UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549-1004

 


 

FORM 11-K

(Mark One)

 

 

/ X /

 

Annual Report Pursuant to Section 15(d) of the Securities Exchange Act of 1934

 

 

 

 

 

 

 

For the period ended December 31, 2006

 

Commission file number 001-09553

 

 

 

 

 

 

 

OR

 

 

 

 

 

/    /

 

Transition Report Pursuant to Section 15(d) of the Securities Exchange Act of 1934

 

 

WESTINGHOUSE SAVINGS PROGRAM

(Full title of the plan)

 

CBS Corporation

(Name of issuer of the securities held pursuant to the plan)

 

51 W. 52nd Street

New York, New York 10019

(Address of principal executive offices)

 

 




 

WESTINGHOUSE SAVINGS PROGRAM

FINANCIAL STATEMENTS AND EXHIBIT

DECEMBER 31, 2006

INDEX

 

Pages

 

 

 

 

 

Report of Independent Registered Public Accounting Firm

 

1

 

 

 

 

 

Financial Statements:

 

 

 

 

 

 

 

Statements of Net Assets Available for Benefits at December 31, 2006 and December 31, 2005

 

2

 

 

 

 

 

 

 

 

 

Statement of Changes in Net Assets Available for Benefits for the Year ended December 31, 2006

 

3

 

 

 

 

 

Notes to financial statements

 

4 - 12

 

 

 

 

 

 

 

 

 

Supplemental Schedule:

 

 

 

Schedule H, line 4i - Schedule of Assets (Held at End of Year)

 

S-1 - S-12

 

 

 

 

 

All other schedules required by the Department of Labor Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974 are omitted as not applicable or not required.

 

 

 

 

 

 

 

Signatures

 

S-13

 

 

 

 

 

Exhibit:

 

 

 

23.1 Consent of Independent Registered Public Accounting Firm

 

 

 

 

 

 

 

 

 




 

Report of Independent Registered Public Accounting Firm

To the Participants and Administrator of
Westinghouse Savings Program:

In our opinion, the accompanying statements of net assets available for benefits and the related statement of changes in net assets available for benefits present fairly, in all material respects, the net assets available for benefits of the Westinghouse Savings Program (the “Plan”) at December 31, 2006 and December 31, 2005, and the changes in net assets available for benefits for the year ended December 31, 2006, in conformity with accounting principles generally accepted in the United States of America.  These financial statements are the responsibility of the Plan’s management. Our responsibility is to express an opinion on these financial statements based on our audits.  We conducted our audits of these statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation.  We believe that our audits provide a reasonable basis for our opinion.

Our audits were conducted for the purpose of forming an opinion on the basic financial statements taken as a whole. The supplemental Schedule of Assets (Held at End of Year) is presented for the purpose of additional analysis and is not a required part of the basic financial statements but is supplementary information required by the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. The supplemental Schedule of Assets (Held at End of Year) is the responsibility of the Plan’s management.  This supplemental schedule has been subjected to the auditing procedures applied in the audits of the basic financial statements and, in our opinion, is fairly stated in all material respects in relation to the basic financial statements taken as a whole.

As discussed in Note 2, the Plan adopted Financial Accounting Standards Board Staff Position AAG INV-1 and SOP 94-4-1, Reporting of Fully Benefit-Responsive Investment Contracts Held by Certain Investment Companies Subject to the AICPA Investment Company Guide and Defined-Contribution Health and Welfare and Pension Plans, as of December 31, 2005.

/s/ PRICEWATERHOUSECOOPERS LLP

New York, New York
June 26, 2007

 




WESTINGHOUSE SAVINGS PROGRAM
STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS
(in thousands)

 

 

 

 

 

 

At December 31,

 

 

 

2006

 

2005

 

Assets

 

 

 

 

 

Investments, at fair value

 

$

1,549,619

 

$

1,633,191

 

Investments in master trust investment accounts

 

147,093

 

148,789

 

 

 

 

 

 

 

Receivables:

 

 

 

 

 

Interest and dividends

 

6,133

 

6,503

 

Due from broker for securities sold, net

 

924

 

1,442

 

Total assets

 

1,703,769

 

1,789,925

 

 

 

 

 

 

 

Liabilities

 

 

 

 

 

Investment manager fees payable

 

156

 

166

 

Other liabilities

 

503

 

1,900

 

Net assets available for benefits, at fair value

 

1,703,110

 

1,787,859

 

Adjustment from fair value to contract value for
fully benefit-responsive investment contracts

 

4,110

 

22,986

 

Net assets available for benefits

 

$

1,707,220

 

$

1,810,845

 

 

The accompanying notes are an integral part of these financial statements.

 

2




WESTINGHOUSE SAVINGS PROGRAM
STATEMENT OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS
(in thousands)

 

 

 

 

 

 

 

Year Ended

 

 

 

December 31, 2006

 

Additions to net assets attributed to:

 

 

 

 

 

 

 

Investment Income:

 

 

 

Interest

 

$

72,069

 

Dividends

 

14,433

 

Net appreciation in fair value of investments

 

11,220

 

Income from master trust investment accounts

 

17,567

 

 

 

 

 

Total additions

 

115,289

 

 

 

 

 

Deductions from net assets attributed to:

 

 

 

 

 

 

 

Benefits paid to participants

 

(217,594

)

Plan expenses

 

(1,320

)

 

 

 

 

Total deductions

 

(218,914

)

 

 

 

 

Net decrease

 

(103,625

)

 

 

 

 

Net assets available for benefits, beginning of year

 

1,810,845

 

 

 

 

 

Net assets available for benefits, end of year

 

$

1,707,220

 

 

The accompanying notes are an integral part of these financial statements.

 

3




 

WESTINGHOUSE SAVINGS PROGRAM

NOTES TO FINANCIAL STATEMENTS

(Tabular dollars in thousands)

NOTE 1 — PLAN DESCRIPTION

The following is a brief description of the Westinghouse Savings Program (the “Plan”) and is provided for general information only. Participants should refer to the Plan document for more complete information regarding the Plan.

The Plan was originally established by Westinghouse Electric Corporation.

All participants of the Plan are retirees or terminated employees who are fully vested.  No contributions can be made to the Plan and no new loans may be requested. All participant accounts are participant directed.

The Plan is subject to the provisions of the Internal Revenue Code of 1986, as amended, (the “Code”) and the Employee Retirement Income Security Act of 1974, as amended (“ERISA”), and is administered by a retirement committee appointed by CBS Corporation’s Board of Directors.

Mellon Bank, N.A. (the “Trustee”) is the trustee and custodian of the Plan. Certain Plan investments are shares of funds managed by the Trustee or companies affiliated with the Trustee and therefore qualify as a party-in-interest transaction.  The fair value of these investments was $47,573,963 at December 31, 2006 and $94,012,060 at December 31, 2005 and these investments appreciated by $81,132 for the year ended December 31, 2006. In addition, certain Plan investments are shares of CBS Corporation and Viacom Inc. common stock and therefore qualify as party-in-interest transactions. The fair value of these investments was $61,128,249 at December 31, 2006 and $72,481,843 at December 31, 2005 and these investments appreciated by $6,292,780 for the year ended December 31, 2006.

Participant Accounts

Each participant’s account is credited with the participant’s share of the investment income and any realized or unrealized gains or losses of the Plan assets, net of certain plan expenses.

During 2006, plan participants had the option of investing their account balances among fourteen investment options. These investment options include master trust investment accounts (“Master Trust Investment Accounts” or “MTIAs”), commingled trust funds (“common collective trusts”) and registered investment companies (mutual funds).  In addition, participants have the option of investing their account balance in CBS Corp. Class B Common Stock. On December 31, 2005, former Viacom Inc. (“Former Viacom”) was separated into two publicly traded entities, CBS Corporation (the “Company” or “CBS Corp.”) and new Viacom Inc. (“Viacom Inc.”) (the “Separation”).  The Separation was accomplished pursuant to a merger in which a subsidiary of Former Viacom was merged with and into Former Viacom, with Former Viacom continuing as the surviving entity. On December 31, 2005, Former Viacom was renamed “CBS Corporation.” As a result of the Separation, each outstanding share of Former Viacom class B common stock

 

4




 

WESTINGHOUSE SAVINGS PROGRAM

NOTES TO FINANCIAL STATEMENTS

(Tabular dollars in thousands)

 

was converted into .5 of a share of CBS Corp. Class B Common Stock and ..5 of a share of Viacom Inc. class B common stock (“Share Conversion”). Participant accounts were adjusted to reflect the Share Conversion on January 3, 2006, the first day of trading for CBS Corp. and Viacom Inc. common stock.  Effective January 1, 2006, no new investments in Viacom Inc. common stock fund were permitted.

Loans Outstanding

There are no loans outstanding as of December 31, 2006.  As the Plan is frozen, no new loans can be requested.

Distributions and Withdrawals

Participants in the Plan, or their beneficiaries, may receive their account balances either in a lump sum, in installments over a period of up to 20 years, or through unlimited withdrawals at any time in the event of retirement. Participants must receive a required minimum distribution upon attainment of age 70 1/2.

Plan Expenses

The fees for investment of Plan assets are charged to the Plan’s investment funds.  Certain administrative expenses, such as fees for accounting and employee communications, may be paid by the Plan or may be paid by the Company.  The Plan paid $300,000 to Mellon Bank, a party-in-interest, or its affiliates, for trustee services provided during the year.

NOTE 2 — SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES

Basis of Accounting

The financial statements are prepared on the accrual basis of accounting in conformity with accounting standards generally accepted in the United States of America.

In accordance with the Financial Accounting Standards Board (“FASB”) issued FASB Staff Position (“FSP”) AAG INV-1 and SOP 94-1-1 “Reporting of Fully Benefit-Responsive Investment Contracts Held by Certain Investment Companies Subject to the AICPA Investment Company Guide and Defined-Contribution Health and Welfare Pension Plans”, contract value was determined to be the relevant measurement attribute for the portion of net assets available for benefits attributable to fully benefit-responsive investment contracts because contract value is the amount participants would receive if they were to initiate permitted transactions under the terms of the Plan.  As a result, the Statement of Net Assets Available for Benefits presents the investments at fair value with a separate adjustment from fair value to contract value for the portion of net assets attributable to each fully benefit-responsive investment contract.  The Statement of Changes in Net Assets Available for Benefits is

 

5




 

WESTINGHOUSE SAVINGS PROGRAM

NOTES TO FINANCIAL STATEMENTS

(Tabular dollars in thousands)

 

prepared on a contract value basis with respect to the fully benefit-responsive investment contracts.  The adoption of this FSP had no impact on the overall net assets of the Plan as these investment contracts were previously stated at contract value.  Certain prior period amounts have been reclassified to conform to current year presentation as a result of the adoption of this FSP.

Investment Valuation and Income Recognition

Short-term money market obligations are carried at amortized cost which approximates fair value due to the short-term maturity of these investments. CBS Corp.,Viacom Inc. and Former Viacom class B common stock are reported at fair value based on quoted market prices on national security exchanges. Investments in registered investment companies are reported at fair value based on quoted market prices representing the net asset value of the shares held by the Plan. The fair values of investments in common collective trusts are determined by each fund’s trustee based upon the fair value of the underlying securities. Cash and cash equivalents are valued at cost plus accrued interest, which approximates market value. Interest income is accrued as earned and dividend income is recorded on the ex-dividend date.

The Plan invests in benefit-responsive synthetic and traditional guaranteed investment contracts and separate accounts.  The contract value of guaranteed investment contracts and synthetic investment contracts represents the aggregate amount of deposits thereto, plus interest at the contract rate, less withdrawals.  The fair value of the fixed rate traditional guaranteed investment contracts and synthetic guaranteed investment contracts is determined by discounting the related cash flows, based on the contract duration, using a yield curve interpolated from swap rates and adjusted for liquidity and credit quality.  The fair value of the wrapper contracts for synthetic guaranteed investment contracts is determined by reference to various inputs including the difference between the market rate for wrap fees and actual wrap fees currently charged.

Security Transactions

Purchases and sales of securities are recorded on the trade date.  The average cost basis is used to determine gains or losses on security dispositions.

The Plan presents in the Statement of Changes in Net Assets Available for Benefits the net appreciation or depreciation in the fair value of its investments, which consists of the realized gains or losses and the unrealized appreciation and depreciation on those investments.

Interest in Master Trust Investment Accounts

The Company entered into a master trust agreement (the “Master Trust”) to invest the assets of the Plan as well as the CBS 401(k) Plan, a defined contribution plan also sponsored by the Company.  Pursuant to the Master Trust, the Trustee has created five MTIAs.  Effective January 1, 2006, the MTIAs consisted of the Wellington Growth Portfolio, the Barclays Global Investors S&P 500 Index Fund, Mellon Bank EB SMAM Aggregate Bond Index Fund, Dodge & Cox Value Equity Fund and Franklin

 

6




 

WESTINGHOUSE SAVINGS PROGRAM

NOTES TO FINANCIAL STATEMENTS

(Tabular dollars in thousands)

 

Portfolio Mid Cap Stock Fund.  The Mellon Bank EB SMAM Aggregate Bond Index Fund is managed by a division or affiliate of the Trustee, a party-in-interest to the Plan.  Each of these MTIAs is maintained exclusively for the Master Trust.  Each participating plan has an undivided interest in the MTIAs.

The fair value of a unit of participation in the MTIAs is determined by the Trustee based on the fair value of the underlying securities. Net investment assets and net earnings/losses on the MTIAs are allocated daily to the plans investing in the MTIAs based on each plan’s proportionate interest.  The Plan’s interest in the MTIAs related earnings and expenses is allocated to participants based on their respective account balances invested in the MTIAs.  (See Note 7).

Payment of Benefits

Benefit payments are recorded when paid.

Use of Estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires the Plan to make estimates and assumptions, such as those regarding fair value of investments, that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of changes in net assets available for benefits during the reporting period.  Actual results could differ from those estimates.

Recent Accounting Pronouncements

In February 2007, the FASB issued Statement of Financial Accounting Standards (“SFAS”) No. 159 “The Fair Value Option for Financial Assets and Financial Liabilities Including an amendment of FASB Statement No. 115” (“SFAS 159”) effective as of the beginning of the first fiscal year that begins after November 15, 2007.  SFAS 159 permits entities to choose to measure many financial instruments and certain other items at fair value.  The Plan administrator is currently evaluating the impact of the adoption of SFAS 159 on the Plan’s financial statements.

In September 2006, the FASB issued SFAS No. 157, “Fair Value Measurements” (“SFAS 157”), effective for fiscal years beginning after November 15, 2007 and interim periods within those fiscal years.  SFAS 157 establishes a framework for measuring fair value under generally accepted accounting principles and expands disclosures about fair value measurement.  The Plan administrator is currently evaluating the impact the adoption of SFAS 157 will have on the Plan’s financial statements.

 

7




 

WESTINGHOUSE SAVINGS PROGRAM

NOTES TO FINANCIAL STATEMENTS

(Tabular dollars in thousands)

 

NOTE 3 — RISKS AND UNCERTAINTIES

The Plan provides for various investment options.  Investment securities are exposed to various risks such as interest rate fluctuations, market conditions and credit risk.  Due to the level of risk associated with certain investment securities and the level of uncertainty related to changes in the value of such securities, it is at least reasonably possible that changes in investment values in the near term could materially affect participants’ account balances and the amounts reported in the Statements of Net Assets Available for Benefits and the related Statement of Changes in Net Assets Available for Benefits.

