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Previous: NORTHROP GRUMMAN CORP, 11-K, 2000-06-29 |
Next: NORTHWEST NATURAL GAS CO, 8-A12B, 2000-06-29 |
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 11-K
ANNUAL REPORT PURSUANT TO SECTION 15 (d) OF THE
SECURITIES EXCHANGE ACT OF 1934
[X] Annual report pursuant to Section 15 (d) of the Securities
Exchange Act of 1934 (No fee required)
For the fiscal years ended December 31, 1999 and 1998
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 number 33-59853
A. Full title of the plan and the address of the plan, if different from
that of the issuer named below:
NORTHROP GRUMMAN SAVINGS AND INVESTMENT PLAN
B. Name of issuer of the securities held pursuant to the Plan and the
address of its principal executive office:
NORTHROP GRUMMAN CORPORATION
1840 Century Park East
Los Angeles, California 90067
1
<PAGE>
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934,
the trustees (or other persons who administer the employee benefit plan) have
duly caused this annual report to be signed on its behalf by the undersigned
hereunto duly authorized.
NORTHROP GRUMMAN SAVINGS AND INVESTMENT PLAN
/s/ Gary W. McKenzie
-------------------------------------------
Dated: June 28, 2000 By Gary W. McKenzie
Vice President Tax
2
<PAGE>
NORTHROP GRUMMAN SAVINGS AND INVESTMENT PLAN
TABLE OF CONTENTS
--------------------------------------------------------------------------------
Page
INDEPENDENT AUDITORS' REPORT 1
FINANCIAL STATEMENTS:
Statements of Net Assets Available for Plan Benefits as of
December 31, 1999 and 1998 2
Statement of Changes in Net Assets Available for Plan Benefits for the
Year Ended December 31, 1999 3
Notes to Financial Statements 4-9
SUPPLEMENTAL SCHEDULE -
Assets Held for Investment Purposes at December 31, 1999 10-29
3
<PAGE>
INDEPENDENT AUDITORS' REPORT
To the Administrative Committee of the
Northrop Grumman Savings and Investment Plan:
We have audited the accompanying statements of net assets available for plan
benefits of the Northrop Grumman Savings and Investment Plan (the "Plan") as of
December 31, 1999 and 1998, and the related statement of changes in net assets
available for plan benefits for the year ended December 31, 1999. 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 in accordance with auditing standards generally accepted
in the United States of America. 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, such financial statements present fairly, in all material
respects, the net assets available for plan benefits of the Plan as of December
31, 1999 and 1998, and the changes in net assets available for plan benefits for
the year ended December 31, 1999 in conformity with accounting principles
generally accepted in the United States of America.
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
for investment purposes at December 31, 1999 is presented for the purpose of
additional analysis and is not a required part of the basic financial statements
but is supplementary information required by the Department of Labor's Rules and
Regulations for Reporting and Disclosure under the Employee Retirement Income
Security Act of 1974. The supplemental schedule is the responsibility of the
Plan's management. Such supplemental schedule has been subjected to the auditing
procedures applied in our audits of the basic financial statements and, in our
opinion, is fairly stated in all material respects when considered in relation
to the basic financial statements taken as a whole.
/s/ Deloitte & Touche LLP
--------------------------
Deloitte & Touche LLP
Los Angeles, California
June 22, 2000
<PAGE>
NORTHROP GRUMMAN SAVINGS AND INVESTMENT PLAN
STATEMENTS OF NET ASSETS AVAILABLE FOR PLAN BENEFITS
DECEMBER 31, 1999 AND 1998
--------------------------------------------------------------------------------
1999 1998
ASSETS:
Investments (Notes B, C, D, and E) $4,002,157,293 $3,629,993,434
Receivables:
Participant contribution 352,316 10,885,782
Employer contribution 178,265 4,482,209
Due from broker for securities sold 1,945,217 20,342,839
Dividends and interest receivable 4,233,263 3,832,740
-------------- --------------
Total assets 4,008,866,354 3,669,537,004
-------------- --------------
LIABILITIES:
Accrued expenses 3,554,439
Options outstanding 4,022,600
Due to broker for securities purchased 20,388,536 73,652,683
-------------- --------------
Total liabilities 23,942,975 77,675,283
-------------- --------------
NET ASSETS AVAILABLE FOR PLAN BENEFITS $3,984,923,379 $3,591,861,721
============== ==============
See notes to financial statements.
-2-
<PAGE>
NORTHROP GRUMMAN SAVINGS AND INVESTMENT PLAN
STATEMENT OF CHANGES IN NET ASSETS AVAILABLE FOR PLAN BENEFITS
YEAR ENDED DECEMBER 31, 1999
--------------------------------------------------------------------------------
INVESTMENT INCOME:
Net appreciation in fair value of investments $ 288,814,152
Interest 74,185,624
Dividends 68,207,583
--------------
Total investment income 431,207,359
Less investment expenses 3,690,141
--------------
Net investment income 427,517,218
--------------
CONTRIBUTIONS:
Participant 130,851,877
Employer 50,396,805
--------------
Total contributions 181,248,682
--------------
Total additions 608,765,900
--------------
DEDUCTIONS:
Benefits paid to participants 451,263,674
Administrative expenses 12,495,963
--------------
Total deductions 463,759,637
--------------
MERGED PLAN TRANSFERS IN 248,055,395
--------------
NET INCREASE 393,061,658
NET ASSETS AVAILABLE FOR PLAN BENEFITS:
Beginning of year 3,591,861,721
--------------
End of year $3,984,923,379
==============
See notes to financial statements.
-3-
<PAGE>
NORTHROP GRUMMAN SAVINGS AND INVESTMENT PLAN
NOTES TO FINANCIAL STATEMENTS
YEARS ENDED DECEMBER 31, 1999 AND 1998
--------------------------------------------------------------------------------
A. DESCRIPTION OF THE PLAN
The following description of the Northrop Grumman Savings and Investment
Plan (the "Plan") provides only general information. Participants should
refer to the Plan document for a more complete description of the Plan's
provisions.
General - The Northrop Grumman Savings and Investment Plan is a qualified
profit-sharing and employee stock ownership plan sponsored by Northrop
Grumman Corporation (the "Company"). It was established February 1, 1962
and restated effective January 1, 1998, covering all hourly and salaried
employees who are at least 18 years old, citizens or residents of the
United States of America, and are not covered under another plan. It is
subject to the provisions of the Employee Retirement Income Security Act
of 1974 ("ERISA").
On September 1, 1999, the Northrop Grumman Commercial Aircraft Division
Salaried Savings and Investment Plan (the "Former Plan") was merged with
the Plan and the Former Plan participants became eligible for
participation in the Plan.
Contributions - Plan participants may contribute between 1 percent and 18
percent of eligible compensation in increments of 1 percent, on a
tax-deferred (before-tax) basis, after-tax basis, or a combination
thereof. An active participant may change the percentage of his or her
contributions. Contributions are subject to certain limitations.
The Company's matching contributions are as follows:
Employee Contribution Company Match
First 2 percent of eligible compensation 100 %
Next 2 percent of eligible compensation 50 %
Next 4 percent of eligible compensation 25 %
Contribution over 8 percent 0 %
Participant Accounts - A separate account is maintained for each
participant. Each participant's account is credited with the participant's
contribution and allocations of (a) the Company's contribution, (b) Plan
earnings, and (c) administrative expenses. Allocations are based on
participant earnings on account balances, as defined in the Plan
document. The benefit to which a participant is entitled is the benefit
that can be provided from the participant's vested account.
Vesting - Plan participants are fully vested (100 percent) at all times in
the balance of their accounts (both employee and employer contributions),
none of which may be forfeited for any reason.
-4-
<PAGE>
Investment Options - Upon enrollment in the Plan, each participant may
direct that his or her employee contributions and Company matching
contributions, in 1 percent increments, be invested in any of the
following seven investment funds.
U.S. Equity Fund - The U.S. Equity Fund consists predominantly of
holdings in large- and medium-sized U.S. company stocks. These stocks
are selected by independent professional investment managers appointed
by the Plan's Investment Committee. This fund is designed to provide
results that closely match those of the Standard & Poor's 500 Stock
Index.
Fixed Income Fund - The Fixed Income Fund is broadly diversified and
maintains an average maturity of 10 years. This fund consists of
holdings in marketable, fixed-income securities rated within the three
highest investment grades (i.e., A or better) assigned by Moody's
Investor Services or Standard & Poor's Corporation, U.S. Treasury or
federal agency obligations, or cash-equivalent instruments. The
securities are selected by independent professional investment managers
appointed by the Plan's Investment Committee.
Stable Value Fund - The Stable Value Fund is diversified among U.S.
government securities and obligations of government agencies, bonds,
short-term investments, cash, and contracts issued by insurance
companies and banks. The fund is managed by an independent professional
investment manager appointed by the Plan's Investment Committee.
Northrop Grumman Fund - The Northrop Grumman Fund invests exclusively
in Northrop Grumman Corporation common stock.
Balanced Fund - The Balanced Fund is a fully diversified portfolio
consisting of fixed portions of five of the savings plan funds (Stable
Value Fund, U.S. Equity Fund, Fixed Income Fund, International Equity
Fund, and Small Cap Fund). The fund seeks to exceed the return of the
bond market and approach the return of the stock market, but with less
risk than an investment only in stocks.
International Equity Fund - The International Equity Fund consists of
stocks of a diversified group of companies in developed countries
outside the United States. The fund's objective is capital appreciation
over the long term, along with some current income (dividends).
Small Cap Fund - The Small Cap Fund consists of stocks of a diversified
group of small-capitalization U.S. companies. The stocks purchased by
the fund typically have a market capitalization similar to companies in
the Russell 2000 Index, which are companies with an average market
capitalization of $500 million. The fund's objective is capital
appreciation over the long term, rather than current income
(dividends).
-5-
<PAGE>
Participants may change their investment options daily.
Contributions deposited into each investment fund buy a number of units in
each fund. The value of each participant's account within each fund
depends on two factors: (1) the number of units purchased to date, and (2)
the current value of each unit. Unit values are updated daily prior to any
plan transactions, including contributions, withdrawals, distributions,
and transfers.
Participant Notes Receivable - Participants may borrow from their fund
accounts a minimum of $1,000, up to a maximum equal to the lesser of
$50,000 or 50 percent of their account balance reduced by the highest
outstanding balance over the last twelve months. A participant may not
have more than one outstanding loan at any given time. Loans will be
prorated across all investment funds and are secured by the balance in the
participant's account. The interest rate is fixed on the first business
day of each month at the prime rate of the Plan's trustee plus 1 percent.
Repayments are made from payroll deductions (for active employees) or
personal check (for former employees or employees on a leave of absence).
The maximum loan period is five years, or ten years for a loan used to
acquire a dwelling that is to be the principal residence of the
participant. Loans may be prepaid in full; partial prepayments are not
permitted.
Payment of Benefits - On termination of service due to death, disability,
or retirement, a participant may receive a lump-sum payment of his or her
account balance. A participant may also delay his or her lump-sum payment
until the age of 70 1/2, if the account balance exceeds $5,000.
Distribution from the Northrop Grumman Fund will be paid in cash, stock,
or a combination of both, depending on the participant's election.
