-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, N/75yUZ3fPDctqBDgFTyZ9MMtFe3IgTIW67Ilq+8nE/tiUTmJCztDI2e1MK7ijTi v0zn9dELobSvKcxK95/CRQ== 0001072613-02-000010.txt : 20020413 0001072613-02-000010.hdr.sgml : 20020413 ACCESSION NUMBER: 0001072613-02-000010 CONFORMED SUBMISSION TYPE: 13F-HR/A PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 20010930 FILED AS OF DATE: 20020107 FILER: COMPANY DATA: COMPANY CONFORMED NAME: GMO TRUST CENTRAL INDEX KEY: 0000772129 STANDARD INDUSTRIAL CLASSIFICATION: [] STATE OF INCORPORATION: MA FISCAL YEAR END: 0831 FILING VALUES: FORM TYPE: 13F-HR/A SEC ACT: 1934 Act SEC FILE NUMBER: 028-03377 FILM NUMBER: 2503091 BUSINESS ADDRESS: STREET 1: 40 ROWES WHARF CITY: BOSTON STATE: MA ZIP: 02110 BUSINESS PHONE: 6173307500 MAIL ADDRESS: STREET 1: 40 ROWES WHARF CITY: BOSTON STATE: MA ZIP: 02110 FORMER COMPANY: FORMER CONFORMED NAME: GMO CORE TRUST DATE OF NAME CHANGE: 19900927 13F-HR/A 1 form13fa_10865.txt AMENDED FORM 13F-HR UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: September 30, 2001 Check here if Amendment [X]; Amendment Number: One This Amendment (Check only one.): [ ] is a restatement. [ ] adds new holdings entries. Institutional Investment Manager Filing this Report: Name: Grantham, Mayo, Van Otterloo & Co. Address: 40 Rowes Wharf Boston, MA 02110 13F File Number : 028-03377 The institutional investment manager filing this report and the person by whom it is signed hereby represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists, and tables, are considered integral parts of this form. Person Signing this Report on Behalf of Reporting Manager: Name: Forrest Berkley Title: Member Phone:(617) 346-7617 Signature, Place and Date of Signing: /s/ Forrest Berkley Boston, MA November 1, 2001 --------------------------------------------- Report Type (Check only one.): [X] 13F HOLDINGS REPORT. [ ] 13F NOTICE. [ ] 13F COMBINATION REPORT. List of Other Managers Reporting for this Manager: Strategic Investment Management International I AM SIGNING THIS REPORT AS REQUIRED BY THE SECURITIES AND EXCHANGE ACT OF 1934. FORM 13F SUMMARY PAGE Report Summary: Number of Other Managers Included: 1 Form 13F Information Table Entry Total: 1542 Form 13F Information Table Value Total: 6707842 List of Other Included Managers: No. 13F File Number Name 01 28-2495 Strategic Investment Management International
