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 year ended December 31, 2007

Commission file number 001-09553

 

 

 

OR

 

 

 

 

 

 

/   /

 

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

 

 

 

 

 

CBS 401(k) PLAN

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(Full title of the plan)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

CBS CORPORATION

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

51 West 52nd Street

 

 

 

 

 

 

New York, New York 10019

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(Address of principal executive offices)

 

 

 

 

 

 


 

CBS 401(k) PLAN

 

FINANCIAL STATEMENTS AND EXHIBIT

 

DECEMBER 31, 2007

 

INDEX

 

 

Pages

 

 

Report of Independent Registered Public Accounting Firm

1

 

 

Financial Statements:

 

 

 

Statements of Net Assets Available for Benefits
at December 31, 2007 and 2006

2

 

 

Statement of Changes in Net Assets Available for Benefits for the Year
ended December 31, 2007

3

 

 

Notes to financial statements

4 – 17

 

 

 

Schedule

Supplemental Schedule:

 

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

S – 1 – S – 11

 

 

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 – 12

 

 

Exhibit:

 

23.1 Consent of Independent Registered Public Accounting Firm

 

 


 

Report of Independent Registered Public Accounting Firm

 

To the Participants and Administrator of the

CBS 401(k) Plan

 

 

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 CBS 401(k) Plan (the “Plan”) at December 31, 2007 and December 31, 2006, and the changes in net assets available for benefits for the year ended December 31, 2007, 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. This supplemental schedule is the responsibility of the Plan’s management.  The 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.

 

 

/s/ PRICEWATERHOUSECOOPERS LLP

 

 

 

New York, New York

 

June 26, 2008

 

 


 

CBS 401(k) PLAN

 

STATEMENTS OF NET ASSETS AVAILABLE FOR BENEFITS

(In thousands)

 

 

 

 

At December 31,

 

 

 

2007

 

2006

 

 Assets

 

 

 

 

 

 

 

 Cash and cash equivalents

 

$

60

 

$

97

 

 

 

 

 

 

 

 

 

 Investments, at fair value:

 

 

 

 

 

 

 

Investments

 

 

2,074,451

 

 

705,729

 

Investments in master trust investment accounts

 

 

1,594,602

 

 

1,311,510

 

Participant loans

 

 

25,065

 

 

24,643

 

 

 

 

 

 

 

 

 

 Receivables:

 

 

 

 

 

 

 

Employee contributions

 

 

 

 

1,262

 

Employer contributions

 

 

 

 

473

 

Interest and dividends

 

 

7,024

 

 

974

 

 Total assets

 

 

3,701,202

 

 

2,044,688

 

 

 

 

 

 

 

 

 

 Liabilities

 

 

 

 

 

 

 

 Accrued expenses and other liabilities

 

 

1,867

 

 

66

 

 Due to broker for securities purchased, net

 

 

561

 

 

347

 

 Net assets available for benefits, at fair value

 

 

3,698,774

 

 

2,044,275

 

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

 

 

(30,165

)

 

4,913

 

 Net assets available for benefits

 

$

3,668,609

 

$

2,049,188

 

 

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

 

2


 

CBS 401(k) PLAN

 

STATEMENT OF CHANGES IN NET ASSETS AVAILABLE FOR BENEFITS

(In thousands)

 

 

 

 

Year Ended

 

 

 

December 31, 2007

 

 Additions to net assets attributed to:

 

 

 

Investment income:

 

 

 

Dividends

 

$

17,153

 

Interest

 

28,610

 

Net appreciation in fair value of investments

 

21,494

 

Income from master trust investment accounts

 

74,388

 

 

 

 

 

Contributions:

 

 

 

Employee

 

104,918

 

Employer

 

31,640

 

Rollover

 

6,111

 

 

 

 

 

Plan transfers (Note 1):

 

 

 

Transfer from the Westinghouse Savings Program

 

1,656,263

 

Transfer from the CSTV Networks, Inc. 401(k) Plan

 

2,543

 

Total additions

 

1,943,120

 

 

 

 

 

 Deductions from net assets attributed to:

 

 

 

Benefits paid to participants

 

(321,301

)

Plan expenses

 

(2,398

)

Total deductions

 

(323,699

)

 

 

 

 

 Net increase

 

1,619,421

 

 

 

 

 

 Net assets available for benefits, beginning of year

 

2,049,188

 

 

 

 

 

 Net assets available for benefits, end of year

 

$

3,668,609

 

 

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

 

3

 


 

CBS 401(K) PLAN

 

NOTES TO THE FINANCIAL STATEMENTS

(Tabular dollars in thousands)

 

 

NOTE 1 – PLAN DESCRIPTION

 

The following is a brief description of the CBS 401(k) Plan (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, sponsored by CBS Corporation (the “Company” or “CBS Corp.”), is a defined contribution plan offered on a voluntary basis to eligible employees of the Company and its subsidiaries.

 

Eligible full-time employees are automatically enrolled in the Plan following the attainment of age 21, unless they elect not to participate.  Part-time employees are eligible to participate in the Plan upon attainment of age 21 and completion of one thousand hours of service within a consecutive twelve-month period.  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 the Company’s Board of Directors (the “Board”).

 

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 $64.3 million at December 31, 2007 and $50.8 million at December 31, 2006 and these investments appreciated by $4.0 million for the year ended December 31, 2007.  In addition, certain Plan investments are shares of CBS Corp. and Viacom Inc. common stock and therefore qualify as a party-in-interest transaction. The fair value of these investments was $161.5 million at December 31, 2007 and $273.9 million at December 31, 2006 and these investments depreciated by $19.6 million for the year ended December 31, 2007.

 

Plan Mergers and Transfers

 

Effective as of the end of the day on July 31, 2007, the assets and liabilities of the Westinghouse Savings Program (the “Westinghouse Plan”), a defined contribution plan which was also sponsored by the Company, were merged with and into the Plan. All participants of the Westinghouse Plan were retirees or terminated employees who were fully vested.  No contributions could be made to the Westinghouse Plan and no new loans could be requested.  In connection with the plan merger, participants’ accounts remained invested in the funds selected under the Westinghouse Plan.

 

4


 

CBS 401(K) PLAN

 

NOTES TO THE FINANCIAL STATEMENTS (Continued)

(Tabular dollars in thousands)

 

 

During the first quarter of 2006, the Company acquired CSTV Networks, Inc.  Effective following the close of business on December 29, 2006, the CSTV Networks, Inc. 401(k) Plan was merged with and into the Plan.  In connection with the plan merger, participants’ accounts were transferred to the funds that the investment committee determined to be of a similar nature.

 

Participant Accounts

 

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

 

During 2007, plan participants had the option of investing their contributions or existing account balances among various investment options.  These investment options included master trust investment accounts (“Master Trust Investment Accounts” or “MTIAs”), commingled trust funds (“common collective trusts”), registered investment companies (mutual funds), a fixed income fund and CBS Corp. Class B Common Stock.  Effective July 2007, the Viacom Inc. common stock fund, which invests solely in shares of Viacom Inc., was no longer maintained as an investment option in the Plan.  Any investment remaining in the Viacom Stock Fund after June 30, 2007 was transferred to the Barclays S&P 500 Index Fund.

 

Effective June 1, 2007, the Plan was amended to convert the portion of the Plan invested in CBS Corp. Class A and B Common Stock to an Employee Stock Ownership Plan (“ESOP”).  As a result, when cash dividends on CBS Corp. Common Stock are paid to the ESOP, Plan participants have the option to elect to have dividends paid on vested shares either distributed to them or reinvested in the ESOP account in CBS Corp. Class B Common Stock. If a participant does not make an election, the dividends are reinvested in the ESOP account.

 

Participants may also elect to open a self-directed brokerage account (“SDA”).  Participants may not contribute directly to the SDA, but may transfer balances to the SDA from other investment funds except the INVESCO Stable Value Fund (“INVESCO Fund”).  A participant may transfer up to 25% of his or her account balance (net of loans) to the SDA.  The initial transfer to the SDA may not be less than $2,500 and subsequent individual transfers may not be less than $1,000.  Effective January 1, 2008, there is no minimum amount required for subsequent transfers into a SDA.  Former participants of the Westinghouse Plan did not have the option of opening an SDA during 2007.

 

5


 

CBS 401(k) PLAN

 

NOTES TO THE FINANCIAL STATEMENTS (Continued)

(Tabular dollars in thousands)

 

 

Contributions

 

The Plan permits participants to contribute up to 15% of annual compensation on a before-tax, after-tax or combination basis, subject to the Code limitations set forth below.  Effective January 1, 2008, the Plan was amended to increase the before-tax deferral limit to 50% subject to Code limitations. The level of employer matching contributions is entirely at the discretion of the Board for all participants in the Plan.  Effective February 1, 2007, the Board set the employer’s matching contribution at 60% of the first 5% of eligible compensation contributed on a before-tax basis for the following twelve-month period.  This matching contribution is consistent with the Board’s February 1, 2006 election for the matching contribution from February 2006 through January 2007.

 

Employer matching contributions are initially invested entirely in CBS Corp. Class B Common Stock.  Participants are permitted to immediately transfer their Company matching contributions out of CBS Corp. Class B Common Stock and into any other investment option.

 

Eligible full-time newly hired employees are immediately eligible to participate in the Plan and deemed to have authorized the Company to make before-tax contributions in the Plan in an amount equal to 5% of the employee’s eligible compensation upon his or her date of hire.  Any such deemed authorization takes effect following the 45th day the employee becomes eligible to participate in the Plan.  However, a deemed authorization does not take effect if, during the 45-day period the employee elects not to participate in the Plan or to participate at a different contribution rate. Effective January 1, 2008, the period in which the deemed authorization takes effect was increased to 60 days.

 

All participants who have attained age 50 before the close of the calendar year are eligible to make catch-up contributions.  These contributions are not treated as matchable contributions. Catch-up contributions can be made if the eligible participants make the maximum contribution permitted under the Plan for a plan year.  The limit for catch-up contributions is $5,000 in 2007.

 

The Code limits the amount of annual participant contributions that can be made on a before-tax basis to $15,500 for 2007.  Total compensation considered under the Plan, based on Code limits, may not exceed $225,000 for 2007.  The Code also limits annual aggregate participant and employer contributions to the lesser of $45,000 or 100% of compensation in 2007.  All contributions made to the Plan on an annual basis may be further limited due to certain non-discrimination tests prescribed by the Code.

 

Vesting

 

Participants in the Plan are immediately vested in their own contributions and earnings thereon.  Employer matching contributions vest at 20% per year of service, becoming fully vested after five years of service.  If participants terminate employment prior to being vested in their employer matching contributions, the non-vested portion of their account is forfeited and may

 

6


 

CBS 401(k) PLAN

 

NOTES TO THE FINANCIAL STATEMENTS (Continued)

(Tabular dollars in thousands)

 

 

be used to reduce future employer matching contributions and to pay administrative expenses.  Forfeitures are recorded at the time vested benefits are distributed.  Employer matching contributions of approximately $3,038,000 and $1,744,000 were forfeited in 2007 and 2006, respectively.  The Company utilized forfeitures of approximately $3,153,000 to reduce matching contributions and $692,000 to pay administrative expenses during 2007.  As of December 31, 2007 and 2006, the Company had forfeitures of approximately $1,008,000 and $1,835,000, respectively, available to be used as noted above.

 

Loans Outstanding

 

Eligible participants may request a loan for up to the lesser of 50% of the participant’s vested account balance or $50,000, reduced by the highest outstanding balance of any Plan loan made to the participant during the twelve-month period ending on the day before the loan is made.  The minimum loan available to a participant is $500.  The interest rate on participant loans is one percentage point above the annual prime commercial rate (as published in The Wall Street Journal) on the first day of the calendar month in which the loan is approved. Principal and interest is payable through payroll deductions.  Only one loan may be outstanding at any time. Participants may elect repayment periods from 12 to 60 months commencing as soon as administratively possible following the distribution of the loan proceeds to the participant.  The Plan allows participants to elect a repayment term of up to 300 months for loans used for the acquisition of a principal residence.  Repayments of loan principal and interest are allocated in accordance with the participants’ then current investment elections.