Withdrawals - A participant may withdraw all or a portion of his or her
after-tax contributions (plus earnings) at any time. In addition, a
participant may withdraw all or a portion of his or her Company matching
contribution (plus earnings) that have been in the Plan for at least 24
months. A participant may withdraw all or a portion of his or her
before-tax contributions for any reason after reaching age 59 1/2, or
prior to reaching age 59 1/2 in the case of hardship (as described in the
Plan document).
B. SUMMARY OF ACCOUNTING POLICIES
Basis of Accounting - The financial statements of the Plan are prepared
under the accrual basis of accounting.
Use of Estimates - The preparation of financial statements in conformity
with accounting principles generally accepted in the United States of
America requires management to make estimates and assumptions that affect
the reported amounts of assets, liabilities, and changes therein, and
disclosure of contingent assets and liabilities. Actual results could
differ from those estimates.
-6-
<PAGE>
Investment Valuation and Income Recognition - In the accompanying
statement of net assets available for plan benefits as of December 31,
1999, the Plan's investments are stated at fair value, except for the
investments in insurance and investment contracts included in the Northrop
Grumman Stable Value Master Trust (the "Master Trust"), which are stated
at contract value (see Note D). Quoted market prices are used to determine
the fair value of the investments. Notes receivable from participants are
valued at cost, which approximates fair value.
Purchases and sales of securities are recorded on a trade-date basis.
Interest income is recorded on the accrual basis. Dividends are recorded
on the ex-dividend date.
Broker commissions, transfer taxes, and other charges and expenses
incurred in connection with the purchase, sale, or other disposition of
securities or other investments held by the Master Trust are added to the
cost of such securities or other investments, or are deducted from the
proceeds of the sale or other disposition thereof, as appropriate. Taxes
(if any) on the assets of the funds, or on any gain resulting from the
sale or other disposition of such assets, or on the earnings of the funds,
are apportioned in such a manner as the Trustee deems equitable among the
participants and former participants (if any) whose interests in the Plan
are affected, and the share of such taxes apportioned to each such person
is charged against his or her account in the Plan.
Payment of Benefits - Benefits are recorded when paid. As of December 31,
1999 and 1998, benefits payable in cash to participants were $111,924 and
$14,796,768, respectively. Additionally, the market values of shares of
Northrop Grumman Corporation common stock to be distributed as of December
31, 1999 and 1998 were zero and $8,785, respectively.
New Accounting Pronouncements - The Plan has adopted Statement of Position
99-3, "Accounting and Reporting of Certain Defined Contribution Plan
Investments and Other Matters," which eliminates the by-fund disclosure
and the unit value disclosures. There was no other impact to the Plan's
financial statements.
C. INVESTMENTS
The Plan's interest in the Northrop Grumman Stable Value Master Trust as
of December 31, 1999 and 1998 of $950,455,786 and $871,098,496,
respectively, represented over five percent of the Plan's net assets as of
those dates. As of December 31, 1999 and 1998, no other single investment
represented five percent or more of the Plan's net assets.
During 1999, the Plan's investments (including gains and losses on
investments bought and sold, as well as held during the year) appreciated
in value by $288,814,152 as follows:
Common stock $241,804,170
Mutual funds 56,317,850
Debt obligations (9,307,868)
------------
$288,814,152
============
-7-
<PAGE>
D. INTEREST IN NORTHROP GRUMMAN STABLE VALUE MASTER TRUST
A portion of the Plan's investments are in the Master Trust which was
established for the investment of the assets of the Plan and several other
Northrop Grumman Corporation sponsored savings plans. Each participating
savings plan has an undivided interest in the Master Trust. The assets of
the Master Trust are held by Primco Capital Management. At December 31,
1999 and 1998, the Plan's interest in the net assets of the Master Trust
was approximately 67 percent and 64 percent, respectively. Investment
income and administrative expenses relating to the Master Trust are
allocated among the participating plans based upon average monthly
balances invested by each plan.
Investments held at contract value in the Master Trust as of December 31,
1999 and 1998 were as follows (in thousands):
1999 1998
Guaranteed and Bank Investment Contracts $1,389,667 $1,298,790
Northrop Retirement Savings Temporary
Investment Fund 33,264 60,090
Accrued income 113
---------- ----------
Total $1,422,931 $1,358,993
========== ==========
Investment income in the Master Trust was $87,968,929 for the year ended
December 31, 1999.
E. INVESTMENT CONTRACTS WITH INSURANCE COMPANIES
All investment and insurance contracts held by the Master Trust are
considered to be fully benefit responsive and, therefore, are reported at
contract value. Contract value represents contributions made under the
contract, plus interest at the contract rate, less withdrawals and
administrative expenses.
The following information is disclosed for the investment and insurance
contracts within the Master Trust as of December 31, 1999 and 1998 (in
millions):
1999 1998
Contract value of assets: $ 1,390 $ 1,299
Fair value of assets: $ 1,355 $ 1,343
Average yield of assets on December 31: 6.25 % 7.09 %
Crediting interest rate of assets at December 31: 6.25 % 7.08 %
Duration: 2.77 Years 2.58 Years
-8-
<PAGE>
F. TRANSACTIONS WITH PARTIES-IN-INTEREST
In Plan management's opinion, fees paid during the year for services
rendered by parties-in-interest were based upon customary and reasonable
rates for such services.
G. PLAN TERMINATION
Although it has not expressed any intent to do so, the Company has the
right under the Plan to discontinue its contributions at any time and to
terminate the Plan subject to the provisions of ERISA. In the event of the
Plan's termination, the interests of all participants in their accounts
are 100 percent vested and nonforfeitable.
H. INCOME TAXES
The Internal Revenue Service has determined and informed the Company by
letter dated April 25, 2000, that the Plan, as amended, and related trust
are designed in accordance with applicable sections of the Internal
Revenue Code (the "IRC"). The plan administrator and the Plan's tax
counsel believe that the Plan is currently being operated in compliance
with the applicable requirements of the IRC.
I. DESCRIPTION OF PLAN MERGERS
Effective September 1, 1999, plan assets of $248,055,395 of the Former
Plan were merged into the Plan. The transferred net assets have been
recognized in the accounts of the Plan at their balances as previously
carried in the accounts of the Former Plan.
J. SUBSEQUENT EVENT
On June 9, 2000, the Company entered into an Asset Purchase Agreement with
VAC Acquisition Corp. II (the "Buyer") to sell certain assets now owned by
the Aerostructures Business Area of its Integrated Systems &
Aerostructures Sector. Upon the closing of the transaction, Company
employees who become employees of the Buyer and certain designated retired
employees of the Aerostructures Business Area will be entitled to either
receive an immediate distribution of their account balances in accordance
with Plan terms; maintain their accounts in the Plan in accordance with
Plan terms; or transfer their account balances directly to a defined
contribution plan to be designated or newly established by the Buyer.
******
-9-
<PAGE>
NORTHROP GRUMMAN SAVINGS AND INVESTMENT PLAN
SCHEDULE OF ASSETS HELD FOR INVESTMENT PURPOSES
DECEMBER 31, 1999
<TABLE>
<CAPTION>
------------------------------------------------------------------------------------------------------------------------------------
(a) (b) (c) (d) (e)
Identity of Issuer, Borrower,
Lessor or Similar Party Description of Investment Cost Current Value
------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
* Northrop Grumman Corporation Participation in Stable Value Unitized Fund $ 889,153,377 $ 950,455,786
Fidelity Magellan Fund 242,454,210 474,401,045
* Northrop Grumman Corporation Common Stock 129,232,026 257,038,643
* State Street Bank & Trust Co Flagship S&P 500 Index Fund 114,561,922 124,721,074
* State Street Bank & Ttust Co Short Term Investment Fund 65,461,289 65,461,289
EAFE SERIES A 53,706,419 60,929,021
* Northrop Grumman Corporation Participant Loans 60,146,908 60,146,908
RCM Growth Equity Fund 39,152,519 45,788,481