FORM 13F INFORMATION TABLE VALUE SHARES/ SH/ PUT/ INVSTMT -----VOTING AUTHORITY----- NAME OF ISSUER -TITLE OF CLASS- --CUSIP-- (x$1000) PRN AMT PRN CALL DSCRETN -MANAGERS- SOLE SHARED NONE ABBOTT LABS COMMON 002824100 18070 348500 SH OTHER 280000 0 68500 ABITIBI-CONSOLIDATED COMMON 003924107 2121 332500 SH SOLE 252500 0 80000 ACE LTD COMMON G0070K103 11591 401500 SH OTHER 329000 5000 67500 AES CORP COM COMMON 00130H105 2244 175000 SH OTHER 132500 5000 37500 AETNA U S HEALTHCARE COMMON 00817Y108 5240 181368 SH OTHER 155568 0 25800 AGERE SYS INC CL A COMMON 00845V100 976 235700 SH SOLE 235700 0 0 AGILENT TECHNOLOGIES COMMON 00846U101 2053 105000 SH SOLE 67500 0 37500 ALBERTSONS INC COMMON 013104104 638 20000 SH SOLE 20000 0 0 ALCAN ALUMINIUM LTD COMMON 013716105 1035 34500 SH SOLE 34500 0 0 ALLSTATE COMMON 020002101 4682 125360 SH OTHER 100360 1500 23500 AMB PPTY CORP COM COMMON 00163T109 1409 57500 SH SOLE 57500 0 0 AMBAC INC COM COMMON 023139108 274 5000 SH SOLE 0 5000 0 AMERADA HESS CORP COMMON 023551104 3175 50000 SH SOLE 45000 0 5000 AMERICAN EXPRESS COMMON 025816109 956 32900 SH OTHER 26400 5000 1500 AMERICAN GREETINGS CO COMMON 026375105 3509 265000 SH OTHER 215000 0 50000 AMERICAN HOME PRODS C COMMON 026609107 291 5000 SH SOLE 0 5000 0 AMERICAN INTL GROUP COMMON 026874107 7270 93200 SH OTHER 78200 2500 12500 AMR CORP COMMON 001765106 2144 112000 SH OTHER 91200 0 20800 ANADARKO PETE CORP COMMON 032511107 9635 200403 SH OTHER 165038 0 35365 ANHEUSER BUSCH COS IN COMMON 035229103 3665 87500 SH OTHER 77400 0 10100 AOL TIME WARNER COMMON 00184A105 497 15000 SH SOLE 0 15000 0 AON CORP COMMON 037389103 30660 730000 SH OTHER 600000 0 130000 APARTMENT INVT & MGMT COMMON 03748R101 5748 127000 SH SOLE 127000 0 0 ARCHER DANIELS MIDLAN COMMON 039483102 3927 311875 SH OTHER 244125 0 67750 ARCHSTONE CMNTYS TR S COMMON 039581103 3263 125000 SH SOLE 125000 0 0 ARDEN RLTY INC COM COMMON 039793104 1662 65000 SH SOLE 65000 0 0 AT & T CORP. COMMON 001957109 3554 184161 SH OTHER 160186 0 23975 AT & T WIRELESS COM COMMON 00209A106 4858 325146 SH OTHER 262345 10000 52801 AUTOMATIC DATA PROCES COMMON 053015103 235 5000 SH SOLE 5000 0 0 AVALONBAY CMNTYS INC COMMON 053484101 860 18000 SH SOLE 18000 0 0 AVNET COMMON 053807103 10185 559900 SH OTHER 442400 0 117500 BAKER HUGHES INC COMMON 057224107 1013 35000 SH SOLE 35000 0 0 BANK OF AMERICA COMMON 060505104 4452 76234 SH OTHER 68734 0 7500 BANK ONE CORP COMMON 06423A103 4260 135374 SH OTHER 117874 7500 10000 BAXTER INTL INC COMMON 071813109 798 14500 SH SOLE 14500 0 0 BECTON DICKINSON & CO COMMON 075887109 8788 237500 SH SOLE 185000 0 52500 BEDFORD PPTY INVS INC COMMON 076446301 1822 90000 SH SOLE 90000 0 0 BLACK & DECKER CORP COMMON 091797100 2848 91275 SH OTHER 78075 0 13200 BLOCK H & R INC COMMON 093671105 46658 1210000 SH OTHER 1004500 0 205500 BMC SOFTWARE INC COMMON 055921100 2445 192500 SH OTHER 159000 0 33500 BOEING CO COMMON 097023105 980 29258 SH SOLE 29258 0 0 BOSTON PROPERTIES COMMON 101121101 4907 128700 SH OTHER 127700 0 1000 BOSTON SCIENTIFIC COR COMMON 101137107 1230 60000 SH SOLE 37500 0 22500 BP PLC ADS COMMON 055622104 492 10000 SH SOLE 10000 0 0 BRANDYWINE