UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 11-K
(Mark One):
(X) ANNUAL REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT
OF 1934 [NO FEE REQUIRED, EFFECTIVE OCTOBER 7, 1996].
For the fiscal year ended December 31, 1999
OR
( ) TRANSITION REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE
ACT OF 1934 [NO FEE REQUIRED].
For the transition period from _________________to ____________________
Commission File No. 2-61045
A. Full title of the plan and the address of the plan, if different
from that of the issuer named below:
THE SAVINGS AND INVESTMENT PROGRAM FOR EMPLOYEES OF
UNION CARBIDE CORPORATION AND
PARTICIPATING SUBSIDIARY COMPANIES
B. Name of issuer of the securities held pursuant to the plan and
the address of its principal executive office:
UNION CARBIDE CORPORATION
39 OLD RIDGEBURY ROAD
DANBURY, CT 06817-0001
Total number of sequentially numbered pages in this filing including
exhibits thereto: 20
<PAGE>
THE SAVINGS AND INVESTMENT PROGRAM FOR EMPLOYEES OF
UNION CARBIDE CORPORATION
AND PARTICIPATING SUBSIDIARY COMPANIES
<TABLE>
<CAPTION>
TABLE OF CONTENTS
Page
Financial Statements:
<S> <C>
Statement of Net Assets Available for Benefits -
December 31, 1999 and 1998 3
Statement of Changes in Net Assets Available for Benefits -
Year ended December 31, 1999 4
Notes to Financial Statements 5-9
Supplemental Schedules:
Schedule of Assets Held for Investment
Purposes At End of Year - December 31, 1999 10-15
Schedule of Reportable Transactions -
Year ended December 31, 1999 16
Signature 17
Independent Auditors' Report 18
Exhibit Index 19
</TABLE>
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<PAGE>
THE SAVINGS AND INVESTMENT PROGRAM FOR EMPLOYEES OF
UNION CARBIDE CORPORATION
AND PARTICIPATING SUBSIDIARY COMPANIES
<TABLE>
<CAPTION>
Statement of Net Assets Available for Benefits
December 31, 1999 and 1998
(millions of dollars)
1999 1998
Assets:
<S> <C> <C>
Investments:
Union Carbide Corporation Common Stock - 4,051,250 shares
and 4,978,564 shares at market value $ 270.4 $ 211.6
Union Carbide Corporation Common Stock held by the ESOP -
13,554,825 shares and 14,564,984 shares at market value:
Unallocated 405.3 292.9
Allocated 499.8 326.3
Praxair, Inc. Common Stock - 943,967 shares
and 1,192,630 shares at market value 47.5 42.0
United States Savings Bonds at current redemption value 2.1 2.1
Short-term securities at market value 10.0 6.4
Fixed Income Fund - 9,350,589 units and 9,135,968 units -
per unit value $89.28 and $84.21 834.8 769.3
Fidelity Equity-Income Fund, managed for the Trustee
by Fidelity Investments - 1,103,931 shares and
1,137,372 shares at market value 59.0 63.2
Spartan U.S. Equity Index Fund, managed for the
Trustee by Fidelity Investments - 2,373,319 shares and
2,351,447 shares at market value 123.6 103.4
Fidelity Magellan Fund, managed for the Trustee by
Fidelity Investments - 1,041,254 shares and 868,396 shares
at market value 142.3 104.9
Fidelity Contrafund, managed for the Trustee by
Fidelity Investments - 1,566,412 shares and 1,263,440
shares at market value 94.0 71.8
Fidelity Growth Company Fund, managed for the
Trustee by Fidelity Investments - 1,133,240 shares and
718,517 shares at market value 95.6 36.7
Loans to participants 61.4 59.1
-------- --------
Total Investments 2,645.8 2,089.7
-------- --------
Participants' contributions receivable 0.2 0.1
-------- --------
Total assets 2,646.0 2,089.8
-------- --------
Liabilities:
ESOP loan payable to Union Carbide Corporation 55.8 66.9
Other liabilities 8.3 3.8
-------- --------
Total liabilities 64.1 70.7
-------- --------
Net assets available for benefits $2,581.9 $2,019.1
======== ========
The Notes to Financial Statements on pages 5 through 9 should be read in conjunction
with this statement.
</TABLE>
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<PAGE>
THE SAVINGS AND INVESTMENT PROGRAM FOR EMPLOYEES OF
UNION CARBIDE CORPORATION
AND PARTICIPATING SUBSIDIARY COMPANIES
<TABLE>
<CAPTION>
Statement of Changes in Net Assets Available for Benefits
Year ended December 31, 1999
(millions of dollars)
Additions to net assets attributed to:
<S> <C>
Investment income:
Dividends $ 57.4
Interest 53.9
--------
111.3
--------
Net appreciation in fair value of investments 513.1
Contributions and deposits:
Amounts deposited by participating employees 54.7
Amounts contributed by participating employers 5.4
Rollovers from previous employers' plans 2.2
--------
62.3
--------
Allocation of ESOP Stock to participants 36.7
--------
Total additions 723.4
Deductions from net assets attributed to:
Withdrawals 143.7
Administrative costs and expenses 2.8
Interest expense on ESOP loan 6.7
Allocation of ESOP Stock to participants 7.4
--------
Total deductions 160.6
--------
Net increase 562.8
Net assets available for benefits at:
Beginning of year 2,019.1
--------
End of year $2,581.9
========
The Notes to Financial Statements on pages 5 through 9 should be read in conjunction
with this statement.
</TABLE>
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<PAGE>
THE SAVINGS AND INVESTMENT PROGRAM FOR EMPLOYEES OF
UNION CARBIDE CORPORATION
AND PARTICIPATING SUBSIDIARY COMPANIES
Notes to Financial Statements
December 31, 1999 and 1998
(1) Summary of Significant Accounting Policies
Investments are stated at market value based upon quoted market prices plus
accrued income thereon, except for investments in United States Savings
Bonds, which are carried at current redemption values; loans to
participants, which are carried at face value, which approximates fair
values; and certain investment contracts, which are carried at contract
value. Fixed Income Fund investments consist of investment contracts with
insurance companies, government, corporate and international securities,
investments in common/collective trusts, Commercial Paper and Certificates
of Deposit and a short term investment fund of the trustee (see note 6).
Purchases and sales of investments are recorded on the trade date.
Unrealized appreciation and depreciation of investments stated at market
and fair values is recognized currently in the financial statements.
Participants' accounts are credited with participant contributions and
allocations of (a) Union Carbide Corporation (the "corporation" or "UCC")
common stock held by the Employee Stock Ownership Plan ("ESOP")
representing UCC matching contributions and, (b) investment fund earnings
of the Savings and Investment Program for Employees of Union Carbide
Corporation and Participating Subsidiary Companies (the "Program"). The
allocation of investment fund earnings is based upon a participant's
interest in a respective investment fund.
The financial statements have been prepared on the accrual basis of
accounting. The preparation of financial statements requires management to
make estimates and assumptions that could affect the reported amounts of
assets 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.
In September 1999, the American Institute of Certified Public Accountants
issued Statement of Position 99-3, "Accounting for and Reporting of Certain
Defined Contribution Plan Investments and Other Disclosure Matters," ("SOP
99-3"). SOP 99-3 simplifies the disclosure for certain investments and is
effective for plan years ending after December 15, 1999 with earlier
application encouraged. The Program adopted SOP 99-3 during the Program
year ending December 31, 1999. Accordingly, information previously
required to be disclosed about participant-directed fund investment
programs is not presented in the Program's 1999 financial statements. The
Program's 1998 financial statements have been reclassified to conform with
the current year's presentation.
-5-
<PAGE>
(2) Description of the Program
The following brief description of the Program is provided for general
information purposes only. Participants should refer to the Summary Plan
Description.