Cisco Systems Inc Common Stock 8,922,542 43,321,350
Microsoft Corporation Common Stock 12,943,821 39,706,675
General Electric Co Common Stock 15,513,779 39,182,700
Nokia Corp Common Stock 3,769,699 31,920,000
Citigroup Inc Common Stock 18,282,623 29,298,106
Capital Guardian Trust Co Small Cap Daily Fund 17,418,082 28,318,317
PIC Small Cap Investment Fund Debt 12,189,668 24,483,874
SSGA CME9 BOND MARKET INDEX FD SER A 22,977,154 23,041,142
MCI Worldcom Inc Common Stock 13,479,558 23,000,206
Intel Corp Common Stock 10,437,398 22,249,069
AT&T Corp Common Stock 21,227,252 37,981,749
Exxon Mobil Corp Common Stock 17,093,064 21,325,297
Capital Guardian Trust Co International Equity Daily Fund 10,012,873 20,918,272
Home Depot Inc Common Stock 5,779,904 20,712,731
American International Group Inc Common Stock 10,397,517 19,081,359
Lucent Technologies Inc Common Stock 10,655,497 17,517,048
Tyco International LTD Common Stock 11,842,642 17,089,450
Motorola Inc Common Stock 10,360,384 16,300,575
Applied Materials Inc Common Stock 3,623,732 15,785,263
Wal Mart Stores Inc Common Stock 6,638,674 15,580,775
Hewlett Packard Co Common Stock 9,821,120 14,948,600
Amgen Inc Common Stock 5,636,481 14,811,413
SSGA CMK4 RUSSELL SPECIAL SMALL CO SER A 13,291,341 14,709,737
E M C Corp Mass Common Stock 5,104,786 14,634,038
CBS Corp Common Stock 7,164,952 14,277,244
Warner Lambert Co Common Stock 9,586,763 14,101,444
Texas Instruments Inc Common Stock 4,243,251 13,891,875
Bank America Corp Common Stock 13,973,460 13,849,843
Clear Channel Communications Common Stock 7,364,894 13,539,225
Scudder Institutional Fund Inc International Equity Portfolio 8,750,000 13,484,219
Foreign Discover T Rowe Price Trust Fund 7,950,000 12,614,989
Bristol Myers Squibb Co Common Stock 11,564,352 12,458,794
-10-
<PAGE>
JDS Uniphase Corp Common Stock 3,703,540 12,001,650
Pfizer Inc Common Stock 4,488,983 11,492,606
Schroder International Equity Fund 8,907,111 11,352,878
Time Warner Inc Common Stock 4,908,901 11,242,300
GTE Corp Common Stock 9,899,161 11,092,425
SBC Communications Inc Common Stock 10,367,669 10,988,211
Qualcomm Inc Common Stock 1,639,160 10,567,500
McDonalds Corp Common Stock 9,467,662 10,473,188
Vodafone Airtouch PLC Common Stock 6,544,183 10,427,175
Merck & Co Inc Common Stock 9,163,229 9,985,606
KLA Tencor Corp Common Stock 2,623,395 9,823,275
Alcoa Inc Common Stock 5,164,699 9,545,000
Sun Microsystems Inc Common Stock 2,947,544 9,369,938
Qwest Communications Intl Inc Common Stock 6,216,541 9,025,700
Bank One Corp Common Stock 11,015,718 8,981,668
Chase manhattan Corp Common Stock 4,963,089 8,672,722
Morgan Stanley Dean Witter & Co Common Stock 3,305,139 8,517,893
Compaq Computer Corp Common Stock 7,818,853 8,381,256
Procter & Gamble Co Common Stock 4,891,078 8,326,750
Eli Lilly & Co Common Stock 7,689,107 8,312,500
Ford Moter CoEL Common Stock 6,070,948 8,304,882
International Business Machines Common Stock 4,980,978 8,218,800
Guidant Corp Common Stock 6,419,297 8,093,400
Federal National Mortgage Association Common Stock 6,533,892 8,035,706
Dell Computer Corp Common Stock 5,086,551 7,950,900
Chevron Corp Common Stock 7,294,328 7,943,513
Yahoo Inc Common Stock 2,878,325 7,788,375
Teradyne Inc Common Stock 1,917,941 7,722,000
Bell Atlantic Corp Common Stock 6,279,560 7,637,321
FNMA Pool 535095 0.99% 01 Dec 2014 7,516,271 7,516,271
AES Corp Common Stock 3,943,075 7,437,625
Johnson & Johnson Common Stock 5,605,368 7,301,000
Genentech Inc Common Stock 3,745,352 7,263,000
NTL Inc Common Stock 4,698,779 7,213,669
Fed Home Ln Mtg Corp 6.625% 15 Sep 2009 7,370,437 7,189,544
SLM Holding Corp Common Stock 4,935,202 7,144,475
Texaco Inc Common Stock 7,029,208 7,095,928
Medtronic Inc Common Stock 939,094 6,952,275
Gap Inc Common Stock 3,317,310 6,925,852
Colgate Palmolive Co Common Stock 2,968,067 6,844,500
Viacom Inc Common Stock 3,501,473 6,769,000
Conoco Inc Common Stock 6,764,367 6,563,700
Omnicom Group Common Stock 1,100,948 6,410,000
Baxter International Inc Common Stock 5,450,220 6,388,031
Kimberly Clark Corp Common Stock 4,424,069 6,337,863
America Online Inc Common Stock 5,425,755 6,200,963
FNMA TBA JAN 30 SINGLE FAM 7.5% 01 Dec 2099 6,209,125 6,130,250
American Home Products Corp Common Stock 7,789,274 6,112,813
Washington Mutual Inc Common Stock 7,562,631 5,974,800
Anheuser Busch COS Inc Common Stock 5,012,142 5,953,500
Bestfoods Common Stock 5,060,001 5,834,438
Lowes COS Inc Common Stock 1,708,487 5,819,650
-11-
<PAGE>
FNMA Pool 323819 7.5% 01 Jun 2029 5,907,326 5,769,650
Dow Chemical Co Common Stock 4,911,051 5,745,875
United States Treasury Bonds 7.875% 15 Feb 2021 5,940,006 5,622,584
Abbott Labs Common Stock 5,289,712 5,559,444
Household International Inc Common Stock 5,113,554 5,524,175
Kohls Corp Common Stock 1,291,468 5,515,125
Unocal Corp Common Stock 5,801,950 5,507,606
International Paper Co Common Stock 4,201,746 5,350,275
Philip Morris COS Inc Common Stock 7,794,086 5,207,913
American Express Co Common Stock 4,463,370 5,137,125
Sony Corp Common Stock 1,554,485 5,125,500
United Technologies Corp Common Stock 3,275,928 5,122,000
Kellogg Co Common Stock 5,726,872 5,040,925
GNMA Pool 780191 7.5% 15 Jul 2025 5,077,130 4,960,119
Dover Corp Common Stock 3,009,678 4,959,488
Emerson Electric Co Common Stock 4,948,763 4,905,563
FNMA Pool 481427 6% 01 Jan 2029 5,233,158 4,865,733
Tellabs Inc Common Stock 1,800,342 4,858,994
Allstate Corp Common Stock 6,955,339 4,857,600
Fort James Corp Common Stock 6,144,203 4,853,588
United States Treas NTS 5.5% 15 May 2009 4,977,473 4,830,968
Deere & Co Common Stock 4,435,843 4,734,381
Federated Dept Stores Inc Common Stock 3,778,053 4,732,650
FNMA TBA JAN 30 SINGLE FAM 6.5% 01 Dec 2099 4,810,677 4,710,950
Equant N V Common Stock 3,444,018 4,670,400
Burlington Northern Santa Fe Common Stock 5,660,294 4,668,125
Coca Cola Co Common Stock 4,332,358 4,619,225
Analog Devices Inc Common Stock 1,312,869 4,584,900
United States Treas NTS 5.875% 30 Nov 2001 4,725,727 4,570,514
Honeywell Intl Inc Common Stock 4,452,546 4,522,700
Conoco Inc Common Stock 3,955,065 4,435,337
First UN Corp Common Stock 5,707,443 4,406,719
Nike Inc Common Stock 4,733,687 4,401,150
Halliburton Co Common Stock 3,779,403 4,383,225
May Dept Stores Co Common Stock 4,889,437 4,373,100
Keycorp Common Stock 6,034,650 4,367,475
United States Treas NTS 5.625% 15 Feb 2006 4,419,406 4,257,404
Univision Communications Inc Common Stock 2,596,769 4,240,781
USX Marathon Group Common Stock 5,075,215 4,189,469
Eastman Kodak Co Common Stock 4,534,918 4,173,750
XL Capital LTD Common Stock 2,862,509 4,150,000
Cadence Design Sys Inc Common Stock 3,354,306 4,051,200
Heinz H J Co Common Stock 4,694,525 3,997,175
Enron Corp Common Stock 3,130,142 3,993,750
St Microelectronics N V Common Stock 1,955,175 3,967,663
Forest Labs Inc Common Stock 2,975,762 3,864,419
Costco Wholesale Corp Common Stock 2,881,371 3,859,875
Tiffany & Co Common Stock 2,134,735 3,855,600
Burlington Res Inc Common Stock 4,502,563 3,831,944
Allegiance Telecom Inc Common Stock 1,592,292 3,800,700
United States Treas NTS 6.125% 15 Aug 2007 3,805,842 3,768,375
Broadcom Corp Common Stock 2,055,675 3,731,538
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DLJ Mortgage Acceptance Corp 6.75% 19 Jun 2028 3,958,852 3,723,848
Chubb Corp Common Stock 3,720,579 3,716,625
Tenet Healthcare Corp Common Stock 3,910,761 3,696,550
General Motors Corp Common Stock 2,663,181 3,663,450
Astrazeneca PLC Common Stock 2,790,080 3,618,306
Air Prods & Chems Inc Common Stock 3,838,597 3,618,038
Delphi Automotive Sys Corp Common Stock 4,235,773 3,616,200
Nextel Communications Inc Common Stock 889,017 3,609,375
Unumprovident Corp Common Stock 4,683,542 3,600,619
Bowater Inc Common Stock 2,982,623 3,595,488
Peoplesoft Inc Common Stock 3,457,998 3,580,500
Avnet Inc Common Stock 2,823,956 3,571,436
Parker Hannifin Corp Common Stock 2,361,248 3,561,088
St Paul COS Inc Common Stock 4,064,090 3,547,294
Circuit City Stores Inc Common Stock 2,549,792 3,541,913
PPG Inds Inc Common Stock 3,045,655 3,528,525
Glaxo Wellcome PLC Common Stock 3,367,153 3,481,013
Wells Fargo & Co Common Stock 2,207,666 3,441,231
Aetna Inc Common Stock 4,655,671 3,415,725
Archer Daniels Midland Co Common Stock 4,608,684 3,410,806
United States Treas NTS 5.25% 31 May 2001 3,429,785 3,405,806
Campbell Soup Co Common Stock 3,597,780 3,300,044
Hasbro Inc Common Stock 2,942,130 3,259,688
First Data Corp Common Stock 2,112,633 3,244,763
Illinois Tool Wks Inc Common Stock 1,782,255 3,243,000
East Coast Power LLC 7.536% 30 Jun 2017 3,650,000 3,240,470
Williams COS Inc Common Stock 3,143,143 3,209,063
Clorox Co Common Stock 3,008,193 3,203,850
Berkshire Hathaway Inc Common Stock 2,694,288 3,197,700
CNF Transn Inc Common Stock 3,403,536 3,194,700
Petroleum GOE Svcs A/S 7.5% 31 Mar 2007 3,251,258 3,177,233