NOTE 4 — INVESTMENTS

The following table presents the Plan’s investments:

 

At December 31,

 

 

 

2006

 

2005

 

Investments at fair value as determined by quoted market price:

 

 

 

 

 

Common collective trusts

 

$

65,718

 

$

103,793

 

Common stock

 

61,128

 

72,482

 

Registered investment companies

 

93,044

 

94,284

 

 

 

219,890

 

270,559

 

Investments at estimated fair value:

 

 

 

 

 

Guaranteed investment contracts

 

183,484

 

239,225

 

Synthetic guaranteed investment contracts

 

1,146,245

 

1,123,407

 

 

 

1,329,729

 

1,362,632

 

Investments, at fair value

 

$

1,549,619

 

$

1,633,191

 

 

The following table presents the values of investments representing 5% or more of the Plan’s net assets:

 

 

At December 31,

 

 

 

2006

 

2005

 

Synthetic guaranteed investment contracts, at contract value:

 

 

 

 

 

Monumental Life Insurance MDA00303TR

 

$

450,896

 

$

428,755

 

Union Bank of Switzerland No. 3071

 

$

371,153

 

$

352,992

 

CDC Financial Products, Inc. No. 1222-01

 

$

290,621

 

$

276,356

 

Barclays Global Investors S&P 500 Index Fund MTIA

 

$

91,536

 

$

92,827

 

 

During the year ended December 31, 2006, the Plan’s investments (including gains and losses on investments sold and held during the year) appreciated, as follows:

 

Common stocks

 

$

6,293

 

Commingled trusts

 

2,981

 

Registered investment companies

 

1,946

 

Net appreciation

 

$

11,220

 

 

 

8




 

WESTINGHOUSE SAVINGS PROGRAM

NOTES TO FINANCIAL STATEMENTS

(Tabular dollars in thousands)

 

Investment Contracts

The Plan invests in guaranteed investment contracts and synthetic guaranteed investment contracts.  As described in Note 2, the guaranteed investment contracts are fully benefit-responsive and therefore, contract value is the relevant measurement attribute for that portion of the net assets available for benefits attributable to these contracts.   In a guaranteed investment contract, a deposit in the fund is used by the issuer to purchase investments that are held in the issuer’s general accounts.  The issuer is contractually obligated to repay the principal and a specified rate of interest guaranteed to the fund. A synthetic guaranteed investment contract provides for guaranteed returns of principal over a specified period of time through benefit responsive wrapper contracts issued by a third party insurance company or bank, which are backed by underlying assets.

The interest crediting rate reflects the rate earned for the underlying investments.  The wrapper contracts amortize the realized and unrealized gains and losses on the underlying fixed income investments, typically over the duration of the investments, through adjustments to the future interest crediting rate.  Interest crediting rates are typically reset on a monthly or quarterly basis and all wrapper contract issuers provide that adjustments to the interest crediting rate cannot result in a future interest crediting rate that is less than zero.  Certain factors can influence the future interest crediting rates including, the level of market interest rates, the amount and timing of participant contributions and withdrawals, the returns generated by the fixed income investments that back the contract and the duration of the underlying investments backing the contract.

In certain circumstances, the amounts withdrawn from the investment contracts will be paid at fair value rather than contract value.  These events include plan termination, a material adverse change to the provisions of the plan, an employer election to withdraw from the contract to switch to a different investment provider or if the terms of a successor plan do not meet the contract issuer’s underwriting criteria for issuance of a clone contract.  The Company does not expect any employer initiated events that may cause premature liquidation of a contract at market value.

The contract issuer is permitted to terminate the fully benefit-responsive investment contracts with the plan and settle at an amount different from contract value in certain events, including loss of the Plan’s qualified status, an un-cured material breach of responsibility, or material adverse changes to the provisions of the Plan.

At December 31, 2006 and 2005, the guaranteed investments contracts and the synthetic guaranteed investments contracts at contract values in the aggregate of $1,333,838,511 and $1,385,618,625 respectively, had fair values in the aggregate of $1,329,729,010 and $1,362,632,800, respectively.  The fair value of wrapper contracts was zero at both December 31, 2006 and 2005.

 

9




 

WESTINGHOUSE SAVINGS PROGRAM

NOTES TO FINANCIAL STATEMENTS

(Tabular dollars in thousands)

 

The average yields were as follows:

 

 

 

 

 

 

At December 31,

 

 

 

2006

 

2005

 

Based on actual earnings

 

5.3%

 

5.0%

 

Based on interest rate credited to participants

 

5.1%

 

5.2%

 

 

The following table presents the assets, by type, that support the Plan’s synthetic guaranteed investment contracts:

 

 

 

 

 

 

 

 

At December 31,

 

At December 31,

 

 

 

2006

 

2005

 

Cash and cash equivalents

 

$

22,061

 

$

109,589

 

Common collective trusts

 

417,247

 

399,419

 

Fixed income

 

858,134

 

739,352

 

Futures

 

831

 

(410

)

Swaps

 

528

 

(9

)

Net payables

 

(152,556

)

(124,534

)

Synthetic guaranteed investment contracts

 

$

 1,146,245

 

$

 1,123,407

 

 

NOTE 5 — INCOME TAX STATUS

The Internal Revenue Service issued a determination letter dated December 18, 2001 that the Plan continues to satisfy the requirements of 401(a) of the Code and that the trust thereunder is exempt from federal income taxes under the provisions of Section 501(a) of the Code. The Plan has been amended since receiving the determination letter. However, the Plan administrator believes that the Plan is designed and is currently being operated in compliance with the applicable provisions of the Code and as such does not require a new determination letter at this time.  In addition, the plan administrator does not believe that a new determination letter is required as result of the Separation.

NOTE 6 — TERMINATION PRIORITIES

Although the Company anticipates that the Plan will continue indefinitely, it reserves the right, by action of its Board of Directors, to amend or terminate the Plan provided that such action does not adversely affect amounts credited to the participant’s account prior to termination.

In the event of Plan termination, the Plan provides that the net assets of the Plan be distributed to participants based on their respective account balances.

 

10




 

WESTINGHOUSE SAVINGS PROGRAM

NOTES TO FINANCIAL STATEMENTS

(Tabular dollars in thousands)

 

NOTE 7 — INVESTMENT IN MASTER TRUST INVESTMENT ACCOUNTS

The value of the Plan’s interest in the total net assets of each of the MTIAs at December 31, 2006 and 2005 was as follows:

 

 

 

 

 

 

At December 31,

 

 

 

2006

 

2005

 

Barclays Global Investors S&P 500 Index Fund

 

16.22

%

15.98

%

Dodge & Cox Value Equity Fund

 

14.80

%

8.57

%

Franklin Portfolio Mid Cap Stock Fund

 

18.08

%

17.98

%

Mellon Bank EB SMAM Aggregate Bond Index Fund

 

4.80

%

4.05

%

Wellington Growth Portfolio

 

21.35

%

17.18

%

 

See Note 2 for a description of the MTIAs.

 

The following table presents the investments held by the MTIAs:

 

 

 

 

 

 

 

At December 31,

 

 

 

2006

 

2005

 

Barclays Global Investors S&P 500 Index Fund (a)

 

$

564,197

 

$

581,051

 

Dodge & Cox Value Equity Fund, at fair value:

 

 

 

 

 

Common stocks

 

107,529

 

111,453

 

Common collective trust

 

6,529

 

4,865

 

Franklin Portfolio Mid Cap Stock Fund, at fair value:

 

 

 

 

 

Common stocks

 

58,954

 

63,142

 

Common collective trust

 

160

 

400

 

Mellon Bank EB SMAM Aggregate Bond Index Fund (a)

 

44,695

 

63,129

 

Wellington Growth Portfolio, at fair value:

 

 

 

 

 

Common stocks

 

121,033

 

185,027

 

Common collective trust

 

85

 

309

 

Net investments held by the MTIAs

 

$

903,182

 

$

1,009,376

 

 

(a) Invested entirely in commingled trust funds.

Investment income of the MTIAs was as follows:

 

 

 

 

 

 

Year Ended
December 31, 2006

 

Dividends

 

$

3,467

 

Interest income

 

430

 

Net appreciation of commingled trusts funds

 

81,963

 

Net appreciation of Dodge & Cox Value Equity Fund

 

15,143

 

Net appreciation of Franklin Portfolio Mid Cap Stock Fund

 

3,561

 

Net appreciation of Wellington Growth Portfolio

 

4,866

 

Investment manager fees

 

(1,247

)

Net investment income of the MTIAs

 

$

108,183

 

 

11




 

WESTINGHOUSE SAVINGS PROGRAM

NOTES TO FINANCIAL STATEMENTS

(Tabular dollars in thousands)

 

NOTE 8 — RECONCILIATION OF FINANCIAL STATEMENTS TO FORM 5500

The following is a reconciliation of net assets available for benefits per the financial statements to the Form 5500:

 

 

 

 

 

 

At December 31,

 

 

 

2006

 

2005

 

Net assets available for benefits per the financial statements

 

$

1,707,220

 

$

1,810,845

 

Amounts allocated to withdrawing participants

 

(5,623

)

(607

)

Net assets available for benefits per the Form 5500

 

$

1,701,597

 

$

1,810,238

 

 

The following is a reconciliation of benefits paid to participants as reflected in the financial statements to the Form 5500:

 

 

 

 

 

 

Year Ended
December 31, 2006

 

Benefits paid to participants per the financial statements

 

$

217,594

 

Add amounts allocated to withdrawing participants at December 31, 2006

 

5,623

 

Less amounts allocated to withdrawing participants at December 31, 2005

 

(607

)

Benefits paid to participants per the Form 5500

 

$

222,610

 

 

Amounts allocated to withdrawing participants are recorded on the Form 5500 for benefit claims that have been processed and approved for payment prior to December 31, 2006, but not yet paid as of that date.

NOTE 9 — SUBSEQUENT EVENTS

Effective July 2007, the Viacom Inc. common stock fund, which invests solely in shares of Viacom Inc., will no longer be maintained as an investment option in the Plan.  Any investment remaining in the Viacom Inc. common stock fund after June 30, 2007 will be automatically transferred to the Barclays S&P 500 Index Fund.

 

12




 

SCHEDULE H, line 4i

WESTINGHOUSE SAVINGS PROGRAM

SCHEDULE OF ASSETS (HELD AT END OF YEAR)

DECEMBER 31, 2006

(in thousands)

 

 

Identity of issue, borrowing lessor or similar party

 

Current
Value

 

 

 

Registered Investment Companies:

 

 

 

 

 

DFA U.S. Small Cap Fund

 

$

17,797

 

 

 

Fidelity Growth & Income Portfolio

 

45,053

 

 

 

Vanguard LifeStrategy Income Fund

 

3,506

 

 

 

Vanguard LifeStrategy Conservative Growth Fund

 

5,770

 

 

 

Vanguard LifeStrategy Moderate Growth Fund

 

8,495

 

 

 

Vanguard LifeStrategy Growth Fund

 

12,423

 

 

 

 

 

 

 

 

 

Common Collective Trust:

 

 

 

 

 

Capital Guardian International Equity Fund

 

20,289

 

*

 

Mellon EB Temporary Investment Fund variable% 12/31/2099

 

45,429

 

 

 

 

 

 

 

 

 

Common Stock:

 

 

 

*

 

CBS Corp. Class B Common Stock

 

28,219

 

*

 

Viacom Inc. class B common stock

 

32,909

 

 

 

 

 

 

 

 

 

Guaranteed Investment Contracts, at contract value:

 

 

 

 

 

Prudential Insurance Company of America
G-10112-213 4.27% 9/01/2009

 

25,488

 

 

 

Prudential Insurance Company of America
G-10112-214 5.55% 9/30/2008

 

30,737

 

 

 

Security Life of Denver Insurance Company
SA-0556 5.01% 7/01/2009

 

26,305

 

 

 

Jackson National Life Insurance Company
G-1378-3 4.39% 12/01/2009

 

19,952

 

 

 

Hartford Life Insurance Company
GA-10655A 5.21% 3/1/2007

 

31,365

 

 

 

Security Benefit Life Insurance Company
G-0114 4.11% 6/1/2007

 

29,644

 

 

 

General Electric Corp.
GS3835GECA 3.30% 05/01/2008

 

20,946

 

 

*

 

Identified as a party-in-interest to the Plan.

 

 

 

 

 

 

 

 

 

 

S-1




 

SCHEDULE H, line 4i

WESTINGHOUSE SAVINGS PROGRAM

SCHEDULE OF ASSETS (HELD AT END OF YEAR)

DECEMBER 31, 2006

(in thousands)

 

Identity of issue, borrowing lessor or similar party

 

Current
Value

 

Wrapper
Value

 

 

 

 

 

 

 

 

 

 

 

Synthetic Guaranteed Investment Contracts, at contract value:

 

 

 

 

 

(b)

 

Monumental Life Insurance Company
MDA00303TR variable% 12/20/2030

 

450,896

 

 

(b)

 

Union Bank of Switzerland
No. 3071 variable% 12/20/2030

 

371,153

 

 

(b)

 

Caisse des Depots et Consignations
No. 1222-01 variable% 12/20/2030

 

290,621

 

 

(b)

 

Caisse des Depots et Consignations
BR-222-25 5.93% 4/27/2011

 

36,732

 

 

 

 

Total investments

 

1,553,729

 

 

 

 

Less: Adjustment from fair value to contract value for fully benefit-responsive investment contracts

 

4,110

 

 

 

 

Investments, at fair value

 

$

1,549,619

 

$

 

 

(b) Refer to Attachment A for listing of assets relating to these contracts.  All assets on Attachment A wrap the synthetic guaranteed investment contracts.