RLTY TR SH COMMON 105368203 17864 837500 SH SOLE 717500 0 120000 BRE PPTYS INC CL A COMMON 05564E106 599 20000 SH SOLE 20000 0 0 BRISTOL MYERS SQUIBB COMMON 110122108 417 7500 SH SOLE 7500 0 0 BROOKFIELD PPTYS CORP COMMON 112900105 1916 105000 SH SOLE 105000 0 0 BURLINGTON RESOURCES COMMON 122014103 3079 90000 SH SOLE 66500 0 23500 CABOT OIL & GAS CORP COMMON 127097103 1724 86400 SH SOLE 73900 0 12500 CAMDEN PPTY TR SH BEN COMMON 133131102 1057 28500 SH SOLE 28500 0 0 CANADIAN PAC LTD NEW COMMON 135923100 4733 147500 SH OTHER 119000 0 28500 CAPITAL ONE FINL CORP COMMON 14040H105 230 5000 SH SOLE 0 5000 0 CARRAMERICA RLTY CORP COMMON 144418100 689 23000 SH SOLE 23000 0 0 CATELLUS DEV CORP COM COMMON 149111106 1573 90000 SH SOLE 90000 0 0 CATERPILLAR INC COMMON 149123101 336 7500 SH SOLE 7500 0 0 CBL & ASSOC PPTYS INC COMMON 124830100 1003 36800 SH SOLE 36800 0 0 CHATEAU CMNTYS INC CO COMMON 161726104 1502 51000 SH SOLE 51000 0 0 CHELSEA PROPERTY GROU COMMON 163421100 909 20000 SH SOLE 20000 0 0 CHEVRON CORP COMMON 166751107 466 5500 SH OTHER 300 5000 200 CIGNA CORP COMMON 125509109 680 8200 SH OTHER 4700 3500 0 CINERGY CORP COMMON 172474108 4322 140000 SH OTHER 124000 2500 13500 CISCO SYS INC COMMON 17275R102 152 12500 SH SOLE 0 12500 0 CITIGROUP INC. COMMON 172967101 25770 636298 SH OTHER 515598 17500 103200 CNA FINL CORP COMMON 126117100 771 28500 SH SOLE 28500 0 0 COCA COLA COMMON 191216100 2343 50000 SH OTHER 47500 2500 0 COCA COLA ENTERPRISES COMMON 191219104 2953 192500 SH SOLE 157500 0 35000 COLONIAL PPTYS TR COM COMMON 195872106 2541 86000 SH SOLE 86000 0 0 COMPAQ COMPUTER CORP COMMON 204493100 13358 1607500 SH OTHER 1309000 25000 273500 CONAGRA INC COMMON 205887102 4209 187500 SH OTHER 132500 10000 45000 CONOCO INC - CL A COMMON 208251306 1272 50000 SH SOLE 47500 0 2500 CONOCO INC - CL B COMMON 208251405 14190 560000 SH OTHER 457500 7500 95000 CORE LABORATORIES N V COMMON N22717107 3922 305000 SH OTHER 232500 0 72500 CORNERSTONE RLTY INCO COMMON 21922V102 958 89500 SH SOLE 89500 0 0 CORNING INC COMMON 219350105 9861 1118000 SH OTHER 909300 7500 201200 COSTCO WHOLESALE CORP COMMON 22160K105 302 8500 SH OTHER 5000 3500 0 CRESCENT R E EQUITIES COMMON 225756105 10564 492500 SH OTHER 487500 5000 0 CRESCENT R E EQUITIES CONVERT 225756204 849 45000 SH SOLE 45000 0 0 CROWN CASTLE INTL COR COMMON 228227104 293 32500 SH SOLE 32500 0 0 CVS CORPORATION COMMON 126650100 7304 220000 SH OTHER 178000 7500 34500 DELTA AIRLINES INC COMMON 247361108 2699 102500 SH SOLE 84500 0 18000 DEVELOPERS DIVERSIFIE COMMON 251591103 2289 127500 SH SOLE 127500 0 0 DISNEY WALT PRODTNS COMMON 254687106 2635 141500 SH OTHER 111500 2500 27500 DONNELLEY R R & SONS COMMON 257867101 9332 345000 SH OTHER 266500 0 78500 DOW CHEMICAL COMMON 260543103 758 