 

The loans outstanding carry interest rates ranging from 4.01% to 11.50% as of December 31, 2007.

 

Distributions and Withdrawals

 

Earnings on both employee and employer contributions are not subject to income tax until they are distributed or withdrawn from the Plan.

 

Participants in the Plan, or their beneficiaries, may receive their vested account balances in a lump sum or in installments over a period of up to 20 years in the event of retirement, termination of employment, disability or death.  In general, participants must receive a required minimum distribution upon attainment of age 70 1/2 unless they are still employed.

 

Participants in the Plan may withdraw part or all of their after-tax and rollover contributions.  Upon attainment of age 59 1/2, participants may withdraw all or part of their before-tax contributions and earnings thereon.  The Plan limits participants to two of the above withdrawal elections in each calendar year.

 

7


 

CBS 401(k) PLAN

 

NOTES TO THE FINANCIAL STATEMENTS (Continued)

(Tabular dollars in thousands)

 

 

A participant may obtain a financial hardship withdrawal of the vested portion of employer matching contributions and before-tax contributions provided that the requirements for hardship are met and only to the extent required to relieve such financial hardship.  There is no restriction on the number of hardship withdrawals permitted.

 

When a participant terminates employment with the Company, the full value of employee contributions and earnings thereon plus the value of all vested employer matching contributions can be rolled over to a tax qualified retirement plan or an IRA or remain in the Plan rather than being distributed.  If the vested account balance is $1,000 or less and the participant does not make an election to rollover the vested account balance it will be automatically paid in a single lump sum cash payment and taxes will be withheld from the distribution.

 

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 using forfeitures as described above or may be paid by the Company.  Recordkeeping and trustee fees are paid from participant accounts. For 2007, $475,051 was paid to the Trustee, 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”) 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 prepared on a contract value basis with respect to the fully benefit-responsive investment contracts.

 

8


 

CBS 401(k) PLAN

 

NOTES TO THE FINANCIAL STATEMENTS (Continued)

(Tabular dollars in thousands)

 

 

Investment Valuation and Income Recognition

 

Short-term money market investments are carried at amortized cost which approximates fair value due to the short-term maturity of these investments.  CBS Corp. and Viacom Inc. class A and class B common stock is 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 value of investments in separate accounts is determined by the Trustee based upon the fair value of the underlying securities.  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. Participant loans are recorded at cost, which approximates fair value.  Cash and cash equivalents are valued at cost plus accrued interest, which approximate 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 through the INVESCO Fund and a fixed income fund. 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 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 synthetic guaranteed investment contracts is determined based on quoted market prices for the underlying assets. The fair value of the wrapper contracts for synthetic guaranteed investment contracts is determined using the replacement cost methodology that incorporates various inputs including the difference between the market rate for wrap fees and the 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 and losses and the unrealized appreciation and depreciation on those investments which are presented at fair value.

 

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 other plans previously sponsored by the Company which have subsequently been merged into the Plan.  Pursuant to the Master Trust, the Trustee has created seven MTIAs.  The MTIAs consist of the INVESCO Fund, the Wellington Growth Portfolio, the Barclays

 

9


 

CBS 401(k) PLAN

 

NOTES TO THE FINANCIAL STATEMENTS (Continued)

(Tabular dollars in thousands)

 

 

Global Investors S&P 500 Index Fund, Mellon Bank EB SMAM Aggregate Bond Index Fund, Mellon Capital Tactical Asset Allocation Fund, Dodge & Cox Value Equity Fund and Franklin Portfolio Mid Cap Stock Fund.   The Mellon Bank EB SMAM Aggregate Bond Index Fund and Mellon Capital Tactical Asset Allocation Fund are each 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.

 

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 were 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 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 of the adoption of SFAS 157 on the Plan’s financial statements.

 

NOTE 3 – RISKS AND UNCERTAINTIES

 

The Plan provides for various investment options.  Investment securities are exposed to various risks such as interest rate, market and credit.  Due to the level of risk associated with certain investment securities and the level of uncertainty related to changes in the value of such

 

10


 

CBS 401(k) PLAN

 

NOTES TO THE FINANCIAL STATEMENTS (Continued)

(Tabular dollars in thousands)

 

 

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,

 

 

2007

 

2006

 Investments at fair value as determined by quoted market prices:

 

 

 

 

 Common collective trusts

 

$

 246,219

 

 

$

 157,685

 

 Common stock

 

174,823

 

 

285,464

 

 Registered investment companies

 

359,828

 

 

261,044

 

 Other

 

1,386

 

 

1,536

 

 

 

782,256

 

 

705,729

 

 Investments at estimated fair value:

 

 

 

 

 

 

 Guaranteed investment contracts

 

96,231

 

 

 

 Synthetic guaranteed investment contracts

 

1,195,964

 

 

 

 

 

1,292,195

 

 

 

Investments, at fair value

 

$

 2,074,451

 

 

$

 705,729

 

 

11


 

CBS 401(k) PLAN

 

NOTES TO THE FINANCIAL STATEMENTS (Continued)

(Tabular dollars in thousands)

 

 

Individual investments representing 5% or more of the Plan’s net assets available for benefits are identified below:

 

 

 

At December 31,

 

 

 

2007

 

2006

 

Barclays Global Investors S&P 500 Index Fund MTIA

 

$

643,412

 

$

472,634

 

CBS Corp. Class B Common Stock

 

$

158,889

 

$

147,759

 

Viacom Inc. class B common stock

 

$

1,597

 

$

122,961

 

Wellington Growth Portfolio MTIA

 

$

132,280

 

$

95,488

 

INVESCO Fund MTIA, at contract value

 

$

574,660

 

$

553,976

 

Synthetic guaranteed investment contracts, at contract value:

 

 

 

 

 

Monumental Life Insurance MDA00303TR

 

$

460,079

 

$

 

Union Bank of Switzerland No. 3071

 

$

378,730

 

$

 

CDC Financial Products, Inc. No. 1222-01

 

$

296,572

 

$

 

 

During the year ended December 31, 2007 the Plan’s investments (including gains and losses on investments sold and held during the year) appreciated / (depreciated) as follows:

 

Commingled trusts

 

$

40,034

 

Common stocks

 

(17,809

)

Registered investment companies

 

(625

)

Other

 

(106

)

Net appreciation

 

$

21,494

 

 

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.

 

12


 

CBS 401(k) PLAN

 

NOTES TO THE FINANCIAL STATEMENTS (Continued)

(Tabular dollars in thousands)

 

 

The interest crediting rate reflects the rate earned by participants 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, 2007 and 2006, guaranteed investment contracts and synthetic guaranteed investment contracts at contract value of $1,840,437,844 and $543,425,063, respectively, had fair values in the aggregate of $1,870,602,798 and $538,511,801, respectively.  The fair value of wrapper contracts was $502,810 at December 31, 2007 and zero at December 31, 2006.

 

The average yields for investment contracts in the INVESCO Fund were as follows:

 

 

 

At December 31,

 

 

 

2007

 

2006

 

Based on actual earnings

 

5.2%

 

5.0%

 

Based on interest rate credited to participants

 

5.1%

 

5.3%

 

 

13


 

CBS 401(k) PLAN

 

NOTES TO THE FINANCIAL STATEMENTS (Continued)

(Tabular dollars in thousands)

 

 

The average yields for investment contracts in the fixed income fund were as follows:

 

 

 

At December 31, 2007

 

Based on actual earnings

 

4.8%

 

Based on interest rate credited to participants

 

5.0%

 

 

The following table presents the fair value of the assets, by type, that support the Plan’s synthetic guaranteed investment contracts held in the fixed income fund at December 31, 2007.  The Plan did not have this fixed income fund at December 31, 2006.  The INVESCO Fund, which also holds synthetic guaranteed investment contracts, is included in the Master Trust. (See Note 4)

 

 

Cash and cash equivalents

 

$

49,663

 

Common collective trusts

 

410,761

 

Fixed income

 

759,267

 

Futures

 

28

 

Swaps

 

6,855

 

Wrapper value

 

503

 

Net payables

 

(31,113

)

Synthetic guaranteed investment contracts

 

$

1,195,964

 

 

NOTE 5 - INCOME TAX STATUS

 

The Internal Revenue Service issued a determination letter dated May 20, 2003,  that the Plan continues to satisfy the requirements of Section 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.

 

14


 

CBS 401(k) PLAN

 

NOTES TO THE FINANCIAL STATEMENTS (Continued)

(Tabular dollars in thousands)

 

 

NOTE 6 – TERMINATION PRIORITIES

 

Although the Company anticipates that the Plan will continue indefinitely, it reserves the right, by action of its Board, to amend or terminate the Plan provided that such action does not retroactively reduce earned participant benefits.

 

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

 

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, 2007 and 2006 were as follows:

 

 

 

December 31,

 

 

 

2007

 

2006

 

Barclays Global Investors S&P 500 Index Fund

 

100.00%

 

83.78%

 

 

Dodge & Cox Value Equity Fund

 

100.00%

 

85.20%

 

 

Franklin Portfolio Mid Cap Stock Fund

 

100.00%

 

81.92%

 

 

INVESCO Fund

 

100.00%

 

100.00%

 

 

Mellon Bank EB SMAM Aggregate Bond Index Fund

 

100.00%

 

95.20%

 

 

Mellon Capital Tactical Asset Allocation Fund

 

100.00%

 

100.00%

 

 

Wellington Growth Portfolio

 

100.00%

 

78.65%

 

 

 

See Note 2 for a description of the MTIAs.

 

15


 

CBS 401(k) PLAN

 

NOTES TO THE FINANCIAL STATEMENTS (Continued)

(Tabular dollars in thousands)

 

 

The following table presents the net investments held by the MTIAs:

 

 

 

At December 31,

 

 

 

2007

 

2006

 

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

 

$

643,445

 

$

564,197

 

Dodge & Cox Value Equity Fund, at fair value:

 

 

 

 

 

Common stocks

 

111,317

 

107,529

 

Common collective trust

 

2,494

 

6,529

 

Franklin Portfolio Mid Cap Stock Fund, at fair value:

 

 

 

 

 

Common stocks

 

59,994

 

58,954

 

Common collective trust

 

248

 

160

 

INVESCO Fund, at fair value:

 

 

 

 

 

Bond portfolio

 

 

19,667

 

Group trusts

 

556,266

 

518,845

 

Short term investment funds

 

24,332

 

10,551

 

Mellon Bank EB SMAM Aggregate Bond Index Fund (a)

 

55,852

 

44,695

 

Mellon Capital Tactical Asset Allocation Fund (a)

 

8,475

 

6,215

 

Wellington Growth Portfolio, at fair value:

 

 

 

 

 

Common stocks

 

129,861

 

121,033

 

Preferred stocks

 

967

 

 

Common collective trust

 

3,531

 

85

 

Net (payables) receivables

 

(2,180

)

143

 

Net investments held by the MTIAs

 

$

1,594,602

 

$

1,458,603

 

 

(a) Invested entirely in commingled trust funds.