United States Treas NTS 6.25% 28 Feb 2002 3,179,285 3,149,024
Interpublic Group COS Inc Common Stock 778,938 3,143,969
Nextlink Communications Inc Common Stock 1,590,072 3,114,844
United States Treas NTS 6.875% 31 Mar 2000 3,175,549 3,109,672
Georgia Pac Corp Common Stock 2,369,060 3,090,675
GNMA I TBA JAN 30 SINGLE FAM 8% 15 Dec 2099 3,060,313 3,030,000
Bank New York Inc Common Stock 2,577,334 3,000,000
Merrill Lynch & Co Inc Common Stock 1,781,999 2,997,650
Praxair Inc Common Stock 2,836,724 2,988,563
FNMA Pool 535039 8% 01 Nov 2029 3,013,078 2,984,844
Lauder Estee COS Inc Common Stock 2,768,290 2,970,769
Conagra Inc Common Stock 3,616,590 2,939,894
Norfolk Southern Corp Common Stock 3,918,219 2,904,850
Federal Home Loan Banks 6.905% 18 Oct 2004 2,925,000 2,903,063
Merita Bank Ltd 7.15% 29 Dec 2049 2,999,640 2,899,080
FFTW Funds Inc International Hedged Portfolios 2,887,554 2,893,718
Coastal Fin I Tr Originated Pfd Secs PCT 3,243,600 2,877,900
PE Corp Common Stock 1,420,891 2,875,469
Baker Hughes Inc Common Stock 2,400,978 2,856,496
Fox Entertainment Group Inc Common Stock 2,634,150 2,855,344
Arrow Electrs Inc Common Stock 2,370,097 2,788,713
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CSX Corp Common Stock 3,752,491 2,782,963
Masco Corp Common Stock 2,137,517 2,732,888
Xilinx Inc Common Stock 2,152,915 2,728,125
Texas Utilities Co Common Stock 3,038,434 2,724,088
Schlumberger Ltd Common Stock 2,100,817 2,716,875
Champion Intl Corp Common Stock 1,914,322 2,706,669
Computer Assoc Intl Inc Common Stock 1,437,207 2,690,845
LB Coml Conduit Mtg Tr 5.87% 15 Aug 2006 2,835,586 2,681,283
Level 3 Communications Inc Common Stock 1,843,259 2,677,313
Grainger W W Inc Common Stock 2,719,513 2,667,938
Quintiles Transnational Corp Common Stock 3,437,134 2,659,231
Pacificare Health Systems Common Stock 3,305,264 2,628,800
PMI Group Inc Common Stock 2,022,619 2,562,656
Albertsons Inc Common Stock 2,531,296 2,554,200
Eaton Corp Common Stock 2,361,997 2,512,825
Sealed Air Corp Common Stock 1,762,932 2,487,000
Becton Dickinson & Co Common Stock 2,495,142 2,477,050
Juniper Networks Inc Common Stock 1,368,669 2,448,000
Goodrich B F Co Common Stock 3,197,715 2,444,750
Public Svc Enterprise Group Common Stock 2,750,439 2,436,875
Agilent Technologies Inc Common Stock 1,239,484 2,412,150
AMR Corp Common Stock 1,636,761 2,405,300
United Healthcare Corp Common Stock 2,021,096 2,385,313
Fleetboston Finl Corp Common Stock 2,455,107 2,381,175
Textron Inc Common Stock 1,190,329 2,377,313
Osprey Trust Osprey Inc 8.31% 15 Jan 2003 2,350,000 2,333,386
Black & Decker Corporation Common Stock 1,712,010 2,293,775
TJX Cos Inc Common Stock 2,428,725 2,280,825
Metromedia Fiber Network Inc Common Stock 2,000,189 2,272,238
Firstenergy Corp Common Stock 2,909,750 2,266,481
United States Tres SC STRP INT 0.01% 15 Feb 2013 2,292,390 2,266,466
Waste Mgmt Inc Common Stock 4,404,332 2,265,313
KBC BK FDG TR III 9.86% 29 Nov 2049 2,170,000 2,245,505
FPL Group Inc Common Stock 2,683,677 2,217,688
Coca Cola Enterprises Inc Common Stock 1,892,252 2,213,750
American Std Cos Inc Common Stock 1,662,514 2,179,063
Atlantic Richfield Co Common Stock 1,727,506 2,162,500
Newell Rubbermaid Inc Common Stock 3,005,257 2,160,500
Lockheed Martin Corp Common Stock 2,860,029 2,137,188
Seagate Technology Common Stock 1,271,368 2,127,906
Solectron Corp Common Stock 268,861 2,121,288
Tosco Corp Common Stock 1,916,909 2,115,188
Veritas Software Corp Common Stock 1,447,010 2,075,313
Raytheon Co Common Stock 2,277,699 2,042,656
GNMA Pool 781035 6.5% 15 May 2029 2,076,658 2,037,691
Jostens inc Common Stock 1,796,728 2,017,938
Gillette Co Common Stock 2,223,676 2,005,831
Bank of Montreal (Chicago) 6.3% 14 Jan 2000 2,000,000 2,000,000
Southern UN Co 8.25% 15 Nov 2029 1,991,300 1,978,540
GNMA I TBA JAN 30 SINGLE FAM 7.5% 15 Dec 2099 2,007,500 1,977,500
Owens Ill Inc Common Stock 2,789,335 1,972,419
Schering Plough Corp Common Stock 1,911,939 1,965,938
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Morgan J P & Co Inc Common Stock 1,937,391 1,962,688
Phillips Pete Co Common Stock 1,819,693 1,936,400
Oracle Corp Common Stock 1,007,334 1,927,475
Cablevision Sys Corp Common Stock 867,425 1,925,250
Northeast Utilities Common Stock 1,268,237 1,922,594
Mediaone Group Inc Common Stock 1,742,869 1,920,313
New York Times Co Common Stock 1,143,983 1,896,225
FHLMC TBA JAN 30 GOLD SINGLE 6.5% 01 Dec 2099 1,926,875 1,885,620
AON Corp Common Stock 1,722,774 1,876,000
United States Treasury Bonds 6.625% 15 Feb 2027 1,989,558 1,853,338
Autodesk Incorporated Common Stock 2,266,202 1,839,375
Crown Cork & Seal Inc Common Stock 3,258,146 1,828,038
Lincoln Natl Corp Common Stock 2,040,871 1,812,000
General Mills Inc Common Stock 1,734,510 1,794,650
Occidental Pete Corp Common Stock 1,841,062 1,784,063
Providian Home Equity Loan 6.7588% 25 Jun 2025 1,762,155 1,759,389
Cigna Corp Common Stock 1,425,596 1,748,206
Royal Caribbean Cruises Ltd Common Stock 1,133,896 1,745,663
Reynolds Metals Co Common Stock 1,475,287 1,743,219
Union Pacific Res Group Inc Common Stock 3,066,408 1,728,900
Kennametal Inc Common Stock 1,841,913 1,714,875
Dresdner FDG TR I 8.151% 30 Jun 2031 1,830,000 1,714,417
Maxim Integrated Prods Inc Common Stock 1,367,932 1,698,750
Financing Corp CPN FICO STRP 0% 30 May 2005 1,751,358 1,682,562
Pepsi Bottling Group Inc Common Stock 2,306,666 1,674,469
Dana Corp Common Stock 2,544,850 1,673,506
Gannett Inc Common Stock 1,399,360 1,655,719
Bellsouth Corp Common Stock 1,625,784 1,624,394
Symbol Technologies Inc Common Stock 674,473 1,620,844
Pepsico Inc Common Stock 1,566,923 1,610,925
Sycamore Networks Inc Common Stock 197,600 1,601,600
Deutsche Mtg & Asset Rec Corp 6.22% 15 Sep 2007 1,620,313 1,587,234
Goldman Sachs Group Inc Common Stock 999,925 1,572,931
GNMA Pool 354686 7.5% 15 Nov 2023 1,624,934 1,571,799
United States Treas NTS 5.875% 15 Nov 2004 1,592,000 1,568,752
YOUNG + RUBICAM INC COM 845,326 1,556,500
Columbia Energy Group Common Stock 1,245,284 1,530,650
Liberty Media Corp 8.5% 15 Jul 2029 1,495,905 1,518,960
Federal Mogul Corp Common Stock 2,844,830 1,509,375
General Motors Corp Common Stock 899,450 1,502,400
Government Natl Mtg Assn 6.0963% 16 Jul 2028 1,530,374 1,493,648
Air 2 Us 8.027% 01 Oct 2020 1,525,170 1,489,545
Sepracor Inc Common Stock 1,276,260 1,487,813
Associates First Cap Corp Common Stock 1,676,035 1,467,742
Harrahs Entertainment Inc Common Stock 1,335,269 1,454,063
Centaur Funding Corp Preferred Stock 1,552,636 1,452,657
Advanced Micro Devices Inc Common Stock 1,215,675 1,446,875
FNMA Pool 498091 6.5% 01 May 2029 1,459,070 1,433,386
IMS Health Inc Common Stock 1,249,276 1,432,781
American Pwr Conversion Corp Common Stock 642,766 1,424,250
Service Corp Intl Common Stock 3,084,894 1,422,881
American Greetings Corp Common Stock 1,688,698 1,417,500
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Weatherford Intl Inc Common Stock 930,065 1,416,783
Saks Inc Common Stock 2,147,088 1,406,850
Williams Sonoma Inc Common Stock 1,098,232 1,403,000
Rohm & Haas Co Common Stock 1,109,656 1,399,650
Best Buy Co Inc Common Stock 1,176,008 1,377,647
Cincinnati Finl Corp Common Stock 1,605,140 1,372,250
GNMA Pool 496920 7% 15 Apr 2029 1,439,406 1,366,853
Cox Communications Inc Common Stock 915,666 1,359,600
Household Fin Corp 7% 01 Aug 2003 1,352,856 1,333,665
US Bancorp Common Stock 1,568,826 1,333,500
Union Pac Corp Common Stock 1,450,437 1,330,563
Federal Natl Mtg Assn 5.125% 13 Feb 2004 1,347,777 1,316,224
Autonation Inc Common Stock 2,183,856 1,315,350
Financing Corp CPN FICO STRIPS 0% 06 Jun 2003 1,232,512 1,310,644
Green Tree Finl Corp 6.42% 15 Sep 2015 1,299,391 1,285,375
V F Corp Common Stock 1,434,039 1,275,000
American Elec Pwr Inc Common Stock 1,401,059 1,252,875
Loews Corp Common Stock 1,617,651 1,238,025
FNMA Pool 420778 6.5% 01 Jun 2028 1,295,386 1,229,323
Du Pont E I De Nemours & Co Common Stock 630,009 1,202,153
Boise Cascade Corp Common Stock 1,062,098 1,178,550
Xerox Corp Common Stock 2,379,638 1,172,944
Federal Home Ln Mtg PC GTD 3.5% 15 Jun 2007 1,174,695 1,170,545
3Com Corp Common Stock 904,845 1,170,300
FNMA Pool 437266 5.5% 01 Aug 2028 1,267,109 1,168,373
Tandy Corp Common Stock 869,913 1,155,906
Seagram Ltd Common Stock 1,181,313 1,145,906
Amerada Hess Corp Common Stock 1,014,978 1,123,650
Morgan Guaranty Trust Co of NY 0.001% 31 Dec 2000 1,120,078 1,120,078
FNMA Pool 479193 6% 01 Jan 2029 1,206,823 1,116,946
Union Planters Corp Common Stock 1,221,900 1,092,419
Pharmacia & Upjohn Inc Common Stock 1,324,549 1,066,500
FNMA Pool 510488 7% 01 Aug 2029 1,077,313 1,063,557
Cendant Corp Common Stock 759,917 1,054,531
Carnival Corp Common Stock 900,280 1,051,875
FNMA Pool 190759 6% 01 Apr 2009 1,040,677 1,027,749
Rite Aid Corp Common Stock 2,185,859 1,023,656
GNMA Pool 405558 7.5% 15 Jan 2026 1,048,331 1,017,024