Employees may elect to have the corporation deduct and contribute from 1%
to 17 1/2% of their compensation to the Program, subject to certain
Internal Revenue Code ("IRC") restrictions. Deducted amounts, elected by
employees, up to 7 1/2% of their compensation are considered basic
deductions, while additional deductions greater than 7 1/2% to 17 1/2% (in
1/2 percentage point increments) of their compensation are considered
supplemental deductions. Basic and supplemental deductions can be made on
either an after-tax or a before-tax basis. Before-tax deductions are
credited to the participant's 40l(K) portion of the Program while after-tax
deductions are credited to a participant's personal investment account. An
employee may also elect to make a supplemental deposit to the Program in
cash on an after-tax basis.
Eligible participants receive monthly allocations, based on a weighted
average market price of UCC common stock, from the unallocated shares of
UCC common stock held by the ESOP. This allocation, equal to 75% of their
basic deductions, represents the UCC matching contribution. Employees vest
in the UCC matching contributions upon allocation.
The Program maintains two trusts, one related to the ESOP portion of the
program ("ESOP Trust") and one related to the other investments
(collectively, the "trusts").
(3) Investment Programs
Participants have discretion over, and may invest their basic deductions
and their supplemental deductions in 1/2 percentage point increments in any
or all of the following investment options: Union Carbide Corporation
Common Stock (including the corporation's Discounted Company Stock Fund),
United States Savings Bonds, the Fixed Income Fund, the Fidelity Equity-
Income Fund, the Spartan U.S. Equity Index Fund, the Fidelity Magellan
Fund, the Fidelity Contrafund and the Fidelity Growth Company Fund. A
participant may invest a supplemental deposit in any of these investment
programs except for the Discounted Company Stock Fund.
Investments in Praxair, Inc. ("Praxair") Common Stock are closed to new
participants, and existing participants are limited to selling and are
prohibited from purchasing Praxair Common Stock through the Program.
Dividends earned on Praxair Common Stock are reinvested in the Fixed Income
Fund.
(4) Employee Stock Ownership Plan
The ESOP is an integral part of the Program. The ESOP Trust owns shares of
UCC Common Stock ("ESOP Stock"). The ESOP Stock which has not yet been
allocated to participants' accounts secures a 15-year 10% loan maturing in
2005 payable to the corporation. The corporation makes contributions to
the ESOP Trust and dividend payments on the shares held
-6-
<PAGE>
by the ESOP. In turn, the ESOP Trust makes loan payments of interest
and principal. As these payments are made, shares of ESOP Stock are
released and available for allocation to eligible participants. Additional
shares of ESOP Stock, representing the value of dividends earned on
allocated shares, are credited quarterly to participants' accounts.
Supplemental allocations of ESOP Stock are made to eligible employees based
upon a profit sharing formula. The supplemental allocations are determined
each year based on the corporation's quarterly returns on capital. For the
years ended December 31, 1999 and 1998, the supplemental allocations of
ESOP Stock totaled $9.0 million and $23.8 million, respectively. These
amounts were included in the ESOP allocated balances at December 31, 1999
and 1998, respectively, and were credited to eligible employees' accounts
in February of the subsequent year.
(5) Expenses
Costs and expenses, if any, associated with the sale of UCC Common Stock,
including stock held by the ESOP for a participant's account, are deducted
from the proceeds. Similar costs and expenses associated with the purchase
of UCC Common Stock are charged to the participant's account. Fees of the
trustees and investment managers are paid by the Program. For the year
ended December 31, 1999, the Program paid certain administrative costs and
recordkeeping expenses of the Program. The corporation paid those expenses
not borne by the Program.
(6) Fixed Income Fund
The Fixed Income Fund investments consist of investment contracts with
insurance companies, government, corporate and international securities,
and investments in common/collective trusts, Commercial Paper and
Certificates of Deposit, and a short-term investment fund of the trustee.
At the beginning of 1998, the Fixed Income Fund included two bond
portfolios actively managed by Pacific Investment Management Company and
Jennison Associates Capital Corporation. In April 1998, funds were
transferred from a short-term investment fund of the trustee to a third
bond portfolio, actively managed by NISA Investment Advisors, L.L.C. The
three portfolios consist of government, corporate and international
investment grade securities. Pacific Life Insurance Company, The
Prudential Insurance Company of America and Greenwich NatWest were
contracted to provide, in most instances, liquidity guarantees ("Wrapper
Insurance") of these three bond portfolios in the event that participant
book value withdrawals exceed 5% of the market value of the portfolios at
the beginning of the calendar quarter.
The following is a summary of the Fixed Income Fund. Contract value
represents original deposits under the contract credited with contractual
earnings and charged for withdrawals. The contract value reported for
contracts with insurance companies generally approximates fair value.
Certain prior year amounts have been reclassified to conform to the current
year's presentation.
-7-
<PAGE>
<TABLE>
<CAPTION>
Fund Investments Carrying Value
------------------------------------------------------------------ --------------
December 31,
1999 1998
---- ----
(millions of dollars)
<S> <C> <C>
Contracts with Insurance Companies, at contract value $ 71.6 $131.5
Investments in common/collective trusts 8.8 15.2
Investments managed by Investment Firms under
Wrapper Insurance:
Government Securities, valued at market 282.2 250.9
Corporate Securities, valued at market 395.2 282.5
International Securities, denominated in U.S. dollars,
valued at market 10.8 19.0
Commercial Paper, Certificates of Deposit and U.S. Treasury Bills - 9.0
Chase Manhattan Bank Enhanced Cash Investment Fund 12.5 20.5
Unsettled Purchase and Sale Transactions (77.3) (19.0)
Wrapper Insurance 15.2 (15.2)
----- -----
Total Investments managed by Investment Firms 638.6 547.7
------ -----
Chase Manhattan Bank Enhanced Cash Investment Fund 115.8 74.9
------ -----
Total Fixed Income Fund $834.8 $769.3
====== ======
</TABLE>
The average yield of each of these funds ranged from 0.80% to 6.21% and
6.00% to 8.67% for the years ended December 31, 1999 and 1998,
respectively. The crediting interest rates which represent the fixed rates
of return for the contracts, ranged from 5.7428% to 6.70% and 5.295% to
7.80% as of December 31, 1999 and 1998, respectively.
The crediting interest rates for contracts with certain insurance companies
are determined at inception of the contracts. For those contracts that
provide for fluctuations in their crediting interest rates, the rates are
reset periodically and are based on an agreed-upon method. The crediting
interest rates for the investments managed by investment firms under
Wrapper Insurance are reset at least quarterly and are based on such
factors as the individual bond portfolio's book value, duration, market
value and current yield.
Additionally, the contract with The Prudential Insurance Company of America
establishes a minimum annual crediting interest rate each quarter. The
contract provides that in no quarter shall the annual crediting interest
rate be less than 2.0%.
(7) Income Tax Status
The corporation received a determination letter from the Internal Revenue
Service dated May 30, 1995 stating that the Program and related trusts are
designed in accordance with applicable sections of the IRC. The Program
has been amended since receiving the determination letter. The Program
administrator and the Program's tax counsel believe that the Program is
designed and is currently being operated in compliance with the applicable
requirements of the IRC.
Participant elective tax deferred contributions for the 401(k) portion of
the Program are subject to an annual maximum amount allowed by the IRC,
which was $10,000 in 1999.
