-----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, J/5uNu04GzNtwAVT/32hUDXdecAFKZauIdG+BzObmwx/6PBFhW7kOn5FJec/O5Jk 5PNTZ0fw5+u5b+xtZHIwww== 0000930413-96-000318.txt : 19960903 0000930413-96-000318.hdr.sgml : 19960903 ACCESSION NUMBER: 0000930413-96-000318 CONFORMED SUBMISSION TYPE: N-30D/A PUBLIC DOCUMENT COUNT: 7 CONFORMED PERIOD OF REPORT: 19960630 FILED AS OF DATE: 19960830 SROS: NONE FILER: COMPANY DATA: COMPANY CONFORMED NAME: COLLEGE RETIREMENT EQUITIES FUND CENTRAL INDEX KEY: 0000777535 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] IRS NUMBER: 136022042 STATE OF INCORPORATION: NY FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D/A SEC ACT: 1940 Act SEC FILE NUMBER: 811-04415 FILM NUMBER: 96623805 BUSINESS ADDRESS: STREET 1: 730 THIRD AVE CITY: NEW YORK STATE: NY ZIP: 10017 BUSINESS PHONE: 2129164905 MAIL ADDRESS: STREET 1: 730 THIRD AVE CITY: NEW YORK STATE: NY ZIP: 10017 N-30D/A 1 SEMI-ANNUAL REPORT SEMI-ANNUAL REPORT - -------------------------------------------------------------------------------- COLLEGE RETIREMENT EQUITIES FUND MONEY MARKET ACCOUNT GLOBAL EQUITIES ACCOUNT BOND MARKET ACCOUNT GROWTH ACCOUNT SOCIAL CHOICE ACCOUNT EQUITY INDEX ACCOUNT FINANCIAL STATEMENTS (UNAUDITED) INCLUDING STATEMENTS OF INVESTMENTS JUNE 30, 1996 - -------------------------------------------------------------------------------- As required by the Investment Company Act of 1940, CREF provides its participants with this semi-annual report of the financial condition and portfolio holdings of the Money Market Account, Bond Market Account, Social Choice Account, Global Equities Account, Growth Account and Equity Index Account. CREF also provides a semi-annual report to participants in the Stock Account. Annual reports are also provided each year toward the end of February. - -------------------------------------------------------------------------------- [LOGO] COLLEGE RETIREMENT EQUITIES FUND MONEY MARKET ACCOUNT GLOBAL EQUITIES ACCOUNT BOND MARKET ACCOUNT GROWTH ACCOUNT SOCIAL CHOICE ACCOUNT EQUITY INDEX ACCOUNT INDEX TO UNAUDITED FINANCIAL STATEMENTS JUNE 30, 1996 - -------------------------------------------------------------------------------- PAGE ---- Statements of Assets and Liabilities...................................... 2 Statements of Operations.................................................. 3 Statements of Changes in Net Assets....................................... 4 Notes to Financial Statements............................................. 6 Statements of Investments Money Market Account................................................... 14 Bond Market Account.................................................... 17 Social Choice Account.................................................. 21 Global Equities Account................................................ 27 Growth Account......................................................... 38 Equity Index Account................................................... 49 -1- COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF ASSETS AND LIABILITIES (UNAUDITED) JUNE 30, 1996
MONEY MARKET BOND MARKET SOCIAL CHOICE ACCOUNT ACCOUNT ACCOUNT --------------- --------------- --------------- ASSETS Portfolio investments, at cost ................. $ 3,182,396,205 $ 880,997,632 $ 1,096,320,397 Net unrealized appreciation (depreciation) of portfolio investments ... (1,298,769) (7,782,929) 245,467,819 --------------- --------------- --------------- Portfolio investments, at value ................ 3,181,097,436 873,214,703 1,341,788,216 Cash ....................... 451,049 17,555 Dividends and interest receivable .............. 8,084,699 13,307,768 7,695,496 Receivable from securities transactions . 23,178,000 17,140,477 19,308,758 Amounts due from TIAA ...... 2,776,269 1,223,405 1,724,140 --------------- --------------- --------------- TOTAL ASSETS .... 3,215,136,404 905,337,402 1,370,534,165 --------------- --------------- --------------- LIABILITIES Deposits for securities loaned--Note 4 .......... Due to banks--Note 4 ....... 17,942,610 4,319,699 Payable for securities transactions ............ 12,885,137 22,475,383 16,570,608 --------------- --------------- --------------- TOTAL LIABILITIES 30,827,747 22,475,383 20,890,307 --------------- --------------- --------------- NET ASSETS Accumulation Fund .......... 3,066,063,721 879,960,214 1,297,267,531 Annuity Fund ............... 118,244,936 2,901,805 52,376,327 --------------- --------------- --------------- TOTAL NET ASSETS $ 3,184,308,657 $ 882,862,019 $ 1,349,643,858 =============== =============== =============== NUMBER OF ACCUMULATION UNITS OUTSTANDING-- Notes 5 and 6 ............. 190,807,319 20,954,427 24,270,583 =============== =============== =============== NET ASSET VALUE, PER ACCUMULATION UNIT-- Note 5 .................... $16.07 $41.99 $53.45 ====== ====== ====== GLOBAL EQUITIES GROWTH EQUITY INDEX ACCOUNT ACCOUNT ACCOUNT --------------- --------------- --------------- ASSETS Portfolio investments, at cost ................. $ 3,419,870,791 $ 1,521,302,658 $ 612,246,639 Net unrealized appreciation (depreciation) of portfolio investments ... 437,023,850 246,117,339 80,892,426 --------------- --------------- --------------- Portfolio investments, at value ................ 3,856,894,641 1,767,419,997 693,139,065 Cash ....................... 18,259,186 5,197,798 1,457,102 Dividends and interest receivable .............. 9,034,273 2,067,988 1,151,775 Receivable from securities transactions . 60,181,733 8,564,952 2,569,289 Amounts due from TIAA ...... 4,298,554 3,034,383 944,701 --------------- --------------- --------------- TOTAL ASSETS .............. 3,948,668,387 1,786,285,118 699,261,932 --------------- --------------- --------------- LIABILITIES Deposits for securities loaned--Note 4 .......... 164,769,411 Due to banks--Note 4 ....... Payable for securities transactions ............ 75,096,025 16,730,420 11,679,735 --------------- --------------- --------------- TOTAL LIABILITIES 239,865,436 16,730,420 11,679,735 --------------- --------------- --------------- NET ASSETS Accumulation Fund .......... 3,593,052,094 1,719,639,731 663,486,535 Annuity Fund ............... 115,750,857 49,914,967 24,095,662 --------------- --------------- --------------- TOTAL NET ASSETS $ 3,708,802,951 $ 1,769,554,698 $ 687,582,197 =============== =============== =============== NUMBER OF ACCUMULATION UNITS OUTSTANDING-- Notes 5 and 6 ............. 76,670,097 43,451,031 17,192,824 =============== =============== =============== NET ASSET VALUE, PER ACCUMULATION UNIT-- Note 5 .................... $46.86 $39.58 $38.59 ====== ====== ======
See notes to financial statements. -2- COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF OPERATIONS (UNAUDITED) SIX MONTHS ENDED JUNE 30, 1996
MONEY MARKET BOND MARKET SOCIAL CHOICE GLOBAL EQUITIES GROWTH EQUITY INDEX ACCOUNT ACCOUNT ACCOUNT ACCOUNT ACCOUNT ACCOUNT ------------ ------------ ------------ ------------ ------------ ------------ INVESTMENT INCOME Income: Dividends ......................... $ 7,770,189 $ 30,119,980 $ 8,800,152 $ 5,762,833 Interest .......................... $ 85,717,351 $ 30,621,033 16,696,544 3,979,112 1,749,930 334,620 ------------ ------------ ------------ ------------ ------------ ------------ TOTAL INCOME ......... 85,717,351 30,621,033 24,466,733 34,099,092 10,550,082 6,097,453 ------------ ------------ ------------ ------------ ------------ ------------ Expenses--Note 3: Investment ........................ 1,238,280 314,658 460,001 2,453,365 1,004,154 215,587 Operating ......................... 3,412,888 928,052 1,359,343 3,690,239 1,592,331 595,031 ------------ ------------ ------------ ------------ ------------ ------------ TOTAL EXPENSES ......... 4,651,168 1,242,710 1,819,344 6,143,604 2,596,485 810,618 ------------ ------------ ------------ ------------ ------------ ------------ INVESTMENT INCOME--NET 81,066,183 29,378,323 22,647,389 27,955,488 7,953,597 5,286,835 ------------ ------------ ------------ ------------ ------------ ------------ REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS--Note 4 Net realized gain (loss) on: Portfolio investments ............. (58,270) (5,807,346) 7,736,513 167,253,100 57,634,872 4,056,269 Futures transactions .............. 1,027,870 1,525,576 93,603 Foreign currency transactions .................... (990,290) (16,243) ------------ ------------ ------------ ------------ ------------ ------------ Net realized gain (loss) (58,270) (5,807,346) 7,736,513 167,290,680 59,144,205 4,149,872 ------------ ------------ ------------ ------------ ------------ ------------ Net change in unrealized appreciation (depreciation) on: Portfolio investments ............. (903,460) (37,726,621) 35,659,773 102,070,999 91,812,981 38,118,664 Futures transactions .............. 637,033 156,117 37,379 Translation of assets (other than portfolio investments) and liabilities in foreign currencies ...................... 10,230 (1,764) ------------ ------------ ------------ ------------ ------------ ------------ Net change in unrealized appreciation (depreciation) ........ (903,460) (37,726,621) 35,659,773 102,718,262 91,967,334 38,156,043 ------------ ------------ ------------ ------------ ------------ ------------ NET REALIZED AND UNREALIZED GAIN (LOSS) ON TOTAL INVESTMENTS (961,730) (43,533,967) 43,396,286 270,008,942 151,111,539 42,305,915 ------------ ------------ ------------ ------------ ------------ ------------ NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS $ 80,104,453 $(14,155,644) $ 66,043,675 $297,964,430 $159,065,136 $ 47,592,750 ============ ============ ============ ============ ============ ============
See notes to financial statements. -3- COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF CHANGES IN NET ASSETS
MONEY MARKET ACCOUNT BOND MARKET ACCOUNT SOCIAL CHOICE ACCOUNT --------------------------------- ----------------------------- -------------------------------- SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, 1996 1995 1996 1995 1996 1995 --------------- --------------- ----------------- ------------ -------------- --------------- (UNAUDITED) (UNAUDITED) (UNAUDITED) FROM OPERATIONS Investment income--net ..... $ 81,066,183 $ 173,000,183 $ 29,378,323 $ 46,958,199 $ 22,647,389 $ 35,513,279 Net realized gain (loss) on total investments ........ (58,270) (200,856) (5,807,346) 12,221,948 7,736,513 3,647,165 Net change in unrealized appreciation (depreciation) on total investments .............. (903,460) 1,073,681 (37,726,621) 50,593,054 35,659,773 200,506,744 -------------- -------------- ------------ ------------ -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 80,104,453 173,873,008 (14,155,644) 109,773,201 66,043,675 239,667,188 -------------- -------------- ------------ ------------ -------------- -------------- FROM PARTICIPANT TRANSACTIONS Premiums ................... 156,482,796 322,504,882 66,590,490 120,393,346 112,282,770 193,358,929 -------------- -------------- ------------ ------------ -------------- -------------- Disbursements and transfers: Net transfers to (from) TIAA ................... 25,091,307 62,622,528 (4,380,222) (4,654,005) (5,398,039) (2,454,256) Net transfers to (from) other CREF Accounts .... 82,959,343 (62,813,953) (6,011,053) (76,175,539) (13,254,134) (6,736,255) Annuity payments ......... 6,848,462 14,684,076 354,828 1,154,923 1,692,116 2,778,920 Withdrawals and repurchases ............ 82,149,241 144,584,944 12,223,779 16,646,581 9,661,420 16,528,876 Death benefits ........... 2,084,679 5,864,728 770,319 993,457 300,123 1,045,228 -------------- -------------- ------------ ------------ -------------- -------------- TOTAL DISBURSEMENTS AND TRANSFERS, NET 199,133,032 164,942,323 2,957,651 (62,034,583) (6,998,514) 11,162,513 -------------- -------------- ------------ ------------ -------------- -------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM PARTICIPANT TRANSACTIONS (42,650,236) 157,562,559 63,632,839 182,427,929 119,281,284 182,196,416 -------------- -------------- ------------ ------------ -------------- -------------- NET INCREASE IN NET ASSETS 37,454,217 331,435,567 49,477,195 292,201,130 185,324,959 421,863,604 NET ASSETS Beginning of year .......... 3,146,854,440 2,815,418,873 833,384,824 541,183,694 1,164,318,899 742,455,295 -------------- -------------- ------------ ------------ -------------- -------------- End of period .............. $3,184,308,657 $3,146,854,440 $882,862,019 $833,384,824 $1,349,643,858 $1,164,318,899 ============== ============== ============ ============ ============== ===============
See notes to financial statements. -4-
GLOBAL EQUITIES ACCOUNT GROWTH ACCOUNT EQUITY INDEX ACCOUNT --------------------------------- ------------------------------- ------------------------------ SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED SIX MONTHS ENDED YEAR ENDED JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, 1996 1995 1996 1995 1996 1995 --------------- --------------- --------------- -------------- ------------- -------------- (UNAUDITED) (UNAUDITED) (UNAUDITED) FROM OPERATIONS Investment income--net ..... $ 27,955,488 $ 40,861,174 $ 7,953,597 $ 7,580,175 $ 5,286,835 $ 3,835,421 Net realized gain (loss) on total investments ........ 167,290,680 181,350,482 59,144,205 24,236,668 4,149,872 2,563,936 Net change in unrealized appreciation (depreciation) on total investments .............. 102,718,262 286,945,676 91,967,334 151,168,717 38,156,043 42,347,885 -------------- -------------- -------------- -------------- ------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 297,964,430 509,157,332 159,065,136 182,985,560 47,592,750 48,747,242 -------------- -------------- -------------- -------------- ------------- ------------- FROM PARTICIPANT TRANSACTIONS Premiums ................... 223,088,786 432,885,223 148,080,652 146,310,621 60,407,296 43,829,759 -------------- -------------- -------------- -------------- ------------- ------------- Disbursements and transfers: Net transfers to (from) TIAA ................... (26,126,797) 2,286,189 (36,499,996) (44,418,794) (21,292,747) (20,714,935) Net transfers to (from) other CREF Accounts .... (98,255,505) 361,750,669 (287,382,943) (524,499,108) (172,578,681) (242,873,333) Annuity payments ......... 3,876,758 6,816,624 1,227,168 1,032,476 489,792 371,694 Withdrawals and repurchases ............ 29,446,863 44,668,972 16,211,526 15,488,467 4,575,723 35,670,917 Death benefits ........... 2,104,045 2,578,283 464,962 49,873 101,308 5,552 -------------- -------------- -------------- -------------- ------------- ------------- TOTAL DISBURSEMENTS AND TRANSFERS, NET (88,954,636) 418,100,737 (305,979,283) (552,347,086) (188,704,605) (227,540,105) -------------- -------------- -------------- -------------- ------------- ------------- NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM PARTICIPANT TRANSACTIONS 312,043,422 14,784,486 454,059,935 698,657,707 249,111,901 271,369,864 -------------- -------------- -------------- -------------- ------------- ------------- NET INCREASE IN NET ASSETS 610,007,852 523,941,818 613,125,071 881,643,267 296,704,651 320,117,106 NET ASSETS Beginning of year .......... 3,098,795,099 2,574,853,281 1,156,429,627 274,786,360 390,877,546 70,760,440 -------------- -------------- -------------- -------------- ------------- ------------- End of period .............. $3,708,802,951 $3,098,795,099 $1,769,554,698 $1,156,429,627 $ 687,582,197 $ 390,877,546 ============== ============== ============== ============== ============= =============
See notes to financial statements. -5- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED) NOTE 1--ORGANIZATION College Retirement Equities Fund ("CREF") was formed to aid and strengthen nonprofit educational and research organizations by providing their employees with variable retirement benefits. CREF is registered with the Securities and Exchange Commission ("Commission") under the Investment Company Act of 1940 as an open-end, diversified management investment company. It consists of seven investment portfolios. The accompanying financial statements are those of the Money Market Account, which invests in money market instruments; the Bond Market Account, which invests in a broad range of fixed-income securities; the Social Choice Account, which invests in a diversified portfolio of equity and fixed-income securities while giving special consideration to certain social criteria; the Global Equities Account, which invests in equity securities of foreign and domestic companies; the Growth Account, which invests in a diversified portfolio of equity securities that present opportunities for growth; and the Equity Index Account, which invests in a diversified portfolio of equity securities selected to track the overall United States stock market ("Accounts"). The seventh investment portfolio of CREF, the Stock Account, which invests primarily in equity securities, is not included in these financial statements. The Growth and Equity Index Accounts were established on April 4, 1994 with a $50,000,000 investment in each Account by Teachers Insurance and Annuity Association of America ("TIAA"), a companion organization, which purchased 2,000,000 Accumulation Units of each Account at the established $25.00 initial Accumulation Unit Value. On April 29, 1994, the Growth and Equity Index Accounts were registered with the Commission under the Securities Act of 1933 and the Investment Company Act of 1940 as additional series of CREF. On July 1, 1994, CREF began to offer Accumulation Units of the Growth and Equity Index Accounts to participants other than TIAA. TIAA's Accumulation Units shared in the pro rata investment experience and were subject to the same valuation procedures and expense deductions as all other Accumulation Units in the Growth and Equity Index Accounts. During 1994 all of TIAA's Accumulation Units in the Growth Account were withdrawn at net asset value. At December 31, 1994, TIAA's investment in the Equity Index Account was 1,220,301 Accumulation Units, with a total value of $31,573,334. During 1995 TIAA's remaining Accumulation Units in the Equity Index Account were withdrawn at net asset value and the withdrawals are reflected in the accompanying financial statements of the Equity Index Account. TIAA-CREF Investment Management, Inc. ("Investment Management"), a subsidiary of TIAA, is registered with the Commission as an investment adviser and provides investment advisory services for the CREF Accounts pursuant to an Investment Management Services Agreement with CREF. TIAA-CREF Individual & Institutional Services, Inc. ("Services"), a subsidiary of TIAA which is registered with the Commission as a broker-dealer and is a member of the National Association of Securities Dealers, Inc., provides administrative services for the CREF Accounts and performs distribution functions for CREF's certificates pursuant to a Principal Underwriting and Administrative Services Agreement with CREF. NOTE 2--SIGNIFICANT ACCOUNTING POLICIES The following is a summary of the significant accounting policies consistently followed by the Accounts, which are in conformity with generally accepted accounting principles. VALUATION OF INVESTMENTS: Securities listed or traded on any United States national securities exchange are valued at the last sales price as of the close of the principal securities exchange on which such securities are traded or, if there is no sale, at the mean of the last bid and asked prices on such exchange. Securities traded only in the over-the-counter market and quoted in the NASDAQ National Market System are valued at the last sales price, or at the mean of the last bid and asked prices if no sale is reported. All other over-the-counter securities are valued at the mean of the last bid and asked prices, except for bonds which are valued at the most recent bid price or the equivalent quoted yield of such bonds. Short-term money market instruments are stated at market value or amortized cost, which approximates market value. Foreign investments are valued at the closing price in the principal market where they are traded; local currencies are converted into U.S. dollars as described below under Foreign Currency Transactions and Translation. Stock index futures and options which are traded on commodities exchanges are valued at the last sale price as of the close of such commodities exchanges. Portfolio securities for which market quotations are not readily available are valued at fair value as determined in good faith under the direction of the Finance Committee of the Board of Trustees and in accordance with the responsibilities of the Board as a whole. ACCOUNTING FOR INVESTMENTS: Securities transactions are accounted for as of the date the securities are purchased or sold (trade date). Interest income is recorded as earned and, for short-term money market instruments, includes -6- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED) NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(CONTINUED) accrual of discount and amortization of premium. Dividend income is recorded on the ex-dividend date or, for certain foreign securities, as soon as the Accounts are informed of the ex-dividend date. Realized gains and losses on security transactions are accounted for on the average cost basis. FOREIGN CURRENCY TRANSACTIONS AND TRANSLATION: Foreign investments, bank deposits and forward foreign currency contracts are valued in U.S. dollars, based on the exchange rate at the end of the period. Investments traded in foreign currencies are translated at exchange rates prevailing on the respective dates traded. Income is translated at approximate rates prevailing when earned. Asset and liability accounts that are denominated in a foreign currency are adjusted to reflect the exchange rate at the end of the period. The cumulative impact of changes in foreign exchange rates on portfolio investments sold during the period is reflected in the net realized gain (loss) on portfolio investments. The cumulative impact of changes in foreign exchange rates on portfolio investments held at the end of the period is reflected in the net change in unrealized appreciation (depreciation) on portfolio investments. Currency gains and losses arising from the settlement of forward foreign currency contracts, changes in exchange rates between the trade and settlement dates of portfolio investment transactions, and changes in exchange rates between the accrual and receipt dates for dividend and interest income are recorded as net realized gains (losses) on foreign currency transactions. For assets other than portfolio investments and liabilities, changes in foreign exchange rates are reflected in the net change in unrealized appreciation (depreciation) on translation of assets (other than portfolio investments) and liabilities in foreign currencies. SECURITIES LENDING: The Accounts may lend portfolio securities to qualified institutions. Such loans are secured by collateral at least equal to 102% of the market value of the securities loaned for United States securities and 105% of the market value of securities loaned for foreign securities. An Account continues to receive income on the securities loaned and receives additional income from the lending transaction. Additionally, any change in the market value of the securities loaned is recognized by the Account. Although each transaction is collateralized, the Account would bear the risk of delay in recovery of, or loss of rights in, the securities loaned should a borrower fail to return the securities in a timely manner. COVERED CALL OPTIONS WRITTEN: The Accounts write (sell) covered call options to provide protection against adverse movements in the price of securities in the portfolio. When an option is written, an amount equal to the premium received is recorded as a liability; the liability is adjusted on a daily basis to the current market price of the option written and an unrealized gain or loss is recorded. Premiums received from writing options which expire unexercised are recognized as realized gains from option transactions on the expiration date. Premiums received from writing options which are exercised are added to the proceeds from the sale of the underlying securities in recognizing the net realized gain or loss on portfolio investments. In writing options, it is assumed that the option may be exercised at any time prior to the expiration of an Account's obligation as a writer, and that in such circumstances the net proceeds of the sale of the underlying securities pursuant to the call option may be below the prevailing market value. FUTURES CONTRACTS: The Accounts purchase futures contracts for the purpose of acquiring a position in a security or group of securities which it intends to purchase at a later date, or for cash management purposes to remain highly invested in the equity markets while minimizing transaction costs. A financial futures contract is an agreement between two parties to buy and sell a financial instrument for a set price on a future date. Initial margin deposits are made upon entering into futures contracts and can be either cash or securities. During the period the futures contract is open, changes in the value of the contract are recognized as unrealized gains or losses from futures transactions by "marking-to-market" on a daily basis to reflect the market value of the contract at the end of each day's trading. Variation margin payments are received or made, depending upon whether unrealized gains or losses are incurred. When the contract is closed, a realized gain or loss from futures transactions is recorded, equal to the net variation margin received or paid over the period of the contract. The contractual amounts under futures contracts reflect the extent of an Account's exposure to off-balance sheet risk. The credit risk to such contracts is limited to the failure of the exchange or board of trade which acts as the counterparty to the Account's futures transactions. FORWARD FOREIGN CURRENCY CONTRACTS: The Accounts may enter into forward foreign currency contracts to purchase or sell foreign currency to accommodate foreign investment transactions. Forward foreign currency contracts are "marked-to-market" at the end of each day's trading. Daily changes in the value of such contracts are reflected in the net change in unrealized appreciation (depreciation) on translation of assets and liabilities in foreign currencies. -7- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED) NOTE 2--SIGNIFICANT ACCOUNTING POLICIES--(CONCLUDED) When the contract is closed, payment is received or made and a realized gain or loss on foreign currency transactions is recognized, equal to the difference between the cost of the closing transaction and the basis in the contract. An Account may also enter into a forward foreign currency contract to offset an existing contract. Forward foreign currency contracts are entered into directly with a counterparty and an Account is exposed to the risk of default of such counterparty. The maximum potential loss from such risk is the aggregate face value in U.S. dollars at the time the contract is opened. There is no daily margin requirement for such contracts. SECURITIES PURCHASED ON A WHEN-ISSUED OR DELAYED DELIVERY BASIS: The Accounts may purchase securities on a when-issued or delayed delivery basis. In addition to the normal market risks, this exposes the Accounts to the risk that the transaction may not be consummated. FEDERAL INCOME TAXES: CREF is a nonprofit educational organization exempt from federal income taxation under the Internal Revenue Code ("Code"). Accordingly, CREF is not a "Regulated Investment Company" under Subchapter M of the Code and the net investment income and net realized capital gains of CREF's Accounts are not taxable. Any nonpension related income is subject to federal income taxation as unrelated business income; however, for the periods covered by these financial statements there was no such income. NOTE 3--MANAGEMENT AGREEMENTS All services necessary for the operation of CREF's Accounts are provided, at cost, by Investment Management and Services. Such services are provided in accordance with an Investment Management Services Agreement between CREF and Investment Management, and in accordance with a Principal Underwriting and Administrative Services Agreement between CREF and Services (see Note 1). Investment Management and Services receive management fee payments from the CREF Accounts on a daily basis according to formulas established each year with the objective of keeping the management fees as close as possible to each Account's actual expenses. Any differences between actual expenses and the management fees are adjusted quarterly. NOTE 4--INVESTMENTS At June 30, 1996, the value of Global Equities Account securities loaned was $315,034,886 and collateral received in connection therewith was comprised of cash of $164,769,411, letters of credit of $40,455,000 and United States government securities amounting to $127,132,535. At June 30, 1996, the due to banks balances in the Money Market and Social Choice Accounts resulted from securities transactions which were settled and paid by July 1, 1996. At June 30, 1996, net unrealized appreciation (depreciation) of portfolio investments, consisting of gross unrealized appreciation and gross unrealized depreciation, was as follows:
MONEY MARKET BOND MARKET SOCIAL CHOICE ACCOUNT ACCOUNT ACCOUNT ----------- ----------- ----------- Gross unrealized appreciation of portfolio investments......... $ 5,517 $ 3,485,809 $264,678,054 Gross unrealized depreciation of portfolio investments......... 1,304,286 11,268,738 19,210,235 ----------- ----------- ------------ NET UNREALIZED APPRECIATION (DEPRECIATION) OF PORTFOLIO INVESTMENTS........................................ $(1,298,769) $(7,782,929) $245,467,819 =========== =========== ============ GLOBAL EQUITIES GROWTH EQUITY INDEX ACCOUNT ACCOUNT ACCOUNT ----------- ------------ ------------ Gross unrealized appreciation of portfolio investments......... $533,358,041 $283,133,478 $ 91,537,003 Gross unrealized depreciation of portfolio investments......... 96,334,191 37,016,139 10,644,577 ------------ ------------ ------------ NET UNREALIZED APPRECIATION OF PORTFOLIO INVESTMENTS........................................ $437,023,850 $246,117,339 $ 80,892,426 ============ ============ ============
-8- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED) NOTE 4--INVESTMENTS--(CONCLUDED) For the six months ended June 30, 1996 the Global Equities, Growth and Equity Index Accounts engaged in transactions in futures contracts in the Standard & Poor's 500 Index with the following results:
GLOBAL EQUITIES GROWTH EQUITY INDEX ACCOUNT ACCOUNT ACCOUNT ------------ ----------- ----------- Futures contracts open at June 30, 1996, at cost ............... $ -- $17,803,128 $ 5,038,621 Net unrealized appreciation .................................... -- 132,072 37,379 ----------- ----------- ----------- Futures contracts open at June 30, 1996, at value .............. $ -- $17,935,200 $ 5,076,000 =========== =========== =========== Net realized gain on futures contracts closed .................. $ 1,027,870 $ 1,525,576 $ 93,603 Net change in unrealized appreciation........................... $ 637,033 $ 156,117 $ 37,379 Number of futures contracts open at June 30, 1996 .............. -- 53 15 Average fair value of futures contracts based on daily balances during the period .......................... $23,801,755 $23,262,732 $ 2,481,575
Companies in which any of the Accounts held 5% or more of the outstanding voting shares are defined as "affiliated" in the Investment Company Act of 1940. At June 30, 1996, the total value of the Global Equities Account's investments in affiliated companies was $183,580,019. For the six months ended June 30, 1996, total dividend income and net realized loss relating to such investments of the Global Equities Account were $2,422,643 and $2,990,877, respectively. For the periods and CREF Accounts covered by these financial statements, there were no other investments in affiliated companies. Purchases and sales of portfolio securities, other than short-term money market instruments, for the six months ended June 30, 1996, were as follows:
BOND MARKET SOCIAL CHOICE GLOBAL EQUITIES GROWTH EQUITY INDEX ACCOUNT ACCOUNT ACCOUNT ACCOUNT ACCOUNT ------------ ------------ ------------- ----------- ----------- Purchases: Unaffiliated issuers..... $793,817,775 $501,300,235 $1,421,694,395 $602,759,075 $264,678,646 Affiliated issuers....... -- -- 11,046,863 -- -- ------------ ------------ -------------- ------------ ------------ TOTAL PURCHASES........ $793,817,775 $501,300,235 $1,432,741,258 $602,759,075 $264,678,646 ============ ============ ============== ============ ============ Sales: Unaffiliated issuers..... $705,932,657 $365,489,085 $1,066,431,219 $212,688,068 $ 15,823,461 Affiliated issuers....... -- -- 12,830,861 -- -- ------------ ------------ -------------- ------------ ------------ TOTAL SALES ........... $705,932,657 $365,489,085 $1,079,262,080 $212,688,068 $ 15,823,461 ============ ============ ============== ============ ============
-9- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED) NOTE 5--CONDENSED FINANCIAL INFORMATION Selected condensed financial information for an Accumulation Unit of the Money Market Account is presented below.
MONEY MARKET ACCOUNT ------------------------------------------------------------------------ SIX MONTHS FOR THE YEARS ENDED DECEMBER 31, ENDED -------------------------------------------------------- JUNE 30, 1996 1995 1994 1993 1992 1991 ------------- ---- ---- ---- ---- ---- (UNAUDITED) Per Accumulation Unit Data: Investment income .......................... $ .431 $ .910 $ .631 $ .464 $ .539 $ .808 Expenses ................................... .023 .048 .041 .039 .036 .039 -------- ------- -------- -------- -------- ------- Investment income--net ..................... .408 .862 .590 .425 .503 .769 Net realized and unrealized gain (loss) on total investments ........................ (.005) .009 (.012) (.002) (.009) .013 -------- ------- -------- -------- -------- ------- Net increase in Accumulation Unit Value ................................. .403 .871 .578 .423 .494 .782 Accumulation Unit Value Beginning of year .......................... 15.666 14.795 14.217 13.794 13.300 12.518 -------- ------- -------- -------- -------- -------- End of period .............................. $ 16.069 $ 15.666 $ 14.795 $ 14.217 $ 13.794 $ 13.300 ======== ======== ======== ======== ======== ======== Total return .................................. 2.57% 5.88% 4.07% 3.07% 3.71% 6.25% Ratios to Average Net Assets: Expenses ................................... 0.15% 0.32% 0.28% 0.27% 0.26% 0.30% Investment income--net ..................... 2.56% 5.64% 4.03% 3.02% 3.70% 5.95% Portfolio turnover rate ....................... n/a n/a n/a n/a n/a n/a Thousands of Accumulation Units outstanding at end of period ............... 190,807 193,181 183,135 174,073 184,768 207,368
Selected condensed financial information for an Accumulation Unit of the Bond Market Account is presented below.
BOND MARKET ACCOUNT ------------------------------------------------------------------------ SIX MONTHS FOR THE YEARS ENDED DECEMBER 31, ENDED -------------------------------------------------------- JUNE 30, 1996 1995 1994 1993 1992 1991 ------------- ---- ---- ---- ---- ---- (UNAUDITED) Per Accumulation Unit Data: Investment income..................... $ 1.497 $ 2.863 $ 2.502 $ 2.348 $ 2.287 $ 2.270 Expenses.............................. .061 .123 .108 .103 .093 .096 ------- ------- ------- ------- ------- ------- Investment income--net................. 1.436 2.740 2.394 2.245 2.194 2.174 Net realized and unrealized gain (loss) on total investments................... (2.131) 3.722 (3.897) 1.606 .056 2.247 ------- ------- ------- ------- ------- ------- Net increase (decrease) in Accumulation Unit Value............... (.695) 6.462 (1.503) 3.851 2.250 4.421 Accumulation Unit Value: Beginning of year..................... 42.689 36.227 37.730 33.879 31.629 27.208 ------- ------- ------- ------- ------- ------- End of period......................... $41.994 $42.689 $36.227 $37.730 $33.879 $31.629 ======= ======= ======= ======= ======= ======= Total return............................. (1.63%) 17.84% (3.98%) 11.37% 7.12% 16.25% Ratios to Average Net Assets: Expenses.............................. 0.14% 0.31% 0.29% 0.28% 0.29% 0.34% Investment income--net................. 3.42% 6.93% 6.54% 6.18% 6.78% 7.61% Portfolio turnover rate.................. 83.74% 185.11% 161.46% 139.55% 217.89% 124.62% Thousands of Accumulation Units outstanding at end of period.......... 20,954 19,522 14,939 14,698 13,583 10,658
-10- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED) NOTE 5--CONDENSED FINANCIAL INFORMATION--(CONTINUED) Selected condensed financial information for an Accumulation Unit of the Social Choice Account is presented below.
SOCIAL CHOICE ACCOUNT --------------------------------------------------------------------- SIX MONTHS FOR THE YEARS ENDED DECEMBER 31, ENDED ----------------------------------------------------- JUNE 30, 1996 1995 1994 1993 1992 1991 ------------- ---- ---- ---- ---- ---- (UNAUDITED) Per Accumulation Unit Data: Investment income..................... $ 1.003 $ 1.832 $ 1.621 $ 1.452 $ 1.363 $ 1.432 Expenses.............................. .075 .144 .125 .117 .105 .102 ------- ------- ------- ------- ------- ------- Investment income--net................. .928 1.688 1.496 1.335 1.258 1.330 Net realized and unrealized gain (loss) on total investments................... 1.810 9.863 (2.015) 2.082 2.367 5.237 ------- ------- ------- ------- ------- ------- Net increase (decrease) in Accumulation Unit Value............... 2.738 11.551 (.519) 3.417 3.625 6.567 Accumulation Unit Value: Beginning of year..................... 50.712 39.161 39.680 36.263 32.638 26.071 ------- ------- ------- ------- ------- ------- End of period......................... $53.450 $50.712 $39.161 $39.680 $36.263 $32.638 ======= ======= ======= ======= ======= ======= Total return............................. 5.40% 29.49% (1.31%) 9.42% 11.11% 25.19% Ratios to Average Net Assets: Expenses.............................. 0.14% 0.32% 0.32% 0.31% 0.33% 0.36% Investment income--net................. 1.80% 3.75% 3.80% 3.52% 3.88% 4.69% Portfolio turnover rate.................. 29.32% 52.65% 49.06% 39.85% 77.48% 46.41% Thousands of Accumulation Units outstanding at end of period.......... 24,271 22,196 18,302 16,790 9,224 4,929
Selected condensed financial information for an Accumulation Unit of the Global Equities Account is presented below.
GLOBAL EQUITIES ACCOUNT ------------------------------------------------------------- APRIL 1, 1992 SIX MONTHS FOR THE YEARS ENDED DECEMBER 31, (DATE ESTABLISHED) ENDED -------------------------------- TO DECEMBER 31, JUNE 30, 1996 1995 1994 1993 1992 ------------ ---- ---- ---- ---- (UNAUDITED) Per Accumulation Unit Data: Investment income..................... $ .440 $ .727 $ .687 $ .487 $ .569 Expenses.............................. .079 .157 .134 .103 .121 ------- ------- ------- ------- ------- Investment income--net................. .361 .570 .553 .384 .448 Net realized and unrealized gain (loss) on total investments................... 3.545 6.618 (.719) 9.021 1.083 ------- ------- ------- ------- ------- Net increase (decrease) in Accumulation Unit Value............... 3.906 7.188 (.166) 9.405 1.531 Accumulation Unit Value: Beginning of period................... 42.958 35.770 35.936 26.531 25.000 ------- ------- ------- ------- ------- End of period......................... $46.864 $42.958 $35.770 $35.936 $26.531 ======= ======= ======= ======= ======= Total return............................. 9.09% 20.09% (0.46%) 35.45% 6.12% Ratios to Average Net Assets: Expenses.............................. 0.18% 0.40% 0.41% 0.45% 0.40% Investment income--net................. 0.82% 1.47% 1.71% 1.67% 1.47% Portfolio turnover rate.................. 32.73% 67.50% 51.63% 16.75% 12.50% Thousands of Accumulation Units outstanding at end of period.......... 76,670 70,163 70,700 36,796 8,277
-11- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED) NOTE 5--CONDENSED FINANCIAL INFORMATION--(CONTINUED) Selected condensed financial information for an Accumulation Unit of the Growth and Equity Index Accounts is presented below.