Consolidated Stores Corp Common Stock 1,707,258 1,007,500
SMS Student Ln Tr 5.4112% 28 Jul 2006 1,000,000 1,001,080
Capital Desjardins Inc 7.37% 08 Aug 2005 1,015,550 992,100
Adelphia Communications Corp Common Stock 1,124,530 984,375
Charter Communications Inc Common Stock 881,019 984,375
USG Corp Common Stock 700,170 975,488
FNMA TBA JAN 15 SINGLE FAM 6.5% 01 Dec 2099 981,250 970,000
Quantum Corp Common Stock 1,336,044 969,513
Raytheon Co Common Stock 2,053,531 967,688
JP Morgan Paper 5.28% 06 Mar 2000 960,547 960,547
Policy Mgmt Sys Corp Common Stock 1,112,889 958,594
FNMA Pool 252256 7% 01 Feb 2029 1,010,379 957,164
Indy Mac Mtg Hldgs Inc Common Stock 1,928,889 956,250
Sprint Corp Common Stock 939,835 943,000
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FNMA Pool 525059 6.5% 01 Dec 2029 956,346 942,274
GNMA Pool 454195 7% 15 Aug 2028 991,517 941,540
Federal Natl Mtg Assn REMIC 6% 25 Mar 2009 958,281 940,000
P P & L Res Inc Common Stock 1,096,645 937,875
Residential Fdg Mtg Secs 6.5% 25 Sep 2014 944,989 937,210
BMC Software Inc Common Stock 730,633 935,269
Smurfit Stone Container Corp Common Stock 714,878 929,653
Ambac Finl Group Inc Common Stock 971,716 928,938
Federal Home Ln Mtg PC GTD 6.25% 25 Nov 2023 1,023,594 922,500
Galileo Intl Inc Common Stock 1,109,020 898,125
Mattel Inc Common Stock 1,731,965 897,750
ITT Inds Inc Common Stock 997,362 896,125
Arch Chemicals Inc Common Stock 1,014,067 895,078
Fed Hm Ln PC C00858 8% 01 Jul 2029 886,442 887,122
Summit Bancorp Common Stock 968,478 878,938
Ford Mtr Co 7.45% 16 Jul 2031 904,093 875,456
AXA Finl Inc Common Stock 802,497 873,975
United States Treas NTS 6.875% 15 May 2006 916,988 870,099
Citigroup Inc Preferred Stock 991,678 864,825
United States Treas NTS 7% 15 Jul 2006 873,403 860,345
Nabisco Hldgs Corp Common Stock 1,028,577 857,038
Merit Securities Corp 6.7787% 28 Apr 2032 866,129 852,305
Wisconsin Energy Corp Common Stock 1,276,349 850,850
FNMA Pool 452415 6% 01 Dec 2028 913,115 845,780
Temple Inland Inc Common Stock 758,408 844,000
Finova Cap Corp 7.25% 08 Nov 2004 855,692 843,939
Niagara Mohawk Hldgs inc Common Stock 909,126 843,219
MBIA Inc Common Stock 1,031,444 834,438
Cooper Inds Inc Common Stock 888,068 828,969
United Parcel Svc Inc Common Stock 605,156 828,000
PNC Bk Corp Common Stock 918,960 827,700
Kinder Morgan Inc Common Stock 818,040 823,650
Fed Hm Ln PC E74599 6% 01 Jan 2014 869,185 823,634
FNMA Pool 323887 6% 01 Dec 2013 829,318 821,205
Centaur Funding Preferred Stock 800,000 819,000
Jefferson Pilot Corp Common Stock 880,854 819,000
Federal Home Ln Mtg PC GTD 3.5% 15 Nov 2007 802,222 803,921
Northern Sts Pwr Co Common Stock 1,081,170 797,550
Compuware Corp Common Stock 755,471 797,150
General Elec Cap Corp Mtn 8.09% 01 Apr 2004 841,938 796,734
United States Treas Bills 0.01% 04 May 2000 781,136 785,520
Distribution Finl Svcs Rv Tr 5.84% 15 Oct 2011 799,883 784,048
Massachusetts Mut Life Ins Co 7.5% 01 Mar 2024 916,978 778,672
First NBC Cr Card Master Tr 6.15% 15 Sep 2004 779,878 775,677
Hartford Financial Svcs Grp Common Stock 672,228 762,738
Federal Natl Mtg Assn GTD 6.9688% 25 Dec 2023 759,713 760,595
CIT Group Inc Common Stock 993,271 760,500
Countrywide Cr Inds Inc Common Stock 791,229 749,925
Total Fina SA Common Stock 455,472 747,900
Murphy Oil Corp Common Stock 631,150 745,875
Southtrust Corp Common Stock 732,388 741,125
Prudential Ins Co Amer 6.875% 15 Apr 2003 743,903 739,335
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Banco Latinoamericano de Expor 7.2% 28 May 2002 762,735 735,953
Carolina Pwr & Lt Co Common Stock 813,545 730,500
Monsanto Co Common Stock 801,165 719,625
Finova Group Inc Common Stock 914,712 710,000
Federal Natl Mtg Assn REMIC 7.4688% 25 Aug 2022 697,125 696,212
Central & South West Corp Common Stock 928,099 686,000
National Semiconductor Corp Common Stock 428,177 676,438
Union Carbide Corp Common Stock 438,845 667,500
Firstplus Home Ln Owner Tr 6.61% 10 May 2020 699,827 667,184
American Express Cr Acct Tr 5.6% 15 Nov 2006 698,630 663,684
Residential Accredit Lns Inc 6.75% 25 Jun 2029 689,262 661,589
Pacific Centy Finl Corp Common Stock 782,142 659,669
Peoples Heritage Finl Group Common Stock 773,251 655,219
News Amer Hldgs Inc 10.125% 15 Oct 2012 683,040 650,664
Echostar Communications Corp Common Stock 297,937 643,500
Electronic Data Sys Corp Common Stock 618,115 629,213
Royal Dutch Pete Co Common Stock 446,457 628,550
Government Natl Mtg 1% 17 Feb 2029 592,470 626,393
United States Treas Bds 5.5% 15 Aug 2028 630,597 614,023
Federal Natl Mtg Assn REMIC 7.0687% 25 Feb 2009 615,967 612,998
Valero Energy Corp Common Stock 708,949 612,150
Astoria Finl Corp Common Stock 852,408 608,750
Comed Transitional Fdg Tr 5.63% 25 Jun 2009 654,682 606,851
Goodyear Tire and Rubber Common Stock 930,360 603,213
Starwood Hotels & Resorts Common Stock 611,261 582,800
Lyondell Chemical Co Common Stock 780,473 582,675
Sprint Cap Corp 6.9% 01 May 2019 629,418 582,067
Comcast Corp Common Stock 293,444 581,469
Atmel Corp Common Stock 250,285 579,425
Wisconsin Cent Transn Corp Common Stock 979,960 575,125
Federal Natl Mtg Assn GTD 0% 25 May 2022 455,907 574,438
Boeing Co Common Stock 586,405 573,563
Federal Home Ln Mtg Corp Common Stock 612,116 550,631
Ford Mtr Cr Co 7.375% 28 Oct 2009 553,957 547,924
Allegheny Energy Inc Common Stock 672,099 546,831
Worldcom Inc GA 6.95% 15 Aug 2028 580,518 544,776
Blockbuster Inc Common Stock 600,100 535,000
Structured Asset Secs Corp 6.6387% 25 Dec 2000 531,807 531,227
Raytheon Co 6.15% 01 Nov 2008 591,697 528,687
Aames Mortgage Trust 5.565% 15 Jun 2028 531,417 528,143
TCF Financial Corp Common Stock 484,792 522,375
Provident Finl Group Inc Common Stock 529,548 520,188
Entergy Corp Common Stock 604,973 517,575
FNMA Pool 523178 8.5% 01 Nov 2029 517,729 512,573
Railcar Tr No 7.75% 01 Jun 2004 536,500 511,575
Ralcorp Hldgs Inc 8.75% 15 Sep 2004 573,190 510,570
Student Ln Marketing Assn Mtn 9.4% 31 May 2002 517,549 510,157
PNC FDG Corp 7.5% 01 Nov 2009 509,690 500,682
First USA Cr Card TMaster Tr 5.9463% 15 Oct 2003 504,824 500,510
Chase Cr Card Master Tr 6.3% 15 Apr 2003 503,320 499,375
Barnes & Noble Inc Common Stock 778,304 499,125
Xerox Corp Medium Term NTS 5.545% 22 Jul 2037 501,563 495,950
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<PAGE>
Equifax Inc Common Stock 703,959 494,813
Private Expt Fdg Corp 6.45% 30 Sep 2004 499,605 491,835
Jones Apparel Group Inc Common Stock 525,151 490,963
Ford Mtr Cr Co 6.125% 28 Apr 2003 497,566 489,946
Bankamerica Corp 5.875% 15 Feb 2009 499,277 489,742
Leggett & Platt Inc Common Stock 539,864 488,775
Union Oil Co CA 7.35% 15 Jun 2009 509,400 486,450
New Jersey Economic Dev Auth 7.425% 15 Feb 2029 500,000 482,645
Chase Manhattan Corp 7% 15 Nov 2009 495,635 481,075
Pinnacle West Cap Corp Common Stock 577,718 476,775
Financial Sec Assur Hldgs Ltd Common Stock 481,564 474,338
Columbia / HCA Healthcare Corp Common Stock 403,599 471,931
Green Tree Finl Corp 7.35% 15 May 2027 469,486 469,413
Sun Life CDA US CAKP TR I 8.526% 29 May 2049 500,000 466,420
Teco Energy Inc Common Stock 511,334 465,919
Ford Mtr Cr Co 5.75% 23 Feb 2004 487,918 465,191
FNMA Pool 444397 6.5% 01 Nov 2028 473,224 462,482
Petroleum Geo Svcs A/S 6.625% 30 Mar 2008 497,905 462,280
CIT RV TR 6.09% 15 Feb 2012 469,949 458,936
Federal Home Ln Mtg Corp 1% 25 Oct 2016 312,500 455,000
3M Employee St Ownership Plan 5.62% 15 Jul 2009 489,771 453,983
Crescent Real Estate Equities Common Stock 537,281 453,863
Govt Natl Mtg Assn GTD REMIC 5.9962% 16 Jul 2029 454,132 450,614
FNMA Pool 494652 6.5% 01 May 2029 457,003 446,630
Residential Accredit Lns Inc 7% 25 Jul 2029 453,509 445,109
Nationslink FDG Corp 6.001% 20 Nov 2007 469,001 444,361
Comdisco Inc Common Stock 450,000 443,628
Allegheny Technologies Inc Common Stock 694,188 443,141
Federal Natl Mtg Assn REMIC 1% 25 Sep 2007 454,390 442,923
Alza Corp Common Stock 572,577 439,738
EOP Oper Ltd Partnership 6.376% 15 Feb 2002 449,330 439,479
Capital One Bank 6.76% 23 Jul 2002 450,000 439,416
Global Marine Inc Common Stock 311,816 438,900
Mellon Finl Co 9.25% 15 Aug 2001 452,248 434,154
Worldcom Inc GA 7.75% 01 Apr 2007 441,873 433,411
Susa Partnership LP 7.125% 01 Nov 2003 459,207 433,391
Vornado Rlty Tr Common Stock 488,598 425,750
Country Home Ln Inc 6.85% 15 Jun 2004 434,890 425,571
Regions Finl Corp Common Stock 490,235 422,100
Tyco Intl Group 6.375% 15 Jun 2005 448,160 421,551
Federal Home Ln Mtg Corp 5.8963% 15 Apr 2019 427,717 420,895
Exodus Communications Inc Common Stock 125,326 417,419
PG&E Corp Common Stock 610,666 414,100
Fed Hm Ln PC C27874 7% 01 Jun 2029 422,556 413,705
Federal Home Ln Mtg Corp 5.75% 15 Mar 2009 419,283 411,048
CIT Group Hldgs Inc MTN 7.125% 17 Jun 2002 419,094 409,602
Viacom Inc 7.75% 01 Jun 2005 409,448 402,612
California Infra & Economic 6.42% 26 Dec 2009 444,104 399,963