-8-
<PAGE>
Employees are not subject to income tax on their salary reduction
contributions to the 401(k) portion of the Program, corporation payments or
other accumulations in their accounts until a distribution is made from the
Program. Employee after-tax contributions, which are credited to a
participant's personal investment account, are generally not subject to
income tax upon distribution from the Program. An employee may withdraw an
amount equal to his/her after-tax contributions made prior to 1987 without
incurring any income tax. However, in the case of employee after-tax
contributions made after 1986, an employee may exclude from income only the
portion of the distribution that bears the same ratio to the total
distribution as the employee's after-tax contributions bears to the total
value of the employee's account. For employees making deferred
contributions to the Program in accordance with IRC Section 401(k),
distributions are generally taxed as ordinary income subject to special tax
treatment afforded certain distributions that qualify as lump sum
distributions under the IRC.
(8) The Dow Merger
On August 3, 1999, the corporation and The Dow Chemical Company ("Dow")
entered into an Agreement and Plan of Merger providing for the merger of a
subsidiary of Dow with and into the corporation. As a result of the
merger, the corporation will become a wholly-owned subsidiary of Dow and
the corporation's shareholders will receive 1.611 shares of Dow common
stock for each share of UCC common stock they own as of the date of the
merger. At the same time, all shares of UCC common stock held by the
Program, including those held by the ESOP, will be converted into shares of
Dow common stock using the ratio noted above. Additionally, allocations of
ESOP stock will remain the same as prior to the merger; however, these
allocations will be in Dow common stock. The merger is subject to certain
conditions including review by antitrust regulatory authorities in the
United States and Canada.
-9-
<PAGE>
<TABLE>
<CAPTION>
THE SAVINGS AND INVESTMENT PROGRAM FOR EMPLOYEES OF
UNION CARBIDE CORPORATION
AND PARTICIPATING SUBSIDIARY COMPANIES
SCHEDULE OF ASSETS HELD FOR INVESTMENT PURPOSES AT END OF YEAR
(millions of dollars)
December 31, 1999
Current
Identity of Issuer Description of Investment (maturity value in millions of dollars) Cost Value
<S> <C> <C> <C>
* Union Carbide Corporation Common Stock, Par Value $1.00, Annual Dividend $0.90 138.4 270.4
* Union Carbide Corporation Common Stock (ESOP-Unallocated), Par Value $1.00, Annual Dividend $0.90 54.5 405.3
* Union Carbide Corporation Common Stock (ESOP-Allocated), Par Value $1.00, Annual Dividend $0.90 220.7 499.8
Praxair, Inc. Common Stock, Par Value $1.00, Annual Dividend $0.56 11.2 47.5
United States Government Series E Savings Bonds, $0.1 0.1 0.2
United States Government Series E Savings Bonds, $2.6 0.8 1.9
Fidelity Investments Equity-Income Fund 36.8 59.0
Fidelity Investments Spartan U.S. Equity Index Fund 63.0 123.6
Fidelity Investments Magellan Fund 68.7 142.3
Fidelity Investments Contrafund 53.7 94.0
Fidelity Investments Growth Company Fund 49.6 95.6
State Street Bank and Trust Company Short-term Investment Fund, Interest Rate 5.74%, $3.7 3.7 3.7
Chase Manhattan Bank Enhanced Cash Investment Fund, Interest Rate 5.856%, $6.3 6.3 6.3
* Union Carbide Corporation Participant Loans, 6.00% - 9.40%, Various Maturity Dates, $61.4 - 61.4
Fixed Income Fund:
(Where no interest rate is stated, rate is floating.)
Contracts with Insurance Companies:
Metropolitan Life Insurance Company Contract No. 1583, 6.70%, $30.7 30.7 30.7
AUSA Life Insurance Company Contract No. UDA00001FR, 6.44%, Due 7/14/00, $40.9 40.9 40.9
Total Contracts with Insurance Companies 71.6 71.6
Investments in common/collective trusts:
Columbus Circle Trust Company Trust Advisors Stable Value Plus Fund, Interest Rate 6.21%, $8.8 8.8 8.8
Total investment in common/collective trusts 8.8 8.8
Government Securities:
United States Government Student Loan Marketing Assn MTN, 9.40%, Due 5/31/02, $0.7 0.7 0.7
United States Government Tennesee Valley Authority Power Bond 1995 Ser, 6.235%, Due 7/15/45, $4.9 4.9 5.0
United States Government U.S. Treasury Bond, 12.00%, Due 8/15/13, $9.0 12.6 12.5
United States Government U.S. Treasury Bond, 0.00%, Due 11/15/04, $1.9 1.4 1.4
United States Government U.S. Treasury Bond, 0.00%, Due 8/15/05, $6.3 4.5 4.3
United States Government U.S. Treasury Bond, 0.00%, Due 5/15/05, $8.9 6.3 6.3
United States Government FNMA Pass-Through Certificate 521117, 7.00%, Due 12/1/29, $8.0 7.8 7.8
United States Government FNMA Pass-Through Certificate 521159, 7.00%, Due 12/1/29, $0.7 0.7 0.7
United States Government FHMLC Multiclass, 3.50%, Due 11/15/07, $3.9 3.4 3.4
United States Government FHMLC Multiclass, 6.00%, Due 2/15/09, $3.3 2.9 3.1
United States Government FHMLC Multiclass, 9.00%, Due 12/15/05, $0.4 0.4 0.4
United States Government FNMA Gtd Remic Pass, 5.85%, Due 9/16/28, $2.0 2.0 1.9
United States Government FNMA Gtd Remic Pass, Due 9/17/07, $2.1 2.2 2.1
United States Government FMAC Loan Receivables Tr Nt Ser 1998-D, 6.729%, Due 12/15/19, $0.6 0.6 0.5
United States Government FNMA Medium Term Note, Due 3/13/02, $1.2 1.1 1.1
United States Government U.S. Treasury Note, Due 7/15/02, $10.0 10.4 10.4
United States Government U.S. Treasury Note, 5.50%, Due 2/29/00, $0.8 0.8 0.8
