-----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, SckOQXb7CVPb4H5ktcaMiR5K3bRcfbhZqtV90AC3ny4IhHlvjoxm2OYwpJvql68F JDUdMVYu5K2BJSepCNCcgA== 0000930413-98-000148.txt : 19980226 0000930413-98-000148.hdr.sgml : 19980226 ACCESSION NUMBER: 0000930413-98-000148 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19971231 FILED AS OF DATE: 19980224 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 SEC ACT: SEC FILE NUMBER: 811-04415 FILM NUMBER: 98548645 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 1 FORM N-30D ANNUAL REPORT ================================================================================ COLLEGE RETIREMENT EQUITIES FUND MONEY MARKET ACCOUNT GLOBAL EQUITIES ACCOUNT BOND MARKET ACCOUNT GROWTH ACCOUNT SOCIAL CHOICE ACCOUNT EQUITY INDEX ACCOUNT INFLATION-LINKED BOND ACCOUNT AUDITED FINANCIAL STATEMENTS INCLUDING STATEMENTS OF INVESTMENTS DECEMBER 31, 1997 - -------------------------------------------------------------------------------- As required by the Investment Company Act of 1940, CREF provides its participants with this year-end annual report of the financial condition and portfolio holdings of the Money Market, Bond Market, Social Choice, Global Equities, Growth, Equity Index and Inflation-Linked Bond Accounts. CREF also provides an annual report to participants in the Stock Account. Semi-annual reports are also provided each year toward the end of August. - -------------------------------------------------------------------------------- [CREF LOGO] COLLEGE RETIREMENT EQUITIES FUND MONEY MARKET ACCOUNT GLOBAL EQUITIES ACCOUNT BOND MARKET ACCOUNT GROWTH ACCOUNT SOCIAL CHOICE ACCOUNT EQUITY INDEX ACCOUNT INFLATION-LINKED BOND ACCOUNT INDEX TO AUDITED FINANCIAL STATEMENTS DECEMBER 31, 1997 - -------------------------------------------------------------------------------- PAGE ---- Report of Management Responsibility.................................. 2 Report of Independent Auditors....................................... 3 Audited Financial Statements: Statements of Assets and Liabilities............................. 4 Statements of Operations......................................... 6 Statements of Changes in Net Assets.............................. 8 Notes to Financial Statements.................................... 10 Statements of Investments: Money Market Account.......................................... 19 Bond Market Account........................................... 22 Social Choice Account......................................... 27 Global Equities Account....................................... 37 Growth Account................................................ 59 Equity Index Account.......................................... 80 Inflation-Linked Bond Account................................. 105 Participant Voting Results........................................... 106 -1- [CREF LOGO] - -------------------------------------------------------------------------------- REPORT OF MANAGEMENT RESPONSIBILITY To the Participants of College Retirement Equities Fund: The accompanying financial statements of the Money Market, Bond Market, Social Choice, Global Equities, Growth, Equity Index and Inflation-Linked Bond Accounts of College Retirement Equities Fund ("CREF") are the responsibility of management. They have been prepared in accordance with generally accepted accounting principles and have been presented fairly and objectively in accordance with such principles. CREF has established and maintains a strong system of internal controls designed to provide reasonable assurance that assets are properly safeguarded and transactions are properly executed in accordance with management's authorization, and to carry out the ongoing responsibilities of management for reliable financial statements. In addition, CREF's internal audit personnel provide a continuing review of the internal controls and operations of the CREF Accounts, and the internal Auditor regularly reports to the Audit Committee of the CREF Board of Trustees. The accompanying financial statements for 1997 have been audited by the independent auditing firm of Ernst & Young LLP. The independent auditors' report, which appears on the following page, expresses an independent opinion on the fairness of presentation of these financial statements. The Audit Committee of the CREF Board of Trustees, consisting of trustees who are not officers of CREF, meets regularly with management, representatives of Ernst & Young LLP and internal auditing personnel to review matters relating to financial reporting, internal controls and auditing. In addition to the annual audit of the financial statements of all the CREF Accounts, the New York State Insurance Department, other state insurance departments and the Securities and Exchange Commission regularly examine the financial statements of the CREF Accounts as part of their periodic corporate examinations. -------------------------------- Chairman, President and Chief Executive Officer -------------------------------- Executive Vice President and Principal Accounting Officer -2- ERNST & YOUNG LLP 787 Seventh Avenue Phone 212-773-3000 New York, New York 10019 REPORT OF INDEPENDENT AUDITORS To the Participants and Board of Trustees of College Retirement Equities Fund: We have audited the accompanying statements of assets and liabilities, including the statements of investments, of the Money Market, Bond Market, Social Choice, Global Equities, Growth, Equity Index and Inflation-Linked Bond Accounts of College Retirement Equities Fund ("CREF") as of December 31, 1997, and the related statements of operations and changes in net assets of the Money Market, Bond Market, Social Choice, Global Equities, Growth and Equity Index Accounts for the year then ended and the related statements of operations and changes in net assets of the Inflation-Linked Bond Account for the period January 13, 1997 (date established) to December 31, 1997. These financial statements are the responsibility of CREF's management. Our responsibility is to express an opinion on these financial statements based on our audits. The statements of changes in net assets for the year ended December 31, 1996 and the condensed financial information for the year then ended and periods prior thereto were audited by other auditors whose report dated February 6, 1997 expressed an unqualified opinion on these statements and condensed financial information. We conducted our audits in accordance with generally accepted auditing standards. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned at December 31, 1997, by correspondence with the custodians and brokers. An audit also includes assessing the accounting principles used and significant estimates made by management, as well as evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion. In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of the Money Market, Bond Market, Social Choice, Global Equities, Growth, Equity Index and Inflation-Linked Bond Accounts of CREF at December 31, 1997, and the results of their operations and changes in their net assets for the above stated periods in conformity with generally accepted accounting principles. /s/ ERNST & YOUNG LLP --------------------- February 6, 1998 Ernst & Young LLP is a member of Ernst & Young International, Inc. -3- COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF ASSETS AND LIABILITIES DECEMBER 31, 1997 (AMOUNTS IN THOUSANDS, EXCEPT PER ACCUMULATION UNIT AMOUNTS)
MONEY MARKET BOND MARKET ACCOUNT ACCOUNT -------------- --------------- ASSETS Portfolio investments, at cost................................................. $4,182,428 $1,666,549 Net unrealized appreciation (depreciation) of portfolio investments............ (1,040) 20,551 ---------- ---------- Portfolio investments, at value................................................ 4,181,388 1,687,100 Cash........................................................................... 1,039 1,823 Dividends and interest receivable.............................................. 18,079 17,118 Receivable from securities transactions........................................ 471 167,994 Amounts due from TIAA.......................................................... 479 1,170 --------- ---------- TOTAL ASSETS 4,201,456 1,875,205 ---------- ---------- LIABILITIES Amounts due banks.............................................................. -- -- Deposits for securities loaned--Note 4......................................... -- -- Payable for securities transactions............................................ -- 334,840 ---------- ---------- TOTAL LIABILITIES -- 334,840 ---------- ---------- NET ASSETS Accumulation Fund.............................................................. 4,056,700 1,526,188 Annuity Fund................................................................... 144,756 14,177 ---------- ---------- TOTAL NET ASSETS $4,201,456 $1,540,365 ========== ========== THOUSANDS OF ACCUMULATION UNITS OUTSTANDING--Notes 5 and 6....................... 233,116 31,654 ======= ====== NET ASSET VALUE, PER ACCUMULATION UNIT--Note 5................................... $17.40 $48.21 ====== ======
See notes to financial statements. -4-
SOCIAL CHOICE GLOBAL EQUITIES GROWTH EQUITY INDEX INFLATION-LINKED ACCOUNT ACCOUNT ACCOUNT ACCOUNT BOND ACCOUNT ------------- --------------- ---------- ---------- ------------ $ 1,756,844 $4,855,836 $3,825,057 $1,583,659 $93,524 669,548 728,975 854,472 469,726 201 ----------- ---------- ---------- ---------- ------- 2,426,392 5,584,811 4,679,529 2,053,385 93,725 321 17,576 854 118 -- 14,002 5,337 4,775 2,711 1,562 123,368 14,549 11,560 -- 510 2,831 4,640 4,949 2,161 127 ----------- ---------- ---------- ---------- ------- 2,566,914 5,626,913 4,701,667 2,058,375 95,924 ----------- ---------- ---------- ---------- ------- -- -- -- -- 344 -- 348,248 -- -- -- 248,926 11,995 10,704 15,669 -- ----------- ---------- ---------- ---------- ------- 248,926 360,243 10,704 15,669 344 ----------- ---------- ---------- ---------- ------- 2,230,926 5,076,415 4,573,356 1,987,387 94,706 87,062 190,255 117,607 55,319 874 ----------- ---------- ---------- ---------- ------- $ 2,317,988 $5,266,670 $4,690,963 $2,042,706 $95,580 =========== ========== ========== ========== ======= 30,554 84,645 80,370 35,368 3,626 ===== ====== ====== ====== ===== $73.02 $59.97 $56.90 $56.19 $26.12 ====== ====== ====== ====== ======
-5-
COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF OPERATIONS (AMOUNTS IN THOUSANDS) MONEY MARKET BOND MARKET ACCOUNT ACCOUNT ------------ ------------- YEAR ENDED DECEMBER 31, 1997 -------------------------------------------- INVESTMENT INCOME Income: Interest....................................................................... $ 225,939 $ 78,222 Dividends...................................................................... -- 432 ------------ ------------ TOTAL INCOME 225,939 78,654 ------------ ------------ Expenses--Note 3: Investment..................................................................... 1,884 796 Operating...................................................................... 9,042 2,628 ------------ ------------ TOTAL EXPENSES 10,926 3,424 ------------ ------------ INVESTMENT INCOME--NET 215,013 75,230 ------------ ------------ REALIZED AND UNREALIZED GAIN ON TOTAL INVESTMENTS--Note 4 Net realized gain (loss) on: Portfolio investments........................................................ (17) 15,277 Futures transactions......................................................... -- -- Foreign currency transactions................................................ -- -- ------------ ------------ Net realized gain (loss) (17) 15,277 ------------ ------------ Net change in unrealized appreciation (depreciation) on: Portfolio investments........................................................ 232 19,390 Futures transactions......................................................... -- -- Translation of assets (other than portfolio investments) and liabilities denominated in foreign currencies.......................... -- -- ------------ ------------ Net change in unrealized appreciation (depreciation) 232 19,390 ------------ ------------ NET REALIZED AND UNREALIZED GAIN ON TOTAL INVESTMENTS 215 34,667 ------------ ------------ NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 215,228 $ 109,897 ============ ============
See notes to financial statements. -6-
SOCIAL CHOICE GLOBAL EQUITIES GROWTH EQUITY INDEX INFLATION-LINKED ACCOUNT ACCOUNT ACCOUNT ACCOUNT BOND ACCOUNT ------------- --------------- ------------- ----------- -------------------- JANUARY 13, 1997 DATE ESTABLISHED) YEAR ENDED DECEMBER 31, 1997 TO DECEMBER 31, 1997 -------------------------------------------------------------------------------- -------------------- $ 51,664 $ 9,773 $ 8,556 $ 1,103 $ 2,755 18,999 67,513 34,164 24,212 -- --------- --------- --------- --------- --------- 70,663 77,286 42,720 25,315 2,755 --------- --------- --------- --------- --------- 1,380 7,653 4,315 1,121 56 4,317 11,036 8,231 3,207 124 --------- --------- --------- --------- --------- 5,697 18,689 12,546 4,328 180 --------- --------- --------- --------- --------- 64,966 58,597 30,174 20,987 2,575 --------- --------- --------- --------- --------- 34,533 573,598 366,867 26,768 173 -- (12,832) 7,919 446 -- -- (431) (8) -- -- --------- --------- --------- --------- --------- 34,533 560,335 374,778 27,214 173 --------- --------- --------- --------- --------- 319,331 187,759 438,521 318,205 201 -- -- (806) (58) -- -- (492) (4) -- -- --------- --------- --------- --------- --------- 319,331 187,267 437,711 318,147 201 --------- --------- --------- --------- --------- 353,864 747,602 812,489 345,361 374 --------- --------- --------- --------- --------- $ 418,830 $ 806,199 $ 842,663 $ 366,348 $ 2,949 ========= ========= ========= ========= =========
-7- COLLEGE RETIREMENT EQUITIES FUND STATEMENTS OF CHANGES IN NET ASSETS (AMOUNTS IN THOUSANDS)
MONEY MARKET ACCOUNT BOND MARKET ACCOUNT SOCIAL CHOICE ACCOUNT -------------------------- -------------------------- -------------------------- YEARS ENDED DECEMBER 31, YEARS ENDED DECEMBER 31, YEARS ENDED DECEMBER 31, -------------------------- -------------------------- -------------------------- 1997 1996 1997 1996 1997 1996 ------ ------ ------ ------ ------ ------ FROM OPERATIONS Investment income--net ................ $ 215,013 $ 170,635 $ 75,230 $ 61,573 $ 64,966 $ 48,433 Net realized gain (loss) on total investments .................. (17) 4 15,277 (3,513) 34,533 11,910 Net change in unrealized appreciation (depreciation) on total investments ........................ 232 (876) 19,390 (28,782) 319,331 140,409 ----------- ----------- ----------- ----------- ----------- ----------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS 215,228 169,763 109,897 29,278 418,830 200,752 ----------- ----------- ----------- ----------- ----------- ----------- FROM PARTICIPANT TRANSACTIONS Premiums .............................. 347,966 318,965 143,544 132,033 280,886 228,714 ----------- ----------- ----------- ----------- ----------- ----------- Disbursements and transfers: Net transfers to (from) TIAA ............................. 139,824 95,924 (5,786) (1,718) (7,155) (5,238) Net transfers to (from) other CREF Accounts .............. (344,269) (392,761) (320,553) (30,526) (75,436) (5,021) Annuity payments .................... 20,937 17,725 3,572 2,012 6,924 4,694 Withdrawals and repurchases ...................... 267,929 179,855 33,351 23,480 32,003 22,311 Death benefits ...................... 7,030 5,126 2,725 1,215 1,132 1,299 ----------- ----------- ----------- ----------- ----------- ----------- TOTAL DISBURSEMENTS AND TRANSFERS, NET 91,451 (94,131) (286,691) (5,537) (42,532) 18,045 ----------- ----------- ----------- ----------- ----------- ----------- NET INCREASE IN NET ASSETS RESULTING FROM PARTICIPANT TRANSACTIONS 256,515 413,096 430,235 137,570 323,418 210,669 ----------- ----------- ----------- ----------- ----------- ----------- NET INCREASE IN NET ASSETS 471,743 582,859 540,132 166,848 742,248 411,421 NET ASSETS Beginning of period ................... 3,729,713 3,146,854 1,000,233 833,385 1,575,740 1,164,319 ----------- ----------- ----------- ----------- ----------- ----------- End of period ......................... $ 4,201,456 $ 3,729,713 $ 1,540,365 $ 1,000,233 $ 2,317,988 $ 1,575,740 =========== =========== =========== =========== =========== ===========
See notes to financial statements. -8-
INFLATION-LINKED GLOBAL EQUITIES ACCOUNT GROWTH ACCOUNT EQUITY INDEX ACCOUNT BOND ACCOUNT ----------------------------- ----------------------------- ---------------------------- -------------------- YEARS ENDED DECEMBER 31, YEARS ENDED DECEMBER 31, YEARS ENDED DECEMBER 31, JANUARY 13, 1997 ----------------------------- ----------------------------- ---------------------------- (DATE ESTABLISHED) 1997 1996 1997 1996 1997 1996 TO DECEMBER 31, 1997 ------ ------ ------ ------ ------ ------ -------------------- $ 58,597 $ 46,685 $ 30,174 $ 18,664 $ 20,987 $ 12,450 $ 2,575 560,335 357,716 374,778 111,570 27,214 10,324 173 187,267 207,390 437,711 261,922 318,147 108,747 201 ----------- ----------- ----------- ----------- ----------- ----------- ----------- 806,199 611,791 842,663 392,156 366,348 131,521 2,949 ----------- ----------- ----------- ----------- ----------- ----------- ----------- 514,077 452,200 594,289 339,775 245,464 139,323 53,466 ----------- ----------- ----------- ----------- ----------- ----------- ----------- (9,063) (22,447) (110,601) (48,596) (62,402) (30,323) (450) 144,157 (81,429) (802,560) (523,989) (478,493) (243,573) (39,051) 15,870 11,896 9,909 4,727 4,618 2,225 100 88,942 57,495 67,977 34,267 26,448 11,191 236 6,877 4,094 2,159 1,057 860 277 -- ----------- ----------- ----------- ----------- ----------- ----------- ----------- 246,783 (30,391) (833,116) (532,534) (508,969) (260,203) (39,165) ----------- ----------- ----------- ----------- ----------- ----------- ----------- 267,294 482,591 1,427,405 872,309 754,433 399,526 92,631 ----------- ----------- ----------- ----------- ----------- ----------- ----------- 1,073,493 1,094,382 2,270,068 1,264,465 1,120,781 531,047 95,580 4,193,177 3,098,795 2,420,895 1,156,430 921,925 390,878 -- ----------- ----------- ----------- ----------- ----------- ----------- ----------- $ 5,266,670 $ 4,193,177 $ 4,690,963 $ 2,420,895 $ 2,042,706 $ 921,925 $ 95,580 =========== =========== =========== =========== =========== =========== ===========
-9- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS 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 eight investment portfolios ("Accounts"). 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; the Equity Index Account, which invests in a diversified portfolio of equity securities selected to track the overall United States stock market; and the Inflation-Linked Bond Account, which invests primarily in inflation-indexed bonds. The eighth investment portfolio of CREF, the Stock Account, which invests primarily in equity securities, is not included in these financial statements. The Inflation-Linked Bond Account was established on January 13, 1997 with a $50,000,000 investment by Teachers Insurance and Annuity Association of America ("TIAA"), a companion organization, which purchased 2,000,000 Accumulation Units at the established $25.00 initial Accumulation Unit Value. On May 1, 1997, the Inflation-Linked Bond Account was registered with the Commission under the Securities Act of 1933 and the Investment Company Act of 1940 as an additional series of CREF. On May 1, 1997, CREF began to offer Accumulation Units of the Inflation-Linked Bond Account to participants other than TIAA. TIAA's Accumulation Units share in the pro rata investment experience and are subject to the same valuation procedures and expense deductions as all other Accumulation Units in the Account. At December 31, 1997, TIAA's investment in the Inflation-Linked Bond Account remained at 2,000,000 Accumulation Units, with a total value of $52,236,800. 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. Investment Management was converted into a limited liability corporation effective January 1, 1998. 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 preparation of financial statements may require management to make estimates and assumptions that affect the reported amounts of assets, liabilities, income, expenses and related disclosures. Actual results may differ from those estimates. 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. -10- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS-(CONTINUED) NOTE 2-SIGNIFICANT ACCOUNTING POLICIES-(CONTINUED) 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 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 translated at the prevailing 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 denominated 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 the Accounts intend to purchase at a later date, or for cash management purposes to remain highly invested in the equity markets while minimizing transaction costs. The Accounts sell futures contracts for the purpose of offsetting changes in market value while withdrawing from a specific market. 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 -11- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS-(CONTINUED) NOTE 2-SIGNIFICANT ACCOUNTING POLICIES-(CONTINUED) 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 denominated in foreign currencies. 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. RESTRICTED SECURITIES: Restricted securities held by the Accounts may not be sold except in exempt transactions or in a public offering registered under the Securities Act of 1933. The risk of investing in such securities is generally greater than the risk of investing in securities which are widely held and publicly traded. FEDERAL INCOME TAXES: CREF is a nonprofit educational organization and, through December 31, 1997, was exempt from federal income taxation under the Internal Revenue Code ("Code"). Accordingly, CREF was 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 were not taxable to the organization. Any nonpension related income was subject to federal income taxation as unrelated business income; however, for the periods covered by these financial statements there was no such income. Effective January 1, 1998, as a result of recent legislation, CREF will no longer be exempt from federal income tax under Section 501(a) of the Code. Management believes that CREF should incur no material federal income tax liability as a result of this change since CREF expects that for tax purposes its Accumulation and Annuity Funds for participants will be treated as life insurance reserves; therefore, any increase in such reserves will be deductible. 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. -12- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS-(CONTINUED) NOTE 4--INVESTMENTS At December 31, 1997, the value of Global Equities Account securities loaned was $570,496,231 and collateral received in connection therewith was comprised of cash of $348,248,066, letters of credit of $115,408,122 and United States government securities amounting to $131,642,476. At December 31, 1997, net unrealized appreciation (depreciation) of portfolio investments, consisting of gross unrealized appreciation and gross unrealized depreciation, were as follows:
GROSS GROSS NET UNREALIZED UNREALIZED UNREALIZED APPRECIATION APPRECIATION OF DEPRECIATION OF (DEPRECIATION) OF PORTFOLIO PORTFOLIO PORTFOLIO INVESTMENTS INVESTMENTS INVESTMENTS --------------- --------------- ----------------- Money Market Account...................... $ 115,245 $ 1,155,568 $ (1,040,323) Bond Market Account....................... 21,639,034 1,088,155 20,550,879 Social Choice Account..................... 681,150,876 11,603,022 669,547,854 Global Equities Account................... 990,455,515 261,480,546 728,974,969 Growth Account............................ 946,938,531 92,466,113 854,472,418 Equity Index Account...................... 508,660,381 38,934,618 469,725,763 Inflation-Linked Bond Account............. 304,486 103,341 201,145
At December 31, 1997, the Growth and Equity Index Accounts held 380 and 40 open futures contracts, respectively, in the Standard & Poor's 500 Index, expiring in March 1998, with an unrealized loss of $553,687 and $58,283, respectively. -13- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS-(CONTINUED) NOTE 4-INVESTMENTS-(CONCLUDED) 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 December 31, 1997, the total value of the Global Equities Account's investments in affiliated companies was $277,509,038. For the year ended December 31, 1997, total dividend income and net realized loss relating to such investments of the Global Equities Account were $4,655,610 and $6,738,577, 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 Bond Market, Social Choice, Global Equities, Growth and Equity Index Accounts, for the year ended December 31, 1997 and for the Inflation-Linked Bond Account for the period January 13, 1997 (date established) to December 31, 1997, were as follows:
BOND MARKET SOCIAL CHOICE GLOBAL EQUITIES ACCOUNT ACCOUNT ACCOUNT ----------- ----------- ----------- Purchases: Unaffiliated issuers.......................... $4,976,520,065 $2,126,161,955 $4,963,579,210 Affiliated issuers............................ -- -- 64,566,933 -------------- -------------- -------------- TOTAL PURCHASES $4,976,520,065 $2,126,161,955 $5,028,146,143 ============== ============== ============== Sales: Unaffiliated issuers.......................... $4,514,715,691 $1,747,680,411 $4,599,226,921 Affiliated issuers............................ -- -- 57,909,515 -------------- -------------- -------------- TOTAL SALES $4,514,715,691 $1,747,680,411 $4,657,136,436 ============== ============== ============== GROWTH EQUITY INDEX INFLATION-LINKED ACCOUNT ACCOUNT BOND ACCOUNT ------------ ----------- ------------ Purchases: Unaffiliated issuers.......................... $3,250,381,252 $801,423,785 $129,756,031 Affiliated issuers............................ -- -- -- -------------- ------------ ------------ TOTAL PURCHASES $3,250,381,252 $801,423,785 $129,756,031 ============== ============ ============ Sales: Unaffiliated issuers.......................... $1,862,978,512 $ 49,503,427 $ 36,403,953 Affiliated issuers............................ -- -- -- -------------- ------------ ------------ TOTAL SALES $1,862,978,512 $ 49,503,427 $ 36,403,953 ============== ============ ============
-14- COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS-(CONTINUED) NOTE 5--CONDENSED FINANCIAL INFORMATION Selected condensed financial information for an Accumulation Unit of each Account is presented below.
MONEY MARKET ACCOUNT ------------------------------------------------------------------------------ FOR THE YEARS ENDED DECEMBER 31, ------------------------------------------------------------------------------ 1997 1996 1995 1994 1993 ------- ------- ------ ------- ------ Per Accumulation Unit Data: Investment income ..................... $ .953 $ .880 $ .910 $ .631 $ .464 Expenses .............................. .046 .049 .048 .041 .039 ------------ ------------ ------------ ------------ ------------ Investment income--net ................ .907 .831 .862 .590 .425 Net realized and unrealized gain (loss) on total investments ................ .001 (.003) .009 (.012) (.002) ------------ ------------ ------------ ------------ ------------ Net increase in Accumulation Unit Value ........... .908 .828 .871 .578 .423 Accumulation Unit Value: Beginning of year ................... 16.494 15.666 14.795 14.217 13.794 ------------ ------------ ------------ ------------ ------------ End of year ......................... $ 17.402 $ 16.494 $ 15.666 $ 14.795 $ 14.217 ============ ============ ============= ============ ============ Total return ............................ 5.51% 5.28% 5.88% 4.07% 3.07% Ratios to Average Net Assets: Expenses .............................. 0.27% 0.30% 0.32% 0.28% 0.27% Investment income--net ................ 5.35% 5.16% 5.64% 4.03% 3.02% Portfolio turnover rate ................. n/a n/a n/a n/a n/a Thousands of Accumulation Units outstanding at end of year ........... 233,116 218,292 193,181 183,135 174,073 BOND MARKET ACCOUNT ------------------------------------------------------------------------------ FOR THE YEARS ENDED DECEMBER 31, ------------------------------------------------------------------------------ 1997 1996 1995 1994 1993 ------- -------- -------- -------- -------- Per Accumulation Unit Data: Investment income ..................... $ 3.081 $ 3.039 $ 2.863 $ 2.502 $ 2.348 Expenses .............................. .134 .126 .123 .108 .103 ------------ ------------ ------------ ------------ ------------ Investment income--net ................ 2.947 2.913 2.740 2.394 2.245 Net realized and unrealized gain (loss) on total investments ................ 1.266 (1.600) 3.722 (3.897) 1.606 ------------ ------------ ------------ ------------ ------------ Net increase (decrease) in Accumulation Unit Value ........... 4.213 1.313 6.462 (1.503) 3.851 Accumulation Unit Value: Beginning of year ................... 44.002 42.689 36.227 37.730 33.879 ------------ ------------ ------------ ------------ ------------ End of year ......................... $ 48.215 $ 44.002 $ 42.689 $ 36.227 $ 37.730 ============ ============ ============ ============ ============ Total return ............................ 9.57% 3.08% 17.84% (3.98%) 11.37% Ratios to Average Net Assets: Expenses .............................. 0.29% 0.30% 0.31% 0.29% 0.28% Investment income--net ................ 6.44% 6.86% 6.93% 6.54% 6.18% Portfolio turnover rate ................. 398.77% 145.27% 185.11% 161.46% 139.55% Thousands of Accumulation Units outstanding at end of year ............ 31,654 22,611 19,522 14,939 14,698
-15-
COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS--(CONTINUED) NOTE 5--CONDENSED FINANCIAL INFORMATION--(CONTINUED) SOCIAL CHOICE ACCOUNT -------------------------------------------------------------------------------- FOR THE YEARS ENDED DECEMBER 31, -------------------------------------------------------------------------------- 1997 1996 1995 1994 1993 ------- ------- ------- ------- ------- Per Accumulation Unit Data: Investment income............................. $ 2.396 $ 2.068 $ 1.832 $ 1.621 $ 1.452 Expenses...................................... .193 .158 .144 .125 .117 ------- ------- ------- ------- ------- Investment income--net........................ 2.203 1.910 1.688 1.496 1.335 Net realized and unrealized gain (loss) on total investments........................ 12.223 5.968 9.863 (2.015) 2.082 ------- ------- ------- ------- ------- Net increase (decrease) in Accumulation Unit Value................... 14.426 7.878 11.551 (.519) 3.417 Accumulation Unit Value: Beginning of year........................... 58.590 50.712 39.161 39.680 36.263 ------- ------- ------- ------- ------- End of year................................. $73.016 $58.590 $50.712 $39.161 $39.680 ======= ======= ======= ======= ======= Total return.................................... 24.62% 15.53% 29.49% (1.31%) 9.42% Ratios to Average Net Assets: Expenses...................................... 0.30% 0.30% 0.32% 0.32% 0.31% Investment income--net........................ 3.37% 3.58% 3.75% 3.80% 3.52% Portfolio turnover rate......................... 91.87% 40.93% 52.65% 49.06% 39.85% Thousands of Accumulation Units outstanding at end of year.................... 30,554 25,841 22,196 18,302 16,790 GLOBAL EQUITIES ACCOUNT -------------------------------------------------------------------------------- FOR THE YEARS ENDED DECEMBER 31, -------------------------------------------------------------------------------- 1997 1996 1995 1994 1993 ------- ------- ------- ------- ------- Per Accumulation Unit Data: Investment income............................. $ .848 $ .751 $ .727 $ .687 $ .487 Expenses...................................... .205 .167 .157 .134 .103 ------- ------- ------- ------- ------- Investment income--net........................ .643 .584 .570 .553 .384 Net realized and unrealized gain (loss) on total investments........................ 8.650 7.138 6.618 (.719) 9.021 ------- ------- ------- ------- ------- ------- Net increase (decrease) in Accumulation Unit Value.................. 9.293 7.722 7.188 (.166) 9.405 Accumulation Unit Value: Beginning of year........................... 50.680 42.958 35.770 35.936 26.531 ------- ------- ------- ------- ------- End of year................................. $59.973 $50.680 $42.958 $35.770 $35.936 ======= ======= ======= ======= ======= Total return.................................... 18.34% 17.98% 20.09% (0.46%) 35.45% Ratios to Average Net Assets: Expenses...................................... 0.38% 0.37% 0.40% 0.41% 0.45% Investment income--net........................ 1.19% 1.28% 1.47% 1.71% 1.67% Portfolio turnover rate......................... 98.70% 88.84% 67.50% 51.63% 16.75% Thousands of Accumulation Units outstanding at end of year.................... 84,645 80,016 70,163 70,700 36,796
-16-
COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS-(CONTINUED) NOTE 5--CONDENSED FINANCIAL INFORMATION--(CONCLUDED) GROWTH ACCOUNT --------------------------------------------------------------------- APRIL 4, 1994 (DATE ESTABLISHED) FOR THE YEARS ENDED DECEMBER 31, TO DECEMBER 31, -------------------------------------------- 1997 1996 1995 1994(1) --------- --------- --------- ----------- Per Accumulation Unit Data: Investment income.................................... $ .527 $ .484 $ .417 $ .398 Expenses............................................. .155 .119 .114 .084 ------- ------- ------- ------- Investment income--net............................... .372 .365 .303 .314 Net realized and unrealized gain on total investments............................... 12.219 8.638 8.891 .802 ------- ------- ------- ------- Net increase in Accumulation Unit Value......................... 12.591 9.003 9.194 1.116 Accumulation Unit Value: Beginning of period ............................... 44.313 35.310 26.116 25.000 ------- ------- ------- ------- End of period...................................... $56.904 $44.313 $35.310 $26.116 ======= ======= ======= ======= Total return........................................... 28.41% 25.50% 35.20% 4.46% Ratios to Average Net Assets: Expenses............................................. 0.34% 0.35% 0.43% 0.33% Investment income--net............................... 0.82% 1.07% 1.13% 1.21% Portfolio turnover rate................................ 53.27% 38.51% 24.42% 12.29% Thousands of Accumulation Units outstanding at end of period......................... 80,370 53,201 32,375 10,446
INFLATION-LINKED EQUITY INDEX ACCOUNT BOND ACCOUNT ---------------------------------------------------------- ------------ APRIL 4, 1994 JANUARY 13, (DATE ESTABLISHED) 1997 (DATE FOR THE YEARS ENDED DECEMBER 31, TO ESTABLISHED ------------------------------------- DECEMBER 31, TO DECEMBER 31, 1997 1996 1995 1994(1) 1997(1) ------- ------- ------- ------- ------- Per Accumulation Unit Data: Investment income............................. $ .826 $ .773 $ .755 $ .552 $ 1.031 Expenses...................................... .141 .106 .100 .072 .067 ------- ------- ------- ------- ------- Investment income-net......................... .685 .667 .655 .480 .964 Net realized and unrealized gain on total investments........................ 12.672 6.936 8.703 .393 .154 ------- ------- ------- ------- ------- Net increase in Accumulation Unit Value................................ 13.357 7.603 9.358 .873 1.118 Accumulation Unit Value: Beginning of period ........................ 42.834 35.231 25.873 25.000 25.000 ------- ------- ------- ------- ------- End of period............................... $56.191 $42.834 $35.231 $25.873 $26.118 ======= ======= ======= ======= ======= Total return.................................... 31.18% 21.58% 36.17% 3.49% 4.47% Ratios to Average Net Assets: Expenses...................................... 0.30% 0.30% 0.34% 0.27% 0.25% Investment income--net........................ 1.47% 1.87% 2.22% 1.83% 3.60% Portfolio turnover rate......................... 3.50% 7.85% 8.31% 1.33% 63.56% Thousands of Accumulation Units outstanding at end of period.................. 35,368 20,725 10,911 2,716 3,626 (1) The percentages shown for this period are not annualized.