 

Investment income of the MTIAs was as follows:

 

 

 

Year Ended
December 31, 2007

 

 

 

 

Dividends

 

 

$

4,363

 

Interest income

 

 

501

 

Net appreciation of commingled trust funds

 

 

32,687

 

Net depreciation of Dodge & Cox Value Equity Fund

 

 

(1,549

)

Net appreciation of Franklin Portfolio Mid Cap Stock Fund

 

 

949

 

Net appreciation of Wellington Growth Portfolio

 

 

16,966

 

Group Trusts

 

 

26,405

 

Bond portfolio

 

 

881

 

Investment manager fees

 

 

(1,762

)

Net investment income of the MTIAs

 

 

$

79,441

 

 

16


 

CBS 401(k) PLAN

 

NOTES TO THE FINANCIAL STATEMENTS (Continued)

(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,

 

 

 

2007

 

2006

 

 

 

 

 

 

 

Net assets available for benefits per the financial statements

 

$3,668,609

 

$2,049,188

 

Amounts allocated to withdrawing participants

 

 

(2,113

)

Net assets available for benefits per the Form 5500

 

$3,668,609

 

$2,047,075

 

 

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

 

 

 

Year Ended
December 31, 2007

 

 

 

Benefits paid to participants per the financial statements

 

$

321,301

 

Add: Amounts allocated to withdrawing participants
at December 31, 2007

 

 

Less: Amounts allocated to withdrawing participants
at December 31, 2006

 

(2,113

)

Benefits paid to participants per the Form 5500

 

$

319,188

 

 

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 were not paid as of that date.

 

17


 

SCHEDULE H, line 4i

 

CBS 401 (k) PLAN

SCHEDULE OF ASSETS (HELD AT END OF YEAR)

DECEMBER 31, 2007

(Dollars in thousands)

 

 

Identity of issuer, borrower, lessor or similar party

 

Maturity and Interest Rates

 

Cost(4)

 

Current Value

 

Wrapper Value

 

 

 

 

 

 

 

 

 

 

 

 

 

Self Directed Accounts

 

 

 

 

 

$

27,146

 

$

-

 

 

 

 

 

 

 

 

 

 

 

 

 

Corporate Common Stock:

 

 

 

 

 

 

 

 

 

* (1)

CBS Corporation Class A Common Stock

 

 

 

 

 

962

 

-

 

* (1)

CBS Corporation Class B Common Stock

 

 

 

 

 

158,848

 

-

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Corporate Common Stock

 

 

 

 

 

159,810

 

-

 

 

 

 

 

 

 

 

 

 

 

 

 

Registered Investment Companies:

 

 

 

 

 

 

 

 

 

 

Vanguard Lifestrategy Moderate Growth Fund

 

 

 

 

 

104,495

 

-

 

 

DFA U.S. Small Cap Fund

 

 

 

 

 

86,936

 

-

 

 

Vanguard Lifestrategy Growth Fund

 

 

 

 

 

66,739

 

-

 

 

Vanguard Lifestrategy Income Growth Fund

 

 

 

 

 

4,721

 

-

 

 

Vanguard Lifestrategy Conservative Growth Fund

 

 

 

 

 

30,495

 

-

 

 

Vanguard Calvert Social Index Fund

 

 

 

 

 

4,347

 

-

 

 

Fidelity Growth and Income Fund

 

 

 

 

 

35,940

 

-

 

 

Dreyfus Government Cash Management Fund

 

 

 

 

 

15,408

 

-

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Registered Investment Companies

 

 

 

 

 

349,081

 

-

 

 

 

 

 

 

 

 

 

 

 

 

 

Commingled Trust Funds:

 

 

 

 

 

 

 

 

 

 

Capital Guardian Intl Equity Fund

 

 

 

 

 

126,066

 

-

 

 

Capital Guardian Emerging Markets Equity Fund

 

 

 

 

 

120,153

 

-

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Commingled Trust Funds

 

 

 

 

 

246,219

 

-

 

 

 

 

 

 

 

 

 

 

 

 

 

Guaranteed Investment Contracts, at contract value:

 

 

 

 

 

 

 

 

 

 

Security Life of Denver Insurance Company

 

 

 

 

 

 

 

 

 

 

SA-0556

 

7/01/2009 and 5.01%

 

 

 

18,505

 

-

 

 

Prudential Insurance Company of America

 

 

 

 

 

 

 

 

 

 

GA-10112-213

 

9/01/2009 and 4.27%

 

 

 

13,288

 

-

 

 

Prudential Insurance Company of America

 

 

 

 

 

 

 

 

 

 

G-10112-214

 

9/1/2008 and 5.55%

 

 

 

21,627

 

-

 

 

Jackson National Life Insurance Company

 

 

 

 

 

 

 

 

 

 

G-1378-3

 

12/01/2009 and 4.39%

 

 

 

20,828

 

-

 

 

Genworth Life Insuance Company

 

 

 

 

 

 

 

 

 

 

GS3835GECA

 

5/01/2008 and 3.30%

 

 

 

21,638

 

-

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Guaranteed Investment Contracts

 

 

 

 

 

95,886

 

-

 

 

 

 

 

 

 

 

 

 

 

 

 

Synthetic Guaranteed Investment Contracts, at contract value:

 

 

 

 

 

 

 

 

 

(2)

Monumental Life Insurance Company

 

 

 

 

 

 

 

 

 

 

MDA00303TR

 

evergreen and variable %

 

 

 

460,079

 

-

 

(2)

Union Bank of Switzerland

 

 

 

 

 

 

 

 

 

 

No. 3071

 

evergreen and variable %

 

 

 

378,730

 

-

 

(2)

Caisse des Depots et Consignations

 

 

 

 

 

 

 

 

 

 

No. 1222-01

 

evergreen and variable %

 

 

 

296,572

 

-

 

(2)

Caisse des Depots et Consignations

 

 

 

 

 

 

 

 

 

 

BR-222-25

 

4/27/2011 and 4.41%

 

 

 

36,701

 

-

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Synthetic Guaranteed Investment Contracts

 

 

 

 

 

1,172,082

 

-

 

 

 

 

 

 

 

 

 

 

 

 

 

Loans to Participants

 

Various maturities and interest rates ranging from 4.01% to 11.50%

 

 

 

25,065

 

-

 

 

 

 

 

 

 

 

 

 

 

 

(3)

Total Assets

 

 

 

 

 

2,075,289

 

-

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

24,227

 

503

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Assets, at fair value

 

 

 

 

 

$

2,099,516

 

$

503

 

 

 

*

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

 

 

 

 

(1)

A portion of these assets are held in the self-directed accounts.

 

(2)

Refer to Attachment A for listing of assets relating to these contracts.

 

(3)

The above schedule does not include investments in the master trust investment accounts at fair value of $1,594,602.

 

(4)

There are no non-participant directed investments.

 

S-1



 

Attachment A

(Dollars in thousands)

 