 

S-2




Attachment A

Security Name

 

 

 

Security Description

 

Market Value

90DAY EURODOLLAR FUT EXP SEP07

 

CALL SEP 07 095.000 ED 9/17/07

 

6,938

AAMES MTG 2006-1 A-1

 

VAR RT 04/25/2036 DD 05/02/06

 

745,148

ABBOTT LABS

 

5.600% 05/15/2011 DD 05/12/06

 

481,531

AEGON N V SR NT

 

4.750% 06/01/2013 DD 05/20/03

 

482,030

ALLSTATE FINL GLOBAL FDG 144A

 

5.250% 02/01/2007 DD 01/31/02

 

324,948

ALTRIA GROUP INC NT

 

7.000% 11/04/2013 DD 11/04/03

 

244,885

AMERICAN ELEC PWR INC SR NT

 

STEP08/16/2007 DD 05/16/05

 

243,812

AMERICAN GEN FIN CORP SR NT

 

8.450% 10/15/2009 DD 11/01/89

 

1,078,280

AMERICAN MOVIL S A DE C B GTD

 

5.500% 03/01/2014 DD 09/01/04

 

293,250

AMERUS GROUP CO SR NT

 

5.950% 08/15/2015 DD 08/05/05

 

520,700

ANADARKO PETE CORP SR NT

 

5.950% 09/15/2016 DD 09/19/06

 

475,964

ANADARKO PETE CORP SR NT

 

5.950% 09/15/2016 DD 09/19/06

 

601,218

ANZ CAP TR I TR SECS 144A

 

4.484% 01/29/2049 DD 11/26/03

 

1,214,838

AOL TIME WARNER INC NT

 

6.750% 04/15/2011 DD 04/19/01

 

219,843

ARCHSTONE SMITH TR SR NT

 

5.000% 08/15/2007 DD 08/15/02

 

199,500

ARIZONA PUB SVC CO NT

 

6.375% 10/15/2011 DD 10/05/01

 

436,220

ASIF GLOBAL FING XVIII SR 144A

 

3.850% 11/26/2007 DD 11/26/02

 

251,573

ASIF GLOBAL FING XXIII SR NT

 

3.900% 10/22/2008 DD 10/22/03

 

68,282

ASSET BACKED CTFS TR 06 8

 

VAR RT 01/25/2046 DD 06/28/06

 

1,416,093

ASSOC CORP NA BDS

 

6.250% 11/01/2008 DD 10/30/98

 

238,598

AT&T BROADBAND CORP NT

 

8.375% 03/15/2013 DD 11/18/02

 

848,600

AT&T BROADBAND CORP NT

 

8.375% 03/15/2013 DD 11/18/02

 

854,295

BANC AMER COML MTG 02 PB2 A4

 

6.186% 06/11/2035 DD 05/01/02

 

1,206,377

BANC AMER COML MTG 06 4 A-4

 

5.634% 07/10/2046 DD 08/01/06

 

1,021,840

BANC AMER COML MTG 06-5 CL A4

 

5.414% 09/10/2016 DD 10/01/06

 

1,006,370

BANC AMER COML MTG 06-6 CL A4

 

5.356% 10/10/2045 DD 11/01/06

 

1,230,320

BANC AMER COML MTG INC 05-6 A4

 

VAR RT 09/10/2047 DD 12/01/05

 

2,488,550

BANCO DEL ISTMO SA PANAMAPROM

 

7.010% 10/01/2027 DD 1/07/97

 

6,500,625

BANK AMER COML MTG 00 1 CL A2A

 

7.333% 11/15/2031 DD 09/01/00

 

1,385,751

BANK AMER CORP NT

 

7.800% 02/15/2010 DD 02/14/00

 

214,750

BANK AMER CORP SR

 

VAR RT 03/24/2009 DD 03/24/06

 

1,726,604

BANK AMER MTG SECS 02 G CTF1A3

 

VAR RT 07/20/2032 DD 06/01/02

 

29,753

BANK NEW YORK INC SR SUB NT

 

VAR RT 09/04/2012 DD 09/04/02

 

993,590

BANK NEW YORK NY MTN #TR0021

 

3.800% 02/01/2008 DD 01/18/05

 

245,938

BANK ONE ISSUANCE TR 02 6 CL A

 

VAR RT 06/15/2012 DD 11/08/02

 

1,987,067

BANK ONE N A MTN # TR 00324

 

3.700% 01/15/2008 DD 01/14/03

 

172,183

BARCLAYS BANK PLC INSTL C/D

 

VAR RT 03/13/2009 DD 03/13/06

 

2,946,031

BEAR STEARNS 2006-HE1 I-A-1

 

VAR RT 12/25/2035 DD 01/30/06

 

924,656

BEAR STEARNS ALT 05-4 II 3A2

 

5.446% 05/25/2035 DD 04/01/05

 

671,050

BEAR STEARNS ARM 04-5 IIA

 

VAR RT 07/25/2034 DD 06/01/04

 

1,688,408

BEAR STEARNS ARM TR 02-11 IA2

 

VAR RT 01/25/2033 DD 12/01/02

 

65,287

BEAR STEARNS ASSET 06-HE12 1A1

 

VAR RT 12/25/2035 DD 12/30/05

 

818,249

BEAR STEARNS COML 04-PWR6

 

4.825% 11/11/2041 DD 12/01/04

 

367,300

BEAR STEARNS COML 05-PWR10 A4

 

VAR RT 12/11/2040 DD 12/01/05

 

2,009,520

BEAR STEARNS COML 06-T24 CL A4

 

5.537% 10/12/2041 DD 10/01/06

 

1,522,380

BEAR STEARNS COS INC NT

 

3.250% 03/25/2009 DD 03/25/04

 

503,669

BERKSHIRE HATHAWAY FIN

 

4.125% 01/15/2010 DD 01/11/05

 

592,841

BOARDWALK PIPELINES INC LP

 

5.875% 11/15/2016 DD 11/21/06

 

321,750

BRANDYWINE OPER LTN L P

 

4.500% 11/01/2009 DD 10/22/04

 

438,116

BSDT-LATE MONEY DEPOSIT ACCT

 

VAR RT 12/31/2049 DD 06/26/97

 

107

BSDT-LATE MONEY DEPOSIT ACCT

 

VAR RT 12/31/2049 DD 06/26/97

 

1,425

CALENERGY CO INC SR NTS

 

7.520% 09/15/2008 DD 09/22/98

 

516,715

CANADIAN NATL RY CO NT

 

4.250% 08/01/2009 DD 07/09/04

 

371,389

CARRINGTON MTG 06 RFC1 P/T A-1

 

VAR RT 05/25/2036 DD 05/24/06

 

1,071,550

CARRINGTON MTG 06-NC5 CL A1

 

VAR RT 01/25/2037 DD 12/19/06

 

1,874,414

CARRINGTON MTG LN 06-FRE1 A-1

 

VAR RT 07/25/2036 DD 06/28/06

 

1,261,274

CARRINGTON MTG LN TR SER 2006-NC3

 

RATE: 5.23933% MATURITY: 02/25/36

 

3,200,046

CD 2006 CD2 COML 2006-CD2 A4

 

VAR RT 01/15/2046 DD 03/01/06

 

1,508,235

CHASE CR CARD TR 04-2 A

 

VAR RT 09/15/2009 DD 06/01/04

 

1,925,809

CHASE ISSUANCE TR 04-9 NT CLA

 

3.220% 06/15/2010 DD 11/09/04

 

1,599,179

CHASE ISSUANCE TR 2006-3 CL A

 

VAR RT 07/15/2011 DD 05/15/06

 

1,476,859

CHASE MANHATTAN CORP SUB NTS

 

7.250% 06/01/2007 DD 05/21/97

 

654,063

CHEVY CHASE FDG LLC MTG BACKED CTFS SER 2006-3

 

RATE: 0.00% MATURITY: 08/25/47

 

1,056,317

CHUBB CORP SR NT

 

4.934% 11/16/2007 DD 08/16/05

 

672,253

CITIBANK CR CARD 04-A4 A4

 

3.200% 08/24/2009 DD 08/24/04

 

1,874,388

CITIBANK CR CARD TR 04 A1 NT

 

2.550% 01/20/2009 DD 01/26/04

 

1,996,820

CITICORP SUB NOTES

 

7.200% 06/15/2007 DD 06/06/97

 

1,007,340

CITIGROUP INC GLOBAL NT

 

4.125% 02/22/2010 DD 02/22/05

 

1,338,600

CITIGROUP INC GLOBAL SR NT

 

3.500% 02/01/2008 DD 01/31/03

 

88,332

CITIGROUP INC NT

 

6.200% 03/15/2009 DD 03/31/99

 

560,824

COMCAST CABLE COMMUNS INC NT

 

6.750% 01/30/2011 DD 01/16/01

 

256,713

COMCAST CORP NEW GTD NT

 

5.900% 03/15/2016 DD 03/02/06

 

300,724

COMM 2006 C8 06-C8 P/T CL A4

 

5.306% 12/10/2046 DD 12/01/06

 

1,492,740

COMM 99-1 COML MTG CTF CL A2

 

6.455% 05/15/2032 DD 03/01/99

 

1,083,609

COMMERCIAL MTG 97-ML1 CL A-3

 

6.570% 12/15/2030 DD 12/01/97

 

501,520

COMMERCIAL MTG ASSET 99-C2 A-2

 

VAR RT 11/17/2032 DD 10/11/99

 

1,566,510

COMMIT TO PUR FHLMC GOLD SFM

 

5.000% 01/01/2021 DD 01/01/06

 

687,532

COMMIT TO PUR FHLMC GOLD SFM

 

5.500% 01/01/2037 DD 01/01/07

 

988,750

COMMIT TO PUR FHLMC GOLD SFM

 

5.000% 01/01/2037 DD 01/01/07

 

1,929,376

COMMIT TO PUR FNMA

 

4.500% 01/01/2021 DD 01/01/05

 

964,375

COMMIT TO PUR FNMA SF MTG

 

5.500% 01/01/2037 DD 01/01/07

 

1,976,250

 

S-3




 

Security Name

 

 

 

Security Description

 

Market Value

COMMIT TO PUR FNMA SF MTG

 

6.000% 01/01/2037 DD 01/01/07

 

2,013,124

COMMIT TO PUR FNMA SF MTG

 

6.500% 01/01/2037 DD 01/01/07

 

2,241,250

COMMIT TO PUR FNMA SF MTG

 

6.000% 01/01/2021 DD 01/01/06

 

3,041,250

COMMIT TO PUR FNMA SF MTG

 

6.500% 01/01/2037 DD 01/01/07

 

4,075,200

COMMIT TO PUR FNMA SF MTG

 

5.000% 01/01/2037 DD 01/01/07

 

4,826,500

COMMIT TO PUR FNMA SF MTG

 

5.000% 01/01/2021 DD 01/01/06

 

7,862,496

COMMIT TO PUR FNMA SF MTG

 

6.000% 01/01/2037 DD 01/01/07

 

8,052,800

COMMIT TO PUR FNMA SF MTG

 

5.500% 01/01/2022 DD 01/01/07

 

13,395,819

COMMIT TO PUR FNMA SF MTG

 

5.500% 01/01/2037 DD 01/01/07

 

29,643,000

COMMIT TO PUR GNMA II SF MTG

 

6.000% 01/20/2034 DD 01/01/04

 

3,087,188

CONOCOPHILLIPS AUSTRALIA FDG

 

VAR RT 04/09/2009 DD 04/11/06

 

1,180,920

CONOCOPHILLIPS GTD NT

 

VAR RT 04/11/2007 DD 04/11/06

 

2,300,345

COX COMMUNICATIONS INC NEW NT

 

4.625% 01/15/2010 DD 12/15/04

 

905,483

CREDIT SUISSE 06-C5 CL A3

 

5.311% 12/15/2039 DD 12/01/06

 

1,991,620

CREDIT SUISSE FB

 

4.125% 01/15/2010 DD 12/15/04

 

1,261,195

CREDIT SUISSE FB 01-CK3 CL A4

 

6.530% 06/15/2034 DD 06/01/01

 

1,046,080

CREDIT SUISSE FB 02 CKN2 CL A3

 

6.133% 04/15/2037 DD 05/01/02

 

913,088

CREDIT SUISSE FB 02 CKS4 A2

 

5.183% 11/15/2036 DD 10/01/02

 

1,487,630

CREDIT SUISSE FB 02 P1 A 144A

 

VAR RT 03/25/2032 DD 03/01/02

 

311,501

CREDIT SUISSE FB 03 CPN1 A 2

 

4.597% 03/15/2035 DD 03/01/03

 

579,210

CREDIT SUISSE FB 03-C3 CL A-5

 

3.936% 05/15/2038 DD 06/01/03

 

1,326,025

CREDIT SUISSE FB 06-3 CL 1-A1A

 

VAR RT 04/25/2036 DD 03/30/06

 

878,114

CS FIRST BOSTON MTG SECS CORP

 

6.550% 01/17/2035 DD 12/11/97

 

1,713,701

CWABS ASSET BKD 2006 12 2-A-1

 

VAR RT 09/25/2045 DD 06/30/06

 

1,483,011

CWABS INC 05-16 CL 4-AV-1

 

VAR RT 01/25/2035 DD 12/28/05

 

847,645

CWABS INC 2005-IM2 CL A1

 

REDEEMED

 

22,763

CWALT ALT LN TR SER 06 OA19 A1

 

VAR RT 02/20/2047 DD 11/30/06

 

2,494,277

DAIMLER CHRYSLER NORTH AMER

 

4.750% 01/15/2008 DD 01/16/03

 

104,048

DAIMLERCHRYSLER AUTO 05-B A-3

 

4.040% 09/08/2009 DD 05/18/05

 

1,678,249

DAIMLERCHRYSLER AUTO 06-C CLA3

 

5.020% 07/08/2010 DD 10/02/06

 

1,794,942

DAIMLERCHRYSLER N A #TR00043

 

5.750% 09/08/2011 DD 09/08/06

 

748,125

DAIMLERCHRYSLER N A HLDG CORP

 

VAR RT 03/07/2007 DD 03/07/05

 

700,105

DAIMLERCHRYSLER N A HLDG SR NT

 

6.500% 11/15/2013 DD 11/06/03

 

25,701

DAIMLERCHRYSLER NA HLDG CORP

 

4.050% 06/04/2008 DD 06/10/03

 

39,210

DAIMLERCHRYSLER NA MTN TR00036

 

VAR RT 09/10/2007 DD 09/10/04

 

1,403,052

DEN DANSKE BK NTS 144A

 

VAR RT /06/15/2010 DD 06/11/97

 

504,685

DEPFA ACS BK 144A

 

3.625% 10/29/2008 DD 10/29/03

 

1,218,050

DEUTSCHE BANK AG NY INSTL C/D

 

VAR RT 03/15/2007 DD 03/15/05

 

474,905

DEUTSCHE TELEKOM INTL FIN BV

 

STEP06/15/2010 DD 07/06/00

 

541,405

DLJ COML MTG CORP 98-CF1 A1B

 

6.410% 02/18/2031 DD 03/01/98

 

1,546,084

DOMINION RES INC DEL SR NT D

 

5.125% 12/15/2009 DD 12/16/02

 

24,840

DOMINION RES INC REMKT NT E

 

7.195% 09/15/2014 DD 09/15/04

 

104,247

EB SMAM ASSET BACKED

 

SECURITIES INDEX FD

 

5,819,324

EB SMAM CMBS BOND INDEX FUND

 

 

 

22,117,654

EB SMAM INT GOB/CR BOND INDEX

 

FUND

 

223,186,884

EB SMAM MORTGAGE-BACKED SECS

 

INDEX

 

166,123,152

EB TEMPORARY INVESTMENT FD II

 

5.250%

 

32,142

EB TEMPORARY INVESTMENT FD II

 

5.250%

 

916,766

EB TEMPORARY INVESTMENT FD II

 

5.250%

 

5,708,755

EB TEMPORARY INVESTMENT FD II

 

5.250%

 

10,556,259

EKSPORTFINANS A S A MTN #00012

 

3.375% 01/15/2008 DD 11/23/04

 

1,074,724

EL PASO ENERGY MTN #TR 00004

 

7.800% 08/01/2031 DD 07/30/01

 

1,311,000

ENBRIDGE ENERGY PARTNERS LP NT

 

5.875% 12/15/2016 DD 12/21/06

 

396,060

ENCANA HLDGS FIN CORP NT

 

5.800% 05/01/2014 DD 05/13/04

 

45,267

ENDURANCE SPECIALTY HLDGS LTD

 

6.150% 10/15/2015 DD 10/17/05

 

448,520

ENERGY TRANSFER PARTNERS LP

 

5.650% 08/01/2012 DD 02/01/06

 

248,945

ENERGY TRANSFER PARTNERS LP SR

 