Charter One Finl Inc Common Stock 530,631 399,713
Dime Bancorp Inc Common Stock 561,127 397,788
Franklin Pk Fin Inc 5.7962% 15 May 2007 399,960 397,438
Consolidated Nat Gas Co Common Stock 331,007 396,119
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Hibernia Corp Common Stock 486,573 395,250
Compass Bancshares Inc Common Stock 428,414 390,469
Comm 1999 1 6.455% 15 Sep 2008 426,273 389,819
Sandisk Corp Common Stock 276,391 389,813
Federal Home Ln Mtg PC GTD 6% 15 May 2008 385,494 388,845
Tosco Corp 7.25% 01 Jan 2007 415,952 385,116
Agco Corp Common Stock 349,611 382,969
Norwest Asset Secs Corp 6.75% 25 Aug 2029 387,438 382,248
Ultramar Diamond Shamrock Common Stock 427,750 381,150
Safeway Inc Common Stock 497,158 380,519
Associates Corp North America 5.8% 20 Apr 2004 382,532 378,996
Federal Natl Mtg Assn GTD 0.01% 25 Jun 2008 368,113 371,634
CIT RV TR 5.96% 15 Apr 2011 369,897 363,695
Hilton Hotels Corp Common Stock 545,911 355,163
Harris Corp Common Stock 382,787 354,944
General Mtrs Accep Corp 5.85% 14 Jan 2009 377,596 353,384
Federal Natl Mtg Assn GTD 7.2687% 25 Apr 2029 349,901 348,509
Bombadier Cap Inc Med Trm Nts 7.3% 15 Dec 2002 349,552 348,280
Wal Mart Stores Inc 6.875% 10 Aug 2009 353,608 345,660
GMAC Coml Mtg Sec Inc 6.411% 15 Nov 2007 361,297 344,920
Transamerica Fin Corp 7.25% 15 Aug 2002 339,813 339,330
Simon Ppty Group Inc Common Stock 370,054 337,181
Greenpoint Finl Corp Common Stock 407,524 333,375
GNMA Pool 439497 7.5% 15 Feb 2027 343,006 329,319
Kroger Co Common Stock 313,734 328,425
Bear Stearns Cos Inc 6.25% 15 Jul 2005 349,783 327,198
Unilever N V Common Stock 495,523 326,625
Borg Warner Automotive Inc Common Stock 347,996 324,000
Delta Air Lines Inc 7.9% 15 Dec 2009 327,710 321,324
Knight Ridder Inc Common Stock 287,631 321,300
Ryder Sys Inc Common Stock 342,083 320,131
Diamond Technology Partner Inc Common Stock 63,944 317,969
Ford Capital BV 9.875% 15 May 2002 340,461 317,487
United States Treas Bds 6.375% 15 Aug 2027 363,225 316,955
General Semiconductor Inc Common Stock 179,407 316,381
PP & L Transition 6.72% 26 Dec 2005 319,983 316,182
Transocean Sedco Forex Inc Common Stock 0 315,008
Harman Intl Inds Inc Common Stock 241,372 314,300
Zurich Cap Trust 8.376% 01 Jun 2037 320,000 313,875
Skandinaviska Enskilda Banken 1% 29 Dec 2049 333,747 312,655
FNMA Pool 506543 6.5% 01 Jul 2029 319,557 312,304
Mirage Resorts Inc Common Stock 361,741 310,844
FNMA Pool 498065 6.5% 01 Jun 2029 317,805 310,591
FNMA Pool 503680 6.5% 01 Jun 2029 317,783 310,570
Global Crossing Ltd Common Stock 142,283 310,000
FNMA Pool 505509 6.5% 01 Jul 2029 316,605 309,419
FNMA Pool 503732 6.5% 01 Jul 2029 316,497 309,313
FNMA Pool 252497 6.5% 01 Jun 2029 316,259 309,080
United States Treas Bds 12% 15 Aug 2013 318,453 307,121
Automatic Data Processing Inc Common Stock 284,653 307,088
United States Treas Bds 5.25% 15 Nov 2028 328,752 304,788
Federal Home Ln Mtg PC GTD 9% 15 Jun 2020 305,996 303,517
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<PAGE>
Genuine Parts Co Common Stock 393,183 302,713
Vintage Pete Inc Common Stock 333,011 301,563
Vanderbilt Mtg & Fin Inc 1% 07 Feb 2012 299,625 299,931
United States Treas Nts 6.25% 30 Jun 2002 301,265 299,811
Vanderbilt Mtg & Fin Inc 1% 07 Jun 2009 299,953 299,694
Cendant Corp 7.75% 01 Dec 2003 299,484 299,280
Idacorp Inc Common Stock 355,637 297,619
Phoenix Technology Ltd Common Stock 163,906 297,275
Fed Hm Ln PC G10777 9% 01 Jun 2010 306,491 297,242
Countrywide Home Lns Inc MTN 5.62% 16 Oct 2000 300,000 297,057
Washington Mutual Inc 7.5% 15 Aug 2006 296,280 296,775
Daimler Chrysler Nortl Hldg Co 7.2% 01 Sep 2009 299,676 294,672
Lear Corp Common Stock 366,641 294,400
Abercrombie and Fitch Co Common Stock 378,720 293,563
Linear Technology Corp Common Stock 262,520 293,406
Abbey Natl PLC 6.7% 29 Jun 2049 306,101 293,088
Merrill Lynch & Co Inc 5.71% 15 Jan 2002 300,000 292,926
Emulex Corp Common Stock 89,967 292,500
Signet Helco Tr 6.7387% 20 Jun 2004 291,852 291,187
GMAC Coml Mtg Sec Inc 6.42% 15 Aug 2008 294,342 289,782
Noram Energy Corp 6.375% 01 Nov 2003 299,376 288,768
Peregrine Sys Inc Common Stock 60,686 286,238
LB Coml Conduit Mtg Tr 6.78% 15 Apr 2009 287,730 286,035
Continental Airls Pass Thru Tr 7.256% 15 Mar 2020 291,912 283,713
Ensco Intl Inc Common Stock 217,349 283,650
Morgan J P Coml Mtg Fin Corp 6.18% 15 Oct 2035 296,677 282,049
Xerox Cap Europe PLC 5.875% 15 May 2004 298,512 281,001
Goldman Sachs Group Inc 6.65% 15 May 2009 299,397 279,240
Dayton Hudson Corp Common Stock 234,264 279,063
GNMA Pool 473897 6.75% 15 May 2000 276,056 276,283
Corn Products Intl Inc Common Stock 290,504 275,100
NB CAP TR II 7.83% 15 Dec 2026 312,546 274,614
Associated Banc Corp Common Stock 259,412 274,000
Citigroup Cap II 7.75% 01 Dec 2036 305,895 273,354
FNMA Pool 398104 6.5% 01 Nov 2027 283,267 272,450
Southern Peru Ltd 7.9% 30 May 2007 300,000 269,525
Bayerische Landesbank 5.875% 01 Dec 2008 299,751 269,028
First UN Natl Bk Coml Mtg Tr 7.39% 15 Nov 2009 271,347 268,481
Federal Natl Mtg Assn REMIC 6.9188% 25 Mar 2009 272,515 268,366
TRW Inc 6.625% 01 Jun 2004 273,218 265,815
California Infr & Economic Dev 6.48% 26 Dec 2009 274,656 264,737
Cooper Cameron Corp Common Stock 180,835 264,263
Fleet Natl Bk Providence R I 5.75% 15 Jan 2009 300,216 263,511
Michael Foods Inc Common Stock 183,688 263,488
Adobe Sys Inc Common Stock 295,142 262,275
Coastal Corp Common Stock 242,806 262,238
Kellwood Co Common Stock 365,342 260,463
Qlogoc Corp Common Stock 27,786 255,800
First UN Natl Bank Chase 6.65% 15 Apr 2009 256,293 255,126
GNMA Pool 345036 7.5% 15 Oct 2023 263,596 253,896
Wellman Inc Common Stock 279,354 253,300
Huntington Bancshares Inc Common Stock 268,529 253,075
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Residential Fdg Mtg Secs 7.68% 25 Jan 2020 249,948 251,518
Williams Cos Inc 1% 15 Feb 2000 250,810 249,830
Equity Office Pptys Tr Common Stock 271,082 248,713
Comdisco Inc Mtg 6.32% 27 Nov 2000 250,000 248,680
Suntrust Bks Inc Common Stock 251,537 247,725
Park Pl Entmt Corp 7.95% 01 Aug 2003 248,200 247,585
General Mtrs Accep Corp 6.85% 17 Jun 2004 249,928 246,385
Duke Realty Ltd Partnership 7.3% 30 Jun 2003 249,785 245,940
Washington Fed Inc Common Stock 289,775 244,900
TCI Communications inc 8.65% 15 Sep 2004 264,169 243,986
FNMA REMIC TR 1999 TI 6% 25 Jan 2039 236,582 243,515
Mercury Gen Corp Common Stock 396,216 242,525
Applied Micor Circuits Corp Common Stock 19,214 241,775
Eastern Enterprises Common Stock 168,273 241,238
Occidental Pete Corp 6.4% 01 Apr 2003 256,885 241,035
Transcanada Pipelines Ltd 6.43% 15 Mar 2004 245,385 240,150
Mead Corp Common Stock 234,445 238,906
General Motors Accep Corp 5.75% 10 Nov 2003 249,035 238,040
Regency Centers L P 7.4% 01 Apr 2004 249,805 237,003
Mellon Finl Co 5.75% 15 Nov 2003 249,538 236,985
Amsouth Bancorporation Common Stock 274,591 235,601
Consolidated Papers Inc Common Stock 208,982 235,413
FNMA Pool 313712 6% 01 Sep 2012 235,901 235,052
Highwoods Realty Ltd Parnter 7% 01 Dec 2006 255,715 234,328
Triquint Semiconductor Inc Common Stock 75,564 233,625
Quaker St Corp 6.625% 15 Oct 2005 253,643 233,610
Onyx Accep Owner Tr 7% 15 Nov 2004 234,942 233,604
Lilly Eli & Co 6.77% 01 Jan 2036 243,924 233,290
Insight Enterprises Inc Common Stock 72,392 233,066
Lehman Bros Inc 6.625% 15 Feb 2008 235,093 231,955
Residential Fdg Mtg Secs II 6.6238% 20 Sep 2022 231,484 231,098
Hertz Corp 6.5% 15 May 2006 231,629 227,170
Mercury Interactive Corp Common Stock 33,822 226,669
LB Coml Conduit Mtg Tr 6.41% 15 Aug 2007 228,500 226,536
Tesoro Pete Corp Common Stock 265,792 224,313
Pinnacle Sys Inc Common Stock 103,324 223,781
Dominion Res Inc Common Stock 236,459 223,725
Polycom Inc Common Stock 44,008 222,906
Nabors Industries Inc Common Stock 144,517 222,750
Beneficial Home Equity Ln Tr 5.5871% 28 Apr 2026 223,216 222,639
Enron Corp 6.725% 17 Nov 2008 242,926 222,207
Greyhound Lines Inc 11.5% 15 Apr 2007 231,000 222,000
Citibank Cr Card Master Tr I 6.65% 15 Nov 2006 224,791 220,358
Green Tree Finl Corp 6.04% 01 Nov 2029 221,977 220,289
Lubrizol Corp Common Stock 186,662 219,213
Norwest Finl Inc 5.625% 03 Feb 2009 248,980 218,985
Saxon Asset Secs Tr 0.99% 25 Sep 2030 219,983 218,625
Exar Corp Common Stock 67,063 217,838
EQCC Home Equity Ln Tr 7.067% 25 Jan 2025 220,000 217,730
Clear Channel Communications 6.625% 15 Jun 2008 242,487 217,594
Money Store Tr 7% 15 Apr 2028 225,800 216,702
Minnesota Mng & Mfg Co Common Stock 206,382 215,325
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Human Genome Sciences Inc Common Stock 119,183 213,675
DLJ Coml Mtg Corp 1% 10 Jun 2009 212,984 212,285
Honda Auto Lease Tr 6.65% 15 Jul 2005 209,938 209,273
Continental Airls pass Thru 6.545% 02 Feb 2019 215,173 208,948
Kulicke & Soffa Inds Inc Common Stock 83,497 208,556