GROWTH ACCOUNT EQUITY INDEX ACCOUNT ------------------------------------ ------------------------------------ APRIL 4, 1994 APRIL 4, 1994 SIX MONTHS FOR THE (DATE SIX MONTHS FOR THE (DATE ENDED YEAR ENDED ESTABLISHED) TO ENDED YEAR ENDED ESTABLISHED) TO JUNE 30, DECEMBER 31, DECEMBER 31, JUNE 30, DECEMBER 31, DECEMBER 31, 1996 1995 1994 1996 1995 1994 --------- ------------ ------------ --------- ------------ ------------ (UNAUDITED) (UNAUDITED) Per Accumulation Unit Data: Investment income..... $ .222 $ .417 $ .398 $ .363 $ .755 $ .552 Expenses.............. .055 .114 .084 .048 .100 .072 ------- ------- ------- ------- ------- ------- Investment income--net .167 .303 .314 .315 .655 .480 Net realized and unrealized gain on total investments......... 4.100 8.891 .802 3.045 8.703 .393 ------- ------- ------- ------- ------- ------- Net increase in Accumulation Unit Value 4.267 9.194 1.116 3.360 9.358 .873 Accumulation Unit Value: Beginning of period... 35.310 26.116 25.000 35.231 25.873 25.000 ------- ------- ------- ------- ------- ------- End of period......... $39.577 $35.310 $26.116 $38.591 $35.231 $25.873 ======= ======= ======= ======= ======= ======= Total return............. 12.08% 35.20% 4.46% 9.54% 36.17% 3.49% Ratios to Average Net Assets: Expenses.............. 0.18% 0.43% 0.33% 0.15% 0.34% 0.27% Investment income--net 0.55% 1.13% 1.21% 0.97% 2.22% 1.83% Portfolio turnover rate.. 15.05% 24.42% 12.29% 2.90% 8.31% 1.33% Thousands of Accumulation Units outstanding at end of period...... 43,451 32,375 10,446 17,193 10,911 2,716
-12- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS (UNAUDITED)--(CONTINUED) NOTE 6--ACCUMULATION UNITS Changes in the number of Accumulation Units outstanding were as follows:
MONEY MARKET ACCOUNT BOND MARKET ACCOUNT SOCIAL CHOICE ACCOUNT ----------------------- ---------------------------- -------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, 1996 1995 1996 1995 1996 1995 ----------- ------------ ----------- ----------- ----------- ------------ (UNAUDITED) (UNAUDITED) (UNAUDITED) Accumulation Units: Credited for premiums ........... 9,861,602 21,164,735 1,585,666 3,036,130 2,151,442 4,283,963 Credited (cancelled) for transfers, disbursements and amounts applied to the Annuity Fund .............. (12,235,711) (11,118,465) (153,706) 1,547,736 (76,426) (390,757) Outstanding: Beginning of year.............. 193,181,428 183,135,158 19,522,467 14,938,601 22,195,567 18,302,361 ------------ ------------ ------------ ------------ ------------ ----------- End of period.................. 190,807,319 193,181,428 20,954,427 19,522,467 24,270,583 22,195,567 ============ ============ ============ ============ ============ ===========
GLOBAL EQUITIES ACCOUNT GROWTH ACCOUNT EQUITY INDEX ACCOUNT ---------------------------- --------------------------- -------------------------- SIX MONTHS SIX MONTHS SIX MONTHS ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, JUNE 30, DECEMBER 31, 1996 1995 1996 1995 1996 1995 ----------- ------------ ----------- ----------- ----------- ------------ (UNAUDITED) (UNAUDITED) (UNAUDITED) Accumulation Units: Credited for premiums ........... 4,974,549 11,114,439 3,906,261 4,585,987 1,619,285 1,368,448 Credited (cancelled) for transfers, disbursements and amounts applied to the Annuity Fund .............. 1,532,640 (11,651,582) 7,169,532 17,343,718 4,662,883 6,826,684 Outstanding: Beginning of year ............. 70,162,908 70,700,051 32,375,238 10,445,533 10,910,656 2,715,524 ----------- ----------- ----------- ----------- ----------- ----------- End of period ................. 76,670,097 70,162,908 43,451,031 32,375,238 17,192,824 10,910,656 =========== =========== =========== =========== =========== ===========
-13- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--MONEY MARKET ACCOUNT (UNAUDITED) JUNE 30, 1996 SUMMARY VALUE % ----- ----- SHORT TERM INVESTMENTS BANK NOTES ..................... $ 38,943,658 1.22% BANKERS ACCEPTANCES ............ 115,243,432 3.62 CERTIFICATES OF DEPOSIT ........ 184,285,829 5.79 COMMERCIAL PAPER ............... 2,085,058,631 65.48 EURO CERTIFICATES OF DEPOSIT ... 49,761,715 1.56 GOVERNMENT AGENCIES ............ 96,638,438 3.03 MEDIUM TERM BONDS .............. 42,260,793 1.33 VARIABLE RATE NOTES ............ 568,904,873 17.87 -------------- ------- TOTAL SHORT TERM INVESTMENTS (COST $ 3,182,396,205) .......... 3,181,097,369 99.90 -------------- ------- ROUNDING ...................... 67 0.00 -------------- ------- TOTAL PORTFOLIO (COST $ 3,182,396,205) .......... 3,181,097,436 99.90 OTHER ASSETS & LIABILITIES, NET 3,211,221 0.10 -------------- ------- NET ASSETS ....................... $3,184,308,657 100.00% ============== ======= ------------------------------------ PRINCIPAL VALUE --------- ----- SHORT TERM INVESTMENTS--99.90% BANK NOTES--1.22% BANK OF NEW YORK $10,000,000 5.500%, 03/12/97 ............. $ 9,964,657 FIRST UNION NATIONAL BANK 12,000,000 5.340%, 08/19/96 ............. 11,997,295 NATIONSBANK SOUTH 17,000,000 5.430%, 11/13/96 ............. 16,981,706 ------------ 38,943,658 ------------ BANKERS ACCEPTANCES--3.62% ABBEY NATIONAL TREASURY SERVICES 25,000,000 5.045%, 03/03/97 ............. 24,839,441 BANK OF BOSTON 4,600,000 5.320%, 07/09/96 ............. 4,594,561 6,900,000 5.370%, 08/09/96 ............. 6,859,859 BANK OF MONTREAL 10,000,000 5.500%, 12/09/96 ............. 9,752,482 CHASE MANHATTAN BANK 7,600,000 4.890%, 07/02/96 ............. 7,598,858 13,100,000 4.870%, 07/15/96 ............. 13,072,652 CHEMICAL BANK 7,000,000 4.880%, 08/02/96 ............. 6,966,510 NATIONAL WESTMINSTER BANK, (U.S.) 4,500,000 4.970%, 07/09/96 ............. 4,494,611 REPUBLIC NATIONAL BANK OF NEW YORK 8,100,000 5.450%, 12/20/96 ............. 7,889,560 30,000,000 5.440%, 12/27/96 ............. 29,174,898 ------------ 115,243,432 ------------ CERTIFICATES OF DEPOSIT--5.79% ABN AMRO BANK NV 20,000,000 5.150%, 09/04/96 ............. 19,984,700 CANADIAN IMPERIAL BANK OF COMMERCE 12,000,000 5.320%, 08/20/96 ............. 11,997,398 COMMERZBANK 20,000,000 5.660%, 04/24/97 ............. 19,912,429 DEUTSCHE BANK 10,000,000 5.600%, 12/31/96 ............. 9,992,930 DRESDNER BANK 25,000,000 5.500%, 10/21/96 ............. 24,995,477 FIRST ALABAMA BANK 15,000,000 5.520%, 10/17/96 ............. 14,998,287 ROYAL BANK OF CANADA 10,000,000 5.620%, 11/29/96 ............. 9,997,986 SOCIETE GENERALE 23,000,000 5.360%, 07/02/96 ............. 23,000,005 SWISS BANK CORP 15,000,000 5.010%, 08/07/96 ............. 14,991,110 WESTDEUTSCHE LANDESBANK 30,000,000 5.320%, 07/15/96 ............. 29,998,771 4,420,000 5.100%, 08/27/96 ............. 4,416,736 ------------ 184,285,829 ------------ COMMERCIAL PAPER--65.48% AIR PRODUCTS & CHEMICALS, INC 12,000,000 5.400%, 09/13/96 ............. 11,861,919 AMERICAN BRANDS, INC 25,000,000 5.320%, 07/08/96 ............. 24,974,138 20,000,000 5.290%, 07/10/96 ............. 19,973,549 10,000,000 5.290%, 08/01/96 ............. 9,952,708 AMERICAN EXPRESS CREDIT CORP 3,733,000 4.890%, 08/02/96 ............. 3,714,726 13,000,000 5.000%, 08/27/96 ............. 12,883,858 AMERICAN HOME PRODUCTS CORP 6,500,000 5.300%, 07/08/96 ............. 6,493,301 25,000,000 # 5.320%, 07/08/96 ............. 24,973,510 50,000,000 # 5.330%, 07/09/96 ............. 49,939,564 7,500,000 # 5.340%, 07/29/96 ............. 7,468,850 11,000,000 # 5.370%, 08/02/96 ............. 10,947,493 AMRO NORTH AMERICAN FINANCE, INC 20,000,000 4.870%, 08/09/96 ............. 19,880,420 20,000,000 5.340%, 11/06/96 ............. 19,602,619 ASSET SECURITIZATION COOPERATIVE CORP 35,000,000 # 5.300%, 07/16/96 ............. 34,919,937 15,000,000 # 5.410%, 08/28/96 ............. 14,865,113 15,000,000 # 5.400%, 09/26/96 ............. 14,797,500 ASSOCIATES CORP OF NORTH AMERICA 13,420,000 5.080%, 07/01/96 ............. 13,420,000 14,930,000 5.380%, 09/09/96 ............. 14,768,254 B.B.V. FINANCE (DELAWARE), INC 26,855,000 5.390%, 09/11/96 ............. 26,555,887 BENEFICIAL CORP 50,000,000 5.290%, 07/10/96 ............. 49,933,874 BETA FINANCE, INC 12,000,000 # 5.330%, 07/15/96 ............. 11,974,522 29,000,000 # 5.280%, 10/23/96 ............. 28,486,361 CANADIAN IMPERIAL HOLDINGS, INC 23,000,000 5.320%, 08/02/96 ............. 22,891,235 CATERPILLAR FINANCIAL SERVICES CORP 13,925,000 5.320%, 10/18/96 ............. 13,689,109 11,420,000 5.300%, 11/15/96 ............. 11,177,325 CHASE MANHATTAN CORP 15,000,000 4.930%, 08/02/96 ............. 14,926,591 CHUBB CAPITAL CORP 9,975,000 4.880%, 08/09/96 ............. 9,915,372 See notes to financial statements. -14- PRINCIPAL VALUE --------- ----- COMMERCIAL PAPER--(CONTINUED) CIESCO LP $10,700,000 5.320%, 07/12/96 ............. $ 10,682,076 14,000,000 5.300%, 07/12/96 ............. 13,976,545 25,000,000 # 5.270%, 08/07/96 ............. 24,858,676 CIT GROUP HOLDINGS, INC 31,580,000 5.380%, 08/15/96 ............. 31,360,005 COCA-COLA ENTERPRISES, INC 15,000,000 # 5.410%, 08/09/96 ............. 14,912,087 COMMERZBANK (U.S.) FINANCE, INC 15,000,000 5.300%, 08/09/96 ............. 14,910,562 CORPORATE ASSET FUNDING CORP 19,473,000 # 5.350%, 08/14/96 ............. 19,345,668 DILLARD INVESTMENT CO, INC 27,387,000 5.310%, 07/22/96 ............. 27,302,168 16,490,000 5.310%, 07/26/96 ............. 16,429,193 DUPONT (E.I.) DE NEMOURS & CO 25,000,000 # 5.330%, 08/07/96 ............. 24,863,048 8,400,000 5.310%, 08/23/96 ............. 8,331,290 FLEET FINANCIAL GROUP, INC 16,981,000 5.340%, 07/26/96 ............. 16,917,350 FORD MOTOR CREDIT CO 45,000,000 5.330%, 07/05/96 ............. 44,973,350 25,000,000 5.410%, 10/23/96 ............. 24,557,388 GENERAL ELECTRIC CAPITAL CORP 25,000,000 5.000%, 07/26/96 ............. 24,906,096 5,000,000 5.380%, 07/26/96 ............. 4,981,260 24,518,000 5.270%, 08/01/96 ............. 24,402,045 8,185,000 5.360%, 10/02/96 ............. 8,066,517 12,890,000 5.360%, 10/03/96 ............. 12,701,426 20,000,000 5.330%, 07/10/96 ............. 19,973,349 31,095,000 5.410%, 08/21/96 ............. 30,850,470 GENERAL SIGNAL CORP 11,095,000 5.320%, 07/11/96 ............. 11,078,604 7,700,000 5.320%, 07/16/96 ............. 7,682,931 6,362,000 5.320%, 07/18/96 ............. 6,346,017 GOLDMAN SACHS GROUP, LP 30,000,000 5.340%, 07/22/96 ............. 29,906,550 18,584,000 5.330%, 07/26/96 ............. 18,515,213 50,000,000 5.330%, 09/04/96 ............. 49,496,305 GTE CORP 29,500,000 5.420%, 07/29/96 ............. 29,375,641 HEINZ (H.J.) CO 16,000,000 5.330%, 07/19/96 ............. 15,957,359 18,517,000 5.330%, 08/02/96 ............. 18,429,270 HOUSEHOLD FINANCE CORP 9,740,000 5.290%, 07/31/96 ............. 9,695,439 17,665,000 5.280%, 08/21/96 ............. 17,526,083 28,060,000 5.380%, 08/28/96 ............. 27,807,672 HOUSTON LIGHTING & POWER CO 32,100,000 5.310%, 07/03/96 ............. 32,090,530 IBM CREDIT CORP 14,000,000 5.340%, 07/24/96 ............. 13,952,236 JOHN DEERE CAPITAL CORP 36,280,000 5.280%, 09/30/96 ............. 35,765,830 MCCORMICK & CO, INC 15,000,000 4.880%, 10/18/96 ............. 14,745,517 9,000,000 4.950%, 10/25/96 ............. 8,837,650 MCGRAW-HILL, INC 15,000,000 4.880%, 08/09/96 ............. 14,910,316 MCKENNA TRIANGLE NATIONAL CORP 18,415,000 # 5.300%, 07/09/96 ............. 18,392,741 20,000,000 # 5.310%, 07/22/96 ............. 19,938,050 22,000,000 # 5.370%, 08/21/96 ............. 21,826,993 25,000,000 # 5.330%, 09/04/96 ............. 24,748,152 14,270,000 # 5.380%, 09/16/96 ............. 14,099,219 MERRILL LYNCH & CO, INC 5,895,000 5.360%, 07/17/96 ............. 5,880,956 35,000,000 5.350%, 07/23/96 ............. 34,885,569 22,630,000 5.000%, 07/26/96 ............. 22,544,998 25,000,000 5.300%, 09/30/96 ............. 24,645,721 10,000,000 5.300%, 10/16/96 ............. 9,833,666 MORGAN, (J.P.) & CO 5,253,000 5.030%, 08/29/96 ............. 5,204,882 11,000,000 5.000%, 09/06/96 ............. 10,885,630 MORGAN STANLEY GROUP, INC 40,000,000 5.300%, 07/01/96 ............. 40,000,000 26,000,000 5.290%, 07/08/96 ............. 25,973,256 25,000,000 5.060%, 08/02/96 ............. 24,877,727 NATIONAL FUEL GAS CO 10,000,000 5.400%, 08/13/96 ............. 9,935,500 NATIONSBANK CORP 13,000,000 5.340%, 07/08/96 ............. 12,986,225 11,000,000 5.300%, 10/21/96 ............. 10,808,569 NTL RURAL UTILITIES COOPERATIVE FINANCE 27,990,000 5.270%, 07/16/96 ............. 27,928,538 10,000,000 5.370%, 08/19/96 ............. 9,926,908 NYNEX 17,000,000 5.320%, 07/17/96 ............. 16,958,596 21,083,000 5.380%, 08/09/96 ............. 20,960,121 PHILIP MORRIS COS, INC 23,714,000 5.280%, 07/23/96 ............. 23,634,881 64,690,000 5.280%, 07/26/96 ............. 64,447,434 10,000,000 5.280%, 08/02/96 ............. 9,951,164 PITNEY BOWES 8,500,000 5.400%, 09/10/96 ............. 8,406,627 SAINT PAUL COS 21,400,000 5.320%, 07/10/96 ............. 21,371,537 SEARS ROEBUCK ACCEPTANCE CORP 7,867,000 5.100%, 07/02/96 ............. 7,865,789 64,260,000 5.350%, 07/10/96 ............. 64,174,051 15,000,000 5.300%, 09/09/96 ............. 14,837,429 SOCIETE GENERALE NORTH AMERICA, INC 20,000,000 4.910%, 07/22/96 ............. 19,936,068 TORONTO DOMINION HOLDINGS (U.S.) 20,000,000 5.040%, 07/09/96 ............. 19,975,825 WALT DISNEY CO 15,000,000 5.280%, 11/25/96 ............. 14,658,150 7,600,000 5.450%, 12/18/96 ............. 7,397,776 3,055,000 5.450%, 12/27/96 ............. 2,968,816 5,140,000 5.450%, 12/30/96 ............. 4,992,582 20,000,000 # 5.220%, 01/13/97 ............. 19,382,247 WHIRLPOOL FINANCE 35,000,000 5.300%, 07/10/96 ............. 34,953,624 15,000,000 5.350%, 07/25/96 ............. 14,946,499 XEROX CREDIT CORP 25,000,000 5.380%, 09/11/96 ............. 24,721,534 7,000,000 5.300%, 01/10/97 ............. 6,787,114 ------------- 2,085,058,631 ------------- EURO CERTIFICATES OF DEPOSIT--1.56% ABBEY NATIONAL TREASURY SERVICES 25,000,000 5.500%, 03/11/97 ............. 24,913,415 MORGAN GUARANTY TRUST CO 25,000,000 5.080%, 02/28/97 ............. 24,848,300 ----------- 49,761,715 ----------- See notes to financial statements. -15- PRINCIPAL VALUE --------- ----- GOVERNMENT AGENCIES--3.03% FEDERAL FARM CREDIT BANKS $25,000,000 4.960%, 07/01/96 ............. $25,000,000 FEDERAL HOME LOAN BANKS 6,925,000 4.930%, 07/24/96 ............. 6,901,700 820,000 4.910%, 08/01/96 ............. 816,270 50,000,000 5.100%, 09/06/96 ............. 49,498,886 FEDERAL NATIONAL MORTGAGE ASSOCIATION 14,460,000 5.020%, 07/19/96 ............. 14,421,582 ----------- 96,638,438 ----------- MEDIUM TERM BONDS--1.33% ABBEY NATIONAL TREASURY SERVICES 5,000,000 5.045%, 03/03/97 ............. 4,967,189 GENERAL ELECTRIC CAPITAL CORP 20,000,000 5.200%, 01/17/97 ............. 19,921,993 MORGAN STANLEY GROUP, INC 8,150,000 7.790%, 02/03/97 ............. 8,243,684 PITNEY BOWES CREDIT CORP 9,150,000 5.625%, 02/15/97 ............. 9,127,927 ----------- 42,260,793 ----------- VARIABLE RATE NOTES--17.87% AMERICAN EXPRESS CENTURION BANK 25,000,000 5.454%, 10/15/96 ............. 25,000,000 5,000,000 5.390%, 10/18/96 ............. 5,000,000 10,000,000 5.395%, 10/23/96 ............. 10,000,000 15,000,000 5.407%, 11/07/96 ............. 15,000,000 20,000,000 5.390%, 11/08/96 ............. 20,000,000 15,000,000 5.410%, 11/14/96 ............. 15,000,000 BANC ONE, DAYTON, N.A. 15,000,000 5.330%, 01/27/97 ............. 14,980,500 BANC ONE, MILWAUKEE, N.A. 25,000,000 5.330%, 09/05/96 ............. 25,000,000 BANK OF BOSTON 8,000,000 5.370%, 11/13/96 ............. 8,000,000 BENEFICIAL CORP 25,000,000 5.404%, 12/02/96 ............. 24,994,666 25,000,000 5.461%, 03/05/97 ............. 24,977,500 BETA FINANCE, INC 25,000,000 # 5.456%, 05/15/97 ............. 25,000,000 BOATMANS BANK KANSAS CITY 30,000,000 5.446%, 07/15/96 ............. 30,000,000 CORESTATES BANK NA/PHILADELPHIA NATIONAL BANK 33,000,000 5.380%, 12/27/96 ............. 33,000,000 FCC NATIONAL BANK 25,000,000 5.360%, 01/27/97 ............. 24,965,000 FIRST UNION NATIONAL BANK, CHARLOTTE 30,000,000 5.220%, 09/16/96 ............. 30,000,000 FORD MOTOR CREDIT CO 10,000,000 5.326%, 02/03/97 ............. 10,004,666 GENERAL MOTORS ACCEPTANCE CORP 40,000,000 5.670%, 11/15/96 ............. 40,000,000 HOUSEHOLD FINANCE CORP 25,000,000 5.472%, 05/23/97 ............. 24,993,375 HUNTINGTON NATIONAL BANK 25,000,000 5.345%, 12/02/96 ............. 25,000,000 PNC BANK, N.A. 25,000,000 5.320%, 10/04/96 ............. 25,000,000 SEARS ROEBUCK ACCEPTANCE CORP 12,000,000 5.464%, 03/25/97 ............. 12,000,000 SOCIETY NATIONAL BANK, CLEVELAND 25,000,000 5.385%, 02/14/97 ............. 25,000,000 SOUTHTRUST BANK OF ALABAMA 25,000,000 5.414%, 01/08/97 ............. 25,000,000 25,000,000 5.440%, 05/22/97 ............. 24,989,166 XEROX CREDIT CORP 7,000,000 5.575%, 08/09/96 ............. 7,000,000 19,000,000 5.470%, 03/10/97 ............. 19,000,000 -------------- 568,904,873 -------------- TOTAL SHORT TERM INVESTMENTS (COST $3,182,396,205) ....... 3,181,097,369 -------------- ROUNDING................. 67 -------------- TOTAL PORTFOLIO (COST $3,182,396,205) ....... $3,181,097,436 ============== - ---------------- # RESTRICTED See notes to financial statements. -16- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--BOND MARKET ACCOUNT (UNAUDITED) JUNE 30, 1996 SUMMARY VALUE % ----- ----- BONDS CORPORATE BONDS AIR TRANSPORTATION ............. $ 9,299,778 1.05% AUTOMOTIVE & RELATED ........... 4,976,050 0.56 BANKS .......................... 35,030,175 3.97 BROADCASTERS ................... 1,989,420 0.22 CHEMICALS--MAJOR ............... 3,225,780 0.37 FINANCIAL--MISCELLANEOUS ....... 20,665,729 2.34 FOODS .......................... 2,004,500 0.23 HEALTHCARE--HOSPITAL SUPPLY .... 4,978,200 0.56 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY .......... 5,436,900 0.62 METALS--STEEL .................. 2,786,040 0.32 PAPER .......................... 5,922,060 0.67 PETROLEUM - EXPLORATION & PRODUCTION ...... 7,812,649 0.88 TOBACCO ........................ 2,555,450 0.29 UTILITIES--ELECTRIC ............ 13,160,030 1.49 UTILITIES--GAS & PIPELINE ...... 14,272,572 1.62 UTILITIES--TELEPHONE ........... 6,949,450 0.79 ------------ ------ TOTAL CORPORATE BONDS (COST $ 143,102,724) ........... 141,064,783 15.98 ------------ ------ GOVERNMENT BONDS AGENCY SECURITIES ............. 11,850,138 1.34 FOREIGN GOVERNMENT BONDS ...... 9,445,380 1.07 MORTGAGE BACKED SECURITIES .... 255,584,803 28.95 U.S. GOVERNMENT BONDS ......... 3,006,562 0.34 U.S. TREASURY SECURITIES ...... 443,119,620 50.19 ------------ ------ TOTAL GOVERNMENT BONDS (COST $ 728,749,886) ........... 723,006,503 81.89 ------------ ------ TOTAL BONDS (COST $ 871,852,610) ............ 864,071,286 97.87 ------------ ------ SHORT TERM INVESTMENTS COMMERCIAL PAPER ................ 9,143,365 1.04 ------------ ------ TOTAL SHORT TERM INVESTMENTS (COST $ 9,145,022) .............. 9,143,365 1.04 ------------ ------ ROUNDING ...................... 52 0.00 ------------ ------ TOTAL PORTFOLIO (COST $ 880,997,632) ............ 873,214,703 98.91 OTHER ASSETS & LIABILITIES, NET 9,647,316 1.09 ------------ ------ NET ASSETS ....................... $882,862,019 100.00% ============ ====== ----------------------------------------- PRINCIPAL VALUE --------- ----- BONDS--97.87% CORPORATE BONDS--15.98% AIR TRANSPORTATION--1.05% DELTA AIRLINES, INC NOTE $5,100,000 9.875%, 01/01/98 ............. $ 5,330,418 FEDERAL EXPRESS CORP NOTE 4,000,000 6.250%, 04/15/98 ............. 3,969,360 ------------ 9,299,778 ------------ AUTOMOTIVE & RELATED--0.56% FORD MOTOR CREDIT CO NOTE 5,000,000 6.850%, 08/15/00 ............. 4,976,050 ------------ BANKS--3.97% ABBEY NATIONAL PLC (SUBORDINATED NOTE) 3,000,000 6.690%, 10/17/05 ............. 2,885,100 ASSOCIATES CORP (SR NOTE) 3,000,000 6.250%, 09/15/00 ............. 2,935,260 CAPITAL ONE BANK NOTE 5,000,000 8.125%, 02/27/98 ............. 5,111,600 CHASE MANHATTAN CORP (NEW) (SUBORDINATED NOTE) 5,000,000 8.800%, 02/01/00 ............. 5,075,350 CHASE MANHATTAN CREDIT CARD MASTER TRUST SERIES 1996-4 (ASSET BACKED CERT) 5,000,000 6.730%, 02/15/02 ............. 5,029,650 FIRST CHICAGO MASTER TRUST II SERIES 1992-E (ASSET BACKED CERT) 2,000,000 6.250%, 08/15/99 ............. 1,998,740 HOUSEHOLD INTERNATIONAL NETHERLANDS (SR NOTE) 3,000,000 6.125%, 03/01/03 ............. 2,847,840 KOREA BANK DEVELOPMENT (SR NOTE) 4,000,000 7.250%, 05/15/06 ............. 3,940,120 NATIONSBANK AUTO GRANTOR TRUST SERIES 1995-A (ASSET BACKED CERT) 2,242,394 5.850%, 06/15/02 ............. 2,235,675 NORWEST CORP (MEDIUM TERM SR NOTE) 3,000,000 6.250%, 04/15/99 ............. 2,970,840 ------------ 35,030,175 ------------ BROADCASTERS--0.22% BLOCKBUSTER ENTERTAINMENT CORP (SR NOTE) 2,000,000 6.625%, 02/15/98 1,989,420 ------------ See notes to financial statements. -17- PRINCIPAL VALUE - --------- ----- CHEMICALS--MAJOR--0.37% METHANEX CORP (SR SECURED NOTE) $3,000,000 8.875%, 11/15/01 ............. $ 3,225,780 ------------ FINANCIAL--MISCELLANEOUS--2.34% AMERICAN EXPRESS MASTER TRUST SERIES 1992-1 (ACCTS REC TRUST CERT) 3,000,000 6.050%, 06/15/98 ............. 2,997,180 CHEVY CHASE MASTER CREDIT CARD TRUST SERIES 1994-1 (ASSET BACKED CERT) 3,000,000 7.150%, 05/15/15 ............. 2,993,437 CITICORP MORTGAGE SECURITIES, INC SERIES 88-6 (CLASS A-3) 849,236 7.250%, 11/01/11 ............. 838,620 LEHMAN BROTHERS HOLDINGS (MEDIUM TERM NOTE) 5,000,000 7.850%, 05/11/98 ............. 5,105,700 RESIDENTIAL ASSET SECURITIZATION TRUST SERIES 1996-A1 (CLASS A-3) 5,250,000 6.150%, 03/25/26 ............. 5,057,832 SUN AMERICA, INC NOTE 3,500,000 9.000%, 01/15/99 ............. 3,672,960 ------------ 20,665,729 ------------ FOODS--0.23% GRAND METROPOLITAN INVESTMENT CORP (GUARANTEED NOTE) 2,000,000 8.125%, 08/15/96 ............. 2,004,500 ------------ HEALTHCARE--HOSPITAL SUPPLY--0.56% COLUMBIA HCA NOTE 5,000,000 6.500%, 03/15/99 ............. 4,978,200 ------------ INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--0.62% AMERICAN REINSURANCE CORP (SUBORDINATED DEB) 5,000,000 10.875%, 09/15/04 ............ 5,436,900 ------------ METALS--STEEL--0.32% COMINCO LTD (MEDIUM TERM NOTE) 3,000,000 6.875%, 02/15/06 ............. 2,786,040 ------------ PAPER--0.67% CHAMPION INTERNATIONAL CORP NOTE 3,000,000 7.700%, 12/15/99 ............. 3,061,950 SMURFIT CAPITAL FUNDING PLC (GUARANTEED NOTE) 3,000,000 6.750%, 11/20/05 ............. 2,860,110 ------------ 5,922,060 ------------ PETROLEUM-- EXPLORATION & PRODUCTION--0.88% PHILIPS PETROLEUM CO NOTE 7,500,000 9.500%, 11/15/97 ............. 7,812,649 ------------ TOBACCO--0.29% PHILIP MORRIS COS, INC NOTE 2,500,000 8.750%, 06/15/97 ............. 2,555,450 ------------ UTILITIES--ELECTRIC--1.49% COMMONWEALTH EDISON CO NOTE 3,000,000 6.500%, 07/15/97 ............. 2,994,480 HYDRO-QUEBEC DEB 5,000,000 10.700%, 10/15/07 ............ 5,278,900 PHILADELPHIA ELECTRIC CO (FIRST & REFUNDING BOND) 5,000,000 5.375%, 08/15/98 ............. 4,886,650 ------------ 13,160,030 ------------ UTILITIES--GAS & PIPELINE--1.62% BURLINGTON RES, INC NOTE 3,250,000 7.150%, 05/01/99 ............. 3,285,522 EL PASO ELECTRIC CO (FIRST MTGE BOND) 1,000,000 7.250%, 02/01/99 ............. 984,600 PETRO-CANADA 5,000,000 7.875%, 06/15/26 ............. 5,056,600 PETROLIAM NASIONAL BERHAD NOTE 5,000,000 7.125%, 08/15/05 ............. 4,945,850 ------------ 14,272,572 ------------ UTILITIES--TELEPHONE--0.79% CINCINNATI BELL, INC NOTE 2,000,000 6.700%, 12/15/97 ............. 2,004,000 TELEKOM MALAYSIA BERHAD NOTE 5,000,000 7.125%, 08/01/05 ............. 4,945,450 ------------ 6,949,450 ------------ TOTAL CORPORATE BONDS (COST $143,102,724) ............. 141,064,783 ------------ See notes to financial statements. -18- PRINCIPAL VALUE - --------- ----- GOVERNMENT BONDS--81.89% AGENCY SECURITIES--1.34% FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) $ 3,800,000 7.000%, 10/29/01 ............. $ 3,791,678 3,000,000 8.250%, 12/18/00 ............. 3,207,660 5,000,000 6.850%, 09/12/05 ............. 4,850,800 ------------ 11,850,138 ------------ FOREIGN GOVERNMENT BONDS--1.07% PROVINCE OF NOVIA SCOTIA NOTE 3,000,000 8.750%, 04/01/22 ............. 3,339,150 PROVINCE OF ONTARIO NOTE 3,000,000 6.125%, 06/28/00 ............. 2,951,970 REPUBLIC OF FINDLAND NOTE 3,000,000 7.875%, 07/28/04 ............. 3,154,260 ------------ 9,445,380 ------------ MORTGAGE BACKED SECURITIES--28.95% FEDERAL HOME LOAN MORTGAGE CORP (FHLMC) 4,742,512 5.500%, 09/01/00 ............. 4,570,595 984,768 7.000%, 09/01/10 ............. 972,970 2,021,005 7.000%, 03/01/11 ............. 1,993,842 7,089,446 6.000%, 04/01/11 ............. 6,708,388 491,610 8.000%, 03/01/23 ............. 497,293 677,327 8.000%, 04/01/23 ............. 685,895 3,666,536 7.000%, 05/01/23 ............. 3,546,200 1,033,998 8.000%, 07/01/24 ............. 1,044,007 1,214,026 8.000%, 10/01/24 ............. 1,225,777 626,673 8.000%, 01/01/25 ............. 632,739 1,947,990 8.000%, 06/01/25 ............. 1,964,410 1,098,574 8.000%, 11/01/25 ............. 1,109,208 4,840,453 6.500%, 12/01/25 ............. 4,533,374 10,048,424 7.500%, 12/01/25 ............. 9,922,818 986,701 8.000%, 12/01/25 ............. 995,018 10,120,028 7.000%, 01/01/26 ............. 9,743,664 1,016,313 8.000%, 01/01/26 ............. 1,024,880 5,086,580 6.500%, 04/01/26 ............. 4,763,887 2,028,848 8.000%, 04/01/26 ............. 2,045,950 FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 4,450,093 7.500%, 08/01/01 ............. 4,494,593 4,872,863 6.000%, 12/01/02 ............. 4,694,662 4,726,980 7.000%, 04/01/09 ............. 4,683,113 18,132,301 6.500%, 05/01/09 ............. 17,673,191 4,306,056 7.500%, 11/01/10 ............. 4,324,873 2,002,924 7.000%, 05/01/11 ............. 1,976,004 4,648,020 8.000%, 06/01/11 ............. 4,740,980 2,018,612 6.500%, 02/01/16 ............. 1,918,811 1,003,459 6.500%, 03/01/16 ............. 953,847 2,026,570 6.500%, 04/01/16 ............. 1,928,402 5,000,000 7.410%, 03/25/21 ............. 5,007,812 1,329,279 9.000%, 02/01/25 ............. 1,387,009 2,136,427 9.000%, 03/01/25 ............. 2,229,211 4,223,340 8.500%, 05/01/25 ............. 4,334,202 5,934,051 8.000%, 06/01/25 ............. 5,978,556 908,243 8.000%, 07/01/25 ............. 915,054 12,599,889 7.000%, 08/01/25 ............. 12,119,455 5,881,452 8.500%, 08/01/25 ............. 6,035,840 1,950,655 6.500%, 09/01/25 ............. 1,824,466 954,544 7.000%, 10/01/25 ............. 918,147 2,868,183 7.000%, 11/01/25 ............. 2,758,818 7,776,219 6.500%, 12/01/25 ............. 7,273,174 965,705 7.000%, 12/01/25 ............. 928,882 3,651,332 8.000%, 12/01/25 ............. 3,678,716 801,921 8.000%, 01/01/26 ............. 807,935 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) 821,042 8.500%, 10/15/09 ............. 853,366 5,665,741 9.000%, 12/15/09 ............. 5,911,804 1,515,768 8.500%, 12/15/09 ............. 1,575,443 1,495,745 8.500%, 01/15/10 ............. 1,555,311 301,309 9.000%, 06/15/16 ............. 318,727 322,891 9.000%, 08/15/16 ............. 341,557 905,686 9.000%, 09/15/16 ............. 957,924 288,163 9.000%, 10/15/16 ............. 304,579 275,198 9.000%, 11/15/16 ............. 291,107 809,815 9.000%, 12/15/16 ............. 856,213 3,449,691 9.500%, 12/15/16 ............. 3,713,764 290,525 9.000%, 07/15/17 ............. 307,613 286,426 9.000%, 06/15/20 ............. 301,910 7,268,793 6.500%, 09/15/23 ............. 6,814,493 4,807,059 6.500%, 01/15/24 ............. 4,502,147 19,158,131 7.000%, 02/15/24 ............. 18,463,648 2,752,474 6.500%, 03/15/24 ............. 2,577,884 4,388,605 8.000%, 06/15/24 ............. 4,432,491 5,699,885 6.500%, 09/15/24 ............. 5,338,341 654,610 8.500%, 11/15/24 ............. 673,017 6,676,752 9.000%, 01/15/25 ............. 6,987,619 710,419 8.500%, 04/15/25 ............. 730,395 248,445 8.500%, 05/15/25 ............. 255,431 1,828,142 8.000%, 06/15/25 ............. 1,844,138 5,596,027 8.500%, 06/15/25 ............. 5,753,384 2,810,729 8.000%, 08/15/25 ............. 2,835,322 1,948,844 7.000%, 12/15/25 ............. 1,868,454 12,775,817 7.500%, 12/15/25 ............. 12,592,100 RESOLUTION TRUST CORP SERIES 1992-8 (CLASS A-2) (MTGE PASS-THROUGH CERT) 1,060,396 8.250%, 12/25/26 1,059,953 ------------ 255,584,803 ------------ See notes to financial statements. -19- PRINCIPAL VALUE - --------- ----- U.S. GOVERNMENT BONDS--0.34% NEW YORK CITY TAX LIEN (COLLECTIBLE BOND) $ 3,000,000 6.810%, 05/25/05 ............ $ 3,006,562 ------------- U.S. TREASURY SECURITIES--50.19% U.S. TREASURY BONDS 41,000,000 7.250%, 05/15/16 ............ 41,961,040 21,000,000 8.000%, 11/15/21 ............ 23,352,630 44,500,000 7.125%, 02/15/23 ............ 44,979,710 U.S. TREASURY NOTES 25,000,000 8.875%, 11/15/97 ............ 25,933,500 21,000,000 6.125%, 05/15/98 ............ 21,000,000 31,000,000 8.250%, 07/15/98 ............ 32,225,430 31,500,000 8.875%, 02/15/99 ............ 33,463,710 31,000,000 7.750%, 11/30/99 ............ 32,278,750 13,000,000 7.750%, 01/31/00 ............ 13,550,420 34,000,000 8.750%, 08/15/00 ............ 36,820,980 40,000,000 7.875%, 08/15/01 ............ 42,374,800 25,000,000 5.750%, 08/15/03 ............ 23,808,500 24,000,000 7.250%, 05/15/04 ............ 24,866,160 42,000,000 6.500%, 05/15/05 ............ 41,448,540 5,000,000 6.875%, 05/15/06 ............ 5,055,450 ------------ 443,119,620 ------------ TOTAL GOVERNMENT BONDS (COST $728,749,886) ......... 723,006,503 ------------ TOTAL BONDS (COST $871,852,610) .......... 864,071,286 ------------ SHORT TERM INVESTMENTS--1.04% COMMERCIAL PAPER--1.04% CAMPBELL SOUP CO 3,750,000 5.310%, 07/10/96 3,744,193 UBS FINANCE, INC 5,400,000 5.580%, 07/01/96 5,399,172 ------------ 9,143,365 ------------ TOTAL SHORT TERM INVESTMENTS (COST $9,145,022) ...... 9,143,365 ------------ ROUNDING 52 ------------ TOTAL PORTFOLIO (COST $880,997,632) .... $873,214,703 ============ See notes to financial statements. -20- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT (UNAUDITED) JUNE 30, 1996 SUMMARY VALUE % ----- ----- BONDS CORPORATE BONDS AIR TRANSPORTATION ............... $ 2,704,465 0.20% BANKS ............................ 14,404,664 1.07 BROADCASTERS ..................... 10,081,993 0.75 BUSINESS SERVICES ................ 1,057,590 0.08 FINANCIAL--MISCELLANEOUS ......... 18,571,240 1.38 FOODS ............................ 1,812,840 0.13 HEALTHCARE--DRUGS ................ 3,240,300 0.24 HEALTHCARE--HOSPITAL SUPPLY ...... 2,977,800 0.22 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY ............ 1,487,925 0.11 PUBLISHING--OTHER ................ 3,032,490 0.22 RETAIL--FOOD ..................... 2,130,000 0.16 RETAIL--GENERAL MERCHANDISE ...... 14,096,679 1.04 UTILITIES--ELECTRIC .............. 12,413,490 0.92 UTILITIES--TELEPHONE ............. 9,628,545 0.71 ------------ ----- TOTAL CORPORATE BONDS (COST $ 99,225,337) ............. 97,640,021 7.23 ------------ ----- GOVERNMENT BONDS AGENCY SECURITIES ................ 14,414,090 1.07 MORTGAGE BACKED SECURITIES ....... 148,205,024 10.98 U.S. TREASURY SECURITIES ......... 241,935,740 17.93 ------------ ----- TOTAL GOVERNMENT BONDS (COST $ 408,651,217) ............ 404,554,854 29.98 ------------ ----- TOTAL BONDS (COST $ 507,876,554) ............ 502,194,875 37.21 ------------ ----- PREFERRED STOCK BUSINESS SERVICES ................ 651,984 0.05 ------------ ----- TOTAL PREFERRED STOCK (COST $ 642,396) ................ 651,984 0.05 ------------ ----- COMMON STOCK AIR TRANSPORTATION ............... 9,952,631 0.74 AUTOMOTIVE & RELATED ............. 12,343,624 0.91 BANKS ............................ 66,239,899 4.91 BEVERAGES ........................ 34,289,700 2.54 BROADCASTERS ..................... 5,669,173 0.42 BUSINESS SERVICES ................ 2,238,840 0.17 CHEMICALS--MAJOR ................. 10,609,600 0.79 CHEMICALS--SPECIALTY ............. 14,609,204 1.08 COMMUNICATION EQUIPMENT & SERVICES 8,786,766 0.65 COMPUTER SERVICE ................. 24,111,132 1.79 CONGLOMERATES .................... 17,676,950 1.31 COSMETICS ........................ 13,648,450 1.01 ELECTRICAL EQUIPMENT ............. 2,798,125 0.21 ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED ......... 19,007,232 1.41 ELECTRICAL EQUIPMENT--INSTRUMENTS 1,329,800 0.10 FINANCIAL--MISCELLANEOUS ......... 38,158,564 2.83 FOODS ............................ 38,939,668 2.88 HEALTHCARE--DRUGS ................ 44,388,831 3.29 HEALTHCARE--HOSPITAL SUPPLY ...... 25,535,100 1.89 HEALTHCARE--OTHER ................ 5,282,587 0.39 HEALTHCARE--SERVICE .............. 8,029,084 0.59 HOUSEHOLD--DURABLE GOODS ......... 5,149,100 0.38 HOUSEHOLD--PRODUCTS .............. 30,659,637 2.27 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY ............ 35,237,292 2.61 LEISURE TIME ..................... 16,292,332 1.21 MACHINERY ........................ 13,076,943 0.97 METALS--ALUMINIUM ................ 2,679,075 0.20 METALS--GOLD ..................... 3,950,762 0.29 METALS--STEEL .................... 8,319,898 0.62 OFFICE EQUIPMENT ................. 40,478,862 3.00 PAPER ............................ 14,314,525 1.06 PETROLEUM-- EXPLORATION & PRODUCTION ....... 20,954,248 1.55 PETROLEUM--SERVICE ............... 22,561,564 1.67 PROPERTY--REAL ESTATE ............ 4,611,250 0.34 PUBLISHING--NEWSPAPER ............ 12,203,060 0.90 PUBLISHING--OTHER ................ 13,692,494 1.01 RAILROAD ......................... 11,898,900 0.88 RESTAURANTS & HOTELS ............. 13,727,775 1.02 RETAIL--FOOD ..................... 5,344,762 0.40 RETAIL--GENERAL MERCHANDISE ...... 28,854,867 2.14 TEXTILE & APPAREL ................ 6,773,725 0.50 TRUCKERS & SHIPPING .............. 2,793,037 0.21 UTILITIES--ELECTRIC .............. 22,985,499 1.70 UTILITIES--GAS & PIPELINE ........ 23,862,499 1.77 UTILITIES--TELEPHONE ............. 66,775,446 4.95 -------------- ------ TOTAL COMMON STOCK (COST $ 579,701,447) ............ 830,842,512 61.56 -------------- ------ SHORT TERM INVESTMENTS COMMERCIAL PAPER ................ 8,098,767 0.60 -------------- ------ TOTAL SHORT TERM INVESTMENTS (COST $ 8,100,000) .............. 8,098,767 0.60 -------------- ------ ROUNDING ...................... 78 0.00 -------------- ------ TOTAL PORTFOLIO (COST $ 1,096,320,397) .......... 1,341,788,216 99.42 -------------- ------ OTHER ASSETS & LIABILITIES, NET 7,855,642 0.58 -------------- ------ NET ASSETS ......................... $1,349,643,858 100.00% ============== ====== See notes to financial statements. -21- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT (UNAUDITED) JUNE 30, 1996 PRINCIPAL VALUE --------- ----- BONDS--37.21% CORPORATE BONDS--7.23% AIR TRANSPORTATION--0.20% DELTA AIRLINES, INC SERIES 1992-B1 (PASS-THRU CERT) $2,598,499 8.270%, 09/23/07 ............. $ 2,704,465 ----------- BANKS--1.07% BANKAMERICA CORP (SUBORDINATED NOTE) 2,000,000 9.750%, 07/01/00 ............. 2,175,900 BARNETT BANK, INC (MEDIUM TERM SR NOTE) 4,000,000 6.250%, 07/28/98 ............. 3,985,000 FIRST CHICAGO MASTER TRUST II SERIES 1992-E (ASSET BACKED CERT) 4,000,000 6.250%, 08/15/99 ............. 3,997,480 FLEET MORTGAGE GROUP, INC NOTE 1,200,000 6.500%, 09/15/99 ............. 1,193,484 FLEET FINANCIAL GROUP, INC NOTE 3,000,000 7.625%, 12/01/99 ............. 3,052,800 ----------- 14,404,664 ----------- BROADCASTERS--0.75% BLOCKBUSTER ENTERTAINMENT CORP (SR NOTE) 3,000,000 6.625%, 02/15/98 ............. 2,984,130 CAPITAL CITY ABC, INC NOTE 3,000,000 8.875%, 12/15/00 ............. 3,229,860 COX COMMUNICIATIONS, INC (NEW) (CLASS A) NOTE 3,500,000 8.700%, 06/15/99 ............. 3,680,428 VIACOM INTERNATIONAL, INC (SUBORDINATED DEB) 205,000 8.000%, 07/07/06 ............. 187,575 ----------- 10,081,993 ----------- BUSINESS SERVICES--0.08% DELUXE CORP NOTE 1,000,000 8.550%, 02/15/01 ............. 1,057,590 ----------- FINANCIAL--MISCELLANEOUS--1.38% AMERICAN EXPRESS CREDIT CORP NOTE 2,000,000 6.125%, 11/15/01 ............. 1,933,940 ARISTAR, INC SR NOTE 1,000,000 7.750%, 06/15/01 ............. 1,028,510 DISCOVER CARD TRUST SERIES 1993-B (PASS-THRU CERT) 3,000,000 6.750%, 02/15/00 ............. 2,992,500 HOUSEHOLD INTERNATIONAL NETHERLANDS BV SR NOTE 4,000,000 5.250%, 10/15/98 ............. 3,875,560 MORGAN STANLY GROUP (SR NOTE) 4,000,000 5.750%, 02/15/01 ............. 3,807,480 TRAVELLERS, INC NOTE 5,000,000 5.750%, 04/15/98 ............. 4,933,250 ----------- 18,571,240 ----------- FOODS--0.13% CAMPBELL SOUP CO NOTE 2,000,000 5.625%, 09/15/03 ............. 1,812,840 ----------- HEALTHCARE--DRUGS--0.24% LYONDELL PETROCHEMICAL CO NOTE 3,000,000 10.000%, 06/01/99 ............ 3,240,300 ----------- HEALTHCARE--HOSPITAL SUPPLY--0.22% COLUMBIA HCA NOTE 3,000,000 7.250%, 05/20/08 ............. 2,977,800 ----------- INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--0.11% CHUBB CAPITAL CORP NOTE 1,500,000 6.875%, 02/01/03 ............. 1,487,925 ----------- PUBLISHING--OTHER--0.22% TIME WARNER NOTE 3,000,000 7.450%, 02/01/98 ............. 3,032,490 ----------- RETAIL--FOOD--0.16% KROGER CO (SR SUBORDINATED NOTE) 2,000,000 10.000%, 05/01/99 ............ 2,130,000 ----------- RETAIL--GENERAL MERCHANDISE--1.04% DILLIARD DEPARTMENT STORES, INC NOTE 2,000,000 7.150%, 09/01/02 ............. 2,006,000 MAY DEPARTMENT STORES CO NOTE 3,000,000 7.150%, 08/15/04 ............. 2,962,020 SEARS ROEBUCK & CO NOTE 1,100,000 9.250%, 04/15/98 ............. 1,150,919 SEARS ROEBUCK & CO (MEDIUM TERM NOTE) 4,000,000 7.250%, 08/05/97 ............. 4,051,400 WAL-MART STORES, INC NOTE 2,000,000 6.125%, 10/01/99 ............. 1,960,100 WAL-MART STORES, INC DEB 2,000,000 7.250%, 06/01/13 ............. 1,966,240 ----------- 14,096,679 ----------- UTILITIES--ELECTRIC--0.92% IDAHO POWER CO (FIRST MTGE BOND) 1,000,000 8.650%, 01/01/00 ............. 1,046,820 PUGET SOUND POWER & LIGHT CO (MEDIUM TERM NOTE) 6,000,000 7.875%, 10/01/97 ............. 6,119,820 PUGET SOUND POWER & LIGHT CO (MEDIUM TERM NOTE) 5,000,000 8.060%, 06/19/06 ............. 5,246,850 ----------- 12,413,490 ----------- UTILITIES--TELEPHONE--0.71% NEW YORK TELEPHONE CO DEB 3,000,000 7.250%, 02/15/24 ............. 2,805,360 PACIFIC NORTHWEST BELL TELEPHONE CO NOTE 1,500,000 7.500%, 12/01/96 ............. 1,508,910 SOUTHWESTERN BELL TELEPHONE CO NOTE 3,000,000 6.250%, 10/15/02 ............. 2,906,550 U.S. WEST COMMUNICATIONS, INC NOTE 2,500,000 6.625%, 09/15/05 ............. 2,407,725 ----------- 9,628,545 ----------- TOTAL CORPORATE BONDS (COST $99,225,337) ..... ......... 97,640,021 ----------- See notes to financial statements. -22- PRINCIPAL VALUE --------- ----- GOVERNMENT BONDS--29.98% AGENCY SECURITIES--1.07% FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) $3,000,000 6.670%, 09/05/00 ............. $ 2,980,770 2,000,000 6.375%, 10/13/00 ............. 1,972,500 1,000,000 8.250%, 12/18/00 ............. 1,069,220 8,000,000 5.800%, 02/22/06 ............. 7,361,600 1,000,000 7.400%, 07/01/04 ............. 1,030,000 ----------- 14,414,090 ----------- MORTGAGE BACKED SECURITIES--10.98% FEDERAL HOME LOAN MORTGAGE CORP (FHLMC) 2,045,000 6.000%, 10/15/10 ............. 2,018,399 6,077,286 7.000%, 04/01/11 ............. 5,995,607 737,225 8.000%, 12/01/22 ............. 746,204 429,917 8.000%, 01/01/23 ............. 435,153 1,467,481 7.000%, 05/01/23 ............. 1,419,318 948,963 8.000%, 05/01/23 ............. 959,040 2,893,415 7.000%, 12/01/25 ............. 2,785,807 6,110,650 7.500%, 04/01/26 ............. 6,034,266 5,086,580 6.500%, 04/01/26 ............. 4,763,887 FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 4,450,093 7.500%, 08/01/01 ............. 4,494,593 4,872,863 6.000%, 12/01/02 ............. 4,694,662 871,280 8.500%, 02/01/05 ............. 900,920 7,011,817 6.500%, 05/01/11 ............. 6,781,687 5,025,010 7.000%, 05/01/11 ............. 4,957,473 3,701,650 8.000%, 06/01/11 ............. 