5.950% 02/01/2015 DD 01/18/05

 

377,108

ENTERGY GULF STS INC 1ST 144A

 

VAR RT 12/08/2008 DD 12/08/05

 

901,962

EURO$1YR MID-CRV FUT EXP 9/07

 

CALL SEP 06 095.25 ED 09/15/07

 

676,413

EURO$1YR MID-CRV FUT EXP 9/08

 

CALL SEP 07 095.000 ED 9/14/07

 

138,450

FARMER MAC GTD NTS TR 2006 2

 

5.500% 07/15/2011 DD 07/20/06

 

3,564,400

FARMER MAC GTD P/T AS-1008 1

 

VAR RT 01/25/2012 DD 03/01/97

 

1,183,692

FEDERAL AGRIC MTG CORP

 

VAR RT 04/25/2011

 

409,059

FEDERAL FARM CR BKS CONS BD

 

4.500% 08/08/2011 DD 09/08/05

 

2,428,500

FEDERAL FARM CR BKS CONS BDS

 

5.200% 11/28/2016 DD 09/28/06

 

1,117,765

FEDERAL FARM CR BKS CONS SYS

 

4.400% 04/25/2012 DD 07/25/05

 

2,143,240

FEDERAL FARM CR BKS CONS SYS

 

4.700% 08/10/2015 DD 08/10/05

 

2,257,910

FEDERAL HOME LN BK CONS BDS

 

6.795% 06/30/2009 DD 06/30/99

 

3,118,410

FEDERAL HOME LN BKS CONS BD

 

4.875% 12/14/2012 DD 11/03/05

 

1,494,600

FEDERAL HOME LN BKS CONS BD

 

4.080% 04/26/2010 DD 04/26/04

 

2,338,872

FEDERAL HOME LN BKS CONS BD

 

3.750% 08/15/2008 DD 08/07/03

 

2,456,400

FEDERAL HOME LN BKS CONS BD

 

5.310% 12/28/2012 DD 12/28/05

 

3,935,600

FEDERAL HOME LN BKS CONS BD

 

5.250% 09/13/2013 DD 08/07/06

 

4,981,830

FEDERAL HOME LN MTG CORP DEBS

 

6.625% 09/15/2009 DD 09/16/99

 

2,082,540

FEDERAL HOME LN MTG CORP MTN

 

4.480% 09/19/2008 DD 09/19/05

 

4,940,800

FEDERAL NATIIONAL MORTGAGE ASSIGNED POOL # 356720

 

RATE: 7.146% MATURITY 11/01/25

 

677,383

FEDERAL NATL MTG ASSN DEBS

 

7.250% 01/15/2010 DD 1/14/2000

 

2,871,477

FEDERAL NATL MTG ASSN MTN

 

4.375% 06/21/2010 DD 06/21/05

 

5,289,660

FEDERATED DEPT STORE INC DEL

 

6.300% 04/01/2009 DD 03/24/99

 

91,504

FEDERATED RETAIL HLDGS INC NT

 

5.900% 12/01/2016 DD 11/29/06

 

599,058

FHA GMAC PROJ #56 221-D4

 

7.430% 11/01/2022 DD 09/01/82

 

334,088

FHA INSD P/T MTG 98TH GMAC

 

6.919% 09/01/2019 DD 08/01/83

 

85,014

FHA INSD PROJ 16TH REILLY MTG

 

7.000% 04/10/2027 DD 07/01/98

 

86,063

 

S-4




Security Name

 

 

 

Security Description

 

Market Value

FHA POOL #21 GMAC MTG IOWA

 

7.450% 05/01/2021 DD 08/01/81

 

524,721

FHA PROJ 221 CL D4 REILLY

 

7.430% 05/01/2022

 

106,210

FHA PROJ MTG POOL# 04 REILLY

 

7.430% 07/01/2022 DD 07/01/82

 

100,526

FHLMCPOOL #1B-1580

 

4.023% 03/01/2034 DD 03/01/04

 

868,721

FHLMCPOOL #1H-2524

 

VAR RT 08/01/2035 DD 09/01/05

 

1,585,731

FHLMCPOOL #1K-1233

 

VAR RT 05/01/2036 DD 05/01/06

 

1,110,980

FHLMCPOOL #1L-1302

 

VAR RT 04/01/2036 DD 06/01/06

 

1,688,762

FHLMCPOOL #78-2935

 

VAR RT 12/01/2034 DD 12/01/04

 

1,346,353

FHLMCPOOL #84-5355

 

VAR RT 05/01/2023 DD 05/01/93

 

89,290

FHLMCPOOL #A1-6199

 

7.000% 04/01/2031 DD 11/01/03

 

247,042

FHLMCPOOL #A1-8208

 

6.000% 03/01/2024 DD 01/01/04

 

225,520

FHLMCPOOL #A2-5226

 

6.500% 05/01/2033 DD 07/01/04

 

65,648

FHLMCPOOL #B1-0170

 

4.500% 10/01/2018 DD 10/01/03

 

46,782

FHLMCPOOL #B1-0184

 

5.500% 10/01/2018 DD 10/01/03

 

55,115

FHLMCPOOL #B1-0207

 

4.500% 10/01/2018 DD 10/01/03

 

52,051

FHLMCPOOL #B1-0931

 

4.500% 11/01/2018 DD 11/01/03

 

51,553

FHLMCPOOL #B1-1801

 

4.500% 01/01/2019 DD 01/01/04

 

56,334

FHLMCPOOL #B1-2301

 

4.000% 02/01/2014 DD 02/01/04

 

142,328

FHLMCPOOL #B1-2730

 

4.000% 03/01/2014 DD 03/01/04

 

226,163

FHLMCPOOL #B1-2772

 

4.000% 03/01/2014 DD 03/01/04

 

208,289

FHLMCPOOL #B1-2818

 

4.000% 03/01/2014 DD 03/01/04

 

189,592

FHLMCPOOL #B1-2819

 

4.000% 03/01/2014 DD 03/01/04

 

218,084

FHLMCPOOL #B1-2883

 

4.000% 03/01/2014 DD 03/01/04

 

212,005

FHLMCPOOL #B1-2910

 

4.000% 03/01/2014 DD 03/01/04

 

165,385

FHLMCPOOL #B1-2911

 

4.000% 03/01/2014 DD 03/01/04

 

198,245

FHLMCPOOL #B1-3066

 

4.000% 03/01/2014 DD 03/01/04

 

784,987

FHLMCPOOL #B1-3209

 

4.000% 04/01/2019 DD 04/01/04

 

65,905

FHLMCPOOL #B1-3343

 

4.000% 04/01/2014 DD 04/01/04

 

99,529

FHLMCPOOL #B1-3344

 

4.000% 04/01/2014 DD 04/01/04

 

145,437

FHLMCPOOL #B1-3360

 

4.000% 04/01/2014 DD 04/01/04

 

184,010

FHLMCPOOL #B1-3801

 

4.500% 04/01/2019 DD 04/01/04

 

180,794

FHLMCPOOL #B1-3870

 

4.500% 05/01/2019 DD 05/01/04

 

108,536

FHLMCPOOL #B1-5067

 

4.500% 06/01/2019 DD 06/01/04

 

389,056

FHLMCPOOL #B1-8233

 

4.500% 04/01/2020 DD 04/01/05

 

168,868

FHLMCPOOL #B1-8252

 

4.500% 04/01/2020 DD 04/01/05

 

166,242

FHLMCPOOL #B1-8684

 

4.500% 01/01/2020 DD 01/01/05

 

78,785

FHLMCPOOL #B1-8908

 

4.500% 03/01/2020 DD 03/01/05

 

317,144

FHLMCPOOL #C0-1175

 

7.000% 05/01/2031 DD 05/01/01

 

91,968

FHLMCPOOL #C0-1598

 

5.000% 08/01/2033 DD 08/01/03

 

221,339

FHLMCPOOL #C6-6817

 

7.000% 05/01/2032 DD 04/01/02

 

163,744

FHLMCPOOL #C6-8269

 

7.000% 06/01/2032 DD 06/01/02

 

322,762

FHLMCPOOL #C6-9013

 

7.000% 07/01/2032 DD 07/01/02

 

406,269

FHLMCPOOL #D9-4598

 

6.500% 04/01/2021 DD 04/01/01

 

53,363

FHLMCPOOL #E0-1157

 

6.000% 06/01/2017 DD 06/01/02

 

99,521

FHLMCPOOL #E0-1481

 

4.500% 10/01/2018 DD 10/01/03

 

51,262

FHLMCPOOL #E0-1489

 

4.500% 11/01/2018 DD 11/01/03

 

102,821

FHLMCPOOL #E0-1538

 

5.000% 12/01/2018 DD 12/01/03

 

920,342

FHLMCPOOL #E0-1602

 

4.500% 03/01/2019 DD 03/01/04

 

55,127

FHLMCPOOL #E0-1606

 

4.500% 04/01/2019 DD 04/01/04

 

625,912

FHLMCPOOL #E7-6730

 

6.000% 05/01/2014 DD 05/01/99

 

88,740

FHLMCPOOL #E7-7099

 

6.000% 05/01/2014 DD 05/01/99

 

26,563

FHLMCPOOL #E9-0288

 

6.000% 06/01/2017 DD 06/01/02

 

78,386

FHLMCPOOL #E9-6057

 

4.500% 05/01/2018 DD 04/01/03

 

127,717

FHLMCPOOL #E9-6247

 

4.500% 05/01/2018 DD 05/01/03

 

43,846

FHLMCPOOL #E9-6248

 

4.500% 05/01/2018 DD 05/01/03

 

43,899

FHLMCPOOL #E9-7034

 

4.500% 06/01/2018 DD 06/01/03

 

51,002

FHLMCPOOL #E9-8590

 

4.500% 09/01/2018 DD 08/01/03

 

25,692

FHLMCPOOL #E9-9763

 

4.500% 09/01/2018 DD 09/01/03

 

19,295

FHLMCPOOL #E9-9764

 

4.500% 09/01/2018 DD 09/01/03

 

18,517

FHLMCPOOL #E9-9765

 

4.500% 09/01/2018 DD 09/01/03

 

14,245

FHLMCPOOL #E9-9768

 

4.500% 09/01/2018 DD 09/01/03

 

85,167

FHLMCPOOL #E9-9769

 

4.500% 09/01/2018 DD 09/01/03

 

42,044

FHLMCPOOL #E9-9770

 

4.500% 09/01/2018 DD 09/01/03

 

26,579

FHLMCPOOL #G0-1324

 

7.000% 10/01/2031 DD 10/01/01

 

43,718

FHLMCPOOL #G0-1391

 

7.000% 04/01/2032 DD 03/01/02

 

174,888

FHLMCPOOL #G0-1564

 

6.000% 04/01/2033 DD 05/01/03

 

90,558

FHLMCPOOL #G0-1731

 

6.500% 12/01/2029 DD 10/01/04

 

690,840

FHLMCPOOL #G1-0855

 

6.000% 12/01/2013 DD 11/01/98

 

36,843

FHLMCPOOL #G1-1409

 

6.000% 05/01/2017 DD 06/01/03

 

94,909

FHLMCPOOL #G1-1526

 

4.500% 03/01/2019 DD 02/01/04

 

56,289

FHLMCPOOL #G1-1678

 

4.500% 04/01/2020 DD 03/01/05

 

234,263

FHLMCPOOL #G1-1720

 

4.500% 08/01/2020 DD 07/01/05

 

1,202,145

FHLMCPOOL #G1-1769

 

5.000% 10/01/2020 DD 09/01/05

 

1,395,324

FHLMCPOOL #G1-2093

 

4.500% 12/01/2018 DD 05/01/06

 

1,703,200

FHLMCPOOL #G1-2094

 

4.500% 06/01/2019 DD 05/01/06

 

2,067,443

FHLMCPOOL #G1-2251

 

4.000% 06/01/2019 DD 07/01/06

 

3,542,336

FHLMCPOOL #G1-8020

 

4.500% 11/01/2019 DD 11/01/04

 

310,824

FHLMCPOOL #P6-0084

 

6.000% 03/01/2016 DD 01/01/03

 

501,259

FHLMC GROUP #C4-5817

 

7.500% 12/01/2030 DD 12/01/00

 

54,201

FHLMC GROUP #E0-0894

 

8.500% 06/01/2015 DD 06/01/00

 

49,221

FHLMC GROUP #E0-0912

 

8.500% 08/01/2015 DD 08/01/00

 

5,691

FHLMC GROUP #E0-0935

 

8.500% 10/01/2015 DD 10/01/00

 

64,436

FHLMC GROUP #E7-0797

 

5.500% 06/01/2013 DD 06/01/98

 

187,512

FHLMC GROUP #E7-8829

 

6.000% 10/01/2014 DD 10/01/99

 

53,231

 

S-5




 

Security Name

 

 

 

Security Description

 

Market Value

FHLMC GROUP #E8-1255

 

8.500% 08/01/2015 DD 08/01/00

 

83,367

FHLMC GROUP #G1-0777

 

9.000% 06/01/2010 DD 01/01/98

 

17,538

FHLMC GROUP #G1-0817

 

6.000% 06/01/2013 DD 06/01/98

 

18,901

FHLMC MULTICLASS CTF 2106 ZB

 

6.250% 12/15/2028

 

2,566,133

FHLMC MULTICLASS CTFS 2458 OD

 

6.000% 04/15/2016 DD 06/01/02

 

459,278

FHLMC MULTICLASS CTFS 2933 HD

 

5.500% 02/15/2035 DD 02/01/05

 

1,945,714

FHLMC MULTICLASS CTFS 2949 PA

 

5.500% 03/15/2034 DD 03/01/05

 

1,647,866

FHLMC MULTICLASS CTFS 2973 EB

 

5.500% 04/15/2035 DD 05/01/05

 

997,895

FHLMC MULTICLASS CTFS 2979 BC

 

5.000% 04/15/2020 DD 05/01/05

 

1,302,922

FHLMC MULTICLASS MTG

 

5.500% 05/15/2029 DD 08/01/06

 

4,334,284

FHLMC MULTICLASS MTG 1662 N

 

6.250% 01/15/2009 DD 01/01/94

 

35,072

FHLMC MULTICLASS MTG 2395 FT

 

VAR RT 12/15/2031 DD 12/15/01

 

96,861

FHLMC MULTICLASS MTG T-61 1A1

 

VAR RT 07/25/2044 DD 06/01/04

 

2,948,122

FIRST REP MTG LN TR 02 FRB1 A

 

VAR RT 08/15/2032 DD 09/05/02

 

607,710

FIRST UN NATL BK 01-C4 CL A2

 

6.223% 12/12/2033 DD 12/01/01

 

1,402,448

FLEET FIN GROUP INC NEW

 

6.375% 05/15/2008 DD 05/26/98

 

1,013,750

FLORIDA PWR & LT 1ST MTG

 

6.000% 06/01/2008 DD 06/01/98

 

1,008,280

FNMAPOOL #0253683

 

7.500% 01/01/2031 DD 01/01/01

 

140,919

FNMAPOOL #0254308

 

6.500% 05/01/2017 DD 04/01/02

 

50,898

FNMAPOOL #0254546

 

5.500% 12/01/2017 DD 11/01/02

 

189,409

FNMAPOOL #0254621

 

6.500% 01/01/2033 DD 12/01/02

 