-17-
COLLEGE RETIREMENT EQUITIES FUND NOTES TO FINANCIAL STATEMENTS-(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 ---------------------------- --------------------------- --------------------------- YEARS ENDED DECEMBER 31, YEARS ENDED DECEMBER 31, YEARS ENDED DECEMBER 31, ---------------------------- --------------------------- --------------------------- 1997 1996 1997 1996 1997 1996 ---------- ----------- ---------- ---------- ---------- ----------- Accumulation Units: Credited for premiums............ 20,510,609 19,834,908 3,137,486 3,106,394 4,236,125 4,247,359 Credited (cancelled) for transfers, disbursements and amounts applied to the Annuity Fund................... (5,686,721) 5,275,300 5,905,434 (17,727) 476,429 (601,590) Outstanding: Beginning of year.............. 218,291,636 193,181,428 22,611,134 19,522,467 25,841,336 22,195,567 ----------- ----------- ---------- ---------- ---------- ---------- End of year.................... 233,115,524 218,291,636 31,654,054 22,611,134 30,553,890 25,841,336 =========== =========== ========== ========== ========== ========== GLOBAL EQUITIES ACCOUNT GROWTH ACCOUNT EQUITY INDEX ACCOUNT ---------------------------- --------------------------- -------------------------- YEARS ENDED DECEMBER 31, YEARS ENDED DECEMBER 31, YEARS ENDED DECEMBER 31, ---------------------------- --------------------------- -------------------------- 1997 1996 1997 1996 1997 1996 ----------- ---------- ---------- ---------- ---------- --------- Accumulation Units: Credited for premiums............ 9,103,302 9,768,800 11,408,929 8,540,579 4,863,305 3,588,285 Credited (cancelled) for transfers, disbursements and amounts applied to the Annuity Fund................... (4,474,351) 84,205 15,760,341 12,284,736 9,780,337 6,225,770 Outstanding: Beginning of year.............. 80,015,913 70,162,908 53,200,553 32,375,238 20,724,711 10,910,656 ----------- ---------- ---------- ---------- ---------- ---------- End of year.................... 84,644,864 80,015,913 80,369,823 53,200,553 35,368,353 20,724,711 =========== ========== ========== ========== ========== ==========
INFLATION-LINKED BOND ACCOUNT -------------------- JANUARY 13, 1997 (DATE ESTABLISHED) TO DECEMBER 31, 1997 -------------------- Accumulation Units: Credited for premiums............ 2,133,619 Credited for transfers, disbursements and amounts applied to the Annuity Fund................... 1,492,416 Outstanding: Beginning of period............ -- --------- End of period.................. 3,626,035 ========= NOTE 7--LINE OF CREDIT The Stock, Social Choice, Global Equities, Growth, Equity Index and Inflation-Linked Bond Accounts share in a $2 billion unsecured revolving credit facility for temporary or emergency purposes, including, without limitation, the funding of participant redemptions that otherwise might require the untimely disposition of securities. An annual commitment fee is charged for this facility, which is allocated among the participating Accounts. Interest associated with any borrowing under the credit facility will be charged to the participating Accounts at rates which are based on the Federal Funds Rate in effect during the time of the borrowing. For the year ended December 31, 1997, there were no borrowings under the line of credit. -18- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS-MONEY MARKET ACCOUNT DECEMBER 31, 1997 SUMMARY BY INDUSTRY (000) VALUE % ---------- ----- SHORT TERM INVESTMENTS BANK NOTES ............................... $ 29,843 0.71% BANKERS ACCEPTANCES ...................... 132,697 3.16 CERTIFICATES OF DEPOSIT .................. 448,644 10.68 COMMERCIAL PAPER ......................... 2,676,200 63.70 EURO CERTIFICATES OF DEPOSIT ............. 24,990 0.59 MEDIUM TERM BONDS ........................ 56,514 1.35 U.S. GOVERNMENT & AGENCIES ............... 74,484 1.77 VARIABLE RATE NOTES ...................... 738,016 17.56 ----------- ------ TOTAL SHORT TERM INVESTMENTS (COST $4,182,428) ......................... 4,181,388 99.52 ----------- ------ TOTAL PORTFOLIO (COST $4,182,428) ......................... 4,181,388 99.52 ----------- ------ OTHER ASSETS & LIABILITIES, NET ......... 20,068 0.48 ----------- ------ NET ASSETS .................................. $ 4,201,456 100.00% =========== ====== -------------------------------------- VALUE PRINCIPAL (000) --------- ------------ SHORT TERM INVESTMENTS--99.52% BANK NOTES--0.71% FIRST UNION CORP $ 9,900,000 6.750%, 01/15/98 ...................... $ 9,903 NATIONAL BANK OF DETROIT 9,910,000 6.850%, 05/11/98 ...................... 9,948 NATIONSBANK, NA 10,000,000 5.830%, 12/29/98 ...................... 9,992 ------------ 29,843 ------------ BANKERS ACCEPTANCES--3.16% BANK OF MONTREAL 13,900,000 5.520%, 01/28/98 ...................... 13,838 12,000,000 5.560%, 02/17/98 ...................... 11,894 9,000,000 5.550%, 04/13/98 ...................... 8,835 5,000,000 5.690%, 05/11/98 ...................... 4,884 10,000,000 5.690%, 06/05/98 ...................... 9,725 CITIBANK, NA 3,767,824 5.650%, 01/22/98 ...................... 3,755 2,800,000 5.580%, 04/21/98 ...................... 2,752 4,000,000 5.630%, 04/28/98 ...................... 3,927 KEY BANK 6,500,000 5.630%, 04/09/98 ...................... 6,401 NATIONS BANK OF TEXAS 5,000,000 5.530%, 01/06/98 ...................... 4,996 5,000,000 5.530%, 01/09/98 ...................... 4,994 NATIONSBANK, NA 20,000,000 5.720%, 02/03/98 ...................... 19,895 RABOBANK 10,000,000 5.670%, 02/23/98 ...................... 9,900 ROYAL BANK OF CANADA 15,100,193 5.630%, 05/27/98 ...................... 14,709 TORONTO DOMINION 12,500,000 5.680%, 06/09/98 ...................... 12,192 ------------ 132,697 ------------ CERTIFICATES OF DEPOSIT--10.68% BANK OF AMERICA 30,000,000 5.670%, 01/30/98 ...................... 29,996 BANK OF NOVA SCOTIA 25,000,000 5.830%, 10/02/98 ...................... 24,983 BANKERS TRUST CO OF NEW YORK VALUE PRINCIPAL (000) --------- ------------ $ 9,000,000 5.900%, 08/10/98 ..................... $ 8,997 BARCLAYS BANK, PLC 15,000,000 5.895%, 10/22/98 ..................... 14,999 CANADIAN IMPERIAL BANK OF COMMERCE 10,000,000 5.970%, 03/19/98 ..................... 10,000 20,000,000 5.950%, 06/29/98 ..................... 20,002 10,000,000 5.940%, 10/23/98 ..................... 10,003 COMMERZBANK 25,000,000 5.810%, 03/04/98 .................... 24,993 CREDIT AGRICOLE 10,000,000 6.000%, 12/09/98 .................... 10,013 DEUTSCHE BANK 50,000,000 5.950%, 06/16/98 .................... 50,003 DRESDNER BANK 15,000,000 5.760%, 07/31/98 .................... 14,986 MORGAN GUARANTY TRUST CO 34,700,000 6.022%, 03/25/98 .................... 34,704 10,000,000 5.870%, 08/06/98 .................... 9,995 NATIONAL WESTMINSTER BANK, PLC 10,000,000 5.650%, 01/20/98 .................... 9,999 15,000,000 5.790%, 07/28/98 .................... 14,989 RABOBANK 25,000,000 5.700%, 05/12/98 .................... 24,993 REGIONS BANK (ALABAMA) 6,000,000 5.650%, 01/30/98 .................... 5,999 24,000,000 5.720%, 04/24/98 .................... 23,990 20,000,000 6.000%, 06/25/98 .................... 20,007 ROYAL BANK OF CANADA 25,000,000 5.770%, 01/27/98 .................... 24,995 SOCIETE GENERALE 10,000,000 5.850%, 03/03/98 .................... 9,998 WESTDEUTSCHE LANDESBANK 50,000,000 6.000%, 01/08/98 .................... 50,000 ------------ 448,644 ------------ COMMERCIAL PAPER--63.70% AMERICAN HOME PRODUCTS 17,000,000 ~ 5.730%, 03/04/98 ................... 16,826 20,000,000 ~ 5.710%, 03/10/98 ................... 19,775 AMRO NORTH AMERICA FINANCE, INC 25,000,000 5.730%, 03/10/98 ................... 24,719 25,000,000 5.645%, 03/20/98 ................... 24,683 ASSET SECURITIZATION COOPERATIVE CORP 25,000,000 ~ 5.620%, 01/27/98 ................... 24,894 6,000,000 ~ 5.700%, 01/27/98 ................... 5,975 25,000,000 ~ 5.600%, 02/18/98 ................... 24,801 11,694,000 ~ 5.670%, 02/20/98 ................... 11,597 36,689,000 ~ 5.680%, 02/26/98 ................... 36,346 6,000,000 ~ 5.710%, 03/17/98 ................... 5,927 ASSOCIATES CORP OF NORTH AMERICA 30,000,000 5.550%, 01/13/98 ................... 29,942 40,539,000 5.600%, 01/21/98 ................... 40,408 5,000,000 5.610%, 01/23/98 ................... 4,982 ATLANTIC RICHFIELD CO 50,000,000 5.750%, 01/29/98 ................... 49,776 B.B.V. FINANCE (DELAWARE), INC 20,000,000 5.560%, 03/25/98 ................... 19,731 See notes to financial statements. -19- MONEY MARKET ACCOUNT (CONTINUED) VALUE PRINCIPAL (000) --------- ------------ COMMERCIAL PAPER--(CONTINUED) $10,000,000 5.580%, 05/01/98 ................... $ 9,808 BANKERS TRUST NEW YORK CORP 20,000,000 5.550%, 01/09/98 ................... 19,974 25,000,000 5.520%, 02/17/98 ................... 24,808 BELL ATLANTIC FINANCIAL SERVICES, INC 18,804,000 5.780%, 01/20/98 ................... 18,747 25,000,000 5.780%, 01/21/98 ................... 24,920 BETA FINANCE, INC 15,000,000 ~ 5.510%, 01/30/98 ................... 14,929 10,000,000 ~ 5.630%, 02/02/98 ................... 9,948 19,500,000 ~ 5.530%, 02/17/98 ................... 19,350 18,350,000 ~ 5.680%, 02/20/98 ................... 18,198 CADES 22,000,000 5.550%, 04/16/98 ................... 21,629 10,000,000 5.700%, 06/10/98 ................... 9,747 CANADIAN IMPERIAL HOLDINGS, INC 20,000,000 5.670%, 01/14/98 ................... 19,958 20,000,000 5.536%, 01/26/98 ................... 19,919 CATERPILLAR FINANCIAL SERVICES CORP 15,000,000 5.800%, 02/05/98 ................... 14,915 14,628,000 5.560%, 02/27/98 ................... 14,489 25,000,000 5.520%, 04/29/98 ................... 24,527 CHRYSLER FINANCIAL CORP 40,000,000 5.730%, 03/13/98 ................... 39,531 CIESCO LP 42,839,000 ~ 5.680%, 01/20/98 ................... 42,707 50,000,000 ~ 5.550%, 01/23/98 ................... 49,822 25,000,000 ~ 5.600%, 02/10/98 ................... 24,837 8,000,000 ~ 5.740%, 02/26/98 ................... 7,925 CIGNA CORP 5,000,000 5.600%, 02/23/98 ................... 4,956 20,000,000 5.570%, 02/24/98 ................... 19,822 25,000,000 5.650%, 03/09/98 ................... 24,723 6,000,000 5.730%, 03/12/98 ................... 5,931 2,056,000 5.600%, 04/28/98 ................... 2,017 CIT GROUP HOLDINGS, INC 38,000,000 5.550%, 01/26/98 ................... 37,845 20,000,000 5.550%, 04/02/98 ................... 19,708 9,960,000 5.580%, 04/24/98 ................... 9,780 6,300,000 5.570%, 05/04/98 ................... 6,176 COLGATE--PALMOLIVE CO 27,000,000 ~ 5.750%, 02/09/98 ................... 26,832 COMMERCIAL CREDIT CO 50,000,000 5.600%, 01/22/98 ................... 49,830 30,000,000 5.680%, 02/19/98 ................... 29,756 COOPER INDUSTRIES, INC 45,740,000 6.350%, 01/05/98 ................... 45,708 19,844,000 6.150%, 01/07/98 ................... 19,824 CORPORATE ASSET FUNDING CORP, INC 12,000,000 ~ 5.600%, 01/30/98 ................... 11,944 20,000,000 ~ 5.600%, 02/04/98 ................... 19,889 27,582,000 ~ 5.750%, 02/26/98 ................... 27,325 40,000,000 ~ 5.680%, 02/27/98 ................... 39,620 25,000,000 5.720%, 03/09/98 ................... 24,723 DELAWARE FUNDING CORP 8,000,000 ~ 5.550%, 01/16/98 ................... 7,981 18,000,000 ~ 5.570%, 01/23/98 ................... 17,936 25,251,000 ~ 5.720%, 01/26/98 ................... 25,148 5,601,000 ~ 5.730%, 01/28/98 ................... 5,576 11,233,000 ~ 5.700%, 02/12/98 ................... 11,156 25,000,000 ~ 5.720%, 02/12/98 ................... 24,829 25,439,000 ~ 5.700%, 03/20/98 ................... 25,117 DILLARD INVESTMENT CO, INC 4,600,000 ~ 6.000%, 01/06/98 ................... 4,596 VALUE PRINCIPAL (000) --------- ------------ $19,529,000 5.700%, 01/21/98 ................... $ 19,466 ENTERPRISE FUNDING CORP 15,000,000 ~ 5.660%, 01/05/98 ................... 14,991 12,000,000 ~ 5.800%, 02/06/98 ................... 11,929 13,673,000 ~ 5.770%, 02/18/98 ................... 13,564 FLORIDA POWER & LIGHT CO 2,370,000 5.850%, 01/20/98 ................... 2,363 27,198,000 5.850%, 01/28/98 ................... 27,079 25,699,000 5.850%, 01/29/98 ................... 25,584 FORD MOTOR CREDIT CO 17,280,000 5.710%, 01/05/98 ................... 17,269 35,000,000 5.700%, 02/23/98 ................... 34,695 35,000,000 5.700%, 02/24/98 ................... 34,689 27,345,000 5.690%, 03/06/98 ................... 27,056 GENERAL ELECTRIC CAPITAL CORP 30,000,000 5.590%, 02/27/98 ................... 29,715 21,000,000 5.670%, 03/18/98 ................... 20,741 25,000,000 5.500%, 06/30/98 ................... 24,284 GENERAL MOTORS ACCEPTANCE CORP 7,000,000 5.550%, 04/13/98 ................... 6,885 GENERAL SIGNAL CORP 5,100,000 ~ 6.000%, 01/13/98 ................... 5,090 7,905,000 ~ 6.000%, 01/20/98 ................... 7,880 10,000,000 ~ 6.200%, 01/22/98 ................... 9,964 GOLDMAN SACHS GROUP LP 25,000,000 5.650%, 02/25/98 ................... 24,771 34,000,000 5.720%, 03/04/98 ................... 33,651 11,205,000 5.720%, 03/13/98 ................... 11,074 7,033,000 5.700%, 04/17/98 ................... 6,913 28,858,000 5.680%, 04/28/98 ................... 28,317 20,000,000 5.650%, 06/08/98 ................... 19,500 HEINZ (H.J.) CO 19,000,000 5.750%, 02/12/98 ................... 18,873 HOUSEHOLD FINANCE CORP 10,900,000 5.550%, 02/06/98 ................... 10,836 10,606,000 5.550%, 02/09/98 ................... 10,539 J.P. MORGAN & CO 1,028,000 5.600%, 02/10/98 ................... 1,021 30,000,000 5.730%, 02/10/98 ................... 29,805 20,400,000 5.720%, 03/23/98 ................... 20,132 JOHN DEERE CAPITAL CORP 13,535,000 5.600%, 02/02/98 ................... 13,465 MCCORMICK & CO, INC 15,000,000 5.540%, 01/15/98 ................... 14,966 MCGRAW-HILL, INC 18,100,000 5.565%, 02/10/98 ................... 17,982 MERRILL LYNCH & CO, INC 21,000,000 5.760%, 03/02/98 ................... 20,791 32,613,000 5.570%, 04/07/98 ................... 32,110 15,000,000 5.560%, 05/04/98 ................... 14,704 8,000,000 5.600%, 05/29/98 ................... 7,811 11,000,000 5.570%, 07/31/98 ................... 10,628 MORGAN STANLEY DEAN WITTER 40,000,000 5.540%, 01/14/98 ................... 39,916 15,000,000 5.550%, 01/15/98 ................... 14,966 7,000,000 5.570%, 01/22/98 ................... 6,976 24,953,000 5.510%, 01/30/98 ................... 24,836 25,000,000 5.690%, 02/20/98 ................... 24,793 NATIONAL FUEL GAS CO 15,000,000 5.570%, 01/20/98 ................... 14,953 9,000,000 5.720%, 02/05/98 ................... 8,948 10,000,000 5.630%, 03/06/98 ................... 9,893 NATIONAL RURAL UTILITIES COOP FINANCE 19,006,000 5.540%, 02/17/98 ................... 18,860 10,000,000 5.650%, 03/12/98 ................... 9,884 See notes to financial statements. -20- MONEY MARKET ACCOUNT (CONTINUED) VALUE PRINCIPAL (000) --------- ------------ COMMERCIAL PAPER--(CONTINUED) $20,000,000 5.670%, 03/13/98 ................... $ 19,766 10,000,000 5.650%, 03/24/98 ................... 9,867 25,000,000 5.650%, 03/27/98 ................... 24,655 24,602,000 5.700%, 04/06/98 ................... 24,227 18,000,000 5.690%, 04/20/98 ................... 17,685 NATIONSBANK CORP 25,000,000 5.550%, 01/21/98 ................... 24,919 25,000,000 5.730%, 03/02/98 ................... 24,752 25,000,000 5.730%, 03/11/98 ................... 24,715 PENNEY (J.C.) FUNDING CORP 25,000,000 5.500%, 01/16/98 ................... 24,939 8,555,000 5.590%, 02/03/98 ................... 8,509 PITNEY BOWES CREDIT CORP 15,000,000 5.500%, 01/09/98 ................... 14,981 20,000,000 5.510%, 01/12/98 ................... 19,964 SAINT PAUL CO 8,625,000 ~ 5.580%, 02/04/98 ................... 8,577 SEARS ROEBUCK ACCEPTANCE CORP 6,000,000 5.850%, 01/28/98 ................... 5,974 8,617,000 5.600%, 01/29/98 ................... 8,578 35,000,000 5.560%, 02/10/98 ................... 34,772 20,000,000 5.720%, 02/19/98 ................... 19,837 6,383,000 5.510%, 03/05/98 ................... 6,317 25,000,000 5.700%, 03/23/98 ................... 24,671 SMITH BARNEY HOLDINGS 40,000,000 5.690%, 03/05/98 ................... 39,583 SOUTHERN CALIFORNIA GAS CO 21,600,000 5.500%, 01/09/98 ................... 21,572 9,259,000 5.720%, 03/13/98 ................... 9,150 THE STANLEY WORKS 6,000,000 5.660%, 02/18/98 ................... 5,952 UBS FINANCE (DELAWARE), INC 20,000,000 6.400%, 01/06/98 ................... 19,982 XEROX CORP 4,850,000 5.630%, 01/13/98 ................... 4,841 XEROX CREDIT CORP 32,500,000 5.630%, 01/13/98 ................... 32,439 ------------ 2,676,200 ------------ EURO CERTIFICATES OF DEPOSIT--0.59% CREDIT AGRICOLE 25,000,000 5.690%, 02/20/98 ................... 24,990 ------------ MEDIUM TERM BONDS--1.35% BETA FINANCE, INC 10,000,000 6.355%, 05/05/98 ................... 10,018 15,000,000 5.900%, 07/24/98 ................... 14,999 15,000,000 6.000%, 10/09/98 ................... 15,000 CIT GROUP HOLDINGS, INC 6,500,000 5.875%, 11/09/98 ................... 6,497 PEPSICO, INC 10,000,000 6.125%, 01/15/98 ................... 10,000 ------------ 56,514 ------------ U.S. GOVERNMENT & AGENCIES--1.77% FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 50,000,000 5.450%, 01/28/98 ................... 49,789 25,000,000 5.420%, 03/20/98 ................... 24,695 ------------ 74,484 ------------ VARIABLE RATE NOTES--17.56% AMERICAN EXPRESS CENTURION BANK 10,000,000 6.060%, 06/25/98 ................... 10,005 30,000,000 5.940%, 12/15/98 ................... 30,000 25,000,000 5.960%, 01/04/99 ................... 24,998 ASSOCIATES CORP OF NORTH AMERICA 50,000,000 6.170%, 01/04/99 ................... 49,970 VALUE PRINCIPAL (000) --------- ------------ BANC ONE, DAYTON, NA $55,000,000 5.570%, 02/05/98 ................... $ 54,997 BANKERS TRUST CO OF NEW YORK 5,000,000 6.170%, 07/13/98 ................... 4,997 BANKERS TRUST NEW YORK CORP 25,000,000 6.270%, 07/17/98 ................... 24,988 CATERPILLAR FINANCIAL SERVICES CORP 14,000,000 5.856%, 03/20/98 ................... 13,996 CHRYSLER FINANCIAL CORP 20,000,000 6.156%, 01/16/98 ................... 20,002 CORESTATES BANK 25,000,000 5.937%, 12/30/98 ................... 25,000 CORESTATES BANK NA/PHILADELPHIA NATIONAL BANK 8,000,000 5.928%, 02/13/98 ................... 8,000 FCC NATIONAL BANK 20,000,000 6.270%, 04/15/98 ................... 20,004 FIRST BANK SYSTEM 25,000,000 5.880%, 04/10/98 ................... 24,993 FLEET FINANCIAL GROUP, INC 30,500,000 5.975%, 05/14/98 ................... 30,524 FORD MOTOR CREDIT CO 8,000,000 6.337%, 06/02/98 ................... 8,015 GENERAL ELECTRIC CAPITAL CORP 25,000,000 5.693%, 04/14/98 ................... 24,998 GENERAL MOTORS ACCEPTANCE CORP 18,000,000 6.128%, 02/02/98 ................... 18,018 13,000,000 6.075%, 05/26/98 ................... 13,014 23,500,000 5.786%, 09/21/98 ................... 23,488 HOUSEHOLD FINANCE CORP 25,000,000 5.876%, 06/03/98 ................... 24,998 25,000,000 6.030%, 09/15/98 ................... 25,003 JOHN DEERE CAPITAL CORP 5,000,000 5.718%, 10/08/98 ................... 5,000 MERRILL LYNCH & CO, INC 10,000,000 6.126%, 05/19/98 ................... 10,015 5,000,000 6.370%, 05/20/98 ................... 5,007 18,000,000 6.370%, 06/04/98 ................... 18,023 5,000,000 6.210%, 06/12/98 ................... 4,997 MORGAN GUARANTY TRUST CO 30,000,000 5.630%, 02/02/98 ................... 29,994 15,000,000 5.615%, 02/19/98 ................... 14,995 MORGAN STANLEY DEAN WITTER 10,000,000 6.000%, 08/17/98 ................... 10,001 NATIONS BANK OF TEXAS 23,000,000 6.270%, 01/09/98 ................... 23,001 PNC BANK, NA 5,000,000 6.020%, 09/25/98 ................... 5,000 SEARS ROEBUCK ACCEPTANCE CORP 25,000,000 5.960%, 03/25/98 ................... 25,003 SOCIETE GENERALE 13,000,000 6.160%, 01/15/98 ................... 12,998 34,000,000 6.155%, 09/08/98 ................... 33,976 SOUTHTRUST 5,000,000 5.920%, 05/11/98 ................... 5,000 45,000,000 5.940%, 05/11/98 ................... 44,996 10,000,000 5.968%, 09/17/98 ................... 10,002 ------------ 738,016 ------------ TOTAL SHORT TERM INVESTMENTS (COST $4,182,428)................... 4,181,388 ------------ TOTAL PORTFOLIO (COST $4,182,428)................... $ 4,181,388 ============ - --------------- ~ Commercial Paper issued under the Private Placement exemption under Section 4(2) of the Securities Act of 1933, as amended. See notes to financial statements. -21- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--BOND MARKET ACCOUNT DECEMBER 31, 1997 SUMMARY BY INDUSTRY (000) VALUE % --------- ------ BONDS CORPORATE BONDS AIR TRANSPORTATION, SCHEDULED ........... $ 11,645 0.76 % ASSET BACKED ............................ 129,346 8.39 AUTOMOTIVE RENTALS, NO DRIVERS .......... 5,071 0.33 BAKERY PRODUCTS ......................... 10,016 0.65 BUSINESS CREDIT INSTITUTIONS ............ 45,406 2.94 CABLE AND OTHER PAY TV SERVICES ......... 9,477 0.62 CIGARETTES .............................. 1,215 0.08 COMBINATION UTILITY SERVICES ............ 4,163 0.27 COMMERCIAL BANKS ........................ 5,230 0.34 ELECTRIC SERVICES ....................... 19,463 1.26 FOREIGN BANKS, BRANCHES AND AGENCIES ........................... 4,054 0.27 FUNERAL SERVICE AND CREMATORIES ......... 13,026 0.85 GAS PRODUCTION AND DISTRIBUTION ......... 5,792 0.38 GOLD AND SILVER ORES .................... 4,622 0.30 GRAIN MILL PRODUCTS ..................... 9,087 0.59 HOSPITALS ............................... 10,035 0.65 INSURANCE CARRIERS ...................... 15,504 1.01 MISCELLANEOUS INVESTING ................. 33,216 2.15 MISCELLANEOUS PUBLISHING ................ 7,636 0.50 MORTGAGE BANKERS AND BROKERS ............ 10,168 0.66 MOTOR VEHICLES AND EQUIPMENT ............ 8,503 0.55 NEWSPAPERS .............................. 11,116 0.72 OIL AND GAS EXTRACTION .................. 5,319 0.35 PERSONAL CREDIT INSTITUTIONS ............ 8,002 0.52 PETROLEUM REFINING ...................... 3,015 0.20 SAVINGS INSTITUTIONS .................... 19,748 1.28 SECURITY BROKERS AND DEALERS ............ 16,977 1.10 SURETY INSURANCE ........................ 5,057 0.32 TELEPHONE COMMUNICATIONS ................ 10,295 0.67 TOTAL CORPORATE BONDS (COST $437,394) .......................... 442,204 28.71 ---------- ------ GOVERNMENT BONDS AGENCY SECURITIES ....................... 73,328 4.76 GOVERNMENT BONDS ........................ 964 0.06 MORTGAGE BACKED SECURITIES .............. 344,216 22.35 OTHER MORTGAGE BACKED SECURITIES ........ 5,134 0.33 U.S. TREASURY SECURITIES ................ 595,961 38.69 ---------- ------ TOTAL GOVERNMENT BONDS (COST $1,004,563) ........................ 1,019,603 66.19 ---------- ------ TOTAL BONDS (COST $1,441,957) ........................ 1,461,807 94.90 ---------- ------ PREFERRED STOCK FOREIGN BANKS, BRANCHES AND AGENCIES .... 5,465 0.35 REAL ESTATE AGENTS AND MANAGERS ......... 8,284 0.54 ---------- ------ TOTAL PREFERRED STOCK (COST $13,000) ........................... 13,749 0.89 ---------- ------ SHORT TERM INVESTMENTS COMMERCIAL PAPER ......................... 211,544 13.73 ---------- ------ TOTAL SHORT TERM INVESTMENTS (COST $211,592) .......................... 211,544 13.73 ---------- ------ TOTAL PORTFOLIO (COST $1,666,549) ........................ 1,687,100 109.52 ---------- ------ OTHER ASSETS & LIABILITIES, NET ........ (146,735) (9.52) ---------- ------ NET ASSETS ................................. $1,540,365 100.00% ========== ====== ===================================== MOODY'S VALUE PRINCIPAL RATINGS (000) --------- ------- ----- BONDS--94.90% CORPORATE BONDS--28.71% AIR TRANSPORTATION, SCHEDULED--0.76% DELTA AIRLINES, INC SERIES 1993-A2 (PASS-THRU TRUST) $ 5,000,000 10.500%, 04/30/16 ............ BAA1 $ 6,514 NORTHWEST AIRLINES CORP SERIES 97-1B (PASS THRU CERT) 5,000,000 7.248%, 07/02/14 ............. BAA2 5,131 --------- 11,645 --------- ASSET BACKED--8.39% AAMES MORTGAGE TRUST SERIES 1997-B (CLASS M1F) 5,000,000 7.130%, 06/15/27 ............. AA2 5,027 AAMES MORTGAGE TRUST SERIES 1997-B (CLASS M2F) 5,000,000 7.380%, 06/15/27 ............. A2 5,047 AMRESCO RESIDENTIAL SECURITIES MORTGAGE LOAN TRUST SERIES 1997-2 (CLASS A3) 5,000,000 6.795%, 12/25/20 ............. AAA 5,018 BLOCK MORTGAGE FINANCE, INC SERIES 1997-1 (CLASS A-2) 5,000,000 6.850%, 10/25/11 ............. AAA 5,026 CHASE COMMERCIAL MORTGAGE SECURITIES CORP SERIES 1997-2 (CLASS A2) 12,000,000 6.600%, 11/19/07 ............. AAA 12,113 CIT GROUP HOME EQUITY LOAN TRUST SERIES 1997-1 (CLASS M1) 3,000,000 6.850%, 08/15/28 ............. AA2 2,989 CHASE CREDIT CARD MASTER TRUST SERIES 1997-2 (CLASS B) 19,000,000 6.450%, 04/15/03 ............. A2 19,113 CONTI MORTGAGE HOME EQUITY LOAN TRUST SERIES 1997-1 (CLASS A3) 5,000,000 6.480%, 01/15/12 ............. AAA 4,994 DELTA FUNDING HOME EQUITY LOAN TRUST SERIES 1997-2 5,000,000 7.240%, 06/25/29 ............. AA2 5,039 FIRST ALLIANCE MORTGAGE LOAN TRUST SERIES 1997-3 (CLASS A1) 4,770,513 6.935%, 12/20/28 ............. AAA 4,799 GE CAPITAL MORTGAGE SERVICES, INC SERIES 1997-HE3 (CLASS A6) 5,000,000 6.720%, 07/15/12 ............. AAA 5,052 GMAC COMMERCIAL MORTGAGE SECURITIES, INC SERIES 1997-C1 (CLASS D) 10,000,000 6.997%, 07/15/29 ............. A2 10,152 GMAC COMMERCIAL MORTGAGE SECURITIES, INC SERIES 1997-C2 (CLASS B) 5,000,000 6.703%, 04/20/29 ............. AA2 5,038 See notes to financial statements. -22- BOND MARKET ACCOUNT (CONTINUED) MOODY'S VALUE PRINCIPAL RATINGS (000) --------- ------- ------- GMAC COMMERCIAL MORTGAGE SECURITIES, INC SERIES 1997-C3 (CLASS A3) $ 4,000,000 6.566%, 11/15/07 ............. AAA $ 4,030 GREEN TREE FINANCIAL CORP SERIES 1993-3 (CLASS A-5) 5,000,000 5.750%, 10/15/18 ............. AA2 4,945 IMC HOME EQUITY LOAN TRUST SERIES 1997-2 (CLASS A-2) 7,500,000 6.700%, 11/20/11 ............. AAA 7,511 NATIONSBANK AUTO GRANTOR TRUST SERIES 1995-A 843,493 5.850%, 06/15/02 ............. AAA 841 RAILCAR LEASING (SR NOTE) 4,601,078 ^ 6.750%, 07/15/06 ............. AAA 4,659 STANDARD CREDIT CARD MASTER TRUST SERIES 1991-6 (CLASS B) 4,225,000 8.350%, 01/07/00 ............. A2 4,306 THE MONEY STORE HOME EQUITY TRUST SERIES 1997-D (CLASS AF7) 5,000,000 6.485%, 12/15/28 ............. AAA 5,006 TOYOTA AUTO RECEIVABLES GRANTOR TRUST SERIES 1997-A (CLASS B) 3,601,685 6.600%, 04/15/02 ............. A2 3,617 VANDERBILT MORTGAGE & FINANCE, INC SERIES 1997-A (CLASS A-2) 5,000,000 6.525%, 12/07/28 ............. AAA 5,024 ------- 129,346 ------- AUTOMOTIVE RENTALS, NO DRIVERS--0.33% ERAC USA FINANCE CO NOTE 5,000,000 ^ 6.950%, 03/01/04 ............. BAA2 5,071 ------- BAKERY PRODUCTS--0.65% NABISCO, INC (PASS THRU CERT) 10,000,000 ^ 6.300%, 08/26/99 ............. BAA2 10,016 ------- BUSINESS CREDIT INSTITUTIONS--2.94% AT&T CAPITAL CORP (MEDIUM TERM NOTE) 15,000,000 6.230%, 09/24/99 ............. BAA3 15,024 GATX CAPITAL CORP NOTE 10,000,000 6.500%, 11/01/00 ............. BAA2 10,050 HELLER FINANCIAL CO SERIES ^ 1997-1 (PASS THRU CERT) 10,000,000 6.350%, 08/15/99 ............... A2 10,040 MONEY STORE, INC DEB 5,000,000 7.950%, 12/01/07 ............. BA2 5,029 TRANSAMERICA CAPITAL CORP DEB 5,000,000 ^ 7.800%, 12/01/26 ............. A2 5,263 ------- 45,406 ------- CABLE AND OTHER PAY TV SERVICES--0.62% o BELL CABLEMEDIA PLC (SR NOTE) 4,000,000 0.000%, 07/15/04 ............. BAA3 3,762 o VIDEOTRON HOLDINGS PLC (SR NOTE) 6,000,000 0.000%, 07/01/04 ............. BAA3 5,715 ------- 9,477 ------- MOODY'S VALUE PRINCIPAL RATINGS (000) --------- ------- ------- CIGARETTES--0.08% PHILIP MORRIS COS, INC NOTE $ 1,200,000 7.375%, 02/15/99 ............. A2 $ 1,215 ------- COMBINATION UTILITY SERVICES--0.27% ARKLA, INC NOTE 4,000,000 8.875%, 07/15/99 ............. BAA3 4,163 ------- COMMERCIAL BANKS--0.34% CHASE MANHATTAN CORP (SUBORDINATED NOTE) 5,000,000 7.250%, 06/01/07 ............. A1 5,230 ------- ELECTRIC SERVICES--1.26% CLEVELAND ELECTRIC TOLEDO EDISON NOTE 5,000,000 7.190%, 07/01/00 ............. BA1 5,074 CMS ENERGY CORP (SR NOTE) 3,000,000 ^ 7.375%, 11/15/00 ............. BA3 3,004 EL PASO ELECTRIC CO (FIRST MORTGAGE BOND) 1,000,000 7.250%, 02/01/99 ............. BA3 1,005 LONG ISLAND LIGHTING CO DEB 5,000,000 8.900%, 07/15/19 ............. BA3 5,320 PUGET SOUND ENERGY, INC (SR NOTE) 5,000,000 7.020%, 12/01/27 ............. BAA1 5,060 ------- 19,463 ------- FOREIGN BANKS, BRANCHES AND AGENCIES--0.27% ANDINA DE FOMENTO CORP DEB 4,000,000 7.250%, 03/01/07 ............. A3 4,054 ------- FUNERAL SERVICE AND CREMATORIES--0.85% LOEWEN GROUP, INC DEB 13,000,000 ^ 6.700%, 10/01/99 ............. BA1 13,026 ------- GAS PRODUCTION AND DISTRIBUTION--0.38% EL PASO NATURAL GAS DEB 2,500,000 7.500%, 11/15/26 ............. BAA2 2,678 TENNESSEE GAS PIPELINE DEB 3,000,000 7.000%, 03/15/27 ............. BAA3 3,114 ------- 5,792 ------- GOLD AND SILVER ORES--0.30% FREEPORT-MCMORAN C & G (SR NOTE) 5,000,000 7.500%, 11/15/06 ............. BA1 4,622 ------- GRAIN MILL PRODUCTS--0.59% ARCHER-DANIELS-MIDLAND DEB 5,000,000 6.750%, 12/15/27 ............. AA3 5,009 4,000,000 6.950%, 12/15/97 ............. AA3 4,078 ------- 9,087 ------- HOSPITALS--0.65% COLUMBIA/HCA HEALTHCARE CORP NOTE 5,000,000 6.500%, 03/15/99 ............. BAA2 4,972 TENET HEALTHCARE CORP (SR NOTE) 5,000,000 7.875%, 01/15/03 ............. BA1 5,063 ------- 10,035 ------- See notes to financial statements. -23- BOND MARKET ACCOUNT (CONTINUED) MOODY'S VALUE PRINCIPAL RATINGS (000) --------- ------- ----- INSURANCE CARRIERS--1.01% ASSOCIATED P & C HOLDINGS, INC (SR NOTE) $ 5,000,000 6.750%, 07/15/03 ............. BAA3 $ 4,936 NEW ENGLAND MUTUAL LIFE INSURANCE CO NOTE 5,000,000 ^ 7.875%, 02/15/24 ............. A1 5,519 SALOMON, INC (SR NOTE) 5,000,000 6.700%, 07/05/00 ............. A2 5,049 ------- 15,504 ------- MISCELLANEOUS INVESTING--2.15% CARRAMERICA REALTY CORP DEB 5,000,000 ^ 7.375%, 07/01/07 ............. BAA3 5,167 CRESCENT REAL ESTATE NOTE 10,200,000 ^ 6.625%, 09/15/02 ............. BAA3 10,189 FIRST INDUSTRIAL (PASS-THRU ASSET TRUST) 3,000,000 ^ 7.375%, 05/15/04 ............. BAA2 3,136 HIGHWOODS EXERCISABLE NOTE 5,000,000 ^ 7.190%, 06/15/04 ............. BAA2 5,061 SIMON DEBARTOLO GROUP (MEDIUM TERM NOTE) 5,000,000 7.125%, 09/20/07 ............. BAA1 5,131 SIMON DEBARTOLO GROUP (GUARANTEE NOTE) 4,500,000 6.750%, 07/15/04 ............. BAA1 4,532 ------- 33,216 ------- MISCELLANEOUS PUBLISHING--0.50% TIME WARNER, INC DEB 7,500,000 7.250%, 10/15/17 ............. BA1 7,636 ------- MORTGAGE BANKERS AND BROKERS--0.66% HOMESIDE LENDING, INC (MEDIUM TERM NOTE) 5,000,000 6.875%, 06/30/02 ............. BAA2 5,092 5,000,000 6.750%, 08/01/04 ............. BAA2 5,076 ------- 10,168 ------- MOTOR VEHICLES AND EQUIPMENT--0.55% FORD MOTOR CO DEB 5,000,000 7.400%, 11/01/46 ............. A1 5,359 LOCKHEED MARTIN CORP (GUARANTEE NOTE) 3,000,000 7.250%, 05/15/06 ............. A3 3,144 ------- 8,503 ------- NEWSPAPERS--0.72% BELO (A.H.) CORP (SR NOTE) 6,000,000 6.875%, 06/01/02 ............. BAA2 6,114 COX ENTERPRISES SERIES 1997-1 (PASS THRU CERT) 5,000,000 ^ 6.250%, 08/26/99 ............. BAA1 5,002 ------- 11,116 ------- MOODY'S VALUE PRINCIPAL RATINGS (000) --------- ------- ------- OIL AND GAS EXTRACTION--0.35% PETROZUATA FINANCE, INC SERIES B $ 5,000,000 ^ 8.220%, 04/01/17 ............. BAA1 $ 5,319 ------- PERSONAL CREDIT INSTITUTIONS--0.52% HOUSEHOLD INTERNATIONAL NETHERLANDS (SR NOTE) 3,000,000 6.125%, 03/01/03 ............. A3 2,949 MBNA CORP (SR NOTE) 5,000,000 6.875%, 10/01/99 ............. BAA2 5,053 ------- 8,002 ------- PETROLEUM REFINING--0.20% VALERO ENERGY DEB 3,000,000 ^ 6.750%, 12/15/02 ............. BAA2 3,015 ------- SAVINGS INSTITUTIONS--1.28% GREENPOINT BANK (SR NOTE) 11,000,000 6.700%, 07/15/02 ............. BAA2 11,086 LONG ISLAND SAVINGS BANK FSB (MEDIUM TERM NOTE) 4,500,000 7.000%, 06/13/02 ............. BAA3 4,592 NORTH FORK CAPITAL (GUARANTEE NOTE) 4,000,000 8.000%, 12/15/27 ............. BAA3 4,070 ------- 19,748 ------- SECURITY BROKERS AND DEALERS--1.10% DONALDSON LUFKIN & JENRETTE, INC (MEDIUM TERM NOTE) 5,000,000 6.900%, 10/01/07 ............. A3 5,149 LEHMAN BROTHERS HOLDINGS, INC (MEDIUM TERM NOTE) 6,450,000 6.900%, 01/29/01 ............. BAA1 6,551 LEHMAN BROTHERS HOLDINGS NOTE 5,200,000 6.890%, 10/10/00 ............. BAA1 5,277 ------- 16,977 ------- SURETY INSURANCE--0.32% EXECUTIVE RISK (SR NOTE) 5,000,000 7.125%, 12/15/07 ............. BAA2 5,057 ------- TELEPHONE COMMUNICATIONS--0.67% TCI COMMUNICATIONS, INC (SR NOTE) 5,000,000 6.375%, 09/15/99 ............. BA1 5,001 WORLDCOM, INC (SR NOTE) 5,000,000 9.375%, 01/15/04 ............. BA1 5,294 ------- 10,295 ------- TOTAL CORPORATE BONDS (COST $437,394)............. 442,204 ------- See notes to financial statements. -24- BOND MARKET ACCOUNT (CONTINUED) MOODY'S VALUE PRINCIPAL RATINGS (000) --------- ------- ----- GOVERNMENT BONDS--66.19% AGENCY SECURITIES--4.76% FEDERAL HOME LOAN BANK (FHLB) $16,000,000 6.035%, 09/27/99 .......... AAA $ 16,052 FEDERAL HOME LOAN MORTGAGE CORP (FHLMC) 3,000,000 7.100%, 04/10/07 .......... AAA 3,220 FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 13,000,000 5.940%, 09/10/99 .......... AAA 13,028 10,000,000 5.970%, 10/02/00 .......... AAA 10,025 3,000,000 8.250%, 12/18/00 .......... 3,182 5,000,000 6.850%, 09/12/05 .......... 5,055 5,000,000 6.210%, 11/07/07 .......... 5,020 TENNESSEE VALLEY AUTHORITY DEB 10,000,000 6.250%, 12/15/17 .......... AAA 9,981 US DEPT OF VETERNS (CLASS 2-1) (MTGE PASS-THROUGH CERT) 7,500,000 7.500%, 09/15/17 .......... AAA 7,765 ------- 73,328 ------- GOVERNMENT BONDS--0.06% NEW YORK CITY TAX LIEN SERIES 1996-1 (COLLECTIBLE BOND) 959,308 ^ 6.810%, 05/25/05 .......... AAA 964 ------- MORTGAGE BACKED SECURITIES--22.35% FEDERAL HOME LOAN MORTGAGE CORP (FHLMC) 3,254,380 5.500%, 09/01/00 .......... 3,214 800,025 7.000%, 09/01/10 .......... 815 6,185,386 6.000%, 04/01/11 .......... 6,120 3,138,544 7.000%, 05/01/23 .......... 3,182 3,848,353 8.500%, 07/01/24 .......... 4,025 FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 3,274,578 7.500%, 08/01/01 .......... 3,328 4,082,926 6.000%, 12/01/02 .......... 4,054 1,552,703 6.000%, 12/01/08 .......... 1,537 3,699,624 7.000%, 04/01/09 .......... 3,776 14,992,990 6.500%, 05/01/09 .......... 15,077 3,471,198 7.500%, 11/01/10 .......... 3,571 2,835,130 8.000%, 06/01/11 .......... 2931 813,973 8.000%, 07/01/11 .......... 841 12,408,883 7.000%, 01/01/12 .......... 12,612 1,890,176 6.500%, 02/01/16 .......... 1,877 965,170 6.500%, 03/01/16 .......... 958 1,804,994 6.500%, 04/01/16 .......... 1,794 9,566,278 8.000%, 03/01/23 .......... 9,963 12,543,735 8.500%, 12/01/24 .......... 13,163 4,703,283 9.000%, 11/01/25 .......... 5,015 19,000,000 @ 6.500%, 02/25/28 .......... 18,751 99,000,000 @ 7.000%, 02/25/28 .......... 99,619 48,000,000 @ 7.500%, 02/25/28 .......... 49,080 MOODY'S VALUE PRINCIPAL RATINGS (000) --------- ------- ----- GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) $ 566,228 8.500%, 10/15/09 .......... $ 594 1,161,413 8.500%, 12/15/09 .......... 1,219 4,266,615 9.000%, 12/15/09 .......... 4,608 1,107,834 8.500%, 01/15/10 .......... 1,162 201,933 9.000%, 06/15/16 .......... 220 313,394 9.000%, 08/15/16 .......... 341 652,681 9.000%, 09/15/16 .......... 711 192,148 9.000%, 10/15/16 .......... 209 157,000 9.000%, 11/15/16 .......... 171 691,765 9.000%, 12/15/16 .......... 754 2,785,893 9.500%, 12/15/16 .......... 3,025 275,127 9.000%, 07/15/17 .......... 299 280,703 9.000%, 06/15/20 .......... 305 4,147,556 7.000%, 03/20/22 .......... 4,266 7,584,771 7.000%, 02/20/23 .......... 7,809 6,665,592 6.500%, 09/15/23 .......... 6,617 11,961,097 6.875%, 12/20/23 .......... 12,281 4,157,313 6.500%, 01/15/24 .......... 4,125 2,526,798 6.500%, 03/15/24 .......... 2,507 16,744,743 6.500%, 05/15/24 .......... 16,623 3,745,883 8.000%, 06/15/24 .......... 3,889 5,195,325 6.500%, 09/15/24 .......... 5,154 1,755,850 7.000%, 12/15/25 .......... 1,771 RESOLUTION TRUST CORP SERIES 1992-8 (CLASS A-2) (MTGE PASS-THROUGH CERT) 255,514 8.250%, 12/25/26 .......... AAA 253 ------- 344,216 ------- OTHER MORTGAGE BACKED SECURITIES--0.33% EASTVIEW CREDIT CORP (CLASS A) (COMMERCIAL MTGE PASS-THROUGH) 5,000,000 6.950%, 06/15/04 .......... 5,134 ------- U.S. TREASURY SECURITIES--38.69% U.S. TREASURY BOND 13,000,000 10.375%, 11/15/09 ......... 16,254 7,400,000 12.000%, 08/15/13 ......... 10,903 58,000,000 7.500%, 11/15/16 .......... 67,697 34,300,000 7.625%, 11/15/22 .......... 41,299 46,000,000 6.875%, 08/15/25 .......... 51,290 U.S. TREASURY NOTE 50,000,000 5.625%, 10/31/99 .......... 49,953 5,500,000 5.625%, 11/30/99 .......... 5,495 11,000,000 7.750%, 01/31/00 .......... 11,440 4,000,000 7.125%, 02/29/00 .......... 4,116 4,000,000 6.375%, 05/15/00 .......... 4,060 35,000,000 8.750%, 08/15/00 .......... 37,559 38,000,000 5.625%, 02/28/01 .......... 37,899 8,500,000 6.625%, 07/31/01 .......... 8,739 35,000,000 6.500%, 08/31/01 .......... 35,869 25,000,000 7.500%, 11/15/01 .......... 26,504 61,200,000 6.625%, 04/30/02 .......... 63,208 52,000,000 6.250%, 06/30/02 .......... 53,032 4,000,000 5.750%, 11/30/02 .......... 4,003 26,000,000 6.500%, 08/15/05 .......... 27,129 30,000 6.125%, 08/15/07 .......... 31 5,000,000 8.125%, 08/15/21 .......... 6,307 See notes to financial statements. -25- BOND MARKET ACCOUNT (CONTINUED) VALUE PRINCIPAL (000) --------- ----- U.S. TREASURY SECURITIES--(CONTINUED) U.S. TREASURY STRIP $ 4,000,000 0.000%, 02/15/99 .......... $ 3,758 20,000,000 0.000%, 11/15/01 .......... 16,075 23,000,000 0.000%, 05/15/07 .......... 13,341 ---------- 595,961 ---------- TOTAL GOVERNMENT BONDS (COST $1,004,563)................. 1,019,603 ---------- TOTAL BONDS (COST $1,441,957).................. 1,461,807 ---------- SHARES ------ PREFERRED STOCK--0.89% FOREIGN BANKS, BRANCHES AND AGENCIES--0.35% NB CAPTIAL CORP NOTE 50,000 ^ 8.350%, 09/01/49 .......... 5,465 ---------- REAL ESTATE AGENTS AND MANAGERS--0.54% 160,000 DUKE REALTY INVESTMENTS, INC ..... 8,284 ---------- TOTAL PREFERRED STOCK (COST $13,000) .................... 13,749 ---------- PRINCIPAL --------- SHORT TERM INVESTMENTS--13.73% COMMERCIAL PAPER--13.73% BURLINGTON NORTHERN SANTA FE $ 3,000,000 ~* 7.000%, 01/02/98 .......... 2,999 CSX CORP 25,000,000 ~* 6.100%, 01/14/98 .......... 24,939 DUPONT (E.I.) DE NEMOURS & CO 5,350,000 5.750%, 01/05/98 .......... 5,346 EL PASO NATURAL GAS CO 13,363,000 6.050%, 01/14/98 .......... 13,330 HOUSTON INDUSTRIES FINANCE CO LP 28,500,000 ~* 6.100%, 01/14/98 .......... 28,431 INGERSOLL RAND CO 31,000,000 * 6.050%, 01/14/98 .......... 30,924 LOCKHEED MARTIN 11,804,000 ^ 5.960%, 02/12/98 .......... 11,721 VALUE PRINCIPAL (000) --------- ----- POTLATCH CORP $10,200,000 * 6.000%, 01/14/98 .......... $ 10,175 PRAXAIR, INC 19,000,000 * 6.050%, 01/14/98 .......... 18,954 PUBLIC SERVICE CO OF COLORADO 15,000,000 * 6.100%, 01/14/98 .......... 14,963 TEXAS UTILITIES CO 25,000,000 * 6.070%, 01/14/98 .......... 24,939 25,000,000 *^5.960%, 02/12/98 .......... 24,823 ---------- 211,544 ---------- TOTAL SHORT TERM INVESTMENTS (COST $211,592) ................... 211,544 ---------- TOTAL PORTFOLIO (COST $1,666,549) ................. $1,687,100 ========== - ------------------------ o Non-income producing @ These securities were purchased on a delayed delivery basis. * All or a portion of this security has been segregated by the Custodian to cover margin or other requirements on open futures contracts, covered call options written and securities purchased on a delayed delivery basis. ^ Security is exempt from registration under Rule 144A of the Securities Act of 1933 and may be resold in transactions exempt from registration normally to qualified institutional buyers. At 12/31/97, the value of these securities amounted to $136,458,934 or 8.86% of net assets. ~ Commercial Paper issued under the Private Placement exemption under Section 4(2) of the Securities Act of 1933, as amended. - ------------------------ OTHER INFORMATION The composition of long-term debt holdings as a percentage of total value of investment in securities, is as follows: MOODY'S RATINGS AAA, AA, A 17.29% BAA 13.05% BA 4.11% U.S. Government obligations represent 65.55% of the long term debt portfolio value. Moody's ratings are provided by Moody's Investors Services (Unaudited). See notes to financial statements. -26- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT DECEMBER 31, 1997 SUMMARY BY INDUSTRY (000) VALUE % ------- ----- BONDS CORPORATE BONDS AIR TRANSPORTATION, SCHEDULED .......... $ 14,816 0.64% ASSET BACKED ........................... 56,589 2.44 BLANKBOOKS AND BOOKBINDING ............. 1,064 0.04 BUSINESS CREDIT INSTITUTIONS ........... 4,995 0.21 CABLE AND OTHER PAY TV SERVICES ........ 3,627 0.16 COMMERCIAL BANKS ....................... 28,071 1.21 DEPARTMENT STORES ...................... 18,363 0.79 DRUGS .................................. 5,146 0.22 ELECTRIC SERVICES ...................... 14,965 0.64 FAMILY CLOTHING STORES ................. 5,169 0.22 FIRE, MARINE, AND CASUALTY INSURANCE ... 1,538 0.07 FUNERAL SERVICE AND CREMATORIES ........ 5,226 0.23 GAS PRODUCTION AND DISTRIBUTION ........ 15,907 0.69 GROCERY STORES ......................... 2,095 0.09 HOSPITALS .............................. 3,053 0.13 LIFE INSURANCE ......................... 5,222 0.23 MORTGAGE BANKERS AND BROKERS ........... 1,206 0.05 NEWSPAPERS ............................. 5,002 0.22 PERIODICALS ............................ 12,740 0.55 PERSONAL CREDIT INSTITUTIONS ........... 9,047 0.39 PETROLEUM REFINING ..................... 5,256 0.23 PRESERVED FRUITS AND VEGETABLES ........ 1,941 0.08 RADIO AND TELEVISION BROADCASTING ...... 206 0.01 RAILROADS .............................. 6,483 0.28 SECURITY BROKERS AND DEALERS ........... 15,215 0.66 TELEPHONE COMMUNICATIONS ............... 27,618 1.19 -------- ----- TOTAL CORPORATE BONDS (COST $266,517) ........................ 270,560 11.67 -------- ----- GOVERNMENT BONDS AGENCY SECURITIES ...................... 37,019 1.60 MORTGAGE BACKED SECURITIES ............. 241,351 10.41 U.S. TREASURY SECURITIES ............... 352,103 15.19 ------- ----- TOTAL GOVERNMENT BONDS (COST $615,630) ........................ 630,473 27.20 ------- ----- TOTAL BONDS (COST $882,147) ........................ 901,033 38.87 ------- ----- COMMON STOCK AIR TRANSPORTATION, SCHEDULED .......... 16,935 0.73 APPAREL, PIECE GOODS, AND NOTIONS ...... 4,757 0.21 AUTOMOTIVE RENTALS, NO DRIVERS ......... 111 0.01 BEVERAGES .............................. 36,466 1.57 BLANKBOOKS AND BOOKBINDING ............. 435 0.02 BLAST FURNACE AND BASIC STEEL PRODUCTS ........................ 5,163 0.22 BOOKS .................................. 3,448 0.15 CABLE AND OTHER PAY TV SERVICES ........ 7,220 0.31 COMBINATION UTILITY SERVICES ........... 11,541 0.50 COMMERCIAL BANKS ....................... 134,347 5.80 COMMUNICATIONS EQUIPMENT ............... 732 0.03 COMPUTER AND DATA PROCESSING SERVICES ................... 48,863 2.11 COMPUTER AND OFFICE EQUIPMENT .......... 78,418 3.38 CREDIT REPORTING AND COLLECTION ........ 7,028 0.30 DEPARTMENT STORES ...................... 26,444 1.14 DRUG STORES AND PROPRIETARY STORES ..... 275 0.01 VALUE % ------- ----- DRUGS .................................. $ 70,155 3.03% DRUGS, PROPRIETARIES, AND SUNDRIES ..... 11,382 0.49 EATING AND DRINKING PLACES ............. 12,590 0.54 ELECTRIC LIGHTING AND WIRING EQUIPMENT ...................... 1,006 0.04 ELECTRIC SERVICES ...................... 21,585 0.93 ELECTRICAL GOODS ....................... 4,827 0.21 ELECTRICAL INDUSTRIAL APPARATUS ........ 299 0.01 ELECTRONIC COMPONENTS AND ACCESSORIES ....................... 31,776 1.37 ENGINES AND TURBINES ................... 6,332 0.27 FAMILY CLOTHING STORES ................. 1,132 0.05 FARM AND GARDEN MACHINERY .............. 6,193 0.27 FEDERAL AND FEDERALLY SPONSORED CREDIT AGENCIES ....................... 32,256 1.39 FIRE, MARINE, AND CASUALTY INSURANCE ... 9,369 0.40 FUNERAL SERVICE AND CREMATORIES ........ 1,385 0.06 GAS PRODUCTION AND DISTRIBUTION ........ 19,878 0.86 GENERAL INDUSTRIAL MACHINERY ........... 8,767 0.38 GOLD AND SILVER ORES ................... 3,601 0.16 GRAIN MILL PRODUCTS .................... 30,439 1.31 GROCERIES AND RELATED PRODUCTS ......... 3,299 0.14 GROCERY STORES ......................... 6,551 0.28 HOLDING OFFICES ........................ 4,301 0.19 HOSPITALS .............................. 9,925 0.43 HOUSEHOLD APPLIANCES ................... 3,487 0.15 INDUSTRIAL INORGANIC CHEMICALS ......... 14,468 0.62 INDUSTRIAL MACHINERY, NEC .............. 809 0.03 INSURANCE AGENTS, BROKERS, AND SERVICE ........................... 3,661 0.16 LIFE INSURANCE ......................... 55,397 2.39 LUMBER AND OTHER BUILDING MATERIALS .... 8,416 0.36 MEDICAL INSTRUMENTS AND SUPPLIES ....... 56,309 2.43 MEDICAL SERVICE AND HEALTH INSURANCE ... 447 0.02 MEN'S AND BOYS' FURNISHINGS ............ 671 0.03 MISCELLANEOUS AMUSEMENT, RECREATION SERVICES ................... 113 0.00 MISCELLANEOUS CHEMICAL PRODUCTS ........ 14,518 0.63 MISCELLANEOUS CONVERTED PAPER PRODUCTS ........................ 8,817 0.38 MISCELLANEOUS FOOD AND KINDRED PRODUCTS ...................... 162 0.01 MISCELLANEOUS NONMETALLIC MINERAL PRODUCTS ...................... 18,677 0.81 MISCELLANEOUS PETROLEUM AND COAL PRODUCTS ......................... 1,328 0.06 MISCELLANEOUS PLASTICS PRODUCTS, NEC ... 5,374 0.23 MISCELLANEOUS SHOPPING GOOD STORES ..... 1,445 0.06 MISCELLANEOUS TRANSPORTATION EQUIPMENT ............................. 509 0.02 MORTGAGE BANKERS AND BROKERS ........... 7,942 0.34 MOTION PICTURE PRODUCTION AND SERVICES .......................... 21,125 0.91 MOTOR VEHICLES AND EQUIPMENT ........... 12,343 0.53 MOTOR VEHICLES, PARTS, AND SUPPLIES .... 6,511 0.28 NATURAL GAS LIQUIDS .................... 1,642 0.07 NEWSPAPERS ............................. 18,833 0.81 NONSTORE RETAILERS ..................... 4,742 0.20 See notes to financial statements. -27- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT DECEMBER 31, 1997 SUMMARY BY INDUSTRY(CONTINUED) (000) VALUE % ----------- ------- OIL AND GAS EXTRACTION ................. $ 32,330 1.39% OIL AND GAS FIELD SERVICES ............. 25,451 1.10 OPERATIVE BUILDERS ..................... 1,464 0.06 OPHTHALMIC GOODS ....................... 1,220 0.05 PAPER AND PAPER PRODUCTS ............... 1,795 0.08 PAPER MILLS ............................ 15,517 0.67 PASSENGER TRANSPORTATION ARRANGEMENT ........................... 16,601 0.72 PERIODICALS ............................ 9,855 0.43 PERSONAL CREDIT INSTITUTIONS ........... 5,834 0.25 PERSONNEL SUPPLY SERVICES .............. 2,992 0.13 PETROLEUM AND PETROLEUM PRODUCTS ....... 2,767 0.12 PETROLEUM REFINING ..................... 6,096 0.26 PHOTOGRAPHIC EQUIPMENT AND SUPPLIES .... 9,883 0.43 PLASTICS MATERIALS AND SYNTHETICS ...... 1,155 0.05 PRESERVED FRUITS AND VEGETABLES ........ 27,147 1.17 PRIMARY NONFERROUS METALS .............. 2,999 0.13 RADIO AND TELEVISION BROADCASTING ...... 3,189 0.14 RADIO, TELEVISION, AND COMPUTER STORES ....................... 77 0.00 RAILROADS .............................. 12,978 0.56 REAL ESTATE OPERATORS AND LESSORS ...... 6,913 0.30 SAVINGS INSTITUTIONS ................... 5,707 0.25 SEARCH AND NAVIGATION EQUIPMENT ........ 796 0.03 SECURITY AND COMMODITY SERVICES ........ 2,663 0.12 VALUE % ----------- ------- SECURITY BROKERS AND DEALERS ........... $ 26,760 1.16% SOAP, CLEANERS, AND TOILET GOODS ....... 68,969 2.98 SPECIAL INDUSTRY MACHINERY ............. 2,899 0.13 SUGAR AND CONFECTIONERY PRODUCTS ....... 10,972 0.47 TELEPHONE COMMUNICATIONS ............... 123,718 5.34 TIRES AND INNER TUBES .................. 1,288 0.06 TOYS AND SPORTING GOODS ................ 6,612 0.28 TRUCKING AND COURIER SERVICES, EXCEPT AIR ............................ 4,535 0.20 VARIETY STORES ......................... 2,810 0.12 WOMEN'S ACCESSORY AND SPECIALTY STORES ...................... 429 0.02 WOMEN'S AND MISSES' OUTERWEAR .......... 