United States Government FHMLC 846183, Due 1/1/24, $1.9 1.9 2.0
United States Government FHMLC Gold C80374, 8.00%, Due 1/1/26, $0.1 0.1 0.1
United States Government FNMA Pass-Through Certificate 0058646, Due 11/1/16, $0.3 0.3 0.3
United States Government FNMA Pass-Through Certificate 0062688, Due 5/1/28, $0.2 0.2 0.2
United States Government FNMA Pass-Through Certificate 0103185, 9.336%, Due 7/1/20, $0.4 0.4 0.4
United States Government FNMA Pass-Through Certificate 0112511, 9.233%, Due 9/1/20, $0.1 0.1 0.1
United States Government FNMA Pass-Through Certificate 013205, Due 7/1/25, $0.4 0.4 0.4
United States Government FNMA Pass-Through Certificate 029139, Due 7/1/26, $0.6 0.6 0.6
United States Government FNMA Pass-Through Certificate 041732, Due 2/1/27, $0.4 0.4 0.4
United States Government FNMA Pass-Through Certificate 047935, Due 5/1/27, $0.3 0.3 0.3
United States Government FNMA Pass-Through Certificate 067694, Due 10/1/28, $0.1 0.1 0.1
United States Government FNMA Pass-Through Certificate 072163, Due 2/1/28, $0.6 0.6 0.6
United States Government FNMA Pass-Through Certificate 291254, Due 8/1/24, $0.1 0.1 0.1
United States Government FNMA Pass-Through Certificate 303298, Due 1/1/25, $0.8 0.8 0.8
United States Government FNMA Pass-Through Certificate 313371, 0.00%, Due 8/1/29, $0.3 0.3 0.3
United States Government FNMA Pass-Through Certificate 313769, 6.139%, Due 5/1/36, $0.5 0.5 0.5
United States Government FNMA Pass-Through Certificate 323919, Due 8/1/29, $1.0 0.9 0.9
United States Government FNMA Pass-Through Certificate 381982, 7.11%, Due 10/1/09, $2.8 2.9 2.8
United States Government GNMA II 080022, Due 12/20/26, $1.5 1.5 1.5
United States Government GNMA II 008089, Due 12/20/22, $2.9 2.9 3.0
United States Government GNMA II 008830, Due 3/20/26, $0.7 0.7 0.7
United States Government GNMA II 008909, Due 7/20/26, $1.8 1.7 1.8
United States Government GNMA 496845, 7.75%, Due 7/15/01, $0.2 0.2 0.2
United States Government GNMA 008781, Due 1/20/26, $1.1 1.1 1.1
United States Government GNMA 008913, Due 7/20/26, $1.5 1.5 1.5
United States Government FNMA TBA, 6.50%, Due 1/15/49, $2.0 2.0 2.0
United States Government FNMA TBA, 6.00%, Due 1/15/49, $2.2 2.1 2.1
United States Government GNMA I TBA, 6.00%, Due 1/15/49, $18.0 16.6 16.4
United States Government GNMA I TBA, 6.50%, Due 1/15/49, $29.7 28.0 27.9
United States Government GNMA I TBA, 7.00%, Due 1/15/49, $20.0 19.4 19.3
United States Government FHMLC Multiclass, 9.05%, Due 6/15/19, $0.5 0.5 0.5
United States Government FHMLC Multiclass, 6.50%, Due 7/15/17, $1.7 1.7 1.7
United States Government FHMLC Multiclass, 6.50%, Due 7/15/21, $5.6 5.2 5.5
United States Government FHMLC Multiclass, 7.00%, Due 9/15/21, $2.7 1.5 0.1
United States Government FHMLC Multiclass, 7.00%, Due 8/15/22, $1.8 1.8 1.6
United States Government FNMA Gtd Remic Pass, 6.50%, Due 7/18/12, $8.4 8.4 8.3
United States Government FNMA Gtd Remic Pass, 8.00%, Due 12/25/06, $4.7 4.9 4.8
United States Government GNMA Gtd Remic Pass, 0.00%, Due 2/26/19, $5.0 4.4 4.5
United States Government FHLMC Debenture, 5.00%, Due1/15/04, $4.5 4.3 4.3
United States Government FNMA Medium Term Note, 5.50%, Due 1/8/04, $0.8 0.8 0.8
United States Government FNMA Medium Term Note, 6.16%, Due 5/8/03, $0.8 0.8 0.8
United States Government FNMA Note, 6.625%, Due 9/15/09, $1.4 1.4 1.3
United States Government Government Tr. Ctfs., 0.00%, Due 5/15/02, $1.5 1.3 1.3
United States Government Government Tr. Ctfs., 9.40%, Due 5/15/02, $0.9 1.0 1.0
United States Government U.S. Treasury Note, 5.75%, Due 4/30/03, $5.5 5.5 5.4
United States Government U.S. Treasury Note, 5.75%, Due 8/15/03, $1.8 1.7 1.7
United States Government U.S. Treasury Note, 7.00%, Due 7/15/06, $12.4 12.9 13.0
United States Government U.S. Treasury Note, 7.50%, Due 2/15/05, $2.3 2.4 2.5
United States Government U.S. Treasury Note, 7.50%, Due 5/15/02, $23.9 24.9 24.7
United States Government U.S. Treasury Note, 7.875%, Due 8/15/01, $0.4 0.5 0.5
United States Government U.S. Treasury Bond, 12.75%, Due 11/15/10, $6.7 9.9 8.8
United States Government U.S. Treasury Stripped Int. Pmt., 0.00%, Due 5/15/05, $3.6 2.6 2.6
United States Government U.S. Treasury Bond, 11.75%, Due 11/15/14, $3.2 4.6 4.4
United States Government FNMA Pass-Through Certificate 380790, 5.73%, Due 10/1/08, $2.3 2.4 2.2
United States Government FNMA Pass-Through Certificate 381577, 6.23%, Due 5/1/09, $0.7 0.7 0.6
United States Government Government Tr. Ctfs., 0.00%, Due 5/15/03, $2.4 2.0 1.9
United States Government FHMLC Multiclass, 5.50%, Due 6/15/08, $6.0 6.0 5.9
United States Government FHMLC Multiclass, 5.75%, Due 3/15/07, $0.7 0.7 0.7
United States Government FHMLC Multiclass, 5.75%, Due 7/15/07, $4.2 4.1 4.1
United States Government FHMLC Multiclass, 6.00%, Due 8/15/08, $3.3 3.3 3.2
United States Government FHMLC Multiclass, 6.15%, Due 7/15/20, $2.1 2.1 2.1
United States Government FNMA Gtd Remic Pass, 6.00%, Due 4/25/19, $5.7 5.8 5.7
United States Government FGRM 2075VA, 6.50%, Due 9/15/05, $0.9 0.9 0.9
United States Government U.S. Dept. Veterans Affairs CMO/Remic, 6.75%, Due5/15/16, $1.2 1.3 1.2
United States Government FNMA Gtd Remic Pass, 6.74%, Due 8/25/07, $2.1 2.2 2.0
San Diego County, California Pension Obligation, 6.38%, Due 8/15/03, $0.8 0.9 0.8
Total Government Securities 286.7 282.2
Corporate Securities:
Associates Corp. N.A. Senior Note, 5.50%, Due 2/15/04, $2.0 1.9 2.0