Security Name

Security Description

Market Value

90DAY EURODOLLAR FUT MAR 08

CALL MAR 08 095.250 ED 3/17/08

$

28

AAMES MTG 2006-1 A-1

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

74

ABBOTT LABS

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

492

ADJUSTABLE RATE 04-5 CL 2A1

VAR RT 04/25/2035 DD 12/01/04

43

AEGON N V SR NT

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

490

ALTRIA GROUP INC NT

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

250

AMERICAN GEN FIN CORP SR NT

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

1,045

AMERICAN MOVIL S A DE C B GTD

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

298

AMGEN INC SR NT 144A

VAR RT 11/28/2008 DD 05/30/07

794

AMGEN INC SR NT 144A

VAR RT 11/28/2008 DD 05/30/07

4,694

ANADARKO PETE CORP SR NT

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

484

ANADARKO PETE CORP SR NT

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

1,044

ANZ CAP TR I TR SECS 144A

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

1,230

AOL TIME WARNER INC NT

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

219

ARIZONA PUB SVC CO NT

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

440

ASIF GLOBAL FING XXIII SR NT

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

69

ASSET BACKED CTFS TR 06-8 2A1

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

651

AT & T INC GLOBAL NT

6.500% 09/01/2037 DD 08/31/07

1,359

AT&T BROADBAND CORP NT

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

836

AT&T BROADBAND CORP NT

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

841

BANC AMER COML MTG 02 PB2 A4

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

1,216

BANC AMER COML MTG 06-5 CL A4

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

973

BANC AMER COML MTG 06-6 CL A4

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

1,233

BANC AMER COML MTG INC 05-6 A4

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

2,410

BANK AMER COML MTG 00 1 CL A2A

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

1,370

BANK AMER CORP NT

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

212

BANK AMER CORP SR NT

5.750% 12/01/2017 DD 12/04/07

376

BANK AMER CORP SR NT

4.875% 01/15/2013 DD 01/23/03

638

BANK AMER MTG SECS 02 G CTF1A3

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

22

BANK AMER NA CHARLOTTE NC MED

6.100% 06/15/2017 DD 06/19/07

409

BANK NEW YORK NY MTN #TR0021

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

250

BANK ONE ISSUANCE TR 02 6 CL A

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

1,972

BANK ONE N A MTN # TR 00324

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

175

BANK SCOTLAND PLC DISC

01/28/2008

1,474

BANK SCOTLAND PLC DISC

01/18/2008

5,628

BARCLAYS BK PLC SUB NT 144A

6.050% 12/04/2017 DD 12/04/07

1,008

BARCLAYS US FDG DISC

01/25/2008

790

BARCLAYS US FDG DISC

01/17/2008

6,514

BEAR STEARNS 2006-HE1 I-A-1

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

143

BEAR STEARNS ALT 05-4 II 3A2

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

540

BEAR STEARNS ARM 04-1 CL 21A1

VAR RT 04/25/2034 DD 02/01/04

110

BEAR STEARNS ARM 04-5 IIA

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

1,478

BEAR STEARNS ARM 05-3 CL 2A1

VAR RT 06/25/2035 DD 04/01/05

249

BEAR STEARNS ARM TR 02-11 IA2

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

40

BEAR STEARNS ARM TR 2005-5 A2

VAR RT 08/25/2035 DD 07/01/05

1,895

BEAR STEARNS ASSET 06-HE12 1A1

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

174

BEAR STEARNS COML 04-PWR6

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

443

BEAR STEARNS COML 05-PWR10 A4

5.405% 12/11/2040 DD 12/01/05

2,000

BEAR STEARNS COML 06-T24 CL A4

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

1,470

BEAR STEARNS COS INC GLOBAL NT

5.500% 08/15/2011 DD 08/17/06

321

BEAR STEARNS COS INC MTN

6.950% 08/10/2012 DD 08/10/07

864

BEAR STEARNS COS INC MTN

6.950% 08/10/2012 DD 08/10/07

1,028

BEAR STEARNS COS INC NT

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

508

BEAR STEARNS COS INC SR NT

6.400% 10/02/2017 DD 10/02/07

290

BEAR STEARNS COS INC SR NT

6.400% 10/02/2017 DD 10/02/07

459

BELLSOUTH CORP RESET PUT 144A

VAR RT 004/26/2021 DD 04/26/05

2,292

BERKSHIRE HATHAWAY FIN

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

612

BLACKROCK BRS1JV4M7 INT RT

SWAP 4.55% MATURITY 10/03/10

38

BLACKROCK BRS1N1LW7 INT RT SWP

5.0% MATURITY 11/07/10

77

BOARDWALK PIPELINES INC LP

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

486

BONY CUSTODIED ASSETS - FIXED INCOME

VAR

34,976

BRANDYWINE OPER LTN L P

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

445

BUCKEYE OHIO TOB SETTLEMENT

5.125% 06/01/2024 DD 10/29/07

165

CANADIAN NAT RES LTD NT

5.700% 05/15/2017 DD 03/19/07

179

CANADIAN NAT RES LTD NT

5.700% 05/15/2017 DD 03/19/07

398

CANADIAN NAT RES LTD NT

6.000% 08/15/2016 DD 08/17/06

405

CANADIAN NATL RY CO NT

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

378

CAPITAL AUTO REC 07 4 CL A-4A

4.860% 05/15/2014 DD 11/15/07

1,341

CARGILL INC NT 144A

6.000% 11/27/2017 DD 11/27/07

624

CARRINGTON MTG 06 RFC1 P/T A-1

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

328

CARRINGTON MTG 06-NC5 CL A1

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

1,148

CARRINGTON MTG LN 06-FRE1 A-1

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

278

CD 2006-CD2 COML 2006-CD2 A4

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

1,459

CD 2007 CD5 MTG CL A-4

5.886% 11/15/2044 DD 11/01/07

517

CHASE ISSUANCE 07-17 CL A

5.120% 10/15/2014 DD 10/15/07

1,536

CHASE ISSUANCE TR 2006-3 CL A

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

1,470

CHASE MANHATTAN SUB NT

7.875% 06/15/2010 DD 06/09/00

592

CHASE MTG FIN SER 07-A1 CL 2A1

VAR RT 02/25/2037 DD 02/01/07

1,755

CHASE MTG FIN SER 07-A1 CL 3A1

VAR RT 02/25/2037 DD 02/01/07

876

CHASE MTG FIN SER 07-A1 CL 7A1

VAR RT 02/25/2037 DD 02/01/07

876

CIT MTG LN 07 1 CL 2-A1 144A

VAR RT 05/25/2009 DD 09/28/07

1,115

CIT MTG LN 07 1 CL 2-A2 144A

VAR RT 10/25/2037 DD 09/28/07

327

CIT MTG LN 07 1 CL 2-A3 144A

VAR RT 09/25/2024 DD 09/28/07

555

CITIBANK OMNI 07-A 144A

VAR RT 12/23/2013 DD 12/27/07

1,834

CITIGROUP INC GLOBAL NT

5.850% 07/02/2013 DD 06/28/06

901

CITIGROUP INC GLOBAL NT

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

921

CITIGROUP INC GLOBAL NT

5.300% 10/17/2012 DD 10/17/07

1,443

CITIGROUP INC GLOBAL SR NT

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

90

CITIGROUP INC GLOBAL SR NT

6.125% 11/21/2017 DD 11/21/07

668

CITIGROUP INC NT

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

558

COMCAST CABLE COMMUNS INC NT

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

256

COMCAST CORP NEW GTD NT

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

301

COMM 2006 C8 06-C8 P/T CL A4

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

1,496

COMM 99-1 COML MTG CTF CL A2

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

883

COMMERCIAL MTG ASSET 99-C2 A-2

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

1,381

 

S-2


 

Security Name

Security Description

Market Value

COMMIT TO PUR FHLMC GOLD SFM

6.000% 02/01/2037 DD 02/01/07

2,231

COMMIT TO PUR FNMA SF MTG

6.500% 01/01/2038 DD 01/01/08

1,028

COMMIT TO PUR FNMA SF MTG

5.000% 02/01/2038 DD 02/01/08

1,950

COMMIT TO PUR FNMA SF MTG

7.000% 01/01/2037 DD 01/01/07

6,240

COMMIT TO PUR GNMA SF MTG

6.000% 01/15/2038 DD 01/01/08

7,167

COMMIT TO PUR GNMA SF MTG

5.500% 01/15/2036 DD 01/01/06

10,072

COMMONWEALTH EDISON CO 1ST MTG

6.150% 09/15/2017 DD 09/10/07

489

CONOCOPHILLIPS AUSTRALIA FDG

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

895

CREDIT SUISSE 06-C5 CL A3

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

997

CREDIT SUISSE FB

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

1,294

CREDIT SUISSE FB 01-CK3 CL A4

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

1,051

CREDIT SUISSE FB 02 CKN2 CL A3

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

922

CREDIT SUISSE FB 02 CKS4 A2

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

1,038

CREDIT SUISSE FB 02 P1 A 144A

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

171

CREDIT SUISSE FB 03 CPN1 A 2

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

592

CREDIT SUISSE FB 03-C3 CL A-5

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

1,317

CREDIT SUISSE FB 06-3 CL 1-A1A

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

405

CREDIT SUISSE SER 07-C3 CL A4

VAR RT 06/15/2039 DD 06/01/07

1,489

CWABS ASSET BKD 07-1 CL 2A1

VAR RT 07/25/2037 DD 02/09/07

1,573

CWABS ASSET BKD 2006 12 2-A-1

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

649

CWALT ALT LN TR SER 06 OA19 A1

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

387

CWALT INC 05-38 P/T CL A-1

VAR RT 09/25/2035 DD 07/01/05

352

CWMBS INC 05-HYB4 CL 2-A-1

VAR RT 08/20/2035 DD 06/01/05

1,536

CWMBS INC 2004-HYB6 CL A-2

VAR RT 11/20/2034 DD 09/01/04

68

CWMBS INC 2006-HYB1 CL 3A1

VAR RT 03/20/2036 DD 01/01/06

1,677

DAIMLER CHRYSLER NORTH AMER

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

105

DAIMLERCHRYSLER AUTO 05-B A-3

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

438

DAIMLERCHRYSLER AUTO 06-C CLA3

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

1,799

DAIMLERCHRYSLER N A #TR00043

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

761

DAIMLERCHRYSLER N A HLDG SR NT

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

26

DAIMLERCHRYSLER NA HLDG CORP

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

40

DEUTSCHE BK AG LONDON SR NT

6.000% 09/01/2017 DD 08/29/07

3,733

DEUTSCHE TELEKOM INTL FIN BV

STEP 06/15/2010 DD 07/06/00

534

DLJ COML MTG CORP 98-CF1 A1B

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

23

DOMINION RES INC DEL SR NT D

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

25

DREYFUS GOVT CASH MGMT FUND

VAR RT 12/31/2075 DD 06/03/97

0

DREYFUS GOVT CASH MGMT FUND

VAR RT 12/31/2075 DD 06/03/97

3,732

DREYFUS GOVT CASH MGMT FUND

VAR RT 12/31/2075 DD 06/03/97

11,150

EB SMAM ASSET BACKED

SECURITIES INDEX FD

4,119

EB SMAM CMBS BOND INDEX FUND

 

26,454

EB SMAM INT GOB/CR BOND INDEX

FUND

200,622

EB SMAM MORTGAGE-BACKED SECS

INDEX

179,566

EB TEMPORARY INVESTMENT FD II

4.340%

1,252

EDP FIN B V AMSTERDAM NT 144A

5.375% 11/02/2012 DD 11/02/07

475

EKSPORTFINANS A S A MTN #00012

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

1,094

EL PASO ENERGY MTN #TR 00004

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

1,218

ENBRIDGE ENERGY PARTNERS LP NT

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

397

ENCANA HLDGS FIN CORP NT

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

46

ENDURANCE SPECIALTY HLDGS LTD

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

318

ENERGY TRANSFER PARTNERS LP

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

248

ENERGY TRANSFER PARTNERS LP SR

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

392

ENTERGY GULF STS INC 1ST 144A

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

903

FARMER MAC GTD NTS TR 2006 2

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

3,707

FARMER MAC GTD P/T AS-1008 1

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

1,120

FEDERAL AGRIC MTG CORP

VAR RT 04/25/2011

310

FEDERAL FARM CR BKS CONS BD

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

2,546

FEDERAL FARM CR BKS CONS SYS

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

2,245

FEDERAL HOME LN BK CONS BD

5.000% 03/14/2014 DD 02/08/07

7,168

FEDERAL HOME LN BKS CONS BD

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

1,563

FEDERAL HOME LN BKS CONS BD

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

3,079

FEDERAL HOME LN BKS CONS BD

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

4,145

FEDERAL HOME LN MTG CORP MTN

5.500% 08/20/2012 DD 06/15/07

1,598

FEDERAL HOME LN MTG CORP MTN

4.625% 10/25/2012 DD 09/07/07

1,752

FEDERAL HOME LN MTG CORP REF

5.500% 08/23/2017 DD 07/23/07

3,221

FEDERATED DEPT STORE INC DEL

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

91

FHA GMAC PROJ #56 221-D4

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

202

FHA INSD P/T MTG 98TH GMAC

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

71

FHA INSD PROJ 16TH REILLY MTG

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

37

FHA POOL #21 GMAC MTG IOWA

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

507

FHA PROJ 221 CL D4 REILLY

7.430% 05/01/2022

81

FHA PROJ MTG POOL# 04 REILLY

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

97

FHLMC POOL #1B-1580

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

703

FHLMC POOL #1H-2524

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

1,305

FHLMC POOL #1K-1233

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

1,015

FHLMC POOL #78-2935

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

1,161

FHLMC POOL #84-5355

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

72

FHLMC POOL #A1-6199

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

174

FHLMC POOL #A1-8208

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

216

FHLMC POOL #A2-5226

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

54

FHLMC POOL #A5-9994

5.500% 05/01/2037 DD 05/01/07

981

FHLMC POOL #B1-0170

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

40

FHLMC POOL #B1-0184

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

52

FHLMC POOL #B1-0207

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

46

FHLMC POOL #B1-0674

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

118

FHLMC POOL #B1-0746

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

43

FHLMC POOL #B1-0838

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

24

FHLMC POOL #B1-0931

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

45

FHLMC POOL #B1-1010

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

24

FHLMC POOL #B1-1446

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

28

FHLMC POOL #B1-1801

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

49

FHLMC POOL #B1-2301

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

110

FHLMC POOL #B1-2730

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

193

FHLMC POOL #B1-2772

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

177

FHLMC POOL #B1-2818

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

154

FHLMC POOL #B1-2819

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

183

 

S-3


 