657 0.03 ---------- ------ TOTAL COMMON STOCK (COST $741,361) ....................... 1,392,055 60.06 ---------- ------ SHORT TERM INVESTMENTS COMMERCIAL PAPER ..................... 133,304 5.75 ---------- ------ TOTAL SHORT TERM INVESTMENTS (COST $133,336) ....................... 133,304 5.75 ---------- ------ TOTAL PORTFOLIO (COST $1,756,844) ..................... 2,426,392 104.68 ---------- ------ OTHER ASSETS & LIABILITIES, NET ..... (108,404) (4.68) ---------- ------ NET ASSETS ............................... $2,317,988 100.00% ========== ====== See notes to financial statements. -28- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--SOCIAL CHOICE ACCOUNT DECEMBER 31, 1997 MOODY'S VALUE PRINCIPAL RATINGS (000) --------- ------- ----- BONDS--38.87% CORPORATE BONDS--11.67% AIR TRANSPORTATION, SCHEDULED--0.64% DELTA AIRLINES, INC SERIES 1992-B1 (PASS-THRU CERT) $2,498,262 8.270%, 09/23/07 ............ BAA1 $ 2,757 DELTA AIRLINES DEB 4,999,589 8.950%, 01/12/12 ............ BAA1 5,693 UNITED AIR LINES DEB 4,975,000 9.750%, 08/15/21 ............ BAA3 6,366 ------- 14,816 ------- ASSET BACKED--2.44% AMERICAN EXPRESS MASTER TRUST SERIES 1994-2 (CLASS A) 3,125,000 7.600%, 08/15/02 ............ AAA 3,271 CHASE COMMERCIAL MORTGAGE SECURITIES CORP SERIES 1997-2 (CLASS A2) 10,000,000 6.600%, 11/19/07 ............ AAA 10,094 CHASE CREDIT CARD MASTER TRUST SERIES 1997-2 (CLASS B) 8,000,000 6.450%, 04/15/03 ............ A2 8,048 CITIBANK CREDIT CARD MASTER TRUST SERIES 1997-2 (CLASS B) 3,000,000 6.700%, 02/15/04 ............ A2 3,052 EQCC HOME EQUITY LOAN TRUST SERIES 1997-1 (CLASS A2) 5,000,000 6.610%, 06/15/06 ............ AAA 5,027 EQUICREDIT HOME EQUITY LOAN TRUST SERIES 1996-3 (CLASS A4) 3,000,000 6.700%, 06/15/08 ............ AAA 3,004 FLEETWOOD CREDIT GRANTOR TRUST SERIES 1993-B (CLASS A) 2,953,807 4.950%, 08/15/08 ............ AAA 2,890 NATIONSCREDIT GRANTOR TRUST SERIES 1997-2 (CLASS A1) 4,765,643 6.350%, 04/15/14 ............ AAA 4,786 NATIONSBANK AUTO OWNER TRUST SERIES 1996-A (CLASS A2) 1,039,630 6.125%, 07/15/99 ............ AAA 1,040 NATIONSBANK CREDIT CARD MASTER TRUST SERIES 1993-2 (CLASS B) 7,000,000 6.250%, 12/15/05 ............ A2 6,950 STANDARD CREDIT CARD MASTER TRUST SERIES 1991-6 (CLASS B) 2,570,000 8.350%, 01/07/00 ............ A2 2,619 UCFCM SERIES 1997-2 (CLASS B1) 5,775,931 7.370%, 02/15/18 ............ BAA2 5,808 ------- 56,589 ------- BLANKBOOKS AND BOOKBINDING--0.04% DELUXE CORP DEB 1,000,000 8.550%, 02/15/01 ............ A1 1,064 ------- MOODY'S VALUE PRINCIPAL RATINGS (000) --------- ------- ----- BUSINESS CREDIT INSTITUTIONS--0.21% FINOVA CAPITAL CORP DEB $5,000,000 ^ 6.125%, 11/01/99 ............ BAA1 $ 4,995 ------- CABLE AND OTHER PAY TV SERVICES--0.16% COX COMMUNICIATIONS, INC NOTE (CLASS A) 3,500,000 8.700%, 06/15/99 ............ BAA2 3,627 ------- COMMERCIAL BANKS--1.21% BANC ONE CORP (MEDIUM TERM NOTE) 5,000,000 7.000%, 03/25/02 ............ AA3 5,128 BANKAMERICA CORP (SUBORDINATED NOTE) 2,000,000 9.750%, 07/01/00 ............ A1 2,160 BANKERS TRUST NEW YORK CORP NOTE 5,000,000 6.750%, 10/03/01 ............ A2 5,067 CHASE MANHATTAN CORP (SUBORDINATED NOTE) 5,000,000 8.500%, 02/15/02 ............ A1 5,403 CHASE MANHATTAN BANK (SR NOTE) 5,000,000 5.875%, 08/04/99 ............ AA2 4,981 WACH0VIA CAPITAL TRUST DEB 5,000,000 ^ 7.965%, 06/01/27 ............ AA3 5,332 ------- 28,071 ------- DEPARTMENT STORES--0.79% DILLIARD DEPARTMENT STORES, INC NOTE 2,000,000 7.150%, 09/01/02 ............ A2 2,072 MAY DEPARTMENT STORES CO NOTE 3,000,000 7.150%, 08/15/04 ............ A2 3,117 SEARS ROEBUCK ACCEPTANCE CORP (MEDIUM TERM NOTE) 5,000,000 6.990%, 09/30/02 ............ A2 5,140 WAL-MART STORES, INC NOTE 5,500,000 8.625%, 04/01/01 ............ AA2 5,891 WAL-MART STORES, INC DEB 2,000,000 7.250%, 06/01/13 ............ AA2 2,143 ------- 18,363 ------- DRUGS--0.22% MERCK & CO, INC (MEDIUM TERM NOTE) 5,000,000 5.760%, 05/03/37 ............ AAA 5,146 ------- ELECTRIC SERVICES--0.64% IDAHO POWER CO (FIRST MORTGAGE BOND) 9,000,000 8.650%, 01/01/00 ............ A2 9,432 PUGET SOUND POWER & LIGHT CO (MEDIUM TERM NOTE) 5,000,000 8.060%, 06/19/06 ............ BAA1 5,533 ------- 14,965 ------- See notes to financial statements. -29- SOCIAL CHOICE ACCOUNT (CONTINUED) MOODY'S VALUE PRINCIPAL RATINGS (000) --------- ------- ----- FAMILY CLOTHING STORES--0.22% GAP, INC NOTE $5,000,000 6.900%, 09/15/07 ............ A2 $ 5,169 ------- FIRE, MARINE, AND CASUALTY INSURANCE--0.07% CHUBB CAPITAL CORP NOTE 1,500,000 6.875%, 02/01/03 ............ AA2 1,538 ------- FUNERAL SERVICE AND CREMATORIES--0.23% SERVICE CORP INTERNATIONAL NOTE 5,000,000 7.375%, 04/15/04 ............ BAA1 5,226 ------- GAS PRODUCTION AND DISTRIBUTION--0.69% EL PASO NATURAL GAS CO NOTE 5,000,000 6.750%, 11/15/03 ............ BAA2 5,093 SONAT, INC NOTE 5,000,000 6.750%, 10/01/07 ............ A3 5,091 TEXAS GAS TRANSMISSION DEB 5,500,000 7.250%, 07/15/27 ............ BAA1 5,723 ------- 15,907 ------- GROCERY STORES--0.09% KROGER CO (SUBORDINATED NOTE) 2,000,000 10.000%, 05/01/99 ........... BA2 2,095 ------- HOSPITALS--0.13% TENET HEALTHCARE CORP (SR NOTE) 3,000,000 8.000%, 01/15/05 ............ BA1 3,053 ------- LIFE INSURANCE--0.23% HANCOCK (JOHN) MUTUAL LIFE INSURANCE CO (SURPLUS NOTE) 3,000,000 7.375%, 02/15/24 ............ A1 3,148 TRAVELERS CAPITAL CORP DEB 2,000,000 7.750%, 12/01/36 ............ AA3 2,074 ------- 5,222 ------- MORTGAGE BANKERS AND BROKERS--0.05% FLEET MORTGAGE GROUP, INC NOTE 1,200,000 6.500%, 09/15/99 ............ A2 1,206 ------- NEWSPAPERS--0.22% COX ENTERPRISES SERIES 1997-1 (PASS THRU CERT) 5,000,000 ^ 6.250%, 08/26/99 ............ BAA1 5,002 ------- PERIODICALS--0.55% TIME WARNER, INC (PASS-THRU ASSET TRUST) 8,000,000 ^ 4.900%, 07/29/99 ............ BA1 7,841 TIME WARNER, INC (PASS-THRU CERT) 5,000,000 ^ 6.100%, 12/30/01 ............ BA1 4,899 ------- 12,740 ------- PERSONAL CREDIT INSTITUTIONS--0.39% CAPITAL ONE BANK (SR NOTE) 5,000,000 7.200%, 07/19/99 ............ BAA3 5,069 MOODY'S VALUE PRINCIPAL RATINGS (000) --------- ------- ----- HOUSEHOLD INTERNATIONAL NETHERLANDS BV (SR NOTE) $4,000,000 5.250%, 10/15/98 ............ A3 $ 3,978 ------- 9,047 ------- PETROLEUM REFINING--0.23% LYONDELL PETROCHEMICAL CO NOTE 5,000,000 10.000%, 06/01/99 ........... BAA3 5,256 ------- PRESERVED FRUITS AND VEGETABLES--0.08% CAMPBELL SOUP CO NOTE 2,000,000 5.625%, 09/15/03 ............ AA3 1,941 ------- RADIO AND TELEVISION BROADCASTING--0.01% VIACOM INTERNATIONAL, INC (SUBORDINATED DEB) 205,000 8.000%, 07/07/06 ............ B1 206 ------- RAILROADS--0.28% NORFOLK SOUTHERN CORP NOTE 3,000,000 6.950%, 05/01/02 ............ BAA1 3,077 3,000,000 7.900%, 05/15/97 ............ BAA1 3,406 ------- 6,483 ------- SECURITY BROKERS AND DEALERS--0.66% MERRILL LYNCH & CO NOTE 5,000,000 6.550%, 08/01/04 ............ AA3 5,044 MORGAN STANLEY GROUP, INC (SR NOTE) 5,000,000 9.750%, 02/15/03 ............ A1 5,198 SALOMON SMITH BARNEY HOLDINGS NOTE 5,000,000 6.375%, 10/01/04 ............ A2 4,973 ------- 15,215 ------- TELEPHONE COMMUNICATIONS--1.19% NEW YORK TELEPHONE CO DEB 7,000,000 9.375%, 07/15/31 ............ A2 7,934 3,000,000 7.250%, 02/15/24 ............ A2 3,043 TCI COMMUNICATIONS, INC (SR NOTE) 6,000,000 6.375%, 09/15/99 ............ BA1 6,001 US WEST CAPITAL FUNDING, INC (GUARANTEED NOTE) 3,000,000 6.950%, 01/15/37 ............ BAA1 3,090 U.S. WEST COMMUNICATIONS, INC NOTE 2,500,000 6.125%, 11/15/05 ............ AA3 2,466 U.S. WEST COMMUNICATIONS, INC NOTE 5,000,000 6.625%, 09/15/05 ............ AA3 5,084 ------- 27,618 ------- TOTAL CORPORATE BONDS (COST $266,517) ............... 270,560 ------- See notes to financial statements. -30- SOCIAL CHOICE ACCOUNT (CONTINUED) MOODY'S VALUE PRINCIPAL RATINGS (000) --------- ------- ----- GOVERNMENT BONDS--27.20% AGENCY SECURITIES--1.60% FEDERAL HOME LOAN MORTGAGE CORP (FHLMC) $ 5,000,000 7.090%, 11/24/06 $ 5,041 FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 5,000,000 5.970%, 10/02/00 ............ AAA 5,013 2,000,000 6.375%, 10/13/00 ............ 2,000 1,000,000 8.250%, 12/18/00 ............ 1,061 1,000,000 7.400%, 07/01/04 ............ 1,076 9,000,000 7.875%, 02/24/05 ............ 9,944 8,000,000 5.800%, 02/22/06 ............ 7,864 5,000,000 6.210%, 11/07/07 ............ 5,020 ------- 37,019 ------- MORTGAGE BACKED SECURITIES--10.41% FEDERAL HOME LOAN MORTGAGE CORP (FHLMC) 2,045,000 6.000%, 10/15/10 ............ 2,041 4,236,022 6.000%, 03/01/11 ............ 4,191 1,256,161 7.000%, 05/01/23 ............ 1,274 3,848,353 8.500%, 07/01/24 ............ 4,025 FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 4,082,926 6.000%, 12/01/02 ............ 4,054 539,933 8.500%, 02/01/05 ............ 555 1,702,341 7.500%, 06/01/11 ............ 1,749 1,337,010 8.000%, 06/01/11 ............ 1,382 1,627,944 8.000%, 07/01/11 ............ 1,682 430,143 7.500%, 08/01/11 ............ 442 683,917 7.500%, 09/01/11 ............ 703 1,569,248 7.500%, 10/01/11 ............ 1,612 9,832,261 7.000%, 04/01/12 ............ 9,980 6,354,341 6.500%, 09/01/12 ............ 6,365 2,623,633 8.000%, 03/01/23 ............ 2,732 8,362,491 8.500%, 12/01/24 ............ 8,775 19,500,000 @ 6.500%, 02/25/28 ............ 19,244 65,500,000 @ 7.000%, 02/25/28 ............ 65,910 36,000,000 @ 7.500%, 02/25/28 ............ 36,811 GOVERNMENT NATIONAL MORTGAGE ASSOCIATION (GNMA) 683,371 8.500%, 09/15/09 ............ 717 614,819 8.500%, 10/15/09 ............ 645 501,909 8.500%, 12/15/09 ............ 527 4,125,261 9.000%, 12/15/09 ............ 4,456 3,890,866 9.000%, 12/15/17 ............ 4,239 395,386 9.000%, 03/15/20 ............ 429 260,948 9.000%, 08/15/20 ............ 283 4,147,556 7.000%, 03/20/22 ............ 4,266 4,015,406 8.000%, 06/15/22 ............ 4,187 4,352,425 7.125%, 07/20/22 ............ 4,471 4,460,645 6.875%, 10/20/22 ............ 4,592 4,084,110 7.000%, 02/20/23 ............ 4,205 4,225,250 7.125%, 07/20/23 ............ 4,328 5,999,883 7.000%, 10/15/23 ............ 6,071 2,345,637 7.000%, 11/15/23 ............ 2,374 6,163,627 6.875%, 12/20/23 ............ 6,328 3,535,799 7.375%, 05/20/24 ............ 3,643 6,975,105 7.000%, 09/15/24 ............ 7,059 4,864,137 5.500%, 04/20/27 ............ 4,922 MOODY'S VALUE PRINCIPAL RATINGS (000) --------- ------- ----- RESOLUTION TRUST CORP SERIES 1992-8 (CLASS A-2) (MTGE PASS-THRU CERT) $ 82,987 8.250%, 12/25/26 ............ AAA $ 82 ------- 241,351 ------- U.S. TREASURY SECURITIES--15.19% U.S. TREASURY BOND 15,400,000 12.000%, 08/15/13 ............ 22,691 34,000,000 7.500%, 11/15/16 ............ 39,684 31,000,000 8.500%, 02/15/20 ............ 40,300 6,000,000 7.625%, 11/15/22 ............ 7,224 29,000,000 6.875%, 08/15/25 ............ 32,335 U.S. TREASURY NOTE 18,000,000 6.750%, 05/31/99 ............ 18,264 20,000,000 6.875%, 07/31/99 ............ 20,356 22,500,000 7.750%, 01/31/00 ............ 23,400 32,500,000 * 6.250%, 05/31/00 ............ 32,906 23,000,000 6.375%, 03/31/01 ............ 23,431 4,000,000 6.500%, 08/31/01 ............ 4,099 31,500,000 7.500%, 11/15/01 ............ 33,395 39,000,000 6.625%, 04/30/02 ............ 40,280 5,000,000 5.750%, 08/15/03 ............ 5,003 8,500,000 6.125%, 08/15/07 ............ 8,735 ------- 352,103 ------- TOTAL GOVERNMENT BONDS (COST $615,630) ............... 630,473 ------- TOTAL BONDS (COST $882,147) ................ 901,033 ------- SHARES ------ COMMON STOCK--60.06% AIR TRANSPORTATION, SCHEDULED--0.73% 44,700 oAMR CORP ............................. 5,744 63,900 DELTA AIRLINES, INC .................. 7,604 66,375 SOUTHWEST AIRLINES CO ................ 1,634 20,300 oUAL CORP ............................ 1,878 1,200 oUS AIRWAYS GROUP, INC ................ 75 ---------- 16,935 ---------- APPAREL, PIECE GOODS, AND NOTIONS--0.21% 121,200 NIKE, INC (CLASS B) .................. 4,757 ---------- AUTOMOTIVE RENTALS, NO DRIVERS--0.01% 3,400 RYDER SYSTEM, INC .................... 111 ---------- BEVERAGES--1.57% 529,600 COCA COLA CO ......................... 35,285 33,200 COCA COLA ENTERPRISES, INC ........... 1,181 ---------- 36,466 ---------- BLANKBOOKS AND BOOKBINDING--0.02% 12,600 DELUXE CORP .......................... 435 ---------- BLAST FURNACE AND BASIC STEEL PRODUCTS--0.22% 27,600 BIRMINGHAM STEEL CORP ................ 435 64,100 NUCOR CORP ........................... 3,097 98,850 WORTHINGTON INDUSTRIES, INC .......... 1,631 ---------- 5,163 ---------- See notes to financial statements. -31- SOCIAL CHOICE ACCOUNT (CONTINUED) VALUE SHARES (000) ------ --------- BOOKS--0.15% 46,600 MCGRAW HILL COS, INC ................. $ 3,448 ---------- CABLE AND OTHER PAY TV SERVICES--0.31% 6,300 COMCAST CORP (CLASS A) ............... 201 18,150 COMCAST CORP (CLASS A) SPECIAL ....... 573 55,745 oCOX COMMUNICATIONS, INC (CLASS A) ........................... 2,233 13,320 oTCI SATELLITE ENTERTAINMENT (CLASS A) ........................... 92 93,394 oTELE-COMMUNICATIONS, INC (CLASS A) ........................... 2,609 53,406 oTELECOM-TCI VENTURES GROUP (CLASS A) ........................... 1,512 ---------- 7,220 ---------- COMBINATION UTILITY SERVICES--0.50% 118,700 NIPSCO INDUSTRIES, INC ............... 5,868 207,700 PACIFICORP ........................... 5,673 ---------- 11,541 ---------- COMMERCIAL BANKS--5.80% 165,265 BANC ONE CORP ........................ 8,976 80,800 BANK OF NEW YORK CO, INC ............. 4,671 226,200 BANKAMERICA CORP ..................... 16,513 13,600 BANKERS TRUST NEW YORK CORP .......... 1,529 39,800 BARNETT BANKS, INC ................... 2,861 101,800 CHASE MANHATTAN CORP ................. 11,147 121,191 CITICORP CO .......................... 15,323 38,200 CORESTATES FINANCIAL CORP ............ 3,058 82,140 FIRST CHICAGO NBD CORP ............... 6,859 55,167 FLEET FINANCIAL GROUP, INC ........... 4,134 12,800 KEYCORP .............................. 906 140,350 MBNA CORP ............................ 3,833 77,500 MORGAN (J.P.) & CO, INC .............. 8,748 179,672 NATIONSBANK CORP ..................... 10,926 209,600 NORWEST CORP ......................... 8,096 104,600 PNC BANK CORP ........................ 5,969 99,000 SUNTRUST BANKS, INC .................. 7,066 29,330 U.S. BANCORP ......................... 3,283 58,400 WACHOVIA CORP ........................ 4,738 16,824 WELLS FARGO & CO ..................... 5,711 ---------- 134,347 ---------- COMMUNICATIONS EQUIPMENT--0.03% 24,200 oDSC COMMUNICATIONS CORP .............. 581 15,300 oGLENAYRE TECHNOLOGIES, INC ........... 151 ---------- 732 ---------- COMPUTER AND DATA PROCESSING SERVICES--2.11% 92,000 AUTOMATIC DATA PROCESSING, INC ...................... 5,647 114,825 COMPUTER ASSOCIATES INTERNATIONAL, INC ................... 6,071 247,600 oMICROSOFT CORP ....................... 32,002 82,200 oNOVELL, INC .......................... 617 202,862 oORACLE CORP .......................... 4,526 ---------- 48,863 ---------- COMPUTER AND OFFICE EQUIPMENT--3.38% 48,300 oAPPLE COMPUTER, INC .................. 634 191,850 oCISCO SYSTEMS, INC ................... 10,696 216,455 COMPAQ COMPUTER CORP ................. 12,216 10,462 DIEBOLD, INC ......................... 530 286,400 HEWLETT-PACKARD CO ................... 17,900 VALUE SHARES (000) ------ --------- 7,840 oIMATION CORP ......................... $ 125 271,800 INTERNATIONAL BUSINESS MACHINES CORP ........................ 28,420 54,900 PITNEY BOWES, INC .................... 4,938 74,200 oSUN MICROSYSTEMS, INC ............... 2,959 ---------- 78,418 ---------- CREDIT REPORTING AND COLLECTION--0.30% 32,900 oACNEILSEN CORP ....................... 802 98,700 COGNIZANT CORP ....................... 4,398 59,100 DUN & BRADSTREET CORP ................ 1,828 ---------- 7,028 ---------- DEPARTMENT STORES--1.14% 1,000 oFEDERATED DEPARTMENT STORES, INC ......................... 43 33,600 MAY DEPARTMENT STORES CO ............. 1,770 60,200 PENNEY, (J.C.) CO, INC ............... 3,631 532,500 WAL-MART STORES, INC ................. 21,000 ---------- 26,444 ---------- DRUG STORES AND PROPRIETARY STORES--0.01% 4,300 CVS CORP ............................. 275 ---------- DRUGS--3.03% 44,700 ALLERGAN, INC ........................ 1,500 2,405 oCRESCENDO PHARMACEUTICALS CORP ....... 28 24,600 oFOREST LABORATORIES, INC ............. 1,213 36,800 oGENZYME CORP (GENERAL DIVISION) .................. 1,021 3,588 oGENZYME CORP (TISSUE REPAIR DIVISION) ............ 25 23,400 oIVAX CORP ............................ 158 54,500 MALLINCKRODT, INC .................... 2,071 4,410 MARK IV INDUSTRIES, INC .............. 96 374,000 MERCK & CO, INC ...................... 39,738 34,500 MYLAN LABORATORIES, INC .............. 722 379,600 SCHERING-PLOUGH CORP ................. 23,583 ---------- 70,155 ---------- DRUGS, PROPRIETARIES, AND SUNDRIES--0.49% 87,900 oAMGEN, INC ........................... 4,758 12,402 BERGEN BRUNSWIG CORP (CLASS A) ....... 522 56,400 MCKESSON CORP ........................ 6,102 ---------- 11,382 ---------- EATING AND DRINKING PLACES--0.54% 102,200 DARDEN RESTAURANTS, INC .............. 1,278 236,900 MCDONALDS CORP ....................... 11,312 ---------- 12,590 ---------- ELECTRIC LIGHTING AND WIRING EQUIPMENT--0.04% 21,300 THOMAS & BETTS CORP .................. 1,006 ---------- ELECTRIC SERVICES--0.93% 32,500 IDAHO POWER CO ....................... 1,223 104,700 LOUISVILLE GAS & ELECTRIC ENERGY CORP ......................... 2,591 33,100 OGE ENERGY CORP ...................... 1,810 279,800 POTOMAC ELECTRIC POWER CO ............ 7,222 126,800 PUGET SOUND ENERGY, INC .............. 3,828 174,600 TECO ENERGY, INC ..................... 4,911 ---------- 21,585 ---------- See notes to financial statements. -32- SOCIAL CHOICE ACCOUNT (CONTINUED) VALUE SHARES (000) ------ --------- ELECTRICAL GOODS--0.21% 24,400 AVNET, INC ........................... $ 1,610 33,100 GRAINGER (W.W.), INC ................. 3,217 ---------- 4,827 ---------- ELECTRICAL INDUSTRIAL APPARATUS--0.01% 13,800 BALDOR ELECTRIC CO ................... 299 ---------- ELECTRONIC COMPONENTS AND ACCESSORIES--1.37% 30,800 oADVANCED MICRO DEVICES, INC .......... 552 367,700 INTEL CORP ........................... 25,831 48,700 oMICRON TECHNOLOGY, INC ............... 1,266 35,770 MOLEX, INC ........................... 1,149 43,500 oNATIONAL SEMICONDUCTOR CORP .......... 1,128 78,296 oVISHAY INTERTECHNOLOGY, INC .......... 1,850 ---------- 31,776 ---------- ENGINES AND TURBINES--0.27% 30,600 CUMMINS ENGINE CO, INC ............... 1,807 107,900 DRESSER INDUSTRIES, INC .............. 4,525 ---------- 6,332 ---------- FAMILY CLOTHING STORES--0.05% 31,950 GAP, INC ............................. 1,132 ---------- FARM AND GARDEN MACHINERY--0.27% 106,200 DEERE & CO ........................... 6,193 ---------- FEDERAL AND FEDERALLY- SPONSORED CREDIT AGENCIES--1.39% 372,600 FEDERAL NATIONAL MORTGAGE ASSOCIATION ................ 21,261 191,200 FREDDIE MAC .......................... 8,018 21,400 SLM HOLDING CORP ..................... 2,977 ---------- 32,256 ---------- FIRE, MARINE, AND CASUALTY INSURANCE--0.40% 102,353 ALLSTATE CORP ........................ 9,301 1,400 SAFECO CORP .......................... 68 ---------- 9,369 ---------- FUNERAL SERVICE AND CREMATORIES--0.06% 37,500 SERVICE CORP INTERNATIONAL ........... 1,385 ---------- GAS PRODUCTION AND DISTRIBUTION--0.86% 33,400 EL PASO NATURAL GAS CO ............... 2,221 24,600 EQUITABLE RESOURCES, INC ............. 870 30,800 KEYSPAN ENERGY CORP .................. 1,134 18,800 MCN ENERGY GROUP, INC ................ 759 55,700 NICOR, INC ........................... 2,350 9,200 PEOPLES ENERGY CORP .................. 362 134,900 SONAT, INC ........................... 6,172 211,800 WILLIAMS COS, INC .................... 6,010 ---------- 19,878 ---------- GENERAL INDUSTRIAL MACHINERY--0.38% 23,500 FEDERAL-MOGUL CORP ................... 952 46,800 GRACO, INC ........................... 1,746 25,900 NORDSON CORP ......................... 1,188 30,238 TIMKEN CO ............................ 1,039 85,270 TYCO INTERNATIONAL LTD ............... 3,842 ---------- 8,767 ---------- VALUE SHARES (000) ------ --------- GOLD AND SILVER ORES--0.16% 122,593 NEWMONT MINING CORP .................. $ 3,601 ---------- GRAIN MILL PRODUCTS--1.31% 74,400 CPC INTERNATIONAL, INC ............... 8,035 102,000 GENERAL MILLS, INC ................... 7,306 183,600 KELLOGG CO ........................... 9,111 113,500 QUAKER OATS CO ....................... 5,987 ---------- 30,439 ---------- GROCERIES AND RELATED PRODUCTS--0.14% 72,400 SYSCO CORP ........................... 3,299 ---------- GROCERY STORES--0.28% 88,300 ALBERTSONS, INC ...................... 4,183 47,600 AMERICAN STORES CO ................... 979 37,600 oKROGER CO ............................ 1,389 ---------- 6,551 ---------- HOLDING OFFICES--0.19% 108,200 SIGMA ALDRICH CORP ................... 4,301 ---------- HOSPITALS--0.43% 188,955 COLUMBIA/HCA HEALTHCARE CORP ......... 5,598 11,700 oHUMANA, INC .......................... 243 123,300 oTENET HEALTHCARE CORP ................ 4,084 ---------- 9,925 ---------- HOUSEHOLD APPLIANCES--0.15% 63,400 WHIRLPOOL CORP ....................... 3,487 ---------- INDUSTRIAL INORGANIC CHEMICALS--0.62% 94,600 AIR PRODUCTS & CHEMICALS, INC ........ 7,781 148,600 PRAXAIR, INC ......................... 6,687 ---------- 14,468 ---------- INDUSTRIAL MACHINERY, NEC--0.03% 49,200 oUNOVA, INC ........................... 809 ---------- INSURANCE AGENTS, BROKERS, AND SERVICE--0.16% 49,100 MARSH & MCLENNAN COS, INC ............ 3,661 ---------- LIFE INSURANCE--2.39% 289,545 AMERICAN INTERNATIONAL GROUP, INC .... 31,488 49,700 CHUBB CORP ........................... 3,759 9,300 CIGNA CORP ........................... 1,609 11,958 CONSECO, INC ......................... 543 14,900 GENERAL REINSURANCE CORP ............. 3,159 275,432 TRAVELERS GROUP, INC ................. 14,839 ---------- 55,397 ---------- LUMBER AND OTHER BUILDING MATERIALS--0.36% 142,950 HOME DEPOT, INC ...................... 8,416 ---------- MEDICAL INSTRUMENTS AND SUPPLIES--2.43% 48,100 oALZA CORP ............................ 1,530 6,680 oALZA CORP WTS 12/31/99 ............... 1 218,800 BECTON DICKINSON & CO ................ 10,940 6,500 BIOMET, INC .......................... 167 51,900 oBOSTON SCIENTIFIC CORP ............... 2,381 500,600 JOHNSON & JOHNSON CO ................. 32,977 151,400 MEDTRONIC, INC ....................... 7,920 12,900 oST. JUDE MEDICAL, INC ................ 393 ---------- 56,309 ---------- See notes to financial statements. -33- SOCIAL CHOICE ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ------ MEDICAL SERVICE AND HEALTH INSURANCE--0.02% 3,500 oCNA FINANCIAL CORP ................... $ 447 ---------- MEN'S AND BOYS' FURNISHINGS--0.03% 14,600 VF CORP .............................. 671 ---------- MISCELLANEOUS AMUSEMENT, RECREATION SERVICES--0.00% 5,500 oCIRCUS CIRCUS ENTERPRISES, INC ....... 113 ---------- MISCELLANEOUS CHEMICAL PRODUCTS--0.63% 26,900 BETZDEARBORN, INC .................... 1,643 40,300 CABOT CORP ........................... 1,113 18,688 FULLER (H.B.) CO ..................... 925 70,700 NALCO CHEMICAL CORP .................. 2,797 131,000 oSMITH INTERNATIONAL, INC ............. 8,040 ---------- 14,518 ---------- MISCELLANEOUS CONVERTED PAPER PRODUCTS--0.38% 92,000 AVERY DENNISON CORP .................. 4,117 135,500 SONOCO PRODUCTS CO ................... 4,700 ---------- 8,817 ---------- MISCELLANEOUS FOOD AND KINDRED PRODUCTS--0.01% 5,800 MCCORMICK & CO, INC (NON-VOTE) ....... 162 ---------- MISCELLANEOUS NONMETALLIC MINERAL PRODUCTS--0.81% 227,600 MINNESOTA MINING & MANUFACTURING CO .................... 18,677 ---------- MISCELLANEOUS PETROLEUM AND COAL PRODUCTS--0.06% 45,800 oWD-40 CO ............................. 1,328 ---------- MISCELLANEOUS PLASTICS PRODUCTS, NEC--0.23% 25,400 RAYCHEM CORP ......................... 1,094 90,300 RUBBERMAID, INC ...................... 2,258 80,462 SCHULMAN (A.), INC ................... 