3,775,683 6,000,000 5.000%, 04/25/20 ............. 5,368,080 4,000,000 7.410%, 03/25/21 ............. 4,006,250 6,905,077 6.500%, 12/01/23 ............. 6,501,544 828,293 8.000%, 09/01/24 ............. 835,540 2,642,543 8.500%, 03/01/25 ............. 2,711,909 5,246,925 9.000%, 04/01/25 ............. 5,474,798 816,577 8.000%, 05/01/25 ............. 822,701 825,502 9.000%, 06/01/25 ............. 861,353 973,054 6.500%, 08/01/25 ............. 910,107 4,720,292 7.500%, 09/01/25 ............. 4,656,851 3,319,246 8.000%, 09/01/25 ............. 3,344,140 6,793,707 6.500%, 10/01/25 ............. 6,354,221 993,901 7.000%, 10/01/25 ............. 956,003 998,406 7.000%, 11/01/25 ............. 960,336 974,127 6.500%, 12/01/25 ............. 911,110 7,791,151 7.000%, 12/01/25 ............. 7,497,787 1,632,045 8.000%, 12/01/25 ............. 1,644,285 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) 871,238 8.500%, 09/15/09 ............. 905,538 830,877 8.500%, 10/15/09 ............. 863,588 834,435 8.500%, 12/15/09 ............. 867,286 5,478,032 9.000%, 12/15/09 ............. 5,715,942 629,353 9.000%, 03/15/20 ............. 664,162 268,384 9.000%, 08/15/20 ............. 282,892 4,156,257 7.000%, 10/15/23 ............. 4,005,592 2,565,632 7.000%, 11/15/23 ............. 2,472,627 5,140,805 7.000%, 02/15/24 ............. 4,954,450 1,657,820 8.000%, 06/15/24 ............. 1,676,470 799,343 9.000%, 01/15/25 ............. 836,560 773,907 8.500%, 05/15/25 ............. 795,669 2,844,585 8.500%, 06/15/25 ............. 2,924,573 1,869,536 8.000%, 08/15/25 ............. 1,885,893 4,939,118 7.000%, 12/15/25 ............. 4,735,377 6,879,284 7.500%, 12/15/25 ............. 6,780,359 3,039,452 7.000%, 04/15/26 ............. 2,914,073 RESOLUTION TRUST CORP SERIES 1992-8 (CLASS A-2) (MTGE PASS-THROUGH CERT) 344,403 8.250%, 12/25/26 ............. 344,259 ----------- 148,205,024 ----------- U.S. TREASURY SECURITIES--17.93% U.S. TREASURY BONDS 29,000,000 7.250%, 05/15/16 ............. 29,679,760 5,000,000 7.875%, 02/15/21 ............. 5,485,150 4,000,000 7.625%, 11/15/22 ............. 4,279,360 28,000,000 7.125%, 02/15/23 ............. 28,301,840 U.S. TREASURY NOTES 27,000,000 7.250%, 02/15/98 ............. 27,476,820 2,000,000 5.125%, 02/28/98 ............. 1,970,620 12,000,000 6.125%, 05/15/98 ............. 12,000,000 10,000,000 9.000%, 05/15/98 ............. 10,504,700 18,000,000 6.750%, 05/31/99 ............. 18,208,080 19,000,000 6.875%, 07/31/99 ............. 19,270,180 13,000,000 6.250%, 05/31/00 ............. 12,916,670 15,000,000 8.000%, 05/15/01 ............. 15,946,800 5,000,000 7.500%, 11/15/01 ............. 5,219,550 10,000,000 7.500%, 05/15/02 ............. 10,468,700 31,000,000 7.250%, 05/15/04 ............. 32,118,790 8,000,000 6.875%, 05/15/06 ............. 8,088,720 ----------- 241,935,740 ----------- TOTAL GOVERNMENT BONDS (COST $408,651,217) .............. 404,554,854 ----------- TOTAL BONDS (COST $507,876,554) ............... 502,194,875 ----------- See notes to financial statements. -23- SHARES VALUE ------ ----- PREFERRED STOCK--0.05% BUSINESS SERVICES--0.05% 25,568 oPREMIER FARNELL PLC CV ADR ...... $ 651,984 ----------- TOTAL PREFERRED STOCK (COST $ 642,396) ................ 651,984 ----------- COMMON STOCK--61.56% AIR TRANSPORTATION--0.74% 36,200 oAMR CORP ........................ 3,294,200 63,900 DELTA AIRLINES, INC ............. 5,303,700 11,450 SOUTHWEST AIRLINES CO ........... 333,481 19,000 oUAL CORP NEW .................... 1,021,250 ----------- 9,952,631 ----------- AUTOMOTIVE & RELATED--0.91% 9,900 BANDAG, INC ..................... 475,200 28,300 CUMMINS ENGINE CO, INC .......... 1,142,612 77,900 ECHLIN, INC ..................... 2,950,462 21,400 FEDERAL-MOGUL CORP .............. 393,225 127,900 GENUINE PARTS CO ................ 5,851,425 46,800 GRACO, INC ...................... 947,700 22,000 MODINE MANUFACTURING CO ......... 583,000 ----------- 12,343,624 ----------- BANKS--4.91% 136,565 BANC ONE CORP ................... 4,643,210 11,000 BANK OF NEW YORK CO, INC ........ 563,750 113,100 BANKAMERICA CORP ................ 8,567,325 13,600 BANKERS TRUST NEW YORK CORP ..... 1,004,700 19,900 BARNETT BANKS, INC .............. 1,213,900 53,000 CHASE MANHATTAN CORP (NEW) ...... 3,743,125 92,091 oCITICORP CO ..................... 7,609,018 8,900 CORESTATES FINANCIAL CORP ....... 342,650 80,740 FIRST CHICAGO NBD CORP .......... 3,158,952 74,481 FIRST UNION CORP ................ 4,534,030 55,167 FLEET FINANCIAL GROUP, INC (NEW) 2,399,764 77,500 MORGAN (J.P.) & CO, INC ......... 6,558,437 72,786 NATIONSBANK CORP ................ 6,013,943 88,600 NORWEST CORP .................... 3,089,925 96,500 PNC BANK CORP ................... 2,870,875 99,000 SUNTRUST BANKS, INC ............. 3,663,000 58,400 WACHOVIA CORP (NEW) ............. 2,555,000 15,524 WELLS FARGO & CO ................ 3,708,295 ----------- 66,239,899 ----------- BEVERAGES--2.54% 489,800 COCA COLA CO .................... 23,938,975 292,600 PEPSICO, INC .................... 10,350,725 ----------- 34,289,700 ----------- BROADCASTERS--0.42% 6,300 COMCAST CORP (CLASS A) .......... 115,762 15,650 COMCAST CORP (CLASS A) SPL ...... 289,525 27,275 oLIBERTY MEDIA GROUP (CLASS A) ... 722,787 109,100 oTELE-COMMUNICATIONS, INC (CLASS A) (NEW) ................ 1,977,437 65,631 oVIACOM, INC (CLASS B) ........... 2,551,405 5,873 oVIACOM, INC (CLASS B) WTS 7/07/97 .................... 3,670 3,523 oVIACOM, INC (CLASS B) WTS 7/07/99 .................... 8,587 ----------- 5,669,173 ----------- BUSINESS SERVICES--0.17% 12,600 DELUXE CORP ..................... 447,300 6,975 DIEBOLD, INC .................... 336,543 31,734 oPREMIER FARNELL PLC ADR ......... 662,447 48,400 SENSORMATIC ELECTRONICS CORP .... 792,550 ----------- 2,238,840 ----------- CHEMICALS--MAJOR--0.79% 75,000 AIR PRODUCTS & CHEMICALS, INC ... 4,331,250 148,600 PRAXAIR, INC .................... 6,278,350 ----------- 10,609,600 ----------- CHEMICALS--SPECIALTY--1.08% 26,900 BETZ LABORATORIES, INC .......... 1,180,237 18,261 FULLER (H.B.) CO ................ 661,961 104,400 LYONDELL PETROCHEMICAL CO ....... 2,518,650 33,800 MALLINCKRODT GROUP, INC ......... 1,313,975 50,400 NALCO CHEMICAL CORP ............. 1,587,600 9,000 NCH CORP ........................ 578,250 11,500 RAYCHEM CORP .................... 826,562 80,462 SCHULMAN A, INC ................. 1,971,319 54,100 SIGMA ALDRICH CORP .............. 2,894,350 22,900 WD-40 CO ........................ 1,076,300 ----------- 14,609,204 ----------- COMMUNICATION EQUIPMENT & SERVICES--0.65% 15,900 o360 COMMUNICIATIONS CO ......... 381,600 107,082 oAIRTOUCH COMMUNICATIONS, INC ... 3,025,066 85,600 oCISCO SYSTEMS, INC ............. 4,847,100 10,600 oDSC COMMUNICATIONS CORP ........ 319,325 15,400 oNOVELL, INC .................... 213,675 ----------- 8,786,766 ----------- COMPUTER SERVICE--1.79% 92,000 AUTOMATIC DATA PROCESSING, INC .. 3,553,500 39,900 COMPUTER ASSOCIATES INTERNATIONAL, INC ............. 2,842,875 111,200 oMICROSOFT CORP ................. 13,357,900 110,475 oORACLE CORP .................... 4,356,857 ----------- 24,111,132 ----------- CONGLOMERATES--1.31% 27,300 ALCO STANDARD CORP .............. 1,235,325 213,600 MINNESOTA MINING & MANUFACTURING CO ............... 14,738,400 70,600 WHITMAN CORP .................... 1,703,225 ----------- 17,676,950 ----------- COSMETICS--1.01% 68,600 AVON PRODUCTS, INC .............. 3,095,575 136,200 GILLETTE CO ..................... 8,495,475 43,200 INTERNATIONAL FLAVORS & FRAGRANCES, INC ................ 2,057,400 ----------- 13,648,450 ----------- ELECTRICAL EQUIPMENT--0.21% 10,350 BALDOR ELECTRIC CO .............. 232,875 33,100 GRAINGER (W.W.), INC ............ 2,565,250 ----------- 2,798,125 ----------- ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED--1.41% 28,900 oADVANCED MICRO DEVICES, INC .... 393,762 24,400 AVNET, INC ...................... 1,027,850 182,600 INTEL CORP ...................... 13,409,687 47,500 MICRON TECHNOLOGY, INC .......... 1,229,062 16,093 MOLEX, INC ...................... 510,952 43,500 oNATIONAL SEMICONDUCTOR CORP ..... 674,250 74,568 oVISHAY INTERTECHNOLOGY, INC ..... 1,761,669 ----------- 19,007,232 ----------- ELECTRICAL EQUIPMENT-- INSTRUMENTS--0.10% 43,600 oAPPLIED MATERIALS, INC .......... 1,329,800 ----------- See notes to financial statements. -24- SHARES VALUE ------ ----- FINANCIAL--MISCELLANEOUS--2.83% 144,800 AMERICAN EXPRESS CO ............. $ 6,461,700 48,509 DEAN WITTER DISCOVER & CO ....... 2,777,140 40,500 FEDERAL HOME LOAN MORTGAGE CORP . 3,462,750 353,600 FEDERAL NATIONAL MORTGAGE ASSOCIATION .......... 11,845,600 57,783 GREAT WESTERN FINANCIAL CORP .... 1,379,569 21,418 HOUSEHOLD INTERNATIONAL, INC .... 1,627,768 23,100 MBNA CORP ....................... 658,350 75,900 MERRILL LYNCH & CO, INC ......... 4,942,987 69,600 MORGAN STANLEY GROUP, INC ....... 3,419,100 21,400 STUDENT LOAN MARKETING ASSOCIATION .................... 1,583,600 ----------- 38,158,564 ----------- FOODS--2.88% 114,100 CAMPBELL SOUP CO ................ 8,044,050 71,000 CPC INTERNATIONAL, INC .......... 5,112,000 102,000 GENERAL MILLS, INC .............. 5,559,000 155,850 HEINZ (H.J.) CO ................. 4,733,943 52,600 HERSHEY FOODS CORP .............. 3,859,525 68,300 KELLOGG CO ...................... 5,002,975 5,800 MCCORMICK & CO, INC ............. 128,325 107,600 QUAKER OATS CO .................. 3,671,850 56,000 WRIGLEY (WM) JR CO .............. 2,828,000 ----------- 38,939,668 ----------- HEALTHCARE--DRUGS--3.29% 48,100 oALZA CORP ....................... 1,316,737 6,680 oALZA CORP WTS 12/31/99 .......... 835 77,400 oAMGEN, INC ...................... 4,179,600 9,922 BERGEN BRUNSWIG CORP (CLASS A) .. 275,335 24,600 oFOREST LABORATORIES, INC ........ 950,175 18,400 oGENZYME CORP .................... 924,600 2,484 oGENZYME CORP (TISSUE REPAIR DIVISION) ....... 29,187 23,400 IVAX CORP ....................... 371,475 56,400 MCKESSON CORP (NEW) ............. 2,686,050 326,300 MERCK & CO, INC ................. 21,087,137 34,500 MYLAN LABORATORIES, INC ......... 595,125 189,800 SCHERING-PLOUGH CORP ............ 11,909,950 6,680 oTHERAPEUTIC DISCOVERY CORP (CLASS A) ...................... 62,625 ----------- 44,388,831 ----------- HEALTHCARE--HOSPITAL SUPPLY--1.89% 109,400 BECTON DICKINSON & CO ........... 8,779,350 338,500 JOHNSON & JOHNSON CO ............ 16,755,750 ----------- 25,535,100 ----------- HEALTHCARE--OTHER--0.39% 12,000 ALLERGAN, INC ................... 471,000 25,600 BAUSCH & LOMB, INC .............. 1,088,000 6,500 oBIOMET, INC ..................... 93,437 28,600 HILLENBRAND INDUSTRIES, INC ..... 1,065,350 45,800 MEDTRONIC, INC .................. 2,564,800 ----------- 5,282,587 ----------- HEALTHCARE--SERVICE--0.59% 108,437 COLUMBIA/HCA HEALTHCARE CORP .... 5,787,824 51,600 oTENET HEALTHCARE CORP ........... 1,102,950 235 oTRANSPORT HOLDINGS, INC (CLASS A) ...................... 10,810 20,500 U.S. HEALTHCARE, INC ............ 1,127,500 ----------- 8,029,084 ----------- HOUSEHOLD--DURABLE GOODS--0.38% 65,400 NEWELL COS, INC ................. 2,002,875 63,400 WHIRLPOOL CORP .................. 3,146,225 ----------- 5,149,100 ----------- HOUSEHOLD--PRODUCTS--2.27% 66,100 CLOROX CO ....................... 5,858,112 50,600 COLGATE PALMOLIVE CO ............ 4,288,350 199,200 PROCTER & GAMBLE CO ............. 18,052,500 90,300 RUBBERMAID, INC ................. 2,460,675 ----------- 30,659,637 ----------- INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--2.61% 32,700 oAETNA LIFE & CASUALTY CO ........ 2,338,050 97,153 ALLSTATE CORP ................... 4,432,605 193,030 AMERICAN INTERNATIONAL GROUP, INC ..................... 19,037,583 29,900 CHUBB CORP ...................... 1,491,262 3,500 oCNA FINANCIAL CORP .............. 360,500 12,800 GENERAL REINSURANCE CORP ........ 1,948,800 16,700 TRANSAMERICA CORP ............... 1,352,700 93,716 TRAVELERS GROUP, INC ............ 4,275,792 ----------- 35,237,292 ----------- LEISURE TIME--1.21% 194,475 DISNEY (WALT) CO ................ 12,227,615 38,600 HASBRO, INC ..................... 1,379,950 93,791 MATTEL, INC ..................... 2,684,767 ----------- 16,292,332 ----------- MACHINERY--0.97% 63,000 oBJ SERVICES CO .................. 2,212,875 98,700 DEERE & CO ...................... 3,948,000 46,400 ILLINOIS TOOL WORKS, INC ........ 3,137,800 87,500 KEYSTONE INTERNATIONAL, INC ..... 1,815,625 25,900 NORDSON CORP .................... 1,463,350 12,885 TIMKEN CO ....................... 499,293 ----------- 13,076,943 ----------- METALS--ALUMINIUM--0.20% 88,200 oALUMAX, INC ..................... 2,679,075 ----------- METALS--GOLD--0.29% 279,700 SANTA FE PACIFIC GOLD CORP ...... 3,950,762 ----------- METALS--STEEL--0.62% 103,000 ALLEGHENY LUDLUM CORP ........... 1,944,125 14,500 BIRMINGHAM STEEL CORP ........... 237,437 45,750 HANNA (M.A.) CO .................. 955,031 64,100 NUCOR CORP ...................... 3,245,062 92,850 WORTHINGTON INDUSTRIES, INC ..... 1,938,243 ----------- 8,319,898 ----------- OFFICE EQUIPMENT--3.00% 48,300 oAPPLE COMPUTER, INC ............. 1,014,300 31,200 AVERY DENNISON CORP ............. 1,712,100 68,900 oCOMPAQ COMPUTER CORP ............ 3,393,325 129,000 HEWLETT-PACKARD CO .............. 12,851,625 135,900 INTERNATIONAL BUSINESS MACHINES CORP .................. 13,454,100 10,500 oSUN MICROSYSTEMS, INC ........... 618,187 84,200 oTANDEM COMPUTERS, INC ........... 1,041,975 119,500 XEROX CORP ...................... 6,393,250 ----------- 40,478,862 ----------- PAPER--1.06% 149,400 CONSOLIDATED PAPERS, INC ........ 7,768,800 48,400 SONOCO PRODUCTS CO .............. 1,373,350 106,100 UNION CAMP CORP ................. 5,172,375 ----------- 14,314,525 ----------- PETROLEUM-- EXPLORATION & PRODUCTION--1.55% 56,800 ANADARKO PETROLEUM CORP ......... 3,294,400 41,500 APACHE CORP ..................... 1,364,312 57,700 LOUISIANA LAND & EXPLORATION CO . 3,324,962 See notes to financial statements. -25- SHARES VALUE ------ ----- PETROLEUM-- EXPLORATION & PRODUCTION (CONTINUED) 60,200 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS B) ................ $ 1,143,800 109,100 MURPHY OIL CORP ................ 4,950,412 78,200 NOBLE AFFILIATES, INC .......... 2,952,050 164,400 oORYX ENERGY CO ................. 2,671,500 105,500 oSANTA FE ENERGY RESOURCES, INC ................ 1,252,812 ----------- 20,954,248 ----------- PETROLEUM--SERVICE--1.67% 35,400 CABOT CORP ..................... 867,300 90,900 DRESSER INDUSTRIES, INC ........ 2,681,550 5,775 oENSCO INTERNATIONAL, INC ....... 187,687 81,700 HELMERICH & PAYNE, INC ......... 2,992,262 102,900 oNABORS INDUSTRIES, INC ......... 1,672,125 97,800 oNOBLE DRILLING CORP ............ 1,356,975 192,700 oPARKER DRILLING CO ............. 1,108,025 123,900 oROWAN COS, INC ................. 1,827,525 131,000 oSMITH INTERNATIONAL, INC ....... 3,946,375 32,200 SONAT OFFSHORE DRILLING, INC ... 1,626,100 47,658 oWEATHERFORD ENTERRA, INC ....... 1,429,740 49,200 oWESTERN ATLAS, INC ............. 2,865,900 ----------- 22,561,564 ----------- PROPERTY--REAL ESTATE--0.34% 119,000 WEINGARTEN REALTY INVESTORS, INC ................. 4,611,250 ----------- PUBLISHING--NEWSPAPER--0.90% 55,745 oCOX COMMUNICATIONS, INC (CLASS A) (NEW) ............... 1,205,485 30,400 DOW JONES & CO, INC ............ 1,269,200 77,700 GANNETT CO, INC ................ 5,497,275 4,000 KNIGHT-RIDDER, INC ............. 290,000 90,600 TIMES MIRROR CO (SERIES A) (NEW) 3,941,100 ----------- 12,203,060 ----------- PUBLISHING--OTHER--1.01% 44,300 DONNELLEY (R.R.) & SONS CO ..... 1,544,962 97,200 DUN & BRADSTREET CORP .......... 6,075,000 46,600 MCGRAW HILL COS, INC ........... 2,131,950 100,397 TIME WARNER, INC ............... 3,940,582 ----------- 13,692,494 ----------- RAILROAD--0.88% 140,400 NORFOLK SOUTHERN CORP .......... 11,898,900 ----------- RESTAURANTS & HOTELS--1.02% 102,200 DARDEN RESTAURANTS, INC ........ 1,098,650 217,100 MCDONALDS CORP ................. 10,149,425 72,400 SYSCO CORP ..................... 2,479,700 ----------- 13,727,775 ----------- RETAIL--FOOD--0.40% 88,300 ALBERTSONS, INC ................ 3,653,412 23,000 AMERICAN STORES CO, (NEW) ...... 948,750 18,800 oKROGER CO ...................... 742,600 ----------- 5,344,762 ----------- RETAIL--GENERAL MERCHANDISE--2.14% 55,500 HOME DEPOT, INC ................ 2,997,000 148,600 oK MART CORP .................... 1,838,925 16,806 LIMITED, INC ................... 361,329 33,600 MAY DEPARTMENT STORES CO ....... 1,470,000 5,376 oPAYLESS SHOESOURCE, INC ........ 170,688 53,600 PENNEY, (J.C.) CO, INC ......... 2,814,000 20,600 oROUSE CO ....................... 533,025 104,800 SEARS ROEBUCK & CO ............. 5,095,900 45,950 oTOYS R US, INC ................. 1,309,575 435,800 WAL-MART STORES, INC ........... 11,058,425 53,600 oWOOLWORTH CORP ................. 1,206,000 ------------- 28,854,867 ------------- TEXTILE & APPAREL--0.50% 15,800 LIZ CLAIBORNE, INC ............. 547,075 60,600 NIKE, INC (CLASS B) ............ 6,226,650 ------------- 6,773,725 ------------- TRUCKERS & SHIPPING--0.21% 74,400 ARNOLD INDUSTRIES, INC ......... 1,060,200 42,200 CALIBER SYSTEM, INC ............ 1,434,800 21,100 ROADWAY EXPRESS, INC ........... 298,037 ------------- 2,793,037 ------------- UTILITIES--ELECTRIC--1.70% 32,500 IDAHO POWER CO ................. 1,011,562 104,700 LOUISVILLE GAS & ELECTRIC ENERGY CORP ................... 2,395,012 118,700 NIPSCO INDUSTRIES, INC ......... 4,777,675 279,800 POTOMAC ELECTRIC POWER CO ...... 7,414,700 122,800 PUGET SOUND POWER & LIGHT CO ... 2,977,900 174,600 TECO ENERGY, INC ............... 4,408,650 ------------- 22,985,499 ------------- UTILITIES--GAS & PIPELINE--1.77% 30,800 BROOKLYN UNION GAS CO .......... 839,300 20,900 COLUMBIA GAS SYSTEMS, INC ...... 1,089,412 110,600 CONSOLIDATED NATURAL GAS CO .... 5,778,850 33,400 EL PASO NATURAL GAS CO NEW ..... 1,285,900 24,600 EQUITABLE RESOURCES, INC ....... 694,950 1,400 oIONICS, INC .................... 65,800 55,700 NICOR, INC ..................... 1,580,487 89,600 PACIFIC ENTERPRISES, INC ....... 2,654,400 9,200 PEOPLES ENERGY CORP ............ 308,200 134,900 SONAT, INC ..................... 6,070,500 70,600 WILLIAMS COS, INC .............. 3,494,700 ------------- 23,862,499 ------------- UTILITIES--TELEPHONE--4.95% 162,700 AMERITECH CORP NEW ............. 9,660,312 166,300 BELL ATLANTIC CORP ............. 10,601,625 335,000 BELLSOUTH CORP ................. 14,195,625 77,900 MCI COMMUNICATIONS CORP ........ 1,996,187 139,300 NYNEX CORP ..................... 6,616,750 117,082 PACIFIC TELESIS GROUP CO ....... 3,951,517 176,800 SBC COMMUNICATIONS, INC ........ 8,707,400 70,000 SPRINT CORP .................... 2,940,000 162,044 U.S. WEST COMMUNICATIONS GROUP, INC .................... 5,165,152 161,144 oU.S. WEST MEDIA GROUP, INC ..... 2,940,878 ------------- 66,775,446 ------------- TOTAL COMMON STOCK (COST $ 579,701,447) ........... 830,842,512 ------------- PRINCIPAL --------- SHORT TERM INVESTMENTS--0.60% COMMERCIAL PAPER--0.60% MORGAN STANLEY GROUP INC., $8,100,000 5.600%, 07/01/96 ............ 8,098,767 -------------- TOTAL SHORT TERM INVESTMENTS (COST $8,100,000) ................ 8,098,767 -------------- ROUNDING ....................... 78 -------------- TOTAL PORTFOLIO (COST $1,096,320,397) ............ $1,341,788,216 ============== - ---------------- o NON-INCOME PRODUCING See notes to financial statements. -26- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT (UNAUDITED) JUNE 30, 1996 SUMMARY BY INDUSTRY VALUE % ----- ----- BONDS CORPORATE BONDS AUTOMOTIVE & RELATED ...................... $ 41,419 0.00% BROADCASTERS .............................. 81,435 0.00 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY ..................... 97,689 0.01 METALS--STEEL ............................. 84,998 0.00 ------------ ----- TOTAL CORPORATE BONDS (COST $ 260,871) .......................... 305,541 0.01 ------------ ----- TOTAL BONDS (COST $ 260,871) ........................... 305,541 0.01 ------------ ----- PREFERRED STOCK AUTOMOTIVE & RELATED ...................... 2,504,945 0.07 BUSINESS SERVICES ......................... 1,136,062 0.03 COMMUNICATION EQUIPMENT & SERVICES ........ 12,065,000 0.32 PUBLISHING--NEWSPAPER ..................... 26,401,513 0.71 UTILITIES--ELECTRIC ....................... 8,493,915 0.23 ------------ ----- TOTAL PREFERRED STOCK (COST $ 48,087,253) ........................ 50,601,435 1.36 ------------ ----- COMMON STOCK AEROSPACE ................................. 12,113,878 0.33 AIR TRANSPORTATION ........................ 19,938,239 0.54 AUTOMOTIVE & RELATED ...................... 125,753,005 3.39 BANKS ..................................... 321,101,937 8.66 BEVERAGES ................................. 93,580,428 2.52 BROADCASTERS .............................. 206,334,481 5.56 BUSINESS SERVICES ......................... 43,338,231 1.17 CHEMICALS--MAJOR .......................... 28,817,418 0.78 CHEMICALS--SPECIALTY ...................... 12,483,960 0.34 COMMUNICATION EQUIPMENT & SERVICES ........ 283,411,658 7.64 COMPUTER SERVICE .......................... 79,237,935 2.14 CONGLOMERATES ............................. 88,982,413 2.40 CONSTRUCTION--MATERIALS & BUILDERS ........ 55,666,469 1.50 CONTAINERS ................................ 1,124,386 0.03 COSMETICS ................................. 23,294,525 0.63 ELECTRICAL EQUIPMENT ...................... 134,479,407 3.63 ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED .................. 154,848,013 4.18 ELECTRICAL EQUIPMENT--INSTRUMENTS ......... 22,036,232 0.59 ENVIRONMENTAL CONTROL ..................... 887,525 0.02 FINANCIAL--MISCELLANEOUS .................. 46,958,263 1.27 FOODS ..................................... 46,898,704 1.26 FOREST PRODUCTS ........................... 8,413,142 0.23 HEALTHCARE--DRUGS ......................... 187,583,253 5.06 HEALTHCARE--HOSPITAL SUPPLY ............... 10,135,366 0.27 HEALTHCARE--OTHER ......................... 26,697,908 0.72 HEALTHCARE--SERVICE ....................... 68,628,089 1.85 HOUSEHOLD--CONSUMER ELECTRONICS ........... 33,517,025 0.90 HOUSEHOLD--DURABLE GOODS .................. 1,400,223 0.04 HOUSEHOLD--PRODUCTS ....................... 7,828,325 0.21 INSURANCE--LIFE ........................... 3,318,741 0.09 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY ..................... 116,173,200 3.13 LEISURE TIME .............................. 122,314,963 3.30 MACHINERY ................................. 75,152,102 2.03 METALS--ALUMINIUM ......................... 4,353,309 0.12 METALS--GOLD .............................. 6,567,795 0.18 METALS--NON-FERROUS ....................... 26,123,847 0.70 METALS--STEEL ............................. 31,543,788 0.85 MISCELLANEOUS MATERIALS & COMMODITIES ............................. 6,909,449 0.19 OFFICE EQUIPMENT .......................... 109,170,550 2.94 PAPER ..................................... 7,968,102 0.21 PETROLEUM-- EXPLORATION & PRODUCTION ................ 29,540,146 0.80 PETROLEUM--INTEGRATED ..................... 53,797,390 1.45 PETROLEUM--SERVICE ........................ 116,805,014 3.15 PHOTOGRAPHY ............................... 4,789,400 0.13 PROPERTY--REAL ESTATE ..................... 50,186,242 1.35 PUBLISHING--NEWSPAPER ..................... 12,490,677 0.34 PUBLISHING--OTHER ......................... 12,992,143 0.35 RAILROAD .................................. 57,218,513 1.54 RESTAURANTS & HOTELS ...................... 9,124,299 0.24 RETAIL--FOOD .............................. 14,407,014 0.39 RETAIL--GENERAL MERCHANDISE ............... 126,830,108 3.42 TEXTILE & APPAREL ......................... 16,437,175 0.44 TOBACCO ................................... 28,196,372 0.76 TRADING COMPANIES ......................... 18,552,131 0.50 TRUCKERS & SHIPPING ....................... 34,177,322 0.92 UTILITIES--ELECTRIC ....................... 82,824,286 2.23 UTILITIES--GAS & PIPELINE ................. 28,118,635 0.76 UTILITIES--OTHER .......................... 14,153,907 0.38 UTILITIES--TELEPHONE ...................... 153,191,000 4.13 -------------- ------ TOTAL COMMON STOCK (COST $ 3,084,395,755) ..................... 3,518,918,058 94.88 -------------- ------ SHORT TERM INVESTMENTS BANKERS ACCEPTANCES ....................... 9,923,777 0.27 COMMERCIAL PAPER .......................... 199,517,862 5.38 GOVERNMENT AGENCIES ....................... 77,627,649 2.09 -------------- ------ TOTAL SHORT TERM INVESTMENTS (COST $ 287,126,912) ....................... 287,069,288 7.74 -------------- ------ ROUNDING ................................ 319 0.00 -------------- ------ TOTAL PORTFOLIO (COST $ 3,419,870,791) .................... 3,856,894,641 103.99 OTHER ASSETS & LIABILITIES, NET ......... (148,091,690) (3.99) -------------- ------ NET ASSETS ................................. $3,708,802,951 100.00% ============== ====== See notes to financial statements. -27- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT (UNAUDITED) JUNE 30, 1996 SUMMARY BY COUNTRY VALUE % -------------- ------ DOMESTIC: UNITED STATES ................. $1,517,714,926 39.35% ------------- ------ TOTAL DOMESTIC .................. 1,517,714,926 39.35 ------------- ------ FOREIGN: AUSTRALIA ..................... 42,174,142 1.09 BELGIUM ....................... 7,628,720 0.20 CANADA ........................ 55,681,094 1.44 DENMARK ....................... 5,283,987 0.14 FRANCE ........................ 103,898,296 2.69 GERMANY ....................... 133,497,481 3.46 HONG KONG ..................... 62,451,927 1.62 INDONESIA ..................... 22,761,513 0.59 ITALY ......................... 74,141,820 1.92 JAPAN ......................... 715,871,777 18.56 MALAYSIA ...................... 49,664,156 1.29 NETHERLANDS ................... 138,608,405 3.59 NORWAY ........................ 36,767,823 0.95 SINGAPORE ..................... 28,735,771 0.75 SPAIN ......................... 12,168,281 0.32 SWEDEN ........................ 107,876,519 2.80 SWITZERLAND ................... 171,948,893 4.46 UNITED KINGDOM ................ 282,949,822 7.34 -------------- ------ TOTAL FOREIGN ................... 2,052,110,427 53.21 -------------- ------ TOTAL SHORT TERM ................ 287,069,288 7.44 -------------- ------ TOTAL PORTFOLIO ................. $3,856,894,641 100.00% ============== ====== See notes to financial statements. -28- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT (UNAUDITED) JUNE 30, 1996 PRINCIPAL VALUE --------- ----- BONDS--0.01% CORPORATE BONDS--0.01% AUTOMOTIVE & RELATED--0.00% MICHELIN S.A. CV $ 743 2.500%, 01/01/01 ............... $ 41,419 ---------- BROADCASTERS--0.00% VIACOM INTERNATIONAL, INC (SUBORDINATED DEB) 89,000 8.000%, 07/07/06 ............... 81,435 ---------- INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--0.01% AXA S.A. CV 1,531 4.500%, 01/01/99 ............... 97,689 ---------- METALS--STEEL--0.00% PREUSSAG AG. (W/W) 113 5.750%, 05/17/01 ............... 84,998 ---------- TOTAL CORPORATE BONDS (COST $260,871) .................... 305,541 ---------- TOTAL BONDS (COST $260,871) ..................... 305,541 ---------- SHARES ------ PREFERRED STOCK--1.36% AUTOMOTIVE & RELATED--0.07% 9,133 VOLKSWAGENWERKE AG. ............... 2,504,945 ---------- BUSINESS SERVICES--0.03% 7,662 SAP (VORZUG) AG. .................. 1,136,062 ---------- COMMUNICATION EQUIPMENT & SERVICES--0.32% 190,000 MFS COMMUNICATIONS CO, INC DEP SHS. 12,065,000 ---------- PUBLISHING--NEWSPAPER--0.71% 5,410,124 NEWS CORP LTD (LTD-VTG) ........... 26,401,513 ---------- UTILITIES--ELECTRIC--0.23% 276,270 oRHEIN-WESTFALEN ELECTRIC AG. (VORZUG) ......................... 8,493,915 ---------- TOTAL PREFERRED STOCK (COST $48,087,253) .................. 50,601,435 ---------- COMMON STOCK--94.88% AEROSPACE--0.33% 27,700 BOEING CO ......................... 2,413,362 148,492 BRITISH AEROSPACE PLC ............. 2,254,201 5,868 oBRITISH AEROSPACE PLC WTS 11/15/00. 42,306 60,000 COBHAM GROUP PLC .................. 592,463 8,400 MCDONNELL DOUGLAS CORP ............ 407,400 321,250 ROLLS ROYCE LTD ................... 1,118,114 2,834 oSAGEM S.A. ........................ 1,700,962 99,433 SMITHS INDUSTRIES PLC ............. 1,087,672 107,800 SPAR AEROSPACE LTD ................ 848,538 58,665 oTHOMSON-CSF ....................... 1,648,860 ---------- 12,113,878 ---------- AIR TRANSPORTATION--0.54% 138,700 oAIR CANADA, INC ................... 487,486 218,162 BRITISH AIRWAYS PLC ............... 1,877,949 700 oFEDERAL EXPRESS CORP .............. 57,400 913,000 oJAPAN AIRLINES CO LTD ............. 7,383,229 13,670 oLUFTHANSA AG. ..................... 1,930,791 954,000 oMALAYSIAN AIRLINE SYSTEM BERHAD ........................... 3,039,430 489,000 oSINGAPORE INTERNATIONAL AIRLINES LTD (FR) ................ 5,161,954 ---------- 19,938,239 ---------- AUTOMOTIVE & RELATED--3.39% 1,061,700 AUTOLIV AB ........................ 32,319,634 180,448 BBA GROUP PLC ..................... 863,570 270,000 BRIDGESTONE CORP .................. 5,144,723 8,904 CHRYSLER CORP ..................... 552,048 70,920 CONTINENTAL AG. ................... 1,150,784 15,536 oDAIMLER BENZ AG. .................. 8,313,016 15,536 oDAIMLER BENZ AG. RTS .............. 2,143 609,999 oFIAT S.P.A. ....................... 2,042,288 151,000 oFIAT S.P.A. (PRIV) ................ 264,835 18,867 GENERAL MOTORS CORP ............... 988,159 36,650 GENUINE PARTS CO .................. 1,676,737 264,943 GUEST KEEN NETTLEFOLDS LTD ........ 4,067,284 341,000 HONDA MOTOR CO LTD ................ 8,829,267 305,678 LEX SERVICE GROUP LTD ............. 1,781,109 460,195 LUCAS INDUSTRIES PLC .............. 1,619,590 15,080 oMICHELIN S.A. (CLASS B) ........... 736,967 444,000 NIPPON DENSO CO LTD ............... 9,634,116 965,000 NISSAN MOTOR CORP LTD ............. 8,560,361 9,100 oPEUGEOT S.A. ...................... 1,217,859 1,250,645 TOYOTA MOTOR CORP ................. 31,241,837 12,777 VOLKSWAGEN AG. .................... 4,746,678 ----------- 125,753,005 ----------- BANKS--8.66% 247,781 ABBEY NATIONAL PLC ................ 2,082,861 655,000 ASAHI BANK LTD .................... 7,583,976 580,000 ASHIKAGA BANK LTD ................. 3,664,486 1,420,000 ASSA ABLOY AB SERIES B ............ 20,543,424 101 BANC ONE CORP ..................... 3,434 318,000 BANCA COMMERCIALE ITALIANA S.P.A. . 638,594 17,180 BANCO CENTRALE HISPANOAMERICANO S.A. ............ 349,705 3,261 BANK OF BOSTON CORP ............... 161,419 44,107 BANK OF NOVA SCOTIA ............... 1,072,235 454,000 oBANK OF TOKYO MITSUBISHI LTD NEW .. 10,554,750 373,000 BANK OF YOKOHAMA LTD .............. 3,383,637 57 BANKAMERICA CORP .................. 4,317 32,552 BANQIE DE PARIBAS S.A. ............ 1,922,151 48,031 BANQUE NATIONALE DE PARIS ......... 1,685,839 271,680 BARCLAYS PLC ...................... 3,263,114 182,700 BAYERISCHE VEREINSBANK AG. ........ 5,125,010 53,909 CANADIAN IMPERIAL BANK OF COMMERCE ......................... 1,738,808 242,000 CHIBA BANK LTD .................... 2,131,299 34 oCITICORP CO ....................... 2,809 36,025 COMPAGNIE DE SUEZ S.A. ............ 1,317,621 200 CORESTATES FINANCIAL CORP ......... 7,700 5,429 CREDIT NATIONAL S.A. .............. 373,301 20,117 CS HOLDINGS (REGD) ................ 1,912,536 994,000 DAI-ICHI KANGO BANK LTD ........... 18,487,087 360,780 DEUTSCHE BANK AG. ................. 17,064,882 See notes to financial statements. -29- SHARES VALUE ------ ----- BANKS (CONTINUED) 97,000 DEVELOPMENT BANK OF SINGAPORE LTD (FR) ............... $ 1,209,493 150 FIRST CHICAGO NBD CORP ............ 5,868 26,026 FLEET FINANCIAL GROUP, INC (NEW) .. 1,132,131 934,000 FUJI BANK LTD ..................... 20,096,056 186,000 GUNMA BANK LTD .................... 2,068,829 760,000 HANG SENG BANK LTD ................ 7,658,146 828,000 HOKURIKU BANK LTD ................. 4,974,709 103,787 HSBC HOLDINGS LTD ................. 1,568,715 551,877 HSBC HOLDINGS LTD (HONG KONG) ..... 8,455,013 456,886 HSBC HOLDINGS LTD (UNITED KINGDOM). 7,155,887 746,000 INDUSTRIAL BANK OF JAPAN LTD ...... 18,499,487 335,650 JOYO BANK ......................... 2,542,960 1,380,169 LLOYDS TSB GROUP PLC .............. 6,755,195 540,000 MALAYAN BANKING BERHAD ............ 5,193,758 88,500 MALAYAN BANKING BERHAD (SINGAPORE). 840,169 117,270 oMEDIOBANCA S.P.A. ................. 744,338 595,000 MITSUBISHI TRUST & BANKING CORP ... 10,035,537 371,000 MITSUI TRUST & BANKING CO LTD ..... 4,329,480 16,930 MORGAN (J.P.) & CO, INC ........... 1,432,701 70,400 NATIONAL BANK OF CANADA ........... 587,654 4,023 NATIONSBANK CORP .................. 332,400 20,000 NORWEST CORP ...................... 697,500 156,199 OVERSEAS-CHINESE BANKING CORP LTD (FR) .................... 1,825,917 15,619 oOVERSEAS-CHINESE BANKING CORP LTD (FR) RTS ................ 125,040 24,600 PNC BANK CORP ..................... 731,850 90,800 ROYAL BANK OF CANADA .............. 2,177,417 203,690 ROYAL BANK OF SCOTLAND PLC ........ 1,560,313 1,038,000 SAKURA BANK LTD ................... 11,545,404 208,000 SEVENTY-SEVEN (77) BANK LTD ....... 2,067,006 280,000 SHIZUOKA BANK LTD ................. 3,599,391 1,269,942 SIGNET BANKING CORP ............... 29,526,151 85,238 SOCIETE GENERALE S.A. ............. 9,371,003 1,106,000 SUMITOMO BANK LTD ................. 21,376,812 800 SUNTRUST BANKS, INC ............... 29,600 42,238 SWISS BANK CORP (REGD) ............ 8,334,888 5,025 oSWISS BANK CORP (REGD) WTS 6/30/00 16,459 578,000 TOKAI BANK LTD .................... 7,482,868 4,549 UNION BANK OF SWITZERLAND (BR) .... 4,451,962 30,700 WACHOVIA CORP NEW ................. 1,343,125 7,516 WELLS FARGO & CO .................. 1,795,384 372,000 YASUDA TRUST & BANKING CO LTD ..... 2,350,326 ----------- 321,101,937 ----------- BEVERAGES--2.52% 22,600 ANHEUSER BUSCH COS, INC ........... 1,695,000 824,532 ARTHUR GUINESS & SONS PLC ......... 5,995,818 249,000 ASAHI BREWERIES LTD ............... 2,905,770 392,430 BASS LTD .......................... 4,932,940 1,284 oBRAU UND BRUNNEN AG. .............. 134,119 164 COCA COLA CO ...................... 8,015 556,800 COCA COLA ENTERPRISES, INC ........ 19,279,200 64,700 oEL AGUILA S.A. .................... 403,676 739,097 GRAND METROPOLITAN PLC ............ 4,903,706 14,748 HOLSTEN BRAUEREI AG. .............. 3,061,600 363,000 KIRIN BREWERY CO LTD .............. 4,434,691 5,730 LVMH MOET HENNESSY LOUIS VUITTON .. 1,358,960 967,990 PEPSICO, INC ...................... 34,242,646 3,036 PERNOD-RICARD S.A. ................ 194,604 244,000 SAPPORO BREWERIES LTD ............. 2,291,284 209,059 SCOTTISH & NEWCASTLE PLC .......... 2,140,668 167,100 SEAGRAMS CO LTD ................... 5,597,731 ---------- 93,580,428 ---------- BROADCASTERS--5.56% 12,825 CANAL PLUS S.A. ................... 3,136,314 239,400 oCLEAR CHANNEL COMMUNICATIONS, INC . 19,720,575 2,619,287 oINFINITY BROADCASTING CORP (CLASS A) ................... 78,578,610 105,800 oROGERS COMMUNICATIONS (CLASS B) ... 991,608 222,400 oTELE METROPOLE, INC (CLASS B) ..... 2,662,545 56,400 oTELE-COMMUNICATIONS, INC (CLASS A) (NEW) .................. 1,022,250 125,000 TOKYO BROADCASTING SYSTEMS, INC ... 2,210,872 1,477,160 oVIACOM, INC (CLASS B) ............. 57,424,595 2,557 oVIACOM, INC (CLASS B) WTS 7/07/97 . 1,598 1,534 oVIACOM, INC (CLASS B) WTS 7/07/99 . 3,739 2,661,100 oWESTWOOD ONE, INC ................. 40,581,775 ----------- 206,334,481 ----------- BUSINESS SERVICES--1.17% 11,164 ECCO S.A. ......................... 2,808,187 10,239 ELECTROCOMPONENTS PLC ............. 60,773 1,034,936 GETRONICS NV ...................... 22,917,736 78,100 MOORE CORP LTD .................... 1,461,122 12,790 PROSEGUR COMPANIA DE SEGURIDAD S.A. ................... 448,871 228,613 RENTOKIL GROUP PLC ................ 1,452,845 603,560 REUTERS HOLDINGS PLC .............. 7,305,551 13,628 SAP AG. ........................... 2,018,863 45,000 SECOM CO LTD ...................... 2,970,318 94,000 TOKYO DOME CORP ................... 1,893,965 ----------- 43,338,231 ----------- CHEMICALS--MAJOR--0.78% 116,940 BAYER AG. ......................... 4,129,237 22,746 BOC GROUP PLC ..................... 326,566 2,614 DEGUSSA AG. ....................... 887,303 39,902 DOW CHEMICAL CO ................... 3,032,552 61,519 DU PONT (E.I.) DE NEMOURS & CO .... 4,867,690 10,775 EASTMAN CHEMICAL CO ............... 655,928 101,722 ENGLISH CHINA CLAYS PLC ........... 409,364 104,626 IMPERIAL CHEMICAL INDUSTRY PLC .... 1,281,034 1,857 LAIR LIQUIDE (REGD) ............... 327,877 788,737 MITSUBISHI CHEMICAL CORP .......... 3,638,603 1,892,000 oMONTEDISON S.P.A. ................. 1,099,123 351,000 oMONTEDISON S.P.A. WTS 1/19/97 ..... 22,656 34,000 PPG INDUSTRIES, INC ............... 1,657,500 21,100 PRAXAIR, INC ...................... 891,475 3,300 ROHM & HAAS CO .................... 207,075 1,125 SOLVAY ET CIE S.A. ................ 695,712 484,000 SUMITOMO CHEMICAL CO LTD .......... 2,307,804 626,000 UBE INDUSTRIES LTD ................ 2,379,919 ----------- 28,817,418 ----------- CHEMICALS--SPECIALTY--0.34% 686,000 ASAHI CHEMICAL INDUSTRY CO LTD .... 4,890,832 315,000 DAINIPPON INK & CHEMICAL, INC ..... 1,613,982 23,000 KANEKA CORP ....................... 154,542 11,800 POTASH CORP OF SASKATCHEWAN, INC .. 786,263 230,000 SEKISUI CHEMICAL CO LTD ........... 2,809,859 116,396 SHIN-ETSU CHEMICAL CO LTD ......... 2,228,482 ----------- 12,483,960 ----------- COMMUNICATION EQUIPMENT & SERVICES--7.64% 864,783 o360 COMMUNICIATIONS CO ............ 20,754,792 587,700 o3COM CORP ......................... 26,887,275 120 oAIRTOUCH COMMUNICATIONS, INC ...... 3,390 263,100 oCABLETRON SYSTEMS, INC ............ 18,055,237 1,109,300 oCISCO SYSTEMS, INC ................ 62,814,112 3,800 oDSC COMMUNICATIONS CORP ........... 114,475 See notes to financial statements. -30- SHARES VALUE ------ ----- COMMUNICATION EQUIPMENT & SERVICES (CONTINUED) 744,150 ERICSSON TELEFON (LM) AB SERIES B . $16,036,506 828,000 ERICSSON TELEFON (LM) AB SERIES B ADR .............................. 17,802,000 270,000 oGLOBALSTAR TELECOMMUNICATIONS LTD . 11,947,500 252,000 oJACOR COMMUNICATIONS, INC ......... 7,780,500 1,687,709 oMFS COMMUNICATIONS CO, INC ........ 63,500,051 30,000 oNEWBRIDGE NETWORKS ................ 1,960,532 95,900 NORTHERN TELECOMMUNICATIONS LTD ... 5,213,863 850,800 oOCTEL COMMUNICATIONS CORP ......... 16,803,300 258,600 oQUALCOMM, INC ..................... 13,738,125 ----------- 283,411,658 ----------- COMPUTER SERVICE--2.14% 6,400 ADOBE SYSTEMS, INC ................ 229,600 49,200 AUTOMATIC DATA PROCESSING, INC .... 1,900,350 24,750 oBAY NETWORKS, INC ................. 637,312 17,900 COMPUTER ASSOCIATES INTERNATIONAL, INC ............... 1,275,375 750,000 oCYRIX CORP ........................ 12,937,500 25,500 oELECTRONIC DATA SYSTEMS CORP ...... 1,370,625 919,300 oMADGE NETWORKS NV ................. 13,329,850 40,600 oMICROSOFT CORP .................... 4,877,075 1,082,225 oORACLE CORP ....................... 42,680,248 ----------- 79,237,935 ----------- CONGLOMERATES--2.40% 37,100 oAGIV AG. .......................... 706,806 41,800 BRASCAN LTD (CLASS A) ............. 777,417 919,760 BTR PLC ........................... 3,622,827 4,681 oBTR PLC WTS 11/30/97 .............. 1,491 5,147 oBTR PLC WTS 11/26/98 .............. 619 29,748 GEVAERT PHOTO-PRODUCTION NV ....... 1,989,195 846,597 HANSON PLC ........................ 2,374,373 1,326,000 HUTCHINSON WHAMPOA LTD ............ 8,342,340 6,200 ITT INDUSTRIES, INC ............... 155,775 161,000 KEPPEL CORP ....................... 1,345,943 25,298 oLAGARDERE GROUPE S.A .............. 652,068 25,298 oLAGARDERE GROUPE S.A. WTS 6/30/97 . 17,198 586,000 LOEWS CORP ........................ 