,872.50
1,171,810.53
13,171.91
3,000,000.00
850,000.00
500,000.00
1,300,000.00
4,000,000.00
1,000,000.00
824,395.87
8,836,272.00
1,445,000.00
1,000,000.00
262,000.00
3,500,000.00
500,000.00
1,627,205.96
12,722,458.12
2,964,755.22
3,172,355.11
1,000,000.00
8,000,000.00
500,000.00
2,000,000.00
900,000.00
1,050,000.00
2,500,000.00
8,500,000.00

2,052,560
345,000
906,854
1,636,219
1,462,500
482,409
3,955,280
2,533,403
1,994,062
1,889,317
1,599,741
1,958,490
506,778
495,756
3,343,558
1,153,529
12,853
3,059,835
1,094,117
500,183
1,298,022
4,097,500
1,000,000
824,396
8,747,909
1,428,961
1,060,022
250,174
3,404,666
511,473
1,627,206
12,722,458
2,905,460
3,108,908
968,588
8,042,400
560,245
2,002,401
879,750
992,250
2,931,250
9,596,500

Security Name
BRAZIL FEDERATIVE REP
BRAZIL FEDERATIVE REP
BRAZIL FEDERATIVE REP
BW GROUP LTD
C10 CAP SPV LTD
C8 CAP SPV LTD
CANADIAN NATL RY CO
CARGILL INC
CARGILL INC
CASE NEW HOLLAND INC
CCSA FIN LTD
CELULOSA ARAUCO Y CONSTITUCION
CENTEX CORP
CHESAPEAKE ENERGY CORP
CHS CMNTY HEALTH SYS INC
CISCO SYS INC
CITIGROUP CAP
CITIGROUP COML MTG TR
CITIGROUP INC
CITIGROUP MORTGAGE LOAN TR
CITIGROUP MTG LOAN TRUST INC
COCA COLA CO
COLOMBIA REP
COLOMBIA REP
COLUMBIA REP
COMCAST CORP NEW
COMPANHIA BRASILEIRA BEBIDAS
COOPER U S INC
CORPORACION NACIONAL DEL COBRE
COSAN FINANCE LTD
COSTA RICA REP
COX COMMUNICATIONS INC MTN
CREDIT SUISSE FIRST BOSTON MTG
CRH AMER INC
CVS CAREMARK CORP
CVS CAREMARK CORP
D R HORTON INC
D R HORTON INC
DAIMLERCHRYSLER AUTO TR
DAIMLERCHRYSLER NTH AMER HLDG
DANAHER CORP
DELHAIZE GROUP SA
DENBURY RES INC DEL
DEVELOPERS DIVERSIFIED RLTY
DIRECTV HLDGS LLC
DISNEY WALT CO NEW MTN BOOK
DOMINION RES INC VA NEW
DPL INC
DR HORTON INC
DUKE RLTY LTD PARTNERSHIP
ECHOSTAR DBS
ECHOSTAR DBS CORP
ECUADOR REP
EMBARQ CORP

Source: State Street

Interest Rate
8
8.75
8.25
6.625
6.722
6.64
6.8
5.6
6.625
7.125
7.875
7.75
5.25
6.375
8.875
5.25
8.3
5.700263
6.125
6.060166
5.61183
5.35
8.25
7.375
7.375
5.45
8.75
6.1
6.375
7
6.548
6.95
6.5
6
6.25
6.302
6.125
5.625
5.8225
5.75
5.625
6.5
7.5
5.25
6.375
6
6.3
6.875
8
6.5
6.375
7
10
7.082

3

Maturity Date
Shares/Par Value
1/15/2018
6,000,000.00
2/4/2025
11,500,000.00
1/20/2034
2,000,000.00
6/28/2017
500,000.00
12/31/2049
1,000,000.00
12/31/2049
1,000,000.00
7/15/2018
1,790,000.00
9/15/2012
1,000,000.00
9/15/2037
500,000.00
3/1/2014
2,000,000.00
5/17/2016
4,000,000.00
9/13/2011
700,000.00
6/15/2015
500,000.00
6/15/2015
2,900,000.00
7/15/2015
1,250,000.00
2/22/2011
1,000,000.00
12/21/2077
1,000,000.00
12/10/2049
1,000,000.00
11/21/2017
1,000,000.00
8/25/2036
9,699,256.22
4/25/2037
4,159,454.29
11/15/2017
2,000,000.00
12/22/2014
1,000,000.00
1/27/2017
6,500,000.00
9/18/2037
1,700,000.00
11/15/2010
2,000,000.00
9/15/2013
2,000,000.00
7/1/2017
500,000.00
11/30/2012
1,450,000.00
2/1/2017
2,350,000.00
3/20/2014
2,000,000.00
1/15/2028
225,000.00
12/25/2035
1,662,190.64
9/30/2016
2,000,000.00
6/1/2027
1,000,000.00
6/1/2037
500,000.00
1/15/2014
800,000.00
9/15/2014
900,000.00
3/8/2011
1,000,000.00
9/8/2011
1,250,000.00
1/15/2018
1,000,000.00
6/15/2017
1,000,000.00
4/1/2013
2,800,000.00
4/15/2011
1,000,000.00
6/15/2015
300,000.00
7/17/2017
500,000.00
9/30/2066
1,500,000.00
9/1/2011
1,500,000.00
2/1/2009
400,000.00
1/15/2018
400,000.00
10/1/2011
750,000.00
10/1/2013
1,000,000.00
8/15/2030
1,500,000.00
6/1/2016
1,200,000.00