May Dept Stores Co 5.95% 01 Nov 2008 231,357 208,546
Quantum Corp Common Stock 228,948 207,778
Hrpt Pptys Tr 6.7% 23 Feb 2005 213,153 207,764
North Fork Bancorporation Inc Common Stock 253,496 206,500
Lehman Brothers Hldgs Inc 6.625% 27 Dec 2002 212,871 205,561
Times Mirror Co 7.45% 15 Oct 2009 204,731 203,723
Federal Home Ln Mtg Corp 5.9463% 15 Feb 2023 203,322 203,206
Mid State TR VI 7.79% 01 Jul 2035 214,776 202,899
Manor Care Inc Common Stock 322,289 201,600
Mercantile Bankshares Corp Common Stock 203,455 201,206
Dean Witter Discover & Co 6.25% 15 Mar 2000 201,168 200,008
Hertz Corp 7.625% 15 Aug 2007 203,216 199,976
Dallas Semiconductor Corp Common Stock 119,154 199,756
Williams Communications Group Common Stock 158,700 199,669
Rayonier Inc Common Stock 178,475 198,081
MSC Indl Direct Inc Common Stock 150,833 197,425
MCI Communications Corp 6.125% 15 Apr 2002 199,466 196,756
Franchise Fin Corp America 8.25% 30 Oct 2003 199,798 196,336
ERP Oper Ltd Partnership 7.57% 15 Aug 2026 200,000 195,714
Procter & Gamble Co 6.875% 15 Sep 2009 198,211 195,370
Continental Airls Pass Thru 7.434% 15 Sep 2004 200,000 195,230
Cooper Tire and Rubber 7.75% 15 Dec 2009 198,100 195,104
Hershey Foods Corp Common Stock 252,581 194,750
Prologis Tr Common Stock 194,743 194,425
Tektronix Inc Common Stock 185,490 194,375
Quebec Prov CDA 7.5% 15 Sep 2029 199,966 193,874
Silicon Vy Group Inc Common Stock 173,296 193,475
Abitibi Consolidated Inc 7.875% 01 Aug 2009 199,764 192,670
GNMA Pool 472821 7% 15 Aug 2000 192,172 191,360
Kaiser Alum Corp Common Stock 254,301 190,650
Advanta Mtg Ln TR 6.33% 25 Aug 2019 194,523 190,438
Macromedia Inc Common Stock 52,403 190,125
Alliant Corp Common Stock 202,277 189,750
Bankamerica Corp 5.75% 01 Mar 2004 192,000 189,548
Scotts Co Common Stock 148,755 189,175
ANRC Auto Owner TR 6.94% 17 Apr 2006 189,971 188,997
Burlington Northn Santa Fe Cor 6.375% 15 Dec 2005 207,388 188,980
FNMA Pool 252715 6.5% 01 Sep 2029 191,269 188,455
Peco Energy Co Common Stock 146,799 187,650
Texas Inds Inc Common Stock 162,834 187,275
CMS Energy Corp Common Stock 270,991 187,125
Proxim Inc Common Stock 48,347 187,000
U S Dept Veteran Affairs REMIC 0.9504% 15 Sep 2022 201,954 186,788
Cognizant Technology Solutions Common Stock 65,532 185,831
King Pharmaceuticals Inc Common Stock 84,537 185,006
Penn Engr & Mfg Corp Common Stock 210,330 185,000
Cordant Technologies Inc Common Stock 168,611 184,800
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RF Micro Devices Inc Common Stock 19,685 184,781
Southwest Airls Co Common Stock 210,035 184,538
Citadel Communications Corp Common Stock 56,157 181,650
Northwest Airlines Pass Thru 6.81% 01 Feb 2020 199,831 180,122
Actuate Corp Common Stock 52,431 180,075
FNMA Pool 280117 6% 01 Apr 2009 180,677 179,193
MBNA Master Cr Card TR II 6.6% 15 Nov 2004 179,810 178,875
Transwitch Corp Common Stock 40,624 177,778
FNMA Pool 283657 6% 01 Mar 2009 179,200 177,728
Pentair Inc Common Stock 167,986 177,100
Arthrocare Corp Common Stock 120,172 176,900
Lockheed Martin Corp 7.25% 15 May 2006 192,835 176,464
Structural Dynamics Resh Corp Common Stock 183,408 175,950
Russ Berrie & Co Inc Common Stock 154,092 175,875
Bancwest Corp Common Stock 205,674 175,500
Kaufman & Broad Home Corp Common Stock 165,376 174,150
Caterpillar Inc Common Stock 169,693 174,131
Proxicom Inc Common Stock 92,359 174,038
Invitrogen Corp Common Stock 88,698 174,000
WPS Res Corp Common Stock 196,227 173,363
Alberto Culver Co Common Stock 159,828 172,944
California Water Service GRP Common Stock 153,890 172,781
AAR Corp Common Stock 221,905 172,200
Webb Del Corp Common Stock 164,398 172,069
Longs Drug Stores Corp Common Stock 195,322 170,363
Zale Corp Common Stock 106,647 169,313
Protective Life Corp Common Stock 183,852 168,606
Helmerich and Payne Inc Common Stock 177,860 167,956
Covad Communications Group Inc Common Stock 184,275 167,813
DSP Group Inc Common Stock 131,992 167,400
Moog Inc Common Stock 211,208 167,400
Dendrite Intl Inc Common Stock 105,528 165,988
Invacare Corp Common Stock 194,444 164,513
Credence Systems Corp Common Stock 102,025 164,350
Cabot Corp Common Stock 204,863 163,000
Meditrust Common Stock 480,458 161,700
PRI Automation Inc Common Stock 94,856 161,100
CK Witco Corp Common Stock 179,827 161,035
Wolverine Tube Inc Common Stock 173,247 161,025
Sola Intl Inc Common Stock 169,946 160,950
Advanced Digital Information Common Stock 97,968 160,463
Regis Corp Minnesota Common Stock 146,884 160,438
Modine Mfg Co Common Stock 156,916 160,000
Usec Inc Common Stock 328,405 159,600
Alltrista Corp9 Common Stock 170,097 159,300
Ryerson Tull Inc Common Stock 175,047 158,902
Arvin Inds Inc Common Stock 189,335 158,900
Montana Pwr Co Common Stock 141,424 158,675
QRS Corp Common Stock 69,726 157,500
Tech Data Corp Common Stock 132,825 157,325
DTE Energy Co Common Stock 168,039 156,875
Oshkosh Truck Corp Common Stock 54,560 156,822
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<PAGE>
Airborne Fght Corp Common Stock 192,691 156,200
Partnerre Ltd Common Stock 188,488 155,700
Chesapeake Corp Common Stock 166,811 155,550
Edison Intl Common Stock 170,717 154,506
Bergen Brunswig Corp Common Stock 248,254 153,781
Power Integrations Common Stock 39,883 153,400
Oneida Ltd Common Stock 122,978 153,338
BJS Whsl Club Inc Common Stock 62,986 153,300
Kelly Svcs Inc Common Stock 186,199 153,263
Cytec Inds Inc Common Stock 165,471 152,625
Fleetwood Enterprises Inc Common Stock 232,768 152,625
Talbots Inc Common Stock 71,550 151,725
FNMA Pool 287310 6% 01 May 2009 152,637 151,384
Bowne & Co Inc Common Stock 200,838 151,200
Varco Intl Inc Common Stock 163,075 150,775
Ucar Intl Inc Common Stock 217,849 149,625
Andrew Corp Common Stock 138,715 149,606
Steris Corp Common Stock 177,941 149,531
Supertex Inc Common Stock 82,818 149,388
Schweitzer Mauduit Intl Inc Common Stock 234,159 149,156
Household Fin Corp 6% 01 May 2004 150,164 148,128
Citibank Cr Card Master TR I 6.3231% 15 Aug 2006 148,913 147,920
Beckman Coulter Inc Common Stock 144,140 147,538
Alaska Air Group Inc Common Stock 158,620 147,525
TIimes Mirror Co Common Stock 132,541 147,400
Getty Images Inc Common Stock 125,361 146,625
Scientific Games Hldgs Corp Common Stock 170,891 145,750
Bear Stearns Cos Inc Common Stock 136,317 145,350
Mueller Inds Inc Common Stock 102,940 145,000
Bio Rad Laboratories Inc Common Stock 153,719 144,925
New jersey Res Corp Common Stock 132,082 144,531
Millennium Chemicals Inc Common Stock 198,569 144,175
Bob Evans Farms Inc Common Stock 178,842 143,569
Liberty Property Common Stock 141,332 143,075
TD Waterhouse Group Inc Common Stock 115,488 143,006
Public Svc Co NM Common Stock 154,810 143,000
Ruddick Corp Common Stock 171,108 142,600
Commercial Metals Co Common Stock 134,523 142,538
Brinker Intl Inc Common Stock 93,496 141,600
American Natl Ins Co Common Stock 197,306 140,250
Anixter Intl Inc Common Stock 118,252 140,250
Granite Constr Inc Common Stock 128,387 140,125
Perrigo Co Common Stock 196,159 140,000
Alexander & Baldwin Inc Common Stock 164,700 139,156
Russell Corp Common Stock 253,307 139,025
Toro Co Common Stock 152,109 138,056
C Cor Net Corporation Common Stock 78,964 137,925
Post Ppyts Inc Common Stock 144,405 137,700
Avalonbay Cmntys Inc Common Stock 138,814 137,250
Cooper Tire & Rubr Co Common Stock 186,511 136,950
Michaels Stores Inc Common Stock 156,583 136,800
Cognex Corp Common Stock 93,802 136,500
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<PAGE>
Esterline Technologies Corp Common Stock 180,048 136,438
Silicon Storage Technology Inc Common Stock 92,334 136,125
Hutchinson Technology Inc Common Stock 185,822 136,000
Smith Intl Inc Common Stock 118,139 134,156
Regal Beloit Corp Common Stock 133,724 134,063
Whittman Hart Inc Common Stock 35,137 134,063
Harmonic Inc Common Stock 76,473 132,913
Hussmann Intl Inc Common Stock 132,404 132,550
CMP Group Inc Common Stock 92,199 132,300
RTI Intl Metals Inc Common Stock 223,761 132,000
Horace Mann Educators Corp Common Stock 175,590 131,488
Westamerica Bancorporation Common Stock 143,169 131,306
Quanex Corp Common Stock 152,698 130,050
Harleysville Group Inc Common Stock 167,463 129,675
Solutia Inc Common Stock 170,311 129,675
Universal Health Svcs Inc Common Stock 161,250 129,600
First Rep Bk San Francisco CA Common Stock 164,090 129,250
Bindview Dev Corp Common Stock 69,788 129,188
Henry Schein Inc Common Stock 130,244 129,131
Burlington Coat Factory Whse Common Stock 149,345 129,038
Fuller H B Co Common Stock 117,900 128,656
Exchange Applications Inc Common Stock 51,150 128,513
Aztar Corp Common Stock 81,091 128,325
Du Pont E I de Nemours & Co 6.75% 15 Oct 2004 129,644 128,296
Intraware Inc Common Stock 68,071 127,900
Nomura Asset Secs Corp 6.59% 17 Mar 2028 129,674 127,013
Zomax Optical Media Inc Common Stock 72,448 126,700