46,220,750 60,000 LONRHO PLC ........................ 172,471 3,098,000 MALAYAN UNITED INDUSTRIES BERHAD .. 2,507,896 70,080 MINNESOTA MINING & MANUFACTURING CO ................. 4,835,520 252,500 NOMA INDUSTRIES LTD (CLASS A) ..... 730,302 23,500 ROCKWELL INTERNATIONAL CORP ....... 1,345,375 1,987,200 SIME DARBY BERHAD ................. 5,494,996 589,000 SWIRE PACIFIC LTD (CLASS A) ....... 5,040,999 8,346 oU.S.INDUSTRIES, INC ............... 201,347 3,200 UNITED TECHNOLOGIES CORP .......... 368,000 399,000 YTL CORP BERHAD ................... 2,078,705 ----------- 88,982,413 ----------- CONSTRUCTION--MATERIALS & BUILDERS--1.50% 283,462 BARRATT DEVELOPMENTS LTD .......... 1,118,725 449 oBILFINGER & BERGER AG. ............ 189,369 451,967 BORAL LTD ......................... 1,173,952 8,539 oBOUYGUES S.A. ..................... 952,040 98,731 CAMAS PLC ......................... 136,533 387,000 CARADON PLC ....................... 1,298,852 173,000 CHIYODA CORP ...................... 2,050,413 34,000 DAITO TRUST CONSTRUCTION CO LTD ... 508,363 171,000 DAIWA HOUSE INDUSTRY CO LTD ....... 2,650,311 15,167 oGTM ENTREPOSE S.A. ................ 983,971 2,635 oHEIDELBERGER ZEMENT AG. ........... 1,807,213 1,638 HOCHTIEF AG. ...................... 734,958 10,657 oIMETAL S.A. ....................... 1,511,103 362,000 KAJIMA CORP ....................... 3,729,400 114,848 KINDEN CORP ....................... 1,821,900 204,000 KUMAGAI GUMI CO LTD ............... 818,341 22,123 LAFARGE S.A. (BR) ................. 1,338,562 84,000 MISAWA HOMES CO LTD ............... 819,435 1,770 oNEW WORLD INFRASTRUCTURE .......... 3,772 417,000 OHBAYASHI-GUM LTD ................. 3,767,572 8,100 oOWENS CORNING CO .................. 348,300 182,000 PENTA OCEAN CONSTRUCTION CO LTD ... 1,226,218 524,206 PILKINGTON PLC .................... 1,474,265 167,835 REDLAND PLC ....................... 1,045,735 83,618 RMC GROUP PLC ..................... 1,316,146 320,070 RUGBY GROUP PLC ................... 547,057 41,720 oSCHNEIDER S.A. .................... 2,187,985 251,000 SEKISUI HOUSE LTD ................. 2,860,458 323,000 SHIMIZU CORP ...................... 3,563,197 13,538 ST. GOBAIN S.A. ................... 1,811,799 454,000 TAISEI CORP ....................... 3,220,233 390,373 TAYLOR WOODROW PLC ................ 946,236 100,000 TOSTEM CORP ....................... 2,944,791 130,000 TOTO LTD .......................... 1,955,596 115,820 oURALITA S.A. ...................... 1,083,936 674,873 WILSON (CONNOLLY) HOLDINGS PLC .... 1,719,732 ----------- 55,666,469 ----------- CONTAINERS--0.03% 119,500 CCL INDUSTRIES, INC (CLASS B) ..... 1,124,386 ----------- COSMETICS--0.63% 742,300 INTIMATE BRANDS, INC .............. 16,980,112 59,400 INTERNATIONAL FLAVORS & FRAGRANCES, INC .................. 2,828,925 6,155 LOREAL S.A. ....................... 2,043,179 113,000 SHISEIDO & CO LTD ................. 1,442,309 ----------- 23,294,525 ----------- ELECTRICAL EQUIPMENT--3.63% 29,500 ABB ASEA BROWN BOVERI LTD (BR) .... 36,483,161 21,000 ADVANTEST CORP .................... 832,837 22,569 ALCATEL ALSTHOM CIE GEN ........... 1,968,317 109,000 oAMCOL HOLDINGS LTD ................ 240,935 303,360 DELTA PLC ......................... 1,654,476 639,000 FUJITSU LTD ....................... 5,825,763 151,964 GENERAL ELECTRIC CO ............... 13,144,886 517,640 oGENERAL ELECTRIC CO (UNITED KINGDOM) ................. 2,790,952 961,000 HITACHI LTD ....................... 8,936,665 8,550 LEGRAND S.A. ...................... 1,527,883 948,000 MITSUBISHI ELECTRIC CORP .......... 6,603,187 526,000 NIPPON ELECTRIC CORP (N.E.C.) ..... 5,706,694 21,430 NKT HOLDINGS AS ................... 1,063,185 489,030 OXFORD INSTRUMENTS GROUP PLC ...... 3,753,682 120,090 SIEMENS AG. ....................... 6,413,952 327,000 SUMITOMO ELECTRIC INDUSTRIES CO ... 4,680,576 30,000 TOKYO ELECTRON CO LTD ............. 872,496 1,675,100 WESTINGHOUSE ELECTRIC CORP ........ 31,408,125 57,000 YOKOGAWA ELECTRIC CORP ............ 571,635 ----------- 134,479,407 ----------- ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED--4.18% 31,800 oCOREL CORP ........................ 325,986 5,680 oDII GROUP, INC .................... 144,840 1,535,574 INTEL CORP ........................ 112,768,715 130,100 oINTER-CITY PRODUCTS CORP .......... 371,523 59,000 KYOCERA CORP ...................... 4,168,748 324,000 MINEBEA CO LTD .................... 2,720,549 See notes to financial statements. -31- SHARES VALUE ------ ----- ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED (CONTINUED) 64,074 MOTOROLA, INC ..................... $ 4,028,652 59,200 MURATA MANUFACTURING CO LTD ....... 2,239,864 117,000 OMRON TATEISI ELECTRONICS CO ...... 2,485,385 29,000 ROHM CO ........................... 1,914,205 202,500 SGL CARBON AG. .................... 23,679,546 ----------- 154,848,013 ----------- ELECTRICAL EQUIPMENT-- INSTRUMENTS--0.59% 65,000 oASAHI OPTICAL CO LTD .............. 353,192 138,000 CANON, INC ........................ 2,868,572 166,000 FUJI PHOTO FILM CO LTD ............ 5,236,440 256,000 KONICA CORP ....................... 1,927,844 6,100 PERKIN-ELMER CORP ................. 294,325 269,000 RICOH CO LTD ...................... 2,844,868 49,000 SEIKO CORP ........................ 460,134 432,000 TOPPAN PRINTING CO ................ 6,301,670 106,000 YAMAHA CORP ....................... 1,749,187 ----------- 22,036,232 ----------- ENVIRONMENTAL CONTROL--0.02% 27,100 WMX TECHNOLOGIES, INC ............. 887,525 ----------- FINANCIAL--MISCELLANEOUS--1.27% 824,560 oBURE INVESTMENT AKTIEBOLAGET ...... 7,579,932 793 COMPAGNIE BANCAIRE S.A. ........... 89,338 8 COUNTRYWIDE CREDIT INDUSTRIES, INC. 198 14,772 CPR-COMPAGNIE PARISIENNE DE REESCOMPTE ....................... 1,141,980 102,800 CREDIT SAISON CO .................. 2,483,653 533,000 DAIWA SECURITIES CO LTD ........... 6,851,699 52 DEAN WITTER DISCOVER & CO ......... 2,977 288 FEDERAL NATIONAL MORTGAGE ASSOCIATION ...................... 9,648 15,124 GREAT WESTERN FINANCIAL CORP ...... 361,085 18 HOUSEHOLD INTERNATIONAL, INC ...... 1,368 11 LEHMAN BROTHERS HOLDINGS, INC ..... 272 164,675 MERCURY ASSETS MANAGEMENT GROUP PLC ........................ 2,469,164 724,000 NOMURA SECURITIES CO LTD .......... 14,125,515 616,802 PROVIDENT FINANCIAL PLC ........... 4,408,579 137,791 SCHROEDERS LTD .................... 2,901,050 661,000 YAMAICHI SECURITIES CO LTD ........ 4,531,805 ----------- 46,958,263 ----------- FOODS--1.26% 200,000 AJINOMOTO CO LTD .................. 2,388,654 87,901 ARCHER DANIELS MIDLAND CO ......... 1,681,106 509,440 ASSOCIATED BRITISH FOODS PLC ...... 3,063,367 1,220 AULT FOODS LTD .................... 14,516 204,217 CADBURY SCHWEPPES LTD ............. 1,615,119 14,600 CAMPBELL SOUP CO .................. 1,029,300 4,671 DANONE GROUP ...................... 706,779 1,072 oEARTHGRAINS CO .................... 35,108 1,138 oERIDANIA BEGHIN-SAY S.A. .......... 178,161 53,000 EZAKI GLICO CO LTD ................ 589,505 227,334 oFINANZIARIA AUTOGRILL S.P.A. ...... 260,425 25,300 GENERAL MILLS, INC ................ 1,378,850 12,550 HEINZ (H.J.) CO ................... 381,206 188,000 HOUSE FOODS CORP .................. 3,565,111 31,095 KORN-OG FODERSTOF KOMPAGNIET AS ... 1,404,850 226,000 MEIJI SEIKA KAISHA LTD ............ 1,399,040 465,000 NESTLE MALAYSIA BERHAD ............ 3,745,637 6,469 NESTLE S.A. (REGD) ................ 7,385,312 270,000 NICHIREI CORP ..................... 1,932,348 298,000 oNIPPON SUISAN KAISHA LTD .......... 1,268,776 552,000 PRIMA LTD ......................... 1,955,366 19,200 QUAKER OATS CO .................... 655,200 356 RALSTON PURINA GROUP .............. 22,828 50,100 SARA LEE CORP ..................... 1,621,987 104,000 SNOW BRAND MILK PRODUCTS CO ....... 706,385 162,000 TAKARA SHUZO CO LTD ............... 1,654,188 201,613 UNILEVER LTD ...................... 4,009,808 209,057 UNITED BISCUITS HOLDINGS PLC ...... 695,142 84,000 oYAMAZAKI BAKING CO LTD ............ 1,554,630 ----------- 46,898,704 ----------- FOREST PRODUCTS--0.23% 300,369 ARJO WIGGINS APPLETON PLC ......... 821,415 2,000 GEORGIA-PACIFIC CORP .............. 142,000 51,600 oINTERNATIONAL FOREST PRODUCTS LTD . 453,393 117,000 oJAYA TIASA HOLDINGS BERHAD ........ 684,566 11,370 PAPIERWERKE WALDHOF- ASCHAFFENBURG AG. ................ 1,426,665 75 RAYONIER, INC ..................... 2,850 80,400 oREPAP ENTERPRISES, INC. ........... 314,959 675,866 REXAM PLC ......................... 3,560,044 23,700 WEYERHAEUSER CO ................... 1,007,250 ----------- 8,413,142 ----------- HEALTHCARE--DRUGS--5.06% 49,864 AMERICAN HOME PRODUCTS CORP ....... 2,998,073 185,000 BANYU PHARMACEUTICAL CO LTD ....... 2,614,299 43,963 BRISTOL MYERS SQUIBB CO ........... 3,956,670 110,000 CHUGAI PHARMACEUTICAL CO LTD ...... 1,073,070 4,452 CIBA-GEIGY AG. (BR) ............... 5,399,162 5,364 CIBA-GEIGY AG. (REGD) ............. 6,535,188 94,000 DAIICHI PHARMACEUTICAL CO ......... 1,448,326 1,041,306 GLAXO WELLCOME PLC ................ 14,019,807 550,000 IVAX CORP ......................... 8,731,250 68,600 KISSEI PHARMACEUTICALS CO LTD ..... 1,920,058 188,000 KYOWA HAKKO KOGYO ................. 1,799,695 45,962 LILLY (ELI) & CO .................. 2,987,530 97,282 MERCK & CO, INC ................... 6,286,849 22,230 MERCK & CO KGAA ................... 832,420 73,200 MOCHIDA PHARMACEUTICAL CO LTD ..... 954,331 30,000 oNEUROSEARCH AS NEW ................ 1,150,794 4,462 PFIZER, INC ....................... 318,475 1,828 ROCHE HOLDINGS AG. (GENUSSCHEINE) . 13,939,641 65,922 SANDOZ AG. (REGD) ................. 75,364,964 111,100 SANKYO CO LTD ..................... 2,876,632 15,200 SCHERING-PLOUGH CORP .............. 953,800 865,540 SMITHKLINE BEECHAM/BECKMAN LTD .... 9,259,471 351,100 TAISHO PHARMACEUTICAL CO LTD ...... 7,586,319 170,000 TAKEDA CHEMICAL INDUSTRY LTD ...... 3,006,786 201,000 TANABE SEIYAKU CO LTD ............. 1,568,634 39,600 WARNER-LAMBERT CO ................. 2,178,000 86,000 YAMANOUCHI PHARMACEUTICAL CO ...... 1,866,067 269,416 ZENECA GROUP PLC .................. 5,956,942 ----------- 187,583,253 ----------- HEALTHCARE--HOSPITAL SUPPLY--0.27% 66,133 ABBOTT LABORATORIES CO ............ 2,876,785 44,000 BAXTER INTERNATIONAL, INC ......... 2,079,000 104,638 JOHNSON & JOHNSON CO .............. 5,179,581 ----------- 10,135,366 ----------- HEALTHCARE--OTHER--0.72% 1,052,150 oCAREMARK INTERNATIONAL, INC ....... 26,566,787 463 oESSILOR INTERNATIONAL ............. 131,121 ----------- 26,697,908 ----------- HEALTHCARE--SERVICE--1.85% 1,200,333 ADAC LABORATORIES, INC (NEW) ...... 27,307,575 757,290 COLUMBIA/HCA HEALTHCARE CORP ...... 40,420,353 See notes to financial statements. -32- SHARES VALUE ------ ----- HEALTHCARE--SERVICE (CONTINUED) 12,100 oEXTENDICARE (SUB-VTG)(CLASS A) .... $ 146,631 180 oTRANSPORT HOLDINGS, INC (CLASS A) . 8,280 13,550 U.S. HEALTHCARE, INC .............. 745,250 ----------- 68,628,089 ----------- HOUSEHOLD--CONSUMER ELECTRONICS--0.90% 770,000 MATSUSHITA ELECTRIC INDUSTRIAL CO LTD ................ 14,320,983 84,000 PIONEER ELECTRONIC CORP ........... 1,998,811 562,000 SANYO ELECTRIC CO LTD ............. 3,427,791 342,000 SHARP CORP ........................ 5,986,586 118,400 SONY CORP ......................... 7,782,854 ----------- 33,517,025 ----------- HOUSEHOLD--DURABLE GOODS--0.04% 300 BLACK & DECKER CORP ............... 11,587 35,100 MAYTAG CO ......................... 732,712 13,300 SHAW INDUSTRIES, INC .............. 174,562 9,700 WHIRLPOOL CORP .................... 481,362 ----------- 1,400,223 ----------- HOUSEHOLD--PRODUCTS--0.21% 4,096 BIC S.A. .......................... 581,585 137,000 KAO CORP .......................... 1,848,562 39,000 NORITAKE CO LTD ................... 405,341 44,900 PROCTER & GAMBLE CO ............... 4,069,062 22,600 TAMBRANDS, INC .................... 923,775 ----------- 7,828,325 ----------- INSURANCE--LIFE--0.09% 131,414 LEGAL & GENERAL GROUP PLC ......... 1,366,038 309,091 PRUDENTIAL CORP PLC ............... 1,949,878 50 SUNAMERICA, INC ................... 2,825 ----------- 3,318,741 ----------- INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--3.13% 910 oAACHENER & MUNCHENER BERTEIL (BR) . 535,048 1,735 oAACHENER & MUNCHENER BERTEIL (REGD) ................... 1,276,573 495,400 oAETNA LIFE & CASUALTY CO .......... 35,421,100 58,116 oALLEANZA ASSICURAZIONI (S/S) NON CV 376,263 3,609 oALLIANZ AG. (REGD) ................ 6,247,350 470,068 ALLSTATE CORP ..................... 21,446,852 27,587 AMERICAN INTERNATIONAL GROUP, INC . 2,720,767 182,930 oASSICURAZIONI GENERALI S.P.A. ..... 4,216,207 56,760 AXA S.A. .......................... 3,104,641 28,300 CHUBB CORP ........................ 1,411,462 1,410 oCOLONIA KONZERN AG. (REGD) ........ 1,139,337 141,789 COMMERICAL UNION ASSURANCE CO LTD . 1,277,808 5,119 FORTIS AG. ........................ 675,610 135 oFORTIS AG. NPV (STRIP VVPR) ....... 77 427,482 GENERAL ACCIDENT PLC .............. 4,337,366 656,060 GUARDIAN ROYAL EXCHANGE ASSURANCE PLC .................... 2,528,077 6,200 ITT HARTFORD GROUP, INC ........... 330,150 311,000 MITSUI TAISHO MARINE & FIRE CO LTD 2,469,622 2,093 oMUNCHENER RUECKVERSICHERUNGS- GESELLSCHAFT (REGD) (P/P) ........ 4,317,449 115 oMUNCHENER RUECKVERSICHERUNGS- GESELLSCHAFT (REGD) (P/P) WTS 3/13/98 ...................... 14,505 323,000 NIPPON FIRE & MARINE INSURANCE CO LTD ................. 2,105,525 491,299 ROYAL INSURANCE PLC ............... 3,038,253 261,000 SUMITOMO MARINE & FIRE INSURANCE CO ..................... 2,272,457 409,000 TOKIO MARINE & FIRE INSURANCE CO LTD ................. 5,444,125 94 TRAVELERS GROUP, INC .............. 4,288 34,733 ZURICH INSURANCE CO (REGD) ........ 9,462,288 ----------- 116,173,200 ----------- LEISURE TIME--3.30% 14,400 BRUNSWICK CORP .................... 288,000 866,900 oCARMIKE CINEMAS, INC (CLASS A) .... 23,406,300 2,787,600 CARNIVAL CORP (CLASS A) ........... 80,491,950 70,821 DISNEY (WALT) CO .................. 4,452,870 85,492 oGRANADA GROUP LTD (CLASS A) ....... 1,145,058 13,950 oHARRAHS ENTERTAINMENT, INC ........ 394,087 9,500 INTERNATIONAL GAME TECHNOLOGY CO .. 160,312 6,200 oITT CORP (NEW) .................... 410,750 513,438 LADBROKE GROUP PLC ................ 1,436,003 2,725,500 MAGNUM CORP BERHAD ................ 4,609,304 535 oSALOMON S.A. ...................... 488,933 46,000 SEGA ENTERPRISES LTD .............. 2,147,235 43,000 SHIMANO, INC ...................... 768,380 75,902 THORN EMI LTD ..................... 2,115,781 ----------- 122,314,963 ----------- MACHINERY--2.03% 122,000 AMANO CORP ........................ 1,813,006 76,200 BOMBARDIER, INC (CLASS B) ......... 1,141,018 18,530 xoBREMER VULKAN AG. ................. 59,648 23,300 CATERPILLAR, INC .................. 1,578,575 136 COOPER INDUSTRIES, INC ............ 5,644 172,000 DAIKIN INDUSTRIES LTD ............. 1,881,748 140,000 EBARA CORP ........................ 2,233,665 8,052 FAG KUGELFISCHER (GEORGE) SCHAFER & CO ..................... 1,203,409 59,000 FANUC LTD ......................... 2,345,257 841 FISCHER (GEORGE) LTD (BR) ......... 970,875 21 FISCHER (GEORGE) LTD (REGD) ....... 4,764 78,000 FKI PLC ........................... 206,033 261,690 IMI PLC ........................... 1,437,380 4,253 oINDUSTRIE-WERKE KARLSRUHE AUGSBURG AG. ..................... 874,516 299,000 KOMATSU LTD ....................... 2,944,061 467,000 KUBOTA LTD ........................ 3,078,273 120 LINDE AG. ......................... 78,044 14,100 MAGNA INTERNATIONAL, INC .......... 650,435 895 oMAN AG. (STAMM) ................... 222,721 8,539 oMANNESMANN AG. .................... 2,950,673 881,000 MITSUBISHI HEAVY INDUSTRIES LTD ... 7,654,569 19,000 MORI SEIKI CO LTD ................. 381,090 64,000 oOKUMA CORP ........................ 711,855 145,000 SIDEL S.A. ........................ 36,867,533 194,000 oSUMITOMO HEAVY INDUSTRIES LTD ..... 847,206 34,000 TAKUMA CO ......................... 514,563 109,000 TOYOTA AUTOMATIC LOOM WORKS LTD ... 2,176,319 61,000 TSUGAMI CORP ...................... 319,222 ----------- 75,152,102 ----------- METALS--ALUMINIUM--0.12% 53,800 ALCAN ALUMINIUM CO LTD ............ 1,636,808 78,000 TOYO SEIKAN KAISHA LTD ............ 2,716,501 ----------- 4,353,309 ----------- METALS--GOLD--0.18% 45,900 AGNICO EAGLE MINES LTD ............ 747,803 26,500 BARRICK GOLD CORP ................. 718,916 55,700 BARRICK GOLD CORP (U.S.) .......... 1,510,862 61,300 CAMBIOR, INC ...................... 810,181 22,800 ECHO BAY MINES LTD ................ 243,743 172,500 oEMPEROR MINES LTD ................. 407,324 189,100 oNEWCREST MINING LTD ............... 759,087 See notes to financial statements. -33- SHARES VALUE ------ ----- METALS--GOLD (CONTINUED) 57,300 PLACER DOME, INC .................. $ 1,369,879 ----------- 6,567,795 ----------- METALS--NON-FERROUS--0.70% 9,500 CAMECO CORP ....................... 447,279 1,700 CYPRUS AMAX MINERALS CO ........... 38,462 47,000 FUJIKURA LTD ...................... 389,077 103,000 FURUKAWA ELECTRIC CO LTD .......... 615,078 25,681 INCO LTD .......................... 826,447 63,450 JOHNSON MATTHEY PLC ............... 613,221 566,000 MITSUBISHI MATERIALS CORP ......... 3,075,492 1,038,000 NIKKO KYODO CO .................... 3,851,622 519,000 NIPPON LIGHT METAL CO LTD ......... 2,943,131 85,600 NORANDA, INC ...................... 1,751,862 38,850 RTC CORP PLC (BR) ................. 575,279 375,910 RTZ CORP PLC (REGD) ............... 5,566,367 1,164,000 STRAITS TRADING CO ................ 3,051,221 275,000 SUMITOMO METAL MINING CO LTD ...... 2,379,309 ----------- 26,123,847 ----------- METALS--STEEL--0.85% 3,815,000 AMSTEEL CORP BERHAD ............... 2,874,280 473,060 BRITISH STEEL PLC ................. 1,209,141 47,200 DOFASCO, INC ...................... 694,676 142,000 oFLACK S.P.A. ...................... 531,432 849,000 KAWASAKI STEEL CORP ............... 3,057,431 882,000 oKOBE STEEL LTD .................... 2,532,976 1,867,000 NIPPON STEEL CORP ................. 6,400,061 1,853,000 oNKK CORP .......................... 5,608,741 5,813 PREUSSAG AKTIEGESELLSCHAFT AG. .... 1,470,243 68,000 oSTELCO, INC (CLASS A) ............. 306,216 968,000 SUMITOMO METAL INDUSTRIES LTD ..... 2,965,286 18,934 THYSSEN AG. ....................... 3,459,168 15,300 USX-US STEEL GROUP, INC ........... 434,137 ----------- 31,543,788 ----------- MISCELLANEOUS MATERIALS & COMMODITIES--0.19% 309,000 ASAHI GLASS CO LTD ................ 3,690,470 769,000 oKEMAYAN CORP BERHAD ............... 1,201,898 412,000 NIPPON SHEET GLASS CO LTD ......... 2,017,081 ----------- 6,909,449 ----------- OFFICE EQUIPMENT--2.94% 30,026 HEWLETT-PACKARD CO ................ 2,991,340 591,990 INTERNATIONAL BUSINESS MACHINES CORP .................... 58,607,010 889,200 XEROX CORP ........................ 47,572,200 ----------- 109,170,550 ----------- PAPER--0.21% 154,000 oDAISHOWA PAPER MANUFACTURING CO ... 1,186,395 92,000 HONSHU PAPER CO LTD ............... 651,719 36,700 INTERNATIONAL PAPER CO ............ 1,353,312 327,000 oMALAYSIAN PACIFIC INDUSTRIES BERHAD 1,362,880 188,000 NEW OJI PAPER CO LTD .............. 1,621,440 287,000 NIPPON PAPER INDUSTRIES CO ........ 1,792,356 ----------- 7,968,102 ----------- PETROLEUM-- EXPLORATION & PRODUCTION--0.80% 217,466 LONDON & SCOTTISH MARINE OIL PLC .. 594,701 24 MURPHY OIL CORP ................... 1,089 1,969,000 SAGA PETROLEUM AS SERIES A ........ 28,944,356 ----------- 29,540,146 ----------- PETROLEUM--INTEGRATED--1.45% 54,500 oARABIAN OIL CO LTD ................ 2,548,976 1,692,124 BRITISH PETROLEUM PLC ............. 14,841,959 816,828 BROKEN HILL PROPRIETARY CO LTD .... 11,296,197 264,676 BURMAH CASTROL PLC ................ 4,190,673 23,400 CHEVRON CORP ...................... 1,380,600 304,000 COSMO OIL CO LTD .................. 1,879,123 101,100 oGULF CANADA RESOURCES LTD ......... 510,792 313,000 MITSUBISHI OIL CO LTD ............. 2,668,135 30,900 MOBIL CORP ........................ 3,464,662 573,000 NIPPON OIL CO LTD ................. 3,881,462 24 oPETROFINA S.A. WTS 6/03/97 ........ 243 88,908 REPSOL S.A. ....................... 3,089,068 54,532 SOCIETE NATIONALE ELF AQUITAINE ... 4,010,222 29 UNOCAL CORP ....................... 978 2,800 USX-DELHI GROUP, INC .............. 34,300 ----------- 53,797,390 ----------- PETROLEUM--SERVICE--3.15% 24,720 oGLOBAL INDUSTRIAL TECHNOLOGIES, INC 395,520 2,351,000 IHC CALAND NV ..................... 115,690,669 9,600 MCDERMOTT INTERNATIONAL, INC ...... 200,400 8,900 oWESTERN ATLAS, INC ................ 518,425 ----------- 116,805,014 ----------- PHOTOGRAPHY--0.13% 61,600 EASTMAN KODAK CO .................. 4,789,400 ----------- PROPERTY--REAL ESTATE--1.35% 918,000 CHEUNG KONG HOLDINGS LTD .......... 6,611,545 386,101 CHINESE ESTATES LTD ............... 344,164 196,560 oCITY DEVELOPMENT LTD .............. 1,531,816 13,665 oCITY DEVELOPMENT LTD WTS 7/18/98 .. 79,385 214,000 DAIKYO, INC ....................... 1,590,095 191,206 HAMMERSON PLC ..................... 1,078,458 474,000 HYSAN DEVELOPMENT CO LTD .......... 1,451,249 3,817,000 IGB CORP BERHAD ................... 3,839,482 184,492 LAND SECURITIES PLC ............... 1,785,914 440,000 MITSUBISHI ESTATE CO LTD .......... 6,057,334 349,000 MITSUI FUDOSAN CO LTD ............. 4,709,112 983,128 NEW WORLD DEVELOPMENT CO LTD ...... 4,559,528 1,420 oSEFIMEG S.A. ...................... 95,985 2,254 oSIMCO (REGD) ...................... 207,961 99 oSIMCO (REGD) NEW .................. 8,268 605,900 SUN HUNG KAI PROPERTIES LTD ....... 6,124,924 5,918 oTRIZEC CORP LTD WTS 7/25/99 ....... 4,983 2,927,000 UNITED OVERSEAS LAND LTD .......... 5,142,726 1,387,000 WHARF HOLDINGS LTD ................ 4,963,313 ----------- 50,186,242 ----------- PUBLISHING--NEWSPAPER--0.34% 15,997 oCOX COMMUNICATIONS, INC (CLASS A) NEW .............................. 345,935 7,500 GANNETT CO, INC ................... 530,625 376,400 NEWS CORP LTD ..................... 2,136,066 575,100 SCHIBSTED AS ...................... 7,435,967 83,000 SINGAPORE PRESS HOLDINGS LTD (FR) . 1,628,834 9,500 TIMES MIRROR CO (SERIES A) NEW .... 413,250 ----------- 12,490,677 ----------- PUBLISHING--OTHER--0.35% 222,000 DAI NIPPON PRINTING CO LTD ........ 4,290,824 202,255 DE LA RUE CO PLC .................. 1,869,869 8,200 DUN & BRADSTREET CORP ............. 512,500 16,400 MCGRAW HILL COS, INC .............. 750,300 101,010 REED INTERNATIONAL PLC ............ 1,690,344 4,493,000 SOUTH CHINA MORNING POST .......... 3,076,293 12,000 THOMSON CORP ...................... 189,792 15,598 TIME WARNER, INC .................. 612,221 ----------- 12,992,143 ----------- See notes to financial statements. -34- SHARES VALUE ------ ----- RAILROAD--1.54% 100 BURLINGTON NORTHERN SANTA FE CORP $ 8,087 115,600 CANADIAN PACIFIC LTD .............. 2,530,891 718,546 CSX CORP .......................... 34,669,844 339,250 oHANKYU CORP ....................... 1,985,668 686,770 KINKI NIPPON RAILWAY CO LTD ....... 4,940,151 394,490 NAGOYA RAILROAD CO LTD ............ 2,010,480 323,000 NIPPON EXPRESS CO LTD ............. 3,150,926 272,950 ODAKYU ELECTRIC RAILWAY CO LTD .... 1,836,502 364,020 TOBU RAILWAY CO LTD ............... 2,386,195 486,000 TOKYU CORP ........................ 3,699,769 ----------- 57,218,513 ----------- RESTAURANTS & HOTELS--0.24% 11,524 ACCOR S.A. ........................ 1,611,655 77,000 FUJITA KANKO, INC ................. 1,544,419 73,566 MCDONALDS CORP .................... 3,439,210 3,909 MOEVENPICK HOLDINGS (BR) .......... 1,249,180 975 oPROMUS HOTEL CORP ................. 28,884 1,268,000 REGAL HOTELS INTERNATIONAL LTD .... 339,901 26,600 SYSCO CORP ........................ 911,050 ----------- 9,124,299 ----------- RETAIL--FOOD--0.39% 2,600 ALBERTSONS, INC ................... 107,575 11,800 AMERICAN STORES CO, (NEW) ......... 486,750 445,020 ARGYLL GROUP PLC .................. 2,399,408 6,795 CARREFOUR SUPERMARCHE S.A. ........ 3,806,458 1,191,645 DAIRY FARM INTERNATIONAL HOLDINGS LTD ..................... 1,006,940 33,000 DELHAIZE FRERES NV ................ 1,658,938 321,732 SAINSBURY (J) PLC ................. 1,894,648 53,000 oSCOTTS HOSPITALITY, INC ........... 496,741 2,800 SUPERVALU, INC .................... 88,200 359,924 TESCO PLC ......................... 1,644,194 23,100 WINN DIXIE STORES, INC ............ 817,162 ----------- 14,407,014 ----------- RETAIL--GENERAL MERCHANDISE--3.42% 11,070 ADIDAS AG. ........................ 930,136 1,262 ASKO DEUTSCHE KAUFHAUS AG. ........ 932,696 114,280 BOOTS CO LTD ...................... 1,028,120 1,201,200 CIRCUIT CITY STORES, INC .......... 43,393,350 575 COMPTOIRS MODERNES ................ 259,338 247,000 DAIEI, INC ........................ 2,972,506 207,000 DAIMARU, INC ...................... 1,447,496 6,500 DAYTON HUDSON CORP ................ 670,312 689,390 GREAT UNIVERSAL STORES PLC ........ 7,005,479 46,800 HOME DEPOT, INC ................... 2,527,200 1,613,700 oHOME SHOPPING NETWORK, INC ........ 19,364,400 80,000 ISETAN CO ......................... 1,210,737 109,000 ITO-YOKADO CO LTD ................. 6,568,707 112,000 JUSCO CO LTD ...................... 3,665,763 28,082 oK MART CORP ....................... 347,514 2,750 oKARSTADT AG. ...................... 1,111,959 1,841 KAUFHOF HOLDING AG. ............... 696,392 134,494 KINGFISHER PLC .................... 1,352,079 18,320 LIMITED, INC ...................... 393,880 806,366 MARKS & SPENCER PLC ............... 5,895,042 147,000 MARUI CO LTD ...................... 3,256,683 17,000 MAY DEPARTMENT STORES CO .......... 743,750 2,087 MERKUR HOLDINGS AG. (REGD) ........ 438,508 248,000 MITSUKOSHI LTD .................... 2,645,388 41,970 NEXT PLC .......................... 367,149 162,000 NICHII CO LTD ..................... 2,688,056 2,808 oPAYLESS SHOESOURCE, INC ........... 89,154 31,500 PENNEY, (J.C.) CO, INC ............ 1,653,750 354,643 SEARS PLC ......................... 545,533 31,500 SEARS ROEBUCK & CO ................ 1,531,687 99,249 SEVEN-ELEVEN JAPAN CO LTD ......... 6,324,923 10,700 oTOYS R US, INC .................... 304,950 176,058 WAL-MART STORES, INC .............. 4,467,471 ------------ 126,830,108 ------------ TEXTILE & APPAREL--0.44% 2,962 oCHARGEURS INTERNATIONAL S.A. ...... 132,384 4,798 COATS VIYELLA PLC ................. 12,822 137,990 COURTAULDS TEXTILES PLC ........... 769,727 338,711 DAWSON INTERNATIONAL PLC .......... 431,557 12,590 DOLLFUS-MIEG & CIE S.A. ........... 560,012 474,000 oKANEBO LTD ........................ 1,413,116 20,900 NIKE, INC (CLASS B) ............... 2,147,475 187,000 NISSHINBO INDUSTRY, INC ........... 1,841,269 154,000 ONWARD KASHIYMA CO LTD ............ 2,513,192 2,962 oPATHE SA .......................... 695,005 859,000 TORAY INDUSTRIES, INC ............. 5,920,616 ------------ 16,437,175 ------------ TOBACCO--0.76% 698,161 B.A.T. INDUSTRIES LTD ............. 5,434,860 1,997,500 oPT HANJAYA MANDALA SAMPOERNA (FR).. 22,761,512 ------------ 28,196,372 ------------ TRADING COMPANIES--0.50% 504,000 ITOCHU CORP ....................... 3,519,745 780,000 oMALAYSIAN MOSAICS BERHAD .......... 1,119,062 473,000 MARUBENI CORP ..................... 2,587,404 402,000 MITSUBISHI CORP ................... 5,277,648 416,000 MITSUI & CO LTD ................... 3,766,123 257,000 SUMITOMO CORP ..................... 2,282,149 ------------ 18,552,131 ------------ TRUCKERS & SHIPPING--0.92% 3,121,000 CHUAN HUP HOLDINGS ................ 2,388,012 36 DAMPSKIBSSELSKABET AF 1912 (CLASS B) 816,296 26 DAMPSKIBSSELSKABET SVENDBORG (CLASS B) ........................ 848,859 1,127,656 oICB SHIPPING AB SERIES B .......... 13,595,020 85,800 LAIDLAW, INC (CLASS B) ............ 870,124 396,000 oMITSUI OSK LINES LTD .............. 1,364,705 2,908,000 NEPTUNE ORIENT LINES LTD .......... 3,049,124 636,000 NIPPON YUSEN K.K. ................. 3,676,193 100,000 oNORDIC AMERICAN TANKER SHIP WTS 09/30/97 ..................... 387,500 284,980 OCEAN GROUP PLC ................... 2,023,604 138,799 PENINSULAR & ORIENTAL STEAM NAVIGATION CO .................... 1,048,136 200 RYDER SYSTEMS, INC ................ 5,625 78,000 SEINO TRANSPORTATION CO LTD ....... 1,230,247 244,358 YAMATO TRANSPORT CO LTD ........... 2,873,877 ------------ 34,177,322 ------------ UTILITIES--ELECTRIC--2.23% 720,000 CHINA LIGHT & POWER CO LTD ........ 3,264,788 197,488 EAST MIDLANDS ELECTRICITY PLC ..... 1,598,724 4,671,650 EDISON ............................ 28,174,721 10,950 ELECTRABEL NV ..................... 2,352,149 10,950 ELECTRABEL S.A. VVPR STRIP ........ 11,184 33,227 EMPRESA NACIONAL DE ELECTRIDAD S.A. 2,070,507 36,604 IBERDROLA 1 S.A. .................. 375,399 293,910 KANSAI ELECTRIC POWER CO, INC ..... 6,725,739 155,100 oMELCO INTERNATIONAL DEVELOPMENT ... 43,079 140,808 NATIONAL GRID GROUP PLC ........... 373,032 607,600 oNATIONAL POWER PLC ................ 4,909,262 72,910 oRHEIN-WESTFALEN ELECTRIC AG. (STAMM) 2,840,338 See notes to financial statements. -35- SHARES VALUE ------ ----- UTILITIES--ELECTRIC (CONTINUED) 186,372 SCOTTISH POWER PLC ................ $ 880,337 247,000 SHUN TAK ENTERPRISES CORP LTD ..... 151,567 824,000 TENAGA NASIONAL BERHAD ............ 3,467,314 156,954 TOHOKU ELECTRIC POWER CO, INC ..... 3,505,826 453,187 TOKYO ELECTRIC POWER CO, INC ...... 11,486,142 600 TRACTEBEL NV ...................... 245,609 350,600 TRANSALTA CORP .................... 3,786,591 95,000 VEBA AG. .......................... 5,047,070 3,799 oVIAG AG. .......................... 1,514,908 ------------ 82,824,286 ------------ UTILITIES--GAS & PIPELINE--0.76% 1,067,670 BRITISH GAS CORP PLC .............. 2,986,102 188,450 CALOR GROUP PLC ................... 711,537 6,287 oENERGIA E INDUSTRIAS ARAGONESAS S.A. .................. 30,939 23,141 oGENERALE DES EAUX ................. 2,584,558 170,852 IPL ENERGY, INC ................... 4,291,002 1,757,000 OSAKA GAS CO LTD .................. 6,423,446 33,384 PRIMAGAZ .......................... 3,702,635 2,026,000 TOKYO GAS CO LTD .................. 7,388,416 ------------ 28,118,635 ------------ UTILITIES--OTHER--0.38% 432,590 oANGLIAN WATER PLC ................. 3,985,898 614,027 THAMES WATER PLC .................. 5,409,606 565,024 UNITED UTILITIES PLC .............. 4,758,403 ------------ 14,153,907 ------------ UTILITIES--TELEPHONE--4.13% 82,619 AT & T CORP ....................... 5,122,378 7,600 BCE, INC .......................... 299,113 66,194 BELLSOUTH CORP .................... 2,804,970 2,486,591 oBRITISH TELECOMMUNICATIONS PLC .... 13,368,281 410,512 CABLE & WIRELESS PLC .............. 2,717,256 4,399,800 HONG KONG TELECOMMUNICATIONS LTD .. 7,900,656 1 PACIFIC TELESIS GROUP CO .......... 33 50 SPRINT CORP ....................... 2,100 298,000 oTECHNOLOGY RESOURCES INDUSTRIES BERHAD ................ 1,038,992 8,469,999 TELECOM ITALIA S.P.A. ............. 18,196,437 7,869,999 TELECOM ITALIA MOBILE S.P.A. ...... 17,574,494 234,503 TELEFONICA DE ESPANA S.A. ......... 4,316,177 738,000 TELEKOM MALAYSIA BERHAD ........... 6,565,776 1,129,704 VODAFONE GROUP PLC ................ 4,204,025 1,247,500 oWORLDCOM, INC ..................... 69,080,312 -------------- 153,191,000 -------------- TOTAL COMMON STOCK (COST $ 3,084,395,755) ............ 3,518,918,058 -------------- PRINCIPAL --------- SHORT TERM INVESTMENTS--7.74% BANKERS ACCEPTANCES--0.27% NATIONS BANK OF TEXAS $10,000,000 5.370%, 08/20/96 ............... 9,923,777 -------------- COMMERCIAL PAPER--5.38% AMERICAN EXPRESS CREDIT CORP 12,000,000 5.300%, 07/01/96 ............... 11,997,973 AMERICAN HOME PRODUCTS 12,700,000 5.400%, 07/24/96 ............... 12,653,087 CIESCO LP 12,000,000 5.280%, 07/19/96 ............... 11,965,159 CIT GROUP HOLDINGS INC 12,000,000 5.290%, 07/15/96 ............... 11,972,473 COCA-COLA ENTERPRISES, INC 12,000,000 5.320%, 07/17/96 ............... 11,968,840 COLUMBIA/HCA HEALTHCARE CORP 9,661,000 #5.500%, 07/16/96 ............... 9,636,997 CONAGRA, INC 12,700,000 5.520%, 07/09/96 ............... 12,681,969 COOPER INDUSTRIES, INC 12,000,000 5.600%, 07/01/96 ............... 11,998,102 CORPORATE ASSET FUNDING CORP, INC 12,700,000 5.350%, 07/02/96 ............... 12,695,956 GENERAL MOTORS ACCEPTANCE CORP 10,000,000 5.320%, 07/12/96 ............... 9,981,177 GOLDMAN SACHS GROUP, LP 7,709,000 5.310%, 07/09/96 ............... 7,698,248 GTE CORP 10,000,000 5.500%, 07/03/96 ............... 9,995,194 MORGAN STANLEY GROUP, INC 12,000,000 5.310%, 07/11/96 ............... 11,979,577 NEW YORK STATE ELECTRIC & GAS CORP 7,000,000 #5.550%, 07/08/96 ............... 6,991,172 NEW YORK STATE ELECTRIC & GAS CORP 5,500,000 5.510%, 07/22/96 ............... 5,481,223 NORDSTROM CREDIT INC 6,000,000 5.350%, 07/16/96 ............... 5,985,343 SMITH BARNEY INC 12,000,000 5.390%, 07/26/96 ............... 11,952,446 SOUTHWESTERN BELL CAPITAL CORP 12,000,000 5.280%, 08/08/96 ............... 11,928,626 THE STANLEY WORKS 10,000,000 5.420%, 07/30/96 ............... 9,954,300 -------------- 199,517,862 -------------- GOVERNMENT AGENCIES--2.09% FEDERAL FARM CREDIT BANKS 13,900,000 5.280%, 07/29/96 ............... 13,840,997 FEDERAL HOME LOAN MORTGAGE CORP 12,000,000 5.250%, 07/03/96 ............... 11,994,732 10,000,000 5.230%, 07/11/96 ............... 9,983,911 16,000,000 5.285%, 07/15/96 ............... 15,964,880 7,000,000 5.270%, 07/15/96 ............... 6,984,629 9,000,000 5.335%, 09/24/96 ............... 8,886,067 FEDERAL NATIONAL MORTGAGE ASSOCIATION 10,000,000 5.180%, 07/18/96 ............... 9,972,433 -------------- 77,627,649 -------------- TOTAL SHORT TERM INVESTMENTS (COST $287,126,912) ................. 287,069,288 -------------- ROUNDING .......................... 319 -------------- TOTAL PORTFOLIO (COST $3,419,870,791) .............$3,856,894,641 ============== - ---------------- o NON-INCOME PRODUCING X IN BANKRUPTCY # RESTRICTED See notes to financial statements. -36- COLLEGE RETIREMENT EQUITIES FUND TRANSACTIONS WITH AFFILIATED COMPANIES--GLOBAL EQUITIES ACCOUNT (UNAUDITED) JANUARY 1, 1996--JUNE 30, 1996
PURCHASES SALES VALUE AT ---------- --------- REALIZED DIVIDEND SHARES AT VALUE AT ISSUE DECEMBER 31, 1995 COST PROCEEDS GAIN (LOSS) INCOME JUNE 30, 1996 JUNE 30, 1996 ----- ----------------- ---------- --------- ----------- --------- ------------- ------------- ADAC LABORATORIES, INC (NEW) $ 14,554,037 -- -- -- $ 288,078 1,200,333 $ 27,307,575 COMMUNITY PSYCHIATRICS CENTERS 30,707,075 -- $12,830,861 $(2,990,877) -- * * IHC CALAND NV 77,811,689 $ 2,006,859 -- -- 2,134,565 2,351,000 115,690,669 WESTWOOD ONE, INC 30,525,537 9,040,004 -- -- -- 2,661,100 40,581,775 ------------ ----------- ----------- ----------- ---------- ------------ TOTAL AFFILIATED TRANSACTIONS $153,598,338 $11,046,863 $12,830,861 $(2,990,877) $2,422,643 $183,580,019 ============ =========== =========== =========== ========== ============