Base Market Value
6,714,000
14,576,250
2,530,000
537,581
920,360
947,640
1,935,355
1,016,390
497,679
1,995,000
4,060,000
753,814
423,406
2,805,750
1,273,438
1,021,833
1,056,113
1,026,600
1,027,194
9,805,395
4,149,056
2,040,975
1,140,000
7,133,750
1,891,250
2,032,963
2,275,000
524,502
1,552,019
2,203,125
2,055,000
232,153
1,662,191
1,968,734
993,021
480,590
700,195
755,927
998,906
1,268,711
997,766
1,023,027
2,828,000
991,153
288,000
528,516
1,453,990
1,598,450
388,000
403,430
741,000
1,010,000
1,451,250
1,236,457

Security Name
EMPRESA NACIONAL DE
ENERSIS SA
ENTERPRISE PRODS OPER L P
EQUITY RESIDENTIAL
FED HM LN PC POOL 1B3462
FED HM LN PC POOL 1G1708
FED HM LN PC POOL 1G1968
FED HM LN PC POOL 783164
FEDERAL HOME LN BKS
FEDERAL HOME LN MTG (Preferred Stock)
FEDERAL HOME LN MTG CORP
FEDERAL HOME LN MTG CORP
FEDERAL HOME LN MTG CORP
FEDERAL HOME LOAN BANK
FEDERAL NATL MTG ASSN
FEDERAL NATL MTG ASSN
FEDERAL NATL MTG ASSN
FEDERAL NATL MTG ASSN
FEDERAL NATL MTG ASSN (Preferred Stock)
FISERV INC
FNMA TBA JAN 30 SINGLE FAM
FNMA POOL 702021
FNMA POOL 702024
FNMA POOL 730016
FNMA POOL 905757
FNMA POOL 909914
FORD MTR CO DEL
FORD MTR CR CO
FORD MTR CR CO
FORD MTR CR CO
FORD MTR CR CO
FPL GROUP CAP INC
FPL GROUP CAP INC
FREEPORT MCMORAN COPPER + GOLD
FREEPORT MCMORAN COPPER + GOLD
FRESENIUS MED CARE CAP TR IV
GAZ CAP SA LUXEMBOURG
GAZ CAP SA LUXEMBOURG
GAZ CAPITAL
GAZPROM INTL S A
GENERAL ELEC CAP CORP MTN
GENERAL ELEC CO
GENERAL MTRS ACCEP CORP
GENERAL MTRS ACCEP CORP
GENERAL MTRS CORP
GENERAL MTRS CORP
GENETECH INC
GMAC LLC
GOLDMAN SACHS CAP I
GOLDMAN SACHS CAPITAL II
GOLDMAN SACHS GROUP INC
GRUPO TELEVISA SA
GS MTG SECS CORP II
GS MTG SECS TR 2007 GG10

Source: State Street

Interest Rate
8.5
7.375
8.375
5.125
6.127
6.163
5.952
5.786
5.25
5.25
5.85
5
5
4.75
5.125
5.25
6
6.125
5
5.75
5.25
4
6.139
5.867
7.45
7.375
5.7
7.8
8
6.35
7.3
8.25
8.375
7.875
6.212
6.51
8.625
7.201
5.875
5.25
5.85
6.875
6.375
8.375
4.75
6.625
6.345
5.793
6.75
6.625
5.50188
5.799235

4

Maturity Date
Shares/Par Value
4/1/2009
2,670,000.00
1/15/2014
700,000.00
8/1/2066
3,500,000.00
3/15/2016
1,500,000.00
7/1/2037
555,295.64
4/1/2037
15,864,435.87
6/1/2037
1,915,391.42
1/1/2037
6,442,380.35
6/12/2009
7,350,000.00
40,000.00
5/21/2009
12,000,000.00
7/30/2012
13,000,000.00
12/14/2018
2,700,000.00
3/12/2010
10,500,000.00
3/12/2010
14,700,000.00
4/15/2011
9,900,000.00
8/1/2012
1,200,000.00
8/22/2016
10,400,000.00
30,000.00
11/20/2012
1,000,000.00
12/1/2099
52,400,000.00
5/1/2033
827,490.34
5/1/2033
2,834,551.80
7/1/2018
1,378,783.08
12/1/2036
12,200,059.20
3/1/2037
23,860,242.71
7/16/2031
700,000.00
10/28/2009
500,000.00
1/15/2010
1,450,000.00
6/1/2012
500,000.00
12/15/2016
1,200,000.00
10/1/2066
1,500,000.00
9/1/2067
500,000.00
4/1/2015
500,000.00
4/1/2017
500,000.00
6/15/2011
1,000,000.00
11/22/2016
3,500,000.00
3/7/2022
2,500,000.00
4/28/2034
1,400,000.00
2/1/2020
906,403.98
2/15/2012
1,750,000.00
12/6/2017
2,000,000.00
1/14/2009
2,000,000.00
9/15/2011
500,000.00
5/1/2008
500,000.00
7/15/2033
700,000.00
7/15/2015
1,300,000.00
5/15/2012
2,400,000.00
2/15/2034
1,050,000.00
12/29/2049
1,000,000.00
10/1/2037
500,000.00
3/18/2025
4,070,000.00
3/6/2020
4,000,000.00
8/10/2045
2,000,000.00