Security Name

Security Description

Market Value

FHLMC POOL #B1-2883

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

162

FHLMC POOL #B1-2910

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

132

FHLMC POOL #B1-2911

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

152

FHLMC POOL #B1-3066

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

638

FHLMC POOL #B1-3209

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

58

FHLMC POOL #B1-3343

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

84

FHLMC POOL #B1-3344

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

115

FHLMC POOL #B1-3360

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

152

FHLMC POOL #B1-3801

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

159

FHLMC POOL #B1-3870

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

96

FHLMC POOL #B1-5067

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

343

FHLMC POOL #B1-8233

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

156

FHLMC POOL #B1-8252

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

150

FHLMC POOL #B1-8684

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

72

FHLMC POOL #B1-8908

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

287

FHLMC POOL #C0-1175

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

75

FHLMC POOL #C0-1598

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

202

FHLMC POOL #C6-6817

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

94

FHLMC POOL #C6-8269

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

261

FHLMC POOL #C6-9013

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

356

FHLMC POOL #D9-4598

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

42

FHLMC POOL #E0-1157

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

81

FHLMC POOL #E0-1281

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

21

FHLMC POOL #E0-1378

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

110

FHLMC POOL #E0-1448

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

29

FHLMC POOL #E0-1481

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

45

FHLMC POOL #E0-1489

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

90

FHLMC POOL #E0-1490

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

188

FHLMC POOL #E0-1538

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

795

FHLMC POOL #E0-1602

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

49

FHLMC POOL #E0-1606

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

556

FHLMC POOL #E7-6730

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

61

FHLMC POOL #E7-7099

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

18

FHLMC POOL #E9-0288

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

64

FHLMC POOL #E9-1957

5.000% 10/01/2017 DD 10/01/02

27

FHLMC POOL #E9-2098

5.000% 11/01/2017 DD 10/01/02

16

FHLMC POOL #E9-2224

5.000% 11/01/2017 DD 10/01/02

47

FHLMC POOL #E9-6057

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

115

FHLMC POOL #E9-6247

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

35

FHLMC POOL #E9-6248

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

37

FHLMC POOL #E9-6460

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

38

FHLMC POOL #E9-6988

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

25

FHLMC POOL #E9-7034

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

46

FHLMC POOL #E9-7701

5.000% 07/01/2018 DD 07/01/03

22

FHLMC POOL #E9-8590

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

24

FHLMC POOL #E9-9739

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

35

FHLMC POOL #E9-9763

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

16

FHLMC POOL #E9-9764

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

16

FHLMC POOL #E9-9765

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

12

FHLMC POOL #E9-9768

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

72

FHLMC POOL #E9-9769

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

37

FHLMC POOL #E9-9770

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

23

FHLMC POOL #G0-1324

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

35

FHLMC POOL #G0-1391

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

145

FHLMC POOL #G0-1564

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

79

FHLMC POOL #G0-1731

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

588

FHLMC POOL #G0-3600

7.000% 11/01/2037 DD 11/01/07

1,040

FHLMC POOL #G1-0855

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

27

FHLMC POOL #G1-1409

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

77

FHLMC POOL #G1-1490

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

40

FHLMC POOL #G1-1526

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

49

FHLMC POOL #G1-1678

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

206

FHLMC POOL #G1-1720

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

1,051

FHLMC POOL #G1-1742

5.000% 07/01/2020 DD 06/01/05

111

FHLMC POOL #G1-1769

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

1,201

FHLMC POOL #G1-2093

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

1,487

FHLMC POOL #G1-2094

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

1,811

FHLMC POOL #G1-2251

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

3,116

FHLMC POOL #G1-2311

5.000% 12/01/2020 DD 08/01/06

846

FHLMC POOL #G1-8020

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

273

FHLMC POOL #G1-8021

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

75

FHLMC POOL #P6-0084

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

344

FHLMC GROUP #C4-5817

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

54

FHLMC GROUP #E0-0894

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

43

FHLMC GROUP #E0-0912

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

5

FHLMC GROUP #E0-0935

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

50

FHLMC GROUP #E7-0797

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

139

FHLMC GROUP #E7-8829

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

33

FHLMC GROUP #E8-1255

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

73

FHLMC GROUP #G1-0777

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

11

FHLMC GROUP #G1-0817

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

14

FHLMC MULTICLASS CTFS 2458 OD

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

125

FHLMC MULTICLASS CTFS 2979 BC

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

1,302

FHLMC MULTICLASS MTG

6.250% 12/15/2028 DD 12/01/98

2,202

FHLMC MULTICLASS MTG

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

3,679

FHLMC MULTICLASS MTG 1662 N

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

10

FHLMC MULTICLASS MTG 2395 FT

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

70

FHLMC MULTICLASS MTG T-61 1A1

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

1,708

FIRST HORIZON 04-AR6 CL II-A-1

VAR RT 12/25/2034 DD 10/01/04

45

FIRST REP MTG LN TR 02 FRB1 A

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

389

FIRST UN NATL BK 01-C2 CL A 2

6.663% 01/12/2043 DD 06/01/01

1,789

FIRST UN NATL BK 01-C4 CL A2

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

1,414

FLORIDA PWR & LT 1ST MTG

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

1,004

FNMA POOL #0190341

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

48

FNMA POOL #0253683

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

110

 

S-4


 

Security Name

Security Description

Market Value

FNMA POOL #0254308

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

41

FNMA POOL #0254546

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

157

FNMA POOL #0254548

5.500% 12/01/2032 DD 11/01/02

6,634

FNMA POOL #0254621

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

509

FNMA POOL #0254631

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

690

FNMA POOL #0254720

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

174

FNMA POOL #0254753

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

381

FNMA POOL #0254817

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

83

FNMA POOL #0254845

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

112

FNMA POOL #0254863

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

157

FNMA POOL #0254906

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

1,604

FNMA POOL #0254909

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

297

FNMA POOL #0254918

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

655

FNMA POOL #0254957

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

617

FNMA POOL #0254987

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

19

FNMA POOL #0255174

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

883

FNMA POOL #0255178

5.000% 04/01/2034 DD 03/01/04

11,941

FNMA POOL #0255654

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

275

FNMA POOL #0255897

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

1,667

FNMA POOL #0256059

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

582

FNMA POOL #0256269

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

204

FNMA POOL #0256532

5.000% 12/01/2016 DD 11/01/06

70

FNMA POOL #0256588

5.000% 12/01/2016 DD 12/01/06

115

FNMA POOL #0256605

5.000% 02/01/2017 DD 01/01/07

34

FNMA POOL #0256681

5.000% 04/01/2017 DD 03/01/07

265

FNMA POOL #0256712

6.000% 05/01/2037 DD 04/01/07

1,592

FNMA POOL #0256718

5.000% 05/01/2017 DD 04/01/07

72

FNMA POOL #0256755

5.000% 06/01/2017 DD 05/01/07

359

FNMA POOL #0256799

5.500% 07/01/2037 DD 06/01/07

495

FNMA POOL #0257016

7.000% 11/01/2037 DD 11/01/07

711

FNMA POOL #0257032

5.000% 11/01/2037 DD 11/01/07

976

FNMA POOL #0303777

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

16

FNMA POOL #0303906

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

21

FNMA POOL #0303945

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

9

FNMA POOL #0313467

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

376

FNMA POOL #0316864

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

7

FNMA POOL #0323331

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

30

FNMA POOL #0340901

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

528

FNMA POOL #0357327

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

324

FNMA POOL #0357327

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

771

FNMA POOL #0357329

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

67

FNMA POOL #0357348

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

2,472

FNMA POOL #0357418

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

3,113

FNMA POOL #0420218

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

35

FNMA POOL #0449943

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

29

FNMA POOL #0453718

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

90

FNMA POOL #0454266

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

163

FNMA POOL #0454953

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

150

FNMA POOL #0456277

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

39

FNMA POOL #0516232

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

15

FNMA POOL #0518113

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

26

FNMA POOL #0535327

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

369

FNMA POOL #0555092

5.000% 12/01/2017 DD 11/01/02

152

FNMA POOL #0555114

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

161

FNMA POOL #0555363

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

65

FNMA POOL #0555366

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

605

FNMA POOL #0555417

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

22

FNMA POOL #0555436

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

374

FNMA POOL #0555531

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

2,264

FNMA POOL #0555549

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

44

FNMA POOL #0555880

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

457

FNMA POOL #0555900

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

53

FNMA POOL #0569270

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

26

FNMA POOL #0575384

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

57

FNMA POOL #0586647

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

13

FNMA POOL #0611001

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

34

FNMA POOL #0626014

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

70

FNMA POOL #0626589

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

96

FNMA POOL #0642713

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

10

FNMA POOL #0643340

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

79

FNMA POOL #0643858

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

10

FNMA POOL #0644886

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

81

FNMA POOL #0652610

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

59

FNMA POOL #0654650

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

190

FNMA POOL #0657374

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

6

FNMA POOL #0668357

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

3,382

FNMA POOL #0669334

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

78

FNMA POOL #0672347

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

55

FNMA POOL #0674595

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

68

FNMA POOL #0674690

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

69

FNMA POOL #0674694

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

64

FNMA POOL #0674715

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

89

FNMA POOL #0675223

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

57

FNMA POOL #0675259

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

83

FNMA POOL #0676688

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

80

FNMA POOL #0678000

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

2,819

FNMA POOL #0678108

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

560

FNMA POOL #0684444

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

34

FNMA POOL #0685194

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

81

FNMA POOL #0685474

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

64

FNMA POOL #0686044

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

892

FNMA POOL #0686229

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

38

FNMA POOL #0687485

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

57

FNMA POOL #0689082

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

131

FNMA POOL #0689085

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

138

 

S-5


 

Security Name

Security Description

Market Value

FNMA POOL #0693202

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

269

FNMA POOL #0694900

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

113

FNMA POOL #0695826

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

148

FNMA POOL #0695844

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

174

FNMA POOL #0695845

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

48

FNMA POOL #0695854

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

68

FNMA POOL #0695863

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

137

FNMA POOL #0695893

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

66

FNMA POOL #0695904

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

737

FNMA POOL #0695926

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

69

FNMA POOL #0695932

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

52

FNMA POOL #0697050

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

97

FNMA POOL #0697602

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

278

FNMA POOL #0698975

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

14

FNMA POOL #0701379

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

64

FNMA POOL #0702326

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

54

FNMA POOL #0702857

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

1,324

FNMA POOL #0703445

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

100

FNMA POOL #0703710

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

119

FNMA POOL #0707774

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

268

FNMA POOL #0708804

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

18

FNMA POOL #0708837

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

47

FNMA POOL #0709074

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

34

FNMA POOL #0709192

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

130

FNMA POOL #0709817

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

140

FNMA POOL #0709826

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

21

FNMA POOL #0710154

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

31

FNMA POOL #0713972

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

7,303

FNMA POOL #0720286

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

69

FNMA POOL #0720307

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

134

FNMA POOL #0720309

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

74

FNMA POOL #0720321

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

70

FNMA POOL #0720364

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

360

FNMA POOL #0720370

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

69

FNMA POOL #0720718

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

160

FNMA POOL #0721346

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

65

FNMA POOL #0724866

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

47

FNMA POOL #0725050

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

47

FNMA POOL #0725162

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

1,109

FNMA POOL #0725206

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

1,979

FNMA POOL #0725277

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

65

FNMA POOL #0725424

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

99

FNMA POOL #0725425

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

9,733

FNMA POOL #0725519

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

802

FNMA POOL #0725707

5.000% 08/01/2019 DD 07/01/04

100

FNMA POOL #0725709

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

1,573

FNMA POOL #0725773

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

9,323

FNMA POOL #0725791

5.000% 11/01/2018 DD 08/01/04

79

FNMA POOL #0725946

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

1,513

FNMA POOL #0725946

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

5,406

FNMA POOL #0725950

5.000% 11/01/2019 DD 10/01/04

353

FNMA POOL #0727453

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

364

FNMA POOL #0729214

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

1,651

FNMA POOL #0729604

5.000% 07/01/2018 DD 07/01/03

34

FNMA POOL #0730338

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

473

FNMA POOL #0730638

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

2,124

FNMA POOL #0731380

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

609

FNMA POOL #0732093

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

15

FNMA POOL #0734788

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

3,135

FNMA POOL #0735010

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

154

FNMA POOL #0735141

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

5,966

FNMA POOL #0735224

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

18,037

FNMA POOL #0735228

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

3,408

FNMA POOL #0735439

6.000% 09/01/2019 DD 03/01/05

1,009

FNMA POOL #0735504

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

3,345

FNMA POOL #0735611

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

58

FNMA POOL #0735989

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

3,060

FNMA POOL #0739410

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

344

FNMA POOL #0740482

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

11

FNMA POOL #0740832

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

13

FNMA POOL #0743437

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

32

FNMA POOL #0743474

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

35

FNMA POOL #0744207

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

15

FNMA POOL #0745140

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

1,521

FNMA POOL #0745193

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

805

FNMA POOL #0745238

6.000% 12/01/2020 DD 12/01/05

1,268

FNMA POOL #0745369

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

726

FNMA POOL #0745387

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

821

FNMA POOL #0745412

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

2,572

FNMA POOL #0745500

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

710

FNMA POOL #0745524

5.000% 04/01/2020 DD 04/01/06

55

FNMA POOL #0745735

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

2,412

FNMA POOL #0745737

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

2,131

FNMA POOL #0745875

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

1,839

FNMA POOL #0745932

6.500% 11/01/2036 DD 10/01/06

1,753

FNMA POOL #0745948

6.500% 10/01/2036 DD 10/01/06

1,017

FNMA POOL #0746285

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

13

FNMA POOL #0747768

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

15

FNMA POOL #0747771

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

14

FNMA POOL #0747775

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

561

FNMA POOL #0747784

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

47

FNMA POOL #0747837

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

80

FNMA POOL #0747925

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

15

FNMA POOL #0747967

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

60

FNMA POOL #0749921

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

48

 

S-6


 