* NOT AN AFFILIATE AS OF JUNE 30, 1996 See notes to financial statements. -37- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GROWTH ACCOUNT (Unaudited) JUNE 30, 1996 SUMMARY VALUE % ----- --- PREFERRED STOCK FINANCIAL--MISCELLANEOUS ...................... $ 20,857 0.00% HEALTHCARE--SERVICE ........................... 12,240 0.00 ------------ ----- TOTAL PREFERRED STOCK (Cost $ 33,958) ................................ 33,097 0.00 ------------ ----- COMMON STOCK AEROSPACE ..................................... 622,312 0.04 AIR TRANSPORTATION ............................ 2,965,212 0.17 AUTOMOTIVE & RELATED .......................... 21,708,984 1.23 BANKS ......................................... 42,507,764 2.40 BEVERAGES ..................................... 60,012,699 3.39 BROADCASTERS .................................. 11,646,876 0.66 BUSINESS SERVICES ............................. 24,022,443 1.36 CHEMICALS--MAJOR .............................. 33,026,062 1.87 CHEMICALS--SPECIALTY .......................... 13,275,888 0.75 COMMUNICATION EQUIPMENT & SERVICES ............ 51,055,790 2.89 COMPUTER SERVICE .............................. 87,178,144 4.93 CONGLOMERATES ................................. 13,039,624 0.74 CONSTRUCTION--MATERIALS & BUILDERS ............ 4,028,262 0.23 CONTAINERS .................................... 1,928,768 0.11 COSMETICS ..................................... 16,377,849 0.93 ELECTRICAL EQUIPMENT .......................... 79,517,424 4.49 ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED ...................... 117,501,909 6.64 ELECTRICAL EQUIPMENT--INSTRUMENTS ............. 5,130,404 0.29 ENVIRONMENTAL CONTROL ......................... 9,730,900 0.55 FINANCIAL--MISCELLANEOUS ...................... 59,762,235 3.38 FOODS ......................................... 59,921,578 3.39 FOREST PRODUCTS ............................... 185,850 0.01 HEALTHCARE--DRUGS ............................. 96,783,727 5.47 HEALTHCARE--HOSPITAL SUPPLY ................... 64,389,457 3.64 HEALTHCARE--OTHER ............................. 32,356,546 1.83 HEALTHCARE--SERVICE ........................... 40,538,251 2.29 HOUSEHOLD--CONSUMER ELECTRONICS ............... 147,750 0.01 HOUSEHOLD--DURABLE GOODS ...................... 32,493,618 1.83 HOUSEHOLD--PRODUCTS ........................... 53,420,337 3.02 INSURANCE--BROKERS & OTHER .................... 5,425,225 0.30 INSURANCE--LIFE ............................... 2,049,049 0.11 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY ......................... 103,752,552 5.86 LEISURE TIME .................................. 64,164,452 3.63 MACHINERY ..................................... 12,594,750 0.71 METALS--ALUMINIUM ............................. 191,162 0.01 METALS--GOLD .................................. 3,797,003 0.21 METALS--NON-FERROUS ........................... 791,237 0.04 METALS--STEEL ................................. 2,619,111 0.15 OFFICE EQUIPMENT .............................. 29,832,322 1.68 PAPER ......................................... 31,243,967 1.76 PETROLEUM-- EXPLORATION & PRODUCTION .................... 7,012,885 0.39 PETROLEUM--INTEGRATED ......................... 6,089,550 0.34 PETROLEUM--SERVICE ............................ 22,920,937 1.30 PHOTOGRAPHY ................................... 8,052,750 0.46 PROPERTY--REAL ESTATE ......................... 1,935,225 0.11 PUBLISHING--NEWSPAPER ......................... 5,418,712 0.31 PUBLISHING--OTHER ............................. 12,584,036 0.71 RAILROAD ...................................... 3,893,905 0.22 RESTAURANTS & HOTELS .......................... 51,163,808 2.89 RETAIL--FOOD .................................. 10,175,279 0.58 RETAIL--GENERAL MERCHANDISE ................... 127,639,548 7.21 TEXTILE & APPAREL ............................. 26,248,057 1.48 TOBACCO ....................................... 52,349,175 2.96 TRUCKERS & SHIPPING ........................... 11,619,654 0.66 UTILITIES--ELECTRIC ........................... 998,575 0.06 UTILITIES--GAS & PIPELINE ..................... 7,293,296 0.41 UTILITIES--TELEPHONE .......................... 40,216,347 2.27 -------------- ------ TOTAL COMMON STOCK (Cost $ 1,441,218,023) ......................... 1,687,349,232 95.36 -------------- ------ SHORT TERM INVESTMENTS COMMERCIAL PAPER .............................. 12,494,454 0.70 GOVERNMENT AGENCIES ........................... 67,543,092 3.82 -------------- ------ TOTAL SHORT TERM INVESTMENTS (Cost $ 80,050,677) ............................ 80,037,546 4.52 -------------- ------ ROUNDING ...................................... 122 0.00 -------------- ------ TOTAL PORTFOLIO (Cost $ 1,521,302,658) ......................... 1,767,419,997 99.88 -------------- ------ OTHER ASSETS & LIABILITIES, NET .............. 2,134,701 0.12 -------------- ------ NET ASSETS ...................................... $1,769,554,698 100.00% ============== ====== See notes to financial statements. -38- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GROWTH ACCOUNT (Unaudited) JUNE 30, 1996 SHARES VALUE ------ ----- PREFERRED STOCK--0.00% FINANCIAL--MISCELLANEOUS--0.00% 810 PHOENIX DUFF & PHELPS CORP ........ $ 20,857 ----------- HEALTHCARE--SERVICE--0.00% 480 FHP INTERNATIONAL CORP SERIES A CV. 12,240 ----------- TOTAL PREFERRED STOCK (Cost $33,958) ...................... 33,097 ----------- COMMON STOCK--95.36% AEROSPACE--0.04% 23,500 EG & G, INC ....................... 502,312 3,200 oOEA, INC .......................... 120,000 ----------- 622,312 ----------- AIR TRANSPORTATION--0.17% 5,900 oAIR EXPRESS INTERNATIONAL CORP .... 166,675 8,200 ATLANTIC SOUTHEAST AIRLINES, INC .. 231,650 12,750 COMAIR HOLDINGS, INC .............. 344,250 3,100 oCONTINENTAL AIRLINES, INC (CLASS B) 191,425 4,600 oFEDERAL EXPRESS CORP .............. 377,200 21,400 oMESA AIRLINES, INC ................ 254,125 34,700 SOUTHWEST AIRLINES CO ............. 1,010,637 1,000 oU.S. AIR GROUP, INC ............... 18,000 4,800 oUAL CORP NEW ...................... 258,000 12,000 oVALUJET, INC ...................... 113,250 ----------- 2,965,212 ----------- AUTOMOTIVE & RELATED--1.23% 16,200 oALLEN GROUP, INC .................. 352,350 4,800 BANDAG, INC ....................... 230,400 4,500 BREED TECHNOLOGIES, INC ........... 100,687 662,200 COOPER TIRE & RUBBER CO ........... 14,733,950 10,900 DANAHER CORP ...................... 474,150 1,300 EATON CORP ........................ 76,212 17,600 ECHLIN, INC ....................... 666,600 500 oFOAMEX INTERNATIONAL, INC ......... 6,125 97 GENERAL MOTORS CORP ............... 5,080 11,200 GENUINE PARTS CO .................. 512,400 25,300 HARLEY DAVIDSON, INC .............. 1,040,462 16,800 HAYES WHEELS INTERNATIONAL, INC ... 533,400 18,000 oKIRBY CORP ........................ 303,750 16,600 oLEAR CORP ......................... 585,150 18,400 oLO-JACK CORP ...................... 207,000 4,400 MODINE MANUFACTURING CO ........... 116,600 10,700 POLARIS INDUSTRIES, INC ........... 365,137 7,800 oRENTERS CHOICE, INC ............... 198,900 21,300 SAFETY-KLEEN CORP ................. 372,750 11,400 STANDARD PRODUCTS CO .............. 265,050 12,100 SUPERIOR INDUSTRIES INTERNATIONAL, INC ............... 320,650 7,200 oTBC CORP .......................... 62,100 1,150 TRANSPRO, INC ..................... 7,906 9,700 WABASH NATIONAL CORP .............. 172,175 ----------- 21,708,984 ----------- BANKS--2.40% 5,500 CAPITAL ONE FINANCIAL CORP ........ 156,750 161,100 oCITICORP CO ....................... 13,310,887 22,500 FIFTH THIRD BANCORP ............... 1,215,000 10,000 LONG ISLAND BANCORP, INC .......... 305,625 119,400 NORTHERN TRUST CORP ............... 6,895,350 36,000 NORWEST CORP ...................... 1,255,500 52,565 OLD NATIONAL BANCORP .............. 1,944,905 697,261 SIGNET BANKING CORP ............... 16,211,318 2,800 STATE STREET BOSTON CORP .......... 142,800 27,300 SYNOVUS FINANCIAL CORP ............ 590,362 404 WELLS FARGO & CO .................. 96,505 11,800 WILMINGTON TRUST CORP ............. 382,762 ----------- 42,507,764 ----------- BEVERAGES--3.39% 36,100 ANHEUSER BUSCH COS, INC ........... 2,707,500 11,800 BROWN FORMAN, INC (CLASS B) ....... 472,000 794,100 COCA COLA CO ...................... 38,811,637 12,100 COCA COLA ENTERPRISES, INC ........ 418,962 497,600 PEPSICO, INC ...................... 17,602,600 ----------- 60,012,699 ----------- BROADCASTERS--0.66% 12,075 oASSOCIATED GROUP, INC (CLASS A) ... 365,268 575 oASSOCIATED GROUP, INC (CLASS B) ... 17,178 1,000 oCITICASTERS, INC .................. 31,250 8,500 oCLEAR CHANNEL COMMUNICATIONS, INC . 700,187 18,400 COMCAST CORP (CLASS A) ............ 338,100 71,200 COMCAST CORP (CLASS A) SPL ........ 1,317,200 14,700 oEVERGREEN MEDIA CORP (CLASS A) .... 628,425 16,220 GAYLORD ENTERTAINMENT CO .......... 458,215 28,950 oINFINITY BROADCASTING CORP (CLASS A) 868,500 5,900 oKING WORLD PRODUCTIONS, INC ....... 214,612 36,350 oLIBERTY MEDIA GROUP CLASS A ....... 963,275 4,500 oLIN TELEVISION CORP ............... 162,000 2,800 oSCRIPPS (E.W.) CO (CLASS A) ....... 130,550 4,300 TCA CABLE TV, INC ................. 130,075 199,500 oTELE-COMMUNICATIONS, INC (CLASS A) NEW .................... 3,615,937 36,100 TURNER BROADCASTING SYSTEMS, INC (CLASS B) ........... 992,750 2,500 UNITED TELEVISION, INC ............ 245,000 12,196 oVIACOM, INC (CLASS A) ............. 464,972 87 oVIACOM, INC (CLASS B) ............. 3,382 ----------- 11,646,876 ----------- BUSINESS SERVICES--1.36% 22,100 oACCUSTAFF, INC ..................... 602,225 7,900 ADVO, INC .......................... 81,962 2,300 oALLIANCE SEMICONDUCTOR CORP ........ 19,262 1,000 oALTERNATIVE RESOURCES CORP ......... 36,750 18,200 oAMERICA ONLINE, INC ................ 796,250 3,400 oATRIA SOFTWARE, INC ................ 170,000 13,000 AUTODESK, INC ...................... 388,375 34,700 BLOCK (H&R), INC ................... 1,132,087 2,500 oCABLEVISION SYSTEMS CORP (CLASS A) . 115,625 29,900 oCALGENE, INC ....................... 198,087 3,200 oCAREER HORIZON, INC ................ 112,000 4,500 oCATALINA MARKETING CORP ............ 411,750 14,200 oCHECKPOINT SYSTEMS, INC ............ 488,125 5,300 CINTAS CORP ........................ 283,550 11,000 oCOMPUTER HORIZONS CORP ............. 434,500 25,900 oCORPORATE EXPRESS, INC ............. 1,036,000 8,900 oCORRECTIONS CORP OF AMERICA ........ 623,000 8,100 oCREDENCE SYSTEMS CORP .............. 108,843 6,000 DELUXE CORP ........................ 213,000 3,500 oDIALOGIC CORP ...................... 208,687 See notes to financial statements. -39- SHARES VALUE ------ ----- BUSINESS SERVICES (CONTINUED) 10,400 DIEBOLD, INC ....................... $ 501,800 22,600 oFORE SYSTEMS, INC .................. 816,425 17,700 oFRANKLIN QUEST CO .................. 367,275 12,100 oFRITZ COS, INC ..................... 390,225 3,000 oGATEWAY 2000, INC .................. 102,000 8,000 oGENERAL MAGIC, INC ................. 53,000 15,900 HARLAND (JOHN H.) CO ............... 391,537 39,300 INTERPUBLIC GROUP OF COS, INC ...... 1,842,187 5,000 oITRON, INC ......................... 141,875 8,000 KELLY SERVICES, INC (CLASS A) ...... 234,000 12,300 LIBERTY PROPERTY TRUST CO .......... 244,462 26,700 MANPOWER, INC ...................... 1,047,975 8,100 oMCAFEE ASSOCIATES, INC ............. 396,900 5,600 oMERCURY INTERACTIVE CORP ........... 77,000 6,400 oMICRO WAREHOUSE, INC ............... 128,000 11,800 oNORAND CORP ........................ 236,000 38,300 oOFFICE DEPOT, INC .................. 780,362 15,000 OLSTEN CORP ........................ 440,625 24,700 OMNICOM GROUP, INC ................. 1,148,550 2,200 oOPTICAL DATA SYSTEMS, INC .......... 48,400 18,750 PAYCHEX, INC ....................... 902,343 7,000 oQUARTERDECK CORP ................... 65,625 15,200 oROBERT HALF INTERNATIONAL, INC ..... 423,700 4,100 ROLLINS, INC ....................... 96,350 18,500 SENSORMATIC ELECTRONICS CORP ....... 302,937 32,000 SERVICE CORP INTERNATIONAL ......... 1,840,000 7,900 oSPECTRUM HOLOBYTE, INC ............. 45,425 11,400 oSTAC, INC .......................... 128,250 22,000 oSTRATACOM, INC ..................... 1,237,500 11,600 oSUNGARD DATA SYSTEMS, INC .......... 465,450 2,900 oTHERMOLASE CORP .................... 79,025 9,600 oTSENG LABORATORIES, INC ............ 92,400 19,500 oU.S. CELLULAR CORP ................. 604,500 8,000 VALSPAR CORP ....................... 368,000 9,100 oVERIFONE, INC ...................... 384,475 7,300 oWONDERWARE CORP .................... 137,787 ----------- 24,022,443 ----------- CHEMICALS--MAJOR--1.87% 28,900 AIR PRODUCTS & CHEMICALS, INC ...... 1,668,975 6,900 oAPPLIX, INC ........................ 198,375 55,500 DOW CHEMICAL CO .................... 4,218,000 10,900 EASTMAN CHEMICAL CO ................ 663,537 32,300 HERCULES, INC ...................... 1,784,575 87,500 MONSANTO CO ........................ 2,843,750 10,200 oOAK TECHNOLOGY, INC ................ 95,625 41,000 PPG INDUSTRIES, INC ................ 1,998,750 452,300 PRAXAIR, INC ....................... 19,109,675 3,300 oQUINTILES TRANSNATIONAL CORP ....... 216,975 400 ROHM & HAAS CO ..................... 25,100 5,100 UNION CARBIDE CORP ................. 202,725 ----------- 33,026,062 ----------- CHEMICALS--SPECIALTY--0.75% 19,800 oAIRGAS, INC ........................ 376,200 16,150 ALBEMARLE CORP ..................... 294,737 4,400 BETZ LABORATORIES, INC ............. 193,050 7,000 CROMPTON & KNOWLES CORP ............ 117,250 18,200 ECOLAB, INC ........................ 600,600 35,450 ENGELHARD CORP ..................... 815,350 49,600 ETHYL CORP ......................... 477,400 15,000 FERRO CORP ......................... 397,500 3,100 FIRST MISSISSIPPI CORP ............. 68,975 10,700 FOSTER WHEELER CORP ................ 480,162 12,800 GEORGIA GULF CORP .................. 374,400 1,800 oGRACE (W.R.) & CO .................. 127,575 22,500 GREAT LAKES CHEMICAL CORP .......... 1,400,625 9,500 ICN PHARMACEUTICALS, INC (NEW) ..... 220,875 8,480 IMC GLOBAL, INC .................... 319,060 6,300 LOCTITE CORP ....................... 292,950 7,900 LUBRIZOL CORP ...................... 239,962 9,700 LYONDELL PETROCHEMICAL CO .......... 234,012 5,050 oMCWHORTER TECHNOLOGIES, INC ........ 89,637 11,200 MILLIPORE CORP ..................... 469,000 50,500 MORTON INTERNATIONAL, INC .......... 1,881,125 27,600 NALCO CHEMICAL CORP ................ 869,400 10,600 RAYCHEM CORP ....................... 761,875 19,450 RPM, INC ........................... 303,906 8,625 SCHULMAN (A), INC .................. 211,312 10,000 oSEALED AIR CORP .................... 336,250 18,900 SIGMA ALDRICH CORP ................. 1,011,150 26,800 oSTERLING CHEMICALS, INC ............ 311,550 ----------- 13,275,888 ----------- COMMUNICATION EQUIPMENT & SERVICES--2.89% 7,100 o360 COMMUNICIATIONS CO ............. 170,400 322,126 o3COM CORP .......................... 14,737,264 153,200 oAIRTOUCH COMMUNICATIONS, INC ....... 4,327,900 17,400 oANDREW CORP ........................ 935,250 12,900 oARCH COMMUNICATIONS GROUP, INC ..... 240,262 31,600 oASCEND COMMUNICATIONS, INC ......... 1,777,500 6,800 oAVID TECHNOLOGIES, INC ............. 125,800 15,400 oBRINKER INTERNATIONAL, INC ......... 231,000 2,000 oCABLE DESIGN TECHNOLOGIES CO ....... 65,500 15,350 oCABLETRON SYSTEMS, INC ............. 1,053,393 17,600 oCAI WIRELESS SYSTEMS, INC .......... 162,800 24,900 oCASCADE COMMUNICATIONS CORP ........ 1,693,200 17,400 oCELLULAR TECHNICAL SERVICES CO ..... 306,675 30,300 oCENTURY COMMUNICATIONS CORP (CLASS A) ......................... 257,550 6,200 CENTURY TELEPHONE ENTERPRISES, INC . 197,625 8,700 oCIDCO, INC ......................... 306,675 174,200 oCISCO SYSTEMS, INC ................. 9,864,075 70,200 CORNING, INC ....................... 2,693,925 18,900 oDIGI INTERNATIONAL, INC ............ 505,575 34,200 oDSC COMMUNICATIONS CORP ............ 1,030,275 14,400 oDSP COMMUNICATIONS, INC ............ 739,800 12,800 oDSP GROUP, INC ..................... 118,400 4,700 oDYNATECH CORP ...................... 152,750 20,100 oFIREFOX COMMUNICATIONS, INC ........ 150,750 20,600 oGEOTEK COMMUNICATIONS, INC ......... 281,962 2,000 oGLOBAL VILLAGE COMMUNICATION, INC .. 16,500 26,300 oLCI INTERNATIONAL, INC ............. 825,162 8,700 oMACROMEDIA, INC .................... 190,312 13,900 oMETROCALL, INC ..................... 154,637 4,800 oNETCOM ON-LINE COMMUNICATION SERVICE, INC ...................... 129,600 2,700 oNETWORK EQUIPMENT TECHNOLOGIES, INC 57,375 27,700 oNEW WORLD COMMUNICATIONS GROUP, INC ........................ 405,112 90,300 oNOVELL, INC ........................ 1,252,912 16,800 oOCTEL COMMUNICATIONS CORP .......... 331,800 14,200 oP-COM, INC ......................... 447,300 27,600 oPAGING NETWORK, INC ................ 662,400 6,000 oPAIRGAIN TECHNOLOGIES, INC ......... 372,000 9,500 oPICTURETEL CORP NEW ................ 374,062 4,900 oPREMISYS COMMUNICATIONS, INC ....... 298,900 12,700 oQUALCOMM, INC ...................... 674,687 22,800 SCIENTIFIC-ATLANTA, INC ............ 353,400 20,000 oTECH DATA CORP ..................... 435,000 23,800 oTELLABS, INC ....................... 1,591,625 16,400 oVANGUARD CELLULAR SYSTEMS, INC ..... 356,700 ---------- 51,055,790 ---------- See notes to financial statements. -40- SHARES VALUE ------ ----- COMPUTER SERVICE--4.93% 4,200 oACXIOM CORP ........................$ 143,325 161,000 oADAPTEC, INC ....................... 7,627,375 18,900 oADC TELECOMMUNICATIONS, INC ........ 850,500 17,000 ADOBE SYSTEMS, INC ................. 609,875 16,475 oAMERICAN MANAGEMENT SYSTEMS, INC ... 481,893 11,500 oAUSPEX SYSTEMS, INC ................ 172,500 96,300 AUTOMATIC DATA PROCESSING, INC ..... 3,719,587 9,300 oBANCTEC, INC ....................... 188,325 55,255 oBAY NETWORKS, INC .................. 1,422,816 2,100 oBBN CORP ........................... 45,675 8,400 oBISYS GROUP, INC ................... 317,100 15,300 oBMC SOFTWARE, INC .................. 914,175 2,000 oBORLAND INTERNATIONAL, INC ......... 18,250 11,300 oBOSTON TECHNOLOGY, INC ............. 190,687 4,600 oBRODERBUND SOFTWARE, INC ........... 148,350 9,600 oC-CUBE MICROSYSTEMS, INC ........... 316,800 24,000 oCADENCE DESIGN SYSTEMS, INC ........ 810,000 9,000 oCAMBRIDGE TECHNOLOGY PARTNERS, INC . 274,500 1,100 oCDW COMPUTER CENTERS, INC .......... 76,450 18,700 oCERIDIAN CORP ...................... 944,350 15,800 oCHEYENNE SOFTWARE, INC ............. 304,150 16,900 oCOMPUSA, INC ....................... 576,712 159,150 COMPUTER ASSOCIATES INTERNATIONAL, INC ................ 11,339,437 58,000 oCOMPUTER NETWORK TECHNOLOGY CORP ... 413,250 15,600 oCOMPUTER SCIENCES CORP ............. 1,166,100 10,400 oCOMPUWARE CORP ..................... 410,800 7,600 oCONTINUM, INC ...................... 440,800 4,100 oCYRIX CORP ......................... 70,725 5,000 oDAVIDSON & ASSOCIATES, INC ......... 150,000 13,400 oELECTRONIC ARTS, INC ............... 358,450 98,400 oELECTRONIC DATA SYSTEMS CORP ....... 5,289,000 56,900 oEMC CORP ........................... 1,059,762 4,000 oEXCALIBUR TECHNOLOGIES CORP ........ 90,000 61,611 FIRST DATA CORP .................... 4,905,775 28,000 oFISERV, INC ........................ 840,000 10,800 oFTP SOFTWARE, INC .................. 89,100 26,800 HBO & CO ........................... 1,815,700 7,900 oHYPERION SOFTWARE CORP ............. 97,762 11,800 oIDENTIX, INC ....................... 172,575 295,200 oINFORMIX CORP ...................... 6,642,000 8,200 oINTERSOLV, INC ..................... 75,850 8,800 oINTUIT, INC ........................ 415,800 7,800 oKEANE, INC ......................... 287,625 3,000 oLANDMARK GRAPHICS CORP ............. 57,750 8,600 oMEDIC COMPUTER SYSTEMS, INC ........ 697,675 25,100 oMENTOR GRAPHICS CORP ............... 407,875 11,900 oMICRO LINEAR CORP .................. 89,250 12,100 oMICROCHIP TECHNOLOGY, INC .......... 299,475 113,500 oMICROSOFT CORP ..................... 13,634,187 7,000 NATIONAL DATA CORP ................. 239,750 19,100 oNETMANAGE, INC ..................... 210,100 13,000 oNETWORK GENERAL CORP ............... 279,500 21,400 oNETWORK PERIPHERALS, INC ........... 366,475 157,675 oORACLE CORP ........................ 6,218,307 38,500 oPARAMETRIC TECHNOLOGY CORP ......... 1,669,937 9,000 oPEOPLESOFT, INC .................... 641,250 4,000 oPHOENIX TECHNOLOGIES LTD ........... 67,000 14,800 oPHYSICIAN COMPUTER NETWORK, INC .... 171,125 12,300 oPLATINUM TECHNOLOGY, INC ........... 186,037 7,500 oRATIONAL SOFTWARE CORP ............. 403,125 12,200 oREAD-RITE CORP ..................... 172,325 12,500 REYNOLDS & REYNOLDS CO (CLASS A) ... 665,625 4,500 oSECURITY DYNAMICS TECHNOLOGIES, INC 370,125 9,900 SEI CORP ........................... 209,137 5,000 SHARED MEDICAL SYSTEMS CORP ........ 321,250 8,600 oSHIVA CORP ......................... 688,000 3,200 oSIERRA ON-LINE, INC ................ 140,400 14,314 oSOFTKEY INTERNATIONAL, INC ......... 271,071 7,900 oSTERLING SOFTWARE, INC ............. 608,300 8,900 oSTRUCTURAL DYNAMICS RESEARCH CORP .. 195,800 18,300 oSYBASE, INC ........................ 432,337 14,800 oSYMANTEC CORP ...................... 185,000 15,300 oSYNOPSYS, INC ...................... 608,175 9,100 SYSTEM SOFTWARE ASSOCIATES, INC .... 154,700 2,000 oSYSTEMSOFT CORP .................... 94,000 5,400 oTRIDENT MICROSYSTEMS, INC .......... 68,175 4,000 oZEBRA TECHNOLOGY CORP .............. 71,000 ----------- 87,178,144 ----------- CONGLOMERATES--0.74% 37,400 ALCO STANDARD CORP ................. 1,692,350 22,900 ALLIED SIGNAL, INC ................. 1,308,162 8,100 oCOLTEC INDUSTRIES, INC ............. 115,425 8,050 oCONCORD EFS, INC ................... 285,775 9,800 CRANE CO ........................... 401,800 23,000 ITT INDUSTRIES, INC ................ 577,875 81,700 MINNESOTA MINING & MANUFACTURING CO .................. 5,637,300 39,500 TYCO INTERNATIONAL LTD ............. 1,609,625 58,500 WHITMAN CORP ....................... 1,411,312 ----------- 13,039,624 ----------- CONSTRUCTION--MATERIALS & BUILDERS--0.23% 17,156 CLAYTON HOMES, INC ................. 343,120 24,800 DEBARTOLO REALTY CORP .............. 399,900 8,600 FASTENAL CO ........................ 374,100 9,100 FLEETWOOD ENTERPRISES, INC ......... 282,100 4,900 oJACOBS ENGINEERING GROUP, INC ...... 129,237 23,800 oKENETECH CORP ...................... 12,643 14,600 MASCO CORP ......................... 441,650 5,500 MEDUSA CORP ........................ 170,500 13,000 OAKWOOD HOMES CORP ................. 268,125 11,600 oOWENS CORNING CO ................... 498,800 7,200 SHERWIN-WILLIAMS CO ................ 334,800 13,700 SIMON PROPERTY GROUP, INC .......... 335,650 15,700 oUSG CORP ........................... 437,637 ----------- 4,028,262 ----------- CONTAINERS--0.11% 28,600 CROWN CORK & SEAL CO, INC .......... 1,287,000 11,900 oGAYLORD CONTAINER CO ............... 92,968 34,300 oOWENS ILLINOIS, INC ................ 548,800 ----------- 1,928,768 ----------- COSMETICS--0.93% 43,000 AVON PRODUCTS, INC ................. 1,940,375 8,000 CARTER WALLACE, INC ................ 117,000 141,100 GILLETTE CO ........................ 8,801,112 178,200 INTIMATE BRANDS, INC ............... 4,076,325 30,300 INTERNATIONAL FLAVORS & FRAGRANCES, INC ................... 1,443,037 ----------- 16,377,849 ----------- ELECTRICAL EQUIPMENT--4.49% 221,500 ABB AB SERIES A .................... 23,466,175 30,900 oAMERICAN POWER CONVERSION CORP ..... 316,725 12,200 AMETEK, INC ........................ 265,350 10,500 BELDEN, INC ........................ 315,000 21,200 oCOMPUTER PRODUCTS, INC ............. 363,050 6,900 oCOMVERSE TECHNOLOGY, INC ........... 210,450 36,000 DURACELL INTERNATIONAL, INC ........ 1,552,500 39,800 EMERSON ELECTRIC CO ................ 3,596,925 See notes to financial statements. -41- SHARES VALUE ------ ----- ELECTRICAL EQUIPMENT (CONTINUED) 10,500 EXIDE CORP .........................$ 254,625 526,500 GENERAL ELECTRIC CO ................ 45,542,250 10,200 GRAINGER (W.W.), INC ............... 790,500 10,000 HONEYWELL, INC ..................... 545,000 4,520 HUBBELL, INC (CLASS B) ............. 299,450 7,200 JUNO LIGHTING, INC ................. 122,400 44,900 oMAGNETEK, INC ...................... 432,162 5,900 oMICRODYNE CORP ..................... 39,087 6,600 oROBOTIC VISION SYSTEMS, INC ........ 117,975 6,800 oSANMINA CORP ....................... 183,600 19,500 oSEMITOOL, INC ...................... 253,500 9,000 oSPECTRIAN CORP ..................... 128,250 4,100 oSYMBOL TECHNOLOGIES, INC ........... 182,450 14,400 THOMAS & BETTS CORP ................ 540,000 ----------- 79,517,424 ----------- ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED--6.64% 16,000 oADVANCED MICRO DEVICES, INC ........ 218,000 12,900 oALTERA CORP ........................ 490,200 74,900 AMP, INC ........................... 3,005,362 16,900 oAMPHENOL CORP (CLASS A) ............ 388,700 34,100 oANALOG DEVICES, INC ................ 869,550 458,500 oARROW ELECTRONICS, INC ............. 19,772,812 24,300 oATMEL CORP ......................... 732,037 2,500 AVNET, INC ......................... 105,312 4,000 oCHRONIMED, INC ..................... 73,500 15,400 oCIRRUS LOGIC, INC .................. 269,500 13,600 oCOLONIAL DATA TECHNOLOGOIES CORP ... 202,300 18,000 oCOMPUCOM SYSTEMS, INC .............. 195,750 4,100 oCREE RESEARCH, INC ................. 61,500 24,700 oCYPRESS SEMICONDUCTOR CORP ......... 296,400 9,900 DALLAS SEMICONDUCTOR CORP .......... 179,437 7,600 FISHER SCIENTIFIC INTERNATIONAL, INC 285,000 34,200 oGENERAL INSTRUMENT CORP NEW ........ 987,525 5,900 oHADCO CORP ......................... 126,850 11,100 HELIX TECHNOLOGY CORP .............. 430,125 1,500 oHUTCHINSON TECHNOLOGY, INC ......... 53,250 16,800 oINTEGRATED DEVICE TECHNOLOGY, INC .. 178,500 261,900 INTEL CORP ......................... 19,233,281 13,800 oINTERNATIONAL RECTIFIER CORP ....... 222,525 15,400 oKEMET CORP ......................... 308,000 7,300 oKENT ELECTRONICS CORP .............. 228,125 9,800 oLAM RESEARCH CORP .................. 254,800 7,600 oLATTICE SEMICONDUCTOR .............. 183,350 742,400 LINEAR TECHNOLOGY CO ............... 22,272,000 36,800 oLSI LOGIC CORP ..................... 956,800 5,900 oMARSHALL INDUSTRIES, INC ........... 165,200 792,500 oMAXIM INTEGRATED PRODUCTS .......... 21,645,156 12,900 METHODE ELECTRONICS, INC (CLASS A) . 219,300 48,900 MICRON TECHNOLOGY, INC ............. 1,265,287 25,375 MOLEX, INC ......................... 805,656 187,100 MOTOROLA, INC ...................... 11,763,912 6,300 oMYLEX CORP ......................... 111,825 27,500 oNATIONAL SEMICONDUCTOR CORP ........ 426,250 23,700 PIONEER-STANDARD ELECTRONICS, INC .. 314,025 24,800 oS3, INC ............................ 305,350 6,800 oSIERRA SEMICONDUCTOR CORP .......... 79,050 16,200 oSYMMETRICOM, INC ................... 218,700 58,100 TEXAS INSTRUMENTS, INC ............. 2,897,737 16,300 oTRIMBLE NAVIGATION LTD ............. 313,775 23,000 oU.S. ROBOTICS CORP ................. 1,966,500 20,600 oVICOR CORP ......................... 478,950 14,385 oVISHAY INTERTECHNOLOGY, INC ........ 339,845 13,200 oVITESSE SEMICONDUCTOR CORP ......... 316,800 5,400 oVLSI TECHNOLOGY, INC ............... 74,925 12,600 oWESTERN DIGITAL CORP ............... 329,175 22,400 oXILINX, INC ........................ 711,200 7,200 oZILOG, INC ......................... 172,800 ----------- 117,501,909 ----------- ELECTRICAL EQUIPMENT-- INSTRUMENTS--0.29% 53,400 oAPPLIED MATERIALS, INC ............. 1,628,700 16,300 oAURA SYSTEMS, INC .................. 58,068 11,200 oDIONEX CORP ........................ 361,200 8,200 oELECTROGLAS, INC ................... 116,850 9,500 oELECTRONICS FOR IMAGING, INC ....... 659,062 11,900 oINPUT/OUTPUT, INC .................. 385,262 17,000 oKLA INSTRUMENT CORP ................ 395,250 1,000 oKULICHE & SOFFA INDUSTRIES, INC .... 14,625 8,600 oLTX CORP ........................... 53,750 4,900 oNORTHFIELD LABORATORIES, INC ....... 72,275 12,700 PERKIN-ELMER CORP .................. 612,775 4,200 oSILICON VALLEY GROUP, INC .......... 78,750 1,000 TEKTRONIX, INC ..................... 44,750 6,900 oTENCOR INSTRUMENTS ................. 130,237 22,600 oTERADYNE, INC ...................... 389,850 4,000 oTHERMO INSTRUMENT SYSTEMS, INC ..... 129,000 ----------- 5,130,404 ----------- ENVIRONMENTAL CONTROL--0.55% 52,400 BROWNING FERRIS INDUSTRIES, INC .... 1,519,600 25,000 oREPUBLIC INDUSTRIES, INC ........... 728,125 7,400 oSANIFILL, INC ...................... 364,450 12,300 oU.S. FILTER CORP ................... 427,425 33,200 oU.S.A. WASTE SERVICES, INC ......... 983,550 29,000 oUNITED WASTE SYSTEMS, INC .......... 935,250 34,200 WHEELABRATOR TECHNOLOGIES, INC (NEW) 521,550 129,800 WMX TECHNOLOGIES, INC .............. 4,250,950 ----------- 9,730,900 ----------- FINANCIAL--MISCELLANEOUS--3.38% 16,100 ADVANTA CORP (CLASS A) ............. 821,100 400 oAMBAC, INC ......................... 20,850 120,200 AMERICAN EXPRESS CO ................ 5,363,925 5,300 BEACON PROPERTIES CORP ............. 135,812 6,600 CASE CORP .......................... 316,800 22,600 oCATELLUS DEVELOPMENT CORP .......... 206,225 1,000 CMAC INVESTMENT CORP ............... 57,500 9,549 COUNTRYWIDE CREDIT INDUSTRIES, INC . 236,337 12,900 oCREDIT ACCEPTANCE CORP ............. 270,900 11,200 DEAN WITTER DISCOVER & CO .......... 641,200 30,666 DUFF & PHELPS CREDIT RATING CO ..... 651,652 5,000 oEIS INTERNATIONAL, INC ............. 127,500 43,600 FEDERAL HOME LOAN MORTGAGE CORP .... 3,727,800 269,200 FEDERAL NATIONAL MORTGAGE ASSOCIATION .............. 9,018,200 2,400 FINOVA GROUP, INC .................. 117,000 476,100 FIRST USA, INC ..................... 26,185,500 15,100 FRANKLIN RESOURCES, INC ............ 921,100 28,600 oGARTNER GROUP, INC (CLASS A) (NEW) . 1,047,475 5,900 GENERAL GROWTH PROPERTIES, INC ..... 142,337 45,000 GREEN TREE FINANCIAL CORP .......... 1,406,250 37,300 HOME FINANCIAL CORP ................ 484,900 13,804 HOUSEHOLD INTERNATIONAL, INC ....... 1,049,104 58,900 MBNA CORP .......................... 1,678,650 19,700 oMEDAPHIS CORP ...................... 783,075 47,550 MERCURY FINANCE CO ................. 606,262 8,100 PHOENIX DUFF & PHELPS CORP ......... 60,750 10,800 PIONEER GROUP, INC ................. 288,900 22,400 PRICE (T. ROWE) ASSOCIATES, INC .... 688,800 3,300 QUICK & REILLY GROUP, INC .......... 107,250 31,700 SCHWAB (CHARLES) CORP .............. 776,650 See notes to financial statements. -42- SHARES VALUE ------ ----- FINANCIAL--MISCELLANEOUS (Continued) 3,200 STUDENT LOAN MARKETING ASSOCIATION .$ 236,800 12,850 THE MONEY STORE, INC ............... 284,306 22,100 TIG HOLDINGS, INC .................. 640,900 8,800 UNITED ASSET MANAGEMENT CORP ....... 215,600 10,800 UNITED COS FINANCIAL CORP .......... 367,200 5,400 UNITED DOMINION REALTY TRUST CO .... 77,625 ----------- 59,762,235 ----------- FOODS--3.39% 14,200 ARCHER DANIELS MIDLAND CO .......... 271,575 40,400 CAMPBELL SOUP CO ................... 2,848,200 291,151 CARDINAL HEALTH, INC ............... 20,999,265 77,200 CONAGRA, INC ....................... 3,502,950 40,000 CPC INTERNATIONAL, INC ............. 2,880,000 1,444 oEARTHGRAINS CO ..................... 47,291 5,400 FLOWERS INDUSTRIES, INC ............ 87,075 196,200 GENERAL MILLS, INC ................. 10,692,900 26,200 oGENERAL NUTRITION COS, INC ......... 458,500 53,100 HEINZ (H.J.) CO .................... 1,612,912 1,800 HERSHEY FOODS CORP ................. 132,075 5,100 oHORMEL FOODS CORP .................. 136,425 6,400 IBP, INC ........................... 176,800 33,500 KELLOGG CO ......................... 2,453,875 5,500 LANCE, INC ......................... 90,750 30,100 MCCORMICK & CO, INC ................ 665,962 23,100 NABISCO HOLDINGS CORP (CLASS A) .... 817,162 5,900 oNATURES SUNSHINE PRODUCTS, INC ..... 150,450 22,800 PIONEER-HI-BRED INTERNATIONAL, INC . 1,205,550 35,300 QUAKER OATS CO ..................... 1,204,612 25,900 RALSTON PURINA GROUP ............... 1,660,837 9,400 RICHFOOD HOLDINGS, INC ............. 305,500 151,500 SARA LEE CORP ...................... 4,904,812 4,000 oSMITHFIELD FOODS, INC .............. 101,000 25,400 TYSON FOODS, INC ................... 695,325 5,800 UNIVERSAL FOODS CORP ............... 213,875 31,800 WRIGLEY (WM) JR CO ................. 1,605,900 ----------- 59,921,578 ----------- FOREST PRODUCTS--0.01% 8,400 LOUISIANA PACIFIC CORP ............. 185,850 ----------- HEALTHCARE--DRUGS--5.47% 2,900 oAGOURON PHARMACEUTICALS, INC ....... 113,100 22,000 oALZA CORP .......................... 602,250 101,100 AMERICAN HOME PRODUCTS CORP ........ 6,078,637 84,100 oAMGEN, INC ......................... 4,541,400 6,100 ARBOR DRUGS, INC ................... 127,337 17,900 oATHENA NEUROSCIENCES, INC .......... 306,537 10,000 oBIOGEN, INC ........................ 548,750 73,700 BRISTOL MYERS SQUIBB CO ............ 6,633,000 19,100 oCENTOCOR, INC ...................... 570,612 4,829 oCHIRON CORP ........................ 473,242 6,800 oCYGNUS, INC ........................ 103,700 6,500 oDURA PHARMACEUTICALS, INC .......... 364,000 16,300 oFOREST LABORATORIES, INC ........... 629,587 7,400 oGENZYME CORP ....................... 371,850 37,710 oGENZYME CORP (TISSUE REPAIR DIVISION) .......... 443,092 14,600 oGILEAD SCIENCES, INC ............... 368,650 4,000 oIMMUNEX CORP NEW ................... 54,500 9,400 oINTERNEURON PHARMACEUTICALS, INC ... 282,000 8,400 oISIS PHARMACEUTICALS, INC .......... 157,500 31,700 IVAX CORP .......................... 503,237 9,200 oLIGAND PHARMACEUTICALS CO (CLASS A) 152,950 69,984 LILLY (ELI) & CO ................... 4,548,960 8,700 oLIPOSOME CO, INC ................... 163,125 326,800 #oMARTEK BIOSCIENCES CORP ............ 9,558,900 109,440 #oMARTEK BIOSCIENCES CORP WTS 5/18/98 2,116,569 5,000 oMATRIX PHARMACEUTICALS, INC ........ 90,000 10,300 MCKESSON CORP (NEW) ................ 490,537 389,500 MERCK & CO, INC .................... 25,171,437 39,600 MYLAN LABORATORIES, INC ............ 683,100 1,000 oNEUROGEN CORP ...................... 25,750 202,000 PFIZER, INC ........................ 14,417,750 103,600 PHARMACIA & UPJOHN, INC ............ 4,597,250 5,200 RHONE-POULENC RORER, INC ........... 349,050 3,100 oROBERTS PHARMACEUTICAL CORP ........ 62,387 11,000 oSCHERER (R.P.) CORP ................ 499,125 117,700 SCHERING-PLOUGH CORP ............... 7,385,675 5,800 oSEPRACOR, INC ...................... 87,000 9,300 oSEQUUS PHARMACEUTICALS, INC ........ 184,982 5,900 oSOMATOGEN, INC ..................... 83,337 3,800 oTHERMEDICS, INC .................... 95,000 3,400 oVERTEX PHARMACEUTICALS, INC ........ 103,275 39,200 WARNER-LAMBERT CO .................. 2,156,000 12,900 oWATSON PHARMACEUTICALS, INC ........ 488,587 ----------- 96,783,727 ----------- HEALTHCARE--HOSPITAL SUPPLY--3.64% 251,500 ABBOTT LABORATORIES CO ............. 10,940,250 27,300 BARD (C.R.), INC ................... 928,200 7,700 BECTON DICKINSON & CO .............. 617,925 8,400 oCNS, INC ........................... 203,700 646,200 DENTSPLY INTERNATIONAL, INC (NEW) .. 27,463,500 27,981 GUIDANT CORP ....................... 1,378,064 1,000 oGULF SOUTH MEDICAL SUPPLY, INC ..... 39,000 700 oHAEMONETICS CORP ................... 12,775 9,600 oISOLYSER CO, INC ................... 115,200 423,976 JOHNSON & JOHNSON CO ............... 20,986,812 19,500 oNABI, INC .......................... 185,250 5,900 oORGANOGENESIS, INC ................. 119,475 14,450 OWENS & MINOR, INC NEW ............. 167,981 6,000 oPATTERSON DENTAL CO ................ 217,500 11,400 oPHYSICIAN SALES & SERVICE, INC ..... 276,450 11,200 oRESPIRONICS, INC ................... 207,200 2,400 oSOFAMOR DANEK GROUP, INC ........... 66,600 8,300 oTECNOL MEDICAL PRODUCTS, INC ....... 159,775 9,800 U.S. SURGICAL CORP ................. 303,800 ----------- 64,389,457 ----------- HEALTHCARE--OTHER--1.83% 6,850 oACCESS HEALTH, INC ................. 323,662 11,400 oADVANCED TISSUE SCIENCE CO ......... 183,825 7,200 ALLERGAN, INC ...................... 282,600 7,000 oAMERICAN MEDICAL RESPONSE, INC ..... 246,750 18,300 oAPPLIED BIOSCIENCE INTERNATIONAL, INC ................ 192,150 28,400 oBALLARD MEDICAL PRODUCTS CO ........ 543,150 8,500 BAUSCH & LOMB, INC ................. 361,250 6,450 oBEC GROUP, INC ..................... 28,218 41,400 oBIOMET, INC ........................ 595,125 28,123 oBOSTON SCIENTIFIC CORP ............. 1,265,535 618,100 oCAREMARK INTERNATIONAL, INC ........ 15,607,025 45,000 oCORAM HEALTHCARE CORP .............. 185,625 8,900 oCOVENTRY CORP ...................... 140,175 6,100 oDATASCOPE CORP ..................... 108,275 6,150 oGENESIS HEALTH VENTURES, INC ....... 192,956 10,300 HILLENBRAND INDUSTRIES, INC ........ 383,675 4,500 oHUMAN GENOME SCIENCES, INC ......... 165,375 14,900 oIDEXX LABORATORIES, INC ............ 584,825 72,700 MEDTRONIC, INC ..................... 4,071,200 4,000 MENTOR CORP ........................ 102,000 13,000 oNELLCOR PURITAN BENNETT, INC ....... 630,500 20,400 oOXFORD HEALTH PLANS, INC ........... 838,950 See notes to financial statements. -43- SHARES VALUE ------ ----- HEALTHCARE--OTHER (CONTINUED) 51,800 PALL CORP ..........................$ 1,249,675 13,100 oQUANTUM HEALTH RESOURCES, INC ...... 222,700 21,000 oST. JUDE MEDICAL, INC .............. 703,500 6,800 oSTERIS CORP ........................ 217,600 37,200 STEWART ENTERPRISES, INC (CLASS A) . 1,162,500 27,000 oSTRYKER CORP ....................... 614,250 6,100 oSUMMIT TECHNOLOGY, INC ............. 85,400 5,400 oSUNRISE MEDICAL, INC ............... 103,950 22,400 oSYBRON INTERNATIONAL CORP .......... 560,000 5,600 oTARGET THERAPEUTICS, INC ........... 229,600 3,900 oTHERMO CARDIOSYSTEMS, INC .......... 174,525 ----------- 32,356,546 ----------- HEALTHCARE--SERVICE--2.29% 23,700 oAPRIA HEALTHCARE GROUP, INC ........ 743,587 13,200 oBEVERLY ENTERPRISES CO ............. 158,400 11,500 oCERNER CORP ........................ 245,812 140,720 COLUMBIA/HCA HEALTHCARE CORP ....... 7,510,930 5,100 oCOMMUNITY HEALTH SYSTEMS, INC ...... 263,925 9,244 oFHP INTERNATIONAL CORP ............. 253,054 8,700 oFOUNDATION HEALTH CORP ............. 312,112 19,500 oHEALTH CARE & RETIREMENT CORP ...... 463,125 44,212 oHEALTH MANAGEMENT ASSOCIATES, INC (CLASS A) NEW ..................... 895,293 3,400 oHEALTH MANAGEMENT SYSTEMS, INC ..... 107,950 12,000 oHEALTHCARE COMPARE CO .............. 585,000 18,700 oHEALTHSOURCE, INC .................. 327,250 39,578 oHEALTHSOUTH CORP ................... 1,424,808 10,000 oHORIZON/CMS HEALTHCARE CORP ........ 128,750 47,100 oHUMANA, INC ........................ 841,912 3,500 oI-STAT CORP ........................ 66,062 17,600 oINTEGRATED SILICON SOLUTION, INC ... 202,400 7,900 INVACARE CORP ...................... 185,650 49,504 oLABORATORY CORP OF AMERICA HOLDINGS 371,280 2,560 oLABORATORY CORP OF AMERICA HOLDINGS WTS 4/28/00 ....................... 1,280 10,000 oLINCARE HOLDINGS, INC .............. 392,500 3,600 oLIVING CENTERS OF AMERICA, INC ..... 123,750 23,000 MANOR CARE, INC .................... 905,625 9,900 oMAXICARE HEALTH PLANS, INC ......... 186,862 11,050 oMEDPARTNERS/MULLIKIN, INC .......... 230,668 13,500 oMID ATLANTIC MEDICAL SERVICES, INC . 192,375 1,325 MORRISON FRESH COOKING, INC ........ 6,956 1,766 MORRISON HEALTH CARE, INC .......... 24,724 10,800 oNOVACARE, INC ...................... 82,350 11,400 OMNICARE, INC ...................... 302,100 13,100 oORNDA HEALTHCORP ................... 314,400 2,200 oORTHODONTIC CENTERS OF AMERICA, INC 58,300 3,800 oPACIFICARE HEALTH SYSTEMS, INC (CLASS A) ......................... 250,800 215,700 oPACIFICARE HEALTH SYSTEMS, INC (CLASS B) ......................... 14,613,675 19,200 oPHYCOR, INC ........................ 729,600 15,200 oPHYSICIAN CORP OF AMERICA .......... 201,400 2,400 oROTECH MEDICAL CORP ................ 46,800 8,200 oSUN HEALTHCARE GROUP, INC .......... 116,850 7,800 oTENET HEALTHCARE CORP .............. 166,725 14,000 oTHERATX, INC ....................... 266,000 46,900 U.S. HEALTHCARE, INC ............... 2,579,500 40,000 UNITED HEALTHCARE CORP ............. 2,020,000 15,600 oVALUE HEALTH, INC .................. 368,550 15,600 oVENCOR, INC ........................ 475,800 4,000 oVISX, INC .......................... 136,500 16,050 oVIVRA, INC ......................... 527,643 4,135 oWELLPOINT HEALTH NETWORKS, INC ..... 129,218 ----------- 40,538,251 ----------- HOUSEHOLD--CONSUMER ELECTRONICS--0.01% 3,000 oHARMAN INTERNATIONAL INDUSTRIES, INC 147,750 ----------- HOUSEHOLD--DURABLE GOODS--1.83% 15,400 BLACK & DECKER CORP ................ 594,825 1,015,200 LEGGETT & PLATT, INC ............... 28,171,800 57,000 NEWELL COS, INC .................... 1,745,625 36,500 SHAW INDUSTRIES, INC ............... 479,062 36,200 STANLEY WORKS CO ................... 1,076,950 22,300 SUNBEAM CORP ....................... 328,925 13,900 oTOP SOURCE TECHNOLOGIES, INC ....... 96,431 ----------- 32,493,618 ----------- HOUSEHOLD--PRODUCTS--3.02% 9,000 CLOROX CO .......................... 797,625 45,100 COLGATE PALMOLIVE CO ............... 3,822,225 12,200 DIAL CORP .......................... 349,225 14,200 oFIRST ALERT, INC ................... 56,800 5,300 FIRST BRANDS CORP .................. 143,100 388,000 LANCASTER COLONY CORP .............. 14,501,500 29,300 oPERRIGO CO ......................... 329,625 15,700 PREMARK INTERNATIONAL, INC ......... 290,450 334,000 PROCTER & GAMBLE CO ................ 30,268,750 50,200 RUBBERMAID, INC .................... 1,367,950 20,300 TAMBRANDS, INC ..................... 829,762 15,700 oTUPPERWARE CORP .................... 663,325 ----------- 53,420,337 ----------- INSURANCE--BROKERS & OTHER--0.30% 10,600 ALEXANDER & ALEXANDER SERVICES, INC 209,350 65,000 EQUIFAX, INC ....................... 1,706,250 8,700 GALLAGHER (ARTHUR J.) & CO ......... 278,400 12,700 LIFE PARTNERS GROUP, INC ........... 288,925 22,400 MARSH & MCLENNAN COS, INC .......... 2,161,600 29,600 oQUORUM HEALTH GROUP, INC ........... 780,700 ----------- 5,425,225 ----------- INSURANCE--LIFE--0.11% 6,600 EQUITABLE COS, INC ................. 164,175 28,300 RELIANCE GROUP HOLDINGS, INC ....... 212,250 14,000 SUNAMERICA, INC .................... 791,000 6,000 TORCHMARK CORP ..................... 262,500 7,100 UNUM CORP .......................... 441,975 2,500 VESTA INSURANCE GROUP, INC ......... 83,437 5,100 WESTERN NATIONAL CORP .............. 93,712 ----------- 2,049,049 ----------- INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--5.86% 14,800 o20TH CENTURY INDUSTRIES ............ 246,050 364,000 oAETNA LIFE & CASUALTY CO ........... 26,026,000 46,200 AFLAC, INC ......................... 1,380,225 600,400 ALLSTATE CORP ...................... 27,393,250 422,000 AMERICAN INTERNATIONAL GROUP, INC .. 41,619,750 9,500 AMERICAN RE CORP ................... 426,312 4,015 FRONTIER INSURANCE GROUP, INC (NEW) 138,517 17,200 GENERAL REINSURANCE CORP ........... 2,618,700 3,800 HARTFORD STEAM BOILER & INSURANCE CO 186,675 7,650 oHIGHLANDS INSURANCE GROUP, INC ..... 143,437 4,200 oINSURANCE AUTO AUCTIONS, INC ....... 42,000 9,700 ITT HARTFORD GROUP, INC ............ 516,525 20,100 MGIC INVESTMENT CORP ............... 1,128,112 400 oOLD REPUBLIC INTERNATIONAL CORP .... 8,600 16,400 PROGRESSIVE CORP ................... 758,500 22,500 TRAVELERS GROUP, INC ............... 1,026,562 5,700 USF&G CORP ......................... 93,337 ----------- 103,752,552 ----------- See notes to financial statements. -44- SHARES VALUE ------ ----- LEISURE TIME--3.63% 3,000 oACCLAIM ENTERTAINMENT, INC ......... $ 28,875 14,300 oALLIANCE ENTERTAINMENT CORP ........ 98,312 31,300 ARCTCO, INC ........................ 391,250 9,000 AUTHENTIC FITNESS CORP ............. 167,625 18,100 BRUNSWICK CORP ..................... 362,000 21,600 CALLAWAY GOLF CO ................... 718,200 1,163,200 CARNIVAL CORP (CLASS A) ............ 33,587,400 30,600 oCIRCUS CIRCUS ENTERPRISES, INC ..... 1,254,600 215,870 DISNEY (WALT) CO ................... 13,572,826 24,700 oFIRST TEAM SPORTS, INC ............. 265,525 3,300 oGC COS, INC ........................ 122,925 10,000 oGRAND CASINOS, INC ................. 257,500 11,800 oGTECH HOLDINGS CORP ................ 349,575 29,000 oHARRAHS ENTERTAINMENT, INC ......... 819,250 16,500 HASBRO, INC ........................ 589,875 11,400 oHOLLYWOOD ENTERTAINMENT CORP ....... 176,700 33,600 INTERNATIONAL GAME TECHNOLOGY CO ... 567,000 23,900 JOSTENS, INC ....................... 472,025 287,918 MATTEL, INC ........................ 