Usinternetworking Inc Common Stock 94,259 125,775
Block Drug Inc Common Stock 172,823 125,740
Sagent Technology inc Common Stock 84,814 125,738
Legato Systems inc Common Stock 13,948 123,863
FNMA Pool 266975 6% 01 Feb 2009 124,870 123,844
Interface inc Common Stock 227,692 123,625
Ralcorp Hldgs Inc Common Stock 120,427 123,613
Advanced Energy Inds Inc Common Stock 82,426 123,125
Everest Reinsurance Hldgs Common Stock 190,755 122,719
Cysive Inc Common Stock 93,586 122,506
Premier Auto TR 5.82% 08 Oct 2003 122,607 121,875
Pepsi Bottling Hldgs inc 5.375% 17 Feb 2004 123,391 121,850
Kemet Corp Common Stock 85,900 121,669
Webtrends Corp Common Stock 75,581 121,500
United States Tres SC STRP INT 0.01% 15 Aug 2012 125,816 121,025
Rhythms Netconnections Inc Common Stock 121,949 120,900
PC Connection Inc Common Stock 67,307 120,750
First American Finl Corp Common Stock 174,323 120,644
CTS Corp Common Stock 84,851 120,600
U S West Communications Inc 7.2% 01 Nov 2004 119,772 119,576
Comcast Cable Communications 8.875% 01 May 2017 121,007 119,182
Broadvision Inc Common Stock 12,381 119,044
Avista corp Common Stock 168,291 118,869
Wellpoint Health Networks Inc Common Stock 128,413 118,688
Stride Rite Corp Common Stock 189,411 118,300
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<PAGE>
Healthsouth Corp Common Stock 317,918 118,250
Anadigics Inc Common Stock 60,436 117,969
Southwestern Energy Co Common Stock 222,705 117,469
Powerwave Technologies Inc Common Stock 79,016 116,750
Wicor Inc Common Stock 90,535 116,750
Silknet Software Inc Common Stock 79,072 116,025
Advent Software Inc Common Stock 74,475 115,988
Duke Weeks Rlty Corp Common Stock 139,151 115,752
Digital Lightwave Inc Common Stock 94,425 115,200
Pepsi Bottling Hldgs Inc 5.625% 17 Feb 2009 125,371 114,552
Unit Corp Common Stock 99,382 113,775
Kaman Corp Common Stock 136,939 113,300
New Plan Excel Rlty Tr Inc Common Stock 139,512 112,269
Merrill Lynch Mtg Invs Inc 1% 15 Jun 2021 119,469 111,265
Zoll Med Corp Common Stock 86,037 110,744
Hubbell Inc Common Stock 154,868 109,000
Express Scripts inc Common Stock 49,588 108,800
Standard Register Common Stock 181,228 108,500
Titan Corp Common Stock 95,699 108,388
GBC Bancorp Calif Common Stock 106,400 108,150
Iomega Corp Common Stock 129,090 108,000
FNMA Pool 393419 7% 01 Aug 2012 108,852 107,241
K Mart Corp Common Stock 171,190 106,663
CEC Entmt Inc Common Stock 90,333 106,406
FNMA Pool 263006 6% 01 Jan 2009 107,258 106,377
Northpoint Communications Hldg Common Stock 160,133 105,600
Beneficial Home Equity Ln TR 5.6271% 28 Mar 2025 105,457 105,276
Act Mfg Inc Common Stock 73,780 105,000
Celgene Corp Common Stock 92,913 105,000
Bay View Cap Corp Common Stock 223,366 104,988
MKS Instrs inc Common Stock 61,432 104,763
Molecular Devices Corp Common Stock 55,973 104,000
Allaire Corp Common Stock 78,188 102,419
Whole Foods Mkt Inc Common Stock 86,570 102,025
Reliance Stl & Alum Co Common Stock 88,210 101,953
Doubleclick Inc Common Stock 54,095 101,225
Cole Kenneth Prodtns Inc Common Stock 99,967 100,650
Extreme Networks inc Common Stock 82,645 100,200
United States Treas Nts 5.875% 15 Feb 2000 100,164 100,047
Central VT Public Service Common Stock 138,004 99,875
Marlin Wtr Tr/ Marlin Wtr Cap 7.09% 15 Dec 2001 100,000 98,166
Chicos Fas Inc Common Stock 87,484 97,825
Ryder Sys Inc Mtg Bk Ent 6.88% 17 Jun 2002 100,000 97,805
Albany Intl Corp Common Stock 137,093 97,656
Civic Bancorp Common Stock 105,747 97,650
Cost Plus Inc Calif Common Stock 70,687 96,188
Tetra Tech Inc Common Stock 75,761 96,017
Marsh & McLennan Cos Inc Common Stock 66,057 95,688
PC Tel Inc Common Stock 83,083 94,500
Carrier Access Corp Common Stock 65,064 94,238
Medicis Pharmaceutical Corp Common Stock 61,423 93,638
Harrahs Oper Inc 7.5% 15 Jan 2009 97,350 93,370
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<PAGE>
Unify Corp Common Stock 91,324 93,075
Norsk Hydro A S 6.7% 15 Jan 2018 93,269 92,726
Bluestone Software Inc Common Stock 71,740 92,000
Rock Tenn Co Common Stock 104,522 91,450
Torchmark Inc Common Stock 88,875 90,094
Professional Detailing Inc Common Stock 89,104 89,813
Newfield Expl Co Common Stock 68,904 88,275
Ltx Corp Common Stock 48,634 87,263
Dollar Tree Stores Inc Common Stock 38,638 87,188
Citrix Sys Inc Common Stock 64,866 86,100
Countrywide Fdg Corp Mtg 6.25% 15 Apr 2009 94,491 85,744
Varian Inc Common Stock 74,734 85,500
Enhance Finl Svcs Group Inc Common Stock 100,581 84,500
Urban Outfitters Inc Common Stock 73,207 84,463
USWeb Corp Common Stock 65,292 84,431
Humana Inc Common Stock 171,816 84,331
Concord EFS Inc Common Stock 35,959 83,688
Blyth Inds Inc Common Stock 87,507 82,284
Apple Computer Common Stock 31,243 82,250
Morgan Guaranty Trust Co of NY 1% 31 Dec 2000 82,014 82,014
Fresh Del Monte Produce Common Stock 168,049 80,100
Cinergy Corp Common Stock 100,412 79,613
P F Chang's China Bistro Inc Common Stock 82,678 79,600
Ahl Svcs Inc Common Stock 116,543 79,325
Empire Dist Elec Co Common Stock 77,210 79,188
Fremont Gen Corp Common Stock 245,464 78,913
Verio Inc Common Stock 87,852 78,519
Hexcel Corp Common Stock 298,401 77,875
Mark IV Inds Inc Common Stock 61,297 77,825
Southern Co Common Stock 85,379 77,550
Litton Inds Inc Common Stock 66,552 74,813
Cleveland Cliffs Inc Common Stock 103,996 74,700
U S Dept Veteran Affairs REMIC 1% 15 Sep 2024 76,528 74,221
Scansource Inc Common Stock 69,629 73,013
Paccar Inc Common Stock 67,041 70,900
Alberta Energy Ltd Preferred Stock 72,500 68,875
Noven Pharmaceuticals Inc Common Stock 54,700 68,875
Phelps Dodge Corp Common Stock 49,894 68,803
Medquist Inc Common Stock 63,523 67,113
Southdown Inc Common Stock 58,185 67,113
Acme Communications Inc Common Stock 71,479 66,500
AVT Corp Common Stock 43,625 65,800
AnnTaylor Stores Corp Common Stock 48,809 65,431
Gymboree Corp Common Stock 167,079 65,250
Quanta Services Inc Common Stock 78,484 64,975
Washington Post Co Common Stock 64,314 63,926
Liberty Ppty Ltd Partnership 6.6% 05 Jun 2002 63,146 63,902
NCO Group Inc Common Stock 80,117 63,263
Read Rite Corp Common Stock 216,711 62,700
Mobile Mini Inc Common Stock 61,168 62,350
Disney Walt Co Common Stock 54,327 61,425
ESG RE Ltd Common Stock 183,600 61,050
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<PAGE>
Advance paradiam Inc Common Stock 69,728 60,375
Vendee Mtg Tr 0.4353% 15 Feb 2026 70,078 60,012
Brush Wellman Inc Common Stock 87,491 58,844
Argonaut Group Inc Common Stock 68,165 55,650
Curtiss Wright Corp Common Stock 40,214 55,313
Pegasus Sys Inc Common Stock 41,841 54,281
United Rentals Inc Common Stock 83,669 53,088
Felcor Lodging Tr Inc Common Stock 71,430 52,500
FNMA Pool 275770 6% 01 Mar 2009 50,061 49,650
Genzyme Corp Common Stock 52,064 49,500
FNMA Pool 275059 6% 01 Mar 2009 49,248 48,637
Bebe Stores Inc Common Stock 60,424 45,900
Thomas Inds Inc Common Stock 47,076 44,963
Schuler Homes Inc Common Stock 40,538 44,850
Waste Connections Inc Common Stock 57,556 44,756
GNMA II Pool 080094 6.625% 20 Jul 2027 41,074 41,242
Nortel Networks Corp Common Stock 39,389 40,400
Penney J C Inc Common Stock 76,136 37,881
Northwest Airls Corp Common Stock 47,154 37,825
GNMA Pool 473898 6.75% 15 Feb 2009 37,044 37,044
R & B Falcon Corp Common Stock 55,104 34,450
IMC Global Inc Common Stock 43,289 34,388
FNMA Pool 276664 6% 01 Mar 2009 33,949 33,670
U S Dept Veterans Affairs GTD 0.0701% 15 Jun 2026 42,100 31,797
Optical Coating Lab Inc Common Stock 4,525 29,600
FNMA Pool 390375 7% 01 Jul 2012 25,807 25,425
U S Dept Veteran Affairs REMIC 0.0524% 15 Jun 2024 22,190 22,144
Ingersoll Rand Co Common Stock 21,981 22,025
Golden West Finl Corp Common Stock 18,506 20,100
Siebel Sys Inc Common Stock 16,342 16,800
Unicom Corp Common Stock 9,705 10,050
Travelers Ppty Cas Corp Common Stock 5,863 6,850
Constellation Energy Group Inc Common Stock 5,657 5,800
Federal Natl Mtg Assn REMIC 99.99% 25 Apr 2019 9,322 5,581
Mandalay Resort Group Common Stock 4,673 4,025
Paine Webber Group Inc Common Stock 3,918 3,881
Safeco Corp Common Stock 2,346 2,488
Water Pik Tech Inc Common Stock 60 48
Teledyne Technologies Inc Common Stock 71 47
Genzyme Corp Common Stock 0 4
--------------- ---------------
$ 3,056,494,802 $ 4,002,157,293
=============== ===============
*Party-in-Interest
</TABLE>
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<PAGE>
Exhibit 1
---------
INDEPENDENT AUDITORS' CONSENT
We consent to the incorporation by reference in Registration Statement No.
33-59853 of Northrop Grumman Corporation on Form S-8 of our report dated June
22, 2000, appearing in this Annual Report on Form 11-K of the Northrop Grumman
Savings and Investment Plan for the year ended December 31, 1999.
/s/ Deloitte & Touche LLP
--------------------------
Deloitte & Touche LLP
Los Angeles, California
June 28, 2000
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