Associates Corp. N.A. Senior Note, 5.75%, Due 11/1/03, $4.6 4.4 4.4
Black & Decker Corp. Note, 7.50%, Due 4/1/03, $2.2 2.3 2.2
CIT Group Holdings Inc. Medium Term Sr. Note, 7.125%, Due 6/17/02, $1.6 1.6 1.6
Citicorp Sub. Note, 8.00%, Due 2/1/03, $1.4 1.5 1.5
Columbia University Trustees NY Corp.Note, 8.65%, Due 2/21/03, $0.8 0.9 0.9
Dillards Inc. Note, 6.125%, Due 11/1/03, $3.2 3.1 3.0
Financing Corp. Cpn FICO Strips, 0.00%, Due 6/6/03, $3.2 2.5 2.5
Financing Corp. Cpn FICO Strips, 0.00%, Due 6/6/05, $6.9 4.7 4.7
Financing Corp. Cpn FICO Strips, 0.00%, Due 6/27/04, $2.1 1.6 1.6
Financing Corp. Cpn FICO Strips Ser. 19, 0.00%, Due 6/6/03, $6.3 5.0 5.0
Ford Motor Credit Co. Note, 6.11%, Due 12/28/01, $3.2 3.1 3.2
General Elec. Cap. Corp. Medium Note, 5.13%, Due 4/1/04, $1.8 2.0 1.9
GMAC Note, 9.00%, Due 10/15/02, $2.5 2.8 2.6
Household Fin. Corp. Note, 6.00%, Due 5/1/04, $0.9 0.9 0.9
Household Fin. Corp. Note, 7.00%, Due 8/1/03, $1.4 1.4 1.4
McDonalds Corp. Note, 6.00%, Due 6/23/12, $2.4 2.4 2.3
MCI Communications Corp. Note, 6.125%, Due 4/15/02, $3.9 3.9 3.9
NYNEX Corp. Note, 9.55%, Due 5/1/10, $1.2 1.3 1.3
Praxair, Inc. Note, 6.75%, Due 3/1/03, $2.1 2.1 2.1
Prime Property Funding II Inc. Note 144A, 6.8%, Due 8/15/02, $2.3 2.3 2.3
Railcar Leasing L.L.C. Sr. Secd. Note, 6.75%, Due 7/15/06, $2.3 2.4 2.3
Raytheon Co. Note, 6.50%, Due 7/15/05, $3.3 3.1 3.2
Safeway Inc. Note, 7.00%, Due 9/15/02, $2.7 2.6 2.7
Sears Roebuck Accep. Corp. Medium Term Note, 6.80%, Due 10/9/02, $2.0 1.9 1.9
Sprint Capital Corp. Note, 5.70%, Due 11/15/03, $4.0 3.9 3.8
Transamerica Fin. Corp. Sr. Note, 7.25%, Due 8/15/02, $1.8 1.7 1.8
Union Tex. Pete. Holdings Inc. Medium Term Note, 6.70%, Due 11/18/02, $4.4 4.4 4.3
Advanta Cr. Card Master Trust II Asset Backed Security Ser. 96-A, 6.00%, Due 11/15/05, $2.3 2.2 2.2
Advanta Mortgage Loan Trust Asset Backed Security Ser. 94-1, 6.30%, Due 7/25/25, $0.9 0.9 0.9
California Infrastructure & E.Dev.Bk.Asset Backed Security, 6.42%, Due 9/25/08, $1.8 1.7 1.7
California Infrastructure & E.Dev.Bk.Asset Backed Security, 6.48%, Due 12/26/09, $2.3 2.3 2.2
Comed Trans. Fund Trust Asset Backed Security 98-1 A6, 5.63%, Due 6/25/09, $2.6 2.6 2.4
Credit Suisse First Boston Mtg. Asset Backed Security, 6.52%, Due 1/17/35, $4.2 4.1 4.0
First NBC Cr. Card Master Trust Asset Backed Security, 6.15%, Due 9/15/04, $3.8 3.7 3.7
Green Tree Financial Corp. Asset Backed Security 97-5 Mfd. Hsg., 6.42%, Due 5/15/29, $2.9 2.9 2.9
Metris Master Trust Asset Back Certificate 1997-1, 6.87%, Due 10/20/05, $2.8 2.7 2.8
MMCA Auto Owner Trust Asset Backed Security, 7.00%, Due 5/15/04, $3.0 3.0 3.0
Premier Auto Trust Asset Backed Note 1999-1, 5.82%, Due 10/8/03, $2.0 2.0 2.0
Railcar Trust Asset Backed Tr. Note 1992-1, 7.75%, Due 6/1/04, $4.2 4.4 4.2
Amresco Residential Securities Mtg. Ln., 7.21%, Due 6/25/25, $3.4 3.5 3.4
GMAC Coml. Mtg. Sec. Inc. Mortgage Pass-Through, 7.151%, Due 12/15/16, $1.3 1.3 1.3
Oakwood Mtg. Invs. Inc. CMO Remic Ser. 1995-B, 6.90%, Due 1/15/21, $2.3 2.3 2.2
Toyota Auto Receivables CMO Remic 1999 Tr., 6.15%, Due 8/16/04, $5.1 5.1 5.1
3M Employee Stk. Ownership Plan CMO Remic Gtd., 5.62%, Due 7/15/09, $1.9 1.9 1.8
Capco Amer. Securitization Cor. Commercial Mortgage Backed, 5.86%, Due 9/16/30, $1.6 1.6 1.5
Comm. 1999-1 Commercial Mortgage Pass Through Certificate, 6.145%, Due 2/15/08, $1.0 0.9 0.9
Comm. 1999-1 Commercial Mortgage Pass Through Certificate, 6.455%, Due 9/15/08, $7.1 6.9 6.6
Duetsche Mtg. & Asset Receiving Commercial Mortgage Backed, 6.22%, Due 6/15/31, $3.4 3.3 3.3
LB Mortgage Trust Mortgage Pass Through Certificate 1992-1, 7.809%, Due 1/15/09, $2.0 2.0 2.0
Morgan Stanley Cap. I Inc. Commercial Mortgage Backed, 5.91%, Due 4/15/08, $3.9 3.9 3.7
AT&T Cap. Corp. Medium Term Note, 6.80%, Due 2/1/01, $3.8 3.8 3.9
Advanta Mtg. Ln. Tr. 1999-3 Asset Backed, Due 8/25/29, $0.9 0.9 0.9
AMR Corp. Note, 10.0%, Due 2/1/01, $0.3 0.3 0.3
AMR Corp. Note, 9.125%, Due 10/24/01, $1.3 1.4 1.4
Bank America Corp. Note, 6.625%, Due 6/15/04, $2.0 2.0 2.0
Bear Stearns Cos. Inc. Global Note, 6.45%, Due 8/1/02, $2.0 2.0 2.0
Bear Stearns Cos. Inc. Medium Term Note, Due 5/7/02, $2.0 2.0 2.0
CIT Group Holdings Inc. Medium Term Sr. Note, 5.875%, Due 6/18/01, $0.7 0.7 0.7
Consolidated Natural Gas Note, 7.25%, Due 10/1/04, $2.0 2.0 2.0
Delphi Automotive Sys. Corp. Note, 6.125%, Due 5/1/04, $2.0 2.0 1.9
Donaldson Lufkin & Jenrette Inc. Sr. Note, 5.875%, Due 4/1/02, $1.0 1.0 1.0
Duke Cap. Corp. Sr. Note, 7.25%, Due 10/1/04, $1.5 1.5 1.5
Finova Cap. Corp. Note, Due 11/8/02, $0.4 0.4 0.4
Ford Motor Cr. Co. Note, Due 7/16/02, $5.0 5.0 5.1
Ford Motor Cr. Co. Note, Due 8/27/01, $2.2 2.2 2.2
GMAC Medium Term Note, Due 12/17/01, $4.5 4.5 4.5
General Electric Cap. Corp. Medium Term Note, Due 5/19/00, $7.0 7.0 6.9
Heller Financial Inc. Medium Term Note, Due 2/5/01, $2.6 2.6 2.6
Heller Financial Inc. Medium Term Note, Due 10/22/01, $1.0 1.0 1.0
Heller Financial Inc. Medium Term Note, 5.75%, Due 9/25/01, $1.5 1.5 1.5
Household Fin. Corp. Note, Due 6/24/03, $2.7 2.7 2.7
Indiana Mich. Power Co. Sr. Note, 6.875%, Due 7/1/04, $2.0 2.0 2.0
Lehman Brothers Hldgs. Inc. Medium Term Note, Due 4/2/02, $2.6 2.6 2.6
Lehman Brothers Hldgs. Inc. Medium Term Note, Due 12/12/02, $1.4 1.4 1.4
MBNA America Bank Note, Due 12/10/02, $2.0 2.0 2.0
MBNA America Bank Note, Due 6/12/00, $2.0 2.0 2.0
MCI Communications Corp. Note, 6.125%, Due 4/15/02, $2.0 2.0 2.0
MCN Invt. Corp. Note, 6.89%, Due 1/16/02, $3.0 3.0 3.0