8,241,652 25,800 oMIRAGE RESORT, INC ................. 1,393,200 11,500 oPLAYERS INTERNATIONAL, INC ......... 112,125 1,000 oPRIMADONNA RESORTS, INC ............ 23,000 3,200 oREGAL CINEMAS, INC ................. 146,400 6,600 oSPORTS & RECREATION, INC ........... 60,225 9,000 oSTATION CASINOS, INC ............... 129,375 12,200 oVALUEVISION INTERNATIONAL, INC ..... 84,637 7,000 oWMS INDUSTRIES, INC ................ 172,375 ----------- 64,164,452 ----------- MACHINERY--0.71% 900 AGCO CORP .......................... 24,975 900 oBJ SERVICES CO ..................... 31,612 21,300 BRIGGS & STRATTON CORP ............. 875,962 3,900 BW/IP HOLDING, INC ................. 74,100 18,500 CATERPILLAR, INC ................... 1,253,375 7,400 CINCINNATI MILACRON, INC ........... 177,600 7,200 oCOGNEX CORP ........................ 116,100 25,900 DOVER CORP ......................... 1,194,637 3,100 DURIRON, INC ....................... 74,400 13,900 FEDERAL SIGNAL CORP ................ 326,650 8,800 oFSI INTERNATIONAL, INC ............. 111,100 8,900 oICC TECHNOLOGIES, INC .............. 52,287 9,700 IDEX CORP .......................... 368,600 28,500 ILLINOIS TOOL WORKS, INC ........... 1,927,312 3,000 oINTEGRATED PROCESS EQUIPMENT CORP .................... 62,250 6,500 oINTERVOICE, INC .................... 129,187 3,000 JLG INDUSTRIES, INC ................ 222,750 8,900 KAYDON CORP ........................ 382,700 800 KENNAMETAL, INC .................... 27,200 3,300 KEYSTONE INTERNATIONAL, INC ........ 68,475 5,500 oMOLTEN METAL TECHNOLOGY, INC ....... 162,250 4,800 NORDSON CORP ....................... 271,200 5,000 oNOVELLUS SYSTEMS, INC .............. 180,000 9,500 PARKER-HANNIFIN CORP ............... 402,562 12,900 STEWART & STEVENSON SERVICES, INC .. 293,475 24,480 oSTRATTEC SECURITY CORP ............. 434,520 38,175 oTHERMO ELECTRON CORP ............... 1,589,034 6,000 TRIMAS CORP ........................ 140,250 8,300 TRINITY INDUSTRIES, INC ............ 282,200 900 TRINOVA CORP ....................... 30,037 5,400 oULTRATECH STEPPER, INC ............. 101,250 2,600 oVARITY CORP NEW .................... 125,125 20,900 YORK INTERNATIONAL CORP ............ 1,081,575 ----------- 12,594,750 ----------- METALS--ALUMINIUM--0.01% 2,700 oACX TECHNOLOGIES, INC .............. 53,662 8,800 COMMONWEALTH ALUMINUM CORP ......... 137,500 ----------- 191,162 ----------- METALS--GOLD--0.21% 29,100 BATTLE MOUNTAIN GOLD CO ............ 210,975 53,104 FREEPORT MCMORAN COPPER & GOLD, INC (CLASS A) ............... 1,586,482 2,877 FREEPORT-MCMORAN COPPER & GOLD INC, (CLASS B) ............... 91,704 12,900 oGETCHELL GOLD CORP ................. 425,700 21,500 HOMESTAKE MINING CO ................ 368,187 4,400 NEWMONT GOLD CO .................... 221,650 18,072 NEWMONT MINING CORP ................ 892,305 ----------- 3,797,003 ----------- METALS--NON-FERROUS--0.04% 7,500 BMC INDUSTRIES, INC ................ 215,625 2,200 FREEPORT MCMORAN, INC .............. 78,100 5,800 oHECLA MINING CO .................... 40,600 6,100 MAPCO, INC ......................... 343,887 3,300 MINERALS TECHNOLOGIES, INC ......... 113,025 ----------- 791,237 ----------- METALS--STEEL--0.15% 11,200 ALLEGHENY LUDLUM CORP ............. 211,400 20,300 BIRMINGHAM STEEL CORP ............. 332,412 2,100 HANNA (M.A.) CO ................... 43,837 7,600 oMATERIAL SCIENCES CORP ............ 131,100 25,100 NUCOR CORP ........................ 1,270,687 13,000 TITAN WHEEL INTERNATIONAL, INC .... 208,000 20,200 WORTHINGTON INDUSTRIES, INC ....... 421,675 ----------- 2,619,111 ------------ OFFICE EQUIPMENT--1.68% 6,000 oAPPLE COMPUTER, INC ................ 126,000 7,600 oASPECT TELECOMMUNICATIONS CORP ..... 376,200 11,500 AVERY DENNISON CORP ................ 631,062 80,500 oCOMPAQ COMPUTER CORP ............... 3,964,625 3,500 oCONTROL DATA SYSTEMS, INC .......... 74,812 19,600 oDELL COMPUTER CORP ................. 997,150 3,200 oFILENET CORP ....................... 116,800 123,300 HEWLETT-PACKARD CO ................. 12,283,762 6,600 HON INDUSTRIES, INC ................ 188,100 4,200 oIN FOCUS SYSTEMS, INC .............. 101,850 27,600 oIOMEGA CORP ........................ 800,400 12,600 oKOMAG, INC ......................... 332,325 5,400 oMICROCOM, INC ...................... 68,175 3,000 oMICROS SYSTEMS, INC ................ 83,625 28,900 PITNEY BOWES, INC .................. 1,379,975 7,500 oQUANTUM CORP ....................... 109,687 9,600 oSCI SYSTEMS, INC ................... 390,000 11,400 oSEAGATE TECHNOLOGY, INC ............ 513,000 14,600 oSEQUENT COMPUTER SYSTEMS, INC ...... 197,100 48,400 oSILICON GRAPHICS, INC .............. 1,161,600 16,200 oSOLECTRON CORP ..................... 613,575 54,100 oSUN MICROSYSTEMS, INC .............. 3,185,137 300 oUNISYS CORP ........................ 2,137 30,200 oVIKING OFFICE PRODUCTS, INC ........ 947,525 22,200 XEROX CORP ......................... 1,187,700 ----------- 29,832,322 ----------- PAPER--1.76% 13,000 oBED BATH & BEYOND, INC ............. 347,750 15,600 BEMIS, INC ......................... 546,000 5,900 CARAUSTAR INDUSTRIES, INC .......... 156,350 27,700 oCROWN VANTAGE, INC ................. 401,650 14,500 oFORT HOWARD CORP ................... 288,187 See notes to financial statement. -45- SHARES VALUE ------ ----- PAPER (Continued) 8,100 INTERNATIONAL PAPER CO .............$ 298,687 11,000 oJEFFERSON SMURFIT CORP ............. 119,625 364,730 KIMBERLY-CLARK CORP ................ 28,175,392 28,045 SONOCO PRODUCTS CO ................. 795,776 5,800 WAUSAU PAPER MILLS CO .............. 114,550 ----------- 31,243,967 ----------- PETROLEUM-- EXPLORATION & PRODUCTION--0.39% 17,400 ANADARKO PETROLEUM CORP ............ 1,009,200 13,900 APACHE CORP ........................ 456,962 8,300 oBARNETT RESOURCES CORP ............. 246,925 16,500 oBENTON OIL & GAS CO ................ 363,000 24,600 BURLINGTON RESOURCES, INC .......... 1,057,800 1,500 oCHESAPEAKE ENERGY CORP ............. 134,812 9,100 DEVON ENERGY CORP .................. 222,950 8,800 ENRON OIL & GAS CO ................. 245,300 7,400 LOUISIANA LAND & EXPLORATION CO .... 426,425 22,800 NOBLE AFFILIATES, INC .............. 860,700 13,900 POGO PRODUCING CO .................. 529,937 1,100 oSANTA FE ENERGY RESOURCES, INC ..... 13,062 11,900 oSEAGULL ENERGY CORP ................ 297,500 9,700 oTRITON ENERGY LTD .................. 471,662 34,700 UNION TEXAS PETROLEUM HOLDINGS, INC. 676,650 ----------- 7,012,885 ----------- PETROLEUM--INTEGRATED--0.34% 7,500 ATLANTIC RICHFIELD CO .............. 888,750 61,800 PHILLIPS PETROLEUM CO .............. 2,587,875 77,420 UNOCAL CORP ........................ 2,612,925 ----------- 6,089,550 ----------- PETROLEUM--SERVICE--1.30% 21,100 BAKER HUGHES, INC .................. 693,662 9,400 CABOT CORP ......................... 230,300 234,100 oDIAMOND OFFSHORE DRILLING, INC ..... 13,402,225 31,500 DRESSER INDUSTRIES, INC ............ 929,250 8,100 oENSCO INTERNATIONAL, INC ........... 263,250 27,800 FLUOR CORP ......................... 1,817,425 10,200 oGASONICS INTERNATIONAL CORP ........ 107,100 63,000 oGLOBAL MARINE, INC NEW ............. 874,125 18,300 HALLIBURTON CO ..................... 1,015,650 41,310 oMCMORAN OIL & GAS CO ............... 108,438 21,200 oNABORS INDUSTRIES, INC ............. 344,500 8,600 oNOBLE DRILLING CORP ................ 119,325 17,600 oSMITH INTERNATIONAL, INC ........... 530,200 9,800 SONAT OFFSHORE DRILLING, INC ....... 494,900 9,500 TIDEWATER, INC ..................... 416,812 8,200 TOSCO CORP ......................... 412,050 12,900 oWEATHERFORD ENTERRA, INC ........... 387,000 13,300 oWESTERN ATLAS, INC ................. 774,725 ----------- 22,920,937 ----------- PHOTOGRAPHY--0.46% 100,200 EASTMAN KODAK CO ................... 7,790,550 3,600 oPHOTRONICS, INC .................... 94,500 2,600 oPRESSTEK, INC ...................... 167,700 ----------- 8,052,750 ----------- PROPERTY--REAL ESTATE--0.11% 12,000 KIMCO REALTY CORP .................. 339,000 12,000 oTOLL BROTHERS, INC ................. 196,500 13,700 WASHINGTON REAL ESTATE INVESTMENT TRUST .................. 229,475 14,000 WEINGARTEN REALTY INVESTORS, INC ... 542,500 27,900 WELLSFORD RESIDENTIAL PROPERTY TRUST .................... 627,750 ----------- 1,935,225 ----------- PUBLISHING--NEWSPAPER--0.31% 10,100 BELO (A.H.) CORP SERIES A .......... 376,225 10,500 oCOX COMMUNICATIONS, INC (CLASS A) NEW ............................... 227,062 9,100 DOW JONES & CO, INC ................ 379,925 44,800 GANNETT CO, INC .................... 3,169,600 15,200 TRIBUNE CO NEW ..................... 1,103,900 500 WASHINGTON POST CO (CLASS B) ....... 162,000 ----------- 5,418,712 ----------- PUBLISHING--OTHER--0.71% 13,600 AMERICAN GREETINGS CORP (CLASS A) .. 372,300 29,100 DONNELLEY (R.R.) & SONS CO ......... 1,014,862 39,200 DUN & BRADSTREET CORP .............. 2,450,000 23,400 HARCOURT GENERAL, INC .............. 1,170,000 600 HOUGHTON MIFFLIN CO ................ 29,850 10,500 LEE ENTERPRISES, INC ............... 248,062 13,100 oMARVEL ENTERTAINMENT GROUP, INC .... 122,812 22,300 MCGRAW HILL COS, INC ............... 1,020,225 6,100 oMEREDITH CORP ...................... 254,675 32,700 READER'S DIGEST ASSOCIATION, INC (CLASS A) (NON-VTG) ............... 1,389,750 4,100 oSCHOLASTIC CORP .................... 254,200 9,500 THOMAS NELSON, INC ................. 127,062 105,229 TIME WARNER, INC ................... 4,130,238 ----------- 12,584,036 ----------- RAILROAD--0.22% 27,900 BURLINGTON NORTHERN SANTA FE CORP .. 2,256,412 25,650 ILLINOIS CENTRAL CORP SERIES A ..... 727,818 7,800 KANSAS CITY SOUTHERN INDUSTRIES, INC ................... 334,425 17,700 oWISCONSIN CENTRAL TRANSIT CORP ..... 575,250 ----------- 3,893,905 ----------- RESTAURANTS & HOTELS--2.89% 2,900 oAMERICAN CLASSIC VOYAGES CO ........ 21,387 14,600 APPLE SOUTH, INC ................... 390,550 19,400 oAPPLEBEES INTERNATIONAL, INC ....... 628,075 7,600 BOB EVANS FARMS, INC ............... 129,200 15,800 oBOSTON CHICKEN, INC ................ 513,500 15,100 oBUFFETS, INC ....................... 184,975 21,200 CRACKER BARREL OLD COUNTRY STORE, INC ........................ 514,100 51,800 DARDEN RESTAURANTS, INC ............ 556,850 16,800 FELCOR SUITE HOTELS, INC ........... 512,400 38,300 oHFS INC ............................ 2,681,000 4,900 HILTON HOTELS CORP ................. 551,250 18,000 oHOST MARRIOTT CORP ................. 236,250 9,980 oHOST MARRIOTT SERVICES CORP ........ 72,355 2,500 oIHOP CORP (NEW) .................... 67,500 12,800 LA QUINTA INNS, INC ................ 428,800 13,300 oLANDRYS SEAFOOD RESTAURANTS, INC ... 329,175 10,500 oLONE STAR STEAKHOUSE SALOON, INC ... 396,375 4,400 LUBYS CAFETERIA, INC ............... 103,400 39,100 MARRIOTT INTERNATIONAL, INC ........ 2,101,625 219,300 MCDONALDS CORP ..................... 10,252,275 2,600 oMGM GRAND, INC ..................... 103,675 11,300 oOUTBACK STEAKHOUSE, INC ............ 389,673 28,600 oPROMUS HOTEL CORP .................. 847,275 2,650 RUBY TUESDAY, INC .................. 59,956 45,100 oRYANS FAMILY STEAK HOUSES, INC ..... 417,175 14,900 oSHONEYS, INC ....................... 162,037 65,200 SYSCO CORP ......................... 2,233,100 1,411,000 WENDYS INTERNATIONAL, INC .......... 26,279,875 ----------- 51,163,808 ----------- See notes to financial statements. -46- SHARES VALUE ------ ----- RETAIL--FOOD--0.58% 75,600 ALBERTSONS, INC ....................$ 3,127,950 13,800 AMERICAN STORES CO, (NEW) .......... 569,250 123,500 FOOD LION, INC (CLASS B) ........... 957,125 7,900 HANNAFORD BROTHERS, INC ............ 257,737 36,500 oKROGER CO .......................... 1,441,750 65,700 oSAFEWAY, INC NEW ................... 2,168,100 23,000 oSOUTHLAND CORP ..................... 69,718 22,000 oSTARBUCKS CORP ..................... 621,500 7,100 oSTOP & SHOP COS, INC (NEW) ......... 236,962 20,500 WINN DIXIE STORES, INC ............. 725,187 ----------- 10,175,279 ----------- RETAIL--GENERAL MERCHANDISE--7.21% 44,000 oAUTOZONE, INC ...................... 1,529,000 4,000 oBABY SUPERSTORE, INC ............... 66,000 7,300 oBARNES & NOBLE, INC ................ 261,887 8,000 oBEST BUY, INC ...................... 183,000 16,700 oBOMBAY, INC ........................ 104,375 8,200 oBORDERS GROUP, INC ................. 264,450 16,100 xoCALDOR CORP ........................ 42,262 10,300 CASEYS GENERAL STORES, INC ......... 204,712 25,800 oCHARMING SHOPPES, INC .............. 182,212 827,200 CIRCUIT CITY STORES, INC ........... 29,882,600 6,300 CLAIRES STORES, INC ................ 174,037 26,400 oCONSOLIDATED STORES CORP ........... 970,200 57,550 oCUC INTERNATIONAL, INC ............. 2,043,025 4,200 DAYTON HUDSON CORP ................. 433,125 7,800 oDEPARTMENT 56, INC ................. 176,475 5,800 DILLARD DEPARTMENT STORES (CLASS A). 211,700 517,570 DOLLAR GENERAL CORP ................ 15,138,922 19,700 oECKERD CORP ........................ 445,712 16,800 FAMILY DOLLAR STORES, INC .......... 291,900 14,968 oFEDERATED DEPARTMENT STORES, INC ... 510,783 42,600 oFURNITURE BRANDS INTERNATIONAL, INC 468,600 66,800 GAP, INC ........................... 2,145,950 14,400 oGYMBOREE CORP ...................... 439,200 473,300 HEILIG MEYERS CO ................... 11,359,200 150,800 HOME DEPOT, INC .................... 8,143,200 16,700 oHOME SHOPPING NETWORK, INC ......... 200,400 2,300 oJONES APPAREL GROUP, INC ........... 112,987 30,400 oKOHLS CORP ......................... 1,113,400 500 oLANDS END, INC ..................... 12,375 40,590 LIMITED, INC ....................... 872,685 38,100 LOWES COS, INC ..................... 1,376,362 25,500 MAY DEPARTMENT STORES CO ........... 1,115,625 200 oMENS WAREHOUSE, INC ................ 6,450 5,300 oMICHAELS STORES, INC ............... 90,100 9,000 oMOVIE GALLERY, INC ................. 189,000 11,700 NORDSTROM, INC ..................... 520,650 22,600 oOFFICEMAX, INC ..................... 539,575 4,080 oPAYLESS SHOESOURCE, INC ............ 129,540 1,200 oPENN TRAFFIC CO .................... 10,200 17,400 PEP BOYS- MANNY, MOE, & JACK CO .... 591,600 16,100 oPETSMART, INC ...................... 768,775 10,700 PIER 1 IMPORTS, INC ................ 159,162 22,100 oPRICE/COSTCO, INC .................. 477,912 4,900 oPROFFITTS, INC ..................... 173,950 20,400 oREVCO (D.S.), INC (NEW) ............ 487,050 1,500 oREXALL SUNDOWN, INC ................ 40,500 1,900 oROUSE CO ........................... 49,162 6,900 SEARS ROEBUCK & CO ................. 335,512 26,400 oSERVICE MERCHANDISE, INC ........... 148,500 7,800 SOTHEBYS HOLDINGS, INC (CLASS A) ... 113,100 49,200 oSTAPLES, INC ....................... 959,400 20,100 STRIDE RITE CORP ................... 165,825 18,600 oSUNGLASS HUT INTERNATIONAL, INC .... 453,375 1,000 TALBOTS, INC ....................... 32,375 7,300 TANDY CORP ......................... 345,837 2,900 TIFFANY & CO (NEW) ................. 211,700 6,700 TJX COS, INC (NEW) ................. 226,125 33,500 oTOPPS, INC ......................... 188,437 41,800 oTOYS R US, INC ..................... 1,191,300 1,418,000 WAL-MART STORES, INC ............... 35,981,750 76,200 WALGREEN CO ........................ 2,552,700 1,000 oWILLIAMS-SONOMA, INC 23,625 ----------- 127,639,548 ----------- TEXTILE & APPAREL--1.48% 1,500 oANN TAYLOR STORES CORP ............. 30,375 14,300 CML GROUP, INC ..................... 60,775 39,000 oCONE MILLS CORP .................... 438,750 6,433 oCONVERSE, INC ...................... 27,340 9,000 oDONNKENNY, INC ..................... 175,500 16,316 oFLORSHEIM SHOE CO .................. 81,580 7,700 oFRUIT OF THE LOOM, INC (CLASS A) ... 196,350 1,000 oJUST FOR FEET INC .................. 52,875 4,400 LIZ CLAIBORNE, INC ................. 152,350 15,000 oNAUTICA ENTERPRISES, INC ........... 431,250 16,900 NIKE, INC (CLASS B) ................ 1,736,475 7,600 oNINE WEST GROUP, INC ............... 388,550 11,400 REEBOK INTERNATIONAL LTD ........... 383,325 12,800 UNIFI, INC ......................... 360,000 9,700 VF CORP ............................ 578,362 20,800 WARNACO GROUP, INC (CLASS A) ....... 535,600 856,800 oWESTPOINT STEVENS, INC ............. 20,456,100 5,000 WOLVERINE WORLD WIDE, INC .......... 162,500 ----------- 26,248,057 ----------- TOBACCO--2.96% 14,500 DIMON, INC ......................... 268,250 459,600 PHILIP MORRIS COS, INC ............. 47,798,400 32,700 RJR NABISCO HOLDINGS CORP .......... 1,013,700 5,160 SCHWEITZER-MAUDUIT INTERNATIONAL, INC ................ 145,125 21,200 UNIVERSAL CORP ..................... 561,800 74,800 UST, INC ........................... 2,561,900 ----------- 52,349,175 ----------- TRUCKERS & SHIPPING--0.66% 16,900 oAMERICAN FREIGHTWAYS CORP .......... 188,012 1,800 CALIBER SYSTEM, INC ................ 61,200 18,000 HUNT (J.B.) TRANSPORT SERVICES, INC 375,750 3,300 LAIDLAW, INC (CLASS B) ............. 33,412 345,500 oLANDSTAR SYSTEM, INC ............... 10,019,500 3,900 ROADWAY EXPRESS, INC ............... 55,087 48,250 ROLLINS TRUCK LEASING CORP ......... 500,593 19,800 USFREIGHTWAYS CORP ................. 386,100 ----------- 11,619,654 ----------- UTILITIES--ELECTRIC--0.06% 28,100 oAES CORP ........................... 793,825 6,300 OTTER TAIL POWER CO ................ 204,750 ----------- 998,575 ----------- UTILITIES--GAS & PIPELINE--0.41% 23,500 oAMERICAN STANDARD COS, INC ......... 775,500 11,300 oBLACK BOX CORP ..................... 268,375 30,000 CABOT OIL & GAS CORP (CLASS A) ..... 521,250 8,200 oCALENERGY, INC ..................... 209,100 6,600 COASTAL CORP ....................... 275,550 65,000 ENRON CORP ......................... 2,656,875 9,600 ENSERCH CORP ....................... 208,800 1,675 PANENERGY CORP ..................... 55,065 See notes to financial statements. -47- SHARES VALUE ------ ----- UTILITIES--GAS & PIPELINE (CONTINUED) 62,800 PUBLIC SERVICE CO OF NORTH CAROLINA ...................... $ 1,067,600 7,000 SONAT, INC ..................... 315,000 7,200 SOUTHWESTERN ENERGY CO ......... 101,700 10,517 TENNECO, INC ................... 537,681 11,200 WESTERN GAS RESOURCES, INC ..... 182,000 2,400 WILLIAMS COS, INC .............. 118,800 -------------- 7,293,296 -------------- UTILITIES--TELEPHONE--2.27% 8,000 oADTRAN, INC .................... 567,000 28,400 ALLTEL CORP .................... 873,300 30,300 AMERITECH CORP (NEW) ........... 1,799,062 396,500 AT & T CORP .................... 24,583,000 25,100 BELL ATLANTIC CORP ............. 1,600,125 1,100 oC-TEC CORP ..................... 32,725 19,600 CINCINNATI BELL, INC ........... 1,021,650 4,500 oCOMMNET CELLULAR, INC .......... 135,000 31,400 FRONTIER CORP .................. 961,625 21,150 oGLENAYRE TECHNOLOGIES, INC ..... 1,057,500 8,000 LINCOLN TELECOMMUNICATIONS CO .. 131,000 25,900 MCI COMMUNICATIONS CORP ........ 663,687 15,000 oMOBILE TELECOMMUNICATIONS TECHNOLOGIES CORP ............. 219,375 9,400 oNEXTEL COMMUNICATIONS, INC (CLASS A) ..................... 179,187 728 SBC COMMUNICATIONS, INC ........ 35,854 18,900 SPRINT CORP .................... 793,800 11,326 TELEPHONE & DATA SYSTEMS, INC .. 509,670 7,100 oU.S. LONG DISTANCE CORP ........ 252,050 116,500 oU.S. WEST MEDIA GROUP, INC ..... 2,126,125 48,300 oWORLDCOM, INC .................. 2,674,612 -------------- 40,216,347 -------------- TOTAL COMMON STOCK (Cost $1,441,218,023) ............ $1,687,349,232 -------------- PRINCIPAL --------- SHORT TERM INVESTMENTS--4.52% COMMERCIAL PAPER--0.70% COOPER INDUSTRIES, INC $ 2,500,000 5.600%, 07/01/96 ............ 2,499,604 DAYTON HUDSON CORP 2,500,000 5.650%, 07/01/96 ............ 2,499,601 DILLARD INVESTMENT CO, INC 2,500,000 5.380%, 07/02/96 ............ 2,499,208 EL PASO NATURAL GAS CO 2,500,000 5.550%, 07/01/96 ............ 2,499,587 QUAKER OATS CO 2,500,000 5.550%, 07/09/96 ............ 2,496,454 -------------- 12,494,454 -------------- GOVERNMENT AGENCIES--3.82% FEDERAL FARM CREDIT BANKS 3,000,000 5.300%, 07/08/96 ............ 2,996,500 FEDERAL HOME LOAN BANK 10,000,000 5.250%, 09/04/96 ............ 9,902,805 FEDERAL HOME LOAN MORTGAGE CORP 17,820,000 5.270%, 07/03/96 ............ 17,812,198 FEDERAL HOME LOAN MORTGAGE CORP 23,430,000 5.170%, 07/16/96 ............ 23,374,991 FEDERAL NATIONAL MORTGAGE ASSOCIATION 13,500,000 5.160%, 07/22/96 ............ 13,456,598 -------------- 67,543,092 -------------- TOTAL SHORT TERM INVESTMENTS (Cost $80,050,677) ...... 80,037,546 -------------- ROUNDING ....................... 122 -------------- TOTAL PORTFOLIO (Cost $1,521,302,658) ............ $1,767,419,997 ============== - ---------------- o NON-INCOME PRODUCING x IN BANKRUPTCY # RESTRICTED See notes to financial statements. -48- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--EQUITY INDEX ACCOUNT (UNAUDITED) JUNE 30, 1996 SUMMARY VALUE % ----- --- BONDS CORPORATE BONDS BROADCASTERS ..................... $ 7,320 0.00% ENVIRONMENTAL CONTROL ............ 12,845 0.00 FINANCIAL--MISCELLANEOUS ......... 1,171 0.00 ----------- ---- TOTAL CORPORATE BONDS (COST $ 16,411) .................. 21,336 0.00 ----------- ---- TOTAL BONDS (COST $ 16,411) ................... 21,336 0.00 ----------- ---- PREFERRED STOCK BUSINESS SERVICES ................ 28,611 0.01 CONGLOMERATES .................... 1,829 0.00 HEALTHCARE--SERVICE .............. 8,160 0.00 ----------- ----- TOTAL PREFERRED STOCK (COST $ 38,211) ................... 38,600 0.01 ----------- ----- COMMON STOCK AEROSPACE ........................ 9,600,934 1.40 AIR TRANSPORTATION ............... 3,668,512 0.53 AUTOMOTIVE & RELATED ............. 17,302,445 2.52 BANKS ............................ 52,147,776 7.58 BEVERAGES ........................ 22,303,199 3.24 BROADCASTERS ..................... 5,910,626 0.86 BUSINESS SERVICES ................ 10,547,609 1.53 CHEMICALS--MAJOR ................. 14,302,387 2.08 CHEMICALS--SPECIALTY ............. 7,831,969 1.14 COMMUNICATION EQUIPMENT & SERVICES 15,044,543 2.19 COMPUTER SERVICE ................. 23,735,570 3.45 CONGLOMERATES .................... 13,645,011 1.98 CONSTRUCTION--MATERIALS & BUILDERS 4,181,346 0.61 CONTAINERS ....................... 916,527 0.13 COSMETICS ........................ 4,382,561 0.64 ELECTRICAL EQUIPMENT ............. 22,665,255 3.30 ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED ......... 19,944,819 2.90 ELECTRICAL EQUIPMENT--INSTRUMENTS 2,594,492 0.38 ENVIRONMENTAL CONTROL ............ 3,967,405 0.58 FINANCIAL--MISCELLANEOUS ......... 26,935,055 3.92 FOODS ............................ 15,585,203 2.27 FOREST PRODUCTS .................. 3,338,187 0.49 HEALTHCARE--DRUGS ................ 38,841,600 5.65 HEALTHCARE--HOSPITAL SUPPLY ...... 14,730,728 2.14 HEALTHCARE--OTHER ................ 6,530,047 0.95 HEALTHCARE--SERVICE .............. 11,130,016 1.62 HOUSEHOLD--CONSUMER ELECTRONICS .. 213,412 0.03 HOUSEHOLD--DURABLE GOODS ......... 2,744,699 0.40 HOUSEHOLD--PRODUCTS .............. 10,518,312 1.53 INSURANCE--BROKERS & OTHER ....... 2,411,862 0.35 INSURANCE--LIFE .................. 4,521,541 0.66 INSURANCE--MULTI-LINE, PROPERTY & CASUALTY ............ 20,355,795 2.96 LEISURE TIME ..................... 10,231,528 1.49 MACHINERY ........................ 11,009,882 1.60 METALS--ALUMINIUM ................ 1,664,498 0.24 METALS--GOLD ..................... 1,856,564 0.27 METALS--NON-FERROUS .............. 2,212,353 0.32 METALS--STEEL .................... 2,388,374 0.35 OFFICE EQUIPMENT ................. 21,472,958 3.12 PAPER ............................ 7,283,294 1.06 PETROLEUM-- EXPLORATION & PRODUCTION ....... 6,003,289 0.87 PETROLEUM--INTEGRATED ............ 33,727,356 4.91 PETROLEUM--SERVICE ............... 5,752,558 0.84 PHOTOGRAPHY ...................... 3,341,237 0.48 PROPERTY--REAL ESTATE ............ 772,711 0.11 PUBLISHING--NEWSPAPER ............ 3,472,116 0.50 PUBLISHING--OTHER ................ 5,352,355 0.78 RAILROAD ......................... 6,435,400 0.94 RESTAURANTS & HOTELS ............. 9,971,679 1.45 RETAIL--FOOD ..................... 5,047,097 0.73 RETAIL--GENERAL MERCHANDISE ...... 27,923,531 4.06 TEXTILE & APPAREL ................ 3,460,972 0.50 TOBACCO .......................... 12,714,510 1.85 TRUCKERS & SHIPPING .............. 1,441,898 0.21 UTILITIES--ELECTRIC .............. 29,483,957 4.29 UTILITIES--GAS & PIPELINE ........ 8,654,625 1.26 UTILITIES--TELEPHONE ............. 46,275,842 6.73 ------------- ------ TOTAL COMMON STOCK (COST $ 599,611,230) .............. 680,500,027 98.97 ------------- ------ SHORT TERM INVESTMENTS BANKERS ACCEPTANCES .............. 493,454 0.07 COMMERCIAL PAPER ................. 8,194,009 1.19 GOVERNMENT AGENCIES .............. 3,891,423 0.57 ------------- ------ TOTAL SHORT TERM INVESTMENTS ....... 12,578,886 1.83 (COST $ 12,580,787) ------------- ------ ROUNDING ........................ 216 0.00 ------------- ------ TOTAL PORTFOLIO (COST $ 612,246,639) .............. 693,139,065 100.81 ------------- ------ OTHER ASSETS & LIABILITIES, NET (5,556,868) (0.81) ------------- ------ NET ASSETS ......................... $ 687,582,197 100.00% ============= ====== See notes to financial statements. -49- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--EQUITY INDEX ACCOUNT (UNUADITED) JUNE 30, 1996 PRINCIPAL VALUE --------- ----- BONDS--0.00% CORPORATE BONDS--0.00% BROADCASTERS--0.00% VIACOM INTERNATIONAL, INC (SUBORDINATED DEB) $ 8,000 8.000%, 07/07/06 ............... $ 7,320 ------------ ENVIRONMENTAL CONTROL--0.00% WMX TECHNOLOGIES, INC (SUBORDINATED CV NOTES) 14,000 2.000%, 01/24/05 ............... 12,845 ------------ FINANCIAL--MISCELLANEOUS--0.00% EVEREN CAPITAL CORP 13.5% 4,300 13.500%, 09/15/07 ............... 1,171 ------------ TOTAL CORPORATE BONDS (COST $16,411) ..................... 21,336 ------------ TOTAL BONDS (COST $16,411) ...................... 21,336 ------------ SHARES ------ PREFERRED STOCK--0.01% BUSINESS SERVICES--0.01% 1,122 oPREMIER FARNELL PLC CV ADR ....... 28,611 ------------ CONGLOMERATES--0.00% 119 TELEDYNE, INC SERIES E ............ 1,829 ------------ HEALTHCARE--SERVICE--0.00% 320 FHP INTERNATIONAL CORP SERIES A CV 8,160 ------------ TOTAL PREFERRED STOCK (COST $38,211) ...................... 38,600 ------------ COMMON STOCK--98.97% AEROSPACE--1.40% 900 oALLIANT TECHSYSTEMS, INC .......... 42,412 38,600 BOEING CO ......................... 3,363,025 7,100 EG & G, INC ....................... 151,762 1,900 FLIGHTSAFETY INTERNATIONAL, INC ... 103,075 6,200 GENERAL DYNAMICS CORP ............. 384,400 11,700 GENERAL MOTORS CORP (CLASS H) ..... 703,462 19,404 LOCKHEED MARTIN CORP .............. 1,629,936 21,300 MCDONNELL DOUGLAS CORP ............ 1,033,050 4,800 NORTHROP GRUMMAN CORP ............. 327,000 2,300 oOEA, INC .......................... 86,250 5,900 oORBITAL SCIENCES CORP ............. 95,875 2,700 PRECISION CASTPARTS CORP .......... 116,100 27,900 RAYTHEON CO ....................... 1,440,337 7,000 oWYMAN-GORDON CO ................... 124,250 ------------ 9,600,934 ------------ AIR TRANSPORTATION--0.53% 7,100 oAIR EXPRESS INTERNATIONAL CORP .... 200,575 3,600 AIRBORNE FREIGHT CORP ............. 93,600 7,200 oAMERICA WEST AIRLINES, INC (CLASS B) 158,400 8,100 oAMR CORP .......................... 737,100 3,100 ATLANTIC SOUTHEAST AIRLINES, INC .. 87,575 4,725 COMAIR HOLDINGS, INC .............. 127,575 1,800 oCONTINENTAL AIRLINES, INC (CLASS B) 111,150 5,600 DELTA AIRLINES, INC ............... 464,800 6,800 oFEDERAL EXPRESS CORP .............. 557,600 1,000 oMESA AIRLINES, INC ................ 11,875 7,300 oNORTHWEST AIRLINES CORP (CLASS A) . 288,350 400 SKYWEST, INC ...................... 7,450 15,600 SOUTHWEST AIRLINES CO ............. 454,350 4,900 oU.S. AIR GROUP, INC ............... 88,200 4,400 oUAL CORP (NEW) .................... 236,500 4,600 oVALUJET, INC ...................... 43,412 ------------ 3,668,512 ------------ AUTOMOTIVE & RELATED--2.52% 4,800 oALLEN GROUP, INC .................. 104,400 2,700 oAMERICREDIT CORP .................. 42,187 5,600 ARVIN INDUSTRIES, INC ............. 124,600 2,900 BANDAG, INC ....................... 139,200 3,600 BORG-WARNER AUTOMOTIVE, INC ....... 142,200 2,100 BREED TECHNOLOGIES, INC ........... 46,987 35,681 CHRYSLER CORP ..................... 2,212,222 9,400 COOPER TIRE & RUBBER CO ........... 209,150 4,900 CUMMINS ENGINE CO, INC ............ 197,837 11,700 DANA CORP ......................... 362,700 4,500 DANAHER CORP ...................... 195,750 2,200 oDETROIT DIESEL CORP ............... 42,625 2,800 DONALSON, INC ..................... 72,100 9,300 EATON CORP ........................ 545,212 7,100 ECHLIN, INC ....................... 268,912 6,400 FEDERAL-MOGUL CORP ................ 117,600 131,500 FORD MOTOR CO ..................... 4,257,312 1,300 GENCORP, INC ...................... 19,662 84,600 GENERAL MOTORS CORP ............... 4,430,925 13,800 GENUINE PARTS CO .................. 631,350 16,700 GOODYEAR TIRE & RUBBER CO ......... 805,775 8,100 HARLEY DAVIDSON, INC .............. 333,112 2,800 HAYES WHEELS INTERNATIONAL, INC ... 88,900 2,400 oKIRBY CORP ........................ 40,500 11,900 oLEAR CORP ......................... 419,475 4,100 MODINE MANUFACTURING CO ........... 108,650 9,800 oNAVISTAR INTERNATIONAL CORP ....... 96,775 4,400 PACCAR, INC ....................... 215,600 7,800 POLARIS INDUSTRIES, INC ........... 266,175 2,000 oRENTERS CHOICE, INC ............... 51,000 1,900 oSAFESKIN CORP ..................... 78,850 10,500 SAFETY-KLEEN CORP ................. 183,750 1,000 SMITH (A.O.) CORP ................. 25,000 5,500 SNAP-ON, INC ...................... 260,562 500 STANDARD PRODUCTS CO .............. 11,625 3,300 SUPERIOR INDUSTRIES INTERNATIONAL, INC ............... 87,450 1,800 oTBC CORP .......................... 15,525 675 TRANSPRO, INC ..................... 4,640 2,600 WABASH NATIONAL CORP .............. 46,150 ------------ 17,302,445 ------------ BANKS--7.58% 9,400 AMSOUTH BANCORP ................... 339,575 900 ASSOCIATED BANC-CORP .............. 34,875 50,496 BANC ONE CORP ..................... 1,716,864 7,800 BANCORP HAWAII, INC ............... 280,800 12,311 BANK OF BOSTON CORP ............... 609,394 22,300 BANK OF NEW YORK CO, INC .......... 1,142,875 40,000 BANKAMERICA CORP .................. 3,030,000 8,200 BANKERS TRUST NEW YORK CORP ....... 605,775 10,900 BARNETT BANKS, INC ................ 664,900 2,100 BAYBANKS, INC ..................... 226,275 See notes to financial statements. -50- SHARES VALUE ------ ----- BANKS (CONTINUED) 19,500 BOATMENS BANCSHARES, INC .......... $ 782,437 470 oCALIFORNIA FEDERAL BANK GOODWILL CERT .................... 4,112 1,808 CAPITAL ONE FINANCIAL CORP ........ 51,528 700 CCB FINANCIAL CORP ................ 35,875 10,050 CENTRAL FIDELITY BANKS, INC ....... 228,637 800 CENTURA BANKS, INC ................ 29,400 6,200 CHARTER ONE FINANCIAL, INC ........ 216,225 44,758 CHASE MANHATTAN CORP (NEW) ........ 3,161,033 53,921 oCITICORP CO ....................... 4,455,222 9,300 CITY NATIONAL CORP ................ 146,475 14,000 COMERICA, INC ..................... 624,750 771 COMMERCE BANCSHARES, INC .......... 26,310 4,300 COMPASS BANCSHARES, INC ........... 140,825 25,109 CORESTATES FINANCIAL CORP ......... 966,696 6,034 CRESTAR FINANCIAL CORP ............ 322,064 3,200 CULLEN FROST BANKERS, INC ......... 88,800 5,500 DAUPHIN DEPOSIT CORP .............. 156,750 1,500 DEPOSIT GUARANTY CORP ............. 66,000 11,200 oDIME BANCORP, INC ................. 145,600 9,400 FIFTH THIRD BANCORP ............... 507,600 5,300 FIRST AMERICAN CORP ............... 223,262 15,754 FIRST BANK SYSTEM, INC ............ 913,732 35,155 FIRST CHICAGO NBD CORP ............ 1,375,439 6,750 FIRST COMMERCE CORP ............... 238,781 1,409 FIRST COMMERCIAL CORP ............. 43,326 9,345 FIRST OF AMERICA BANK CORP ........ 418,188 11,350 FIRST SECURITY CORP ............... 272,400 9,700 FIRST TENNESSEE NATIONAL CORP ..... 297,062 32,177 FIRST UNION CORP .................. 1,958,774 1,200 FIRST VIRGINIA BANKS, INC ......... 48,000 7,900 FIRSTAR CORP NEW .................. 364,387 29,488 FLEET FINANCIAL GROUP, INC (NEW) .. 1,282,728 6,400 GREENPOINT FINANCIAL CORP ......... 180,800 18,185 HIBERNIA CORP (CLASS A) ........... 197,761 19,915 HUNTINGTON BANCSHARES, INC ........ 475,470 1,900 oIMPERIAL CREDIT INDUSTRIES, INC ... 57,475 27,200 KEYCORP NEW ....................... 1,054,000 9,300 LONG ISLAND BANCORP, INC .......... 284,231 16,000 MAGNA GROUP, INC .................. 384,000 14,400 MARSHALL & ILSLEY CORP ............ 399,600 15,274 MELLON BANK CORP .................. 870,618 8,100 MERCANTILE BANCORP, INC ........... 360,450 11,171 MERCANTILE BANKSHARES CORP ........ 284,860 20,300 MORGAN (J.P.) & CO, INC ........... 1,717,887 25,861 NATIONAL CITY CORP ................ 908,367 900 NATIONAL COMMERCE BANCORP ......... 28,350 32,306 NATIONSBANK CORP .................. 2,669,283 6,900 NORTH FORK BANCORP, INC ........... 180,262 7,300 NORTHERN TRUST CORP ............... 421,575 40,048 NORWEST CORP ...................... 1,396,674 8,137 OLD KENT FINANCIAL CORP ........... 318,360 1,064 OLD NATIONAL BANCORP .............. 39,368 5,800 ONBANCORP, INC .................... 189,950 1,000 ONE VALLEY BANCORP, INC ........... 34,500 4,300 PEOPLES BANK OF BRIDGEPORT CO ..... 95,675 6,400 oPEOPLES HERITAGE FINANCIAL GROUP, INC ....................... 130,400 38,180 PNC BANK CORP ..................... 1,135,855 8,776 REGIONS FINANCIAL CORP ............ 410,278 5,400 REPUBLIC NEW YORK CORP ............ 336,150 6,400 RIGGS NATIONAL CORP ............... 77,600 8,067 SIGNET BANKING CORP ............... 187,557 14,225 SOUTHERN NATIONAL CORP ............ 451,643 14,200 SOUTHTRUST CORP ................... 399,375 22,145 SOVEREIGN BANCORP, INC ............ 221,450 11,400 ST. PAUL BANCORP, INC ............. 262,200 1,800 STANDARD FEDERAL BANCORP .......... 69,300 2,200 STAR BANC CORP .................... 148,225 9,300 STATE STREET BOSTON CORP .......... 474,300 11,002 SUMMIT BANCORP .................... 386,445 27,200 SUNTRUST BANKS, INC ............... 1,006,400 15,650 SYNOVUS FINANCIAL CORP ............ 338,431 17,816 U.S. BANCORP ...................... 643,603 1,600 U.S. TRUST CORP (NEW) ............. 80,800 8,900 UNION PLANTERS CORP ............... 270,337 1,400 UNIONBANCAL CORP .................. 74,025 750 UNITED CAROLINA BANCSHARES CORP ... 16,687 1,260 VALLEY NATIONAL BANCORP ........... 32,130 20,800 WACHOVIA CORP NEW ................. 910,000 7,450 WASHINGTON FEDERAL, INC ........... 152,725 5,800 WASHINGTON MUTUAL, INC ............ 173,275 10,468 WELLS FARGO & CO .................. 2,500,543 7,600 WILMINGTON TRUST CORP ............. 246,525 3,000 ZIONS BANCORP ..................... 218,250 ------------ 52,147,776 ------------ BEVERAGES--3.24% 25,600 ANHEUSER BUSCH COS, INC ........... 1,920,000 1,400 BROWN FORMAN, INC (CLASS B) ....... 56,000 280,100 COCA COLA CO ...................... 13,689,887 9,600 COCA COLA ENTERPRISES, INC ........ 332,400 5,800 COORS ADOLPH CO (CLASS B) ......... 103,675 175,300 PEPSICO, INC ...................... 6,201,237 ------------ 22,303,199 ------------ BROADCASTERS--0.86% 4,300 oCITICASTERS, INC .................. 134,375 2,700 oCLEAR CHANNEL COMMUNICATIONS, INC . 222,412 2,800 COMCAST CORP (CLASS A) ............ 51,450 25,600 COMCAST CORP (CLASS A) SPL ........ 473,600 2,500 oEVERGREEN MEDIA CORP (CLASS A) .... 106,875 8,590 GAYLORD ENTERTAINMENT CO .......... 242,667 1,800 HARTE-HANKS COMMUNICATIONS, INC ... 49,950 3,600 oHERITAGE MEDIA CORP (CLASS A) (NEW) 143,550 11,825 oINFINITY BROADCASTING CORP (CLASS A) 354,750 5,000 oKING WORLD PRODUCTIONS, INC ....... 181,875 18,675 oLIBERTY MEDIA GROUP CLASS A ....... 494,887 2,750 oLIN TELEVISION CORP ............... 99,000 4,600 oSCRIPPS (E.W.) CO (CLASS A) ....... 214,475 3,800 TCA CABLE TV, INC ................. 114,950 74,900 oTELE-COMMUNICATIONS, INC (CLASS A) (NEW) ............................ 1,357,562 12,800 TURNER BROADCASTING SYSTEMS, INC (CLASS B) ........................ 352,000 400 UNITED TELEVISION, INC ............ 39,200 6,460 oVIACOM, INC (CLASS A) ............. 246,287 24,893 oVIACOM, INC (CLASS B) ............. 967,715 250 oVIACOM, INC (CLASS B) WTS 7/07/97 . 156 150 oVIACOM, INC (CLASS B) WTS 7/07/99 . 365 4,100 oWESTWOOD ONE, INC ................. 62,525 ------------ 5,910,626 ------------ BUSINESS SERVICES--1.53% 3,000 oACCUSTAFF, INC .................... 81,750 7,700 ADVO, INC ......................... 79,887 2,900 oAFFILIATED COMPUTER SERVICES, INC . 136,300 1,500 oALLIANCE SEMICONDUCTOR CORP ....... 12,562 2,900 oALTERNATIVE RESOURCES CORP ........ 106,575 5,000 oAMERICA ONLINE, INC ............... 218,750 2,025 oAPOLLO GROUP, INC (CLASS A) ....... 56,700 1,800 oATRIA SOFTWARE, INC ............... 90,000 4,800 AUTODESK, INC ..................... 143,400 See notes to financial statements. -51- SHARES VALUE ------ ----- BUSINESS SERVICES (CONTINUED) 6,500 BANTA CORP ........................ $ 164,125 12,000 BLOCK (H&R), INC .................. 391,500 2,500 oCABLEVISION SYSTEMS CORP (CLASS A) 115,625 1,200 oCALGENE, INC ...................... 7,950 2,800 oCAREER HORIZON, INC ............... 98,000 1,400 oCATALINA MARKETING CORP ........... 128,100 3,800 oCHECKPOINT SYSTEMS, INC ........... 130,625 4,200 CINTAS CORP ....................... 224,700 2,300 oCOMPUTER HORIZONS CORP ............ 90,850 7,000 oCOMPUTERVISION CORP ............... 70,000 7,660 oCORPORATE EXPRESS, INC ............ 306,400 3,400 oCORRECTIONS CORP OF AMERICA ....... 238,000 3,300 oCREDENCE SYSTEMS CORP ............. 44,343 9,900 DELUXE CORP ....................... 351,450 1,300 oDIALOGIC CORP ..................... 77,512 7,550 DIEBOLD, INC ...................... 364,287 3,400 oDOUBLETREE CORP ................... 120,700 6,300 FIRST INDUSTRIAL REALTY TRUST, INC. 148,050 4,400 oFORE SYSTEMS, INC ................. 158,950 3,900 oFRANKLIN QUEST CO ................. 80,925 2,100 oFRITZ COS, INC .................... 67,725 1,300 oGATEWAY 2000, INC ................. 44,200 8,300 HARLAND (JOHN H.) CO .............. 204,387 1,400 oHCIA, INC ......................... 88,200 1,500 IDEON GROUP, INC .................. 20,250 1,600 oINFORMATION RESOURCES, INC ........ 19,600 1,600 oINSO CORP ......................... 83,800 3,800 oINTERIM SERVICES, INC ............. 163,400 9,400 INTERPUBLIC GROUP OF COS, INC ..... 440,625 2,000 oITRON, INC ........................ 56,750 5,900 KELLY SERVICES, INC (CLASS A) ..... 172,575 9,200 LIBERTY PROPERTY TRUST CO ......... 182,850 7,800 MANPOWER, INC ..................... 306,150 2,525 oMCAFEE ASSOCIATES, INC ............ 123,725 900 oMERISEL, INC ...................... 3,375 3,400 oMICRO WAREHOUSE, INC .............. 68,000 2,860 oNATIONAL AUTO CREDIT, INC ......... 32,532 4,600 oNATIONAL EDUCATION CORP ........... 65,550 7,000 NATIONAL SERVICE INDUSTRIES, INC .. 273,875 3,500 oNU KOTE HOLDING, INC (CLASS A) .... 58,187 14,250 oOFFICE DEPOT, INC ................. 290,343 7,800 oOIS OPTICAL IMAGING SYSTEMS, INC .. 23,887 6,350 OLSTEN CORP ....................... 186,531 8,700 OMNICOM GROUP, INC ................ 404,550 1,400 oOPTICAL DATA SYSTEMS, INC ......... 30,800 6,175 PAYCHEX, INC ...................... 297,171 2,500 PHH CORP .......................... 142,500 1,392 oPREMIER FARNELL PLC ADR ........... 29,058 2,100 oQUARTERDECK CORP .................. 19,687 1,800 oREMEDY CORP ....................... 131,400 5,600 oROBERT HALF INTERNATIONAL, INC .... 156,100 4,700 ROLLINS, INC ...................... 110,450 8,700 SENSORMATIC ELECTRONICS CORP ...... 142,462 13,000 SERVICE CORP INTERNATIONAL ........ 747,500 2,900 STANDARD REGISTER, INC ............ 71,412 6,400 oSTRATACOM, INC .................... 360,000 5,700 oSUNGARD DATA SYSTEMS, INC ......... 