23137 SH OTHER 20637 2500 0 DQE INC COMMON 23329J104 481 25000 SH SOLE 25000 0 0 DTE ENERGY CO COM COMMON 233331107 215 5000 SH SOLE 0 5000 0 DU PONT E I DE NEMOUR COMMON 263534109 1219 32500 SH OTHER 30000 0 2500 DUKE PWR CO COMMON 264399106 1380 36450 SH OTHER 35450 0 1000 DUKE REALTY CORPORATI COMMON 264411505 7131 301000 SH SOLE 301000 0 0 E M C CORP MASS COM COMMON 268648102 5258 447500 SH OTHER 365000 10000 72500 EASTGROUP PPTYS INC C COMMON 277276101 1500 68500 SH SOLE 68500 0 0 EASTMAN KODAK COMMON 277461109 14834 456000 SH OTHER 375000 0 81000 EDS INCOME PRIDE 7.25 COMMON 285661203 2550 50000 SH SOLE 45000 0 5000 EL PASO CORPORATION COMMON 28336L109 270 6500 SH OTHER 4500 2000 0 ELECTRONIC DATA SYS C COMMON 285661104 8867 154000 SH OTHER 140600 0 13400 ENGELHARD CORP COMMON 292845104 1559 67500 SH SOLE 40000 0 27500 ENRON CORP COMMON 293561106 1566 57500 SH SOLE 57500 0 0 ENTERGY CORP NEW COM COMMON 29364G103 800 22500 SH OTHER 10000 12500 0 EQUITY OFFICE PROPERT COMMON 294741103 41061 1283169 SH OTHER 1155669 0 127500 EQUITY RESIDENTIAL PP COMMON 29476L107 35201 602750 SH OTHER 526950 0 75800 EXELON CORP COMMON 30161N101 814 18249 SH OTHER 17375 0 874 EXXON CORPORATION COMMON 30231G102 2871 72872 SH OTHER 55372 17500 0 FEDERAL NAT MORTGAGE COMMON 313586109 400 5000 SH SOLE 0 5000 0 FEDERAL RLTY INVT TR COMMON 313747206 231 10500 SH SOLE 10500 0 0 FEDERATED DEPARTMENT COMMON 31410H101 9941 352500 SH OTHER 291000 0 61500 FEDEX CORP COMMON 31428X106 1194 32500 SH SOLE 32500 0 0 FELCOR LODGING TR INC COMMON 31430F101 1278 95000 SH SOLE 95000 0 0 FIRST INDL RLTY TR IN COMMON 32054K103 3510 117000 SH SOLE 117000 0 0 FLEETBOSTON FINANCIAL COMMON 339030108 7846 213500 SH SOLE 191000 0 22500 FLORIDA EAST COAST IN COMMON 340632207 1061 49107 SH SOLE 42755 0 6352 FORD MTR CO DEL COM P COMMON 345370860 3173 182866 SH OTHER 157866 0 25000 GABLES RESIDENTIAL TR COMMON 362418105 767 25000 SH SOLE 25000 0 0 GENERAL ELECTRIC COMMON 369604103 9133 245500 SH OTHER 202400 17500 25600 GENERAL GROWTH PPTYS COMMON 370021107 2955 85000 SH SOLE 85000 0 0 GENERAL MTRS CORP COMMON 370442105 3282 76500 SH OTHER 71000 0 5500 GENERAL MTRS CORP CL COMMON 370442832 2453 184000 SH SOLE 184000 0 0 GEORGIA PAC CORP COMMON 373298108 958 33290 SH SOLE 33290 0 0 GILLETTE CO COMMON 375766102 539 18100 SH OTHER 8100 10000 0 GLAXO PLC SPONSORED A COMMON 37733W105 3928 70001 SH OTHER 70001 0 0 GLENBOROUGH RLTY TR I COMMON 37803P105 1761 95000 SH SOLE 95000 0 0 GLIMCHER RLTY TR SH B COMMON 379302102 680 42000 SH SOLE 42000 0 0 GMO REIT FD CL III MUTUAL 362007627 2216 210000 SH SOLE 210000 0 0 GUIDANT CORP COM COMMON 401698105 443 11500 SH SOLE 11500 0 0 HALLIBURTON CO COMMON 406216101 677 30000 SH OTHER 30000 0 0 HEALTH CARE REIT INC COMMON 42217K106 