603,161

FNMAPOOL #0254631

 

5.000% 02/01/2018 DD 01/01/03

 

814,662

FNMAPOOL #0254720

 

4.500% 05/01/2018 DD 04/01/03

 

200,193

FNMAPOOL #0254753

 

4.000% 05/01/2010 DD 04/01/03

 

442,190

FNMAPOOL #0254817

 

4.000% 06/01/2013 DD 05/01/03

 

107,008

FNMAPOOL #0254845

 

4.000% 07/01/2013 DD 06/01/03

 

142,745

FNMAPOOL #0254863

 

4.000% 08/01/2013 DD 07/01/03

 

198,105

FNMAPOOL #0254906

 

4.500% 10/01/2018 DD 09/01/03

 

1,830,554

FNMAPOOL #0254909

 

4.000% 09/01/2013 DD 08/01/03

 

375,025

FNMAPOOL #0254915

 

4.500% 09/01/2023 DD 08/01/03

 

1,725,202

FNMAPOOL #0254918

 

4.500% 09/01/2033 DD 08/01/03

 

706,014

FNMAPOOL #0254957

 

4.000% 10/01/2013 DD 09/01/03

 

775,859

FNMAPOOL #0254987

 

5.000% 12/01/2018 DD 11/01/03

 

21,572

FNMAPOOL #0255174

 

VAR RT 03/01/2014 DD 02/01/04

 

1,105,326

FNMAPOOL #0255654

 

4.500% 02/01/2035 DD 01/01/05

 

292,347

FNMAPOOL #0255897

 

4.500% 10/01/2035 DD 09/01/05

 

1,801,362

FNMAPOOL #0256059

 

5.500% 01/01/2036 DD 12/01/05

 

644,755

FNMAPOOL #0256269

 

5.500% 06/01/2036 DD 05/01/06

 

222,021

FNMAPOOL #0256394

 

6.500% 09/01/2036 DD 08/01/06

 

98,380

FNMAPOOL #0256597

 

5.500% 02/01/2037 DD 01/01/07

 

995,000

FNMAPOOL #0303777

 

7.000% 03/01/2011 DD 02/01/96

 

26,819

FNMAPOOL #0303906

 

7.000% 05/01/2011 DD 04/01/96

 

34,473

FNMAPOOL #0303945

 

7.000% 12/01/2010 DD 05/01/96

 

20,449

FNMAPOOL #0313467

 

5.500% 11/01/2011 DD 03/01/97

 

580,444

FNMAPOOL #0316864

 

7.000% 07/01/2025 DD 07/01/95

 

6,993

FNMAPOOL #0323331

 

6.500% 11/01/2008 DD 10/01/98

 

124,692

FNMAPOOL #0325793

 

7.000% 09/01/2010 DD 10/01/95

 

6,647

FNMAPOOL #0340901

 

6.000% 03/01/2014 DD 03/01/96

 

645,404

FNMAPOOL #0357327

 

5.000% 01/01/2018 DD 01/01/03

 

370,268

FNMAPOOL #0357327

 

5.000% 01/01/2018 DD 01/01/03

 

882,730

FNMAPOOL #0357329

 

4.500% 01/01/2018 DD 01/01/03

 

77,629

FNMAPOOL #0357348

 

5.000% 02/01/2018 DD 02/01/03

 

2,855,548

FNMAPOOL #0357418

 

4.000% 08/01/2018 DD 08/01/03

 

3,510,189

FNMAPOOL #0420218

 

7.000% 03/01/2013 DD 03/01/98

 

62,029

FNMAPOOL #0449943

 

6.500% 12/01/2028 DD 11/01/98

 

40,419

FNMAPOOL #0453718

 

6.500% 01/01/2029 DD 01/01/99

 

140,260

FNMAPOOL #0454266

 

6.500% 01/01/2029 DD 01/01/99

 

231,368

FNMAPOOL #0454953

 

6.500% 12/01/2028 DD 01/01/99

 

167,803

FNMAPOOL #0456277

 

6.500% 12/01/2028 DD 12/01/98

 

42,291

FNMAPOOL #0516232

 

8.500% 08/01/2009 DD 09/01/99

 

35,565

FNMAPOOL #0518113

 

7.000% 10/01/2029 DD 10/01/99

 

31,144

FNMAPOOL #0535327

 

5.500% 06/01/2011 DD 05/01/00

 

531,849

FNMAPOOL #0545378

 

5.507% 12/01/2011 DD 12/01/01

 

909,148

FNMAPOOL #0545933

 

5.627% 08/01/2012 DD 09/01/02

 

1,181,663

FNMAPOOL #0555114

 

5.500% 12/01/2017 DD 11/01/02

 

192,970

FNMAPOOL #0555363

 

5.000% 04/01/2018 DD 03/01/03

 

76,770

FNMAPOOL #0555366

 

4.500% 04/01/2018 DD 03/01/03

 

690,504

FNMAPOOL #0555417

 

6.000% 05/01/2033 DD 04/01/03

 

25,589

FNMAPOOL #0555436

 

6.000% 05/01/2033 DD 04/01/03

 

430,550

FNMAPOOL #0555531

 

5.500% 06/01/2033 DD 05/01/03

 

2,529,876

FNMAPOOL #0555549

 

5.000% 06/01/2018 DD 05/01/03

 

50,768

FNMAPOOL #0555880

 

5.500% 11/01/2033 DD 10/01/03

 

512,529

FNMAPOOL #0555900

 

5.000% 10/01/2018 DD 10/01/03

 

62,265

FNMAPOOL #0569270

 

7.000% 01/01/2016 DD 01/01/01

 

67,222

FNMAPOOL #0575384

 

6.500% 04/01/2016 DD 03/01/01

 

69,797

FNMAPOOL #0586647

 

6.500% 06/01/2016 DD 06/01/01

 

16,159

FNMAPOOL #0611001

 

5.500% 11/01/2016 DD 11/01/01

 

39,954

FNMAPOOL #0626014

 

5.500% 02/01/2017 DD 01/01/02

 

81,838

FNMAPOOL #0626589

 

6.500% 03/01/2017 DD 03/01/02

 

108,870

FNMAPOOL #0642713

 

6.500% 05/01/2017 DD 05/01/02

 

10,345

FNMAPOOL #0643340

 

6.500% 03/01/2017 DD 06/01/02

 

94,635

FNMAPOOL #0643858

 

6.500% 05/01/2032 DD 05/01/02

 

11,711

FNMAPOOL #0644886

 

6.500% 06/01/2017 DD 06/01/02

 

99,965

FNMAPOOL #0654650

 

5.500% 01/01/2018 DD 01/01/03

 

245,508

 

S-6




Security Name

 

 

 

Security Description

 

Market Value

FNMAPOOL #0657374

 

6.500% 10/01/2017 DD 10/01/02

 

8,280

FNMAPOOL #0658906

 

VAR RT 01/01/2033 DD 01/01/03

 

427,209

FNMAPOOL #0668357

 

5.000% 12/01/2017 DD 12/01/02

 

3,894,717

FNMAPOOL #0669334

 

5.000% 11/01/2017 DD 11/01/02

 

91,872

FNMAPOOL #0672347

 

5.000% 12/01/2017 DD 12/01/02

 

65,973

FNMAPOOL #0674595

 

5.000% 12/01/2017 DD 12/01/02

 

80,577

FNMAPOOL #0674690

 

5.000% 01/01/2018 DD 12/01/02

 

80,719

FNMAPOOL #0674694

 

5.000% 01/01/2018 DD 12/01/02

 

74,121

FNMAPOOL #0674715

 

5.000% 01/01/2018 DD 12/01/02

 

101,550

FNMAPOOL #0675223

 

5.000% 12/01/2017 DD 12/01/02

 

66,194

FNMAPOOL #0675259

 

5.000% 12/01/2017 DD 12/01/02

 

99,545

FNMAPOOL #0676688

 

5.000% 12/01/2017 DD 12/01/02

 

91,866

FNMAPOOL #0678000

 

5.000% 12/01/2017 DD 12/01/02

 

3,421,984

FNMAPOOL #0678108

 

5.000% 01/01/2018 DD 12/01/02

 

681,963

FNMAPOOL #0684444

 

5.000% 04/01/2018 DD 03/01/03

 

41,241

FNMAPOOL #0685194

 

4.500% 03/01/2018 DD 03/01/03

 

93,306

FNMAPOOL #0685474

 

4.500% 04/01/2018 DD 04/01/03

 

72,429

FNMAPOOL #0686044

 

VAR RT 07/01/2033 DD 07/01/03

 

1,013,666

FNMAPOOL #0687485

 

4.500% 06/01/2018 DD 06/01/03

 

64,405

FNMAPOOL #0689082

 

5.000% 06/01/2018 DD 06/01/03

 

150,418

FNMAPOOL #0689085

 

4.500% 06/01/2018 DD 06/01/03

 

155,826

FNMAPOOL #0693202

 

5.000% 05/01/2018 DD 05/01/03

 

283,564

FNMAPOOL #0694900

 

4.500% 04/01/2018 DD 03/01/03

 

131,767

FNMAPOOL #0695826

 

5.000% 04/01/2018 DD 04/01/03

 

169,368

FNMAPOOL #0695845

 

5.000% 04/01/2018 DD 04/01/03

 

54,392

FNMAPOOL #0695854

 

4.500% 05/01/2018 DD 05/01/03

 

76,901

FNMAPOOL #0695863

 

4.500% 05/01/2018 DD 05/01/03

 

152,916

FNMAPOOL #0695893

 

4.500% 05/01/2018 DD 05/01/03

 

73,816

FNMAPOOL #0695904

 

5.000% 05/01/2018 DD 04/01/03

 

869,240

FNMAPOOL #0695932

 

5.000% 06/01/2018 DD 05/01/03

 

59,290

FNMAPOOL #0697050

 

5.000% 05/01/2018 DD 05/01/03

 

113,501

FNMAPOOL #0697602

 

4.500% 05/01/2018 DD 04/01/03

 

315,204

FNMAPOOL #0701379

 

4.500% 05/01/2018 DD 04/01/03

 

71,085

FNMAPOOL #0702326

 

4.500% 05/01/2018 DD 04/01/03

 

67,116

FNMAPOOL #0702857

 

5.000% 04/01/2018 DD 04/01/03

 

1,497,625

FNMAPOOL #0703445

 

5.000% 05/01/2018 DD 05/01/03

 

116,903

FNMAPOOL #0703710

 

5.000% 02/01/2018 DD 04/01/03

 

138,851

FNMAPOOL #0707774

 

4.500% 06/01/2018 DD 06/01/03

 

300,155

FNMAPOOL #0708804

 

5.000% 06/01/2018 DD 05/01/03

 

22,060

FNMAPOOL #0709192

 

5.000% 06/01/2018 DD 06/01/03

 

151,771

FNMAPOOL #0709817

 

4.500% 05/01/2018 DD 05/01/03

 

158,000

FNMAPOOL #0709826

 

5.000% 06/01/2018 DD 06/01/03

 

24,139

FNMAPOOL #0713972

 

5.500% 07/01/2033 DD 07/01/03

 

8,049,118

FNMAPOOL #0720286

 

5.500% 03/01/2033 DD 05/01/03

 

83,651

FNMAPOOL #0720307

 

4.500% 06/01/2018 DD 06/01/03

 

150,433

FNMAPOOL #0720309

 

4.500% 06/01/2018 DD 06/01/03

 

84,231

FNMAPOOL #0720321

 

4.500% 07/01/2018 DD 07/01/03

 

78,878

FNMAPOOL #0720364

 

4.500% 06/01/2018 DD 06/01/03

 

417,687

FNMAPOOL #0720370

 

4.500% 06/01/2018 DD 06/01/03

 

77,957

FNMAPOOL #0720718

 

4.500% 06/01/2018 DD 06/01/03

 

179,213

FNMAPOOL #0721346

 

4.500% 06/01/2018 DD 06/01/03

 

72,139

FNMAPOOL #0724866

 

5.000% 06/01/2018 DD 06/01/03

 

52,213

FNMAPOOL #0725050

 

4.500% 01/01/2019 DD 12/01/03

 

53,176

FNMAPOOL #0725162

 

6.000% 02/01/2034 DD 01/01/04

 

1,295,119

FNMAPOOL #0725206

 

5.500% 02/01/2034 DD 02/01/04

 

2,233,736

FNMAPOOL #0725277

 

4.500% 03/01/2019 DD 02/01/04

 

74,823

FNMAPOOL #0725424

 

5.500% 04/01/2034 DD 04/01/04

 

111,193

FNMAPOOL #0725425

 

5.500% 04/01/2034 DD 04/01/04

 

10,960,907

FNMAPOOL #0725519

 

5.500% 05/01/2019 DD 05/01/04

 

969,863

FNMAPOOL #0725709

 

4.000% 07/01/2019 DD 07/01/04

 

1,774,785

FNMAPOOL #0725773

 

5.500% 09/01/2034 DD 08/01/04

 

10,502,047

FNMAPOOL #0725946

 

5.500% 11/01/2034 DD 10/01/04

 

1,703,118

FNMAPOOL #0725946

 

5.500% 11/01/2034 DD 10/01/04

 

6,085,026

FNMAPOOL #0727453

 

5.000% 08/01/2018 DD 08/01/03

 

386,581

FNMAPOOL #0729214

 

VAR RT 02/01/2035 DD 02/01/05

 

2,112,308

FNMAPOOL #0730338

 

5.000% 09/01/2018 DD 09/01/03

 

566,556

FNMAPOOL #0730638

 

4.000% 08/01/2018 DD 07/01/03

 

2,395,057

FNMAPOOL #0731380

 

4.500% 08/01/2033 DD 08/01/03

 

667,196

FNMAPOOL #0732093

 

5.000% 09/01/2018 DD 08/01/03

 

17,037

FNMAPOOL #0734788

 

4.000% 09/01/2018 DD 09/01/03

 

3,522,438

FNMAPOOL #0735010

 

5.000% 11/01/2019 DD 11/01/04

 

151,022

FNMAPOOL #0735141

 

5.500% 01/01/2035 DD 12/01/04

 

6,713,588

FNMAPOOL #0735224

 

5.500% 02/01/2035 DD 01/01/05

 

20,359,640

FNMAPOOL #0735228

 

5.500% 02/01/2035 DD 01/01/05

 

3,845,327

FNMAPOOL #0735494

 

4.500% 03/01/2020 DD 04/01/05

 

177,789

FNMAPOOL #0735504

 

6.000% 04/01/2035 DD 04/01/05

 

3,858,611

FNMAPOOL #0735611

 

5.500% 03/01/2020 DD 05/01/05

 

69,602

FNMAPOOL #0735989

 

5.500% 02/01/2035 DD 10/01/05

 

3,440,046

FNMAPOOL #0739410

 

5.500% 10/01/2018 DD 09/01/03

 

429,083

FNMAPOOL #0740482

 

5.500% 10/01/2018 DD 10/01/03

 

14,304

FNMAPOOL #0740832

 

5.000% 10/01/2018 DD 10/01/03

 

16,459

FNMAPOOL #0743437

 

5.000% 10/01/2018 DD 10/01/03

 

35,382

FNMAPOOL #0743474

 

5.000% 11/01/2018 DD 10/01/03

 

39,834

FNMAPOOL #0744207

 