Base Market Value
2,770,474
749,398
3,583,444
1,389,820
565,180
16,161,894
1,935,047
6,487,477
7,500,648
1,046,000
12,254,794
13,158,803
2,714,126
10,778,609
15,058,570
10,321,483
1,253,234
10,496,656
772,500
1,009,564
51,118,658
834,957
2,803,161
1,335,370
12,413,560
24,134,636
519,750
470,623
1,306,418
438,331
1,019,293
1,396,650
510,898
530,000
536,250
1,035,000
3,357,900
2,376,750
1,730,400
918,867
1,825,805
1,999,486
1,912,672
427,747
497,500
563,500
1,261,281
1,995,161
937,845
890,325
486,678
4,137,774
3,960,000
2,066,800

Security Name
GSAMP
GSC HLDGS CORP / GAMESTOP INC
GTL TRADE FIN INC
HARBORVIEW MTG LN TR
HARRAHS OPER INC
HARRAHS OPER INC
HARRAHS OPER INC
HASBRO INC
HCA INC FORMERLY HCA HEALTHCAR
HERTZ CORP
HOSPIRA INC
HOST MARRIOTT L P
HSBC FIN CAP TR IX
HUSKY ENERGY INC
IDEARC INC
INDYMAC INDX MTG LN TR
INTERNATIONAL BUSINESS MACHS
INTERNATIONAL FIN FAC
ITC HLDGS CORP
JC PENNEY CORPORATION INC
JP MORGAN CHASE CAP XXV
JP MORGAN CHASE COML MTG SECS
JPM CHASE CAPITAL XXII
JPMORGAN CHASE CAP XX
L 3 COMMUNICATIONS CORP
L 3 COMMUNICATIONS CORP
LEHMAN BROTHERS HLDGS INC
LEHMAN MTG TR
LOBLAWS COS LTD CPN RCPTS CDS
LORAL CORP
LUBRIZOL CORP
MASTR ADJ RATE MTGS TR
MASTR ADJ RATE MTGS TR
MASTR ADJ RATE MTGS TR
MASTR ADJ RATE MTGS TR
MASTR ALTERNATIVE LN TR
MCKESSON CORP
MCKESSON CORP NEW
MERRILL LYNCH + CO INC
METROPOLITAN LIFE GLOBAL FDG I
MGM MIRAGE
MGM MIRAGE
MORGAN STANLEY IXIS REAL ESTAT
NATIONAL GAS CO TRINIDAD + TOB
NEIMAN MARCUS GROUP INC
NEVADA PWR CO
NEWS AMER INC
NEWS AMER INC
NEXTEL COMMUNICATIONS INC
NORFOLK SOUTHN CORP
ODEBRECHT FIN LTD
OHIO PWR CO
OPTI CDA INC
OWENS BROCKWAY GLASS CONTAINER

Source: State Street

Interest Rate
4.975
8
7.25
4.78848
5.5
5.375
5.625
6.3
9.125
8.875
6.05
6.375
5.911
6.8
8
4.945
5.7
5
5.875
6.375
6.8
5.3375
6.45
6.55
6.125
5.875
6
6
0
7
4.625
7.389028
7.161
7.125
5.064933
6
5.7
5.25
6.4
4.5
6
6.75
4.895
6.05
10.375
6.5
6.4
6.65
5.95
6.75
7.5
6.6
7.875
6.75

5

Maturity Date
Shares/Par Value
6/25/2036
5,000,000.00
10/1/2012
1,335,000.00
10/20/2017
1,700,000.00
4/19/2034
3,549,394.07
7/1/2010
2,350,000.00
12/15/2013
1,000,000.00
6/1/2015
625,000.00
9/15/2017
500,000.00
11/15/2014
1,050,000.00
1/1/2014
1,900,000.00
3/30/2017
500,000.00
3/15/2015
1,250,000.00
11/30/2035
2,800,000.00
9/15/2037
500,000.00
11/15/2016
2,200,000.00
11/25/2036
5,878,129.36
9/14/2017
1,000,000.00
11/14/2011
1,250,000.00
9/30/2016
700,000.00
10/15/2036
500,000.00
10/1/2037
1,000,000.00
4/16/2019
1,452,996.28
2/2/2037
750,000.00
9/29/2036
1,500,000.00
1/15/2014
1,480,000.00
1/15/2015
2,820,000.00
7/19/2012
2,500,000.00
7/25/2037
1,000,000.00
11/23/2033
15,000,000.00
9/15/2023
1,150,000.00
10/1/2009
2,000,000.00
9/25/2033
360,953.35
1/25/2034
189,533.09
2/25/2034
260,926.62
7/25/2035
3,001,182.49
3/25/2036
2,000,000.00
3/1/2017
500,000.00
3/1/2013
1,500,000.00
8/28/2017
500,000.00
5/5/2010
2,000,000.00
10/1/2009
2,300,000.00
9/1/2012
1,050,000.00
7/25/2036
15,475,867.29
1/15/2036
1,500,000.00
10/15/2015
1,700,000.00
5/15/2018
1,000,000.00
12/15/2035
1,000,000.00
11/15/2037
1,000,000.00
3/15/2014
1,200,000.00
2/15/2011
2,000,000.00
10/18/2017
1,000,000.00
2/15/2033
1,900,000.00
12/15/2014
1,250,000.00
12/1/2014
2,000,000.00