1008 40000 SH SOLE 40000 0 0 HEWLETT PACKARD COMMON 428236103 2046 127500 SH SOLE 95000 0 32500 HIGHWOODS PROPERTIES COMMON 431284108 6942 280500 SH SOLE 265500 0 15000 HILTON HOTEL CORP COMMON 432848109 726 92500 SH SOLE 72500 0 20000 HOME DEPOT INC COMMON 437076102 288 7500 SH SOLE 0 7500 0 HONEYWELL INTERNATION COMMON 438516106 4158 157500 SH OTHER 140000 0 17500 HOSPITALITY PPTYS TR COMMON 44106M102 1060 44000 SH SOLE 44000 0 0 HOST MARRIOTT CORP NE COMMON 44107P104 2626 372500 SH SOLE 372500 0 0 INCO LTD COMMON 453258402 1117 90000 SH SOLE 72500 0 17500 INGERSOLL RAND CO COMMON 456866102 1014 30000 SH SOLE 30000 0 0 INTEL CORP COMMON 458140100 3227 157900 SH OTHER 130400 17500 10000 INTERMET CORP COMMON 45881K104 182 65000 SH SOLE 65000 0 0 INTERNATIONAL BUSINES COMMON 459200101 15776 172000 SH OTHER 140200 4500 27300 INTERNATIONAL PAPER C COMMON 460146103 10365 297500 SH OTHER 244900 0 52600 INTL RECTIFIER CORP COMMON 460254105 436 16000 SH SOLE 16000 0 0 ISTAR FINL INC COM COMMON 45031U101 618 25000 SH SOLE 25000 0 0 J.P. MORGAN CHASE & C COMMON 46625H100 19210 562530 SH OTHER 468080 0 94450 JDN RLTY CORP COM COMMON 465917102 639 60250 SH SOLE 60250 0 0 JOHNSON & JOHNSON COMMON 478160104 2964 53500 SH OTHER 45700 6000 1800 JP RLTY INC COM COMMON 46624A106 24413 1092300 SH OTHER 879800 0 212500 KILROY RLTY CORP COM COMMON 49427F108 1497 60000 SH SOLE 60000 0 0 KIMBERLY CLARK COMMON 494368103 30380 490000 SH OTHER 407500 0 82500 KOGER EQUITY INC COM COMMON 500228101 1304 75400 SH SOLE 75400 0 0 KRAFT FOODS INC-A COMMON 50075N104 3148 91600 SH OTHER 85000 4100 2500 KROGER CO COMMON 501044101 20944 850000 SH OTHER 717500 0 132500 LA QUINTA PROPERTIES COMMON 50419Q409 242 55000 SH SOLE 55000 0 0 LIBERTY MEDIA CORP SE COMMON 530718105 984 77500 SH OTHER 62500 10000 5000 LIBERTY PPTY TR SH BE COMMON 531172104 6825 237900 SH SOLE 237900 0 0 LILLY ELI & CO COMMON 532457108 2001 24800 SH OTHER 22100 1200 1500 LOCKHEED MARTIN CORP COMMON 539830109 7547 172500 SH SOLE 127500 0 45000 LSI LOGIC CORP COMMON 502161102 740 63000 SH SOLE 55500 0 7500 MACERICH CO COM COMMON 554382101 1160 52500 SH SOLE 52500 0 0 MACK CALI RLTY CORP C COMMON 554489104 24431 788100 SH OTHER 701900 2500 83700 MANPOWER INC COM COMMON 56418H100 316 12000 SH OTHER 12000 0 0 MCDONALDS COMMON 580135101 746 27500 SH SOLE 27500 0 0 MERCK & CO COMMON 589331107 15818 237500 SH OTHER 196000 4000 37500 METROMEDIA FIBER NETW COMMON 591689104 142 418200 SH SOLE 323200 0 95000 MICROSOFT CORP COMMON 594918104 640 12500 SH SOLE 0 12500 0 MID-AMER APT CMNTYS I COMMON 59522J103 520 20000 SH SOLE 20000 0 0 MILLS CORP COM COMMON 601148109 1914 89500 SH SOLE 89500 0 0 MITCHELL ENERGY & DEV COMMON 606592202 952 19000 SH OTHER 18000 0 1000 MOTOROLA INC COMMON 620076109 10803 