5.000% 10/01/2018 DD 09/01/03

 

16,845

 

S-7




 

Security Name

 

 

 

Security Description

 

Market Value

FNMAPOOL #0745140

 

5.000% 11/01/2035 DD 12/01/05

 

1,669,919

FNMAPOOL #0745193

 

5.500% 06/01/2020 DD 12/01/05

 

968,090

FNMAPOOL #0745268

 

4.500% 09/01/2019 DD 01/01/06

 

622,716

FNMAPOOL #0745271

 

4.500% 09/01/2018 DD 01/01/06

 

839,121

FNMAPOOL #0745275

 

5.000% 02/01/2036 DD 01/01/06

 

1,916,981

FNMAPOOL #0745369

 

5.000% 12/01/2019 DD 02/01/06

 

853,892

FNMAPOOL #0745387

 

5.000% 04/01/2019 DD 02/01/06

 

953,099

FNMAPOOL #0745388

 

5.000% 11/01/2018 DD 02/01/06

 

578,034

FNMAPOOL #0745395

 

4.500% 04/01/2020 DD 02/01/06

 

465,248

FNMAPOOL #0745412

 

5.500% 12/01/2035 DD 03/01/06

 

2,903,515

FNMAPOOL #0745500

 

5.500% 12/01/2018 DD 04/01/06

 

867,098

FNMAPOOL #0745737

 

5.000% 03/01/2021 DD 07/01/06

 

2,490,716

FNMAPOOL #0745832

 

6.000% 04/01/2021 DD 08/01/06

 

3,674,820

FNMAPOOL #0745833

 

6.000% 01/01/2021 DD 08/01/06

 

134,876

FNMAPOOL #0746285

 

5.000% 10/01/2018 DD 10/01/03

 

15,846

FNMAPOOL #0747768

 

5.000% 10/01/2018 DD 10/01/03

 

17,545

FNMAPOOL #0747771

 

5.000% 10/01/2018 DD 10/01/03

 

16,479

FNMAPOOL #0747775

 

4.500% 10/01/2018 DD 10/01/03

 

660,844

FNMAPOOL #0747784

 

4.500% 10/01/2018 DD 10/01/03

 

52,675

FNMAPOOL #0747837

 

5.000% 11/01/2018 DD 11/01/03

 

91,656

FNMAPOOL #0747925

 

5.000% 11/01/2018 DD 11/01/03

 

16,644

FNMAPOOL #0747967

 

4.500% 11/01/2018 DD 11/01/03

 

68,105

FNMAPOOL #0749921

 

5.000% 11/01/2018 DD 10/01/03

 

58,230

FNMAPOOL #0752085

 

4.500% 11/01/2018 DD 11/01/03

 

67,068

FNMAPOOL #0752178

 

5.000% 10/01/2018 DD 11/01/03

 

13,479

FNMAPOOL #0753522

 

5.000% 11/01/2018 DD 11/01/03

 

16,513

FNMAPOOL #0753656

 

4.500% 12/01/2018 DD 11/01/03

 

67,509

FNMAPOOL #0755165

 

5.000% 12/01/2018 DD 11/01/03

 

16,814

FNMAPOOL #0755501

 

4.500% 11/01/2018 DD 11/01/03

 

69,614

FNMAPOOL #0757588

 

4.500% 12/01/2018 DD 12/01/03

 

47,954

FNMAPOOL #0757593

 

4.500% 12/01/2018 DD 12/01/03

 

40,969

FNMAPOOL #0757596

 

4.500% 12/01/2018 DD 12/01/03

 

48,849

FNMAPOOL #0758108

 

5.000% 12/01/2018 DD 12/01/03

 

16,577

FNMAPOOL #0758905

 

4.385% 12/01/2033 DD 12/01/03

 

1,027,685

FNMAPOOL #0759368

 

5.000% 01/01/2019 DD 01/01/04

 

17,951

FNMAPOOL #0761404

 

5.000% 05/01/2019 DD 05/01/04

 

68,224

FNMAPOOL #0761447

 

5.000% 01/01/2019 DD 03/01/04

 

16,950

FNMAPOOL #0761461

 

5.500% 03/01/2019 DD 05/01/04

 

64,148

FNMAPOOL #0762751

 

4.500% 12/01/2018 DD 12/01/03

 

52,395

FNMAPOOL #0766312

 

5.500% 03/01/2019 DD 02/01/04

 

96,588

FNMAPOOL #0767183

 

5.000% 02/01/2019 DD 02/01/04

 

17,300

FNMAPOOL #0777481

 

5.500% 06/01/2034 DD 06/01/04

 

196,526

FNMAPOOL #0778748

 

4.000% 05/01/2019 DD 05/01/04

 

146,479

FNMAPOOL #0780394

 

4.000% 06/01/2019 DD 06/01/04

 

139,070

FNMAPOOL #0780656

 

5.500% 06/01/2034 DD 06/01/04

 

381,590

FNMAPOOL #0791589

 

VAR RT 10/01/2034 DD 09/01/04

 

1,353,788

FNMAPOOL #0801543

 

7.500% 09/01/2034 DD 09/01/04

 

20,528

FNMAPOOL #0809350

 

5.500% 12/01/2034 DD 01/01/05

 

3,784,767

FNMAPOOL #0812185

 

4.500% 02/01/2035 DD 02/01/05

 

282,899

FNMAPOOL #0814474

 

4.500% 03/01/2035 DD 03/01/05

 

247,722

FNMAPOOL #0816281

 

VAR RT 03/01/2035 DD 03/01/05

 

2,073,646

FNMAPOOL #0817773

 

7.500% 07/01/2036 DD 07/01/06

 

829,051

FNMAPOOL #0819359

 

4.500% 03/01/2035 DD 03/01/05

 

298,253

FNMAPOOL #0824174

 

7.500% 04/01/2035 DD 04/01/05

 

27,905

FNMAPOOL #0824525

 

5.500% 05/01/2035 DD 05/01/05

 

506,659

FNMAPOOL #0825768

 

5.500% 08/01/2035 DD 08/01/05

 

2,738,186

FNMAPOOL #0828346

 

5.000% 07/01/2035 DD 07/01/05

 

56,420

FNMAPOOL #0831836

 

5.500% 10/01/2036 DD 10/01/06

 

866,142

FNMAPOOL #0833408

 

4.500% 09/01/2035 DD 08/01/05

 

58,599

FNMAPOOL #0833630

 

7.500% 03/01/2036 DD 03/01/06

 

1,032,493

FNMAPOOL #0834657

 

5.500% 08/01/2035 DD 08/01/05

 

348,605

FNMAPOOL #0839466

 

4.500% 09/01/2035 DD 09/01/05

 

925,207

FNMAPOOL #0840639

 

4.500% 09/01/2035 DD 09/01/05

 

176,863

FNMAPOOL #0841079

 

4.500% 09/01/2035 DD 09/01/05

 

855,371

FNMAPOOL #0845075

 

4.929% 12/01/2035 DD 12/01/05

 

1,776,990

FNMAPOOL #0845155

 

5.500% 01/01/2021 DD 01/01/06

 

651,736

FNMAPOOL #0850867

 

VAR RT 01/01/2036 DD 01/01/06

 

1,065,301

FNMAPOOL #0851465

 

5.500% 01/01/2036 DD 01/01/06

 

949,912

FNMAPOOL #0852524

 

6.000% 02/01/2036 DD 02/01/06

 

888,233

FNMAPOOL #0852935

 

4.500% 02/01/2036 DD 02/01/06

 

28,995

FNMAPOOL #0866930

 

5.500% 02/01/2036 DD 02/01/06

 

316,416

FNMAPOOL #0868292

 

5.500% 04/01/2036 DD 03/01/06

 

959,577

FNMAPOOL #0869940

 

5.500% 04/01/2036 DD 04/01/06

 

977,550

FNMAPOOL #0870539

 

5.252% 03/01/2036 DD 03/01/06

 

2,096,336

FNMAPOOL #0871278

 

5.500% 05/01/2036 DD 05/01/06

 

977,204

FNMAPOOL #0879906

 

VAR RT 10/01/2033 DD 02/01/06

 

812,637

FNMAPOOL #0880076

 

6.000% 03/01/2036 DD 03/01/06

 

1,006,741

FNMAPOOL #0880855

 

5.500% 04/01/2036 DD 03/01/06

 

914,444

FNMAPOOL #0881735

 

7.500% 03/01/2036 DD 03/01/06

 

200,377

FNMAPOOL #0883576

 

5.500% 05/01/2036 DD 05/01/06

 

961,191

FNMAPOOL #0883997

 

7.500% 05/01/2036 DD 05/01/06

 

982,889

FNMAPOOL #0884026

 

6.000% 05/01/2036 DD 05/01/06

 

1,006,690

FNMAPOOL #0887854

 

5.500% 11/01/2036 DD 11/01/06

 

83,138

FNMAPOOL #0891814

 

6.500% 07/01/2036 DD 07/01/06

 

974,502

 

S-8




Security Name

 

 

 

Security Description

 

Market Value

FNMAPOOL #0893572

 

6.500% 09/01/2036 DD 09/01/06

 

994,020

FNMAPOOL #0893946

 

5.500% 10/01/2036 DD 09/01/06

 

39,558

FNMAPOOL #0894051

 

5.500% 10/01/2036 DD 09/01/06

 

1,000,320

FNMAPOOL #0894843

 

6.000% 09/01/2036 DD 09/01/06

 

953,256

FNMAPOOL #0900333

 

6.000% 09/01/2036 DD 09/01/06

 

24,483

FNMAPOOL #0901437

 

6.000% 10/01/2036 DD 10/01/06

 

2,696,954

FNMAPOOL #0901666

 

6.000% 10/01/2036 DD 10/01/06

 

9,308,464

FNMAPOOL #0905264

 

6.000% 11/01/2036 DD 12/01/06

 

118,567

FNMAPOOL #0906274

 

5.500% 01/01/2037 DD 01/01/07

 

988,130

FNMAPOOL #0909394

 

5.500% 02/01/2037 DD 01/01/07

 

988,109

FNMAPOOL #0910602

 

5.500% 01/01/2037 DD 01/01/07

 

383,780

FNMAPOOL #0928043

 

5.500% 12/01/2036 DD 01/01/07

 

597,000

FNMA GTD REMIC P/T

 

10.000% 09/25/2016 DD 08/01/01

 

120,272

FNMA GTD REMIC P/T

 

4.700% 06/25/2013 DD 05/01/04

 

684,241

FNMA GTD REMIC P/T 05-58 EP

 

5.500% 07/25/2035 DD 06/01/05

 

797,634

FNMA GTD REMIC P/T 05-84 XM

 

5.750% 10/25/2035 DD 09/01/05

 

1,312,129

FNMA GTD REMIC P/T 2002-34 FE

 

VAR RT 05/18/2032 DD 04/18/02

 

59,995

FNMA GTD REMIC P/T 2002-T6 A1

 

3.310% 03/25/2032 DD 03/01/02

 

251,453

FNMA GTD REMIC P/T 2005-87 QB

 

5.000% 11/25/2034 DD 09/01/05

 

1,336,139

FNMA GTD REMIC P/T 94-75 J

 

7.000% 10/25/2023 DD 04/01/94

 

24,394

FNMA GTD REMIC P/T CTF 88-12A

 

VAR RT 02/25/2018

 

242,320

FNMA GTD REMIC P/T CTF 99W4 A9

 

6.250% 02/25/2029

 

3,401,220

FNMA GTD REMIC P/T CTF91-24Z

 

5.000% 03/25/2021

 

241,370

FNMA GTD REMIC P/T CTF93-19N

 

5.000% 02/25/2023

 

201,119

FORD CR AUTO OWNER TR 05-A A-3

 

3.480% 11/15/2008 DD 01/13/05

 

889,831

FRANCE TELECOM SA NT

 

STEP03/01/2011 DD 09/01/01

 

735,217

FUJI JGB INVT LLC PFD SEC 144A

 

VAR RT 112/31/2049 DD 03/16/98

 

344,396

GE CAP COML MTG 02 2 CL A3

 

5.349% 08/11/2036 DD 08/01/02

 

1,346,298

GE COML MTG CORP 05-C4 A4

 

5.3306% 11/10/2045 DD 12/01/05

 

2,008,840

GENERAL ELEC CAP MTG SVCS INC 144A

 

RATE: 6.01% MATURITY 07/13/07

 

2,702,089

GENERAL ELEC CAP MTN # 00709

 

4.875% 10/21/2010 DD 10/21/05

 

737,200

GENERAL ELEC CAP MTN # 00714

 

5.000% 11/15/2011 DD 12/02/05

 

560,847

GENERAL ELEC CAP MTN #TR00605

 

3.500% 08/15/2007 DD 08/19/03

 

866,110

GENERAL ELEC CAP MTN #TR00665

 

3.750% 12/15/2009 DD 10/29/04

 

596,750

GENERAL ELEC CAP MTN #TR00678

 

VAR RT 01/15/2008 DD 01/20/05

 

2,141,990

GMAC COML MTG 02 C3 CL A2

 

4.930% 07/10/2039 DD 12/01/02

 

1,395,972

GMAC COML MTG SEC 02-C1 CL A2

 

6.278% 11/15/2039 DD 02/01/02

 

2,084,200

GMAC COML MTG SECS 03-C3 A-3

 

4.646% 04/10/2040 DD 12/01/03

 

1,173,972

GMAC COML MTG SECS 99-C2 CL A2

 

6.945% 09/15/2033

 

509,383

GNMAPOOL #0424340

 

6.500% 05/15/2026 DD 05/01/96

 

48,493

GNMAPOOL #0498396

 

6.000% 02/15/2029 DD 02/01/99

 

74,712

GNMAPOOL #0513834

 

6.500% 08/15/2029 DD 08/01/99

 

44,758

GNMAPOOL #0520046

 

7.000% 06/15/2031 DD 06/01/01

 

18,249

GNMAPOOL #0523128

 

7.000% 04/15/2031 DD 04/01/01

 

30,216

GNMAPOOL #0538840

 

7.000% 04/15/2031 DD 04/01/01

 

1,798

GNMAPOOL #0569149

 

6.000% 03/15/2032 DD 03/01/02

 

21,288

GNMAPOOL #0571201

 

7.000% 09/15/2031 DD 09/01/01

 

2,064

GNMAPOOL #0585255

 

7.000% 07/15/2032 DD 07/01/02

 

51,567

GNMAPOOL #0604791

 

5.500% 11/15/2033 DD 11/01/03

 

343,177

GNMAPOOL #0608945

 

6.000% 06/15/2036 DD 06/01/06

 

976,790

GNMAPOOL #0620925

 

4.500% 08/15/2033 DD 08/01/03

 

47,783

GNMAPOOL #0781124

 

7.000% 12/15/2029 DD 12/01/99

 

70,772

GNMAPOOL #0781155

 

6.500% 07/15/2009 DD 04/01/00

 

182,076

GNMAPOOL #0781328

 

7.000% 09/15/2031 DD 09/01/01

 

92,289

GNMA GTD REMIC P/T 20020-31 FW

 

VAR RT 06/16/2031 DD 05/16/02

 

144,369

GNMA GTD REMIC P/T 2002-21 FV

 

FLTG RT 03/16/2032 DD 03/16/02

 

252,918

GNMA II POOL #0001524

 