2,022 ---------- 5,374 ---------- MISCELLANEOUS SHOPPING GOOD STORES--0.06% 45,950 oTOYS R US, INC ....................... 1,445 ---------- MISCELLANEOUS TRANSPORTATION EQUIPMENT--0.02% 12,000 FLEETWOOD ENTERPRISES, INC ........... 509 ---------- MORTGAGE BANKERS AND BROKERS--0.34% 154,965 FIRST UNION CORP ..................... 7,942 ---------- MOTION PICTURE PRODUCTION AND SERVICES--0.91% 198,275 DISNEY (WALT) CO ..................... 19,642 40,912 oLIBERTY MEDIA GROUP (CLASS A) ........ 1,483 ---------- 21,125 ---------- MOTOR VEHICLES AND EQUIPMENT--0.53% 124,400 ECHLIN, INC .......................... 4,502 116,500 ILLINOIS TOOL WORKS, INC ............. 7,005 24,500 MODINE MANUFACTURING CO .............. 836 ---------- 12,343 ---------- VALUE SHARES (000) ------ --------- MOTOR VEHICLES, PARTS, AND SUPPLIES--0.28% 191,850 GENUINE PARTS CO ..................... $ 6,511 ---------- NATURAL GAS LIQUIDS--0.07% 20,900 COLUMBIA GAS SYSTEMS, INC ............ 1,642 ---------- NEWSPAPERS--0.81% 41,000 DOW JONES & CO, INC .................. 2,201 155,400 GANNETT CO, INC ...................... 9,606 11,300 KNIGHT-RIDDER, INC ................... 588 13,100 NEW YORK TIMES CO (CLASS A) .......... 866 90,600 TIMES MIRROR CO (CLASS A) ............ 5,572 ---------- 18,833 ---------- NONSTORE RETAILERS--0.20% 104,800 SEARS ROEBUCK & CO ................... 4,742 ---------- OIL AND GAS EXTRACTION--1.39% 75,700 ANADARKO PETROLEUM CORP .............. 4,594 96,500 APACHE CORP .......................... 3,384 147,400 CONSOLIDATED NATURAL GAS CO .......... 8,918 81,700 HELMERICH & PAYNE, INC ............... 5,545 60,200 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS B) ...................... 1,753 78,200 NOBLE AFFILIATES, INC ................ 2,757 164,400 oORYX ENERGY CO ....................... 4,192 105,500 oSANTA FE ENERGY RESOURCES, INC ....... 1,187 ---------- 32,330 ---------- OIL AND GAS FIELD SERVICES--1.10% 63,000 oBJ SERVICES CO ....................... 4,532 50 ENSCO INTERNATIONAL, INC ............. 2 102,900 oNABORS INDUSTRIES, INC ............... 3,235 97,800 oNOBLE DRILLING CORP .................. 2,995 89,600 PACIFIC ENTERPRISES, INC ............. 3,371 192,700 oPARKER DRILLING CO ................... 2,349 123,900 oROWAN COS, INC ....................... 3,779 64,400 TRANSOCEAN OFFSHORE, INC ............. 3,103 47,658 oWEATHERFORD ENTERRA, INC ............. 2,085 ---------- 25,451 ---------- OPERATIVE BUILDERS--0.06% 28,600 HILLENBRAND INDUSTRIES, INC .......... 1,464 ---------- OPHTHALMIC GOODS--0.05% 30,800 BAUSCH & LOMB, INC ................... 1,220 ---------- PAPER AND PAPER PRODUCTS--0.08% 50,900 IKON OFFICE SOLUTIONS, INC ........... 1,432 25,450 UNISOURCE WORLDWIDE, INC ............. 363 ---------- 1,795 ---------- PAPER MILLS--0.67% 149,400 CONSOLIDATED PAPERS, INC ............. 7,974 140,500 UNION CAMP CORP ...................... 7,543 ---------- 15,517 ---------- PASSENGER TRANSPORTATION ARRANGEMENT--0.72% 186,000 AMERICAN EXPRESS CO .................. 16,601 ---------- PERIODICALS--0.43% 158,948 TIME WARNER, INC ..................... 9,855 ---------- PERSONAL CREDIT INSTITUTIONS--0.25% 7,500 BENEFICIAL CORP ...................... 623 40,853 HOUSEHOLD INTERNATIONAL, INC ......... 5,211 ---------- 5,834 ---------- See notes to financial statements. -34- SOCIAL CHOICE ACCOUNT (CONTINUED) VALUE SHARES (000) ------ --------- PERSONNEL SUPPLY SERVICES--0.13% 70,400 NEWELL COS, INC ...................... $ 2,992 ---------- PETROLEUM AND PETROLEUM PRODUCTS--0.12% 104,400 LYONDELL PETROCHEMICAL CO ............ 2,767 ---------- PETROLEUM REFINING--0.26% 112,500 MURPHY OIL CORP ...................... 6,096 ---------- PHOTOGRAPHIC EQUIPMENT AND SUPPLIES--0.43% 133,900 XEROX CORP ........................... 9,883 ---------- PLASTICS MATERIALS AND SYNTHETICS--0.05% 45,750 HANNA (M.A.) CO ...................... 1,155 ---------- PRESERVED FRUITS AND VEGETABLES--1.17% 246,100 CAMPBELL SOUP CO ..................... 14,305 202,050 HEINZ (H.J.) CO ...................... 10,267 98,800 WHITMAN CORP ......................... 2,575 ---------- 27,147 ---------- PRIMARY NONFERROUS METALS--0.13% 88,200 oALUMAX, INC .......................... 2,999 ---------- RADIO AND TELEVISION BROADCASTING--0.14% 76,931 oVIACOM, INC (CLASS B) ................ 3,188 3,523 oVIACOM, INC (CLASS B) WTS 07/07/99 ... 1 ---------- 3,189 ---------- RADIO, TELEVISION, AND COMPUTER STORES--0.00% 2,000 TANDY CORP ........................... 77 ---------- RAILROADS--0.56% 421,200 NORFOLK SOUTHERN CORP ................ 12,978 ---------- REAL ESTATE OPERATORS AND LESSORS--0.30% 20,600 ROUSE CO ............................. 675 139,200 WEINGARTEN REALTY INVESTORS, INC ..... 6,238 ---------- 6,913 ---------- SAVINGS INSTITUTIONS--0.25% 12,800 H.F. AHMANSON & CO ................... 857 76,008 WASHINGTON MUTUAL, INC ............... 4,850 ---------- 5,707 ---------- SEARCH AND NAVIGATION EQUIPMENT--0.03% 48,400 SENSORMATIC ELECTRONICS CORP ......... 796 ---------- SECURITY AND COMMODITY SERVICES--0.12% 25,000 TRANSAMERICA CORP .................... 2,663 ---------- SECURITY BROKERS AND DEALERS--1.16% 164,200 MERRILL LYNCH & CO, INC .............. 11,976 250,048 MORGAN STANLEY, DEAN WITTER, DISCOVER ............................. 14,784 ---------- 26,760 ---------- SOAP, CLEANERS, AND TOILET GOODS--2.98% 68,600 AVON PRODUCTS, INC ................... 4,210 132,200 CLOROX CO ............................ 10,452 VALUE SHARES (000) ------ --------- 147,800 COLGATE PALMOLIVE CO ................. $ 10,863 62,500 INTERNATIONAL FLAVORS & FRAGRANCES, INC ..................... 3,219 9,000 NCH CORP ............................. 590 496,600 PROCTER & GAMBLE CO .................. 39,635 ---------- 68,969 ---------- SPECIAL INDUSTRY MACHINERY--0.13% 94,400 oAPPLIED MATERIALS, INC ............... 2,844 1,400 oIONICS, INC .......................... 55 ---------- 2,899 ---------- SUGAR AND CONFECTIONERY PRODUCTS--0.47% 105,200 HERSHEY FOODS CORP ................... 6,516 56,000 WRIGLEY (WM) JR CO ................... 4,456 ---------- 10,972 ---------- TELEPHONE COMMUNICATIONS--5.34% 15,900 o360 COMMUNICATIONS CO ................ 321 107,082 oAIRTOUCH COMMUNICATIONS, INC ......... 4,451 162,700 AMERITECH CORP ....................... 13,097 366,500 AT & T CORP .......................... 22,448 273,282 BELL ATLANTIC CORP ................... 24,869 335,000 BELLSOUTH CORP ....................... 18,865 100,100 MCI COMMUNICATIONS CORP .............. 4,286 262,439 SBC COMMUNICATIONS, INC .............. 19,224 71,500 SPRINT CORP .......................... 4,192 162,044 U.S. WEST COMMUNICATIONS GROUP, INC .. 7,312 161,144 oU.S. WEST MEDIA GROUP, INC ........... 4,653 ---------- 123,718 ---------- TIRES AND INNER TUBES--0.06% 24,100 BANDAG, INC .......................... 1,288 ---------- TOYS AND SPORTING GOODS--0.28% 60,100 HASBRO, INC .......................... 1,893 126,691 MATTEL, INC .......................... 4,719 ---------- 6,612 ---------- TRUCKING AND COURIER SERVICES, EXCEPT AIR--0.20% 74,400 ARNOLD INDUSTRIES, INC ............... 1,283 57,200 CALIBER SYSTEM, INC .................. 2,785 21,100 ROADWAY EXPRESS, INC ................. 467 ---------- 4,535 ---------- VARIETY STORES--0.12% 148,600 oK MART CORP .......................... 1,718 53,600 oWOOLWORTH CORP ....................... 1,092 ---------- 2,810 ---------- WOMEN'S ACCESSORY AND SPECIALTY STORES--0.02% 16,806 LIMITED, INC ......................... 429 ---------- WOMEN'S AND MISSES' OUTERWEAR--0.03% 15,800 LIZ CLAIBORNE, INC ................... 657 ---------- TOTAL COMMON STOCK (COST $741,361)....................... 1,392,055 ---------- See notes to financial statements. -35- SOCIAL CHOICE ACCOUNT (CONTINUED) VALUE PRINCIPAL (000) --------- --------- SHORT TERM INVESTMENTS--5.75% COMMERCIAL PAPER--5.75% CONAGRA, INC $36,870,000 * 6.000%, 01/14/98 ..................... $ 36,780 EL PASO NATURAL GAS CO 33,830,000 * 6.050%, 01/14/98 ..................... 33,748 NORFOLK SOUTHERN CORP 25,000,000 ~* 6.100%, 01/14/98 ..................... 24,939 11,471,000 ~* 6.030%, 02/12/98 ..................... 11,390 PRAXAIR, INC 21,000,000 ~* 6.050%, 01/14/98 ..................... 20,949 SONAT, INC 5,500,000 7.050%, 01/02/98 ..................... 5,498 ---------- 133,304 ---------- TOTAL SHORT TERM INVESTMENTS (COST $133,336) ......................... 133,304 ---------- TOTAL PORTFOLIO (COST $1,756,844) ....................... $2,426,392 ========== - ---------- o Non-income producing @ These securities were purchased on a delayed delivery basis. * All or a portion of this security has been segregated by the Custodian to cover margin or other requirements on open futures contracts, covered call options written and securities purchased on a delayed delivery basis. ^ Security is exempt from registration under Rule 144A of the Securities Act of 1933 and may be resold in transactions exempt from registration normally to qualified institutional buyers. At 12/31/97, the value of these securities amounted to $28,068,695 or 1.21% of net assets. ~ Commercial Paper issued under the Private Placement exemption under Section 4(2) of the Securities Act of 1933, as amended. - ---------- OTHER INFORMATION The composition of long-term debt holdings as a percentage of total value of investment in securities, is as follows: MOODY'S RATINGS AAA, AA, A 19.52% BAA 8.40% BA 2.65% B 0.02% U.S. Government obligations represent 69.41% of the long term debt portfolio value. Moody's ratings are provided by Moody's Investors Services (Unaudited). See notes to financial statements. -36- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT DECEMBER 31, 1997 SUMMARY BY INDUSTRY (000) VALUE % -------- ------ BONDS CORPORATE BONDS COMPUTERS, DATA PROCESSING SERVICES ......................... $ 84 0.00% FOREIGN BANKS, BRANCHES AND AGENCIES ................................ 29 0.00 LIFE INSURANCE ............................... 12,493 0.24 METALS AND MINERALS, EXCEPT PETROLEUM ............................ 92 0.00 RADIO AND TELEVISION BROADCASTING ............ 89 0.00 SUBDIVIDERS AND DEVELOPERS ................... 122 0.00 ------ ---- TOTAL CORPORATE BONDS (COST $14,204) ............................... 12,909 0.24 ------ ---- TOTAL BONDS (COST $14,204) ................................ 12,909 0.24 ------ ---- PREFERRED STOCK AIRCRAFT AND PARTS ........................... 140 0.00 CREDIT REPORTING AND COLLECTION .............. 1,770 0.03 ELECTRIC SERVICES ............................ 2,353 0.04 LIFE INSURANCE ............................... 73 0.00 MISCELLANEOUS, BUSINESS SERVICES ............. 2,508 0.05 MOTOR VEHICLES AND EQUIPMENT ................. 2,891 0.06 NEWSPAPERS ................................... 1,345 0.03 PERIODICALS .................................. 19,950 0.38 ------ ---- TOTAL PREFERRED STOCK (COST $25,040) .............................. 31,030 0.59 ------ ---- COMMON STOCK ADVERTISING ................................. 2,002 0.04 AGRICULTURAL CHEMICALS ...................... 930 0.02 AIR TRANSPORTATION, SCHEDULED ............... 15,024 0.29 AIRCRAFT AND PARTS .......................... 72,550 1.38 AIRPORTS, FLYING FIELDS, AND SERVICES ....... 80 0.00 APPAREL, PIECE GOODS, AND NOTIONS ........... 1,448 0.03 AUTO AND HOME SUPPLY STORES ................. 459 0.01 BAKERY PRODUCTS ............................. 1,559 0.03 BEVERAGES ................................... 26,518 0.50 BLANKBOOKS AND BOOKBINDING .................. 852 0.02 BLAST FURNACE AND BASIC STEEL PRODUCTS ............................. 10,610 0.20 BROADWOVEN FABRIC MILLS, MANMADE ............ 347 0.01 BROADWOVEN FABRIC MILLS, WOOL ............... 177 0.00 BUS TERMINAL AND SERVICE FACILITIES ......... 4 0.00 CABLE AND OTHER PAY TV SERVICES ............. 2,175 0.04 CARPETS AND RUGS ............................ 501 0.01 CEMENT, HYDRAULIC ........................... 1,433 0.03 CHEMICAL AND FERTILIZER MINERALS ............ 1,098 0.02 CIGARETTES .................................. 49,999 0.95 CIGARS ...................................... 4,819 0.09 COMBINATION UTILITY SERVICES ................ 10,440 0.20 COMMERCIAL BANKS ............................ 222,985 4.23 COMMERCIAL PRINTING ......................... 210 0.00 COMMUNICATIONS EQUIPMENT .................... 77,191 1.47 COMMUNICATIONS SERVICES, NEC ................ 2,834 0.05 COMPUTER AND DATA PROCESSING SERVICES ........................ 120,357 2.29 COMPUTER AND OFFICE EQUIPMENT ............... 178,735 3.39 CONCRETE, GYPSUM, AND PLASTER PRODUCTS ........................... 1,343 0.03 CONSTRUCTION AND RELATED MACHINERY .......... 6,912 0.13 COPPER ORES ................................. 593 0.01 CREDIT REPORTING AND COLLECTION ............. 11,663 0.22 CRUSHED AND BROKEN STONE .................... 797 0.02 VALUE % -------- ------ CUTLERY, HANDTOOLS, AND HARDWARE ............ $ 10,601 0.20% DAIRY PRODUCTS .............................. 8,383 0.16 DEEP SEA FOREIGN TRANSPORTATION OF FREIGHT ................................. 15,245 0.29 DEPARTMENT STORES ........................... 47,015 0.89 DRUG STORES AND PROPRIETARY STORES ..................................... 882 0.02 DRUGS ....................................... 311,102 5.91 EATING AND DRINKING PLACES .................. 8,723 0.17 ELECTRIC DISTRIBUTION EQUIPMENT ............. 136,107 2.58 ELECTRIC LIGHTING AND WIRING EQUIPMENT ........................... 25,652 0.49 ELECTRIC SERVICES ........................... 58,784 1.12 ELECTRICAL GOODS ............................ 1,078 0.02 ELECTRICAL INDUSTRIAL APPARATUS ............. 98,688 1.87 ELECTRONIC COMPONENTS AND ACCESSORIES ............................ 200,025 3.80 ENGINEERING AND ARCHITECTURAL SERVICES ................................... 201 0.00 ENGINES AND TURBINES ........................ 1,697 0.03 FABRICATED RUBBER PRODUCTS, NEC ............. 230 0.00 FABRICATED STRUCTURAL METAL PRODUCTS ............................. 739 0.01 FAMILY CLOTHING STORES ...................... 1,340 0.03 FARM AND GARDEN MACHINERY ................... 467 0.01 FATS AND OILS ............................... 0 0.00 FEDERAL & FEDERALLY-SPONSORED CREDIT AGENCIES ............................ 8,901 0.17 FINANCE SERVICES ............................ 40,099 0.76 FIRE, MARINE, AND CASUALTY INSURANCE ........ 44,074 0.84 FLAT GLASS .................................. 4,721 0.09 FOREIGN BANKS, BRANCHES AND AGENCIES ............................... 22,677 0.43 FOREST PRODUCTS ............................. 296 0.01 FORESTRY SERVICES ........................... 172 0.00 FREIGHT TRANSPORTATION ARRANGEMENT .......... 12,981 0.25 FUNERAL SERVICE AND CREMATORIES ............. 41 0.00 GAS PRODUCTION AND DISTRIBUTION ............. 9,767 0.19 GENERAL INDUSTRIAL MACHINERY ................ 221,373 4.20 GLASS AND GLASSWARE, PRESSED OR BLOWN ........................... 372 0.01 GOLD AND SILVER ORES ........................ 59,373 1.13 GRAIN MILL PRODUCTS ......................... 11,491 0.22 GROCERIES AND RELATED PRODUCTS .............. 2,297 0.04 GROCERY STORES .............................. 10,373 0.20 GUIDED MISSILES, SPACE VEHICLES AND PARTS .................................. 2,108 0.04 HEALTH AND ALLIED SERVICES, NEC ............. 3,072 0.06 HEAVY CONSTRUCTION, EXCEPT HIGHWAY .......... 5,247 0.10 HIGHWAY AND STREET CONSTRUCTION ............. 458 0.01 HOLDING OFFICES ............................. 91,153 1.73 HORTICULTURAL SPECIALTIES ................... 21 0.00 HOSPITALS ................................... 3,388 0.06 HOTELS AND MOTELS ........................... 5,627 0.11 HOUSEHOLD APPLIANCE STORES .................. 508 0.01 HOUSEHOLD APPLIANCES ........................ 102,676 1.95 HOUSEHOLD AUDIO AND VIDEO EQUIPMENT ......... 88,657 1.68 INDUSTRIAL INORGANIC CHEMICALS .............. 4,087 0.08 INDUSTRIAL ORGANIC CHEMICALS ................ 25,893 0.49 INSURANCE AGENTS, BROKERS, AND SERVICE ................................ 4,923 0.09 INSURANCE CARRIERS, NEC ..................... 1,784 0.03 IRON AND STEEL FOUNDRIES .................... 7,029 0.13 JEWELRY, SILVERWARE, AND PLATED WARE ........ 190 0.00 See notes to financial statements. -37- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS-GLOBAL EQUITIES ACCOUNT DECEMBER 31, 1997 SUMMARY BY INDUSTRY(CONTINUED) (000) VALUE % -------- ------ KNITTING MILLS .............................. $ 1,299 0.02% LAUNDRY, CLEANING, AND GARMENT SERVICES ............................ 724 0.01 LEAD AND ZINC ORES ........................... 150 0.00 LIFE INSURANCE ............................... 37,713 0.72 LOCAL AND SUBURBAN TRANSPORTATION ............ 7,398 0.14 LOGGING ...................................... 462 0.01 LUMBER AND CONSTRUCTION MATERIALS ............ 1,683 0.03 LUMBER AND OTHER BUILDING MATERIALS .......... 12,580 0.24 MANIFOLD BUSINESS FORMS ...................... 213 0.00 MEASURING AND CONTROLLING DEVICES ............ 12,682 0.24 MEAT PRODUCTS ................................ 5,481 0.10 MEDICAL AND DENTAL LABORATORIES .............. 1 0.00 MEDICAL INSTRUMENTS AND SUPPLIES ............. 41,419 0.79 MEDICAL SERVICE AND HEALTH INSURANCE ......... 851 0.02 MEN'S AND BOYS' FURNISHINGS .................. 1,893 0.04 MEN'S AND BOYS' SUITS AND COATS .............. 473 0.01 METAL CANS AND SHIPPING CONTAINERS ........... 776 0.01 METAL FORGINGS AND STAMPINGS ................. 3,162 0.06 METAL MINING SERVICES ........................ 3 0.00 METALS AND MINERALS, EXCEPT PETROLEUM ............................ 767 0.01 METALWORKING MACHINERY ....................... 1,624 0.03 MISCELLANEOUS AMUSEMENT, RECREATION SERVICES .................................... 193,476 3.67 MISCELLANEOUS APPAREL AND ACCESSORY STORES ............................ 38 0.00 MISCELLANEOUS BUSINESS SERVICES .............. 53,057 1.01 MISCELLANEOUS CHEMICAL PRODUCTS .............. 1,518 0.03 MISCELLANEOUS CONVERTED PAPER PRODUCTS .............................. 9,479 0.18 MISCELLANEOUS DURABLE GOODS .................. 7,050 0.13 MISCELLANEOUS ELECTRICAL EQUIPMENT AND SUPPLIES ...................... 2,518 0.05 MISCELLANEOUS EQUIPMENT RENTAL AND LEASING .......................... 379 0.01 MISCELLANEOUS FABRICATED METAL PRODUCTS .............................. 2,551 0.05 MISCELLANEOUS FABRICATED TEXTILE PRODUCTS ............................ 4,312 0.08 MISCELLANEOUS FOOD AND KINDRED PRODUCTS ............................ 22,692 0.43 MISCELLANEOUS FOOD STORES .................... 1,810 0.03 MISCELLANEOUS INVESTING ...................... 2,156 0.04 MISCELLANEOUS MANUFACTURES ................... 1,935 0.04 MISCELLANEOUS METAL ORES ..................... 8,232 0.16 MISCELLANEOUS NONDURABLE GOODS ............... 145 0.00 MISCELLANEOUS NONMETALLIC MINERAL PRODUCTS ............................ 2,682 0.05 MISCELLANEOUS PERSONAL SERVICES .............. 1,506 0.03 MISCELLANEOUS PETROLEUM AND COAL PRODUCTS ........................... 66,225 1.26 MISCELLANEOUS PLASTICS PRODUCTS, NEC ......... 9,364 0.18 MISCELLANEOUS PUBLISHING ..................... 1,321 0.03 MISCELLANEOUS SHOPPING GOOD STORES ........... 2,899 0.06 MISCELLANEOUS WOOD PRODUCTS .................. 4,440 0.08 MORTGAGE BANKERS AND BROKERS ................. 6,650 0.13 MOTION PICTURE PRODUCTION AND SERVICES ................................ 10,670 0.20 MOTOR VEHICLES AND EQUIPMENT ................. 80,851 1.54 MOTORCYCLES, BICYCLES, AND PARTS ............. 679 0.01 VALUE % -------- ------ NATURAL GAS LIQUIDS .......................... $ 1,194 0.02% NEWSPAPERS ................................... 10,471 0.20 NONFERROUS FOUNDRIES (CASTINGS) .............. 22 0.00 NONFERROUS ROLLING AND DRAWING ............... 215 0.00 NONRESIDENTIAL BUILDING CONSTRUCTION ......... 693 0.01 NONSTORE RETAILERS ........................... 3,000 0.06 NURSING AND PERSONAL CARE FACILITIES ......... 592 0.01 OFFICE FURNITURE ............................. 377 0.01 OIL AND GAS EXTRACTION ....................... 171,652 3.26 OIL AND GAS FIELD SERVICES ................... 186,523 3.54 OPERATIVE BUILDERS ........................... 604 0.01 PAINTS AND ALLIED PRODUCTS ................... 178 0.00 PAPER AND PAPER PRODUCTS ..................... 1,722 0.03 PAPER MILLS .................................. 4,259 0.08 PAPERBOARD CONTAINERS AND BOXES .............. 94 0.00 PAPERBOARD MILLS ............................. 448 0.01 PASSENGER TRANSPORTATION ARRANGEMENT ................................. 58,046 1.10 PENS, PENCILS, OFFICE, AND ART SUPPLIES ...... 222 0.00 PERIODICALS .................................. 9,360 0.18 PERSONAL CREDIT INSTITUTIONS ................. 5,257 0.10 PERSONNEL SUPPLY SERVICES .................... 70,842 1.35 PETROLEUM AND PETROLEUM PRODUCTS ............. 948 0.02 PETROLEUM REFINING ........................... 148,709 2.82 PHOTOGRAPHIC EQUIPMENT AND SUPPLIES .......... 96,162 1.83 PLASTICS MATERIALS AND SYNTHETICS ............ 12,808 0.24 PLUMBING AND HEATING, EXCEPT ELECTRIC ........ 1,079 0.02 POTTERY AND RELATED PRODUCTS ................. 219 0.00 PRESERVED FRUITS AND VEGETABLES .............. 9,167 0.17 PRIMARY NONFERROUS METALS .................... 5,660 0.11 PRODUCERS, ORCHESTRAS, ENTERTAINERS .......... 103,474 1.97 PULP MILLS ................................... 877 0.02 RADIO AND TELEVISION BROADCASTING ............ 5,250 0.10 RADIO, TELEVISION, AND COMPUTER STORES ............................. 355 0.01 RAILROADS .................................... 167,146 3.17 REAL ESTATE AGENTS AND MANAGERS .............. 7,648 0.15 REAL ESTATE OPERATORS AND LESSORS ............ 3 0.00 RESEARCH AND TESTING SERVICES ................ 22,905 0.43 RESIDENTIAL BUILDING CONSTRUCTION ............ 12,159 0.23 SANITARY SERVICES ............................ 81,715 1.55 SAVINGS INSTITUTIONS ......................... 38,207 0.73 SAWMILLS AND PLANING MILLS ................... 2,020 0.04 SEARCH AND NAVIGATION EQUIPMENT .............. 289 0.01 SECURITY AND COMMODITY SERVICES .............. 2,634 0.05 SECURITY BROKERS AND DEALERS ................. 21,568 0.41 SHIP, BOAT BUILDING AND REPAIRING ............ 1,290 0.02 SHOE STORES .................................. 80,078 1.52 SOAP, CLEANERS, AND TOILET GOODS ............. 16,146 0.31 SPECIAL INDUSTRY MACHINERY ................... 3,471 0.07 SUBDIVIDERS AND DEVELOPERS ................... 104,009 1.98 SUGAR AND CONFECTIONERY PRODUCTS ............. 2,764 0.05 SURETY INSURANCE ............................. 46,359 0.88 TELEPHONE COMMUNICATIONS ..................... 397,143 7.54 TIRES AND INNER TUBES ........................ 4,803 0.09 TOYS AND SPORTING GOODS ...................... 377 0.01 VARIETY STORES ............................... 3,894 0.07 WATCHES, CLOCKS, WATCHCASES AND PARTS ................................... 14 0.00 WATER SUPPLY ................................. 606 0.01 WATER TRANSPORTATION SERVICES ................ 1,080 0.02 See notes to financial statements. -38- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS-GLOBAL EQUITIES ACCOUNT DECEMBER 31, 1997 SUMMARY BY INDUSTRY (CONTINUED) (000) VALUE % -------- ------ WOMEN'S ACCESSORY AND SPECIALTY STORES ............................ $ 1,609 0.03% WOMEN'S AND CHILDREN'S UNDERGARMENTS ............................... 1,036 0.02 WOMEN'S AND MISSES' OUTERWEAR ................ 1,589 0.03 WOMEN'S CLOTHING STORES ...................... 31,702 0.60 YARN AND THREAD MILLS ........................ 125 0.00 --------- ----- TOTAL COMMON STOCK (COST $4,419,937) ............................. 5,144,290 97.68 --------- ----- SHORT TERM INVESTMENTS COMMERCIAL PAPER ............................. 84,832 1.61 OTHER AGENCIES ............................... 22,578 0.43 U.S. GOVERNMENT & AGENCIES ................... 289,172 5.49 ---------- ------ TOTAL SHORT TERM INVESTMENTS (COST $396,655) ............................... 396,582 7.53 ---------- ------ TOTAL PORTFOLIO (COST $4,855,836) ............................. 