228,712 300 oSYLVAN LEARNING SYSTEMS, INC ...... 11,325 1,500 oTHERMOLASE CORP ................... 40,875 1,700 TRUE NORTH COMMUNICATIONS, INC .... 37,825 3,900 oU.S. CELLULAR CORP ................ 120,900 400 VALSPAR CORP ...................... 18,400 3,000 oVERIFONE, INC ..................... 126,750 900 oWACKENHUT CORRECTIONS CORP ........ 30,037 1,100 WALLACE COMPUTER SERVICES, INC .... 65,725 500 oWONDERWARE CORP ................... 9,437 ------------ 10,547,609 ------------ CHEMICALS--MAJOR--2.08% 12,500 AIR PRODUCTS & CHEMICALS, INC ..... 721,875 1,000 ARCO CHEMICAL CO .................. 52,000 26,200 DOW CHEMICAL CO ................... 1,991,200 61,800 DU PONT (E.I.) DE NEMOURS & CO .... 4,889,925 9,100 EASTMAN CHEMICAL CO ............... 553,962 7,200 GOODRICH (B.F.) CO ................ 269,100 12,700 HERCULES, INC ..................... 701,675 5,200 MISSISSIPPI CHEMICAL CORP ......... 104,000 62,800 MONSANTO CO ....................... 2,041,000 3,000 oOAK TECHNOLOGY, INC ............... 28,125 2,900 OLIN CORP ......................... 258,825 21,500 PPG INDUSTRIES, INC ............... 1,048,125 16,300 PRAXAIR, INC ...................... 688,675 1,600 oQUINTILES TRANSNATIONAL CORP ...... 105,200 5,100 ROHM & HAAS CO .................... 320,025 13,300 UNION CARBIDE CORP ................ 528,675 ------------ 14,302,387 ------------ CHEMICALS--SPECIALTY--1.14% 8,400 oAIRGAS, INC ....................... 159,600 6,500 ALBEMARLE CORP .................... 118,625 4,000 BETZ LABORATORIES, INC ............ 175,500 6,900 CALGON CARBON CORP ................ 93,150 1,500 COMMERCIAL METALS CO .............. 49,875 7,300 CROMPTON & KNOWLES CORP ........... 122,275 1,800 oCYTEC INDUSTRIES, INC ............. 153,900 5,100 DEXTER CORP ....................... 151,725 7,400 ECOLAB, INC ....................... 244,200 10,800 ENGELHARD CORP .................... 248,400 12,600 ETHYL CORP ........................ 121,275 3,600 FERRO CORP ........................ 95,400 2,600 FIRST MISSISSIPPI CORP ............ 57,850 4,300 FOSTER WHEELER CORP ............... 192,962 404 FULLER (H.B.) CO .................. 14,645 5,700 GEON CO ........................... 128,250 4,600 GEORGIA GULF CORP ................. 134,550 11,100 oGRACE (W.R.) & CO ................. 786,712 7,600 GREAT LAKES CHEMICAL CORP ......... 473,100 6,044 ICN PHARMACEUTICALS, INC (NEW) .... 140,523 7,600 IMC GLOBAL, INC ................... 285,950 4,100 oINTERNATIONAL SPECIALTY PRODUCTS, INC .................... 45,100 5,000 LAWTER INTERNATIONAL, INC ......... 62,500 2,400 LOCTITE CORP ...................... 111,600 8,000 LUBRIZOL CORP ..................... 243,000 5,100 LYONDELL PETROCHEMICAL CO ......... 123,037 6,700 MALLINCKRODT GROUP, INC ........... 260,462 200 oMCWHORTER TECHNOLOGIES, INC ....... 3,550 4,900 MILLIPORE CORP .................... 205,187 16,700 MORTON INTERNATIONAL, INC ......... 622,075 4,600 oMYCOGEN CORP ...................... 69,000 8,400 NALCO CHEMICAL CORP ............... 264,600 1,500 OM GROUP, INC ..................... 58,875 4,900 RAYCHEM CORP ...................... 352,187 13,650 RPM, INC .......................... 213,281 5,375 SCHULMAN (A), INC ................. 131,687 4,400 oSEALED AIR CORP ................... 147,950 5,900 SIGMA ALDRICH CORP ................ 315,650 8,700 oSTERLING CHEMICALS, INC ........... 101,137 5,500 TERRA INDUSTRIES, INC ............. 68,062 2,900 THIOKOL CORP ...................... 114,550 4,800 WELLMAN, INC ...................... 112,200 7,500 WITCO CORP ........................ 257,812 ------------ 7,831,969 ------------ See notes to financial statements. -52- SHARES VALUE ------ ----- COMMUNICATION EQUIPMENT & SERVICES--2.19% 15,200 o360 COMMUNICIATIONS CO ............ $ 364,800 18,260 o3COM CORP ......................... 835,395 57,500 oAIRTOUCH COMMUNICATIONS, INC ...... 1,624,375 6,825 oANDREW CORP ....................... 366,843 1,000 oANTEC CORP ........................ 15,875 5,200 oARCH COMMUNICATIONS GROUP, INC .... 96,850 9,200 oASCEND COMMUNICATIONS, INC ........ 517,500 3,100 oAVID TECHNOLOGIES, INC ............ 57,350 9,300 oBRINKER INTERNATIONAL, INC ........ 139,500 2,500 oCABLE DESIGN TECHNOLOGIES CO ...... 81,875 5,900 oCABLETRON SYSTEMS, INC ............ 404,887 7,600 oCAI WIRELESS SYSTEMS, INC ......... 70,300 1,500 oCALIFORNIA MICROWAVE, INC ......... 22,875 8,800 oCASCADE COMMUNICATIONS CORP ....... 598,400 1,300 oCELLSTAR CORP ..................... 11,375 400 oCELLULAR COMMUNICATIONS INTERNATIONAL, INC ............... 13,500 6,900 CENTURY TELEPHONE ENTERPRISES, INC 219,937 1,900 oCIDCO, INC ........................ 66,975 63,200 oCISCO SYSTEMS, INC ................ 3,578,700 6,300 COMSAT CORP SERIES 1 .............. 163,800 24,900 CORNING, INC ...................... 955,537 12,600 oDSC COMMUNICATIONS CORP ........... 379,575 3,400 oDSP COMMUNICATIONS, INC ........... 174,675 3,100 oDYNATECH CORP ..................... 100,750 1,600 oGENERAL DATACOMM INDUSTRIES, INC .. 21,600 7,200 oGEOTEK COMMUNICATIONS, INC ........ 98,550 5,400 HARRIS CORP ....................... 329,400 2,900 oHEARTLAND WIRELESS COMMUNICIATIONS .................. 68,875 3,900 oINTERCEL, INC ..................... 78,000 1,100 oINTERDIGITAL COMMUNICATIONS CORP .. 9,350 5,466 oINTERNATIONAL DAIRY QUEEN, INC (CLASS A) ........................ 161,247 10,000 oLCI INTERNATIONAL, INC ............ 313,750 2,900 oMACROMEDIA, INC ................... 63,437 2,800 oMASTEC, INC ....................... 70,700 4,500 oMFS COMMUNICATIONS CO, INC ........ 169,312 1,100 oNETCOM ON-LINE COMMUNICATION SERVICE, INC ..................... 29,700 3,400 oNETWORK EQUIPMENT TECHNOLOGIES, INC ................ 72,250 10,700 oNEW WORLD COMMUNICATIONS GROUP, INC ....................... 156,487 35,100 oNOVELL, INC ....................... 487,012 4,800 oOCTEL COMMUNICATIONS CORP ......... 94,800 1,500 oP-COM, INC ........................ 47,250 12,300 oPAGING NETWORK, INC ............... 295,200 2,200 oPAIRGAIN TECHNOLOGIES, INC ........ 136,400 3,200 oPICTURETEL CORP (NEW) ............. 126,000 2,600 oPREMISYS COMMUNICATIONS, INC ...... 158,600 4,500 oQUALCOMM, INC ..................... 239,062 7,900 SCIENTIFIC-ATLANTA, INC ........... 122,450 6,400 oTECH DATA CORP .................... 139,200 8,300 oTELLABS, INC ...................... 555,062 6,400 oVANGUARD CELLULAR SYSTEMS, INC .... 139,200 ------------ 15,044,543 ------------ COMPUTER SERVICE--3.45% 400 o3DO CO ............................ 4,250 4,100 oACXIOM CORP ....................... 139,912 5,100 oADAPTEC, INC ...................... 241,612 7,500 oADC TELECOMMUNICATIONS, INC ....... 337,500 6,372 ADOBE SYSTEMS, INC ................ 228,595 6,825 oAMERICAN MANAGEMENT SYSTEMS, INC .. 199,631 4,200 oAUSPEX SYSTEMS, INC ............... 63,000 34,000 AUTOMATIC DATA PROCESSING, INC .... 1,313,250 400 oBANYAN SYSTEMS, INC ............... 2,900 20,045 oBAY NETWORKS, INC ................. 516,158 1,700 oBBN CORP .......................... 36,975 4,800 oBISYS GROUP, INC .................. 181,200 4,900 oBMC SOFTWARE, INC ................. 292,775 2,200 oBORLAND INTERNATIONAL, INC ........ 20,075 1,400 oBOSTON TECHNOLOGY, INC ............ 23,625 1,300 oBRODERBUND SOFTWARE, INC .......... 41,925 2,900 oC-CUBE MICROSYSTEMS, INC .......... 95,700 8,125 oCADENCE DESIGN SYSTEMS, INC ....... 274,218 4,500 oCAMBRIDGE TECHNOLOGY PARTNERS, INC 137,250 1,300 oCDW COMPUTER CENTERS, INC ......... 90,350 7,300 oCERIDIAN CORP ..................... 368,650 3,000 oCHEYENNE SOFTWARE, INC ............ 57,750 4,200 oCOMPUSA, INC ...................... 143,325 20,100 COMPUTER ASSOCIATES INTERNATIONAL, INC ............... 1,432,125 5,500 oCOMPUTER SCIENCES CORP ............ 411,125 3,400 oCOMPUWARE CORP .................... 134,300 4,000 oCONTINUM, INC ..................... 232,000 2,400 oCYRIX CORP ........................ 41,400 1,200 oDAVIDSON & ASSOCIATES, INC ........ 36,000 3,900 oELECTRONIC ARTS, INC .............. 104,325 35,700 oELECTRONIC DATA SYSTEMS CORP ...... 1,918,875 22,900 oEMC CORP .......................... 426,512 3,100 oEXABYTE CORP ...................... 40,493 22,274 FIRST DATA CORP ................... 1,773,567 6,400 oFISERV, INC ....................... 192,000 1,600 oFTP SOFTWARE, INC ................. 13,200 8,400 HBO & CO .......................... 569,100 15,900 oINFORMIX CORP ..................... 357,750 267 oINTEGRATED SYSTEMS CONSULTING GROUP ............................ 5,206 2,700 oINTEGRATED SYSTEMS, INC ........... 108,168 7,400 oINTERGRAPH CORP ................... 89,725 3,500 oINTUIT, INC ....................... 165,375 3,200 oLANDMARK GRAPHICS CORP ............ 61,600 1,200 oMEDIC COMPUTER SYSTEMS, INC ....... 97,350 7,600 oMENTOR GRAPHICS CORP .............. 123,500 4,000 oMICROCHIP TECHNOLOGY, INC ......... 99,000 2,100 oMICRON ELECTRONICS, INC ........... 25,725 39,600 oMICROSOFT CORP .................... 4,756,950 4,200 NATIONAL DATA CORP ................ 143,850 4,200 oNETMANAGE, INC .................... 46,200 5,600 oNETWORK GENERAL CORP .............. 120,400 56,725 oORACLE CORP ....................... 2,237,092 13,000 oPARAMETRIC TECHNOLOGY CORP ........ 563,875 2,400 oPEOPLESOFT, INC ................... 171,000 2,800 oPHYSICIAN COMPUTER NETWORK, INC ... 32,375 6,600 oPLATINUM TECHNOLOGY, INC .......... 99,825 2,400 oPOLICY MANAGEMENT SYSTEMS CORP .... 120,000 1,400 oPROGRESS SOFTWARE CORP ............ 22,925 1,700 oRATIONAL SOFTWARE CORP ............ 91,375 4,200 oREAD-RITE CORP .................... 59,325 5,000 REYNOLDS & REYNOLDS CO (CLASS A) .. 266,250 2,000 oSAFEGUARD SCIENTIFICS, INC ........ 156,000 1,900 oSECURITY DYNAMICS TECHNOLOGIES, INC 156,275 2,000 SEI CORP .......................... 42,250 2,400 SHARED MEDICAL SYSTEMS CORP ....... 154,200 2,800 oSHIVA CORP ........................ 224,000 2,000 oSIERRA ON-LINE, INC ............... 87,750 3,900 oSOFTKEY INTERNATIONAL, INC ........ 73,856 2,800 oSTERLING SOFTWARE, INC ............ 215,600 2,700 oSTRUCTURAL DYNAMICS RESEARCH CORP . 59,400 7,200 oSYBASE, INC ....................... 170,100 See notes to financial statements. -53- SHARES VALUE ------ ----- COMPUTER SERVICE (CONTINUED) 5,300 oSYMANTEC CORP .....................$ 66,250 4,700 oSYNOPSYS, INC ..................... 186,825 2,250 SYSTEM SOFTWARE ASSOCIATES, INC ... 38,250 1,200 oSYSTEMSOFT CORP ................... 56,400 2,700 oZEBRA TECHNOLOGY CORP ............. 47,925 ------------ 23,735,570 ------------ CONGLOMERATES--1.98% 14,100 ALCO STANDARD CORP ................ 638,025 8,300 ALEXANDER & BALDWIN, INC .......... 200,237 31,500 ALLIED SIGNAL, INC ................ 1,799,437 6,200 AMERICAN FINANCIAL GROUP, INC ..... 186,775 7,800 oANIXTER INTERNATIONAL, INC ........ 116,025 6,800 oCOLTEC INDUSTRIES, INC ............ 96,900 5,050 oCONCORD EFS, INC .................. 179,275 7,800 oCOPYTELE, INC ..................... 68,250 3,600 CRANE CO .......................... 147,600 15,100 ITT INDUSTRIES, INC ............... 379,387 5,000 JOHNSON CONTROLS, INC ............. 347,500 1,300 KEYSTONE FINANCIAL, INC ........... 43,550 5,200 oLITTON INDUSTRIES, INC ............ 226,200 9,300 LOEWS CORP ........................ 733,537 8,399 MARK IV INDUSTRIES, INC ........... 190,027 45,200 MINNESOTA MINING & MANUFACTURING CO ................. 3,118,800 17,800 ROCKWELL INTERNATIONAL CORP ....... 1,019,050 4,100 oSCHULLER CORP ..................... 42,537 1,100 STANDEX INTERNATIONAL CORP ........ 31,350 5,000 TELEDYNE, INC ..................... 180,625 8,000 TEXTRON, INC ...................... 639,000 7,500 TRW, INC .......................... 674,062 17,600 TYCO INTERNATIONAL LTD ............ 717,200 13,300 UNITED TECHNOLOGIES CORP .......... 1,529,500 14,100 WHITMAN CORP ...................... 340,162 ------------ 13,645,011 ------------ CONSTRUCTION--MATERIALS & BUILDERS--0.61% 4,600 ARMSTRONG WORLD INDUSTRIES, INC ... 265,075 1,200 oCASTLE & COOKE, INC ............... 19,200 1,900 oCDI CORP .......................... 64,125 4,300 CENTEX CORP ....................... 133,837 4,200 oCHAMPION ENTERPRISES, INC ......... 87,675 7,793 CLAYTON HOMES, INC ................ 155,860 11,700 DEBARTOLO REALTY CORP ............. 188,662 3,800 FASTENAL CO ....................... 165,300 4,900 FLEETWOOD ENTERPRISES, INC ........ 151,900 3,700 oJACOBS ENGINEERING GROUP, INC ..... 97,587 600 JUSTIN INDUSTRIES, INC ............ 7,875 6,200 KAUFMAN & BROAD HOME CORP ......... 89,900 10,247 LAFARGE CORP ...................... 207,501 4,650 LENNAR CORP ....................... 116,250 2,300 MANUFACTURED HOME COMMUNITIES, INC ................. 44,275 18,700 MASCO CORP ........................ 565,675 900 MEDUSA CORP ....................... 27,900 7,000 OAKWOOD HOMES CORP ................ 144,375 6,100 oOWENS CORNING CO .................. 262,300 700 PLY-GEM INDUSTRIES, INC ........... 9,537 3,300 PULTE CORP ........................ 88,275 9,400 SHERWIN-WILLIAMS CO ............... 437,100 15,000 SIMON PROPERTY GROUP, INC ......... 367,500 3,900 oSOLA INTERNATIONAL, INC ........... 112,125 300 TEXAS INDUSTRIES, INC ............. 20,587 6,200 oUSG CORP .......................... 172,825 3,000 VULCAN MATERIALS CO ............... 178,125 ------------ 4,181,346 ------------ CONTAINERS--0.13% 5,779 BALL CORP ......................... 166,146 9,800 CROWN CORK & SEAL CO, INC ......... 441,000 6,500 oGAYLORD CONTAINER CO .............. 50,781 14,100 oOWENS ILLINOIS, INC ............... 225,600 1,100 WEST CO, INC ...................... 33,000 ------------ 916,527 ------------ COSMETICS--0.64% 1,200 ALBERTO CULVER CO (CLASS B) ....... 55,650 15,400 AVON PRODUCTS, INC ................ 694,925 600 oBUSH BOAKE ALLEN, INC ............. 13,050 4,700 CARTER WALLACE, INC ............... 68,737 48,900 GILLETTE CO ....................... 3,050,137 10,500 INTERNATIONAL FLAVORS & FRAGRANCES, INC .................. 500,062 ------------ 4,382,561 ------------ ELECTRICAL EQUIPMENT--3.30% 7,200 oAMERICAN POWER CONVERSION CORP .... 73,800 7,400 AMETEK, INC ....................... 160,950 1,800 BALDOR ELECTRIC CO ................ 40,500 6,700 BELDEN, INC ....................... 201,000 4,000 oCOMPUTER PRODUCTS, INC ............ 68,500 2,800 oCOMVERSE TECHNOLOGY, INC .......... 85,400 12,200 DURACELL INTERNATIONAL, INC ....... 526,125 24,900 EMERSON ELECTRIC CO ............... 2,250,337 4,100 EXIDE CORP ........................ 99,425 185,100 GENERAL ELECTRIC CO ............... 16,011,150 4,600 GENERAL SIGNAL CORP ............... 174,225 5,100 GRAINGER (W.W.), INC .............. 395,250 14,800 HONEYWELL, INC .................... 806,600 2,725 HUBBELL, INC (CLASS B) ............ 180,531 1,700 JUNO LIGHTING, INC ................ 28,900 2,300 oMAGNETEK, INC ..................... 22,137 2,400 oOAK INDUSTRIES, INC (NEW) ......... 71,100 3,300 oSANMINA CORP ...................... 89,100 3,700 oSYMBOL TECHNOLOGIES, INC .......... 164,650 2,200 oTCSI CORP ......................... 53,075 7,400 THOMAS & BETTS CORP ............... 277,500 47,200 WESTINGHOUSE ELECTRIC CORP ........ 885,000 ------------ 22,665,255 ------------ ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED--2.90% 14,300 oADVANCED MICRO DEVICES, INC ....... 194,837 4,300 oALTERA CORP ....................... 163,400 25,200 AMP, INC .......................... 1,011,150 4,600 oAMPHENOL CORP (CLASS A) ........... 105,800 12,725 oANALOG DEVICES, INC ............... 324,487 1,000 oAPPLIED INNOVATION, INC ........... 10,875 6,337 oARROW ELECTRONICS, INC ............ 273,283 8,300 oATMEL CORP ........................ 250,037 1,600 AUGAT, INC ........................ 30,600 5,900 AVNET, INC ........................ 248,537 1,700 oBURR BROWN CORP ................... 30,175 6,700 oCIRRUS LOGIC, INC ................. 117,250 135 oCYBERGUARD CORP ................... 2,328 7,600 oCYPRESS SEMICONDUCTOR CORP ........ 91,200 7,100 DALLAS SEMICONDUCTOR CORP ......... 128,687 3,800 FISHER SCIENTIFIC INTERNATIONAL, INC ............... 142,500 12,700 oGENERAL INSTRUMENT CORP (NEW) ..... 366,712 1,100 HELIX TECHNOLOGY CORP ............. 42,625 7,600 oINTEGRATED DEVICE TECHNOLOGY, INC . 80,750 92,500 INTEL CORP ........................ 6,792,968 4,800 oINTERNATIONAL RECTIFIER CORP ...... 77,400 5,100 oKEMET CORP ........................ 102,000 4,700 oKENT ELECTRONICS CORP ............. 146,875 See notes to financial statements. -54- SHARES VALUE ------ ----- ELECTRICAL EQUIPMENT-- COMPONENTS DIVERSIFIED (CONTINUED) 2,700 oLAM RESEARCH CORP ................. $ 70,200 3,300 oLATTICE SEMICONDUCTOR ............. 79,612 8,200 LINEAR TECHNOLOGY CO .............. 246,000 13,100 oLSI LOGIC CORP .................... 340,600 5,900 oMARSHALL INDUSTRIES, INC .......... 165,200 6,800 oMAXIM INTEGRATED PRODUCTS ......... 185,725 8,200 METHODE ELECTRONICS, INC (CLASS A) 139,400 17,600 MICRON TECHNOLOGY, INC ............ 455,400 11,625 MOLEX, INC ........................ 369,093 66,500 MOTOROLA, INC ..................... 4,181,187 1,000 oMYLEX CORP ........................ 17,750 13,900 oNATIONAL SEMICONDUCTOR CORP ....... 215,450 1,950 PIONEER-STANDARD ELECTRONICS, INC . 25,837 7,000 oS3, INC ........................... 86,187 2,700 oSIERRA SEMICONDUCTOR CORP ......... 31,387 20,900 TEXAS INSTRUMENTS, INC ............ 1,042,387 3,400 oTRIMBLE NAVIGATION LTD ............ 65,450 7,300 oU.S. ROBOTICS CORP ................ 624,150 3,900 oVICOR CORP ........................ 90,675 6,497 oVISHAY INTERTECHNOLOGY, INC ....... 153,491 1,800 oVITESSE SEMICONDUCTOR CORP ........ 43,200 3,700 oVLSI TECHNOLOGY, INC .............. 51,337 5,200 oWESTERN DIGITAL CORP .............. 135,850 2,600 WYLE ELECTRONICS .................. 86,125 7,000 oXILINX, INC ....................... 222,250 3,600 oZILOG, INC ........................ 86,400 ------------ 19,944,819 ------------ ELECTRICAL EQUIPMENT-- INSTRUMENTS--0.38% 19,300 oAPPLIED MATERIALS, INC ............ 588,650 4,100 BECKMAN INSTRUMENTS, INC (NEW) .... 155,800 1,800 oCOHERENT, INC ..................... 93,600 3,300 oDESTEC ENERGY, INC ................ 42,075 3,300 oDIONEX CORP ....................... 106,425 1,600 oELECTROGLAS, INC .................. 22,800 3,000 oELECTRONICS FOR IMAGING, INC ...... 208,125 1,700 oEPIC DESIGN TECHNOLOGY, INC ....... 42,925 4,800 oINPUT/OUTPUT, INC ................. 155,400 5,500 oKLA INSTRUMENT CORP ............... 127,875 1,900 oKULICHE & SOFFA INDUSTRIES, INC ... 27,787 12,600 oLORAL SPACE & COMMUNICATIONS LTD .. 171,675 2,600 oLTX CORP .......................... 16,250 4,700 PERKIN-ELMER CORP ................. 226,775 2,700 oSILICON VALLEY GROUP, INC ......... 50,625 3,700 TEKTRONIX, INC .................... 165,575 2,300 oTENCOR INSTRUMENTS ................ 43,412 7,800 oTERADYNE, INC ..................... 134,550 3,175 oTHERMO INSTRUMENT SYSTEMS, INC .... 102,393 1,600 VARIAN ASSOCIATES, INC ............ 82,800 1,900 X RITE, INC ....................... 28,975 ------------ 2,594,492 ------------ ENVIRONMENTAL CONTROL--0.58% 11,300 oALLIED WASTE INDUSTRIES, INC ...... 100,287 21,500 BROWNING FERRIS INDUSTRIES, INC ... 623,500 11,200 OGDEN CORP ........................ 203,000 800 oOMEGA ENVIRONMENTAL, INC .......... 1,750 12,700 oREPUBLIC INDUSTRIES, INC .......... 369,887 4,300 oSANIFILL, INC ..................... 211,775 4,100 oU.S. FILTER CORP .................. 142,475 9,250 oU.S.A. WASTE SERVICES, INC ........ 274,031 6,800 oUNITED WASTE SYSTEMS, INC ......... 219,300 11,200 WHEELABRATOR TECHNOLOGIES, INC (NEW) .......... 170,800 50,400 WMX TECHNOLOGIES, INC ............. 1,650,600 ------------ 3,967,405 ------------ FINANCIAL--MISCELLANEOUS--3.92% 5,000 ADVANTA CORP (CLASS A) ............ 255,000 2,100 ALEX BROWN, INC ................... 118,650 5,800 oAMBAC, INC ........................ 302,325 53,600 AMERICAN EXPRESS CO ............... 2,391,900 25,200 AMERICAN GENERAL CORP ............. 916,650 3,600 AMERICAN HEALTH PROPERTIES, INC ... 79,650 5,400 oAMRESCO, INC ...................... 92,475 12,000 ASTORIA FINANCIAL CORP ............ 325,500 2,500 AVALON PROPERTIES, INC ............ 54,375 5,540 BEACON PROPERTIES CORP ............ 141,962 12,244 BEAR STEARNS COS, INC ............. 289,264 6,300 BENEFICIAL CORP ................... 353,587 7,300 oCAL FED BANCORP, INC .............. 133,225 4,900 CAPSTEAD MORTGAGE CORP ............ 136,587 1,500 CASE CORP ......................... 72,000 13,900 oCATELLUS DEVELOPMENT CORP ......... 126,837 1,300 CBL & ASSOCIATES PROPERTIES, INC .. 29,087 2,800 CMAC INVESTMENT CORP .............. 161,000 3,800 oCOAST SAVINGS FINANCIAL, INC ...... 124,450 6,600 COLLECTIVE BANCORP, INC ........... 155,925 5,850 COMDISCO, INC ..................... 155,756 1,400 COMMERCIAL FEDERAL CORP ........... 53,550 11,548 COUNTRYWIDE CREDIT INDUSTRIES, INC 285,813 2,900 oCREDIT ACCEPTANCE CORP ............ 60,900 8,200 CWM MORTGAGE HOLDINGS, INC ........ 139,400 16,100 DEAN WITTER DISCOVER & CO ......... 921,725 4,600 DEVELOPERS DIVERSIFIED REALTY CORP 146,625 3,600 DUKE REALTY INVESTMENTS, INC ...... 108,900 7,500 EDWARDS (A.G.), INC ............... 203,437 6,600 EQUITY RESIDENTIAL PROPERTIES TRUST CO ......................... 216,975 19,700 FEDERAL HOME LOAN MORTGAGE CORP ... 1,684,350 121,500 FEDERAL NATIONAL MORTGAGE ASSOCIATION ............. 4,070,250 1,200 FINANCIAL SECURITY ASSURANCE HOLDINGS LTD ..................... 32,850 3,200 FINOVA GROUP, INC ................. 156,000 9,100 FIRST FINANCIAL CORP (WISCONSIN) .. 204,750 6,100 FIRST USA, INC .................... 335,500 19,064 FRANCHISE FINANCE CORP OF AMERICA . 438,472 5,700 FRANKLIN RESOURCES, INC ........... 347,700 4,300 oGARTNER GROUP, INC (CLASS A) (NEW) 157,487 5,700 GENERAL GROWTH PROPERTIES, IND .... 137,512 9,800 oGLENDALE FEDERAL SAVINGS BANK, INC (NEW) .......... 177,625 2,800 GLIMCHER REALTY TRUST ............. 47,250 4,600 GOLDEN WEST FINANCIAL CORP ........ 257,600 9,577 GREAT WESTERN FINANCIAL CORP ...... 228,650 15,700 GREEN TREE FINANCIAL CORP ......... 490,625 10,900 H.F. AHMANSON & CO ................ 294,300 12,700 HEALTH AND RETIREMENT PROPERTY TRUST ................... 219,075 2,400 HIGHWOODS PROPERTIES, INC ......... 66,300 10,505 HOUSEHOLD INTERNATIONAL, INC ...... 798,380 12,820 LEHMAN BROTHERS HOLDINGS, INC ..... 317,295 3,700 oLEUCADIA NATIONAL CORP ............ 90,650 21,450 MBNA CORP ......................... 611,325 6,300 oMEDAPHIS CORP ..................... 250,425 11,300 MEDITRUST CORP .................... 377,137 15,250 MERCURY FINANCE CO ................ 194,437 18,100 MERRILL LYNCH & CO, INC ........... 1,178,762 7,015 MERRY LAND & INVESTMENT CO, INC ... 147,315 9,600 MORGAN STANLEY GROUP, INC ......... 471,600 13,327 NEW PLAN REALTY TRUST ............. 281,532 3,000 oOLYMPIC FINANCIAL LTD ............. 69,000 See notes to financial statements. -55- SHARES VALUE ------ ----- FINANCIAL--MISCELLANEOUS (CONTINUED) 11,100 PAINE WEBBER GROUP INC ............ $ 263,625 800 oPEC ISRAEL ECONOMIC CORP .......... 14,500 5,500 PENNCORP FINANCIAL GROUP, INC ..... 174,625 3,700 PIONEER GROUP, INC ................ 98,975 3,200 PMI GROUP, INC .................... 136,000 3,600 POST PROPERTIES, INC .............. 127,350 5,800 PRICE (T. ROWE) ASSOCIATES, INC ... 178,350 6,900 PUBLIC STORAGE, INC ............... 142,312 2,750 QUICK & REILLY GROUP, INC ......... 89,375 3,000 RESOURCE MORTGAGE CAPITAL CORP .... 67,500 4,200 RFS HOTEL INVESTORS, INC .......... 65,100 14,900 ROOSEVELT FINANCIAL GROUP, INC .... 286,825 11,500 SALOMON, INC ...................... 506,000 10,900 SCHWAB (CHARLES) CORP ............. 267,050 10,700 SECURITY CAPITAL PACIFIC TRUST .... 232,725 5,400 SPIEKER PROPERTIES, INC ........... 147,150 5,500 STUDENT LOAN MARKETING ASSOCIATION 407,000 5,200 TCF FINANCIAL CORP ................ 172,900 3,950 THE MONEY STORE, INC .............. 87,393 7,800 TIG HOLDINGS, INC ................. 226,200 8,200 UNITED ASSET MANAGEMENT CORP ...... 200,900 3,980 UNITED COS FINANCIAL CORP ......... 135,320 15,318 UNITED DOMINION REALTY TRUST CO ... 220,196 ------------ 26,935,055 ------------ FOODS--2.27% 58,355 ARCHER DANIELS MIDLAND CO ......... 1,116,039 14,800 CAMPBELL SOUP CO .................. 1,043,400 7,294 CARDINAL HEALTH, INC .............. 526,079 6,300 CHIQUITA BRANDS INTERNATIONAL, INC 81,900 26,500 CONAGRA, INC ...................... 1,202,437 15,900 CPC INTERNATIONAL, INC ............ 1,144,800 7,500 DEAN FOODS CO ..................... 185,625 5,100 DOLE FOOD, INC .................... 219,300 700 DREYERS GRAND ICE CREAM, INC ...... 22,050 840 oEARTHGRAINS CO .................... 27,510 9,500 FLOWERS INDUSTRIES, INC ........... 153,187 17,700 GENERAL MILLS, INC ................ 964,650 9,400 oGENERAL NUTRITION COS, INC ........ 164,500 35,350 HEINZ (H.J.) CO ................... 1,073,756 5,500 HERSHEY FOODS CORP ................ 403,562 7,200 oHORMEL FOODS CORP ................. 192,600 10,600 IBP, INC .......................... 292,825 4,000 INTERSTATE BAKERIES CORP .......... 107,000 13,100 KELLOGG CO ........................ 959,575 6,300 LANCE, INC ........................ 103,950 10,200 MCCORMICK & CO, INC ............... 225,675 10,500 NABISCO HOLDINGS CORP (CLASS A) ... 371,437 3,200 oNATURES SUNSHINE PRODUCTS, INC .... 81,600 700 oNBTY, INC ......................... 7,043 7,700 PIONEER-HI-BRED INTERNATIONAL, INC 407,137 16,000 QUAKER OATS CO .................... 546,000 8,900 oRALCORP HOLDINGS, INC ............. 183,562 11,400 RALSTON PURINA GROUP .............. 731,025 6,900 RICHFOOD HOLDINGS, INC ............ 224,250 53,000 SARA LEE CORP ..................... 1,715,875 3,100 oSMITHFIELD FOODS, INC ............. 78,275 388 SMITH'S FOOD & DRUG CENTERS, INC (CLASS B) ........................ 9,263 924 TOOTSIE ROLL INDUSTRIES, INC ...... 32,917 9,500 TYSON FOODS, INC .................. 260,062 4,500 UNIVERSAL FOODS CORP .............. 165,937 350 WLR FOODS, INC .................... 4,900 11,000 WRIGLEY (WM) JR CO ................ 555,500 ------------ 15,585,203 ------------ FOREST PRODUCTS--0.49% 5,000 BOISE CASCADE CORP ................ 183,125 9,200 CHAMPION INTERNATIONAL CORP ....... 384,100 11,300 oCOLLINS & AIKMAN CORP ............. 67,800 9,900 GEORGIA-PACIFIC CORP .............. 702,900 13,900 LOUISIANA PACIFIC CORP ............ 307,537 4,200 POTLATCH CORP ..................... 164,325 5,700 RAYONIER, INC ..................... 216,600 1,100 TJ INTERNATIONAL, INC ............. 19,800 22,000 WEYERHAEUSER CO ................... 935,000 6,000 WILLAMETTE INDUSTRIES, INC ........ 357,000 ------------ 3,338,187 ------------ HEALTHCARE--DRUGS--5.65% 1,000 oAGOURON PHARMACEUTICALS, INC ...... 39,000 3,000 oALLIANCE PHARMACEUTICAL CORP ...... 49,500 8,800 oALZA CORP ......................... 240,900 70,200 AMERICAN HOME PRODUCTS CORP ....... 4,220,775 29,000 oAMGEN, INC ........................ 1,566,000 7,750 ARBOR DRUGS, INC .................. 161,781 4,000 oATHENA NEUROSCIENCES, INC ......... 68,500 6,160 BERGEN BRUNSWIG CORP (CLASS A) .... 170,940 3,300 oBIOGEN, INC ....................... 181,087 924 BLOCK DRUG, INC (CLASS A) ......... 38,808 54,900 BRISTOL MYERS SQUIBB CO ........... 4,941,000 600 oCELLPRO, INC ...................... 10,800 7,200 oCENTOCOR, INC ..................... 215,100 2,700 oCEPHALON, INC ..................... 53,325 2,132 oCHIRON CORP ....................... 208,936 200 oCOPLEY PHARMACEUTICAL, INC ........ 2,650 1,100 oCOR THERAPEUTICS, INC ............. 12,512 2,200 oCYGNUS, INC ....................... 33,550 2,100 oDURA PHARMACEUTICALS, INC ......... 117,600 1,800 oENZO BIOCHEMICAL, INC ............. 30,825 6,200 oFOREST LABORATORIES, INC .......... 239,475 600 oGENSIA, INC ....................... 3,037 3,500 oGENZYME CORP ...................... 175,875 81 oGENZYME CORP (TISSUE REPAIR DIVISION) ......... 951 3,900 oGILEAD SCIENCES, INC .............. 98,475 7,300 oIMMUNEX CORP NEW .................. 99,462 3,100 oINTERNEURON PHARMACEUTICALS, INC .. 93,000 4,000 oISIS PHARMACEUTICALS, INC ......... 75,000 12,192 IVAX CORP ......................... 193,548 600 oLIGAND PHARMACEUTICALS CO (CLASS A) 9,975 51,338 LILLY (ELI) & CO .................. 3,336,970 3,600 oLIPOSOME CO, INC .................. 67,500 2,400 oMATRIX PHARMACEUTICALS, INC ....... 43,200 6,300 MCKESSON CORP (NEW) ............... 300,037 137,100 MERCK & CO, INC ................... 8,860,087 14,550 MYLAN LABORATORIES, INC ........... 250,987 1,200 oNEUROGEN CORP ..................... 30,900 3,100 oNEXSTAR PHARMACEUTICALS, INC ...... 68,975 1,700 oPDT, INC .......................... 56,100 71,400 PFIZER, INC ....................... 5,096,175 49,045 PHARMACIA & UPJOHN, INC ........... 2,176,371 400 oPROTEIN DESIGN LABORATORIES, INC .. 9,000 4,700 RHONE-POULENC RORER, INC .......... 315,487 1,900 oROBERTS PHARMACEUTICAL CORP ....... 38,237 3,600 oSCHERER (R.P.) CORP ............... 163,350 40,500 SCHERING-PLOUGH CORP .............. 2,541,375 2,400 oSEPRACOR, INC ..................... 36,000 3,500 oSEQUUS PHARMACEUTICALS, INC ....... 69,617 2,200 oSOMATOGEN, INC .................... 31,075 4,000 oTHERMEDICS, INC ................... 100,000 1,900 oU.S. BIOSCIENCE, INC .............. 25,887 3,000 oVERTEX PHARMACEUTICALS, INC ....... 91,125 29,700 WARNER-LAMBERT CO ................. 1,633,500 See notes to financial statements. -56- SHARES VALUE ------ ----- HEALTHCARE--DRUGS (CONTINUED) 3,888 oWATSON PHARMACEUTICALS, INC .......$ 147,258 ------------ 38,841,600 ------------ HEALTHCARE--HOSPITAL SUPPLY--2.14% 88,300 ABBOTT LABORATORIES CO ............ 3,841,050 6,400 BARD (C.R.), INC .................. 217,600 30,200 BAXTER INTERNATIONAL, INC ......... 1,426,950 6,700 BECTON DICKINSON & CO ............. 537,675 1,300 oCNS, INC .......................... 31,525 2,300 DENTSPLY INTERNATIONAL, INC (NEW) . 97,750 6,871 GUIDANT CORP ...................... 338,396 2,300 oGULF SOUTH MEDICAL SUPPLY, INC .... 89,700 3,300 oHAEMONETICS CORP .................. 60,225 3,200 oISOLYSER CO, INC .................. 38,400 149,410 JOHNSON & JOHNSON CO .............. 7,395,795 6,300 oNABI, INC ......................... 59,850 5,800 OWENS & MINOR, INC (NEW) .......... 67,425 4,600 oPATTERSON DENTAL CO ............... 166,750 3,700 oPHYSICIAN SALES & SERVICE, INC .... 89,725 1,900 oSOFAMOR DANEK GROUP, INC .......... 52,725 1,000 oTECNOL MEDICAL PRODUCTS, INC ...... 19,250 5,400 U.S. SURGICAL CORP ................ 167,400 1,900 oVENTRITEX, INC .................... 32,537 ------------ 14,730,728 ------------ HEALTHCARE--OTHER--0.95% 1,700 oACCESS HEALTH, INC ................ 80,325 3,800 oACUSON CORP ....................... 60,800 2,000 oADVANCED TECHNOLOGY LABORATORIES, INC ................ 73,000 5,500 oADVANCED TISSUE SCIENCE CO ........ 88,687 7,800 ALLERGAN, INC ..................... 306,150 4,300 oAMERICAN MEDICAL RESPONSE, INC .... 151,575 1,200 ARROW INTERNATIONAL, INC .......... 32,400 3,900 oBALLARD MEDICAL PRODUCTS CO ....... 74,587 6,400 BAUSCH & LOMB, INC ................ 272,000 13,000 oBIOMET, INC ....................... 186,875 10,691 oBOSTON SCIENTIFIC CORP ............ 481,095 8,900 oCAREMARK INTERNATIONAL, INC ....... 224,725 5,178 oCORAM HEALTHCARE CORP ............. 21,359 4,100 oCOVENTRY CORP ..................... 64,575 1,200 oDATASCOPE CORP .................... 21,300 400 DIAGNOSTIC PRODUCTS CORP .......... 15,400 4,500 oGENESIS HEALTH VENTURES, INC ...... 141,187 3,900 HILLENBRAND INDUSTRIES, INC ....... 145,275 1,900 oHUMAN GENOME SCIENCES, INC ........ 69,825 4,100 oIDEXX LABORATORIES, INC ........... 160,925 3,100 KINETIC CONCEPTS, INC ............. 48,050 25,600 MEDTRONIC, INC .................... 1,433,600 3,400 MENTOR CORP ....................... 86,700 3,000 oNELLCOR PURITAN BENNETT, INC ...... 145,500 7,500 oOXFORD HEALTH PLANS, INC .......... 308,437 13,200 PALL CORP ......................... 318,450 3,600 oPHYSICIAN RELIANCE NETWORK, INC ... 80,100 3,600 oPLAYTEX PRODUCTS, INC ............. 33,750 400 oQUANTUM HEALTH RESOURCES, INC ..... 6,800 7,550 oST. JUDE MEDICAL, INC ............. 252,925 4,210 oSTERIS CORP ....................... 134,720 9,000 STEWART ENTERPRISES, INC (CLASS A) 281,250 7,900 oSTRYKER CORP ...................... 179,725 4,250 oSUMMIT TECHNOLOGY, INC ............ 59,500 2,200 oSUNRISE MEDICAL, INC .............. 42,350 9,700 oSYBRON INTERNATIONAL CORP ......... 242,500 1,200 oTARGET THERAPEUTICS, INC .......... 49,200 1,800 oTHERMO CARDIOSYSTEMS, INC ......... 80,550 1,500 oTHERMOTREX CORP ................... 73,875 ------------ 6,530,047 ------------ HEALTHCARE--SERVICE--1.62% 3,100 oAMERISOURCE HEALTH CORP (CLASS A) . 103,075 5,800 oAPRIA HEALTHCARE GROUP, INC ....... 181,975 11,700 oBEVERLY ENTERPRISES CO ............ 140,400 2,900 oCERNER CORP ....................... 61,987 1,800 oCOASTAL PHYSICIAN GROUP, INC ...... 12,375 49,837 COLUMBIA/HCA HEALTHCARE CORP ...... 2,660,049 3,500 oCOMMUNITY HEALTH SYSTEMS, INC ..... 181,125 1,000 oCOMMUNITY PSYCHIATRIC CENTERS ..... 9,500 4,796 oFHP INTERNATIONAL CORP ............ 131,290 4,300 oFOUNDATION HEALTH CORP ............ 154,262 2,600 oFOXMEYER HEALTH CORP .............. 38,675 5,650 oHEALTH CARE & RETIREMENT CORP ..... 134,187 11,062 oHEALTH MANAGEMENT ASSOCIATES, INC (CLASS A) (NEW) .................. 224,005 3,500 oHEALTH MANAGEMENT SYSTEMS, INC .... 111,125 6,900 oHEALTH SYSTEMS INTERNATIONAL, INC . 187,162 3,800 oHEALTHCARE COMPARE CO ............. 185,250 6,200 oHEALTHSOURCE, INC ................. 108,500 14,645 oHEALTHSOUTH CORP .................. 527,220 5,917 oHORIZON/CMS HEALTHCARE CORP ....... 76,181 16,500 oHUMANA, INC ....................... 294,937 4,200 oINTEGRATED HEALTH SERVICES, INC ... 99,750 2,300 oINTEGRATED SILICON SOLUTION, INC .. 26,450 5,900 INVACARE CORP ..................... 138,650 20,080 oLABORATORY CORP OF AMERICA HOLDINGS ......................... 150,600 244 oLABORATORY CORP OF AMERICA HOLDINGS WTS 4/28/00 ............. 122 3,900 oLINCARE HOLDINGS, INC ............. 153,075 3,700 oLIVING CENTERS OF AMERICA, INC .... 127,187 5,200 oMAGELLAN HEALTH SERVICES, INC ..... 111,800 5,600 MANOR CARE, INC ................... 220,500 4,000 oMARINER HEALTH GROUP, INC ......... 73,500 3,100 oMAXICARE HEALTH PLANS, INC ........ 58,512 3,200 oMEDPARTNERS/MULLIKIN, INC ......... 66,800 4,600 oMID ATLANTIC MEDICAL SERVICES, INC 65,550 825 MORRISON FRESH COOKING, INC ....... 4,331 1,100 MORRISON HEALTH CARE, INC ......... 15,400 4,050 oMULTICARE COS, INC ................ 76,950 7,100 oNOVACARE, INC ..................... 54,137 2,200 OMEGA HEALTHCARE INVESTORS, INC ... 60,775 5,000 OMNICARE, INC ..................... 132,500 6,100 oORNDA HEALTHCORP .................. 146,400 2,000 oORTHODONTIC CENTERS OF AMERICA, INC 53,000 500 oPACIFICARE HEALTH SYSTEMS, INC (CLASS A) ......................... 33,000 1,900 oPACIFICARE HEALTH SYSTEMS, INC (CLASS B) ......................... 128,725 5,625 oPHYCOR, INC ........................ 213,750 5,000 oPHYSICIAN CORP OF AMERICA .......... 66,250 3,200 oRENAL TREATMENT CENTERS, INC ....... 92,000 4,100 oROTECH MEDICAL CORP ................ 79,950 150 oSALICK HEALTH CARE, INC NEW ........ 5,812 2,000 oSIERRA HEALTH SERVICES, INC ........ 63,000 7,500 oSUN HEALTHCARE GROUP, INC .......... 106,875 22,720 oTENET HEALTHCARE CORP .............. 485,640 16,000 U.S. HEALTHCARE, INC ............... 880,000 17,100 UNITED HEALTHCARE CORP ............. 863,550 5,900 oUNIVERSAL HEALTH SERVICES, INC ..... 154,137 5,798 oVALUE HEALTH, INC .................. 136,977 6,015 oVENCOR, INC ........................ 183,457 1,500 oVISX, INC .......................... 51,187 6,000 oVIVRA, INC ......................... 197,250 934 oWELLPOINT HEALTH NETWORKS, INC ..... 29,187 ------------ 11,130,016 ------------ See notes to financial statements. -57- SHARES VALUE ------ ----- HOUSEHOLD--CONSUMER ELECTRONICS--0.03% 3,250 oHARMAN INTERNATIONAL INDUSTRIES, INC .................. $ 160,062 4,400 oZENITH ELECTRONICS CORP ........... 53,350 ------------ 213,412 ------------ HOUSEHOLD--DURABLE GOODS--0.40% 800 BASSETT FURNITURE INDUSTRIES, INC . 21,400 10,000 BLACK & DECKER CORP ............... 386,250 3,900 oBOYD GAMING CORP .................. 58,500 5,800 oGENTEX CORP ....................... 113,100 11,400 LEGGETT & PLATT, INC .............. 316,350 13,400 MAYTAG CO ......................... 279,725 17,700 NEWELL COS, INC ................... 542,062 14,500 SHAW INDUSTRIES, INC .............. 190,312 8,200 STANLEY WORKS CO .................. 243,950 10,600 SUNBEAM CORP ...................... 156,350 8,800 WHIRLPOOL CORP .................... 436,700 ------------ 2,744,699 ------------ HOUSEHOLD--PRODUCTS--1.53% 900 APTARGROUP, INC ................... 27,225 4,000 CLOROX CO ......................... 354,500 15,800 COLGATE PALMOLIVE CO .............. 1,339,050 10,600 DIAL CORP ......................... 303,425 1,200 oFIRST ALERT, INC .................. 4,800 6,300 FIRST BRANDS CORP ................. 170,100 700 oGIBSON GREETINGS, INC ............. 9,625 3,700 LANCASTER COLONY CORP ............. 138,287 11,200 oPERRIGO CO ........................ 126,000 6,300 PREMARK INTERNATIONAL, INC ........ 116,550 75,400 PROCTER & GAMBLE CO ............... 6,833,125 17,500 RUBBERMAID, INC ................... 476,875 3,800 oSCOTTS CO (CLASS A) ............... 66,500 3,700 STANHOME, INC ..................... 98,050 4,600 TAMBRANDS, INC .................... 188,025 6,300 oTUPPERWARE CORP ................... 266,175 ------------ 10,518,312 ------------ INSURANCE--BROKERS & OTHER--0.35% 1,700 oABR INFORMATION SERVICES, INC ..... 85,425 8,300 ALEXANDER & ALEXANDER SERVICES, INC .................... 163,925 17,900 EQUIFAX, INC ...................... 469,875 1,000 GALLAGHER (ARTHUR J.) & CO ........ 32,000 4,400 JOHN ALDEN FINANCIAL CORP ......... 97,350 5,300 LIFE PARTNERS GROUP, INC .......... 120,575 8,600 MARSH & MCLENNAN COS, INC ......... 829,900 5,600 MBIA, INC ......................... 436,100 6,700 oQUORUM HEALTH GROUP, INC .......... 176,712 ------------ 2,411,862 ------------ INSURANCE--LIFE--0.66% 500 AMERICAN NATIONAL INSURANCE CO .... 32,500 10,900 AON CORP .......................... 553,175 3,100 BERKLEY (W.R.) CORP ............... 129,425 4,700 CONSECO, INC ...................... 188,000 8,300 EQUITABLE COS, INC ................ 206,462 2,100 EQUITABLE IOWAS COS (NEW) ......... 74,550 8,000 FIRST COLONY CORP ................. 248,000 8,750 JEFFERSON-PILOT CORP .............. 451,718 2,700 PROVIDENT COS, INC ................ 99,900 11,100 PROVIDIAN CORP .................... 475,912 8,400 RELIANCE GROUP HOLDINGS, INC ...... 63,000 5,100 RELIASTAR FINANCIAL CORP .......... 219,937 4,600 SUNAMERICA, INC ................... 259,900 8,900 TORCHMARK CORP .................... 389,375 8,500 UNUM CORP ......................... 529,125 8,400 USLIFE CORP ....................... 276,150 4,600 VESTA INSURANCE GROUP, INC ........ 153,525 9,300 WESTERN NATIONAL CORP ............. 170,887 ------------ 4,521,541 ------------ INSURANCE--MULTI-LINE, PROPERTY & CASUALTY--2.96% 6,700 o20TH CENTURY INDUSTRIES ........... 111,387 13,300 oAETNA LIFE & CASUALTY CO .......... 950,950 15,750 AFLAC, INC ........................ 470,531 1,500 ALLMERICA PROPERTY & CASUALTY COS, INC ......................... 40,500 47,228 ALLSTATE CORP ..................... 2,154,777 5,800 AMERICAN BANKERS INSURANCE GROUP, INC ....................... 253,025 43,650 AMERICAN INTERNATIONAL GROUP, INC . 4,304,981 6,500 AMERICAN RE CORP .................. 291,687 20,600 CHUBB CORP ........................ 1,027,425 7,900 CIGNA CORP ........................ 931,212 4,903 CINCINNATI FINANCIAL CORP ......... 281,309 800 oCNA FINANCIAL CORP ................ 82,400 5,900 FREMONT GENERAL CORP .............. 