Base Market Value
4,900,000
1,390,069
1,725,422
3,447,349
2,185,500
760,000
456,250
511,593
1,092,000
1,926,125
502,303
1,218,750
2,579,706
522,111
2,018,500
5,835,416
1,033,762
1,290,195
701,870
443,949
943,803
1,431,434
664,295
1,346,822
1,450,400
2,721,300
2,545,585
975,000
2,370,941
1,277,898
2,009,842
360,953
189,533
260,927
2,986,177
1,970,000
497,040
1,520,529
507,979
2,015,222
2,288,500
1,022,438
15,321,109
1,425,978
1,770,125
1,023,819
1,011,414
1,031,476
1,152,000
2,103,113
1,005,000
1,908,583
1,221,875
1,990,000

Security Name
PANAMA REP
PANAMA REP
PANAMA REP
PANAMERICAN BEVERAGES INC
PEMEX PROJ FDG MASTER TR
PENNEY J C INC
PERU REP
PERU REP
PETROBRAS INTL FIN CO
PETROBRAS INTL FIN CO
PETROBRAS INTL FIN CO
PETROBRAS INTL FIN CO
PETROPLUS FIN LTD
PHILIPPINE LONG DIST TEL CO ME
PHILIPPINES REP
PHILIPPINES REP
PHILIPPINES REP
PHILIPPINES REP
PHILLIPINES (REP)
PLAINS EXPL PRODTN CO
PREMCOR REFNG GROUP INC
PROLOGIS
PRUDENTIAL FINL INC
PRUDENTIAL FINL INC MED TERM
PSYCHIATRIC SOLUTIONS INC
R H DONNELLEY CORP
R H DONNELLEY CORP
RAS LAFFAN LIQUEFIED NAT GAS
RAS LAFFAN LNG
RBS CAP TR III
REPUBLIC OF THE PHILIPPINES
RESIDENTIAL ACCREDIT LNS INC
RESIDENTIAL ASSET SECURITIZATI
RESIDENTIAL ASSET SECURIZATION
RESIDENTIAL CAP CORP
ROGERS CABLE INC
ROYAL CARIBBEAN CRUISES LTD
RUSSIAN FEDN
RUSSIAN FEDN
SABMILLER PLC
SCHERING PLOUGH CORP
SEQUOIA MTG TR
SIEMENS FINANCIERINGSMAATSCHAP
SIMON PPTY GROUP L P
SOCIEDAD QUIMICA Y MINERA DE
SOUNDVIEW HOME LN TR
SOUTHERN PWR CO
SPRINT CAP CORP
STRUCTURED ADJ RATE MTG LN TR
STRUCTURED ASSET SECS CORP
STRUCTURED ASSET SECS CORP 1
SUNGARD DATA SYSTEMS
SUNGARD DATA SYSTEMS
SUNGUARD DATA SYS INC

Source: State Street

Interest Rate
7.25
7.125
6.7
7.25
9.375
7.125
8.375
7.35
7.75
5.875
5.875
8.375
6.75
8.35
8.375
8.25
8
7.75
7.5
7.75
6.75
5.625
6.625
6
7.75
6.875
8.875
6.332
5.832
5.512
6.375
6
6.25
6
7.875
6.75
7.5
8.25
7.5
6.2
6.55
5.80939
6.125
4.875
6.125
4.985
4.875
6.9
7.376559
5.005
7.388143
10.25
10.25
9.125