692500 SH OTHER 557500 7500 127500 MYLAN LABS INC COMMON 628530107 1142 35000 SH OTHER 34500 0 500 NESTLES ADR FOREIGN 641069406 6493 122500 SH OTHER 101500 0 21000 NEW PLAN EXCEL RLTY T COMMON 648053106 1414 82700 SH SOLE 82700 0 0 NEW YORK TIMES CO CLA COMMON 650111107 351 9000 SH SOLE 9000 0 0 NIAGARA MOHAWK HOLIDN COMMON 653520106 2503 147500 SH SOLE 122500 0 25000 NOBLE AFFILIATES COMMON 654894104 263 8475 SH SOLE 8475 0 0 NORTEL NETWORKS CORP COMMON 656568102 20533 3660000 SH OTHER 3009000 50000 601000 NORTHWEST AIRLINES CO COMMON 667280101 2596 227500 SH SOLE 182500 0 45000 OCCIDENTAL PETE CORP COMMON 674599105 19350 795000 SH OTHER 634500 2500 158000 OLIN CORP COMMON 680665205 8012 545000 SH OTHER 440000 0 105000 PALL CORP COMMON 696429307 8023 412500 SH OTHER 333500 0 79000 PARAMETRIC TECHNOLOGY COMMON 699173100 1375 265000 SH OTHER 226000 0 39000 PARKWAY PPTYS INC SHS COMMON 70159Q104 2763 85000 SH SOLE 85000 0 0 PEGASUS COMMUNICATION COMMON 705904100 193 27500 SH SOLE 27500 0 0 PEPSI BOTTLING GROUP COMMON 713409100 4261 92500 SH OTHER 84700 0 7800 PERKINELMER INC COMMON 714046109 669 25500 SH OTHER 7500 7500 10500 PETROLEO BRASILEIRO S COMMON 71654V408 11307 572500 SH SOLE 471500 0 101000 PFIZER INC COMMON 717081103 641 15975 SH OTHER 875 15100 0 PHARMACIA CORP COMMON 71713U102 1318 32500 SH OTHER 17500 10000 5000 PHILIP MORRIS COMMON 718154107 483 10000 SH SOLE 0 10000 0 PINNACLE HLDGS INC CO COMMON 72346N101 6 15000 SH SOLE 15000 0 0 PITNEY BOWES INC COMMON 724479100 7163 187500 SH SOLE 165000 0 22500 PLACER DOME INC COMMON 725906101 384 30000 SH SOLE 30000 0 0 PRENTISS PPTYS TR SH COMMON 740706106 4125 150000 SH SOLE 150000 0 0 PROLOGIS TR SH BEN IN COMMON 743410102 3165 150000 SH SOLE 150000 0 0 PS BUSINESS PKS INC C COMMON 69360J107 235 8500 SH SOLE 8500 0 0 PUBLIC STORAGE INC CO COMMON 74460D109 1426 42700 SH SOLE 42700 0 0 QUESTAR CORP COMMON 748356102 6155 305000 SH OTHER 231000 5000 69000 QWEST COMM INTL INC S COMMON 749121109 7245 433836 SH OTHER 345473 17500 70863 RAYTHEON 8.250% 05/15 CONVERT 755111606 6761 112500 SH SOLE 102500 0 10000 RAYTHEON CO NEW COM COMMON 755111507 1477 42500 SH SOLE 42500 0 0 RECKSON ASSOCS RLTY C COMMON 75621K304 1046 41000 SH SOLE 41000 0 0 RECKSON ASSOCS RLTY C COMMON 75621K106 7426 307500 SH SOLE 268500 0 39000 RECKSON PFD A COMMON 75621K205 1438 62500 SH SOLE 62500 0 0 RELIANT ENERGY INC COMMON 75952J108 1236 46969 SH OTHER 46969 0 0 REUTERS GROUP PLC-SPO COMMON 76132M102 230 4400 SH SOLE 4400 0 0 ROCKWELL COLLINS INC COMMON 774341101 2513 177000 SH SOLE 151500 0 25500 ROCKWELL INTL CORP NE COMMON 773903109 1358 92500 SH SOLE 92500 0 0 ROUSE CO COMMON 779273101 1934 80000 SH SOLE 80000 0 0 RYDER SYS INC COMMON 783549108 4510 225600 SH SOLE 173100 0 52500 SAFEWAY INC COM