5,584,811 106.04 ---------- ------ OTHER ASSETS & LIABILITIES, NET ............. (318,141) (6.04) ---------- ------ NET ASSETS ...................................... $5,266,670 100.00% ========== ====== See notes to financial statements. -39- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT DECEMBER 31, 1997 SUMMARY BY COUNTRY VALUE (000) % ---------- ------ DOMESTIC: UNITED STATES ...................... $2,656,122 47.56% ---------- ------ TOTAL DOMESTIC ........................ 2,656,122 47.56 ---------- ------ FOREIGN: AUSTRALIA .......................... 23,762 0.43 AUSTRIA ............................ 3,397 0.06 BELGIUM ............................ 11,160 0.20 CANADA ............................. 155,791 2.79 DENMARK ............................ 9,963 0.18 FINLAND ............................ 6,390 0.11 FRANCE ............................. 157,901 2.83 GERMANY ............................ 162,246 2.91 HONG KONG .......................... 25,415 0.46 IRELAND ............................ 3,759 0.07 ITALY .............................. 170,971 3.06 JAPAN .............................. 602,521 10.79 MALAYSIA ........................... 7,049 0.13 NETHERLANDS ........................ 236,340 4.23 NEW ZEALAND ........................ 2,695 0.05 NORWAY ............................. 81,131 1.45 PORTUGAL ........................... 4,731 0.08 SINGAPORE .......................... 7,521 0.13 SOUTH AFRICA ....................... 12,493 0.22 SPAIN .............................. 22,928 0.41 SWEDEN ............................. 103,671 1.86 SWITZERLAND ........................ 187,245 3.35 UNITED KINGDOM ..................... 533,027 9.54 ---------- ------ TOTAL FOREIGN ......................... 2,532,107 45.34 ---------- ------ TOTAL SHORT TERM ...................... 396,582 7.10 ---------- ------ TOTAL PORTFOLIO ....................... $5,584,811 100.00% ========== ====== See notes to financial statements. -40- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GLOBAL EQUITIES ACCOUNT DECEMBER 31, 1997 VALUE PRINCIPAL (000) ----------- ----------- BONDS--0.24% CORPORATE BONDS--0.24% COMPUTER AND DATA PROCESSING SERVICES--0.00% #o VIGLEN TECHNOLOGY (CV LOAN STK) $ 24,800(4) 0.500%, 01/01/00 ............. $ 84 ----------- FOREIGN BANKS, BRANCHES AND AGENCIES--0.00% DRESDNER BV 52(3) 5.500%, 04/30/04 ............. 29 ----------- LIFE INSURANCE--0.24% LIBLIFE INTERNATIONAL CV 10,665,000(2) 6.500%, 09/30/04 ............. 12,493 ----------- METALS AND MINERALS, EXCEPT PETROLEUM--0.00% PREUSSAG AG (W/W) 113(3) 5.750%, 05/17/01 ............. 92 ----------- RADIO AND TELEVISION BROADCASTING--0.00% VIACOM INTERNATIONAL, INC (SUBORDINATED DEB) 89,000 8.000%, 07/07/06 ............. 89 ----------- SUBDIVIDERS AND DEVELOPERS--0.00% AXA S.A. CV 1,531(1) 4.500%, 01/01/99 ............. 122 ----------- TOTAL CORPORATE BONDS (Cost $14,204)................... 12,909 ----------- TOTAL BONDS (Cost $14,204) ................... 12,909 ----------- - -------- (1) Denominated in French Francs (2) Denominated in South African Rand (3) Denominated in German Deutsche Marks (4) Denominated in British Pounds SHARES ------ PREFERRED STOCK--0.59% AIRCRAFT AND PARTS--0.00% 9,000 oRHEINMETALL AG ....................... 140 ----------- CREDIT REPORTING AND COLLECTION--0.03% 24,900 NOKIA AB OY SERIES A ................. 1,770 ----------- ELECTRIC SERVICES--0.04% 55,670 RHEIN-WESTFALEN ELECTRIC AG .......... 2,353 ----------- LIFE INSURANCE--0.00% 1,014 AETNA, INC (CLASS C) ................. 73 ----------- MISCELLANEOUS BUSINESS SERVICES--0.05% 7,662 SAP AG ............................... 2,508 ----------- MOTOR VEHICLES AND EQUIPMENT--0.06% 6,733 VOLKSWAGENWERKE AG ................... 2,891 ----------- VALUE SHARES (000) ------ ---------- NEWSPAPERS--0.03% 271,744 NEWS CORP LTD (LTD-VOTE) ............. $ 1,345 ----------- PERIODICALS--0.38% 190,000 WORLDCOM, INC SERIES A ............... 19,950 ----------- TOTAL PREFERRED STOCK (Cost $25,040) ...................... 31,030 ----------- COMMON STOCK--97.68% ADVERTISING--0.04% 40,200 INTERPUBLIC GROUP OF COS, INC ........ 2,002 ----------- AGRICULTURAL CHEMICALS--0.02% 8,500 AGRIUM, INC .......................... 103 9,700 oFMC CORP ............................. 653 18,380 KEMIRA OY ............................ 174 ----------- 930 ----------- AIR TRANSPORTATION, SCHEDULED--0.29% 45,400 oAIR CANADA, INC ...................... 468 6,580 ALL NIPPON AIRWAYS CO LTD ............ 25 29,600 oAMR CORP ............................. 3,804 4,500 oAUSTRIAN AIRLINES/OEST LUFTV AG ...... 96 143,699 BRITISH AIRWAYS PLC .................. 1,410 4,800 DELTA AIRLINES, INC .................. 571 126,000 oDEUTSCHE LUFTHANSA AG (REGD) ......... 2,418 25,800 oFEDERAL EXPRESS CORP ................. 1,575 437,600 oJAPAN AIRLINES CO LTD ................ 1,195 12,300 KLM (ROYAL DUTCH AIRLINES) NV ........ 455 207,000 MALAYSIAN AIRLINE SYSTEM BERHAD ...... 166 360 oSAIR GROUP ........................... 494 14,600 SAS DANMARK AS ....................... 213 170,000 SINGAPORE INTERNATIONAL AIRLINES LTD (FR) ............................. 1,110 15,950 SOUTHWEST AIRLINES CO ................ 393 10,400 SWIRE PACIFIC LTD (CLASS A) .......... 57 6,200 oUAL CORP ............................. 574 ----------- 15,024 ----------- AIRCRAFT AND PARTS--1.38% 1,406,516 BOEING CO ............................ 68,831 69,552 BRITISH AEROSPACE PLC ................ 1,992 5,868 oBRITISH AEROSPACE PLC WTS 11/15/00 ... 117 3,200 oHONG KONG AIRCRAFT ENGINEERING CO LTD .................. 8 66,733 SMITHS INDUSTRIES PLC ................ 950 4,200 oSPAR AEROSPACE LTD ................... 26 14 THOMSON-CSF .......................... 0 8,600 UNITED TECHNOLOGIES CORP ............. 626 ----------- 72,550 ----------- AIRPORTS, FLYING FIELDS, AND SERVICES--0.00% 149 # SODEXHO ALLIANCE S.A ............... 80 ----------- APPAREL, PIECE GOODS, AND NOTIONS--0.03% 36,900 NIKE, INC (CLASS B) .................. 1,448 ----------- AUTO AND HOME SUPPLY STORES--0.01% 21,400 CANADIAN TIRE, INC (CLASS A) ......... 459 ----------- See notes to financial statements. -41- GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ---------- BAKERY PRODUCTS--0.03% 35,794 ASSOCIATED BRITISH FOODS PLC ......... $ 307 389,928 GOODMAN FIELDER LTD .................. 620 6,000 ORKLA AS SERIES B .................... 517 2,176 UNITED BISCUITS HOLDINGS PLC ......... 8 11,000 YAMAZAKI BAKING CO LTD ............... 107 ----------- 1,559 ----------- BEVERAGES--0.50% 2,250 ALLIED DOMECQ PLC .................... 20 75,700 ANHEUSER BUSCH COS, INC .............. 3,331 62,000 ASAHI BREWERIES LTD .................. 906 103,280 BASS LTD ............................. 1,591 784 oBRAU UND BRUNNEN AG .................. 78 229,593 CADBURY SCHWEPPES LTD ................ 2,286 8,700 CARLSBERG BREWERIES AS (CLASS A) ..... 471 41,377 COCA-COLA AMATIL LTD ................. 309 42,764 COCA COLA CO ......................... 2,849 580,264 DIAGEO PLC ........................... 5,332 564,300 FOSTERS BREWING GROUP LTD ............ 1,074 12,000 FRASER & NEAVE LTD ................... 52 7,300 HEINEKEN NV .......................... 1,271 204 oHOLSTEN BRAUEREI AG .................. 41 279,000 KIRIN BREWERY CO LTD ................. 2,038 99,100 LION NATHAN LTD ...................... 222 6,670 LVMH MOET HENNESSY LOUIS VUITTON ..... 1,108 8,700 MOLSON CO LTD (CLASS A) .............. 155 1,200 oOSTERREICHISCHE BRAU-AKTIENGESELLSCHAF .............. 60 90 PEPSICO, INC ......................... 3 67,850 SAPPORO BREWERIES LTD ................ 214 124,069 SCOTTISH & NEWCASTLE PLC ............. 1,525 47,700 SEAGRAMS CO LTD ...................... 1,542 2,800 oUNICER-UNIAO CERVEJEIRA, S.A ......... 40 ----------- 26,518 ----------- BLANKBOOKS AND BOOKBINDING--0.02% 24,700 DELUXE CORP .......................... 852 ----------- BLAST FURNACE AND BASIC STEEL PRODUCTS--0.20% 2,100 ACERINOX S.A ......................... 311 300 ALLEGHENY TELEDYNE, INC .............. 8 408,000 AMSTEEL CORP BERHAD .................. 71 37,000 oBETHLEHEM STEEL CORP ................. 319 510,735 BRITISH STEEL PLC .................... 1,107 189,000 DAIDO STEEL CO LTD ................... 238 9,100 DOFASCO, INC ......................... 146 5,400 oHOOGOVENS NEN STAALIADRIEREN NV ...... 221 23,000 oJAPAN METALS & CHEMICALS CO .......... 19 673,000 KAWASAKI STEEL CORP .................. 921 48,000 oKOBE STEEL LTD ....................... 39 1,404,000 NIPPON STEEL CORP .................... 2,084 1,242,000 NKK CORP ............................. 993 2,400 NUCOR CORP ........................... 116 837,000 SUMITOMO METAL INDUSTRIES LTD ........ 1,075 96,000 TOKYO STEEL MANUFACTURING CO LTD ..... 326 72,400 USX-MARATHON GROUP, INC .............. 2,444 5,500 USX-US STEEL GROUP, INC .............. 172 ----------- 10,610 ----------- BROADWOVEN FABRIC MILLS, MANMADE--0.01% 141,000 MITSUBISHI RAYON CO LTD .............. 347 ----------- BROADWOVEN FABRIC MILLS, WOOL--0.00% 2,962 CHARGEURS S.A ........................ 177 ----------- VALUE SHARES (000) ------ ---------- BUS TERMINAL AND SERVICE FACILITIES--0.00% 1,770 oNEW WORLD INFRASTUCTURE LTD ..........$ 4 ----------- CABLE AND OTHER PAY TV SERVICES--0.04% 19,400 oROGERS COMMUNICATIONS, INC (CLASS B) ............................ 94 20 oTCI SATELLITE ENTERTAINMENT (CLASS A). 0 43,961 oTELE-COMMUNICATIONS, INC (CLASS A) ... 1,228 30,139 oTELECOM-TCI VENTURES GROUP (CLASS A) ............................ 853 ----------- 2,175 ----------- CARPETS AND RUGS--0.01% 43,100 SHAW INDUSTRIES, INC ................. 501 ----------- CEMENT, HYDRAULIC--0.03% 16,960 oLAFARGE S.A. (BR) .................... 1,113 254,000 SUMITOMO OSAKA CEMENT CO LTD ......... 320 ----------- 1,433 ----------- CHEMICAL AND FERTILIZER MINERALS--0.02% 13,200 POTASH CORP OF SASKATCHEWAN, INC ..... 1,098 ----------- CIGARETTES--0.95% 10 CIE FINANCIERE RICHEMONT AG (UNITS A) ........................... 11 27,100 IMASCO LTD ........................... 956 1,052,100 PHILIP MORRIS COS, INC ............... 47,673 56,000 ROTHMANS OF PALL MALL BERHAD ......... 435 11,400 TABACALERA S.A. SERIES A (REGD) ...... 924 ----------- 49,999 ----------- CIGARS--0.09% 446,883 B.A.T. INDUSTRIES LTD ................ 4,077 33,300 ROTHMANS HOLDINGS LTD ................ 176 15,760 SEITA S.A ............................ 566 ----------- 4,819 ----------- COMBINATION UTILITY SERVICES--0.20% 47,100 BALTIMORE GAS & ELECTRIC CO .......... 1,604 73,000 CONSOLIDATED EDISON CO OF NEW YORK, INC ..................... 2,993 8,300 ELECTRABEL NV ........................ 1,920 39,000 LONG ISLAND LIGHTING CO .............. 1,175 9,800 PACIFICORP ........................... 268 71,300 PECO ENERGY CO ....................... 1,729 23,700 PUBLIC SERVICE ENTERPRISE GROUP, INC . 751 ----------- 10,440 ----------- COMMERCIAL BANKS--4.23% 198,128 ABN-AMRO HOLDINGS NV ................. 3,860 140,860 ALLIED IRISH BANKS PLC ............... 1,365 13,900 ARGENTARIA S.A ....................... 845 494,514 ASAHI BANK LTD ....................... 2,016 87,000 ASHIKAGA BANK LTD .................... 141 431 AUSTRALIAN & NEW ZEALAND BANKING GROUP LTD .................... 3 95,301 BANC ONE CORP ........................ 5,176 248,000 BANCA COMMERCIALE ITALIANA S.P.A ..... 863 52,000 BANCA POPOLARE DI MILANO ............. 327 98,900 BANCO BILBAO VIZCAYA S.A. (REGD) ..... 3,199 8,900 BANCO CENTRALE HISPANOAMERICANO S.A ................. 217 127,500 BANCO SANTANDER S.A .................. 4,258 15,700 BANK OF NEW YORK CO, INC ............. 908 89,000 BANK OF YOKOHAMA LTD ................. 235 92,414 BANKAMERICA CORP ..................... 6,746 See notes to financial statements. -42- GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ---------- COMMERCIAL BANKS - (Continued) 43,788 BANKBOSTON CORP ...................... $ 4,113 28,800 BANKERS TRUST NEW YORK CORP .......... 3,238 28,672 BANQIE DE PARIBAS S.A ................ 2,493 41,310 BANQUE NATIONALE DE PARIS ............ 2,197 248,836 BARCLAYS PLC ......................... 6,612 47,600 BAYERISCHE VEREINSBANK AG ............ 3,116 318,460 CHIBA BANK LTD ....................... 992 200,834 CITICORP CO .......................... 25,393 15,500 COMERICA, INC ........................ 1,399 50 COMMERZBANK AG ....................... 2 1,700 CORESTATES FINANCIAL CORP ............ 136 6,900 CREDITANSTALT-BAVKVEREIN (STAMM) ..... 442 320,600 CREDITO ITALIANO S.P.A ............... 990 2,000 DAI-ICHI KANGO BANK LTD .............. 12 5,900 DEN DANSKE BANK AF 1871 .............. 787 95,530 DEUTSCHE BANK AG ..................... 6,747 60,000 DEVELOPMENT BANK OF SINGAPORE LTD (FR) .................. 513 85,600 DRESDNER BANK AG ..................... 3,951 68,450 FIRST CHICAGO NBD CORP ............... 5,716 64,926 FLEET FINANCIAL GROUP, INC ........... 4,865 786,000 FUJI BANK LTD ........................ 3,192 2,300 GENERALE DE BANQUE S.A ............... 1,001 185,000 GUNMA BANK LTD ....................... 1,209 130,200 HANG SENG BANK LTD ................... 1,256 29,000 HIGO FAMILY BANK LTD ................. 147 253,000 HOKURIKU BANK LTD .................... 331 123,587 HSBC HOLDINGS PLC .................... 3,062 67,387 HSBC HOLDINGS PLC (HONG KONG) ........ 1,661 201,186 HSBC HOLDINGS LTD (UNITED KINGDOM) ... 5,201 566,297 INDUSTRIAL BANK OF JAPAN LTD ......... 4,051 129,500 INSTITUTO BANCARIO SAN PAOLO DI TURINO ..................... 1,239 98,200 ISTITUTO MOBILIARE ITALIANO S.P.A .... 1,167 237,415 JOYO BANK ............................ 840 61,900 KEYCORP .............................. 4,383 695,051 LLOYDS TSB GROUP PLC ................. 8,989 158,900 MALAYAN BANKING BERHAD ............... 461 148,700 MBNA CORP ............................ 4,061 114,100 MERITA LTD ........................... 624 328,000 MITSUBISHI TRUST & BANKING CORP ...... 3,305 376,000 MITSUI TRUST & BANKING CO LTD ........ 732 43,330 MORGAN (J.P.) & CO, INC .............. 4,891 1,512 NATEXIS S.A .......................... 88 169,400 NATIONAL AUSTRALIA BANK LTD .......... 2,365 17,635 NATIONAL CITY CORP ................... 1,160 132,446 NATIONSBANK CORP ..................... 8,054 50,300 NORWEST CORP ......................... 1,943 107,781 OVERSEAS-CHINESE BANKING CORP LTD (FR) ....................... 627 84,200 PNC BANK CORP ........................ 4,805 252,000 oPUBLIC BANK BERHAD (LR) .............. 78 233,000 RHB CAPITAL BERHAD ................... 113 47,900 ROYAL BANK OF CANADA ................. 2,530 180,080 ROYAL BANK OF SCOTLAND PLC ........... 2,305 953,000 SAKURA BANK LTD ...................... 2,734 4,235 SANWA BANK LTD ....................... 43 133,000 SEVENTY-SEVEN (77) BANK LTD .......... 951 161,000 SHIZUOKA BANK LTD .................... 1,734 16,300 SKANDIA FORSAKRINGS AB ............... 769 80,100 SKANDINAVISKA ENSKILDA BANKEN SERIES A ..................... 1,015 20,203 SOCIETE GENERALE S.A ................. 2,754 762,200 SUMITOMO BANK LTD .................... 8,734 VALUE SHARES (000) ------ ---------- 33,800 SVENSKA HANDELSBANKEN SERIES A ....... $ 1,169 10,348 oSWISS BANK CORP (REGD) ............... 3,221 5,025 oSWISS BANK CORP (REGD) WTS 06/30/00 .. 71 505,000 TOKAI BANK LTD ....................... 2,361 15,500 U.S. BANCORP ......................... 1,735 11,750 UNI BANKDANMARK AS (CLASS A) ......... 863 5,519 UNION BANK OF SWITZERLAND (BR) ....... 7,991 128,000 UNITED OVERSEAS BANK LTD (FR) ........ 710 6,116 WELLS FARGO & CO ..................... 2,076 459,100 WESTPAC BANKING CORP ................. 2,936 60,600 WING LUNG BANK LTD ................... 290 55,000 YAMAGUCHI BANK LTD ................... 677 407,000 YASUDA TRUST & BANKING CO LTD ........ 407 ----------- 222,985 ----------- COMMERCIAL PRINTING--0.00% 10,000 HARLAND (JOHN H.) CO ................. 210 ----------- COMMUNICATIONS EQUIPMENT--1.47% 10,891 BETACOM PLC .......................... 6 1,021,661 BRITISH TELECOMMUNICATIONS PLC ....... 8,065 292,274 CABLE & WIRELESS PLC ................. 2,570 1,700 oDSC COMMUNICATIONS CORP .............. 41 971,082 oGLOBALSTAR TELECOMMUNICATIONS LTD .... 47,704 25,600 HARRIS CORP .......................... 1,174 1,571,805 HONG KONG TELECOMMUNICATIONS LTD ..... 3,235 2,800 oITT CORP ............................. 232 38,700 ITT INDUSTRIES, INC .................. 1,214 47,174 MOTOROLA, INC ........................ 2,692 13,500 oNEWBRIDGE NETWORKS CORP .............. 472 18,100 NOKIA AB SERIES K .................... 1,296 40,000 NORTHERN TELECOMMUNICATIONS LTD ...... 3,554 253,400 TELECOM CORP OF NEW ZEALAND .......... 1,229 434,000 TELEKOM MALAYSIA BERHAD .............. 1,282 332,308 VODAFONE GROUP PLC ................... 2,425 ----------- 77,191 ----------- COMMUNICATIONS SERVICES, NEC--0.05% 77,800 BCE, INC ............................. 2,590 6,200 BCE, INC (U.S.) ...................... 207 3,000 NIPPON COMSYS CORP ................... 37 ----------- 2,834 ----------- COMPUTER AND DATA PROCESSING SERVICES--2.29% 14,000 ADOBE SYSTEMS, INC ................... 578 21,800 oAMERICA ONLINE, INC .................. 1,944 14,100 AUTOMATIC DATA PROCESSING, INC ....... 865 17,500 oBMC SOFTWARE, INC .................... 1,148 1,559,475 COMPUTER ASSOCIATES INTERNATIONAL, INC .................. 82,457 32,800 CSK CORP ............................. 843 68,600 ELECTRONIC DATA SYSTEMS CORP ......... 3,014 200 FIRST DATA CORP ...................... 6 63,600 HBO & CO ............................. 3,053 5,600 oKONAMI CO LTD ........................ 138 172,200 oMICROSOFT CORP ....................... 22,257 84,287 oORACLE CORP .......................... 1,881 12,100 oPARAMETRIC TECHNOLOGY CORP ........... 573 37,400 oPEOPLESOFT, INC ...................... 1,459 50 oSIEBEL SYSTEMS, INC .................. 2 7,900 TRANS COSMOS ......................... 139 ----------- 120,357 ----------- COMPUTER AND OFFICE EQUIPMENT--3.39% 600 oASCEND COMMUNICATIONS, INC ........... 15 See notes to financial statements. -43- GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ---------- COMPUTER AND OFFICE EQUIPTMENT - (Continued) 2,500 oBAY NETWORKS, INC .................... $ 64 794,550 oCISCO SYSTEMS, INC ................... 44,296 741,100 COMPAQ COMPUTER CORP ................. 41,826 29,200 oDIGITAL EQUIPMENT CORP ............... 1,080 87,600 oEMC CORP ............................. 2,404 462,000 FUJITSU LTD .......................... 4,975 153,452 HEWLETT-PACKARD CO ................... 9,591 538,380 INTERNATIONAL BUSINESS MACHINES CORP ....................... 56,294 14,900 oLITTON INDUSTRIES, INC ............... 857 899,600 oSEAGATE TECHNOLOGY, INC .............. 17,317 24,800 oVIGLEN TECHNOLOGY PLC ................ 16 ----------- 178,735 ----------- CONCRETE, GYPSUM, AND PLASTER PRODUCTS--0.03% 6,400 oAKER RGI ASA SERIES A ................ 115 12,108 CIMENTOS DE PORTUGAL ................. 318 300 DYCKERHOFF AG ........................ 85 1,010 HOLDERBANK FINANCIERE GLARUS AG (REGD) ..................... 825 ----------- 1,343 ----------- CONSTRUCTION AND RELATED MACHINERY--0.13% 37,400 BAKER HUGHES, INC .................... 1,632 99,900 CATERPILLAR, INC ..................... 4,851 1,400 DOVER CORP ........................... 51 20 oGLOBAL INDUSTRIAL TECHNOLOGIES, INC .. 0 2,400 VA TECHNOLOGIE AG (BR) ............... 364 36,000 VAN DER HORST LTD .................... 14 ----------- 6,912 ----------- COPPER ORES--0.01% 19,200 CYPRUS AMAX MINERALS CO .............. 295 4,600 NORANDA, INC ......................... 79 17,900 OUTOKUMPU OY SERIES A ................ 219 ----------- 593 ----------- CREDIT REPORTING AND COLLECTION--0.22% 8,300 oAGIV AG .............................. 157 626,766 BTR PLC .............................. 1,923 5,147 oBTR PLC WTS 11/26/98 ................. 0 53,100 COGNIZANT CORP ....................... 2,366 102,200 CSR LTD .............................. 346 55 DE LA RUE CO PLC ..................... 0 3,600 GROUPE BRUXELLES LAMBERT S.A ......... 521 57,000 oHAW PAR CORP LTD ..................... 74 469,000 ITOCHU CORP .......................... 739 8,602 LAGARDERE S.C.A ...................... 285 8,100 LAIRD GROUP PLC ...................... 59 258,224 LONRHO PLC ........................... 395 333,000 MALAYAN UNITED INDUSTRIES BERHAD ..... 58 527,000 MARUBENI CORP ........................ 928 7,520 METRA CO SERIES B .................... 177 74,257 PEARSON PLC .......................... 965 6,000 oRENONG BERHAD ........................ 3 331,200 SIME DARBY BERHAD .................... 318 232,000 SUMITOMO CORP ........................ 1,303 240,000 TOKYU CORP ........................... 930 296,000 UNITED INDUSTRIAL CORP ............... 116 ----------- 11,663 ----------- VALUE SHARES (000) ------ ---------- CRUSHED AND BROKEN STONE--0.02% 7,800 VULCAN MATERIALS CO .................. $ 797 ----------- CUTLERY, HANDTOOLS, AND HARDWARE--0.20% 101,600 GILLETTE CO .......................... 10,204 8,900 SNAP-ON, INC ......................... 388 200 STANLEY WORKS CO ..................... 9 ----------- 10,601 ----------- DAIRY PRODUCTS--0.16% 600 BONGRAIN S.A ......................... 253 12,231 DANONE GROUP ......................... 2,186 49,000 MEIJI MILK PRODUCTS CO LTD ........... 127 26,000 NESTLE MALAYSIA BERHAD ............... 120 215,900 PARMALAT FINANZIARIA S.P.A ........... 309 159,000 SNOW BRAND MILK PRODUCTS CO .......... 429 81,060 UNIGATE PLC .......................... 802 484,414 UNILEVER LTD ......................... 4,157 ----------- 8,383 ----------- DEEP SEA FOREIGN TRANSPORTATION OF FREIGHT--0.29% 9,600 oBERGESEN D.Y. AS (CLASS B) ........... 224 708 oBONA SHIPHOLDING LTD ................. 7 36 DAMPSKIBSSELSKABET AF 1912 (CLASS B) . 1,661 26 DAMPSKIBSSELSKABET SVENDBORG (CLASS B) ............................ 1,709 950,000 oFIRST OLSEN TANKERS LTD .............. 8,247 144,000 HAI SUN HUP GROUP LTD ................ 58 43,200 oHAI SUN HUP WTS 05/10/02 ............. 3 150,000 KAMIGUMI CO LTD ...................... 445 237,000 oKAWASAKI KISEN KAISHA LTD ............ 288 6,900 KONINKLIJKE NEDLLOYD GROEP NV ........ 157 4,500 LEIF HOEGH & CO ...................... 92 64,000 MALAYSIAN INTERNATIONAL SHIPPING CO (FR) ..................... 94 468,000 oMITSUI OSK LINES LTD ................. 651 30,100 oNCL HOLDINGS AS ...................... 108 200 NEPTUNE ORIENT LINES LTD ............. 0 192,000 NIPPON YUSEN KABUSHIKI KAISHA ........ 529 67,801 PENINSULAR & ORIENTAL STEAM NAVIGATION CO ........................ 780 54,000 TRANSPORTATION DEVELOPMENT GROUP PLC ............................ 182 800 oUNITOR AS ............................ 10 ----------- 15,245 ----------- DEPARTMENT STORES--0.89% 90,400 ARGOS PLC 5/7 (P/P) .................. 820 109,000 BOOTS CO LTD ......................... 1,584 175 CARREFOUR SUPERMARCHE S.A ............ 91 210,300 COLES MYER LTD ....................... 1,010 12,000 DAIEI, INC ........................... 50 122,000 DAIMARU, INC ......................... 289 8,300 DELHAIZE FRERES NV ................... 421 206,000 oGIORDANO INTERNATIONAL LTD ........... 71 69,790 GREAT UNIVERSAL STORES PLC ........... 861 31,000 HANKYU DEPARTMENT STORES, INC ........ 173 1,600 HUDSONS BAY CO ....................... 36 6,000 ISETAN CO ............................ 25 106,000 ITO-YOKADO CO LTD .................... 5,421 230 oJELMOLI HOLDING AG (BR) .............. 199 58,000 JUSCO CO LTD ......................... 821 50 KARSTADT AG .......................... 17 164,370 KINGFISHER PLC ....................... 2,293 371,666 MARKS & SPENCER PLC .................. 3,663 See notes to financial statements. -44- GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ---------- DEPARTMENT STORES - (Continued) 126,000 MARUI CO LTD ......................... $ 1,967 65,000 MAY DEPARTMENT STORES CO ............. 3,425 144,200 MYCAL CORP ........................... 1,209 60,042 NEXT PLC ............................. 684 66,900 PENNEY, (J.C.) CO, INC ............... 4,035 4,720 PINAULT-PRINTEMPS-REDOUTE S.A ........ 2,519 4,840 PROMODES S.A ......................... 2,009 35,320 RINASCENTE S.P.A ..................... 