6

Maturity Date
Shares/Par Value
3/15/2015
3,500,000.00
1/29/2026
2,000,000.00
1/26/2036
1,000,000.00
7/1/2009
3,300,000.00
12/2/2008
1,278,000.00
11/15/2023
1,405,000.00
5/3/2016
3,422,000.00
7/21/2025
2,000,000.00
9/15/2014
1,600,000.00
3/1/2018
1,000,000.00
3/1/2018
500,000.00
12/10/2018
1,000,000.00
5/1/2014
2,000,000.00
3/6/2017
2,340,000.00
2/15/2011
4,250,000.00
1/15/2014
2,000,000.00
1/15/2016
2,700,000.00
1/14/2031
1,000,000.00
9/25/2024
1,150,000.00
6/15/2015
1,250,000.00
5/1/2014
2,000,000.00
11/15/2016
1,000,000.00
12/1/2037
500,000.00
12/1/2017
500,000.00
7/15/2015
800,000.00
1/15/2013
1,900,000.00
10/15/2017
250,000.00
9/30/2027
1,000,000.00
9/30/2016
800,000.00
9/29/2049
2,000,000.00
1/15/2032
1,750,000.00
12/25/2032
7,950,345.33
12/25/2036
6,426,202.35
6/25/2036
5,685,169.39
6/30/2010
1,000,000.00
3/15/2015
2,000,000.00
10/15/2027
522,000.00
3/31/2010
833,360.97
3/31/2030
7,672,500.00
7/1/2011
3,000,000.00
9/15/2037
1,000,000.00
1/20/2038
457,860.56
8/17/2026
1,000,000.00
8/15/2010
2,000,000.00
4/15/2016
900,000.00
1/25/2037
1,423,524.77
7/15/2015
1,500,000.00
5/1/2019
450,000.00
11/25/2034
721,931.97
3/25/2036
954,496.68
9/25/2033
272,981.72
8/15/2015
1,250,000.00
8/15/2015
500,000.00
8/15/2013
400,000.00

Base Market Value
3,858,750
2,200,000
1,055,000
3,364,188
1,324,391
1,406,522
4,012,295
2,280,000
1,785,600
994,500
497,250
1,190,000
1,862,500
2,597,400
4,568,750
2,240,000
3,064,500
1,153,750
1,293,750
1,250,000
2,147,636
949,180
504,201
497,938
798,000
1,700,500
236,250
949,364
814,001
1,843,609
1,741,250
7,950,345
6,542,761
5,571,466
640,000
2,103,798
475,931
864,612
8,727,469
3,138,480
1,052,436
458,595
990,393
1,980,466
887,918
1,395,054
1,413,326
448,795
727,252
849,502
272,982
1,278,125
511,250
407,000

Security Name
TARGET CORP
TECO FIN INC
TECO FIN INC
TELEFONICA EMISIONES S A U
TELEFONICA EMISIONES S AU
TELOFONOS DE MEXICO SA
TEMASEK FINL LTD
TENGIZCHEVROIL FIN CO S AR L
TESCO PLC
TEVA PHARMACEUTICAL FIN CO LLC
THOMSON CORP
TIME WARNER ENTMT CO L P
TIME WARNER ENTMT CO L P
TRANSCAPITALINVEST LTD
TRANSOCEAN INC
TRANSOCEAN SEDCO FOREX INC
TRINIDAD + TOBAGO REP
TURKEY REP
TURKEY REP
TURKEY REP
TURKEY REP
TURKEY REP
TURKEY REP
TURKEY REP
UNITED MEXICAN STS
UNITED MEXICAN STS MTN
UNITED STATES TREAS BD STRIP
UNITED STATES TREAS BDS
UNITED STATES TREAS BDS
UNITED STATES TREAS BDS
UNITED STATES TREAS BDS
UNITED STATES TREAS BDS
UNITED STATES TREAS BDS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TREAS NTS
UNITED STATES TRES NT STRP PRN
UNITED STATES TRES NT STRP PRN
UNITED STATES TRES SC STRP INT
UNITED STATES TRES SC STRP INT
US CONCRETE INC
US TREASURY NTS

Source: State Street

Interest Rate
5.375
7
6.572
7.045
6.221
5.5
4.5
6.124
6.15
6.15
5.7
8.375
8.375
5.67
6
7.5
5.875
10.5
7.25
7
6.75
7
7.375
6.875
6.75
5.625
0
2.375
2
2.375
3.625
3.875
3.375
3.875
4.25
0.875
4.5
2.375
3.375
2
3.625
1.875
2
2
1.625
1.875
2
2.5
0
0
0
0.01
8.375
3.5

7

Maturity Date
Shares/Par Value
5/1/2017
750,000.00
5/1/2012
1,181,000.00
11/1/2017
819,000.00
6/20/2036
500,000.00
7/3/2017
500,000.00
1/27/2015
800,000.00
9/21/2015
1,000,000.00
11/15/2014
2,525,000.00
11/15/2037
1,200,000.00
2/1/2036
750,000.00
10/1/2014
500,000.00
3/15/2023
300,000.00
7/15/2033
1,000,000.00
3/5/2014
4,250,000.00
3/15/2018
950,000.00
4/15/2031
1,400,000.00
5/17/2027
500,000.00
1/13/2008
4,000,000.00
3/15/2015
5,500,000.00
9/26/2016
750,000.00
4/3/2018
500,000.00
6/5/2020
1,500,000.00
2/5/2025
3,250,000.00
3/17/2036
2,000,000.00
9/27/2034
1,000,000.00
1/15/2017
5,200,000.00
11/15/2027
9,350,000.00
1/15/2025
25,684,026.28
1/15/2026
16,690,342.73
1/15/2027
13,526,921.43
4/15/2028
17,166,825.91
4/15/2029
19,736,455.79
4/15/2032
5,209,490.52
1/15/2009
16,095,852.85
1/15/2010
11,661,462.07
4/15/2010
27,508,492.63
2/28/2011
3,000,000.00
4/15/2011
16,985,322.10
1/15/2012
6,492,478.79
4/15/2012
13,448,243.34
12/31/2012
125,000,000.00
7/15/2013
20,918,992.79
1/15/2014
21,450,319.99
7/15/2014
19,646,789.35
1/15/2015
19,393,631.51
7/15/2015
16,822,397.58
1/15/2016
16,469,292.52
7/15/2016
16,346,292.51
11/15/2013
8,820,000.00
2/15/2014
8,340,000.00
2/15/2014
10,500,000.00
11/15/2019
8,770,000.00
4/1/2014
1,467,000.00
1/15/2011
11,711,004.84