NEW COMMON 786514208 1589 40000 SH OTHER 27500 12500 0 SAKS INC COMMON 79377W108 1650 330000 SH SOLE 285000 0 45000 SARA LEE CORP COMMON 803111103 777 36500 SH SOLE 36500 0 0 SBC COMMUNICATIONS, I COMMON 78387G103 3716 78870 SH OTHER 68370 2500 8000 SCHERING PLOUGH CORP COMMON 806605101 2070 55800 SH OTHER 43300 10000 2500 SCHLUMBERGER COMMON 806857108 1028 22500 SH SOLE 22500 0 0 SEMPRA ENERGY COM COMMON 816851109 767 30973 SH OTHER 29973 0 1000 SHURGARD STORAGE CTRS COMMON 82567D104 452 15000 SH SOLE 15000 0 0 SIMON PPTY GROUP INC COMMON 828806109 1413 52500 SH SOLE 52500 0 0 SL GREEN RLTY CORP CO COMMON 78440X101 1261 40000 SH SOLE 40000 0 0 SMITH CHARLES E RES R COMMON 832197107 1627 31600 SH SOLE 31600 0 0 SOUTHERN CO COMMON 842587107 2818 117500 SH OTHER 105000 12500 0 SOUTHWEST AIRLS CO COMMON 844741108 373 25155 SH OTHER 25155 0 0 SPDR TR UNIT SER 1 COMMON 78462F103 2977 28500 SH SOLE 28500 0 0 SPRINT CORP 7.125% 08 CONVERT 852061605 2252 87500 SH SOLE 62500 0 25000 SPRINT CORP COM COMMON 852061100 64827 2700000 SH OTHER 2234500 12500 453000 ST JOE CO COM COMMON 790148100 7383 285600 SH OTHER 231900 0 53700 ST PAUL COS INC COMMON 792860108 2751 66750 SH OTHER 56750 5000 5000 STAPLES INC COMMON 855030102 7743 580000 SH SOLE 481500 0 98500 STARWOOD HOTELS & RES COMMON 85590A203 3080 140000 SH SOLE 140000 0 0 STORAGE TECHNOLOGY CO COMMON 862111200 14087 1122500 SH SOLE 907500 0 215000 SUMMIT PPTYS INC COM COMMON 866239106 15330 584000 SH OTHER 499300 0 84700 SUN MICROSYSTEM INC COMMON 866810104 992 120000 SH OTHER 57500 15000 47500 SUNTRUST BANKS INC COMMON 867914103 298 4480 SH SOLE 4480 0 0 TAUBMAN CTRS INC COM COMMON 876664103 244 19500 SH SOLE 19500 0 0 TEXACO INC COMMON 881694103 9100 140000 SH OTHER 124200 0 15800 THOMAS & BETTS CORP COMMON 884315102 1224 70000 SH SOLE 60000 0 10000 TOYS R US COMMON 892335100 15498 899500 SH OTHER 746100 0 153400 TRIZEC HAHN CORP SUB COMMON 896938107 8414 467200 SH OTHER 462000 2700 2500 TXU CORP COMMON 873168108 38274 826288 SH OTHER 683866 0 142422 TXU CORP INCOME PRIDE CONVERT 873168207 714 27500 SH SOLE 22500 0 5000 TYCO INTL LTD NEW COM COMMON 902124106 683 15000 SH SOLE 0 15000 0 U S BANCORP COMMON 902973304 7430 335000 SH OTHER 265000 20000 50000 UAL CORP COM COMMON 902549500 548 30000 SH SOLE 25000 0 5000 UNION PAC CAP TR CV P CONVERT 907824403 5547 125000 SH SOLE 122500 0 2500 UNISYS CORP COMMON 909214108 1754 202500 SH SOLE 157500 0 45000 UNITED DOMINION RLTY COMMON 910197102 6462 452500 SH SOLE 419000 0 33500 UNITED TECHNOLOGIES C COMMON 913017109 3581 77000 SH OTHER 74500 0 2500 UNOCAL CORP COMMON 915289102 47125 1450000 SH OTHER 1215000 6000 229000 UNOCAL CORP 6.25% TRU CONVERT 91528T207 6458 135949 SH SOLE 111189 0 24760 US AIRWAYS GROUP INC COMMON 911905107 209 