264 43 SEARS PLC ............................ 0 19,000 SEIYU LTD ............................ 60 14,300 SHIMACHU CO .......................... 225 3,800 oSTOCKMANN B FREE ..................... 237 142,000 TAKASHIMAYA CO LTD ................... 863 82,000 UNY CO LTD ........................... 1,129 267,358 WAL-MART STORES, INC ................. 10,544 ----------- 47,015 ----------- DRUG STORES AND PROPRIETARY STORES--0.02% 28,100 WALGREEN CO .......................... 882 ----------- DRUGS--5.91% 138,533 ABBOTT LABORATORIES CO ............... 9,083 10,500 AKZO NOBEL NV ........................ 1,811 122,664 AMERICAN HOME PRODUCTS CORP .......... 9,384 121,340 BAYER AG ............................. 4,535 138,426 BRISTOL MYERS SQUIBB CO .............. 13,099 685,000 oCHIRON CORP .......................... 11,645 250 ELF SANOFI S.A ....................... 28 494,496 GLAXO WELLCOME PLC ................... 11,700 37,000 KAKEN PHARMACEUTICAL CO LTD .......... 73 22,600 KISSEI PHARMACEUTICALS CO LTD ........ 327 128,324 LILLY (ELI) & CO ..................... 8,935 5,900 MALLINCKRODT, INC .................... 224 13,200 MDS INC, (CLASS B) ................... 304 59,717 oMEDPARTNERS, INC ..................... 1,336 22,230 MERCK & CO KGAA ...................... 723 194,582 MERCK & CO, INC ...................... 20,674 84,577 NOVARTIS AG (REGD) ................... 137,425 10,300 NOVO NORDISK AS (CLASS B) ............ 1,474 643,024 PFIZER, INC .......................... 47,945 50 ROCHE HOLDINGS AG (BR) ............... 771 1,005 ROCHE HOLDINGS AG (GENUSSCHEINE) ..... 9,994 17,500 SCHERING AG .......................... 1,689 117,100 SCHERING-PLOUGH CORP ................. 7,275 743,018 SMITHKLINE BEECHAM/BECKMAN LTD ....... 7,647 24,200 WARNER-LAMBERT CO .................... 3,001 ----------- 311,102 ----------- EATING AND DRINKING PLACES--0.17% 11,733 ACCOR S.A ............................ 2,182 9,407 oAUTOGRILL S.P.A ...................... 50 19,800 CRACKER BARREL OLD COUNTRY STORE, INC ........................... 661 49,000 DARDEN RESTAURANTS, INC .............. 613 5,000 FUJITA KANKO, INC .................... 54 282,000 HONG KONG & SHANGHAI HOTELS LTD ...... 233 95,166 MCDONALDS CORP ....................... 4,544 168,000 MIRAMAR HOTEL & INVESTMENT CO LTD .... 284 34,000 OVERSEAS UNION ENTERPRISES LTD ....... 82 5,800 oSCOTTS RESTAURANTS, INC .............. 20 9 oTRICON GLOBAL RESTAURANTS, INC ....... 0 ----------- 8,723 ----------- VALUE SHARES (000) ------ ---------- ELECTRIC DISTRIBUTION EQUIPMENT--2.58% 4,425,000 CBS CORP ............................. $ 130,261 33,536 COOPER INDUSTRIES, INC ............... 1,643 1,500 oEMPRESA FABRIL DE MAQUINAS ELECTRICAS .......................... 12 392,000 NIPPON ELECTRIC CORP (N.E.C.) ........ 4,191 ----------- 136,107 ----------- ELECTRIC LIGHTING AND WIRING EQUIPMENT--0.49% 424,000 PHILIPS ELECTRONICS NV (NY REGD) ..... 25,652 ----------- ELECTRIC SERVICES--1.12% 12,800 CAROLINA POWER & LIGHT CO ............ 543 62,200 CENTRAL & SOUTH WEST CORP ............ 1,683 409,000 CHINA LIGHT & POWER CO LTD ........... 2,270 100 CHUBU ELECTRIC POWER CO, INC ......... 2 59,700 DOMINION RESOURCES, INC .............. 2,541 46,800 DTE ENERGY CO ........................ 1,623 12,400 DUKE ENERGY CORP ..................... 687 11,100 EDPERBRASCAN CORP (CLASS A) .......... 202 10,950 oELECTRABEL S.A. STRIP VVPR ........... 4 51,850 oELECTRICIDADE DE PORTUGAL S.A ........ 983 76,808 ENDESA S.A ........................... 1,363 6,287 ENERGIA E INDUSTRIAS ARAGONESAS S.A .. 42 76,600 ENTERGY CORP ......................... 2,293 23,152 oFIRSTENERGY CORP ..................... 671 39,100 GPU, INC ............................. 1,647 89,100 HOUSTON INDUSTRIES, INC .............. 2,378 6,100 ILLINOVA CORP ........................ 164 268,300 KANSAI ELECTRIC POWER CO, INC ........ 4,560 152,008 NATIONAL GRID GROUP PLC .............. 726 267,099 NATIONAL POWER PLC ................... 2,648 1,500 NORTHEAST UTILITIES CO ............... 18 3,900 OESTERREICHISCHE ELEKTRIZITAETSWIRSCHAFTS AG ......... 413 2,100 POTOMAC ELECTRIC POWER CO ............ 54 53,500 PP&L RESOURCES, INC .................. 1,281 4,510 RHEIN-WESTFALEN ELECTRIC AG (STAMM) ................. 242 182,522 SCOTTISH POWER PLC ................... 1,611 184,000 SHUN TAK ENTERPRISES CORP LTD ........ 49 22,200 SOUTHERN CO .......................... 574 9,800 SOUTHERN ELECTRIC PLC ................ 78 457,000 TENAGA NASIONAL BERHAD ............... 974 80,370 TEXAS UTILITIES CO ................... 3,340 178,000 TOHOKU ELECTRIC POWER CO, INC ........ 2,711 342,987 TOKYO ELECTRIC POWER CO, INC ......... 6,278 45,700 TOKYO ELECTRON CO LTD ................ 1,469 12,000 TRACTEBEL NV ......................... 1,046 600 oTRACTEBEL NV PUT WTS 11/15/99 ........ 2 43,500 TRANSALTA CORP ....................... 685 69,800 UNICOM CORP .......................... 2,146 98,400 UNION ELECTRICA FENOSA S.A ........... 943 73,550 VEBA AG .............................. 5,011 5,249 VIAG AG .............................. 2,829 ----------- 58,784 ----------- ELECTRICAL GOODS--0.02% 9,600 AVNET, INC ........................... 634 8,800 oQUALCOMM, INC ........................ 444 ----------- 1,078 ----------- See notes to financial statements. -45- GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ---------- ELECTRICAL INDUSTRIAL APPARATUS--1.87% 162,100 ABB AB SERIES B ...................... $ 1,910 28,787 ALCATEL ALSTHOM CIE GEN .............. 3,661 2,000 ALPS ELECTRIC CO LTD ................. 19 125,000 AMADA CO LTD ......................... 466 24,700 oAMERICAN POWER CONVERSION CORP ....... 584 6,000 ASAHI OPTICAL CO LTD ................. 10 60,336 BICC LTD ............................. 171 216,000 CANON, INC ........................... 5,050 57,000 CASIO COMPUTER CO LTD ................ 410 141,000 CITIZEN WATCH CO LTD ................. 949 30,517 ELECTROCOMPONENTS PLC ................ 227 1,304,500 ERICSSON TELEFON (LM) AB SERIES B .... 49,075 56,000 FUJIKURA LTD ......................... 372 15,600 HIROSE ELECTRIC CO LTD ............... 800 780,000 HITACHI LTD .......................... 5,579 3,000 HOYA CORP ............................ 95 88,000 KANDENKO CO LTD ...................... 451 38,000 KYUNDENKO CO LTD ..................... 193 418 LEGRAND S.A .......................... 83 44,978 LEX SERVICE GROUP LTD ................ 345 345,000 MITSUBISHI ELECTRIC CORP ............. 886 391,000 MURATA MANUFACTURING CO LTD .......... 9,864 69,000 NGK INSULATORS LTD ................... 616 74,000 NIKON CORP ........................... 734 2,900 OCE NV ............................... 316 130,000 OLYMPUS OPTICAL CO LTD ............... 901 59,000 OMRON CORP ........................... 926 7,430 OXFORD INSTRUMENTS GROUP PLC ......... 36 49,900 PHILIPS ELECTRONICS NV ............... 2,993 1,077 RICOH CO LTD ......................... 13 33,000 ROHM CO .............................. 3,376 85,640 SIEMENS AG ........................... 5,072 183,000 SUMITOMO ELECTRIC INDUSTRIES CO ...... 2,505 ----------- 98,688 ----------- ELECTRONIC COMPONENTS AND ACCESSORIES--3.80% 167,000 ADVANTEST CORP ....................... 9,505 403,900 oALTERA CORP .......................... 13,379 132,000 oASM LITHOGRAPHY HOLDINGS NV .......... 8,660 2,300 BARCO INDUSTRIES NV .................. 422 56,400 BOWTHORPE HOLDINGS PLC ............... 349 193,744 FKI PLC .............................. 612 384,081 GENERAL ELECTRIC CO (UNITED KINGDOM) .................... 2,522 973,448 INTEL CORP ........................... 68,385 704,000 LINEAR TECHNOLOGY CO ................. 40,568 932,500 oMICRON TECHNOLOGY, INC ............... 24,245 511,500 oTELLABS, INC ......................... 27,046 83,600 TEXAS INSTRUMENTS, INC ............... 3,762 92,000 YOKOGAWA ELECTRIC CORP ............... 570 ----------- 200,025 ----------- ENGINEERING AND ARCHITECTURAL SERVICES--0.00% 13,900 OYO CORP ............................. 201 ----------- ENGINES AND TURBINES--0.03% 19,700 BOMBARDIER, INC (CLASS B) ............ 405 28,200 BRUNSWICK CORP ....................... 855 7,400 CUMMINS ENGINE CO, INC ............... 437 ----------- 1,697 ----------- FABRICATED RUBBER PRODUCTS, NEC--0.00% 199,000 GOLDEN HOPE PLANTATIONS BERHAD ....... 230 ----------- VALUE SHARES (000) ------ ---------- FABRICATED STRUCTURAL METAL PRODUCTS--0.01% 13,800 TRINITY INDUSTRIES, INC .............. $ 616 4,900 UNITED DOMINION INDUSTRIES LTD ....... 123 ----------- 739 ----------- FAMILY CLOTHING STORES--0.03% 37,800 GAP, INC ............................. 1,340 ----------- FARM AND GARDEN MACHINERY--0.01% 5,400 CASE CORP ............................ 326 19,200 oDEUTZ AG ............................. 141 ----------- 467 ----------- FATS AND OILS--0.00% 625 oPPB OIL PALMS BERHAD ................. 0 ----------- FEDERAL AND FEDERALLY-SPONSORED CREDIT AGENCIES--0.17% 155,988 FEDERAL NATIONAL MORTGAGE ASSOCIATION ......................... 8,901 ----------- FINANCE SERVICES--0.76% 131,000 oSHOKOH FUND & CO ..................... 40,099 ----------- FIRE, MARINE, AND CASUALTY INSURANCE--0.84% 26,390 ALLIANZ AG (REGD) .................... 6,839 63,668 ALLSTATE CORP ........................ 5,786 5,270 ASR VERZEKERINGSGROEP NV ............. 287 7,300 COLONIA KONZERN AG (REGD) ............ 698 75,139 COMMERICAL UNION ASSURANCE CO LTD .... 1,110 38,100 HARTFORD FINANCIAL SERVICES GROUP, INC ........................... 3,565 118,030 ING GROEP NV ......................... 4,972 580,400 INSTITUTO NAZIONALE DELLE ASSICURAZION ......................... 1,178 43,000 MITSUI TAISHO MARINE & FIRE CO LTD ... 220 115 oMUNCHENER RUECKVERSICHERUNGS- GESELLSCHAFT (REGD) (P/P) WTS 03/13/98 ........................ 67 213,000 NICHIDO FIRE & MARINE INSURANCE CO LTD .............................. 1,114 176,000 NIPPON FIRE & MARINE INSURANCE CO LTD .............................. 662 4,300 oPOHJOLA INSURANCE CO LTD SERIES B .... 160 110,636 QBE INSURANCE GROUP LTD .............. 498 57,000 RAS S.P.A ............................ 560 305,383 ROYAL & SUN ALLIANCE INSURANCE GROUP PLC ........................... 3,065 2,500 SAFECO CORP .......................... 122 11,400 SAI S.P.A ............................ 127 1,600 SCHWEIZERISCHE RUCKVERSICHERUNG (REGD) ............. 2,997 9,300 ST. PAUL COS, INC .................... 763 40,600 oUNI-STOREBRAND AS SERIES A ........... 286 237,972 SUMITOMO MARINE & FIRE INSURANCE CO ........................ 1,263 361,000 TOKIO MARINE & FIRE INSURANCE CO LTD ..................... 4,109 35,800 USF&G CORP ........................... 790 5,943 ZURICH INSURANCE CO (REGD) ........... 2,836 ----------- 44,074 ----------- FLAT GLASS--0.09% 248,000 ASAHI GLASS CO LTD ................... 1,183 197,000 NIPPON SHEET GLASS CO LTD ............ 276 57,100 PPG INDUSTRIES, INC .................. 3,262 ----------- 4,721 ----------- See notes to financial statements. -46- GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ---------- FOREIGN BANKS, BRANCHES AND AGENCIES--0.43% 71,800 oBANCO AMRBOSIANO VENETO BDS RTS ...... $ 46 71,800 oBANCO AMBROSIANO VENETO RTS .......... 306 96,600 oBANCO AMBROSIANO VENETO S.P.A ........ 189 21,600 oBANCO COMERCIAL PORTUGUES S.A (REGD) ............................... 442 12,600 oBANCO ESPIRITO SANTO E COMERCIAL ..... 375 8,700 BANCO TOTTA & ACORES S.A. (REGD) ..... 171 11,800 BANK AUSTRIA AG ...................... 597 52,500 BANK OF MONTREAL ..................... 2,324 9,796 BANK OF NOVA SCOTIA .................. 461 1,069,747 BANK OF TOKYO MITSUBISHI LTD ......... 14,809 11,200 oBPI-SGPS, S.A. (REGD) ................ 273 67,964 CANADIAN IMPERIAL BANK OF COMMERCE ... 2,118 69,000 oCHRISTIANIA BANK OG KREDITKASSE ...... 279 988 oDRESDNER BANK WTS 04/30/02 ........... 18 16,200 NATIONAL BANK OF CANADA .............. 267 42,000 #oPUBLIC BANK BERHAD (LR) RTS .......... 2 ----------- 22,677 ----------- FOREST PRODUCTS--0.01% 2,100 oCORTICEIRA AMORIM S.A ................ 25 110,000 HIGHLANDS & LOWLANDS BERHAD .......... 112 74,000 KUALA LUMPUR KEPONG BERHAD ........... 159 ----------- 296 ----------- FORESTRY SERVICES--0.00% 207,060 FLETCHER CHALLENGE LTD (FORESTS DIVISION) .................. 172 ----------- FREIGHT TRANSPORTATION ARRANGEMENT--0.25% 550,000 BERGESEN AS SERIES A ................. 12,981 ----------- FUNERAL SERVICE AND CREMATORIES--0.00% 1,100 SERVICE CORP INTERNATIONAL ........... 41 ----------- GAS PRODUCTION AND DISTRIBUTION--0.19% 10,200 COASTAL CORP ......................... 632 17,200 GAS NATURAL SDG S.A .................. 892 537,000 HONG KONG & CHINA GAS CO LTD ......... 1,040 26,322 HYDER PLC ............................ 418 159,274 IBERDROLA S.A ........................ 2,095 10,481 IPL ENERGY, INC ...................... 479 92,900 ITALGAS S.P.A ........................ 384 38,000 IWATANI & CO LTD ..................... 68 54,900 NOVA CORP ............................ 522 201,000 OSAKA GAS CO LTD ..................... 461 100 SONAT, INC ........................... 5 123,374 TAYLOR WOODROW PLC ................... 362 297,000 TOKYO GAS CO LTD ..................... 676 22,000 TRANS CANADA PIPELINES LTD ........... 490 52,182 UNITED UTILITIES PLC ................. 674 24,544 WESTCOAST ENERGY, INC ................ 566 100 WILLIAMS COS, INC .................... 3 ----------- 9,767 ----------- GENERAL INDUSTRIAL MACHINERY--4.20% 1,140 ABB ASEA BROWN BOVERI LTD (BR) ....... 1,434 26,700 ATLAS COPCO AB SERIES B FREE ......... 796 138,100 AUSTRALIAN NATIONAL INDUSTRIES LTD ... 127 200 BEKAERT S.A .......................... 119 30,000 oCHIYODA CORP ......................... 32 VALUE SHARES (000) ------ ---------- 10,700 COBHAM GROUP PLC ..................... $ 147 7,220 CONTINENTAL AG ....................... 159 49,000 DAIKIN INDUSTRIES LTD ................ 185 18,360 DELTA PLC ............................ 79 69,000 EBARA CORP ........................... 732 7,900 oEST ASIATIQUE ........................ 72 802,400 FANUC LTD ............................ 30,486 241 FISCHER (GEORGE) LTD (BR) ............ 330 21 FISCHER (GEORGE) LTD (REGD) .......... 6 4,000 FLS INDUSTRIES AS (CLASS B) .......... 95 16,200 GENERAL SIGNAL CORP .................. 683 20,216 GKN PLC .............................. 415 183,000 HITACHI ZOSEN CORP ................... 294 653 INDUSTRIE-WERKE KARLSRUHE AUGSBURG AG ......................... 154 53,500 INGERSOLL-RAND CO .................... 2,167 53,500 KEPPEL CORP .......................... 154 258,220 KEYENCE CORP ......................... 38,329 267,000 KOMATSU LTD .......................... 1,345 1,700 oKONE CORP SERIES B ................... 206 59,000 KOYO SEIKO CO LTD .................... 237 336,000 KUBOTA CORP .......................... 889 7,500 KVAERNER INDUSTRIER AS SERIES A ...... 383 36,500 KYOCERA CORP ......................... 1,662 1,720 LINDE AG ............................. 1,050 36,000 MAKINO MILLING MACHINE CO LTD ........ 228 146,000 MINEBEA CO LTD ....................... 1,572 893,000 MITSUBISHI HEAVY INDUSTRIES LTD ...... 3,736 41,000 MORI SEIKI CO LTD .................... 426 99,000 oNIIGATA ENGINEERING CO LTD ........... 43 22,000 NIPPON SHARYO LTD .................... 61 158,000 NSK LTD .............................. 395 131,000 NTN TOYO BEARING CO LTD .............. 304 26,000 OKUMA CORP ........................... 93 21,000 SANDEN CORP .......................... 90 240 SCHINDLER HOLDINGS LTD (REGD) ........ 258 3,800 SOPHUS BERENDSEN AS (CLASS B) ........ 627 4,574 STORK NV ............................. 158 540 SULZER WINTERTHUR AG (REGD) .......... 343 152,000 SUMITOMO HEAVY INDUSTRIES LTD ........ 466 19,200 SUNDSTRAND CORP ...................... 967 15,600 SVENKA KULLAGERFABRIKEN AB SERIES B .. 332 137,226 T & N PLC ............................ 574 1,000 TAIYO YUDEN CO LTD ................... 7 31,000 TAKUMA CO LTD ........................ 215 165,000 TECHNOLOGY RESOURCES INDUSTRIES BERHAD ................... 97 113,000 TOYO ENGINEERING CO .................. 82 16,000 TOYO EXTERIOR CORP ................... 105 73,100 TOYODA AUTOMATIC LOOM WORKS LTD ...... 1,349 13,900 TRELLEBORG AB SERIES B FREE .......... 175 28,000 TSUBAKIMOTO CHAIN CO ................. 101 5,000 oTSUGAMI CORP ......................... 4 2,788,360 TYCO INTERNATIONAL LTD ............... 125,650 88,000 UMW HOLDINGS BERHAD .................. 67 20,700 VICKERS PLC .......................... 81 ----------- 221,373 ----------- GLASS AND GLASSWARE, PRESSED OR BLOWN--0.01% 10,900 OWENS CORNING CO ..................... 372 ----------- GOLD AND SILVER ORES--1.13% 18,000 BARRICK GOLD CORP .................... 335 55,700 BARRICK GOLD CORP (U.S.) ............. 1,037 22,800 ECHO BAY MINES LTD ................... 57 See notes to financial statements. -47- GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ---------- GOLD AND SILVER ORES - (Continued) 1,927,800 oEUOR-NEVADA MINING CORP .............. $ 26,066 1,512,800 FRANCO-NEVADA MINING CORP LTD ........ 29,704 4,500 FREEPORT MCMORAN COPPER & GOLD, INC (CLASS A) ................. 69 8,700 FREEPORT MCMORAN COPPER & GOLD, INC (CLASS B) ................. 137 70,467 GREAT CENTRAL MINES LTD .............. 76 50,400 NEWMONT MINING CORP .................. 1,481 24,100 PLACER DOME, INC ..................... 303 7,200 TECK CORP LTD (CLASS B) .............. 108 ----------- 59,373 ----------- GRAIN MILL PRODUCTS--0.22% 180,005 ARCHER DANIELS MIDLAND CO ............ 3,904 7,946 ERIDANIA BEGHIN-SAY S.A .............. 1,243 19,000 GENERAL MILLS, INC ................... 1,361 1,000 GLAVERBEL S.A ........................ 157 73,000 IOI CORP ............................. 24 66,000 NITTO DENKO CORP ..................... 1,142 73,000 PERLIS PLANTATIONS BERHAD ............ 103 21,000 PRIMA LTD ............................ 39 43,600 QUAKER OATS CO ....................... 2,300 56 RALSTON PURINA CO .................... 5 73,600 TOYO SEIKAN KAISHA LTD ............... 1,053 29,000 UBE INDUSTRIES LTD ................... 37 4,900 VISCOFAN S.A ......................... 123 ----------- 11,491 ----------- GROCERIES AND RELATED PRODUCTS--0.04% 6,600 OSHAWA GROUP LTD (CLASS A) ........... 115 23,700 oPROVIGO, INC ......................... 144 19,300 SUPERVALU, INC ....................... 808 27,000 SYSCO CORP ........................... 1,230 ----------- 2,297 ----------- GROCERY STORES--0.20% 4,600 ALBERTSONS, INC ...................... 218 80,500 AMERICAN STORES CO ................... 1,655 3,400 CULTOR OY SERIES 2 ................... 184 826 DAIRY FARM INTERNATIONAL HOLDINGS LTD ........................ 1 8,700 oEL AGUILA S.A ........................ 34 74,600 oKROGER CO ............................ 2,756 109,974 SAFEWAY PLC .......................... 624 373,933 SAINSBURY (J) PLC .................... 3,135 219,060 TESCO PLC ............................ 1,766 ----------- 10,373 ----------- GUIDED MISSILES, SPACE VEHICLES AND PARTS--0.04% 39,500 TRW, INC ............................. 2,108 ----------- HEALTH AND ALLIED SERVICES, NEC--0.06% 71,500 oHEALTHSOUTH CORP ..................... 1,984 21,900 UNITED HEALTHCARE CORP ............... 1,088 ----------- 3,072 ----------- HEAVY CONSTRUCTION, EXCEPT HIGHWAY--0.10% 8,700 AUTOPISTAS CONCESIONARIA ESPANOLA S.A ......................... 117 1,190 BILFINGER & BERGER AG ................ 37 140,809 BORAL LTD ............................ 356 VALUE SHARES (000) ------ ---------- 328 BOUYGUES S.A ......................... $ 37 231,000 CHICHIBU ONODA CEMENT CORP ........... 426 2,100 oENGIL-SGPS ........................... 21 4,800 oGROUPE GTM ........................... 323 101,000 JGC CONSTRUCTION CORP ................ 214 62,000 KINDEN CORP .......................... 663 14,000 KUMAGAI GUMI CO (HONG KONG) LTD ...... 11 276,000 KUMAGAI GUMI CO LTD .................. 151 16,000 MAEDA ROAD CONSTRUCTION CO LTD ....... 64 53,300 PIONEER INTERNATIONAL LTD ............ 146 35,909 SCHNEIDER S.A ........................ 1,951 285,000 SHIMIZU CORP ......................... 662 1,700 oSOCIEDADE DE CONSTRUCOES SOARES DA COS ....................... 12 2,100 oSOMAGUE-SGPS S.A ..................... 22 132,000 TIME ENGINEERING BERHAD .............. 34 ----------- 5,247 ----------- HIGHWAY AND STREET CONSTRUCTION--0.01% 49,000 GOLDEN PLUS HOLDINGS BERHAD .......... 11 9,930 HOCHTIEF AG .......................... 392 89,000 oSATO KOGYO ........................... 55 ----------- 458 ----------- HOLDING OFFICES--1.73% 3,100 oAACHENER & MUNCHENER BETEIL (BR) ..... 336 8,350 AACHENER & MUNCHENER BETEIL (REGD) ... 913 1,600 BOHLER-UDDEHOLM AG (BR) .............. 94 355,200 BRIERLEY INVESTMENTS LTD ............. 254 5,106,200 COMPASS GROUP PLC .................... 62,509 29,337 CREDIT SUISSE GROUP (REGD) ........... 4,546 51,000 DBS LAND LTD ......................... 78 9,300 DOUGLAS HOLDINGS AG .................. 281 900 EA-GENERALI AG ....................... 236 80 EURAFRANCE S.A ....................... 33 430 FORBO HOLDINGS AG (REGD) ............. 176 90,899 HANSON PLC ........................... 408 675,000 HUTCHINSON WHAMPOA LTD ............... 4,234 33,000 INCHAPE MOTORS ....................... 51 160,000 KAO CORP ............................. 2,313 7,500 KESKO CO ............................. 119 2,200 KREDIETBANK NV ....................... 923 161,000 MALAYSIAN MOSAICS BERHAD ............. 58 75,700 MEDIOBANCA S.P.A ..................... 595 11,930 MUENCHENER RUECKVER AG (REGD) ........ 4,498 85,000 ORIENT CORP .......................... 138 65,600 ORIENTAL HOLDINGS BERHAD ............. 80 16,936 PERNOD-RICARD S.A .................... 997 9,200 POWER CORP OF CANADA ................. 329 92,051 PROVIDENT FINANCIAL PLC .............. 1,207 2,400 ROYALE BELGE VIE ACCIDENTS ........... 683 124,100 SANKYO CO LTD ........................ 2,816 99 SIMCO (REGD) ......................... 7 110,300 ST JAMES PLACE CAPITAL PLC ........... 307 6,810 TOHO CO LTD .......................... 728 9,336 WOLTERS KLUWER NV .................... 1,206 ----------- 91,153 ----------- HORTICULTURAL SPECIALTIES--0.00% 200 PIONEER-HI-BRED INTERNATIONAL, INC ... 21 ----------- HOSPITALS--0.06% 77,300 COLUMBIA/HCA HEALTHCARE CORP ......... 2,290 52,900 oHUMANA, INC .......................... 1,098 ----------- 3,388 ----------- See notes to financial statements. -48- GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ---------- HOTELS AND MOTELS--0.11% 78,000 BERJAYA LAND BERHAD .................. $ 48 23,900 oCENDANT CORP ......................... 822 102,700 oCROWN LTD ............................ 46 37,345 oCROWN LTD RTS ........................ 3 8,000 GENTING BERHAD ....................... 20 32,250 oHARRAHS ENTERTAINMENT, INC ........... 609 37,700 HILTON HOTELS CORP ................... 1,122 65,500 oHOST MARRIOTT CORP ................... 1,285 122,000 LANDMARKS HOLDINGS BERHAD ............ 18 14,869 oPROMUS HOTEL CORP .................... 624 102,400 RANK GROUP PLC ....................... 571 1,030,800 REGAL HOTELS INTERNATIONAL LTD ....... 196 142,000 RESORTS WORLD BERHAD ................. 239 13,000 SHANGRI-LA HOTEL LTD ................. 24 ----------- 5,627 ----------- HOUSEHOLD APPLIANCE STORES--0.01% 72,900 AUSTRALIA GAS LIGHT CO ............... 508 ----------- HOUSEHOLD APPLIANCES--1.95% 10,120 ELECTROLUX AB SERIES B ............... 703 85,024 EMAIL LTD ............................ 201 1,372,328 GENERAL ELECTRIC CO .................. 100,695 50,000 TAKARA STANDARD CO ................... 246 15,100 WHIRLPOOL CORP ....................... 831 ----------- 102,676 ----------- HOUSEHOLD AUDIO AND VIDEO EQUIPMENT--1.68% 35,000 AMANO CORP ........................... 269 3,100 BANG & OLUFSEN HOLDING A/S (CLASS B) . 185 173,000 BROTHERS INDUSTRIES LTD .............. 397 16,000 oCREATIVE TECHNOLOGY LTD .............. 325 526,000 MATSUSHITA ELECTRIC INDUSTRIAL CO LTD .............................. 7,727 8,600 oMOULINEX ............................. 213 41,000 PIONEER ELECTRONIC CORP .............. 