FAO Long Term

ANNEX C-4

FIXED INCOME - US DOLLAR

(As of 31 December 2000)

Unrealized

Shares

Security Description

Market Value

Cost

Gain/Loss

540000

FHLMC DEB DTD 07/10/2000 7 07-15-2005

566,659.80

550,368.00

16291.8

100000

U.S. TREAS 6.25 NT DUE 02-28-2002 REG

100,875.00

99,015.63

1859.37

159000

US T BOND 6.25% (WI) BDS 15/05/2030

177,383.58

171,820.00

5563.58

105000

US TREAS BDS 6.125 DUE 08-15-2029 REG

114,204.30

107,165.63

7038.67

1259000

US TREAS BDS BD 5.25 DUE 02-15-2029 REG

1,206,084.23

1,112,838.61

93245.62

375000

US TREAS NT 4.75 DUE 02-15-2004 REG

370,428.75

356,132.81

14295.94

70000

US TREAS NTS DTD 00854 6 DUE 08-15-2009 REG

73,861.20

70,275.54

3585.66

600000

US TREAS NTS DTD 00874 5.75 DUE 08-15-2010 REG

628,782.00

612,812.50

15969.5

1705000

USA TREASURY BDS 6% 15/2/2026 USD1000

1,796,643.75

1,710,168.47

86475.28

125000

USA TREASURY BDS 7.875% 15/2/21 USD1000

159,062.50

149,384.77

9677.73

155000

USA TREASURY NTS 5.5% 31/12/2000 USD1000

155,000.00

154,690.16

309.84

74000

USA TREASURY NTS 7.25% 15/5/04 USD1000

78,729.34

74,896.10

3833.24

130000

USA TREASURY STRIP STRIP INT PMT 15/2/11 USD

76,455.60

76,454.30

1.3

125000

AXA SA US$ SUB NT 8.6 DUE 12-15-2030 BEO

127,143.75

124,643.75

2500

260000

ING CAP FUNDING TR GTD TR PRD VAR RATE PREP

264,513.86

260,000.00

4513.86

275000

CITIGROUP INC SUB NT 7.25 DUE 10-01-2010BEO

284,429.75

273,740.50

10689.25

105000

DUKE ENERGY FIELD SVCS LLC NT 7.875 DUE 08-16-2010 BEO

111,777.75

104,878.20

6899.55

105000

ENERGY EAST CORP 8.08% NT 15/11/2010

107,468.55

104,942.25

2526.3

260000

FORD MTR CR CO 7.875 DUE 06-15-2010BEO

268,481.76

259,183.60

9298.16

130000

KEYSPAN CORP 8% NOTES 15.11.2030

139,950.20

129,797.20

10153

500000

NEWS AMER HLDGS INC GTD SR 10.125 DEB DUE 10-15-2012 REG

533,585.00

567,335.00

-33750

858022.71

DLJ MTG ACCEP CORP SER 1998-2 6.75 CTF DUE 06-19-2028 BEO

847,297.43

861,709.52

-14412.09

950000

FED NATL MORT ASSC 6.625% BDS 15/11/10 USD1000

996,901.50

946,661.30

50240.2

395000

FED NATL MORT ASSC 6.625% NTS 15/10/2007 USD10

412,218.05

392,795.90

19422.15

636741.19

FHLMC GOLD POOL C00921 7.5 02-01-2030

646,489.70

623,906.88

22582.82

239966.88

FNMA POOL #535039 8 DUE 12-01-2029 REG

245,889.26

243,678.88

2210.38

566312.66

FNMA POOL #535095 8 DUE 01-01-2030 REG

580,289.26

578,258.32

2030.94

434726.87

GNMA, POOL # 780250 SERIES 2025 7.5% DUE 09-15-2025

442,334.59

440,670.48

1664.11

750000

DISCOVER CARD MASTER TR I 1998-7 CR CTF CL A 5.6 DUE 05-16-2006 BEO

742,732.50

705,468.76

37263.74

325000

LB UBS 6.51% 2000-C5 A2 15.11.2010

326,768.33

326,459.90

308.43

Subtotal

12,582,441.29

12,190,152.96

Accrued Income

190,496.65

190,496.65

Total

12,772,937.94

12,380,649.61

392,288.33