Merrill Lynch & Co. Inc. Medium Term Note, Due 11/9/01, $6.0 6.0 6.1
SPSAC Mtg. Ln. Asset Backed Pass Through Certificate, Due 6/25/28, $1.2 1.2 1.2
Nations Bank Corp. Sr. Note, 5.75%, Due 3/15/01, $2.0 2.0 2.0
Ohio Power Co. Sr. Note, 7.00%, Due 7/1/04, $2.0 2.0 2.0
Philip Morris Cos. Inc. Note, 7.00%, Due 7/15/05, $3.0 3.1 3.0
Philip Morris Cos. Inc. Note, 7.25%, Due 9/15/01, $2.0 2.1 2.0
Popular North Amer. Inc. Medium Note, 7.375%, Due 9/14/01, $2.0 2.0 2.1
Reilly Mtg. Assocs. L.P. FHA Partn. Ctf., 7.45%, Due10/01/23, $1.4 1.4 1.4
Reilly Mtg. Assocs. L.P. Proj. Pass Through, Due 2/1/23, $1.5 1.5 1.6
TCI Communications Inc. Medium Term Note, Due 4/3/02, $1.5 1.5 1.5
Time Warner Inc. Debenture, 8.11%, Due 8/15/06, $0.6 0.5 0.6
Time Warner Inc. Debenture, 8.18%, Due 8/15/07, $0.6 0.5 0.6
Time Warner Inc. Note, 7.975%, Due 8/15/04, $0.3 0.3 0.3
Transamerica Fin. Corp. Sr. Note, 7.25%, Due 8/15/02, $1.5 1.5 1.5
USGI Inc. FHA Proj. 2057, 7.46%, Due 8/25/23, $2.7 2.8 2.8
Waste Management Note, 6.625%, Due 7/15/02, $1.9 1.9 1.8
Westdeutsche Landesbank Bond, 6.05%, Due 1/15/09, $2.1 2.1 1.9
Arcadia Automobile Asset Backed Receivable 1999 C, 6.90%, Due 12/15/03, $0.7 0.7 0.7
Banc One Auto Grantor Trust Asset Backed 1997-A, 6.27%, Due 11/20/03, $0.9 0.9 0.9
Green Tree Financial Corp. Asset Backed, Due 8/15/29, $0.6 0.6 0.6
Green Tree Financial Corp. Asset Backed 1999-5 Mfg. Hsg., 6.27%, Due 4/1/31, $1.4 1.4 1.4
Green Tree Floor Plan Receivable MstrAsset Backed, Due 11/15/04, $3.0 3.0 3.0
Honda Auto Lease Tr. Asset Backed 1999-A, 5.875%, Due 10/15/01, $1.3 1.3 1.3
Pacificamerica Home Equity Ln. Ser., Due3/25/28, $2.2 2.2 2.2
CWFC CMO Remic, 6.00%, Due 5/25/09, $1.8 1.8 1.8
HCLT Asset Backed Note Cl. A-3, Due 8/15/06, $1.7 1.7 1.7
Chase Mtg. Fin. Tr. Asset Backed 1999 S-1 MC Mtg., 6.10%, Due 2/25/29, $6.0 6.0 5.9
DLJ Mtg. Accep. Corp. Mtg. Pass Through Ctf., Due 12/25/22, $0.6 0.6 0.6
Green Tree Financial Corp. Asset Backed 1999-5 Mfg. Hsg., 7.33%, Due 4/1/31, $2.0 2.0 2.0
Greenwich Cap. Accep. Inc. Mtg. Pass Through, Due 1/25/23, $0.3 0.3 0.3
Housing Secs. Inc. Mtg. Pass Through Ctf., 6.50%, Due 7/25/09, $6.1 6.1 6.0
Residential Fdg. Mtg. Secs. I Inc. Pass Through Ctf., 7.25%, Due 4/25/26, $3.8 3.8 3.7
Ryland Mtg. Secs. Corp. IV Coll. Mtg., 8.10%, Due 6/25/23, $1.3 1.4 1.3
Sears Mtg. Secs. Corp. Mtg. Pass Through Ctf., Due 4/25/23, $0.2 0.2 0.2
Structured Asset Mtg. Invts. Inc. Mtg., 6.58%, Due 6/25/29, $2.0 2.0 1.9
TMS Home Equity Ln. Tr. Ser. 1992-C, 6.20%, Due 10/15/17, $2.3 2.3 2.2
Bear Stearns Cml. Mtg. Secs. Inc. Commercial Mortgage Backed, 6.73%, Due 5/20/03, $1.8 1.8 1.9
Commercial Mtg. Asset Tr. Commercial Mortgage Backed, 6.25%, Due 8/17/06, $2.9 2.9 2.8
GMAC Coml. Mtg. Sec. Inc. Mtg. Pass Through Ctf., 6.70%, Due 3/15/08, $1.5 1.5 1.4
AT&T Cap. Corp. Medium Term Note, 5.86%, Due 4/26/02, $1.2 1.1 1.1
Allstate Corp. Sr. Note, 7.20%, Due 12/1/09, $1.6 1.6 1.5
Avalon Bay Cmntys. Inc. Sr. Note, 6.80%, Due 7/15/06, $0.3 0.3 0.3
Avalon Pptys. Inc. Note, 6.875%, Due 12/15/07, $0.7 0.7 0.7
Bank America Corp. Sr. Note, 5.875%, Due 2/15/09, $0.6 0.6 0.6
Bayerische Landesbank Note, 5.875%, Due 12/1/08, $0.8 0.7 0.7
Bayerische Landesbank Note, 6.375%, Due 10/15/05, $1.7 1.7 1.7
Cable & Wire Communications Note, 6.75%, Due 12/1/08, $1.4 1.5 1.4
Cable & Wire Communications Note, 6.625%, Due 3/6/05, $1.8 1.8 1.8
Cable & Wire Communications Note, 6.75%, Due 3/6/08, $0.2 0.2 0.2
Carramerica Rlty. Corp. Note, 7.20%, Due 7/1/04, $0.6 0.5 0.6
Cendant Corp. Note, 7.75%, Due 12/1/03, $1.3 1.3 1.3
Chase Manhattan Corp. New Sub. Note, 7.25%, Due 6/1/07, $0.7 0.7 0.7
Chase Manhattan Corp. New Sub. Note, 7.50%, Due 2/1/03, $0.3 0.3 0.3
Continental Airlines Pass Through, 6.32%, Due 11/1/08, $0.1 0.1 0.1
Continental Airlines Pass Through, 6.41%, Due 4/15/07, $1.9 1.9 1.8
Cooper Tire & Rubber Co. Note, 7.75%, Due 12/15/09, $1.0 1.0 1.0
Corporate Ppyt. Invs. Note 144A, 7.75%, Due 8/15/04, $0.8 0.8 0.8
DuPont EI DeNemours & Co. Note, 6.75%, Due 10/15/04, $0.6 0.6 0.6
Enron Corp. Note, 6.725%, Due 11/15/37, $1.2 1.1 1.1
EOP Oper. Ltd. Partnership Note, 6.763%, Due 6/15/07, $2.2 2.2 2.1
ERAC USA Fin. Co. Note 144A, 6.75%, Due 5/15/09, $0.5 0.5 0.5
ERAC USA Fin. Co. Note 144A 3C7, 7.95%, Due 12/15/09, $1.8 1.8 1.8
ERP Oper. Ltd. Partnership Note, 6.63%, Due 4/13/05, $0.4 0.4 0.4
ERP Oper. Ltd. Partnership Note, 7.57%, Due 8/15/26, $1.1 1.1 1.1
Fleet Boston Finl. Corp. Note, 7.375%, Due 12/1/09, $0.4 0.4 0.4
Ford Motor Cr. Co. Sr. Note, 5.80%, Due 1/12/09, $1.3 1.2 1.2
Ford Motor Cr. Co. Unsubd., 7.20%, Due 6/15/07, $0.7 0.7 0.7
Fpl. Group Cap. Inc. Debenture, 7.375%, Due 6/1/09, $0.7 0.7 0.7
General Elec. Cap. Corp. Note, 8.50%, Due 7/24/08, $0.9 0.9 1.0
General Elec. Cap. Corp. Medium Tranche, 6.33%, Due 9/17/01, $0.9 0.9 0.9
General Elec. Cap. Corp. Note, 8.75%, Due 5/21/07, $0.5 0.5 0.5
General Elec. Cap. Corp. Sub. Note, 7.875%, Due 12/1/06, $0.4 0.5 0.4
GMAC Sr. Note, 5.85%, Due 1/14/09, $1.2 1.1 1.1
Goldman Sachs Group Inc. Note, 7.35%, Due 10/1/09, $1.0 1.0 1.0
Hertz Corp. Note, 6.30%, Due 11/15/06, $0.4 0.4 0.4
Highwoods Realty L.P. Note, 7.00%, Due 12/1/06, $0.9 0.9 0.8
Highwoods Realty L.P. Note, 8.00%, Due 12/1/03, $0.5 0.4 0.4
Hrpt. Pptys. Tr. Sr. Note, 6.875%, Due 8/26/02, $0.9 0.9 0.9
Husky Terra Nove Fin. Ltd. Sr. Secd. Bond, 8.45%, Due 2/1/12, $0.7 0.7 0.8
Johnson & Johnson Note, 8.25%, Due 11/9/04, $1.7 1.8 1.8