9.000% 12/20/2020 DD 12/01/90

 

3,966

GNMA II POOL #0003056

 

8.000% 03/20/2031 DD 03/01/01

 

31,114

GNMA II POOL #0003123

 

VAR RT 08/20/2031 DD 08/01/01

 

14,243

GNMA II POOL #0003136

 

VAR RT 09/20/2031 DD 09/01/01

 

15,032

GNMA II POOL #0008324

 

VAR RT 11/20/2023 DD 11/01/93

 

26,273

GNMA II POOL #0008814

 

VAR RT 02/20/2026 DD 02/01/96

 

11,898

GNMA II POOL #0008847

 

VAR RT 04/20/2026 DD 04/01/96

 

44,789

GOLDEN ST TOB SECURITIZATION

 

5.000% 06/01/2021 DD 01/29/03

 

498,356

GOLDMAN SACHS GRP MTN #TR00207

 

VAR RT 07/23/2009 DD 07/23/04

 

1,107,040

GOVERNOR & CO BK SCOTLAND 144A

 

VAR RT E11/29/2049 DD 11/17/97

 

1,009,840

GREATER BAY BANCORP SR NT

 

5.250% 03/31/2008 DD 03/24/03

 

224,332

GREYSTONE SVCG FHA #2063 PROJ

 

7.440% 12/31/2039 DD 12/28/87

 

10,560

GS MTG SECS 2006-FF4 A-1

 

VAR RT 02/25/2046 DD 03/30/06

 

1,075,449

GS MTG SECS CORP 05-GG4 A4

 

4.761% 07/10/2039 DD 06/01/05

 

550,223

GS MTG SECS CORP 2005-AR6

 

VAR RT 09/25/2035 DD 09/01/05

 

894,344

GS MTG SECS TR 06 GG8 P/T A-AB

 

5.572% 10/15/2048 DD 10/01/06

 

1,219,620

GSAA HOME EQUITY TR 2006-9 A-1

 

VAR RT 06/25/2036 DD 05/26/06

 

1,247,535

GSAMP 2006 HE4 CTF A-2A

 

VAR RT 06/25/2036 DD 06/29/06

 

1,207,924

HALLIBURTON CO SR NT

 

5.500% 10/15/2010 DD 10/17/03

 

274,527

HANCOCK JOHN II MTN 00001 144A

 

7.900% 07/02/2010 DD 06/30/00

 

324,327

HBOS PLC MTN SR #00007 144A

 

3.750% 09/30/2008 DD 09/18/03

 

296,994

HONDA AUTO REC 06 3 TR A/B A-3

 

5.120% 10/15/2010 DD 10/25/06

 

1,849,778

HONDA AUTO RECV 2005-6 CL A-3

 

4.850% 10/19/2009 DD 12/12/05

 

1,616,355

HOUSEHOLD FIN CORP NT

 

5.750% 01/30/2007 DD 01/30/02

 

90,028

HSBC BANK USA NA INSTL C/D

 

3.870% 06/07/2007 DD 06/07/05

 

1,639,443

HSBC BK USA MTN #SR00012

 

VAR RT 09/21/2007 DD 09/21/04

 

900,837

HSBC CAP FDG DLR 2 LP 144A

 

VAR RT 12/29/2049 DD 06/27/03

 

651,924

HSBC FIN CORP NT

 

5.700% 06/01/2011 DD 05/30/06

 

356,069

S-9




 

Security Name

 

 

 

Security Description

 

Market Value

HUNTINGTON NATL BK COLUMBUS

 

3.125% 05/15/2008 DD 05/12/03

 

364,099

IFC SBA LN BACKED 97-1 A 144A

 

VAR RT 01/15/2024 DD 11/25/97

 

344,444

IMC HOME EQ LN TR 97-2 CL A-7

 

7.230% 05/20/2027 DD 03/01/97

 

76,549

INDYMAC INDX MTG 06-AR41 CL A3

 

VAR RT 02/25/2037 DD 12/28/06

 

1,375,000

IRS BLRK BRS29H7Z5 5.43% 3MLBR

 

W/BANK OF AMERICA 5/16/08

 

11,460

IRS-BLRK BRS2GR108 5.64%

 

W/DEUTSCHE MAT 07/14/2010

 

238,987

IRS-BLRK BRS2HK3D2 3MLB 5.496

 

W/BANK OF AMERICA MAT 07/26/09

 

114,200

IRS-BLRK BRS2Q8YB9 5.16%

 

W/DEUTSCHE MAT 09/12/2009

 

54,908

ISTAR FINL INC SR NT

 

5.700% 03/01/2014 DD 03/09/04

 

470,692

JP MORGAN CHASE 06 CIBC15 A4

 

VAR RT 06/12/2043 DD 06/01/06

 

2,068,800

JP MORGAN MTG TR 06-A2 CL 5A3

 

3.753% 11/25/2033 DD 03/01/06

 

1,984,005

KERN RIV FDG CORP SR NT 144A

 

4.893% 04/30/2018 DD 05/01/03

 

243,472

LANDESKREDITBANK BADEN WURTTEM

 

4.250% 09/15/2010 DD 07/20/05

 

852,303

LB UBS COML 05-C5 CTF A-4

 

4.954% 09/15/2040 DD 08/11/05

 

974,300

LB UBS COML MTG 03-C7 A-3

 

VAR RT 09/15/2027 DD 09/11/03

 

986,114

LB UBS COML MTG 03-C7 CL A-2

 

4.064% 09/15/2027 DD 09/11/03

 

584,046

LB UBS COML MTG 06-C7 CL A3

 

5.347% 11/15/2038 DD 11/11/06

 

1,500,887

LB UBS COML MTG 2006-C6 A-4

 

5.372% 09/15/2039 DD 09/11/06

 

1,222,050

LB UBS COML MTG TR 00-C4 CL A2

 

7.370% 08/15/2026 DD 09/11/00

 

1,641,450

LB UBS COML MTG TR 02 C2 CL A4

 

5.594% 06/15/2031 DD 06/11/02

 

1,295,923

LB UBS COML MTG TR 04-C4 A3

 

VAR RT 06/15/2029 DD 05/11/04

 

1,230,800

LB UBS COML MTG TR 05-C1 CL A3

 

4.545% 02/15/2030 DD 01/11/05

 

1,221,608

LB UBS COML MTG TR 05-C7 CL A4

 

5.197% 11/15/2030 DD 10/11/05

 

989,510

LB UBS COML MTG TR 06-CL A-4

 

5.156% 02/15/2031 DD 01/11/06

 

1,481,835

LEHMAN BROS HLDG INC MTN

 

5.750% 07/18/2011 DD 07/18/06

 

499,570

LEHMAN BROS HLDGS MTN #TR00578

 

4.500% 07/26/2010 DD 07/13/05

 

487,340

LEHMAN BROTHERS HLDGS #TR00632

 

5.750% 04/25/2011 DD 04/25/06

 

418,069

LONG BEACH 06-11 P/T CL IIA1

 

VAR RT 12/25/2036 DD 12/14/06

 

1,500,000

LONG BEACH MTG LN TR 2006-4 ASSET BKD CTF CL II-A1

 

RATE: 5.19099% MATURITY: 05/28/41

 

14,076,232

MASSACHUSETTS RRB BEC-A CL A-4

 

6.910% 09/15/2009 DD 07/29/99

 

635,681

MASSMUTUAL GLOBAL FDG II 144A

 

2.550% 07/15/2008 DD 06/17/03

 

335,451

MASTR ADJ RATE MTGS 02 3 B2

 

VAR RT 10/25/2032 DD 08/01/02

 

316,804

MBNA CR CARD MASTER 2006-A1 A

 

4.900% 07/15/2011 DD 02/15/06

 

1,644,885

MBNA CR CARD MASTER TR 04-4 A

 

2.700% 09/15/2009 DD 04/15/04

 

1,712,114

MBNA MASTER CR CARD 98 E CL A

 

VAR RT 09/15/2010 DD 08/11/98

 

1,679,305

MERCK & CO INT NT

 

2.500% 03/30/2007 DD 02/11/04

 

263,259

MERRILL LYNCH MTG SER C3 CL A3

 

5.880% 12/15/2030 DD 12/01/98

 

926,916

METROPOLITAN LIFE MTN #TR00011

 

4.250% 07/30/2009 DD 07/26/04

 

180,577

MEXICO UNITED MEXICAN STS US$

 

11.500% 05/15/2026 DD 05/07/96

 

48,525

MID ST TR IV ASST BKD NT

 

8.330% 04/01/2030

 

1,043,006

MONEY STORE AUTO TR 99-1 A

 

VAR RT 07/15/2025 DD 03/01/99

 

434,861

MONEY STORE SER 97-2 CL A

 

VAR RT 02/15/2029 DD 12/15/97

 

502,095

MONUMENTAL GLOBAL FDG 144A

 

5.200% 01/30/2007 DD 01/30/02

 

499,920

MORGAN J P & CO INC SUB NT

 

6.250% 02/15/2011 DD 02/15/96

 

360,938

MORGAN JP COML MTG FIN CORP *PP* MTG PASSTHRU CTF 1999-PLS1 CL 144A A-2

 

RATE: 0.00% MATURITY: 02/15/32

 

866,901

MORGAN STANLEY DW & CO GL NT

 

6.750% 04/15/2011 DD 04/23/01

 

263,994

MORGAN STANLEY HOME EQUITY LN TR 2006-3

 

RATE: 5.19099% MATURITY: 04/25/36

 

8,004,274

MORGAN STANLEY NT

 

5.050% 01/21/2011 DD 10/21/05

 

322,865

MORGAN STANLEY NT SER F

 

VAR RT 03/07/2008 DD 03/08/06

 

1,911,490

MORGAN STANLEY SR MTN SER F

 

5.625% 01/09/2012 DD 08/09/06

 

177,870

MUFG CAP FIN 1 LTD USD

 

VAR RT 07/29/2049 DD 03/17/06

 

634,275

NATIONAL AUSTRALIA BK SER A

 

8.600% 05/19/2010 DD 05/19/00

 

551,325

NATIONSLINK FDG CORP 99-SL A6

 

6.608% 05/10/2007 DD 05/01/99

 

20,353

NATIONWIDE BLDG MTN #SR00014

 

3.500% 07/31/2007 DD 07/23/04

 

469,875

NATIONWIDE MTN #SR00019 144A

 

4.250% 02/01/2010 DD 02/03/05

 

43,594

NELNET INC NT

 

5.125% 06/01/2010 DD 05/25/05

 

321,027

NEW YORK LIFE GBL MTN #TR00002

 

3.875% 01/15/2009 DD 01/12/04

 

428,173

NEWS AMER HLDGS INC DEB

 

8.500% 02/23/2025 DD 02/23/95

 

177,515

NEWS AMER HLDGS INC SHELF 9

 

9.500% 07/15/2024 DD 07/15/94

 

165,750

NISOURCE FIN CORP

 

VAR RT 11/23/2009 DD 11/23/04

 

550,171

NISSAN AUTO REC 2005 C CL A-3

 

4.190% 07/15/2009 DD 09/16/05

 

1,708,457

NORDBANKEN AB STEP UP CAP 144A

 

FIX/FLOAT 11/29/2049

 

597,091

ONEOK INC NEW SR NT

 

5.510% 02/16/2008 DD 11/16/05

 

564,554

OPTEUM MTG ACCEP CORP 06-2 A1A

 

VAR RT 07/25/2036 DD 06/26/06

 

1,305,946

ORACLE CORP/OZARK HLDG INC NT

 

5.000% 01/15/2011 DD 01/13/06

 

594,000

ORACLE CORP/OZARK HLDG INC NT

 

5.000% 01/15/2011 DD 01/13/06

 

915,750

PECO ENERGY 99-A CL A-6

 

6.050% 03/01/2009 DD 03/25/99

 

609,419

PHH CORP NT

 

7.125% 03/01/2013 DD 02/19/03

 

180,157

PHH CORP NT

 

6.000% 03/01/2008 DD 02/19/03

 

750,345

PIMCO SWAP #19433 INT RT SWAP

 

5.000% 06/18/2009 DD 07/01/05

 

36,624

PIMCO SWAP #90202 INT RT SWAP

 

5.000% 06/20/2014 DD 07/01/06

 

1,909

PIMCO SWAP CO 8208 DEERE CRED

 

24.000% 12/20/2008 DD 10/22/03

 

770

PIMCO SWAP CO 8216 RADIOSHACK

 

37.000% 12/20/2008 DD 10/22/03

 

2,005

PIMCO SWAP CO 8224 CATERPILLAR

 

19.000% 12/20/2008 DD 10/22/03

 

504

PIMCO SWAP CO 9081 EMERSON

 

22.000% 12/20/2008 DD 10/22/03

 

62,972

PIMCO SWAP CO 9149 INTL PAPER

 

60.000% 12/20/2008 DD 10/22/03

 

1,841

PIMCO SWAP CO 9222 SIMON PROP

 

44.000% 12/20/2008 DD 10/22/03

 

1,490

PIMCO SWAP CO 9248 WAL MART

 

15.000% 12/20/2008 DD 10/22/03

 

552

PRINCIPAL FINL GRP 144A

 

8.200% 08/15/2009 DD 08/25/99

 

481,707

PRINCIPAL LIFE GLOBAL FDG 144A

 

3.625% 04/30/2008 DD 04/11/03

 

190,246

PROJECT FDG I ASSET BKD I 144A

 

VAR RT 01/15/2012 DD 03/05/98

 

237,275

PRUDENTIAL FDG MTN #00064 144A

 

6.600% 05/15/2008 DD 05/14/01

 

253,475

PRUDENTIAL FINL MTN TR 00001

 

3.750% 05/01/2008 DD 05/01/03

 

440,997

PSEG FDG TR I GTD NT TR SECS

 

5.381% 11/16/2007 DD 08/08/05

 

349,286

 

S-10




Security Name

 

 

 

Security Description

 

Market Value

QBE INS GROUP LTD SUB FXD 144A

 

VAR RT /07/01/2023 DD 06/17/03

 

655,061

RASC SER 2006 EMX5 P/T A-1

 

VAR RT 07/25/2036 DD 06/29/06

 

1,786,469

RAYTHEON CO NTS

 

6.150% 11/01/2008 DD 11/05/98

 

87,102

REILLY MTG ASSOC 67TH FHA INSD

 

7.430% 12/31/2039 DD 01/01/83

 

178,127

REILLY MTG ASSOC 91ST FHA PROJ

 

7.430% 07/01/2023 DD 07/01/83

 

114,898

REILLY MTG GRP FHA POOL #64

 

7.430% 01/25/2024 DD 03/01/84

 

229,744

RESIDENTIAL ASSET 05-RS8 CL A1

 

VAR RT 05/25/2035 DD 09/29/05

 

318,279

RESIDENTIAL ASSET 05-RZ4 A1

 

VAR RT 11/25/2035 DD 12/06/05

 

1,081,038

RESIDENTIAL CAP CORP NT

 

6.375% 06/30/2010 DD 06/24/05

 

126,445

RESIDENTIAL CAP CORP NT

 

6.125% 11/21/2008 DD 11/21/05

 

577,875

RESIDENTIAL SER 06 RS4 A1

 

VAR RT 07/25/2036 DD 06/28/06

 

1,635,329

RESONA PFD GLOBAL SECS 144A

 