Security Name

Security Description

Market Value

FNMA POOL #0750062

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

23

FNMA POOL #0752085

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

58

FNMA POOL #0752178

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

11

FNMA POOL #0753522

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

14

FNMA POOL #0753656

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

56

FNMA POOL #0755165

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

14

FNMA POOL #0755501

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

62

FNMA POOL #0757588

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

42

FNMA POOL #0757593

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

36

FNMA POOL #0757596

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

44

FNMA POOL #0758108

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

14

FNMA POOL #0759368

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

16

FNMA POOL #0761334

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

182

FNMA POOL #0761404

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

63

FNMA POOL #0761447

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

14

FNMA POOL #0761461

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

56

FNMA POOL #0762751

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

46

FNMA POOL #0766068

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

54

FNMA POOL #0766219

5.000% 03/01/2019 DD 02/01/04

148

FNMA POOL #0766312

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

78

FNMA POOL #0766633

5.000% 03/01/2019 DD 02/01/04

70

FNMA POOL #0767183

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

15

FNMA POOL #0767496

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

18

FNMA POOL #0770047

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

76

FNMA POOL #0770079

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

109

FNMA POOL #0774434

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

113

FNMA POOL #0777481

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

179

FNMA POOL #0778748

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

139

FNMA POOL #0780394

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

121

FNMA POOL #0780656

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

356

FNMA POOL #0785260

5.000% 08/01/2019 DD 07/01/04

87

FNMA POOL #0785630

5.000% 10/01/2019 DD 10/01/04

79

FNMA POOL #0791589

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

1,083

FNMA POOL #0809350

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

3,416

FNMA POOL #0812185

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

263

FNMA POOL #0814474

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

229

FNMA POOL #0819359

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

280

FNMA POOL #0824525

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

410

FNMA POOL #0825768

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

2,420

FNMA POOL #0828346

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

52

FNMA POOL #0833408

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

53

FNMA POOL #0834657

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

310

FNMA POOL #0835746

5.000% 08/01/2035 DD 08/01/05

1,507

FNMA POOL #0839466

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

882

FNMA POOL #0840639

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

164

FNMA POOL #0841079

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

810

FNMA POOL #0845155

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

545

FNMA POOL #0850867

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

996

FNMA POOL #0851465

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

862

FNMA POOL #0852524

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

811

FNMA POOL #0852935

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

27

FNMA POOL #0866930

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

295

FNMA POOL #0868292

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

852

FNMA POOL #0869940

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

893

FNMA POOL #0870539

5.235% 03/01/2036 DD 03/01/06

1,550

FNMA POOL #0871278

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

902

FNMA POOL #0880076

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

845

FNMA POOL #0880855

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

761

FNMA POOL #0883576

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

843

FNMA POOL #0884026

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

875

FNMA POOL #0888366

7.000% 04/01/2037 DD 04/01/07

14,203

FNMA POOL #0888367

7.000% 03/01/2037 DD 04/01/07

311

FNMA POOL #0888369

7.000% 03/01/2037 DD 04/01/07

274

FNMA POOL #0888436

5.000% 12/01/2021 DD 05/01/07

440

FNMA POOL #0888492

VAR RT 05/01/2033 DD 06/01/07

323

FNMA POOL #0888511

VAR RT 12/01/2033 DD 06/01/07

779

FNMA POOL #0888514

VAR RT 03/01/2035 DD 06/01/07

1,813

FNMA POOL #0888517

VAR RT 12/01/2035 DD 06/01/07

1,499

FNMA POOL #0888637

6.000% 09/01/2037 DD 08/01/07

1,016

FNMA POOL #0888644

5.000% 08/01/2037 DD 08/01/07

5,859

FNMA POOL #0888890

6.500% 10/01/2037 DD 11/01/07

3,528

FNMA POOL #0888892

7.500% 11/01/2037 DD 11/01/07

3,103

FNMA POOL #0898131

7.000% 09/01/2036 DD 09/01/06

36

FNMA POOL #0899113

5.000% 04/01/2037 DD 04/01/07

100

FNMA POOL #0899540

5.000% 06/01/2037 DD 06/01/07

488

FNMA POOL #0899611

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

328

FNMA POOL #0899668

5.000% 08/01/2037 DD 08/01/07

863

FNMA POOL #0899744

5.000% 07/01/2037 DD 06/01/07

447

FNMA POOL #0899870

5.000% 11/01/2037 DD 11/01/07

1,746

FNMA POOL #0899976

5.000% 09/01/2037 DD 09/01/07

58

FNMA POOL #0901735

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

24

FNMA POOL #0906238

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

4,883

FNMA POOL #0909889

5.000% 03/01/2037 DD 02/01/07

766

FNMA POOL #0912700

5.000% 03/01/2037 DD 03/01/07

101

FNMA POOL #0912922

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

49

FNMA POOL #0916474

5.000% 06/01/2037 DD 05/01/07

876

FNMA POOL #0923800

5.000% 05/01/2021 DD 05/01/07

68

FNMA POOL #0936747

5.000% 05/01/2037 DD 05/01/07

48

FNMA POOL #0937088

5.000% 05/01/2037 DD 05/01/07

977

FNMA POOL #0937827

5.000% 07/01/2037 DD 06/01/07

976

FNMA POOL #0937836

5.000% 05/01/2037 DD 06/01/07

57

FNMA POOL #0939485

5.000% 06/01/2037 DD 06/01/07

54

FNMA POOL #0941212

5.000% 06/01/2037 DD 06/01/07

334

FNMA POOL #0942955

5.500% 08/01/2037 DD 08/01/07

241

FNMA POOL #0943603

5.500% 08/01/2037 DD 07/01/07

315

 

S-7


 

Security Name

Security Description

Market Value

FNMA POOL #0944220

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

225

FNMA POOL #0944500

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

345

FNMA POOL #0944636

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

26

FNMA POOL #0948639

6.500% 08/01/2037 DD 08/01/07

1,823

FNMA POOL #0950302

7.000% 08/01/2037 DD 08/01/07

33

FNMA POOL #0952382

7.000% 11/01/2037 DD 11/01/07

173

FNMA POOL #0953394

7.000% 11/01/2037 DD 11/01/07

210

FNMA POOL #0954790

7.000% 10/01/2037 DD 11/01/07

209

FNMA POOL #0954880

7.000% 11/01/2037 DD 11/01/07

228

FNMA POOL #0955388

5.000% 11/01/2037 DD 11/01/07

57

FNMA POOL #0955770

6.000% 10/01/2037 DD 10/01/07

1,016

FNMA POOL #0959009

6.000% 12/01/2037 DD 12/01/07

2,032

FNMA POOL #0959897

7.000% 11/01/2037 DD 11/01/07

540

FNMA POOL #0960404

5.000% 12/01/2037 DD 12/01/07

54

FNMA GTD REMIC P/T

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

95

FNMA GTD REMIC P/T

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

491

FNMA GTD REMIC P/T 2002-34 FE

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

50

FNMA GTD REMIC P/T 2002-T6 A1

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

218

FNMA GTD REMIC P/T CTF 88-12A

VAR RT 02/25/2018

178

FNMA GTD REMIC P/T CTF 99W4 A9

6.250% 02/25/2029

3,018

FNMA GTD REMIC P/T CTF91-24Z

5.000% 03/25/2021

190

FNMA GTD REMIC P/T CTF93-19N

5.000% 02/25/2023

164

FORD CR AUTO OWNER TR 07 A-2A

5.420% 04/15/2010 DD 06/27/07

1,605

FRANCE TELECOM SA NT

STEP 03/01/2011 DD 09/01/01

726

GE CAP COML MTG 02 2 CL A3

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

1,367

GE COML MTG CORP 03 C1 A2

4.093% 01/10/2038 DD 04/01/03

1,984

GE COML MTG CORP 05-C4 A4

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

2,007

GENERAL ELEC CAP CORP MTN

5.000% 12/01/2010 DD 04/30/07

2,417

GENERAL ELEC CAP MTN # 00709

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

756

GENERAL ELEC CAP MTN # 00714

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

572

GENERAL ELEC CAP MTN #TR00665

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

615

GENERAL ELEC CO NT

5.250% 12/06/2017 DD 12/06/07

3,792

GMAC COML MTG 02 C3 CL A2

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

1,410

GMAC COML MTG SEC 02-C1 CL A2

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

2,102

GMAC COML MTG SECS 03-C3 A-3

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

1,198

GMAC COML MTG SECS 99-C2 CL A2

6.945% 09/15/2033

484

GMACM HOME EQTY 07 HE3 CL 1A1

7.000% 09/25/2037 DD 10/01/07

295

GMACM HOME EQTY 07 HE3 CL 2A1

7.000% 09/25/2037 DD 10/01/07

293

GMACM MTG LN TR 04-AR1 CL 12A

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

445

GNMA POOL #0424340

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

33

GNMA POOL #0498396

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

64

GNMA POOL #0513834

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

42

GNMA POOL #0520046

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

14

GNMA POOL #0523128

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

24

GNMA POOL #0538840

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

1

GNMA POOL #0569149

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

18

GNMA POOL #0571201

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

1

GNMA POOL #0585255

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

52

GNMA POOL #0586151

5.000% 07/15/2034 DD 07/01/04

34

GNMA POOL #0604338

5.000% 05/15/2033 DD 05/01/03

1,181

GNMA POOL #0604791

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

300

GNMA POOL #0605615

5.000% 04/15/2035 DD 04/01/05

150

GNMA POOL #0608945

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

846

GNMA POOL #0611414

5.000% 04/15/2033 DD 04/01/03

48

GNMA POOL #0617439

5.500% 03/15/2037 DD 03/01/07

1,228

GNMA POOL #0617792

6.000% 11/15/2037 DD 11/01/07

67

GNMA POOL #0619220

6.000% 10/15/2034 DD 10/01/04

980

GNMA POOL #0620925

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

42

GNMA POOL #0625550

5.000% 12/15/2033 DD 12/01/03

41

GNMA POOL #0626814

5.000% 05/15/2035 DD 05/01/05

142

GNMA POOL #0640173

5.000% 03/15/2035 DD 03/01/05

132

GNMA POOL #0641289

5.000% 04/15/2035 DD 04/01/05

881

GNMA POOL #0641475

5.000% 08/15/2035 DD 08/01/05

107

GNMA POOL #0641779

5.000% 09/15/2035 DD 09/01/05

1,928

GNMA POOL #0646058

6.000% 11/15/2037 DD 11/01/07

263

GNMA POOL #0646924

5.000% 09/15/2035 DD 09/01/05

149

GNMA POOL #0651787

5.000% 04/15/2036 DD 04/01/06

910

GNMA POOL #0656301

6.000% 10/15/2037 DD 10/01/07

955

GNMA POOL #0658325

6.000% 03/15/2037 DD 03/01/07

42

GNMA POOL #0659942

6.000% 11/15/2037 DD 11/01/07

943

GNMA POOL #0664387

6.000% 10/15/2037 DD 10/01/07

283

GNMA POOL #0664433

6.000% 11/15/2037 DD 11/01/07

80

GNMA POOL #0664443

6.000% 11/15/2037 DD 11/01/07

2,045

GNMA POOL #0669656

6.000% 08/15/2037 DD 08/01/07

43

GNMA POOL #0669682

6.000% 11/15/2037 DD 11/01/07

2,461

GNMA POOL #0670700

6.000% 06/15/2037 DD 06/01/07

981

GNMA POOL #0671146

6.000% 10/15/2037 DD 10/01/07

3,128

GNMA POOL #0671324

5.500% 07/15/2037 DD 07/01/07

1,751

GNMA POOL #0781124

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

60

GNMA POOL #0781155

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

66

GNMA POOL #0781328

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

76

GNMA GTD REMIC P/T 20020-31 FW

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

119

GNMA GTD REMIC P/T 2002-21 FV

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

208

GNMA II POOL #0001524

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

2

GNMA II POOL #0003056

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

26

GNMA II POOL #0003123

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

14

GNMA II POOL #0003136

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

10

GNMA II POOL #0008324

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

21

GNMA II POOL #0008814

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

9

GNMA II POOL #0008847

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

33

GOLDMAN SACHS GROUP INC

5.250% 10/15/2013 DD 10/14/03

1,155

GOLDMAN SACHS GROUP INC SR NT

6.250% 09/01/2017 DD 08/30/07

2,497

GREATER BAY BANCORP SR NT

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

225

GREENWICH CAP COML 06-GG7 A4

6.110% 07/10/2038 DD 07/01/06

1,647

GREYSTONE SVCG FHA #2063 PROJ

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

10

 

S-8


 