Base Market Value
728,112
1,181,000
819,000
561,074
519,496
785,581
972,992
2,379,813
1,172,327
741,818
500,765
355,636
1,204,588
4,072,193
957,063
1,528,782
493,050
4,005,000
5,885,000
793,125
513,125
1,556,250
3,412,500
1,965,000
1,104,500
5,270,200
3,750,472
27,004,442
16,645,446
14,324,739
21,796,204
26,149,817
6,684,610
16,579,211
12,447,211
27,424,867
3,124,590
17,709,067
7,085,502
13,943,677
125,966,254
21,571,875
22,170,193
20,299,063
19,474,891
17,151,444
16,911,493
17,444,273
7,156,636
6,686,762
8,365,665
5,155,883
1,283,625
12,596,825

Security Name
US TREASURY NTS
US TREASURY NTS
US TREASURY SECURITY
VALE OVERSEAS LTD
VALE OVERSEAS LTD
VALERO ENERGY CORP
VESSEL MGMT SVCS INC
VIRGINIA ELEC + PWR CO
VIRGINIA ELEC + PWR CO
VODAFONE GROUP
VOTO VOTORANTIM OVERSEAS TRAD
WACHOVIA BK NATL ASSN MEDIUM
WAMU MTG PASS THRU CTFS
WELLS FARGO + CO NEW
WELLS FARGO BK NATL ASSN
WELLS FARGO CAP X
WELLS FARGO MTG BACKED SECS
WELLS FARGO MTG BKD SECS 2006
WESTERN RES INC
WINDSTREAM CORP
WYETH

Interest Rate
3
2.375
2.625
6.25
6.875
6.625
6.08
5.95
6.35
6.15
7.75
6.6
6.15
5.625
5.75
5.95
5.5
5.75
7.125
8.625
5.95

Maturity Date
Shares/Par Value
7/15/2012
22,366,760.52
1/15/2017
14,494,536.09
7/15/2017
13,166,887.86
1/11/2016
500,000.00
11/21/2036
2,240,000.00
6/15/2037
500,000.00
5/20/2024
2,024,750.00
9/15/2017
500,000.00
11/30/2037
1,000,000.00
2/27/2037
500,000.00
6/24/2020
4,180,000.00
1/15/2038
1,000,000.00
9/25/2036
11,748,710.77
12/11/2017
1,000,000.00
5/16/2016
1,000,000.00
12/15/2036
1,000,000.00
4/25/2037
8,243,284.80
3/25/2036
2,591,075.98
8/1/2009
1,250,000.00
8/1/2016
2,000,000.00
4/1/2037
500,000.00

Base Market Value
24,236,622
15,310,868
14,219,186
500,802
2,266,009
500,800
2,248,849
509,807
1,018,565
495,781
4,441,250
1,005,020
11,763,397
1,006,936
1,014,327
927,123
8,297,381
2,565,165
1,283,948
2,100,000
499,102

FIXED INCOME - EXTERNALLY MANAGED FUNDS
EATON VANCE HIGH YIELD FD
GOLDMAN SACHS HIGH YIELD
NCRAM HIGH YIELD TOTAL RETURN
STONE HARBOR HIGH YIELD FD
WGBI EX US INDEX FUND

17,506,136
33,463,725
42,326,733
19,255,297
182,482,220

TOTAL FIXED INCOME

1,608,980,429

ALTERNATIVE ASSETS
PRIVATE EQUITY
ACCEL VIII LP
AIG ASIAN INFRASTRUCTURE FNDII
AIG ASIAN INFRASTRUCTURE FUND
AIG GE CAPITAL LATIN AMERICA
AIG INDIAN SECTORAL EQUITY
AISLING CAPITAL 11
ALTA SUB DEB III
APOLLO INVESTMENT FUND VI LP
ARCH VENTURE FUND VI, LP
ARCH VENTURE FUND VII LP
ARES CORP OPPORTUNITY FUND II
ARSENAL CAP PTNERS
ARSENAL CAPITAL PARTNERS II LP
BAIN CAPITAL FUND IX LP
BAIN CAPITAL FUND VIII
BAIN CAPITAL IX COINVESTMENT F

Source: State Street

365,692
2,410,254
8,598
5,367,310
108,960
3,366,474
10,894
10,308,636
3,026,238
48,641
1,006,996
2,474,288
117,144
1,735,856
3,881,785
573,401