135,700 8,900 GENERAL REINSURANCE CORP .......... 1,355,025 2,800 HARTFORD STEAM BOILER & INSURANCE CO ..................... 137,550 5,800 HCC INSURANCE HOLDINGS, INC ....... 130,500 850 oHIGHLANDS INSURANCE GROUP, INC .... 15,937 4,100 HORACE MANN EDUCATORS CORP ........ 130,175 800 oINSURANCE AUTO AUCTIONS, INC ...... 8,000 13,900 ITT HARTFORD GROUP, INC ........... 740,175 12,200 LINCOLN NATIONAL CORP ............. 564,250 2,400 MERCURY GENERAL CORP (NEW) ........ 105,000 6,400 MGIC INVESTMENT CORP .............. 359,200 6,300 NAC RE CORP ....................... 211,050 700 NATIONAL RE CORP .................. 26,425 6,200 OHIO CASUALTY CORP ................ 215,450 12,150 oOLD REPUBLIC INTERNATIONAL CORP ... 261,225 7,600 PROGRESSIVE CORP .................. 351,500 15,300 SAFECO CORP ....................... 541,237 9,300 ST. PAUL COS, INC NOTES ........... 497,550 8,000 TRANSAMERICA CORP ................. 648,000 51,900 TRAVELERS GROUP, INC .............. 2,367,937 7,200 oUNITED INSURANCE COS, INC ......... 163,800 4,600 UNITRIN, INC ...................... 216,200 14,600 USF&G CORP ........................ 239,075 1,100 oZURICH REINSURANCE CENTRE HOLDINGS, INC .................... 34,650 ------------ 20,355,795 ------------ LEISURE TIME--1.49% 2,900 oACCLAIM ENTERTAINMENT, INC ........ 27,912 2,000 oANCHOR GAMING CO .................. 120,500 2,600 ARCTCO, INC ....................... 32,500 600 oARGOSY GAMING CORP ................ 4,425 500 oATARI CORP ........................ 2,875 4,700 AUTHENTIC FITNESS CORP ............ 87,537 1,500 oAUTOTOTE CORP (CLASS A) ........... 3,093 4,800 oBALLY ENTERTAINMENT CORP .......... 132,000 850 oBALLY TOTAL FITNESS HOLDING CORP .. 3,718 13,800 BRUNSWICK CORP .................... 276,000 6,400 CALLAWAY GOLF CO .................. 212,800 450 oCASINO AMERICA, INC ............... 3,712 500 oCASINO MAGIC CORP ................. 2,750 2,390 oCHRIS CRAFT INDUSTRIES, INC ....... 105,160 11,800 oCIRCUS CIRCUS ENTERPRISES, INC .... 483,800 75,226 DISNEY (WALT) CO .................. 4,729,834 3,850 oGRAND CASINOS, INC ................ 99,137 See notes to financial statements. -58- SHARES VALUE ------ ----- LEISURE TIME(Continued) 4,000 oGTECH HOLDINGS CORP ............... $ 118,500 11,000 oHARRAHS ENTERTAINMENT, INC ........ 310,750 8,800 HASBRO, INC ....................... 314,600 2,800 oHOLLYWOOD ENTERTAINMENT CORP ...... 43,400 1,000 oHOLLYWOOD PARK, INC ............... 9,625 13,700 INTERNATIONAL GAME TECHNOLOGY CO .. 231,187 6,700 oITT CORP (NEW) .................... 443,875 6,500 JOSTENS, INC ...................... 128,375 31,556 MATTEL, INC ....................... 903,290 9,400 oMIRAGE RESORT, INC ................ 507,600 100 oNATIONAL LODGING CORP ............. 1,600 3,000 OUTBOARD MARINE CORP .............. 54,375 3,250 oPLAYERS INTERNATIONAL, INC ........ 31,687 400 oPRESIDENT CASINOS, INC ............ 675 2,400 oPRIMADONNA RESORTS, INC ........... 55,200 2,900 oREGAL CINEMAS, INC ................ 132,675 2,300 oSCIENTIFIC GAMES HOLDINGS CORP .... 66,700 3,100 SHOWBOAT, INC ..................... 93,387 3,100 oSPEEDWAY MOTORSPORTS, INC ......... 79,437 10,000 oSPELLING ENTERTAINMENT GROUP, INC . 76,250 800 oSPORTS & RECREATION, INC .......... 7,300 6,700 oSTATION CASINOS, INC .............. 96,312 1,800 oSTRUM RUGER & CO, INC ............. 83,700 4,600 oWMS INDUSTRIES, INC ............... 113,275 ------------ 10,231,528 ------------ MACHINERY--1.60% 5,600 AGCO CORP ......................... 155,400 4,050 oBJ SERVICES CO .................... 142,256 160 oBJ SERVICES CO WTS 4/13/00 ........ 2,120 3,700 BRIGGS & STRATTON CORP ............ 152,162 4,600 BW/IP HOLDING, INC ................ 87,400 21,500 CATERPILLAR, INC .................. 1,456,625 5,500 CINCINNATI MILACRON, INC .......... 132,000 3,100 oCOGNEX CORP ....................... 49,987 3,757 oCOOPER CAMERON CORP ............... 164,368 12,730 COOPER INDUSTRIES, INC ............ 528,295 29,300 DEERE & CO ........................ 1,172,000 2,700 DELTA & PINE LAND CO .............. 114,075 13,100 DOVER CORP ........................ 604,237 5,800 DURIRON, INC ...................... 139,200 7,400 FEDERAL SIGNAL CORP ............... 173,900 2,500 oFMC CORP (NEW) .................... 163,125 1,500 oFSI INTERNATIONAL, INC ............ 18,937 2,700 GATX CORP ......................... 130,275 6,000 GIDDINGS & LEWIS, INC ............. 97,500 5,900 GOULDS PUMPS, INC ................. 151,187 1,300 GREENFIELD INDUSTRIES, INC ........ 42,900 5,200 HARNISCHFEGER INDUSTRIES, INC ..... 172,900 2,400 HARSCO CORP ....................... 161,400 10,600 ILLINOIS TOOL WORKS, INC .......... 716,825 12,300 INGERSOLL-RAND CO ................. 538,125 900 oINTEGRATED PROCESS EQUIPMENT CORP . 18,675 2,100 oINTERVOICE, INC ................... 41,737 2,300 JLG INDUSTRIES, INC ............... 170,775 900 KAYDON CORP ....................... 38,700 4,247 KENNAMETAL, INC ................... 144,398 4,600 KEYSTONE INTERNATIONAL, INC ....... 95,450 6,800 MASCOTECH, INC .................... 100,300 2,600 MEASUREX CORP ..................... 76,050 2,600 oMOLTEN METAL TECHNOLOGY, INC ...... 76,700 200 NORDSON CORP ...................... 11,300 1,400 oNOVELLUS SYSTEMS, INC ............. 50,400 8,750 PARKER-HANNIFIN CORP .............. 370,781 800 ROPER INDUSTRIES, INC (NEW) ....... 39,000 4,300 STEWART & STEVENSON SERVICES, INC . 97,825 80 oSTRATTEC SECURITY CORP ............ 1,420 7,700 SUNDSTRAND CORP ................... 282,012 5,700 TECUMSEH PRODUCTS CO (CLASS A) .... 306,375 700 TELEFLEX, INC ..................... 33,425 14,550 oTHERMO ELECTRON CORP .............. 605,643 4,665 TIMKEN CO ......................... 180,768 700 TORO CO ........................... 23,187 800 TRIMAS CORP ....................... 18,700 6,200 TRINITY INDUSTRIES, INC ........... 210,800 4,300 TRINOVA CORP ...................... 143,512 1,900 oULTRATECH STEPPER, INC ............ 35,625 5,000 oVARITY CORP (NEW) ................. 240,625 1,800 WATTS INDUSTRIES, INC (CLASS A) ... 33,525 5,700 YORK INTERNATIONAL CORP ........... 294,975 ------------ 11,009,882 ------------ METALS--ALUMINIUM--0.24% 5,500 oACX TECHNOLOGIES, INC ............. 109,312 5,100 oALUMAX, INC ....................... 154,912 16,900 ALUMINUM CO OF AMERICA ............ 969,637 7,400 oKAISER ALUMINUN CORP .............. 81,400 6,700 REYNOLDS METALS CO ................ 349,237 ------------ 1,664,498 ------------ METALS--GOLD--0.27% 12,100 oAMAX GOLD, INC .................... 66,550 12,800 BATTLE MOUNTAIN GOLD CO ........... 92,800 4,500 COEUR DALENE MINES CORP ........... 82,687 17,692 FREEPORT MCMORAN COPPER & GOLD, INC (CLASS A) .............. 528,548 1,333 FREEPORT-MCMORAN COPPER & GOLD INC, (CLASS B) .............. 42,489 4,791 oGETCHELL GOLD CORP ................ 158,103 16,000 HOMESTAKE MINING CO ............... 274,000 1,600 NEWMONT GOLD CO ................... 80,600 10,424 NEWMONT MINING CORP ............... 514,685 1,140 SANTA FE PACIFIC GOLD CORP ........ 16,102 ------------ 1,856,564 ------------ METALS--NON-FERROUS--0.32% 7,500 ASARCO, INC ....................... 207,187 4,100 BMC INDUSTRIES, INC ............... 117,875 1,200 BRUSH WELLMAN, INC ................ 22,800 2,300 oCOLEMAN CO, INC ................... 97,462 13,600 CYPRUS AMAX MINERALS CO ........... 307,700 3,416 FREEPORT MCMORAN, INC ............. 121,268 6,700 oHECLA MINING CO ................... 46,900 4,300 MAPCO, INC ........................ 242,412 5,400 MINERALS TECHNOLOGIES, INC ........ 184,950 3,300 oMUELLER INDUSTRIES, INC ........... 136,950 7,200 PHELPS DODGE CORP ................. 449,100 5,500 PITTSTON BRINKS GROUP CO .......... 160,187 4,500 oSTILLWATER MINING CO .............. 106,312 9,000 oSUNSHINE MINING & REFINING CO ..... 11,250 ------------ 2,212,353 ------------ METALS--STEEL--0.35% 3,600 AK STEEL HOLDINGS CORP ............ 140,850 5,300 ALLEGHENY LUDLUM CORP ............. 100,037 9,800 oARMCO, INC ........................ 49,000 13,100 oBETHLEHEM STEEL CORP .............. 155,562 6,600 BIRMINGHAM STEEL CORP ............. 108,075 2,900 CARPENTER TECHNOLOGY CORP ......... 92,800 600 CLEVELAND CLIFFS, INC ............. 23,475 6,875 HANNA (M.A.) CO ................... 143,515 6,900 INLAND STEEL INDUSTRIES, INC ...... 135,412 5,300 J & L SPECIALTY STEEL, INC ........ 78,837 See notes to financial statements. -59- SHARES VALUE ------ ----- 12,700 LTV CORP NEW ...................... 144,462 200 LUKENS, INC ....................... 4,775 9,500 NUCOR CORP ........................ 480,937 400 OREGON STEEL MILLS, INC ........... 5,500 300 ROUGE STEEL CO (CLASS A) .......... 6,450 12,400 oUNR INDUSTRIES, INC ............... 119,350 9,500 USX-US STEEL GROUP, INC ........... 269,562 3,100 oWOLVERINE TUBE, INC ............... 108,500 10,600 WORTHINGTON INDUSTRIES, INC ....... 221,275 ------------ 2,388,374 ------------ OFFICE EQUIPMENT--3.12% 10,100 oAMDAHL CORP ....................... 108,575 14,800 oAPPLE COMPUTER, INC ............... 310,800 1,800 oAPPLIED MAGNETICS CORP ............ 18,900 2,500 oASPECT TELECOMMUNICATIONS CORP .... 123,750 2,742 oAST RESEARCH, INC ................. 18,508 5,000 AVERY DENNISON CORP ............... 274,375 1,300 oBOISE CASCADE OFFICE PRODUCTS CORP 45,012 29,700 oCOMPAQ COMPUTER CORP .............. 1,462,725 3,168 oCRAY RESEARCH, INC ................ 76,428 6,800 oDATA GENERAL CORP ................. 88,400 6,900 oDELL COMPUTER CORP ................ 351,037 17,000 oDIGITAL EQUIPMENT CORP ............ 765,000 1,900 oFILENET CORP ...................... 69,350 43,900 HEWLETT-PACKARD CO ................ 4,373,537 600 HON INDUSTRIES, INC ............... 17,100 1,700 oIN FOCUS SYSTEMS, INC ............. 41,225 60,600 INTERNATIONAL BUSINESS MACHINES CORP .................... 5,999,400 12,400 oIOMEGA CORP ....................... 359,600 4,400 oKOMAG, INC ........................ 116,050 1,800 oMICROCOM, INC ..................... 22,725 4,200 MILLER (HERMAN), INC .............. 128,625 19,100 PITNEY BOWES, INC ................. 912,025 6,700 oQUANTUM CORP ...................... 97,987 3,600 oSCI SYSTEMS, INC .................. 146,250 11,100 oSEAGATE TECHNOLOGY, INC ........... 499,500 5,700 oSEQUENT COMPUTER SYSTEMS, INC ..... 76,950 19,100 oSILICON GRAPHICS, INC ............. 458,400 4,900 oSOLECTRON CORP .................... 185,587 6,300 oSTORAGE TECHNOLOGY CORP ........... 240,975 4,200 oSTRATUS COMPUTER, INC ............. 121,800 20,200 oSUN MICROSYSTEMS, INC ............. 1,189,275 17,300 oTANDEM COMPUTERS, INC ............. 214,087 21,000 oUNISYS CORP ....................... 149,625 9,600 oVIKING OFFICE PRODUCTS, INC ....... 301,200 5,400 oWANG LABORATORIES, INC ............ 101,925 37,500 XEROX CORP ........................ 2,006,250 ------------ 21,472,958 ------------ PAPER--1.06% 5,500 ALBANY INTERNATIONAL CORP (CLASS A) (NEW) .................. 124,437 4,300 oBED BATH & BEYOND, INC ............ 115,025 6,800 BEMIS, INC ........................ 238,000 3,900 BOWATER, INC ...................... 146,737 5,000 CARAUSTAR INDUSTRIES, INC ......... 132,500 3,800 CHESAPEAKE CORP ................... 99,750 3,000 CONSOLIDATED PAPERS, INC .......... 156,000 270 oCROWN VANTAGE, INC ................ 3,915 4,200 oFORT HOWARD CORP .................. 83,475 4,600 GLATFELTER (P.H.) CO .............. 84,525 32,948 INTERNATIONAL PAPER CO ............ 1,214,957 8,200 JAMES RIVER CORP OF VIRGINIA ...... 216,275 8,000 oJEFFERSON SMURFIT CORP ............ 87,000 30,044 KIMBERLY-CLARK CORP ............... 2,320,899 7,500 LONGVIEW FIBRE CO ................. 127,500 6,200 MEAD CORP ......................... 321,625 8,000 PENTAIR, INC ...................... 240,000 1,900 oSHOREWOOD PACKAGING CORP .......... 29,212 11,630 SONOCO PRODUCTS CO ................ 330,001 8,700 STONE CONTAINER CORP .............. 119,625 6,400 TEMPLE-INLAND, INC ................ 299,200 8,100 UNION CAMP CORP ................... 394,875 3,425 WAUSAU PAPER MILLS CO ............. 67,643 11,050 WESTVACO CORP ..................... 330,118 ------------ 7,283,294 ------------ PETROLEUM-- EXPLORATION & PRODUCTION--0.87% 9,100 AMERADA HESS CORP ................. 487,987 5,800 ANADARKO PETROLEUM CORP ........... 336,400 9,300 APACHE CORP ....................... 305,737 8,100 ASHLAND, INC ...................... 320,962 6,300 oBARNETT RESOURCES CORP ............ 187,425 4,100 oBENTON OIL & GAS CO ............... 90,200 15,900 BURLINGTON RESOURCES, INC ......... 683,700 1,000 oCHESAPEAKE ENERGY CORP ............ 89,875 1,200 DEVON ENERGY CORP ................. 29,400 4,900 ENRON OIL & GAS CO ................ 136,587 6,200 KERR-MCGEE CORP ................... 377,425 4,700 LOUISIANA LAND & EXPLORATION CO ... 270,837 2,200 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS A) .... 42,350 3,800 MURPHY OIL CORP ................... 172,425 2,400 oNEWFIELD EXPLORATION CO ........... 93,300 5,500 NOBLE AFFILIATES, INC ............. 207,625 4,700 oNUEVO ENERGY CO ................... 151,575 14,700 oORYX ENERGY CO .................... 238,875 6,000 PARKER & PARSLEY PETROLEUM CO ..... 166,500 7,900 PENNZOIL CO ....................... 365,375 3,900 POGO PRODUCING CO ................. 148,687 19,100 oSANTA FE ENERGY RESOURCES, INC .... 226,812 4,700 oSEAGULL ENERGY CORP ............... 117,500 600 SOUTHDOWN INC ..................... 14,100 825 oTEJAS GAS CORP .................... 28,668 4,100 oTRITON ENERGY LTD ................. 199,362 9,500 UNION TEXAS PETROLEUM HOLDINGS, INC 185,250 4,800 oUNITED MERIDIAN CORP .............. 172,800 6,100 VINTAGE PETROLEUM, INC ............ 155,550 ------------ 6,003,289 ------------ PETROLEUM--INTEGRATED--4.91% 55,200 AMOCO CORP ........................ 3,995,100 17,400 ATLANTIC RICHFIELD CO ............. 2,061,900 72,400 CHEVRON CORP ...................... 4,271,600 4,300 DIAMOND SHAMROCK, INC ............. 124,162 138,800 EXXON CORP ........................ 12,058,250 43,500 MOBIL CORP ........................ 4,877,437 35,000 OCCIDENTAL PETROLEUM CORP ......... 866,250 22,200 PHILLIPS PETROLEUM CO ............. 929,625 8,700 QUAKER STATE OIL REFINING CORP .... 130,500 10,200 SUN CO, INC ....................... 309,825 30,000 TEXACO, INC ....................... 2,516,250 27,388 UNOCAL CORP ....................... 924,345 32,900 USX-MARATHON GROUP, INC (NEW) ..... 662,112 ------------ 33,727,356 ------------ PETROLEUM--SERVICE--0.84% 15,100 BAKER HUGHES, INC ................. 496,412 8,700 CABOT CORP ........................ 213,150 7,300 CAMCO INTERNATIONAL, INC .......... 247,287 20,000 DRESSER INDUSTRIES, INC ........... 590,000 7,125 oENSCO INTERNATIONAL, INC .......... 231,562 See notes to financial statements. -60- SHARES VALUE ------ ----- PETROLEUM--SERVICE (CONTINUED) 8,800 FLUOR CORP ........................ 575,300 5,300 oGLOBAL INDUSTRIAL TECHNOLOGIES, INC 84,800 2,600 oGLOBAL INDUSTRIES LTD ............. 77,350 17,200 oGLOBAL MARINE, INC (NEW) .......... 238,650 12,400 HALLIBURTON CO .................... 688,200 5,000 HELMERICH & PAYNE, INC ............ 183,125 190 oMCMORAN OIL & GAS CO .............. 498 11,400 oNABORS INDUSTRIES, INC ............ 185,250 10,400 oNOBLE DRILLING CORP ............... 144,300 7,200 oREADING & BATES CORP .............. 159,300 8,700 oROWAN COS, INC .................... 128,325 4,000 oSMITH INTERNATIONAL, INC .......... 120,500 2,100 SONAT OFFSHORE DRILLING, INC ...... 106,050 5,700 TIDEWATER, INC .................... 250,087 6,749 TOSCO CORP ........................ 339,137 5,900 ULTRAMAR CORP ..................... 171,100 2,800 oVARCO INTERNATIONAL, INC .......... 50,750 6,200 oWEATHERFORD ENTERRA, INC .......... 186,000 4,900 oWESTERN ATLAS, INC ................ 285,425 ------------ 5,752,558 ------------ PHOTOGRAPHY--0.48% 39,000 EASTMAN KODAK CO .................. 3,032,250 5,500 POLAROID CORP ..................... 250,937 900 oPRESSTEK, INC ..................... 58,050 ------------ 3,341,237 ------------ PROPERTY--REAL ESTATE--0.11% 1,100 CRESCENT REAL ESTATE EQUITIES, INC 40,425 6,250 KIMCO REALTY CORP ................. 176,562 12,500 TAUBMAN CENTERS, INC .............. 139,062 5,100 oTOLL BROTHERS, INC ................ 83,512 6,800 WASHINGTON REAL ESTATE INVESTMENT TRUST ................. 113,900 3,800 WEINGARTEN REALTY INVESTORS, INC .. 147,250 3,200 WELLSFORD RESIDENTIAL PROPERTY TRUST ................... 72,000 ------------ 772,711 ------------ PUBLISHING--NEWSPAPER--0.50% 5,900 BELO (A.H.) CORP SERIES A ......... 219,775 1,100 CENTRAL NEWSPAPERS, INC (CLASS A) . 41,250 6,984 oCOX COMMUNICATIONS, INC (CLASS A) NEW .................... 151,029 7,200 DOW JONES & CO, INC ............... 300,600 14,900 GANNETT CO, INC ................... 1,054,175 4,800 KNIGHT-RIDDER, INC ................ 348,000 11,400 NEW YORK TIMES CO (CLASS A) ....... 371,925 10,000 TIMES MIRROR CO SERIES A (NEW) .... 435,000 6,100 TRIBUNE CO (NEW) .................. 443,012 2,300 oVALASSIS COMMUNICATIONS, INC ...... 42,550 200 WASHINGTON POST CO (CLASS B) ...... 64,800 ------------ 3,472,116 ------------ PUBLISHING--OTHER--0.78% 8,600 AMERICAN GREETINGS CORP (CLASS A) . 235,425 700 BOWNE & CO, INC ................... 14,437 15,500 DONNELLEY (R.R.) & SONS CO ........ 540,562 19,100 DUN & BRADSTREET CORP ............. 1,193,750 6,700 HARCOURT GENERAL, INC ............. 335,000 2,200 HOUGHTON MIFFLIN CO ............... 109,450 1,400 LEE ENTERPRISES, INC .............. 33,075 3,900 oMARVEL ENTERTAINMENT GROUP, INC ... 36,562 12,700 MCGRAW HILL COS, INC .............. 581,025 3,500 oMEREDITH CORP ..................... 146,125 11,200 READER'S DIGEST ASSOCIATION, INC (CLASS A) (NON-VTG) .............. 476,000 1,900 oSCHOLASTIC CORP ................... 117,800 39,061 TIME WARNER, INC .................. 1,533,144 ------------ 5,352,355 ------------ RAILROAD--0.94% 15,645 BURLINGTON NORTHERN SANTA FE CORP . 1,265,289 8,500 CONRAIL, INC ...................... 564,187 23,100 CSX CORP .......................... 1,114,575 6,400 ILLINOIS CENTRAL CORP SERIES A .... 181,600 4,700 KANSAS CITY SOUTHERN INDUSTRIES, INC 201,512 14,000 NORFOLK SOUTHERN CORP ............. 1,186,500 7,300 oSOUTHERN PACIFIC RAIL CORP ........ 182,500 22,100 UNION PACIFIC CORP ................ 1,544,237 6,000 oWISCONSIN CENTRAL TRANSIT CORP .... 195,000 ------------ 6,435,400 ------------ RESTAURANTS & HOTELS--1.45% 4,700 APPLE SOUTH, INC .................. 125,725 4,800 oAPPLEBEES INTERNATIONAL, INC ...... 155,400 9,300 oAZTAR CORP ........................ 106,950 11,000 BOB EVANS FARMS, INC .............. 187,000 6,500 oBOSTON CHICKEN, INC ............... 211,250 5,600 oBUFFETS, INC ...................... 68,600 3,200 oCKE RESTAURANTS, INC .............. 81,600 7,800 CRACKER BARREL OLD COUNTRY STORE, INC ....................... 189,150 20,400 DARDEN RESTAURANTS, INC ........... 219,300 60 oDAVE & BUSTERS, INC ............... 1,605 5,500 FELCOR SUITE HOTELS, INC .......... 167,750 13,300 oHFS INC ........................... 931,000 3,400 HILTON HOTELS CORP ................ 382,500 20,000 oHOST MARRIOTT CORP ................ 262,500 1,940 oHOST MARRIOTT SERVICES CORP ....... 14,065 5,700 LA QUINTA INNS, INC ............... 190,950 3,500 oLONE STAR STEAKHOUSE SALOON, INC .. 132,125 7,000 LUBYS CAFETERIA, INC .............. 164,500 14,500 MARRIOTT INTERNATIONAL, INC ....... 779,375 78,400 MCDONALDS CORP .................... 3,665,200 2,300 oMGM GRAND, INC .................... 91,712 3,700 oOUTBACK STEAKHOUSE, INC ........... 127,592 2,700 oPAPA JOHNS INTERNATIONAL, INC ..... 131,625 8,100 oPRIME HOSPITALITY CORP ............ 133,650 6,900 oPROMUS HOTEL CORP ................. 204,412 800 oRIO HOTEL & CASINO, INC ........... 12,300 2,250 RUBY TUESDAY, INC ................. 50,906 10,900 oRYANS FAMILY STEAK HOUSES, INC .... 100,825 2,200 SBARRO, INC ....................... 55,275 5,600 oSHONEYS, INC ...................... 60,900 20,100 SYSCO CORP ........................ 688,425 14,900 WENDYS INTERNATIONAL, INC ......... 277,512 ------------ 9,971,679 ------------ RETAIL--FOOD--0.73% 24,500 ALBERTSONS, INC ................... 1,013,687 13,100 AMERICAN STORES CO, (NEW) ......... 540,375 85 oBRUNOS, INC ....................... 1,179 8,205 FLEMING COS, INC .................. 117,946 44,300 FOOD LION, INC (CLASS B) .......... 343,325 7,700 GIANT FOOD, INC (CLASS A) ......... 276,237 3,300 GREAT ATLANTIC & PACIFIC TEA CO, INC ............ 108,487 4,000 HANNAFORD BROTHERS, INC ........... 130,500 10,700 oKROGER CO ......................... 422,650 112 oQUALITY FOOD CENTERS, INC ......... 2,884 2,900 RUDDICK CORP ...................... 35,525 23,500 oSAFEWAY, INC NEW .................. 775,500 21,700 oSOUTHLAND CORP .................... 65,778 See notes to financial statements. -61- SHARES VALUE ------ ----- RETAIL--FOOD (CONTINUED) 7,700 oSTARBUCKS CORP .................... $ 217,525 5,500 oSTOP & SHOP COS, INC (NEW) ........ 183,562 9,700 SUPERVALU, INC .................... 305,550 3,800 oVONS COS, INC ..................... 142,025 10,300 WINN DIXIE STORES, INC ............ 364,362 ------------ 5,047,097 ------------ RETAIL--GENERAL MERCHANDISE--4.06% 15,100 oAUTOZONE, INC ..................... 524,725 1,800 oBABY SUPERSTORE, INC .............. 29,700 2,500 oBARNES & NOBLE, INC ............... 89,687 3,400 oBEST BUY, INC ..................... 77,775 1,200 oBOMBAY, INC ....................... 7,500 5,800 oBORDERS GROUP, INC ................ 187,050 2,200 BROWN GROUP, INC .................. 38,225 3,400 oBURLINGTON COAT FACTORY WAREHOUSE CORP ................... 35,700 1,300 xoCALDOR CORP ....................... 3,412 8,600 CASEYS GENERAL STORES, INC ........ 170,925 12,800 oCHARMING SHOPPES, INC ............. 90,400 9,800 CIRCUIT CITY STORES, INC .......... 354,025 3,600 CLAIRES STORES, INC ............... 99,450 5,700 oCONSOLIDATED STORES CORP .......... 209,475 21,600 oCUC INTERNATIONAL, INC ............ 766,800 7,500 DAYTON HUDSON CORP ................ 773,437 3,600 oDEPARTMENT 56, INC ................ 81,450 12,300 DILLARD DEPARTMENT STORES (CLASS A) 448,950 10,112 DOLLAR GENERAL CORP ............... 295,776 3,000 oDOLLAR TREE STORES, INC ........... 95,250 9,700 oECKERD CORP ....................... 219,462 300 oEDISON BROTHERS STORES, INC ....... 675 1,100 oETHAN ALLEN INTERIORS, INC ........ 27,225 5,700 FAMILY DOLLAR STORES, INC ......... 99,037 23,313 oFEDERATED DEPARTMENT STORES, INC .. 795,556 7,300 FINGERHUT COS, INC ................ 114,062 14,600 oFURNITURE BRANDS INTERNATIONAL, INC 160,600 24,100 GAP, INC .......................... 774,212 3,000 oGYMBOREE CORP ..................... 91,500 1,800 oHANDLEMAN CO ...................... 12,375 1,700 HECHINGER CO (CLASS A) ............ 7,437 5,600 HEILIG MEYERS CO .................. 134,400 52,500 HOME DEPOT, INC ................... 2,835,000 6,700 oHOME SHOPPING NETWORK, IN ......... 80,400 900 oINTELLIGENT ELECTRONICS, INC ...... 7,650 2,000 oJONES APPAREL GROUP, INC .......... 98,250 54,200 oK MART CORP ....................... 670,725 7,800 oKOHLS CORP ........................ 285,675 3,200 oLANDS END, INC .................... 79,200 23,392 LIMITED, INC ...................... 502,928 1,000 LONGS DRUG STORES CORP ............ 44,625 14,400 LOWES COS, INC .................... 520,200 4,100 oMAC FRUGALS BARGAINS CLOSE-OUT, INC 72,775 26,800 MAY DEPARTMENT STORES CO .......... 1,172,500 12,000 MELVILLE CORP ..................... 486,000 2,100 oMENS WAREHOUSE, INC ............... 67,725 3,300 MERCANTILE STORES CO, INC ......... 193,462 4,500 oMEYER (FRED), INC ................. 132,187 1,000 oMICHAELS STORES, INC .............. 17,000 600 oMICROAGE, INC ..................... 8,175 1,000 oMOVIE GALLERY, INC ................ 21,000 1,700 oMUSICLAND STORES CORP ............. 5,525 5,600 NORDSTROM, INC .................... 249,200 9,600 oOFFICEMAX, INC .................... 229,200 6,696 oPAYLESS SHOESOURCE, INC ........... 212,598 21,500 PENNEY, (J.C.) CO, INC ............ 1,128,750 6,900 PEP BOYS- MANNY, MOE, & JACK CO ... 234,600 2,900 oPETRIE STORES CORP (LIQUIDATING TRUST) .............. 7,975 5,700 oPETSMART, INC ..................... 272,175 8,180 PIER 1 IMPORTS, INC ............... 121,677 23,000 oPRICE/COSTCO, INC ................. 497,375 3,650 oPROFFITTS, INC .................... 129,575 3,100 oREGIS CORP ........................ 96,875 7,100 oREVCO (D.S.), INC (NEW) ........... 169,512 2,400 oREXALL SUNDOWN, INC ............... 64,800 10,000 RITE AID CORP ..................... 297,500 2,400 ROSS STORES, INC .................. 83,400 7,000 oROUSE CO .......................... 181,125 40,800 SEARS ROEBUCK & CO ................ 1,983,900 14,700 oSERVICE MERCHANDISE, INC .......... 82,687 9,500 SOTHEBYS HOLDINGS, INC (CLASS A) .. 137,750 600 oSPIEGEL, INC (CLASS A) ............ 7,125 15,550 oSTAPLES, INC ...................... 303,225 1,000 oSTEIN MART, INC ................... 18,250 6,800 STRIDE RITE CORP .................. 56,100 6,000 oSUNGLASS HUT INTERNATIONAL, INC ... 146,250 1,400 TALBOTS, INC ...................... 45,325 6,600 TANDY CORP ........................ 312,675 3,100 oTHE SPORTS AUTHORITY, INC ......... 101,525 1,800 TIFFANY & CO NEW .................. 131,400 7,100 TJX COS, INC NEW .................. 239,625 1,000 oTOPPS, INC ........................ 5,625 28,040 oTOYS R US, INC .................... 799,140 3,800 oWABAN, INC ........................ 90,725 152,400 WAL-MART STORES, INC .............. 3,867,150 28,200 WALGREEN CO ....................... 944,700 2,900 oWILLIAMS-SONOMA, INC .............. 68,512 15,100 oWOOLWORTH CORP .................... 339,750 8,800 oZALE CORP ......................... 148,500 ------------ 27,923,531 ------------ TEXTILE & APPAREL--0.50% 2,300 oANN TAYLOR STORES CORP ............ 46,575 12,200 oBURLINGTON INDUSTRIES, INC ........ 172,325 600 CATO CORP (CLASS A) (NEW) ......... 3,600 2,600 CML GROUP, INC .................... 11,050 1,600 oCONE MILLS CORP ................... 18,000 8,900 oFRUIT OF THE LOOM, INC (CLASS A) .. 226,950 1,100 oJUST FOR FEET INC ................. 58,162 4,500 KELLWOOD CO ....................... 82,687 7,800 LIZ CLAIBORNE, INC ................ 270,075 5,400 oMOHAWK INDUSTRIES, INC ............ 95,850 5,000 oNAUTICA ENTERPRISES, INC .......... 143,750 6,000 NIKE, INC (CLASS B) ............... 616,500 2,400 oNINE WEST GROUP, INC .............. 122,700 1,300 PHILLIPS-VAN HEUSEN CORP .......... 16,575 7,000 REEBOK INTERNATIONAL LTD .......... 235,375 6,200 RUSSELL CORP ...................... 171,275 3,100 oST. JOHN KNITS, INC ............... 138,337 7,700 UNIFI, INC ........................ 216,562 6,700 VF CORP ........................... 399,487 6,400 WARNACO GROUP, INC (CLASS A) ...... 164,800 4,700 oWESTPOINT STEVENS, INC ............ 112,212 4,250 WOLVERINE WORLD WIDE, INC ......... 138,125 ------------ 3,460,972 ------------ TOBACCO--1.85% 21,400 AMERICAN BRANDS, INC .............. 971,025 4,700 DIMON, INC ........................ 86,950 92,300 PHILIP MORRIS COS, INC ............ 9,599,200 33,583 RJR NABISCO HOLDINGS CORP ......... 1,041,073 3,260 SCHWEITZER-MAUDUIT INTERNATIONAL, INC ............... 91,687 See notes to financial statements. -62- SHARES VALUE ------ ----- TOBACCO (CONTINUED) 4,000 UNIVERSAL CORP ....................$ 106,000 23,900 UST, INC .......................... 818,575 ------------ 12,714,510 ------------ TRUCKERS & SHIPPING--0.21% 5,200 oAMERICAN FREIGHTWAYS CORP ......... 57,850 4,400 APL LTD ........................... 114,950 3,000 ARNOLD INDUSTRIES, INC ............ 42,750 2,500 CALIBER SYSTEM, INC ............... 85,000 5,400 CONSOLIDATED FREIGHTWAYS, INC ..... 114,075 3,900 HUNT (J.B.) TRANSPORT SERVICES, INC 81,412 800 oLANDSTAR SYSTEM, INC .............. 23,200 200 oM.S. CARRIERS, INC ................ 4,100 1,600 OVERSEAS SHIPHOLDING GROUP, INC ... 29,000 2,100 PITTSTON BURLINGTON GROUP CO ...... 45,412 700 ROADWAY EXPRESS, INC .............. 9,887 13,600 ROLLINS TRUCK LEASING CORP ........ 141,100 10,000 RYDER SYSTEMS, INC ................ 281,250 1,500 oSWIFT TRANSPORTATION CO, INC ...... 28,687 6,100 USFREIGHTWAYS CORP ................ 118,950 6,200 WERNER ENTERPRISES, INC ........... 161,200 2,000 XTRA CORP ......................... 88,500 1,100 oYELLOW CORP ....................... 14,575 ------------ 1,441,898 ------------ UTILITIES--ELECTRIC--4.29% 6,700 oAES CORP .......................... 189,275 12,900 ALLEGHENY POWER SYSTEMS, INC ...... 398,287 18,800 AMERICAN ELECTRIC POWER CO, INC ... 801,350 12,900 ATLANTIC ENERGY, INC .............. 235,425 16,300 BALTIMORE GAS & ELECTRIC CO ....... 462,512 7,700 BOSTON EDISON CO .................. 196,350 14,900 CAROLINA POWER & LIGHT CO ......... 566,200 38,100 CENTERIOR ENERGY CORP ............. 280,987 21,400 CENTRAL & SOUTH WEST CORP ......... 620,600 1,500 CENTRAL HUDSON GAS & ELECTRIC CORP 46,875 8,500 CENTRAL MAINE POWER CO ............ 123,250 16,623 CINERGY CORP ...................... 531,936 3,700 CIPSCO, INC ....................... 142,912 23,828 oCITIZENS UTILITIES CO (CLASS B) ... 277,000 11,300 CMS ENERGY CORP ................... 348,887 24,800 CONSOLIDATED EDISON CO OF NEW YORK, INC .................... 725,400 11,600 DELMARVA POWER & LIGHT CO ......... 243,600 18,400 DOMINION RESOURCES, INC ........... 736,000 13,900 DPL, INC .......................... 338,812 9,200 DQE, INC .......................... 253,000 15,300 DTE ENERGY CO ..................... 472,387 21,100 DUKE POWER CO ..................... 1,081,375 3,300 EASTERN UTILITIES ASSOCIATION CO .. 64,762 46,500 EDISON INTERNATIONAL CO ........... 819,562 11,800 ENOVA CORP ........................ 272,875 23,600 ENTERGY CORP (NEW) ................ 669,650 10,500 FLORIDA PROGRESS CORP ............. 364,875 19,000 FPL GROUP, INC .................... 874,000 12,400 GENERAL PUBLIC UTILITIES CORP ..... 437,100 6,300 HAWAIIAN ELECTRIC INDUSTRIES, INC . 223,650 24,900 HOUSTON INDUSTRIES, INC ........... 613,162 6,200 IDAHO POWER CO .................... 192,975 4,900 IES INDUSTRIES, INC ............... 146,387 9,600 ILLINOVA CORP ..................... 276,000 9,200 IPALCO ENTERPRISES, INC ........... 241,500 8,300 KANSAS CITY POWER & LIGHT CO ...... 228,250 4,000 KU ENERGY CORP .................... 119,500 15,300 LONG ISLAND LIGHTING CO ........... 256,275 11,700 LOUISVILLE GAS & ELECTRIC ENERGY CORP ...................... 267,637 16,300 MIDAMERICAN ENERGY CO ............. 281,175 2,700 MINNESOTA POWER & LIGHT CO ........ 78,300 11,100 MONTANA POWER CO .................. 246,975 10,700 NEVADA POWER CO ................... 235,400 8,400 NEW ENGLAND ELECTRIC SYSTEMS CO ... 305,550 11,000 NEW YORK STATE ELECTRIC & GAS CORP 268,125 20,600 oNIAGARA MOHAWK POWER CORP ......... 159,650 7,200 NIPSCO INDUSTRIES, INC ............ 289,800 14,100 NORTHEAST UTILITIES CO ............ 188,587 7,500 NORTHERN STATES POWER CO .......... 370,312 17,400 OHIO EDISON CO .................... 380,625 4,500 OKLAHOMA GAS & ELECTRIC CO ........ 178,312 44,100 PACIFIC GAS & ELECTRIC CO ......... 1,025,325 32,700 PACIFICORP ........................ 727,575 23,500 PECO ENERGY CO .................... 611,000 10,300 PINNACLE WEST CAPITAL CORP ........ 312,862 6,000 PORTLAND GENERAL CORP ............. 185,250 11,400 POTOMAC ELECTRIC POWER CO ......... 302,100 16,100 PP&L RESOURCES, INC ............... 380,362 7,700 PUBLIC SERVICE CO OF COLORADO ..... 282,975 9,600 PUBLIC SERVICE CO OF NEW MEXICO ... 196,800 26,100 PUBLIC SERVICE ENTERPRISE GROUP, INC ............ 714,487 10,200 PUGET SOUND POWER & LIGHT CO ...... 247,350 9,800 ROCHESTER GAS & ELECTRIC CORP ..... 210,700 12,400 SCANA CORP ........................ 348,750 10,100 SIERRA PACIFIC RESOURCES .......... 256,287 71,000 SOUTHERN CO ....................... 1,748,375 4,600 SOUTHWESTERN PUBLIC SERVICE CO .... 150,075 14,600 TECO ENERGY, INC .................. 368,650 23,800 TEXAS UTILITIES CO ................ 1,017,450 4,940 oTUCSON ELECTRIC POWER CO. ......... 66,690 21,800 UNICOM CORP ....................... 607,675 10,600 UNION ELECTRIC CO ................. 426,650 1,500 UNITED ILLUMINATING CO ............ 56,062 8,997 UTILICORP UNITED, INC ............. 248,542 11,900 WASHINGTON WATER POWER CO ......... 221,637 8,800 WESTERN RESOURCES, INC ............ 262,900 13,300 WISCONSIN ENERGY CORP ............. 384,037 ------------ 29,483,957 ------------ UTILITIES--GAS & PIPELINE--1.26% 10,800 AGL RESOURCES, INC ................ 203,850 10,100 oAMERICAN STANDARD COS, INC ........ 333,300 7,900 BROOKLYN UNION GAS CO ............. 215,275 1,400 CABOT OIL & GAS CORP (CLASS A) .... 24,325 9,300 oCALENERGY, INC .................... 237,150 6,500 COASTAL CORP ...................... 271,375 6,000 COLUMBIA GAS SYSTEMS, INC ......... 312,750 10,300 CONSOLIDATED NATURAL GAS CO ....... 538,175 1,200 EASTERN ENTERPRISES CO ............ 39,900 5,500 EL PASO NATURAL GAS CO (NEW) ...... 211,750 24,000 ENRON CORP ........................ 981,000 9,500 ENSERCH CORP ...................... 206,625 7,700 EQUITABLE RESOURCES, INC .......... 217,525 1,600 INDIANA ENERGY, INC ............... 45,800 2,500 oIONICS, INC ....................... 117,500 800 KN ENERGY, INC .................... 26,800 9,000 MCN CORP .......................... 219,375 2,300 NATIONAL FUEL GAS CO .............. 82,800 8,100 NICOR, INC ........................ 229,837 12,872 NORAM ENERGY CORP ................. 139,983 5,196 ONEOK, INC ........................ 129,900 10,200 PACIFIC ENTERPRISES, INC .......... 302,175 16,100 PANENERGY CORP .................... 529,287 4,600 PEOPLES ENERGY CORP ............... 154,100 See notes to financial statements. -63- SHARES VALUE ------ ----- UTILITIES--GAS & PIPELINE (CONTINUED) 1,746 PIEDMONT NATURAL GAS CO, INC ..... $ 40,376 2,500 oPRIMARK CORP ..................... 81,562 5,800 QUESTAR CORP ..................... 197,200 9,200 SONAT, INC ....................... 414,000 4,600 SOUTHWEST GAS CORP ............... 73,600 1,300 SOUTHWESTERN ENERGY CO ........... 18,362 19,930 TENNECO, INC ..................... 1,018,921 6,010 UGI CORP NEW ..................... 132,220 6,600 VALERO ENERGY CORP ............... 165,000 6,400 WASHINGTON ENERGY CO ............. 126,400 500 WESTERN GAS RESOURCES, INC ....... 8,125 1,500 WICOR, INC ....................... 56,625 11,145 WILLIAMS COS, INC ................ 551,677 ------------ 8,654,625 ------------ UTILITIES--TELEPHONE--6.73% 1,200 oADTRAN, INC ...................... 85,050 22,600 ALLTEL CORP ...................... 694,950 3,700 oAMERICAN MOBILE SATELLITE CORP ... 57,350 62,300 AMERITECH CORP (NEW) ............. 3,699,062 178,700 AT & T CORP ...................... 11,079,400 49,000 BELL ATLANTIC CORP ............... 3,123,750 111,700 BELLSOUTH CORP ................... 4,733,287 4,600 oC-TEC CORP ....................... 136,850 7,500 oCINCINNATI BELL, INC ............. 390,937 18,000 FRONTIER CORP .................... 551,250 6,687 oGLENAYRE TECHNOLOGIES, INC ....... 334,350 109,100 GTE CORP ......................... 4,882,225 9,500 LINCOLN TELECOMMUNICATIONS CO .... 155,562 77,900 MCI COMMUNICATIONS CORP .......... 1,996,187 7,200 oMOBILE TELECOMMUNICATIONS TECHNOLOGIES CORP ............... 105,300 15,600 oNEXTEL COMMUNICATIONS, INC (CLASS A) ....................... 297,375 49,600 NYNEX CORP ....................... 2,356,000 47,400 PACIFIC TELESIS GROUP CO ......... 1,599,750 68,800 SBC COMMUNICATIONS, INC .......... 3,388,400 9,400 SOUTHERN NEW ENGLAND TELECOMMUNICATIONS CORP ......... 394,800 44,100 SPRINT CORP ...................... 1,852,200 7,852 TELEPHONE & DATA SYSTEMS, INC .... 353,340 3,400 oU.S. LONG DISTANCE CORP .......... 120,700 52,900 U.S. WEST COMMUNICATIONS GROUP, INC 1,686,187 54,400 oU.S. WEST MEDIA GROUP, INC ....... 992,800 21,829 oWORLDCOM, INC .................... 1,208,780 ------------ 46,275,842 ------------ TOTAL COMMON STOCK (COST $599,611,230) .............. 680,500,027 ------------ PRINCIPAL --------- SHORT TERM INVESTMENTS--1.83% BANKERS ACCEPTANCES--0.07% NATIONSBANK, NA $ 500,000 5.550%, 09/25/96 .............. 493,454 ------------ COMMERCIAL PAPER--1.19% COLUMBIA/HCA HEALTHCARE CORP 700,000 #5.600%, 08/13/96 .............. 695,217 COOPER INDUSTRIES, INC 2,500,000 5.600%, 07/01/96 .............. 2,499,604 DAYTON HUDSON CORP 2,500,000 5.650%, 07/01/96 .............. 2,499,601 EL PASO NATURAL GAS CO 2,500,000 5.550%, 07/01/96 .............. 2,499,587 ------------ 8,194,009 ------------ GOVERNMENT AGENCIES--0.57% FEDERAL HOME LOAN MORTGAGE CORP 3,900,000 5.210%, 07/15/96 .............. 3,891,423 ------------ TOTAL SHORT TERM INVESTMENTS (COST $12,580,787) ................ 12,578,886 ------------ ROUNDING ....................... 216 ------------ TOTAL PORTFOLIO (COST $612,246,639) ............... $693,139,065 ============ - --------------- o NON-INCOME PRODUCING x IN BANKRUPTCY # RESTRICTED See notes to financial statements. -64- EX-27 2 FDS 6
6 0000777535 COLLEGE RETIREMENT EQUITIES FUND 2 MONEY MARKET ACCOUNT 1 6-MOS DEC-31-1996 JAN-01-1996 JUN-30-1996 3,182,396,205 3,181,097,436 34,038,968 0 0 3,215,136,404 12,885,137 0 17,942,610 30,827,747 0 0 190,807,319 193,181,428 0 0 0 0 0 3,184,308,657 0 85,717,351 0 (4,651,168) 81,066,183 (58,270) (903,460) 80,104,453 0 0 0 0 9,861,602 (12,235,711) 0 37,454,217 0 0 0 0 1,238,280 0 4,651,168 3,170,529,455 15.666 .408 (.005) 0 0 0 16.069 .150 0 0
EX-27 3 FDS 6
6 0000777535 COLLEGE RETIREMENT EQUITIES FUND 3 BOND MARKET ACCOUNT 1 6-MOS DEC-31-1996 JAN-01-1996 JUN-30-1996 880,997,632 873,214,703 31,671,650 0 451,049 905,337,402 22,475,383 0 0 22,475,383 0 0 20,954,427 19,522,467 0 0 0 0 0 882,862,019 0 30,621,033 0 (1,242,710) 29,378,323 (5,807,346) (37,726,621) (14,155,644) 0 0 0 0 1,585,666 (153,706) 0 49,477,195 0 0 0 0 314,658 0 1,242,710 858,385,450 42.689 1.436 (2.131) 0 0 0 41.994 .140 0 0
EX-27 4 FDS 6
6 0000777535 COLLEGE RETIREMENT EQUITIES FUND 4 SOCIAL CHOICE ACCOUNT 1 6-MOS DEC-31-1996 JAN-01-1996 JUN-30-1996 1,096,320,397 1,341,788,216 28,728,394 0 17,555 1,370,534,165 16,570,608 0 4,319,699 20,890,307 0 0 24,270,583 22,195,567 0 0 0 0 0 1,349,643,858 7,770,189 16,696,544 0 (1,819,344) 22,647,389 7,736,513 35,659,773 66,043,675 0 0 0 0 2,151,442 (76,426) 0 185,324,959 0 0 0 0 460,001 0 1,819,344 1,258,429,807 50.712 .928 1.810 0 0 0 53.450 .140 0 0
EX-27 5 FDS 6
6 0000777535 COLLEGE RETIREMENT EQUITIES FUND 5 GLOBAL EQUITIES ACCOUNT 1 6-MOS DEC-31-1996 JAN-01-1996 JUN-30-1996 3,419,870,791 3,856,894,641 73,514,560 0 18,259,186 3,948,668,387 75,096,025 0 164,769,411 239,865,436 0 0 76,670,097 70,162,908 0 0 0 0 0 3,708,802,951 30,119,980 3,979,112 0 (6,143,604) 27,955,488 167,290,680 102,718,262 297,964,430 0 0 0 0 6,507,189 0 0 610,007,852 0 0 0 0 2,453,365 0 6,143,604 3,403,784,166 42.958 .361 3.545 0 0 0 46.864 .180 0 0
EX-27 6 FDS 6
6 0000777535 COLLEGE RETIREMENT EQUITIES FUND 6 GROWTH ACCOUNT 1 6-MOS DEC-31-1996 JAN-01-1996 JUN-30-1996 1,521,302,658 1,767,419,997 13,667,323 0 5,197,798 1,786,285,118 16,730,420 0 0 16,730,420 0 0 43,451,031 32,375,238 0 0 0 0 0 1,769,554,698 8,800,152 1,749,930 0 (2,596,485) 7,953,597 59,144,205 91,967,334 159,065,136 0 0 0 0 11,075,793 0 0 613,125,071 0 0 0 0 1,004,154 0 2,596,485 1,456,289,067 35.310 .167 4.100 0 0 0 39.577 .180 0 0
EX-27 7 FDS 6
6 0000777535 COLLEGE RETIREMENT EQUITIES FUND 7 EQUITY INDEX ACCOUNT 1 6-MOS DEC-31-1996 JAN-01-1996 JUN-30-1996 612,246,639 693,139,065 4,665,765 0 1,457,102 699,261,932 11,679,735 0 0 11,679,735 0 0 17,192,824 10,910,656 0 0 0 0 0 687,582,197 5,762,833 334,620 0 (810,618) 5,286,835 4,149,872 38,156,043 47,592,750 0 0 0 0 6,282,168 0 0 296,704,651 0 0 0 0 215,587 0 810,618 547,399,709 35.231 .315 3.045 0 0 0 38.591 .150 0 0
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