Security Name

Security Description

Market Value

GS MTG SECS 2006-FF4 A-1

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

378

GS MTG SECS CORP 05-GG4 A4

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

561

GS MTG SECS CORP 2005-AR6

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

787

GS MTG SECS TR 07-GG10 CL A-4

VAR RT 08/10/2045 DD 07/01/07

1,064

GSAA HOME EQUITY TR 2006-9 A-1

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

575

GSAMP 2006 HE4 CTF A-2A

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

468

GULF SOUTH PIPLINE CO LP 144A

6.300% 08/15/2017 DD 08/17/07

264

HALLIBURTON CO SR NT

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

283

HANCOCK JOHN II MTN 00001 144A

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

327

HARBORVIEW MTG LN 05-14 CL 5-A

VAR RT 12/19/2035 DD 10/01/05

732

HBOS PLC MTN SR #00007 144A

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

303

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

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

1,855

HONDA AUTO RECV 2005-6 CL A-3

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

1,052

HSBC CAP FDG DLR 2 LP 144A

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

644

HSBC FIN CORP NT

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

352

HSBC HOME EQTY 07 3 CL A-PT

VAR RT 11/20/2036 DD 10/18/07

1,208

HUNTINGTON NATL BK COLUMBUS

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

373

IFC SBA LN BACKED 97-1 A 144A

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

279

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

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

40

INDYMAC INDX MTG 06-AR41 CL A3

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

1,021

INDYMAC MBS INC 05-AR15 CL A-1

VAR RT 09/25/2035 DD 07/01/05

672

INTERNATIONAL BUSINESS MACHS

5.700% 09/14/2017 DD 09/14/07

569

IRS BLRK BRS29H7Z5 5.43% 3MLBR

W/BANK OF AMERICA 5/16/08

16

IRS-BLRK BRS2GR108 5.64%

W/DEUTSCHE MAT 07/14/2010

414

IRS-BLRK BRS2HK3D2 3MLB 5.496

W/BANK OF AMERICA MAT 07/26/09

194

IRS-BLRK BRS2Q8YB9 5.16%

W/DEUTSCHE MAT 09/12/2009

135

IRS-BLRK BRS2YEWP8 5.1575

3MLBR W/CITIBANK MAT 11/07/06

315

IRS-BLRK BRS308MJ1 5.025%

W/BARCLAYS MAT 11/21/2011

109

IRS-BLRK BRS336NL6 VS 4.948%

W/ BK OF AMER MAT 12/12/2011

142

IRS-BLRK BRS3QQNB9 INT RT SWAP

5.411% MATURITY 04/30/2027

53

IRS-BLRK BRS41XJ24 5.52600%

MATURITY 06/05/2017

280

IRS-BLRK BRS4BCSV5 INT RT SWAP

5.5030% MATURITY 07/12/2012

1,409

IRS-BLRK BRS4MHG86 INT RATE

SWAP 5.2720% MAT 08/06/2012

386

IRS-BLRK BRS4PYK57 INT RT SWAP

PUT AUG 10 005.780 ED 08/09/10

211

IRS-BLRK BRS4PYK65 INT RT SWAP

CALL AUG 10 005.780 ED 8/09/10

571

IRS-BLRK BRS4QMZJ6 INT RT SWAP

PUT AUG 10 005.790 ED 08/16/10

132

IRS-BLRK BRS4QMZK3 INT RT SWAP

CALL AUG 10 005.790 ED 8/16/10

359

IRS-BLRK BRS4SHLU5 IRS

5.31750% MATURITY 08/28/2017

524

IRS-BLRK BRS5ADUS5

W/DEUTSCHE MAT 10/19/2012

178

IRS-BLRK BRS5TRDU8

W/ DEUTSCHE MAT 12/11/2009

24

IRS-BLRK BRS5TRHL4

W/ BARCLAYS MAT 12/11/2009

10

IRS-BLRK BRS5URE35

W/ LEHMAN MAT 12/12/2009

30

J P MORGAN MTG 07-A1 CL 1A1

VAR RT 07/25/2035 DD 01/01/07

923

J P MORGAN MTG 07-A1 CL 5A2

VAR RT 07/25/2035 DD 01/01/07

876

JP MORGAN CHASE 06 CIBC15 A4

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

996

JP MORGAN CHASE BK N A NEW

6.000% 07/05/2017 DD 06/27/07

560

JP MORGAN CHASE NK NA NEW YORK

6.000% 10/01/2017 DD 09/24/07

763

JP MORGAN MTG TR 06-A2 CL 5A3

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

1,728

JPMORGAN CHASE & CO SR NT

6.000% 01/15/2018 DD 12/20/07

280

KELLOGG CO SR NT

5.125% 12/03/2012 DD 12/03/07

252

KERN RIV FDG CORP SR NT 144A

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

233

KRAFT FOOD INC BD

6.000% 02/11/2013 DD 08/13/07

319

KRAFT FOODS INC NT

6.500% 08/11/2017 DD 08/13/07

362

KRAFT FOODS INC NT

6.125% 02/01/2018 DD 12/12/07

907

KRAFT FOODS INC NT

6.875% 02/01/2038 DD 12/12/07

1,661

LB UBS COML 05-C5 CTF A-4

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

945

LB UBS COML MTG 03-C7 A-3

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

1,007

LB UBS COML MTG 03-C7 CL A-2

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

590

LB UBS COML MTG 06-C7 CL A3

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

1,502

LB UBS COML MTG 2006-C6 A-4

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

597

LB UBS COML MTG TR 00-C4 CL A2

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

1,451

LB UBS COML MTG TR 02 C2 CL A4

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

1,318

LB UBS COML MTG TR 04-C4 A3

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

1,250

LB UBS COML MTG TR 05-C1 CL A3

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

1,220

LB UBS COML MTG TR 05-C7 CL A4

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

988

LB UBS COML MTG TR 06-CL A-4

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

1,483

LEHMAN BROS HLDG INC MTN

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

494

LEHMAN BROS HLDGS INC MEDIUM

6.750% 12/28/2017 DD 12/21/07

747

LEHMAN BROS HLDGS INC MEDIUM

6.750% 12/28/2017 DD 12/21/07

2,577

LEHMAN BROS HLDGS INC SUB NT

6.500% 07/19/2017 DD 07/19/07

152

LEHMAN BROS HLDGS MTN #TR00578

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

494

LEHMAN BROTHERS HLDGS #TR00632

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

414

LEHMAN BROTHERS HLDGS INC

6.200% 09/26/2014 DD 09/26/07

535

LEHMAN BROTHERS HLDGS INC MTN

VAR RT 05/25/2010 DD 05/25/07

937

LEHMAN BROTHERS HLDGS TR 00387

6.625% 01/18/2012 DD 01/10/02

415

LINCOLN NATL CORP IND SR NT

VAR RT 04/06/2009 DD 04/06/06

2,364

LONG BEACH 06-11 P/T CL IIA1

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

1,055

LUMINENT MTG TR 06-5 P/T A1A

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

683

MARKS & SPENCER PLC NT 144A

6.250% 12/01/2017 DD 12/06/07

676

MASSMUTUAL GLOBAL FDG II 144A

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

346

MASTR ADJ RATE MTGS 02 3 B2

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

192

MBNA CR CARD MASTER 2006-A1 A

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

1,655

MBNA MASTER CR CARD 98 E CL A

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

1,676

MERRILL LYNCH & CO INC MTN

6.400% 08/28/2017 DD 08/28/07

203

MERRILL LYNCH & CO INC MTN

6.400% 08/28/2017 DD 08/28/07

305

MERRILL LYNCH MTG 05-3 CL 5-A

VAR RT 11/25/2035 DD 10/31/05

555

MERRILL LYNCH MTG SER C3 CL A3

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

835

METROPOLITAN LIFE MTN #TR00011

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

185

MID ST TR IV ASST BKD NT

8.330% 04/01/2030

845

MONEY STORE AUTO TR 99-1 A

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

215

MONEY STORE SER 97-2 CL A

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

334

MONUMENTAL GLOBAL FDG 05-C

VAR RT 06/16/2010 DD 06/16/05

1,122

MORGAN J P & CO INC SUB NT

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

366

MORGAN STANLEY 07-TOP25 CL A3

5.514% 11/12/2049 DD 01/01/07

1,619

MORGAN STANLEY DW & CO GL NT

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

261

 

S-9


 

Security Name

Security Description

Market Value

MORGAN STANLEY GLOBAL MED TERM

5.550% 04/27/2017 DD 04/27/07

93

MORGAN STANLEY GLOBAL MTN

6.250% 08/28/2017 DD 08/28/07

620

MORGAN STANLEY GLOBAL MTN

6.250% 08/28/2017 DD 08/28/07

762

MORGAN STANLEY NT

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

325

MORGAN STANLEY SR GBL MTN F

VAR RT 01/09/2012 DD 08/09/06

3,465

MORGAN STANLEY SR MEDIUM TERM

5.950% 12/28/2017 DD 12/28/07

2,498

MUFG CAP FIN 1 LTD USD

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

497

NATIONAL AUSTRALIA BK SER A

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

540

NATIONSTAR HOME EQ 2006-B AV-1

VAR RT 09/25/2036 DD 09/14/06

444

NATIONWIDE MTN #SR00019 144A

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

45

NELNET INC NT

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

335

NEW YORK LIFE GBL MTN #TR00002

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

437

NEW YORK LIFE MTN 144A

5.250% 10/16/2012 DD 10/16/07

1,325

NEW YORK N Y CITY MUN WTR FIN

5.000% 06/15/2038 DD 12/11/07

1,247

NEWS AMER HLDGS INC DEB

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

179

NEWS AMER HLDGS INC SHELF 9

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

166

NISOURCE FIN CORP

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

545

NISSAN AUTO REC 2005 C CL A-3

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

695

NORDBANKEN AB STEP UP CAP 144A

FIX/FLOAT 11/29/2049

592

ONEOK INC NEW SR NT

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

565

OPTEUM MTG ACCEP CORP 06-2 A1A

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

814

ORACLE CORP/OZARK HLDG INC NT

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

608

ORACLE CORP/OZARK HLDG INC NT

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

937

PHH CORP NT

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

181

PIMCO SWAP #19433 INT RT SWAP

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

267

PIMCO SWAP #SWU0304C4

4.000% 06/18/2010 DD 06/18/08

258

PIMCO SWAP #SWU0337C5

4.0000% 06/18/2010

3

PIMCO SWAP #SWU0405C2

5.0000% 06/18/2015

151

PIMCO SWAP #SWU0407C0

4.000% 06/18/2010 DD 06/18/08

61

PIMCO SWAP #SWU0855B9

5.000% 06/18/2010 DD 07/01/07

352

PIMCO SWAP CO 8208 DEERE CRED

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

(0)

PIMCO SWAP CO 8216 RADIOSHACK

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

1

PIMCO SWAP CO 8224 CATERPILLAR

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

(0)

PIMCO SWAP CO 9081 EMERSON

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

(39)

PIMCO SWAP CO 9149 INTL PAPER

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

(1)