8

Security Name
BAIN CAPITAL VIII COINVETMENT
BLACKSTONE CAP PARTN IV LP
BLACKSTONE CAPITAL PARTNERS V
BLUERUN VENTURES LP
CADUCEUS PRIVATE INV III LP
CALERA CAPITAL
CANAAN EQUITY PARTNERS VII
CANAAN VII LP
CENTURY PARK CAPITAL PTNS II
CERBERUS SERIES FOUR HOLDINGS
CHARLESBANK EQUITY FUND VI
CLAREMONT CREEK VENTURES LP
CLEARSTONE VENTURE PARTNERS
DARWIN VENTURE CAPITAL FUNDS
DCM IV
DCM V
DE NOVO VENTURES II LP
DE NOVO VENTURES III
DOMAIN PARTNERS VI LP
DOMAIN PARTNERS VII
EOS CAPITAL PARTNERS III
EOS CAPITAL PARTNERSHIP IV
EQUITY DISTRIBUTION SECURITIES
FIRST RESERVE FUND XI LP
FORTRESS INVESTMENT FUND III
FORTRESS INVESTMENT FUND IV
FORTRESS INVESTMENT FUND V
FOX PAINE CAPITAL FUND III LP
GENSTAR CAPITAL PARTNERS IV
GENSTAR CAPITAL PARTNERS V
GLENCOE CAP INSTL PARTNERS III
GLENCOE CAPITAL PARTNERS III
GLOBESPAN CAPITAL PARTNERS IV
GLOBESPAN CAPITAL PARTNERS V
GOLDER THOMA CRESSEY RAUNER
GOLDER THOMA CRESSEY RAUNER V
GRAHAM PARTNERS II
GRANITE CLOBAL VENTURES III
GRANITE GLOBAL VENTURES II LP
GRANITE VENTURES II
HUMMER WINBLAD VENTURE PTR III
INSIGHT VENTURE PARTNERS V
INSIGHT VENTURE PARTNERS V
INSIGHT VENTURE PARTNERS VI LP
INSTITUTIONAL VENTURE PARTNS
INSTITUTIONAL VENTURE PTR VIII
INTERSOUTH PARTNERS V LP
INTERSOUTH PARTNERS VI
INTERSOUTH PARTNERS VII
INTERWEST PARTNERS IX
INTERWEST PARTNERS V LP
INTERWEST PARTNERS VI LP
INTERWEST PARTNERS VII LP
INTERWEST PARTNERS VIII

Source: State Street

Interest Rate

Maturity Date

9

Shares/Par Value

Base Market Value
1,169,881
10,858,519
30,819,202
4,428,216
49,138
3,505,859
8,368,086
15,535
2,262,568
848,113
3,437,229
2,152,573
2,611,591
909,361
1,867,058
48,141
4,809,953
66,915
2,904,058
172,484
4,278,428
60,800
3,077,739
268,990
3,165,492
875,248
693,106
287,518
4,233,246
1,234,148
242,897
978,560
2,918,080
99,000
4,923
663,890
3,750,566
446,123
5,075,417
2,305,368
30,979
4,543,058
12,814,569
267,005
317,844
464,013
857,301
2,428,003
35,145
3,150,890
119,534
161,135
1,284,227
2,650,968

Security Name
INVERNESS PARTNERS II LP
ITU VENTURES III
IVP VI
IVP VII
J C FLOWERS II LP
JLL PARTNERS FUND V, LP
KELSO INVESTMENT ASSOC VII
KELSO INVESTMENT ASSOCIATES
KODIAK VENTURES III
KPCB AGG INVESTMENT GEP
KRG CAPITAL III LP
LAKE CAPITAL PARTNERS LP
LATIN AMERICAN CAPITAL II LP
LIGHTHOUSE CAPITAL PARTNERS V
LIGHTSPEED VENTURE PTNERS VII
LINDSAY GOLDBERG + BESSEMER II
LINDSAY GOLDBERG + BESSEMER LP
MADISON DEARBORN V
MAYFIELD VIII
NOVAK BIDDLE VENTURE PARTNERS
NOVAK BIDDLE VENTURE PTNR V
OXFORD BIOSCIENCE IV
OXFORD BIOSCIENCE PARTNERS III
PALOMAR VENTURES III
PERSEUS 2000 EXPANSION
PERSEUS PARTNERS VII LP
PERSEUS SOROS BIO PHARM LP
POLARIS VENTURE PARTNERS III
POLARIS VENTURE PARTNERS IV
POLARIS VENTURE PRTNRS V LP
QUAD C PARTNERS VII LP
REDPOINT VENTURE I LP
REDPOINT VENTURES II LP
SEQUOIA AGGREGATE INVESTMENT
SHAMROCK CAPITAL GROWTH FD II
SKM EQUITY FUND II
SUN CAPITAL IV LP
SUN CAPITAL PARTNERS V
TECHNOLOGY PARTNERS WEST FD IV
TERRA FIRMA CAP PARTNER III
THE COLUMN GROUP LP
TRINITY VENTURES IX P
UPDATA PARTNERS III
UPDATA PARTNERS IV
VECTOR CAPITAL IV L.P
VENTURE STRATEGY PARTN II L P
VERSANT VENTURE CAPITAL II LP
VERSANT VENTURES I LP
VESTAR CAPITAL PARTNERS V LP
W CAPITAL PARTNERS II LP
WARBURG IX BUYOUT
WARBURG IX VENTURE
WARBURG PINCUS PRVT EQUITY X
WARBURG PINCUS VIII