VAR RT 12/29/2049 DD 07/25/05

 

521,715

SALES TAX ASSET RECEIVABLE N Y

 

3.830% 10/15/2009 DD 11/04/04

 

275,638

SALOMON BROS MTG 01-C2 CL A 3

 

6.499% 10/13/2011 DD 12/01/01

 

1,006,618

SALOMON BROS MTG VII 00-C1 A2

 

7.520% 12/18/2009 DD 06/01/00

 

841,520

SALOMON BROS MTG VII 94-20 A

 

VAR RT 08/01/2024

 

28,394

SALOMON SMITH BARNEY HLDGS NT

 

6.500% 02/15 /2008 DD 02/06/01

 

182,137

SBA GTD PARTN CTFS SBIC 20-10A

 

8.017% 02/10/2010 DD 02/23/00

 

769,324

SBC COMMUNICATIONS INC 144A

 

4.214% 06/05/2021 DD 06/05/05

 

596,718

SBC COMMUNICATIONS INC GBL NT

 

5.875% 02/01/2012 DD 02/01/02

 

30,567

SCOTTISH PWR PLC NT

 

4.910% 03/15/2010 DD 03/21/05

 

517,451

SLM STUDENT LN TR 03 2 CL A 3

 

VAR RT 12/15/2015 DD 03/04/03

 

259,219

SLM STUDENT LN TR 2005-10 A2

 

VAR RT 04/25/2015 DD 12/14/05

 

1,446,049

SMALL BUS ADMIN CTF S-95 20B

 

8.150% 02/01/2015 DD 02/15/95

 

494,973

SMALL BUS ADMIN GTD PARTN 97-D

 

7.500% 04/01/2017

 

1,058,236

SMALL BUS ADMIN GTD PARTN 97-H

 

6.800% 08/01/2017

 

436,241

SMALL BUS ADMIN GTD PARTN CTF

 

1999-20 7.200% 10/01/2019

 

1,569,410

SMALL BUSINESS ADMIN 97-F

 

7.200% 06/01/2017 DD 06/01/97

 

174,271

SP POWERASSETS LTD #00001 144A

 

3.800% 10/22/2008 DD 10/22/03

 

292,500

SPRINT CAP CORP

 

7.625% 01/30/2011 DD 01/25/01

 

133,828

SPRINT CAP CORP

 

6.875% 11/15/2028 DD 11/16/98

 

175,165

SPRINT CAP CORP

 

7.625% 01/30/2011 DD 01/25/01

 

669,138

STRUCTURED ASSET 0121A CL 1A1

 

VAR RT 01/25/2032 DD 12/01/01

 

91,769

STRUCTURED ASSET 03-34A 3A3

 

VAR RT 11/25/2033 DD 10/01/03

 

589,356

STRUCTURED ASSET 06-BC6 CL A2

 

VAR RT 01/25/2037 DD 12/25/06

 

1,725,000

STRUCTURED ASSET SECS 03 144A

 

3.357% 04/25/2031 DD 01/01/03

 

503,999

STRUCTURED ASSET SECS 04-5 1A

 

VAR RT 05/25/2034 DD 04/01/04

 

701,034

STRUCTURED ASSET SECS 04-6 3A2

 

VAR RT 06/25/2034 DD 05/01/04

 

976,011

SUNTRUST BK ATLANTA INSTL C/D

 

4.415% 06/15/2009 DD 06/02/04

 

230,698

SUNTRUST BKS INC SR NT

 

3.625% 10/15/2007 DD 08/06/04

 

360,094

SWEDISH EXPT CR CORP GLOBAL NT

 

3.500% 01/15/2008 DD 12/08/04

 

1,477,500

TABACCO SETTLEMENT FING CORP

 

5.500% 06/01/2015 DD 06/19/03

 

105,404

TCI COMMUN INC

 

8.750% 08/01/2015 DD 08/01/95

 

165,593

TELE COMMUNICATIONS INC DEB

 

7.875% 08/01/2013 DD 08/03/93

 

27,797

TELECOM ITALIA CAP GTD SR NT

 

5.250% 10/01/2015 DD 09/28/05

 

93,406

TELECOM ITALIA CAP GTD SR NT

 

4.950% 09/30/2014 DD 09/30/05

 

833,760

TELECOM ITALIA CAP GTD SR NT B

 

5.250% 11/15/2013 DD 05/15/04

 

419,509

TELEFONICA EMISIONES S A U SR

 

6.421% 06/20/2016 DD 06/20/06

 

567,358

TELEFONICA EUROPE B V US NT

 

7.750% 09/15/2010 DD 09/21/00

 

69,814

TENNESSEE VALLEY AUTH 2001 A

 

5.625% 01/18/2011 DD 01/18/01

 

2,032,100

TERRA LNR I GRANTOR CL A1 144A

 

VAR RT 06/15/2017 DD 04/18/06

 

1,122,371

TEXAS ST PUB FIN AUTH REV

 

3.125% 06/15/2007 DD 09/25/03

 

475,291

THE BANK OF NEW YORK CASH RESERVE FUND

 

FUND

 

70

TIAA GLOBAL MKTS INC NT

 

3.875% 01/22/2008 DD 01/16/03

 

132,763

TIME WARNER ENTMT CO LP SR DEB

 

8.375% 03/15/2023 DD 09/15/93

 

293,280

TOBACCO SETTLEMENT AUTH IOWA

 

6.500% 06/01/2023 DD 11/30/05

 

1,078,969

TOBACCO SETTLEMENT FING CORP

 

6.375% 06/01/2032 DD 03/07/03

 

843,473

TOBACCO SETTLEMENT FING CORP

 

6.000% 06/01/2037 DD 08/28/02

 

1,086,190

TRANSOCEAN INC NT

 

VAR RT 09/05/2008 DD 09/05/06

 

1,100,682

TYCO INTL GROUP SA SR NT

 

6.375% 10/15/2011 DD 10/26/01

 

438,493

U S BK NATL ASSN MTN #TR00193

 

2.870% 02/01/2007 DD 02/09/04

 

374,235

U S TREAS BD STRIP PRIN PMT

 

0.000% 08/15/2025 029

 

160,640

U S TREAS BD STRIP PRIN PMT

 

8.75% 08/15/2020

 

667,810

U S TREAS BD STRIP PRIN PMT

 

11/15/2021

 

719,394

U S TREAS NT

 

4.500% 11/30/2011 DD 11/30/06

 

1,586,240

U S TREASURY BILL

 

ZEROCPN 03/01/2007 DD 08/31/06

 

207,396

U S TREASURY BILL

 

DUE 03/15/2007 DD 09/14/06

 

740,950

U S TREASURY BONDS

 

4.500% 02/15/2036 DD 02/15/06

 

109,394

U S TREASURY BONDS

 

4.500% 02/15/2036 DD 02/15/06

 

190,250

U S TREASURY BONDS

 

5.375% 02/15/2031 DD 02/15/01

 

1,178,722

U S TREASURY BONDS

 

4.500% 02/15/2036 DD 02/15/06

 

1,522,000

U S TREASURY BONDS

 

08.750% 08/15/2020 DD 08/15/90

 

1,590,237

U S TREASURY NOTES

 

4.875% 08/15/2016 DD 08/15/06

 

253,075

U S TREASURY NOTES

 

3.375% 02/15/2008 DD 02/15/05

 

491,400

U S TREASURY NOTES

 

3.625% 01/15/2010 DD 01/15/05

 

775,520

U S TREASURY NOTES

 

4.875% 08/15/2009 DD 08/15/06

 

802,640

U S TREASURY NOTES

 

4.250% 08/15/2014 DD 08/15/04

 

971,000

U S TREASURY NOTES

 

4.500% 02/28/2011 DD 02/28/06

 

1,787,220

U S TREASURY NOTES

 

4.375% 08/15/2012 DD 08/15/02

 

2,957,700

U S TREASURY NOTES

 

4.500% 11/15/2010 DD 11/15/05

 

2,979,600

U S TREASURY NOTES

 

4.625% 11/30/2008 DD 11/30/06

 

3,986,800

U S TREASURY NOTES

 

4.875% 04/30/2011 DD 04/30/06

 

4,631,280

U S TREASURY NOTES

 

3.375% 10/15/2009 DD 10/15/04

 

5,211,540

U S TREASURY NOTES

 

06.500% 02/15/2010 DD 02/15/00

 

8,827,896

 

S-11




 

Security Name

 

 

 

Security Description

 

Market Value

U S TREASURY NOTES

 

4.625% 11/30/2008 DD 11/30/06

 

8,970,300

U S TREASURY NOTES

 

4.875% 07/31/2011 DD 07/31/06

 

9,166,430

U S TREASURY NOTES

 

4.500% 02/15/2016 DD 02/15/06

 

9,258,282

U S TREASURY NOTES

 

4.875% 07/31/2011 DD 07/31/06

 

11,785,410

U S TREASURY NOTES

 

4.875% 10/31/2008 DD 10/31/06

 

12,409,920

U S TREASURY NOTES

 

5.125% 06/30/2011 DD 06/30/06

 

24,412,800

U S TREASURY NTS

 

3.875% 09/15/2010 DD 09/15/05

 

1,069,640

UBS FIN DEL INC DISC

 

01/02/2007

 

3,897,716

UNION PAC CORP NT

 

6.625% 02/01/2008 DD 02/03/98

 

328,757

UNITED MEXICAN STS #TR 00013

 

7.500% 04/08/2033 DD 04/11/03

 

35,400

UNITED STATES TREASURY NTS

 

4.000% 04/15/2010 DD 04/15/05

 

3,327,920

UNITED STATES TREASURY NTS

 

4.625% 11/15/2016 DD 11/15/06

 

5,589,563

UNITED STATES TREASURY NTS

 

4.625% 11/15/2016 DD 11/15/06

 

10,135,740

UNITEDHEALTH GROUP INC NT

 

5.250% 03/15/2011 DD 03/02/06

 

697,592

US 10YR TREAS NT FUT EXP MAR07

 

PUT MAR 07 106.000 ED 02/23/07

 

9,344

US BANCORP MTN # TR 00148

 

3.950% 08/23/2007 DD 08/26/02

 

34,694

US BK NATL ASSN # TR 00205

 

2.400% 03/12/2007 DD 03/12/04

 

606,188

US CENT CR UN NT

 

2.750% 05/30/2008 DD 05/30/03

 

434,317

US TREAS-CPI INFLAT

 

2.375% 04/15/2011 DD 04/01/06

 

810,486

US TREAS-CPI INFLAT

 

2.000% 01/15/2026 DD 01/15/06

 

1,334,821

US TREAS-CPI INFLAT

 

3.375% 01/15/2007 DD 01/15/97

 

14,118,958

US TREAS-CPI INFLATION INDEX

 

1.875% 07/15/2015 DD 07/15/05

 

397,946

US TREAS-CPI INFLATION INDEX

 

2.500% 07/15/2016 DD 07/15/06

 

589,280

US TREAS-CPI INFLATION INDEX

 

1.875%007/15/2013 DD 07/15/03

 

637,209

US TREAS-CPI INFLATION INDEX

 

3.625% 01/15/2008 DD 01/15/98

 

884,098

US TREAS-CPI INFLATION INDEX

 

2.000% 07/15/2014 DD 07/15/04

 

1,039,601

US TREAS-CPI INFLATION INDEX

 

0.875% 04/15/2010 DD 10/15/04

 

7,275,063

VERIZON COMMUNICATIONS INC NT

 

VAR RT 08/15/2007 DD 02/15/06

 

1,100,000

VERIZON COMMUNICATIONS INC NT

 

5.350% 02/15/2011 DD 02/15/06

 

1,802,808

VERIZON NEW JERSEY DEB SER A

 

5.875% 01/17/2012 DD 01/22/02

 

769,850

VIRGINIA ELEC & PWR #TR 00038

 

5.730% 11/25/2008 DD 11/25/98

 

336,256

VODAFONE AIRTOUCH PLC NT

 

7.750% 02/15/2010 DD 08/15/00

 

532,683

VODAFONE AIRTOUCH PLC NT

 

7.750% 02/15/2010 DD 08/15/00

 

713,795

VODAFONE GROUP PLC NEW NT

 

5.000% 12/16/2013 DD 09/22/03

 

28,997

VODAFONE GROUP PLC NEW NT

 

VAR RT 12/28/2007 DD 12/29/05

 

875,411

VODAFONE GROUP PLC NEW NT

 

VAR RT 06/29/2007 DD 12/29/05

 

1,000,000

WACHOVIA BK COML 05-C21 CL A-4

 

VAR RT 10/17/2044 DD 10/01/05

 

1,988,060

WACHOVIA BK COML MTG 03-C6 A-4

 

5.125% 08/15/2035 DD 08/01/03

 

1,030,193

WACHOVIA BK INTL TR # SR 00027

 

VAR RT 03/23/2009 DD 03/23/06

 

1,000,150

WACHOVIA BK NATL #SR00017

 

4.375% 08/15/2008 DD 08/08/05

 

9,858

WAMU MTG P/T 06-AR13 CL 1A

 

VAR RT 10/25/2046 DD 09/01/06

 

938,863

WAMU MTG P/T CTFS 05-AR8 2A1A

 

VAR RT 07/25/2045 DD 07/15/05

 

629,250

WELLPOINT INC NT

 

5.000% 01/15/2011 DD 01/10/06

 

444,515

WELLS FARGO & CO NEW NT

 

4.625% 08/09/2010 DD 08/08/05

 

225,722

WELLS FARGO & CO NEW NT

 

4.200% 01/15/2010 DD 12/06/04

 

263,037

WELLS FARGO & CO NEW SR NT

 

4.875% 01/12/2011 DD 01/12/06

 

326,700

WELLS FARGO 2005-AR16 CL VIA3

 

5.002% 10/25/2035 DD 09/01/05

 

1,695,106

WELLS FARGO MORTGAGE 05-16

 

VAR RT 10/25/2035 DD 09/01/05

 

1,441,782

WELLS FARGO MTG 06-AR10 V-A-3

 

5.6073% 07/25/2036 DD 06/01/06

 

1,801,102

WELLS FARGO MTG BKD 04 S A-1

 

VAR RT 09/25/2034 DD 08/01/04

 

841,609

WELLS FARGO MTG BKD 04-H A1

 

VAR RT 06/25/2034 DD 05/01/04

 

1,556,647

WELLS FARGO MTG BKD 06-AR2 2A3

 

VAR RT 03/25/2036 DD 02/01/06

 

2,700,348

WELLS FARGO MTG BKD 06-AR2 2A5

 

VAR RT 03/25/2036 DD 02/01/06

 

2,700,348

WISCONSIN ST GEN REV TXB-SER A

 

4.800% 05/01/2013 DD 12/18/03

 

441,068

XSTRATA FIN CDA LTD GTD 144A

 

5.800% 11/15/2016 DD 11/15/06

 

797,624

 

S-12




SIGNATURE

Pursuant to the requirements of the Securities Exchange Act of 1934, the persons who administer the Plan have duly caused this annual report to be signed on its behalf by the undersigned, hereunto duly authorized.

 

 

 

 

WESTINGHOUSE SAVINGS PROGRAM

 

 

 

 

 

 

Date: June 28, 2007

By:

/s/ Anthony G. Ambrosio

 

 

Anthony G. Ambrosio

 

 

Member of the Retirement Committee

 

S-13