Key Bank Natl. Assn. Note, 6.50%, Due 10/15/27, $0.7 0.7 0.7
Lilly Del. Mar. Inc. Resettable Cpn. Cap., 7.717%, Due 8/1/29, $0.7 0.7 0.7
Lockheed Martin Corp. Note, 8.20%, Due 12/1/09, $0.9 0.9 0.9
McDonalds Corp. Note, 5.90%, Due 5/11/01, $1.2 1.2 1.2
McDonnell Douglas Corp. Note, 6.875%, Due 11/1/06, $1.9 1.8 1.8
MCI Communications Corp. Note, 6.125%, Due 4/15/02, $0.7 0.7 0.7
Metropolitan Life Ins. Co. Surplus Note, 6.30%, Due 11/1/03, $1.5 1.5 1.5
National Bank Sub. Note, 7.75%, Due 11/1/09, $0.6 0.6 0.6
Pacific Corp. Note, 7.00%, Due 7/15/09, $0.4 0.4 0.4
Pepsi Bottling Hldgs. Inc. Note 144A, 5.375%, Due 2/17/04, $1.1 1.1 1.0
Prologis Tr. Note, 7.05%, Due 7/15/06, $0.5 0.5 0.5
Shopping Ctr. Assocs. Note 144A, 6.75%, Due 1/15/04, $2.1 2.1 2.1
Simon DeBartolo Group Inc. Note, 6.875%, Due 11/05/06, $0.3 0.3 0.3
Teleglobe CDA Inc. Gtd. Deb., 7.20%, Due 7/20/09, $2.1 2.0 2.1
Teleglobe CDA Inc. Gtd. Deb., 7.70%, Due 7/20/09, $0.5 0.5 0.5
Texas Instruments Inc. Sr. Note, 7.00%, Due 8/15/04, $2.2 2.2 2.2
Tyco Intl. Group Gtd. Note 144A, 6.875%, Due 9/5/02, $1.2 1.2 1.2
U.S. Air Inc. Enhanced Equip. Note Cl.A, 6.76%, Due 4/15/08, $1.5 1.4 1.4
United Dominion Realty Tr. Inc. Deb., 8.50%, Due 9/15/24, $1.6 1.6 1.7
USAA Cap. Corp. Medium Term Note, 7.05%, Due 11/8/06, $0.8 0.8 0.8
Wachovia Corp. New Sub. Note, 6.605%, Due 10/1/25, $1.0 1.0 1.0
Walmart Stores Inc. Note, 6.875%, Due 8/10/09, $2.5 2.5 2.5
American Express Cr. Asset Backed M Ser., 5.95%, Due 12/15/06, $1.8 1.7 1.7
American Express Cr. Asset Backed M Ser., 6.80%, Due 12/15/03, $2.0 2.0 2.0
Capita Equip. Receivables Tr. Asset Backed 1996-1, 6.28%, Due 6/15/00, $0.2 0.2 0.2
Capita Equip. Receivables Tr. Asset Backed 1997-1, 6.19%, Due 2/15/02, $1.5 1.5 1.5
Carco Auto Ln. Master Tr. Asset Backed 1999-4, 6.43%, Due 11/15/04, $0.6 0.6 0.6
Chase Cr. Card Master Tr. Asset Backed, 7.09%, Due 2/15/09, $1.1 1.1 1.1
Chase Fdg. Tr. Asset Backed 1999-1 Mtg. Ln., 5.972%, Due 12/25/01, $1.3 1.3 1.3
Chase Manhattan Auto Owner Tr. Asset Backed 1998-B, 5.80%, Due 2/17/03, $2.3 2.2 2.2
Chemical Master Cr. Card Tr. I Asset Backed 1995-3, 6.23%, Due 8/15/02, $0.8 0.8 0.8
Citibank Cr. Card Master Tr. I Asset Backed 1999-1, 5.50%, Due 2/15/06, $0.8 0.8 0.8
Citibank Cr. Card Master Tr. I Asset Backed 1999-7, 6.65%, Due 11/15/06, $2.7 2.7 2.7
Citibank Cr. Asset Backed 1998-6 Cl. A, 5.85%, Due 4/10/03, $1.0 1.0 1.0
Com. Ed. Trans. Fdg. Tr. Asset Backed 1998-1 A5, 5.44%, Due 3/25/07, $1.0 1.0 0.9
Dayton Hudson Cr. Card Master Asset Backed, 6.25%, Due 8/25/05, $0.7 0.7 0.7
Dayton Hudson Cr. Card Master Tr. Asset Backed 98-1, 5.90%, Due 5/25/06, $0.3 0.3 0.3
First USA Cr. Card Master Tr. Asset Backed, 6.42%, Due 3/17/05, $0.9 0.9 0.9
First USA Cr. Card Master Tr. Asset Backed 1998-9, 5.28%, Due 9/18/06, $1.1 1.0 1.0
Ford Cr. Auto Ln. Master Tr. Asset Backed 1996-1, 5.50%, Due 2/15/03, $1.5 1.4 1.5
Ford Cr. Auto Owner Tr. Asset Backed 1998-B, 5.85%, Due 10/15/01, $0.7 0.7 0.7
Ford Cr. Auto Owner Tr. Asset Backed 1999-D, 6.40%, Due 10/15/02, $1.0 1.0 1.0
Green Tree Finl. Corp. Asset Backed 1999-E Home Impt., 6.32%, Due 8/15/30, $0.6 0.6 0.6
Green Tree Recreational Equip. Asset Backed, 5.816%, Due 7/15/03, $0.4 0.4 0.4
Green Tree Recreational Equip. Asset Backed, 6.43%, Due 4/15/02, $0.9 0.9 0.9
MBNA Master Cr. Card Tr. II Asset Backed 1999-J, 7.00%, Due 2/15/12, $1.3 1.3 1.3
MBNA Master Cr. Card Tr. II Asset Backed 98-J, 5.25%, Due 2/15/06, $1.1 1.1 1.1
MBNA Master Cr. Card Tr. II Asset Backed 1999-B, 5.90%, Due 8/15/11, $1.3 1.2 1.2
PP&L Transition Bd. L. L. C. Asset Backed 1999-1 BD, 7.05%, Due 6/25/09, $1.1 1.1 1.2
Premier Auto Tr. Asset Backed 1999-1, 5.69%, Due 11/8/02, $4.0 4.0 4.0
Premier Auto Tr. Asset Backed 1999-3, 6.27%, Due 4/8/03, $0.7 0.7 0.7
Kellogg Racers Restructured Asset Ctfs. Enhanced, 5.75%, Due 2/2/01, $1.5 1.5 1.5
Sears Cr. Account Master Tr. II Asset Backed, 6.05%, Due 1/15/08, $0.8 0.8 0.7
Sears Cr. Account Master Tr. Asset Backed 1997-1, 6.20%, Due 7/16/07, $1.3 1.3 1.3
Standard Cr. Card Master Tr. I Asset Backed, 8.25%, Due 11/7/03, $3.9 4.2 4.1
Textron Finl. Corp. Receivables Tr. Asset Backed, 6.05%, Due 3/16/09, $0.2 0.2 0.2
U.S. Airways Pass Through Trs. 1999-1, 8.36%, Due 7/20/20, $1.0 1.0 1.0
World Omni Automobile Lease Asset Backed, 6.20%, Due 11/25/03, $1.3 1.3 1.2
World Omni Automobile Lease Asset Backed, 6.85%, Due 6/25/03, $3.6 3.7 3.6
AT&T Unvl. Card Master Tr. CMO Remic 1997-1, Due 4/19/04, $0.5 0.5 0.5
Banc One Cr. Card Master Tr. CMO Remic, 6.30%, Due 10/15/02, $1.4 1.4 1.4
Chase Manhattan Auto Owner Tr. CMO Remic 97-A, 6.40%, Due 7/16/01, $3.8 3.9 3.8
Chevron Corp. Profit Sharing Plan Tr.CMO Remic, 8.11%, Due 12/1/04, $1.8 1.9 1.9
Continental Airlines Pass Through Trs., 6.94%, Due 4/15/15, $1.7 1.7 1.6
First Sec. Auto Owner Tr. CMO Remic, 5.58%, Due 6/16/03, $0.6 0.6 0.6
First Sec. Auto Owner Tr. CMO Remic 1999-1, 5.311%, Due 4/15/02, $0.8 0.8 0.8
Ford Cr. Auto Ln. Master Tr. CMO Remic 1996-2, Due 2/15/03, $0.9 0.9 0.9
Total Corporate Securities 398.4 395.2
International Securities, denominated in U.S. dollars:
Province of Quebec, Canada Medium Term Note, 6.29%, Due 3/6/26, $2.8 2.8 2.8
Province of Quebec, Canada Medium Term Note, 5.735%, Due 3/2/26, $3.5 3.5 3.5
African Dev. Bank Senior Note, 6.75%, Due 10/1/04, $2.8 2.8 2.8
Asian Dev. Bank Note, 6.375%, Due 10/1/28, $0.6 0.6 0.5
Ontario Hydro Note, 6.10%, Due 1/30/08, $1.2 1.2 1.2
Total International Securities 10.9 10.8