Source: State Street

Interest Rate

Maturity Date

10

Shares/Par Value

Base Market Value
3,085,620
915,201
85,935
984,914
299,671
21,303,930
11,809,063
83,564
2,725,275
3,854,687
8,970,405
4,292,322
1,825,801
4,458,002
5,029,228
142,023
3,698,588
4,083,828
249,010
1,635,312
48,967
1,829,620
961,000
1,912,481
4,028,229
556,808
987,721
1,047,120
5,648,108
355,123
2,914,471
1,159,722
1,980,061
4,257,544
79,761
3,115,066
4,310,550
212,399
31,270
912,641
24,558
3,544,431
4,143,793
68,077
49,597
548,016
2,283,120
2,792,760
11,022,058
349,598
27,587,080
41,380,620
621,390
600,730

Security Name
WATER STREET CAPITAL PARTNERS
WCAS CAPITAL PARTNERS II
WCAS III
WCAS VI
WELLSPRING CAPITAL PARTNERS IV
WELSH CARSON ANDERSON + STOWE
WICKS COMM + MEDIA PRTNS III
WIND POINT PARTNERS VI
WLR RECOVERY FUND IV

Interest Rate

Maturity Date

Shares/Par Value

Base Market Value
8,890,682
474,207
7,560,900
441,878
3,345,049
1,616,550
2,429,470
7,660,448
662,483

REAL ESTATE
AMB INSTITUTIONAL ALLIANCE
BEACON CAP STRTGIC PARTN V
BEACON CAPITAL STRATEGIC
BLACKSTONE REAL EST PARTNER VI
BLACKSTONE REAL ESTATE PRTN V
CALIFORNIA SMART GROWTH FD IV
CIM FUND III LP
CIM URBAN REIT LLC
COLONY CAPITAL VIII LP
CORNERSTONE APMNT VENT III LLC
FORUM ASIAN REALTY INCOME II
HEITMAN AMERICA REAL ESTATE TR
KSL CAPITAL PARTNERS II
LBA REALTY FUND III
LIONSTONE URBAN INV TWO
MORGAN STANLEY RE FUND V
PRISA II PRUDENTIAL REAL EST.
PRUDENTIAL SNR HSING PTNRS III
REALTY ASSOCIATES FUND VII
REALTY ASSOCIATES FUND VIII
REDWOOD GROVE INTERNATIONAL LP
REEF GLOBAL OPPORTUNITIES FD
ROCKPOINT REAL ESTATE FUND III
RREEF AMERICA REIT III
SQUARE MILE PARTNERS II LP
URBANAMERICA, LP. II
WALTON STREET REAL ESTATE V
WESTBROOK REAL ESTATE FUND VII

9,319,769
2,394,611
16,744,153
5,206,939
52,621,107
1,896,022
129,367
12,811,611
1,160,998
788,441
2,100,331
5,177,398
674,681
2,179,171
315,821
8,416,204
16,322,384
7,914,806
26,806,397
10,429,810
891,000
13,674,673
23,576
39,182,176
2,151,671
780,655
7,523,445
484,849

ABSOLUTE RETURN
ANCHORAGE CAPITAL PARTNERS
AVENUE SPECIAL SITUATIONS III
BERNSTEIN GLOBAL DIV HEDGE F
CANYON VALUE REALIZATION FD
CHILTON GLOBAL NATURAL RESOURC
CVI SPECIALIZED VENTURES FD A
DAVIDSON KEMPNER DIS OPP INTL
DAVIDSON KEMPNER INST PRTNR
FONTANA CAPITAL LLC
GEM REALITY SECURITIES LTD
GIOVONE INVESTMENT PARTNERS

Source: State Street

63,417,459
536,344
37,874,692
36,505,044
60,312,940
43,326,965
29,599,020
69,503,508
27,526,595
39,245,439
71,216,542

11

Security Name
H.I.G BRIGHTPOINT CAP PARTNERS
HIGHLINE CAPITAL INTL
HIGHLINE SELECT LTD
IVY RISING STARS OFFSHORE FD
MAVERICK FUND LTD
OCONNOR GLOBAL FUNDAMENTAL
OZ ASIA MASTER FUND LTD.
OZ OVERSEAS FUND LTD
SATELLITE CREDIT OPPORTUNITIES
SATELLITE OVERSEAS LTD PRTNSHP
SILVER POINT CAP OFFSHORE FD
SIRIOS FUND
STERLING STAMOS CONCENTRATED
TIGER ASIA OVERSEASFUND LTD
TIGER CONSUMER PARTNERS LP
TREE LINE ASIA FD LTD
VIKING GLOBAL EQUITIES III LTD
YORK EUROPEAN OPPORTUNITIES

Interest Rate

Maturity Date

Shares/Par Value

Base Market Value
27,471,807
55,305,981
19,724,631
34,084,201
52,518,610
75,575,420
27,570,164
42,867,760
35,503,298
95,009,467
64,940,497
29,205,914
57,530,799
72,808,199
38,656,797
37,692,620
62,792,702
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

Source: State Street

$

12

6,719,388,051