45000 SH OTHER 45000 0 0 USX MARATHON GROUP CO COMMON 902905827 10700 400000 SH OTHER 338300 0 61700 VERIZON COMMUNICATION COMMON 92343V104 33958 627579 SH OTHER 521779 7500 98300 VIACOM INC COM NON VT COMMON 925524308 282 8175 SH SOLE 8175 0 0 VINTAGE PETE INC COMMON 927460105 793 50000 SH SOLE 40000 0 10000 VISHAY INTERTECHNOLOG COMMON 928298108 2300 125000 SH SOLE 102500 0 22500 VORNADO RLTY TR COM COMMON 929042109 8635 217500 SH SOLE 217500 0 0 WACHOVIA GROUP COM COMMON 929903102 10199 329000 SH OTHER 265000 5000 59000 WAL MART STORES INC COMMON 931142103 5613 113400 SH OTHER 88500 10900 14000 WASHINGTON MUT INC CO COMMON 939322103 19000 493750 SH OTHER 399750 0 94000 WASTE MANAGEMENT INC COMMON 94106L109 20790 777500 SH OTHER 605000 12500 160000 WELLS FARGO NEW COMMON 949746101 13891 312500 SH OTHER 297500 0 15000 WEYERHAEUSER CO COMMON 962166104 1016 20850 SH OTHER 20850 0 0 WILLIAMS COMMUNICATIO COMMON 969455104 549 465000 SH SOLE 390000 0 75000 WILLIS GROUP HOLDINGS COMMON G96655108 1520 65000 SH SOLE 65000 0 0 WORLDCOM INC GA NEW C COMMON 98157D106 18725 1245000 SH OTHER 1012500 20000 212500 WORLDCOM INC-MCI GROU COMMON 98157D304 876 57500 SH SOLE 51900 0 5600 WYNDHAM INTL INC CL A COMMON 983101106 205 315000 SH SOLE 315000 0 0 W-H ENERGY SVCS INC C COMMON 92925E108 724 51500 SH OTHER 51500 0 0 XCEL ENERGY INC COMMON 98389B100 5419 192500 SH SOLE 165000 0 27500 XEROX CORP COMMON 984121103 126 16200 SH OTHER 16200 0 0 1ST SOURCE CORP COM 336901103 541 25184 SH SOLE 25184 0 0 21ST CENTY INS GROUP COM 90130N103 234 13300 SH SOLE 13300 0 0 3COM CORP COM 885535104 733 195500 SH SOLE 195500 0 0 99 CENTS ONLY STORES COM 65440K106 1059 32750 SH SOLE 32750 0 0 ABBOTT LABS COM 002824100 30203 582504 SH SOLE 582504 0 0 ABERCROMBIE & FITCH CO CL A 002896207 9655 548900 SH SOLE 548900 0 0 ABITIBI-CONSOLIDATED INC COM 003924107 950 235300 SH SOLE 235300 0 0 ACCREDO HEALTH INC COM 00437V104 2956 81200 SH SOLE 81200 0 0 ACTIVISION INC NEW COM NEW 004930202 2229 81900 SH SOLE 81900 0 0 ACTUATE CORP COM 00508B102 484 115600 SH SOLE 115600 0 0 ADELPHIA BUSINESS SOLUTIONS CL A 006847107 133 125300 SH SOLE 125300 0 0 ADVANCED DIGITAL INFORMATION COM 007525108 1485 144000 SH SOLE 144000 0 0 ADVANCEPCS COM 00790K109 2929 40800 SH SOLE 40800 0 0 ADVANTA CORP CL A 007942105 154 16400 SH SOLE 16400 0 0 ADVENT SOFTWARE INC COM 007974108 1047 27800 SH SOLE 27800 0 0 AEROFLEX INC COM 007768104 1649 149950 SH SOLE 149950 0 0 AETNA INC NEW COM 00817Y108 17778 615358 SH SOLE 615358 0 0 AFFILIATED COMPUTER SERVICES CL A 008190100 11975 147100 SH SOLE 147100 0 0 AGCO CORP COM 001084102 917 101300 SH SOLE 101300 0 0 AIR PRODS & CHEMS INC COM 009158106 3353 86900 SH SOLE 86900 0 0 AIRBORNE INC 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