PIMCO SWAP CO 9222 SIMON PROP

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

0

PRICOA GLOBAL FDG I MTN 144A

5.400% 10/18/2012 DD 10/18/07

1,296

PRINCIPAL FINL GRP 144A

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

477

PRINCIPAL LIFE GLOBAL FDG 144A

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

194

PRIVATE EXPT FDG CORP SECD NT

5.450% 09/15/2017 DD 08/16/07

2,730

PROJECT FDG I ASSET BKD I 144A

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

157

PRUDENTIAL FINL MTN #TR00022

5.800% 06/15/2012 DD 06/19/07

436

PRUDENTIAL FINL MTN TR 00001

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

449

QBE INS GROUP LTD SUB FXD 144A

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

672

RABOBANK USA FINL DISC

01/02/2008

3,099

RASC SER 2006 EMX5 P/T A-1

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

698

REILLY MTG ASSOC 67TH FHA INSD

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

173

REILLY MTG ASSOC 91ST FHA PROJ

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

106

REILLY MTG GRP FHA POOL #64

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

224

REINSURANCE GROUP AMER INC

5.625% 03/15/2017 DD 03/09/07

996

RESIDENTIAL ACC 05-5QO5 A-1

VAR RT 01/25/2046 DD 12/01/05

1,167

RESIDENTIAL ASSET 05-RZ4 A1

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

254

RESIDENTIAL FDG 05-SA4 CL 2A2

VAR RT 09/25/2035 DD 08/01/05

789

RESIDENTIAL SER 06 RS4 A1

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

745

RESONA PFD GLOBAL SECS 144A

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

595

SALES TAX ASSET RECEIVABLE N Y

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

282

SALOMON BROS MTG 01-C2 CL A 3

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

1,009

SALOMON BROS MTG VII 00-C1 A2

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

826

SALOMON BROS MTG VII 94-20 A

VAR RT 08/01/2024

18

SANTANDER ISSUANCES S A 144A

VAR RT 06/20/2016 DD 06/20/06

204

SBA GTD PARTN CTFS SBIC 20-10A

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

545

SBC COMMUNICATIONS INC GBL NT

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

31

SCOTTISH PWR PLC NT

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

523

SLM STUDENT LN TR 2005-10 A2

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

237

SMALL BUS ADMIN CTF S-95 20B

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

365

SMALL BUS ADMIN GTD PARTN 97-D

7.500% 04/01/2017

796

SMALL BUS ADMIN GTD PARTN 97-H

6.800% 08/01/2017

338

SMALL BUS ADMIN GTD PARTN CTF

1999-20 7.200% 10/01/2019

1,200

SMALL BUSINESS ADMIN 97-F

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

127

SP POWERASSETS LTD #00001 144A

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

298

SPRINT CAP CORP

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

130

SPRINT CAP CORP

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

651

STRUCTURED ADJ RATE 04-12 3-A2

VAR RT 09/25/2034 DD 08/01/04

35

STRUCTURED ADJ RT 04-16 CL 3A1

VAR RT 11/25/2034 DD 10/01/04

212

STRUCTURED ASSET 0121A CL 1A1

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

37

STRUCTURED ASSET 03-34A 3A3

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

464

STRUCTURED ASSET 04-5 CL 3-A1

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

116

STRUCTURED ASSET 06-BC6 CL A2

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

1,154

STRUCTURED ASSET 07 AR6 A-1

VAR RT 11/25/2037 DD 10/01/07

2,913

STRUCTURED ASSET 07-BC1 CL A2

VAR RT 02/25/2037 DD 01/25/07

1,231

STRUCTURED ASSET SECS 03 144A

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

417

STRUCTURED ASSET SECS 04-5 1A

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

124

STRUCTURED ASSET SECS 04-6 3A2

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

832

SUMITOMO MITSUI BKG CORP 144A

VAR RT 07/29/2049 DD 07/22/05

467

SUNTRUST BK ATLANTA INSTL C/D

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

234

SWEDBANK (FOR AB) DISC

01/24/2008

99

SWEDBANK (FOR AB) DISC

01/17/2008

592

SWEDBANK MTG AB DISC

01/17/2008

6,512

SWEDISH EXPT CR CORP GLOBAL NT

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

1,499

TCI COMMUN INC

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

163

TELE COMMUNICATIONS INC DEB

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

27

TELECOM ITALIA CAP GTD SR NT

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

97

TELECOM ITALIA CAP GTD SR NT

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

867

TELECOM ITALIA CAP GTD SR NT B

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

435

TELEFONICA EMISIONES S A U SR

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

579

 

S-10


 

Security Name

Security Description

Market Value

TELEFONICA EUROPE B V US NT

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

70

TENNESSEE VALLEY AUTH 2001 A

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

2,109

TIAA GLOBAL MKTS INC NT

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

135

TIAA GLOBAL MKTS MTN 144A

5.125% 10/10/2012 DD 10/10/07

1,070

TIME WARNER CABLE INC

5.850% 05/01/2017 DD 04/09/07

1,028

TIME WARNER ENTMT CO LP SR DEB

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

294

TOBACCO SETTLEMENT AUTH IOWA

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

965

TRANSOCEAN INC NT

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

1,095

TRS-BLRK BRS4M5GB5

0.0% MATURITY 01/31/2008

37

TRS-BLRK BRS4MQU80 TOTAL

RETURN SWAP 0.0% MAT 01/31/08

57

TRS-BLRK BRS4PDTX3 TOTAL

RETURN SWAP 0.0% MAT 01/31/08

57

TRS-BLRK BRS5KBVM0 W/BOA

TMDT 04/30/2008

43

U S TREAS BD STRIP PRIN PMT

11/15/2021

789

U S TREAS NTS

3.375% 11/30/2012 DD 11/30/07

1,620

U S TREAS NTS

3.375% 11/30/2012 DD 11/30/07

2,293

U S TREASURY BILL

0.000% 02/28/2008 DD 08/30/07

298

U S TREASURY BILL

0.000% 03/13/2008 DD 09/13/07

1,906

U S TREASURY BONDS

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

116

U S TREASURY BONDS

5.000% 05/15/2037 DD 05/15/07

545

U S TREASURY BONDS

4.750% 02/15/2037 DD 02/15/07

837

U S TREASURY BONDS

06.750% 08/15/2026 DD 08/15/96

1,024

U S TREASURY BONDS

6.250% 08/15/2023 DD 08/15/93

1,198

U S TREASURY BONDS

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

1,638

U S TREASURY BONDS

4.750% 02/15/2037 DD 02/15/07

1,852

U S TREASURY BONDS

7.125% 02/15/2023 DD 02/15/93

1,936

U S TREASURY BONDS

5.000% 05/15/2037 DD 05/15/07

2,208

U S TREASURY BONDS

5.000% 05/15/2037 DD 05/15/07

2,835

U S TREASURY BONDS

08.750% 05/15/2017 DD 05/15/87

3,028

U S TREASURY NOTES

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

207

U S TREASURY NOTES

3.125% 11/30/2009 DD 11/30/07

300

U S TREASURY NOTES

4.250% 11/15/2017 DD 11/15/07

305

U S TREASURY NOTES

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

750

U S TREASURY NOTES

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

1,146

U S TREASURY NOTES

4.250% 11/15/2017 DD 11/15/07

1,516

U S TREASURY NOTES

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

2,111

U S TREASURY NOTES

4.250% 11/15/2017 DD 11/15/07

2,951

U S TREASURY NOTES

4.000% 09/30/2009 DD 09/30/07

3,760

U S TREASURY NOTES

3.625% 10/31/2009 DD 10/31/07

12,576

U S TREASURY NTS

4.250% 09/30/2012 DD 09/30/07

445

U S TREASURY NTS

4.250% 09/30/2012 DD 09/30/07

1,657

U S TREASURY NTS

4.125% 08/31/2012 DD 08/31/07

2,369

U S TREASURY NTS

4.125% 08/31/2012 DD 08/31/07

7,081

UBS AG STAMFORD BRH MEDIUM

5.875% 12/20/2017 DD 12/20/07

1,203

UBS FIN DEL INC DISC

01/28/2008

6,618

UNION PAC CORP NT

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

325

UNITED STATES TREASURY NOTES

4.750% 08/15/2017 DD 08/15/07

6,339

UNITEDHEALTH GROUP INC NT

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

708

US CENT CR UN NT

2.750% 05/30/2008 DD 05/30/03

446

US TREAS-CPI INFLAT

2.500% 07/15/2016 DD 07/15/06

221

US TREAS-CPI INFLAT

2.375% 04/15/2011 DD 04/15/06

768

US TREAS-CPI INFLAT

2.000% 01/15/2014 DD 01/15/04

1,285

US TREAS-CPI INFLAT

2.375% 01/15/2017 DD 01/15/07

1,531

US TREAS-CPI INFLAT

2.000% 01/15/2016 DD 01/15/06

1,621

US TREAS-CPI INFLAT

2.375% 01/15/2027 DD 01/15/07

4,082

US TREAS-CPI INFLATION INDEX

2.000% 04/15/2012 DD 04/15/07

747

US TREAS-CPI INFLATION INDEX

2.375% 01/15/2025 DD 07/15/04

1,397

US TREAS-CPI INFLATION INDEX

0.875% 04/15/2010 DD 10/15/04

5,827

VERIZON COMMUNICATIONS INC NT

5.350% 02/15/2011 DD 02/15/06

1,844

VERIZON NEW JERSEY DEB SER A

5.875% 01/17/2012 DD 01/22/02

783

VODAFONE AIRTOUCH PLC NT

7.750% 02/15/2010 DD 08/15/00

527

VODAFONE AIRTOUCH PLC NT

7.750% 02/15/2010 DD 08/15/00

706

VODAFONE GROUP PLC NEW NT

5.000% 12/16/2013 DD 09/22/03

29

WACHOVIA BK COML 05-C21 CL A-4

VAR RT 10/17/2044 DD 10/01/05

1,924

WACHOVIA BK COML MTG 03-C6 A-4

5.125% 08/15/2035 DD 08/01/03

1,048

WACHOVIA BK NATL #SR00017

4.375% 08/15/2008 DD 08/08/05

10

WACHOVIA BK NATL ASSN MEDIUM

6.000% 11/15/2017 DD 11/21/07

1,158

WAMU MTG P/T CTF 04-AR3 A2

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

168

WAMU MTG P/T CTFS 05-AR8 2A1A

VAR RT 07/25/2045 DD 07/15/05

355

WAMU MTG P/T SER 07-OA2 CL 1A

VAR RT 03/25/2047 DD 02/01/07

839

WELLPOINT INC NT

5.000% 01/15/2011 DD 01/10/06

451

WELLS FARGO & CO NEW NT

4.625% 08/09/2010 DD 08/08/05

230

WELLS FARGO & CO NEW NT

4.200% 01/15/2010 DD 12/06/04

268

WELLS FARGO & CO NEW SR NT

4.875% 01/12/2011 DD 01/12/06

334

WELLS FARGO & CO NEW SR UNSECD

5.625% 12/11/2017 DD 12/10/07

400

WELLS FARGO 2005-AR16 CL VIA3

5.002% 10/25/2035 DD 09/01/05

1,530

WELLS FARGO MORTGAGE 05-16

VAR RT 10/25/2035 DD 09/01/05

890

WELLS FARGO MTG 05-AR6 CL A-1

VAR RT 04/25/2035 DD 03/01/05

2,239

WELLS FARGO MTG 06-AR10 V-A-3

5.6073% 07/25/2036 DD 06/01/06

1,472

WELLS FARGO MTG BKD 04 S A-1

VAR RT 09/25/2034 DD 08/01/04

785

WELLS FARGO MTG BKD 04-H A1

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

1,435

WELLS FARGO MTG BKD 06-AR2 2A3

VAR RT 03/25/2036 DD 02/01/06

2,397

WHITE MTNS RE GROUP SR NT 144A

6.375% 03/20/2017 DD 03/19/07

533

WISCONSIN ST GEN REV TXB-SER A

4.800% 05/01/2013 DD 12/18/03

453

XEROX CORP SR NT

5.500% 05/15/2012 DD 05/17/07

508

XSTRATA FIN CDA LTD GTD 144A

5.800% 11/15/2016 DD 11/15/06

476

XTO ENERGY INC SR NT

5.300% 06/30/2015 DD 04/13/05

299

XTO ENERGY INC SR NT

6.250% 08/01/2017 DD 07/19/07

734

 

S-11


 

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.

 

 

 

CBS 401(k) PLAN

 

 

 

 

 

 

Date: June 27, 2008

By: 

/s/ STEPHEN D. MIRANTE

 

 

 

 

 

Stephen D. Mirante

 

 

 

 

 

Member of the Retirement Committee

 

S-12