Chase Manhattan Bank Enhanced Cash Investment Fund, Interest Rate 5.856%, $128.3 128.3 128.3
Unsettled purchase and sale transactions:
United States Government FHMLC 846183, Due 1/1/24 0.1 0.1
United States Government TBA FNMA SF, 6.00%, Due 1/15/49 (2.1) (2.1)
United States Government TBA GNMA I SF, 6.50%, Due 1/15/49 (0.6) (0.6)
United States Government TBA GNMA I SF, 6.50%, Due 1/15/49 (0.6) (0.6)
United States Government TBA GNMA I SF, 6.50%, Due 1/15/49 (4.7) (4.7)
United States Government TBA GNMA I SF, 6.50%, Due 1/15/49 (11.1) (11.1)
United States Government TBA GNMA I SF, 6.50%, Due 1/15/49 (11.1) (11.1)
United States Government TBA GNMA I SF, 7.00%, Due 1/15/49 (9.7) (9.7)
United States Government TBA GNMA I SF, 7.00%, Due 1/15/49 (9.7) (9.7)
United States Government TBA GNMA I SF, 6.00%, Due 1/15/49 (8.3) (8.3)
United States Government TBA GNMA I SF, 6.00%, Due 1/15/49 (8.3) (8.3)
United States Government TBA FNMA, 6.50%, Due 1/15/49 (2.0) (2.0)
United States Government U.S. Treasury Note, Due 7/15/02 (4.1) (4.1)
United States Government U.S. Treasury Note, Due 7/15/02 (4.1) (4.1)
United States Government U.S. Treasury Note, Due 7/15/02 (1.0) (1.0)
Total Unsettled purchase and sale transactions (77.3) (77.3)
Total Fixed Income Fund (exclusive of $15.2 million wrapper insurance) 827.4 819.6
GRAND TOTALS 1,534.9 2,630.6
<FN>
* Party-in-interest to the Program.
</FN>
-Pages 10 through 15 -
</TABLE>
<PAGE>
THE SAVINGS AND INVESTMENT PROGRAM FOR EMPLOYEES OF
UNION CARBIDE CORPORATION
AND PARTICIPATING SUBSIDIARY COMPANIES
<TABLE>
<CAPTION>
Schedule of Reportable Transactions
Year ended December 31, 1999
(millions of dollars)
Current
Value of
Asset on
Purchase Cost of Transaction
Identity of party involved Price Asset Date
-------------------------------------------- -------- ----------- -----------
Expense
Incurred
Selling With Net Gain
Description of asset Price Transaction (Loss)
-------------------------------------------- -------- ----------- -----------
Series of transactions in the same security:
<S> <C> <C> <C>
Chase Manhattan Bank $ 1.00 $ 910.8 $ 910.8
Enhanced Cash Investment Fund n/a - n/a
Chase Manhattan Bank n/a 888.6 888.6
Enhanced Cash Investment Fund 1.00 - -
U.S. Government 99.90 - 100.59 53.4 53.4
Treasury Note, 5.375%, Due 7/31/00 n/a - n/a
U.S. Government n/a 53.4 53.3
Treasury Note, 5.375%, Due 7/31/00 99.90 - 100.56 - (0.1)
U.S. Government 91.16 - 101.00 55.7 55.7
Treasury Note, 4.75%, Due 11/15/08 n/a - n/a
U.S. Government n/a 56.8 56.8
Treasury Note, 4.75%, Due 11/15/08 89.78 - 100.75 - -
U.S. Government 97.25 - 101.78 61.0 61.0
Treasury Note, 6.00%, Due 8/15/09 n/a - n/a
U.S. Government n/a 53.7 53.7
Treasury Note, 6.00%, Due 8/15/09 97.23 - 101.89 - -
n/a = not applicable
</TABLE>
-16-
<PAGE>
SIGNATURE
Pursuant to the requirements of the Securities Exchange Act of 1934, the
Committee of the Program has duly caused this Annual Report to be signed on its
behalf by the undersigned hereunto duly authorized.
The Savings and Investment Program for
Employees of Union Carbide Corporation
and Participating Subsidiary Companies
Date: June 21, 2000 By: /s/John K.Wulff
Name: JOHN K. WULFF
Title: Vice-President, Chief Financial
Officer and Controller
Union Carbide Corporation
-17-
<PAGE>
Independent Auditors' Report
To the Program Administrators of The Savings and Investment
Program for Employees of Union Carbide Corporation and
Participating Subsidiary Companies:
We have audited the accompanying statement of net assets available for benefits
of The Savings and Investment Program for Employees of Union Carbide Corporation
and Participating Subsidiary Companies (the "Program") as of December 31, 1999
and 1998, and the related statement of changes in net assets available for
benefits for the year ended December 31, 1999. These financial statements are
the responsibility of the Program's management. Our responsibility is to
express an opinion on these financial statements based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. 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. An audit also includes
assessing the accounting principles used and significant estimates made by
management, as well as evaluating the overall financial statement presentation.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in
all material respects, the net assets available for benefits of the Program as
of December 31, 1999 and 1998, and the changes in net assets available for
benefits for the year ended December 31, 1999, in conformity with generally
accepted accounting principles.
Our audits were performed for the purpose of forming an opinion on the basic
financial statements taken as a whole. The supplemental schedules of the
Program are presented for the purpose of additional analysis and are not a
required part of the basic financial statements, but are 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. These supplemental schedules are the responsibility of the Program's
management. The supplemental schedules have been subjected to the auditing
procedures applied in the audits of the basic financial statements and, in our
opinion, are fairly stated in all material respects in relation to the basic
financial statements taken as a whole.
/s/ KPMG LLP
Stamford, Connecticut
June 21, 2000
-18-
<PAGE>
EXHIBIT INDEX
Exhibit Page
No. Exhibit No.
23 Independent Auditors' Consent 20
-19-
<PAGE>
