| FC 97/8
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| FC 97/8
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FAO Long Term |
ANNEX C-12 |
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FIXED INCOME - US DOLLAR |
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(As of 30 June 2001) |
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Unrealized |
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Shares |
Securities Description |
Cost |
Market Value |
Gain/Loss |
500,000 |
CHILE(REP OF) 6.875% SR NTS 28/4/2009 USD |
494,090.00 |
491,400.00 |
- 2,690.00 |
650,000 |
FINLAND REP NT DTD 07/28/1994 7.875 DUE 07-28-2004 REG |
706,062.50 |
700,732.50 |
- 5,330.00 |
1,344,000 |
US TREAS BDS 5.25 DUE 02-15-2029 REG |
1,195,913.59 |
1,228,913.28 |
32,999.69 |
1,005,000 |
US TREAS BDS 6 DUE 02-15-2026 REG |
1,008,046.52 |
1,016,778.60 |
8,732.08 |
125,000 |
US TREAS NTS DTD 08/15/1999 6 DUE 08-15-2009 REG |
131,410.61 |
129,921.88 |
- 1,488.73 |
495,000 |
US TREAS NTS DTD 08/15/2000 5.75 DUE 08-15-2010 REG |
509,004.17 |
506,156.85 |
- 2,847.32 |
620,000 |
US TREAS SER A-2003 6.25 NT DUE 2-15-03 REG |
637,437.50 |
639,181.25 |
1,743.75 |
355,000 |
FHLMC DEB DTD 07/10/2000 7 07-15-2005 |
361,816.00 |
375,078.80 |
13,262.80 |
500,000 |
FNMA 6.625 DUE 11-15-2010 REG |
498,242.79 |
516,560.00 |
18,317.21 |
250,000 |
FNMA PREASSIGN 00052 6.25 02-01-2011 |
249,210.00 |
246,835.00 |
- 2,375.00 |
125,000 |
AXA 8.6% SUB NT 15.12.2030 |
124,643.75 |
139,485.74 |
14,841.99 |
200,000 |
FRANCE TELECOM 7.75% BDS 1/3/11 USD1000'3' |
199,612.00 |
203,470.00 |
3,858.00 |
195,000 |
BARCLAYS BANK 7.375% SUB NTS 29/6/2049 US |
194,050.35 |
193,908.00 |
- 142.35 |
225,000 |
STANDARD CHARTERED 8.0% 30/05/2031 |
223,155.00 |
231,592.50 |
8,437.50 |
210,000 |
6.664 DUE 09-15-2013 BEO |
210,000.00 |
210,000.00 |
- |
250,000 |
AIG SUNAMERICA GLOBAL FINANCING IV 5.85% BDS 02-01-2006 USD REGS |
249,867.50 |
251,096.62 |
1,229.12 |
250,000 |
ALLST FIN GLBAL FD 6.15% BONDS 01/02/2006 |
249,925.00 |
253,350.60 |
3,425.60 |
400,000 |
BOEING CAP CORP BOEING CAP CORP 5.65 DUE05-15-2006 BEO |
399,272.00 |
395,360.00 |
- 3,912.00 |
275,000 |
CITIGROUP INC SUB NT 7.25 DUE 10-01-2010BEO |
279,938.30 |
285,463.75 |
5,525.45 |
105,000 |
DUKE ENERGY FIELD SVCS LLC NT 7.875 DUE 08-16-2010 BEO |
104,878.20 |
110,028.45 |
5,150.25 |
400,000 |
GEN ELEC CAP CORP MEDIUM TERM NTS BOOK ENTRY TR 00483 5.35 DUE 03-30-2006 BEO |
399,652.00 |
394,628.00 |
- 5,024.00 |
130,000 |
KEYSPAN CORP NT 8 DUE 11-15-2030 BEO |
129,797.20 |
139,306.70 |
9,509.50 |
340,000 |
NATL RURAL UTILS COOP FIN CORP COLL TR BD DTD 05/23/2001 6 DUE 05-15-2006 BEO |
338,436.00 |
339,024.20 |
588.20 |
500,000 |
NEWS AMER HLDGS INC 10.125 DUE 10-15-2012/10-15-2002 REG |
567,335.00 |
542,975.00 |
- 24,360.00 |
195,000 |
PITNEY BOWES INC 5.87500 04/30/01 05/01/06 5.875 DUE 05-01-2006 BEO |
194,816.70 |
193,299.60 |
- 1,517.10 |
265,000 |
SBC COMMUNICATIONS INC SBC COMMUNICATIONS INC 6.25 3-15-11 BEO |
263,121.15 |
257,503.15 |
- 5,618.00 |
275,000 |
WORLDCOM INC GA NEW 7.50000 05/16/01 05/15/11 7.5 DUE 05-15-2011 BEO |
271,986.00 |
268,908.75 |
- 3,077.25 |
52 |
FHLMC GOLD POOL C00921 7.5 02-01-2030 |
50.47 |
52.59 |
2.12 |
400,000 |
FNMA 30 YR PASS-THROUGHS 7.5 30 YEARS SETTLES JUN |
408,750.00 |
407,875.00 |
- 875.00 |
186,026 |
FNMA POOL #535039 8 DUE 12-01-2029 REG |
188,903.84 |
192,129.76 |
3,225.92 |
431,708 |
FNMA POOL #535095 8 DUE 01-01-2030 REG |
440,814.28 |
445,872.27 |
5,057.99 |
400,000 |
FNMA POOL #535425 7.5 DUE 08-01-2030 REG |
408,750.28 |
408,124.28 |
- 626.00 |
1 |
GNMA, POOL # 780250 SERIES 2025 7.5% DUE 09-15-2025 |
1.09 |
1.11 |
0.02 |
750,000 |
DISCOVER CARD MASTER TR I 1998-7 CR CARDPASSTHRU CTF CL A 5.6 05-15-06 BEO |
705,468.76 |
757,260.00 |
51,791.24 |
325,000 |
CMO LB-UBS COML MTG TR 2000-C5 COML MTG PASSTHRU CTF CL A-2 6.51 DUE 12-15-2026 |
326,459.90 |
322,200.78 |
- 4,259.12 |
348,976 |
CMO LB-UBS COML MTG TR 2001-C2 CL A-1 6.27 DUE 06-15-2020 |
351,811.89 |
348,624.69 |
- 3,187.20 |
338,970 |
CMO PRUDENTIAL MTG CAP FDG L L C 01-C1 CL A-1 6.232 05-01-11 BEO |
339,817.56 |
339,817.56 |
- |
501,978 |
DLJ MTG ACCEP CORP SER 1998-2 6.75 CTF DUE 06-19-2028 BEO |
504,135.15 |
497,741.52 |
- 6,393.63 |
TOTALS |
13,866,683.05 |
13,980,658.78 |
113,975.73 |
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