634 13,000 oSANRIO CO LTD ........................ 68 739,000 SANYO ELECTRIC CO LTD ................ 1,932 180,000 SHARP CORP ........................... 1,243 845,302 SONY CORP ............................ 75,414 31,000 UNIDEN CORP .......................... 250 ----------- 88,657 ----------- INDUSTRIAL INORGANIC CHEMICALS--0.08% 17,400 GREENCORE GROUP PLC .................. 82 55,000 oISHIHARA SANGYO KAISHA LTD ........... 61 27,100 KERRY GROUP (CLASS A) ................ 290 75,823 KONINKLIJKE AHOLD NV ................. 1,979 39,000 UNION CARBIDE CORP ................... 1,675 ----------- 4,087 ----------- INDUSTRIAL ORGANIC CHEMICALS--0.49% 13,600 AGA AB SERIES A FREE ................. 188 33,201 BOC GROUP PLC ........................ 550 228,000 DAICEL CHEMICAL INDUSTRIES LTD ....... 298 220,000 DAINIPPON INK & CHEMICAL, INC ........ 558 20,840 DEGUSSA AG ........................... 1,043 92,500 ICI AUSTRALIA LTD .................... 648 152,826 IMPERIAL CHEMICAL INDUSTRY PLC ....... 2,364 143,000 KANEKA CORP .......................... 648 96,000 KUREHA CHEMICAL INDUSTRY CO LTD ...... 198 9,569 LAIR LIQUIDE ......................... 1,498 1,389 #LAIR LIQUIDE (REGD) 1996 ............. 217 662 #LAIR LIQUIDE (REGD) 1998 ............. 104 VALUE SHARES (000) ------ ---------- 18,700 LUBRIZOL CORP ........................ $ 690 876,000 MITSUBISHI CHEMICAL CORP ............. 1,260 227,000 MITSUBISHI GAS CHEMICAL CO, INC ...... 599 1,000 oMITSUI CHEMICAL CORP ................. 2 11,000 NIPPON SHOKUBAI KAGAK KOGYO CO LTD ... 45 35,500 NORSK HYDRO AS ....................... 1,731 32,846 RHONE-POULENC S.A. (CLASS A) ......... 1,472 19,800 ROHM & HAAS CO ....................... 1,896 128,000 SEKISUI CHEMICAL CO LTD .............. 653 100,255 SHIN-ETSU CHEMICAL CO LTD ............ 1,920 108,100 oSNIA BDP S.P.A ....................... 111 13,150 SOLVAY ET CIE S.A .................... 827 356,000 SUMITOMO CHEMICAL CO LTD ............. 821 157,686 ZENECA GROUP PLC ..................... 5,552 ----------- 25,893 ----------- INSURANCE AGENTS, BROKERS, AND SERVICE--0.09% 13,700 AON CORP ............................. 803 129,122 ASSICURAZIONI GENERALI S.P.A ......... 3,175 1,200 oFAIRFAX FINANCIAL HOLDINGS LTD ....... 268 832 oFORTIS AG NPV (STRIP VVPR) ........... 0 108,900 GIO AUSTRALIAN HOLDINGS LTD .......... 278 172,000 SEDGWICK GROUP LTD ................... 399 ----------- 4,923 ----------- INSURANCE CARRIERS, NEC--0.03% 26,700 MBIA, INC ............................ 1,784 ----------- IRON AND STEEL FOUNDRIES--0.13% 72,000 oJAPAN STEEL WORKS LTD ................ 55 6,939 MANNESMANN AG ........................ 3,508 89,700 SVENSKT STAL AB (SSAB) SERIES A ...... 1,470 4,184 THYSSEN AG ........................... 896 76,120 USINOR ............................... 1,100 ----------- 7,029 ----------- JEWELRY, SILVERWARE, AND PLATED WARE--0.00% 37,300 BULGARI S.P.A ........................ 190 ----------- KNITTING MILLS--0.02% 115,000 oCSP INTERNATIONAL INDUSTRIA CALZE S.P.A. ........................ 1,299 ----------- LAUNDRY, CLEANING, AND GARMENT SERVICES--0.01% 14,600 NATIONAL SERVICE INDUSTRIES, INC ..... 724 ----------- LEAD AND ZINC ORES--0.00% 9,800 COMINCO LTD .......................... 150 ----------- LIFE INSURANCE--0.72% 11 AEGON N.V ............................ 1 43 AETNA, INC ........................... 3 27 ALLEANZA ASSICURAZIONI (S/S) ......... 0 112,980 AMERICAN INTERNATIONAL GROUP, INC .... 12,287 23,800 CIGNA CORP ........................... 4,119 1,200 GENERAL REINSURANCE CORP ............. 254 52,100 IRISH LIFE ........................... 299 22,700 JEFFERSON-PILOT CORP ................. 1,768 237,435 LEGAL & GENERAL GROUP PLC ............ 2,051 208,816 PRUDENTIAL CORP PLC .................. 2,427 9,200 SAMPO INSURANCE CO SERIES A .......... 299 31,650 SUNAMERICA, INC ...................... 1,353 44,300 TORCHMARK CORP ....................... 1,863 203,979 TRAVELERS GROUP, INC ................. 10,989 ----------- 37,713 ----------- See notes to financial statements. -49- GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ---------- LOCAL AND SUBURBAN TRANSPORTATION--0.14% 1,454 EAST JAPAN RAILWAY CO ................ $ 6,587 184,990 NANKAI ELECTRIC RAILWAY CO ........... 811 ----------- 7,398 ----------- LOGGING--0.01% 299,300 CARTER HOLT HARVEY LTD ............... 462 ----------- LUMBER AND CONSTRUCTION MATERIALS--0.03% 22,100 GEORGIA PACIFIC CORP (PACKAGING GROUP) ................... 1,343 15,000 oGEORGIA-PACIFIC CORP (TIMBER GROUP) .. 340 ----------- 1,683 ----------- LUMBER AND OTHER BUILDING MATERIALS--0.24% 3,300 CBR NV ............................... 297 63,435 CRH PLC .............................. 743 15,075 HEIDELBERGER ZEMENT AG ............... 1,073 133,050 HOME DEPOT, INC ...................... 7,833 28,100 ITALCEMENTI S.P.A .................... 196 75,700 LEIGHTON HOLDINGS LTD ................ 264 69,000 MALAYAN CEMENT BERHAD ................ 47 140,000 oPAN-MALAYSIA CEMENT WORKS BERHAD ..... 54 38,000 SANKYO ALUMINIUM INDUSTRY CO LTD ..... 34 39,000 SANWA SHUTTER CORP ................... 197 5,065 EUROC INDUSTRIA AB SERIES A .......... 207 211,900 SEKISUI HOUSE LTD .................... 1,367 1,400 WIENERBERGER BAUSTOFF AG ............. 268 ----------- 12,580 ----------- MANIFOLD BUSINESS FORMS--0.00% 14,200 MOORE CORP LTD ....................... 213 ----------- MEASURING AND CONTROLLING DEVICES--0.24% 15,200 EG & G, INC .......................... 316 114,650 IMI PLC .............................. 765 27,100 JOHNSON CONTROLS, INC ................ 1,294 250,300 oKLA-TENCOR CORP ...................... 9,668 16,100 TEKTRONIX, INC ....................... 639 ----------- 12,682 ----------- MEAT PRODUCTS--0.10% 105,500 CONAGRA, INC ......................... 3,462 105,000 ITOHAM FOODS, INC .................... 499 111,000 NIPPON MEAT PACKERS, INC ............. 1,520 ----------- 5,481 ----------- MEDICAL AND DENTAL LABORATORIES--0.00% 87 oQUEST DIAGNOSTICS, INC ............... 1 ----------- MEDICAL INSTRUMENTS AND SUPPLIES--0.79% 1,200,333 +oADAC LABORATORIES, INC ............... 23,707 39,200 BECTON DICKINSON & CO ................ 1,960 217,338 JOHNSON & JOHNSON CO ................. 14,317 22,966 oNYCOMED AMERSHAM PLC SERIES B ........ 835 2,700 RADIOMETER AS (CLASS B) .............. 110 9,700 VARIAN ASSOCIATES, INC ............... 490 ----------- 41,419 ----------- MEDICAL SERVICE AND HEALTH INSURANCE--0.02% 700 AEGON NV ............................. 62 4,300 AFLAC, INC ........................... 220 2,700 oCOMPANHIA DE SEGUROS TRANQUILIDADE ....................... 65 VALUE SHARES (000) ------ ---------- 16,800 oOXFORD HEALTH PLANS, INC ............. $ 261 3,800 oPACIFICARE HEALTH SYSTEMS, INC (CLASS A) ........................... 191 1,000 oPACIFICARE HEALTH SYSTEMS, INC (CLASS B) ........................... 52 ----------- 851 ----------- MEN'S AND BOYS' FURNISHINGS--0.04% 23,700 oFRUIT OF THE LOOM, INC (CLASS A) ..... 607 28,000 VF CORP .............................. 1,286 ----------- 1,893 ----------- MEN'S AND BOYS' SUITS AND COATS--0.01% 10,000 MARZOTTO & FIGLI S.P.A ............... 125 30,000 ONWARD KASHIYMA CO LTD ............... 348 ----------- 473 ----------- METAL CANS AND SHIPPING CONTAINERS--0.01% 1,673 oCOLEP-COMPANHIA PORTUGUESA DE EMBALAGE ......................... 24 15,000 CROWN CORK & SEAL CO, INC ............ 752 ----------- 776 ----------- METAL FORGINGS AND STAMPINGS--0.06% 58,300 oMAGNETI MARELLI ...................... 100 58,600 ROCKWELL INTERNATIONAL CORP .......... 3,062 ----------- 3,162 ----------- METAL MINING SERVICES--0.00% 1,146 oMORRISON KNUDSEN CORP WTS 03/11/03 ........................ 3 ----------- METALS AND MINERALS, EXCEPT PETROLEUM--0.01% 2,513 PREUSSAG AKTIEGESELLSCHAFT AG ........ 767 ----------- METALWORKING MACHINERY--0.03% 30,000 BLACK & DECKER CORP .................. 1,172 13,000 CINCINNATI MILACRON, INC ............. 337 12,000 MAKITA CORP .......................... 115 ----------- 1,624 ----------- MISCELLANEOUS AMUSEMENT, RECREATION SERVICES--3.67% 3,480,800 CARNIVAL CORP (CLASS A) .............. 192,749 100 oKUONI REISEN HOLDING (REGD) (CLASS B) ........................... 375 256,000 MULTI-PURPOSE HOLDINGS BERHAD ........ 66 128,300 oSYDNEY HARBOUR CASINO HOLDINGS LTD ... 122 34,900 TABCORP HOLDINGS LTD ................. 164 ----------- 193,476 ----------- MISCELLANEOUS APPAREL AND ACCESSORY STORES--0.00% 11,400 oCML GROUP, INC ....................... 38 ----------- MISCELLANEOUS BUSINESS SERVICES--1.01% 930,000 ASSA ABLOY AB SERIES B ............... 24,614 187,710 CARLTON COMMUNICATIONS PLC ........... 1,445 33,012 COMPAGNIE GENERALE DES EAUX .......... 4,609 24,394 oCOMPAGNIE GENERALE DES EAUX WTS 05/02/01 ........................ 17 210,000 DAI NIPPON PRINTING CO LTD ........... 3,957 92,000 DAIWA KOSHO LEASE CO LTD ............. 375 95,550 EDISON ............................... 579 3,100 FLUGHAFEN WIEN AG .................... 123 68,000 GAKKEN CO LTD ........................ 96 15,300 GETRONICS NV ......................... 488 5,000 KOKUYO CO LTD ........................ 87 See notes to financial statements. -50- GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ---------- MISCELLANEOUS BUSINESS SERVICES - (Continued) 8,000 MITSUBISHI WAREHOUSE & TRANSPORTATION CO LTD ............... $ 84 40,000 MITSUI SOKO CO LTD ................... 101 13,400 PITTSTON BRINKS GROUP CO ............. 539 225,840 REUTERS HOLDINGS PLC ................. 2,484 11,728 SAP AG ............................... 3,565 33,700 SECOM CO LTD ......................... 2,162 9,500 SECURITAS AB SERIES B FREE ........... 287 24,460 LYONNAISE DES EAUX S.A ............... 2,708 1,000 oSURVEILLANCE S.A. SOCIETE DE ......... 367 45,000 TOKYO DOME CORP ...................... 300 39,000 TOKYO TOKEIBA CO LTD ................. 50 216,000 TOPPAN PRINTING CO LTD ............... 2,824 31,300 VIAD CORP ............................ 604 270,000 WHARF HOLDINGS LTD ................... 592 ----------- 53,057 ----------- MISCELLANEOUS CHEMICAL PRODUCTS--0.03% 224,000 ASAHI CHEMICAL INDUSTRY CO LTD ....... 761 7,600 DYNO INDUSTRIER AS ................... 146 102,000 NAGASE & CO .......................... 298 17,000 NGK SPARK PLUG CO LTD ................ 97 680 oSIKA FINANZ AG (BR) .................. 216 ----------- 1,518 ----------- MISCELLANEOUS CONVERTED PAPER PRODUCTS--0.18% 209,569 ARJO WIGGINS APPLETON PLC ............ 562 145,000 BERJAYA GROUP BERHAD ................. 29 61,000 FORT JAMES CORP ...................... 2,333 122,800 KIMBERLY-CLARK CORP .................. 6,056 15,200 KONINKLIJKE KNP BT NV ................ 350 1,600 oMAYR-MELNHOF KARTON AG ............... 86 9,947 MEYER INTERNATIONAL PLC .............. 63 ----------- 9,479 ----------- MISCELLANEOUS DURABLE GOODS--0.13% 41,400 oCOSTCO COS, INC ...................... 1,847 88,000 DICKSON CONCEPTS INTERNATIONAL LTD ... 128 33,000 #oINCHCAPE MARKETING SERVICES .......... 28 407,000 MITSUBISHI CORP ...................... 3,224 307,000 MITSUI & CO LTD ...................... 1,823 ----------- 7,050 ----------- MISCELLANEOUS ELECTRICAL EQUIPMENT AND SUPPLIES--0.05% 36,300 CAE, INC ............................. 284 135,600 JOHNSON ELECTRIC HOLDINGS LTD ........ 390 464,917 LUCASVARITY PLC ...................... 1,649 321,900 oOLIVETTI GROUP S.P.A ................. 195 ----------- 2,518 ----------- MISCELLANEOUS EQUIPMENT RENTAL AND LEASING--0.01% 146,758 THORN PLC ............................ 379 ----------- MISCELLANEOUS FABRICATED METAL PRODUCTS--0.05% 36,150 PARKER-HANNIFIN CORP ................. 1,658 7,800 SMC .................................. 690 30,700 STELCO, INC (CLASS A) ................ 203 ----------- 2,551 ----------- MISCELLANEOUS FABRICATED TEXTILE PRODUCTS--0.08% 7,000 AOYAMA TRADING CO LTD ................ 125 7,400 COURTAULDS PLC ....................... 36 VALUE SHARES (000) ------ ---------- 42,990 COURTAULDS TEXTILES PLC .............. $ 252 41,212 DAWSON INTERNATIONAL PLC ............. 46 90 oDOLLFUS-MIEG & CIE S.A ............... 2 76,000 oKANEBO LTD ........................... 56 128,000 KURABO INDUSTRIES LTD ................ 138 87,000 KURARAY CO LTD ....................... 723 79,000 NISSHINBO INDUSTRY, INC .............. 334 307,000 TEIJIN LTD ........................... 645 427,000 TORAY INDUSTRIES, INC ................ 1,921 64,000 oUNITIKA LTD .......................... 34 ----------- 4,312 ----------- MISCELLANEOUS FOOD AND KINDRED PRODUCTS--0.43% 160,000 ARIAKE JAPAN CO LTD .................. 5,230 145,333 oASIA FOOD & PROPERTIES LTD ........... 23 10,900 oASIA FOOD & PROPERTIES WTS 07/12/02 .. 1 17,000 HOUSE FOODS CORP ..................... 222 36,000 KATOKICHI CO LTD ..................... 446 56,000 MARUHA CORP .......................... 51 6,759 NESTLE S.A. (REGD) ................... 10,144 201,000 oNIPPON SUISAN KAISHA LTD ............. 255 36,000 NISSIN FOOD PRODUCTS CO LTD .......... 656 10,000 SKYLARK CO LTD ....................... 96 90,300 UNILEVER NV CERTIFICATES ............. 5,568 ----------- 22,692 ----------- MISCELLANEOUS FOOD STORES--0.03% 22,785 CASINO GUICHARD-PERRACHON S.A ........ 1,269 9,750 JERONIMO MARTINS SGPS S.A ............ 310 5,700 oSONAE INVESTIMENTOS SGPS S.A ......... 231 ----------- 1,810 ----------- MISCELLANEOUS INVESTING--0.04% 9,600 CRESCENT REAL ESTATE EQUITIES, INC ... 378 440 oCRESECENT OPERATING, INC ............. 11 15,501 oEQUITY OFFICE PROPERTIES TRUST ....... 489 14,700 EQUITY RESIDENTIAL PROPERTIES TRUST CO ............................. 743 37,100 MELCO INTERNATIONAL DEVELOPMENT LTD ...................... 9 871,755 SINO LAND CO ......................... 526 ----------- 2,156 ----------- MISCELLANEOUS MANUFACTURES--0.04% 13,100 ARMSTRONG WORLD INDUSTRIES, INC ...... 979 10,200 CCL INDUSTRIES, INC (CLASS B) ........ 121 311,600 PACIFIC DUNLOP LTD ................... 660 1,900 oRADEX HERAKLITH INDUSTRIEBETEIL AG ... 65 64,000 oVARITRONIX INTERNATIONAL LTD ......... 110 ----------- 1,935 ----------- MISCELLANEOUS METAL ORES--0.16% 25,500 ABERFOYLE LTD ........................ 42 880 ALUSUISSE LONZA HOLDINGS AG (BR) ..... 840 133,000 FURUKAWA ELECTRIC CO LTD ............. 572 71,650 JOHNSON MATTHEY PLC .................. 638 540,966 MIM HOLDINGS LTD ..................... 331 479,000 MITSUBISHI MATERIALS CORP ............ 774 17,000 MITSUI MINING & SMELTING CO LTD ...... 69 252,000 NIPPON LIGHT METAL CO LTD ............ 368 233,932 NORTH LTD ............................ 616 190,700 QCT RESOURCES LTD .................... 154 37,400 RGC LTD .............................. 57 13,800 RIO ALGOM LTD ........................ 233 96,900 RIO TINTO LTD ........................ 1,130 36,050 RIO TINTO PLC (BR) ................... 436 90,430 RIO TINTO PLC (REGD) ................. 1,050 See notes to financial statements. -51- GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ---------- MISCELLANEOUS METAL ORES-(Continued) 17,300 SMITH (HOWARD) LTD ................... $ 144 27,800 oSONS OF GWALIA NL .................... 63 58,300 STRAITS TRADING CO ................... 69 101,000 SUMITOMO METAL MINING CO LTD ......... 334 4,500 oUNION MINIERE GROUP S.A .............. 312 ----------- 8,232 ----------- MISCELLANEOUS NONDURABLE GOODS--0.00% 43,500 SWEDISH MATCH CO ..................... 145 ----------- MISCELLANEOUS NONMETALLIC MINERAL PRODUCTS--0.05% 32,680 MINNESOTA MINING & MANUFACTURING CO .................... 2,682 ----------- MISCELLANEOUS PERSONAL SERVICES--0.03% 33,600 BLOCK (H&R), INC ..................... 1,506 ----------- MISCELLANEOUS PETROLEUM AND COAL PRODUCTS--1.26% 11,665,500 ENTE NAZIONALE IDROCARBURI S.P.A ..... 66,225 ----------- MISCELLANEOUS PLASTICS PRODUCTS, NEC--0.18% 70,000 DENKI KAGKU KOGYO .................... 106 52,002 DOW CHEMICAL CO ...................... 5,278 66,400 MONSANTO CO .......................... 2,789 27,600 RAYCHEM CORP ......................... 1,189 80 SOLUTIA, INC ......................... 2 ----------- 9,364 ----------- MISCELLANEOUS PUBLISHING--0.03% 37,144 oINDEPENDENT NEWSPAPERS PLC ........... 204 48,000 KOMORI CORP .......................... 716 570,000 SOUTH CHINA MORNING POST ............. 401 ----------- 1,321 ----------- MISCELLANEOUS SHOPPING GOOD STORES--0.06% 92,200 oTOYS R US, INC ....................... 2,899 ----------- MISCELLANEOUS WOOD PRODUCTS--0.08% 16,800 CARTIERE BURGO S.P.A ................. 101 73,000 JAYA TIASA HOLDINGS BERHAD ........... 134 180,929 JEFFERSON SMURFIT GROUP PLC .......... 511 32,000 MITSUBISHI PAPER MILLS LTD ........... 45 312,000 NIPPON PAPER INDUSTRIES CO ........... 1,229 4,400 NORSKE SKOGINDUSTRIER SERIES A ....... 128 271,666 OJI PAPER CO LTD ..................... 1,084 27,000 SCA AB SERIES B ...................... 607 9,600 STORA KOPPARBERG BERGSLAGS SERIES A FREE ........................ 121 38,700 STORA KOPPARBERG BERGSLAGS SERIES B FREE ........................ 480 ----------- 4,440 ----------- MORTGAGE BANKERS AND BROKERS--0.13% 116,000 AMMB HOLDINGS BERHAD ................. 76 89 COUNTRYWIDE CREDIT INDUSTRIES, INC ... 4 122,549 FIRST UNION CORP ..................... 6,281 6,900 PULTE CORP ........................... 289 ----------- 6,650 ----------- MOTION PICTURE PRODUCTION AND SERVICES--0.20% 103,921 DISNEY (WALT) CO ..................... 10,295 VALUE SHARES (000) ------ ---------- 3,500 oLIBERTY MEDIA GROUP (CLASS A) ........ $ 127 68,000 TOEI CO .............................. 248 ----------- 10,670 ----------- MOTOR VEHICLES AND EQUIPMENT--1.54% 343,400 AUTOLIV, INC ......................... 11,246 70 BAYERISCHE MOTOREN WERKE AG .......... 52 199,105 BRIDGESTONE CORP ..................... 4,334 51,608 CHRYSLER CORP ........................ 1,816 73,000 CYCLE & CARRIAGE LTD ................. 301 38,410 DAIMLER BENZ AG ...................... 2,696 192,600 DENSO CORP ........................... 3,481 24,900 EATON CORP ........................... 2,222 16,920 FAG KUGELFISCHER (GEORGE) SCHAEFER AG .......................... 223 664,290 FIAT S.P.A ........................... 1,934 91,767 GENERAL MOTORS CORP .................. 5,563 246,000 HONDA MOTOR CO LTD ................... 9,063 24,100 ILLINOIS TOOL WORKS, INC ............. 1,449 23,100 MAGNA INTERNATIONAL, INC ............. 1,446 12,300 oNAVISTAR INTERNATIONAL CORP .......... 305 664,000 NISSAN MOTOR CO LTD .................. 2,758 140,000 PERUSAHAAN OTOMOBIL NASIONAL BERHAD ............................... 137 16,510 PEUGEOT S.A .......................... 2,083 275,200 PIRELLI S.P.A ........................ 737 138,000 TAN CHONG MOTOR HOLDINGS BERHAD ...... 60 927,000 TOYOTA MOTOR CORP .................... 26,665 63,300 VOLVO AB SERIES B FREE ............... 1,699 51,000 YAMAHA CORP .......................... 581 ----------- 80,851 ----------- MOTORCYCLES, BICYCLES, AND PARTS--0.01% 24,800 HARLEY DAVIDSON, INC ................. 679 ----------- NATURAL GAS LIQUIDS--0.02% 15,200 COLUMBIA GAS SYSTEMS, INC ............ 1,194 ----------- NEWSPAPERS--0.20% 586 AGENCE HAVAS S.A ..................... 42 4,100 DOW JONES & CO, INC .................. 220 92,000 ELSEVIER UTIGEVERSMIJ NV ............. 1,488 68,700 GANNETT CO, INC ...................... 4,247 57,000 oNEW STRAITS TIMES PRESS BERHAD ....... 71 174,706 NEWS CORP LTD ........................ 964 452,000 ORIENTAL PRESS GROUP ................. 137 3,700 QUEBECOR, INC (CLASS B) .............. 66 14,000 SINGAPORE PRESS HOLDINGS LTD (FR) .... 175 21,900 SOUTHAM, INC ......................... 417 3,100 TIMES MIRROR CO SERIES A ............. 191 39,400 TRIBUNE CO ........................... 2,453 ----------- 10,471 ----------- NONFERROUS FOUNDRIES (CASTINGS)--0.00% 558 PECHINEY S.A ......................... 22 ----------- NONFERROUS ROLLING AND DRAWING--0.00% 2,700 NKT HOLDINGS AS ...................... 215 ----------- NONRESIDENTIAL BUILDING CONSTRUCTION--0.01% 16,900 SKANSKA AB SERIES B FREE ............. 693 ----------- NONSTORE RETAILERS--0.06% 66,300 SEARS ROEBUCK & CO ................... 3,000 ----------- See notes to financial statements. -52- GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ---------- NURSING AND PERSONAL CARE FACILITIES--0.01% 8,000 oEXTENDICARE, INC (SUB-VOTE)(CLASS A) . $ 109 13,800 MANOR CARE, INC ...................... 483 ----------- 592 ----------- OFFICE FURNITURE--0.01% 12,519 U.S. INDUSTRIES, INC ................. 377 ----------- OIL AND GAS EXTRACTION--3.26% 19,400 ALBERTA ENERGY LTD ................... 376 78,800 AMOCO CORP ........................... 6,708 534,000 APACHE CORP .......................... 18,723 7,275,000 BRITISH-BORNEO PETROLEUM SYNDICATE PLC ....................... 50,634 26,900 oCANADIAN NATURAL RESOURCES LTD ....... 575 16,243 CANADIAN OCCIDENTAL PETROLEUM LTD .... 367 652,048 oCENTRICA PLC ......................... 944 22,200 CONSOLIDATED NATURAL GAS CO .......... 1,343 1,059,200 EXXON CORP ........................... 64,810 31,200 FLETCHER CHALLENGE LTD (ENERGY DIVISION) ................... 109 8,200 oGULF CANADA RESOURCES LTD ............ 57 7,300 HELMERICH & PAYNE, INC ............... 495 32,000 IMPERIAL OIL LTD ..................... 2,057 59,200 oMETHANEX CORP ........................ 470 294,300 MOBIL CORP ........................... 21,245 31,400 NORCEN ENERGY RESOURCES LTD .......... 360 3,400 PETROFINA S.A ........................ 1,255 4,400 oPETROLEUM GEO-SERVICES AS ............ 278 42,500 oPOCO PETROLEUM LTD ................... 379 14,700 RANGER OIL LTD ....................... 100 12,000 oTALISMAN ENERGY, INC ................. 367 ----------- 171,652 ----------- OIL AND GAS FIELD SERVICES--3.54% 950,600 oAKER MARTIME ASA ..................... 20,244 743,500 DIAMOND OFFSHORE DRILLING, INC ....... 35,781 55,400 oGLOBAL MARINE, INC ................... 1,357 8,700 HALLIBURTON CO ....................... 452 2,352,850 +IHC CALAND NV ........................ 122,093 4,775 KONINKLIJKE PAKHOED HOLDINGS NV ...... 138 15,500 MCDERMOTT INTERNATIONAL, INC ......... 568 4,000 OMV AKTIENGESELLS AG ................. 553 100 PACIFIC ENTERPRISES, INC ............. 4 5,500 TECHNIP S.A .......................... 581 43,650 TOTAL S.A ............................ 4,752 ----------- 186,523 ----------- OPERATIVE BUILDERS--0.01% 9,600 CENTEX CORP .......................... 604 ----------- PAINTS AND ALLIED PRODUCTS--0.00% 500 oCIN-CORPARACAO INDUSTRIAL DO NORTE S.A. ....................... 32 59,000 KANSAI PAINT CO LTD .................. 143 100 SHERWIN-WILLIAMS CO .................. 3 ----------- 178 ----------- PAPER AND PAPER PRODUCTS--0.03% 41,200 IKON OFFICE SOLUTIONS, INC ........... 1,159 20,300 oSTAPLES, INC ......................... 563 ----------- 1,722 ----------- PAPER MILLS--0.08% 50,000 ABITIBI-CONSOLIDATED, INC ............ 697 19,100 AVENOR, INC .......................... 272 12,000 CHAMPION INTERNATIONAL CORP .......... 544 16,600 DOMTAR, INC .......................... 115 VALUE SHARES (000) ------ ---------- 188,900 FLETCHER CHALLENGE LTD (PAPER DIVISION) ..................... $ 247 2,700 oINVESTIMENTOS PARTICIPACOES E GESTAO ............................ 32 33,900 MEAD CORP ............................ 949 74,526 REXAM PLC ............................ 366 33,000 WESTVACO CORP ........................ 1,037 ----------- 4,259 ----------- PAPERBOARD CONTAINERS AND BOXES--0.00% 39,000 oMALAYSIAN PACIFIC INDUSTRIES BERHAD .. 94 ----------- PAPERBOARD MILLS--0.01% 8,600 INTERNATIONAL PAPER CO ............... 371 12,544 PORTUCEL INDUSTRIA EMPRESA ........... 77 ----------- 448 ----------- PASSENGER TRANSPORTATION ARRANGEMENT--1.10% 2,665,000 oAIRTOURS PLC ......................... 54,155 43,600 AMERICAN EXPRESS CO .................. 3,891 ----------- 58,046 ----------- PENS, PENCILS, OFFICE, AND ART SUPPLIES--0.00% 3,038 BIC S.A .............................. 222 ----------- PERIODICALS--0.18% 16,000 MONDADORI (ARNOLDO) EDITORE S.P.A .... 126 34,300 READER'S DIGEST ASSOCIATION, INC (CLASS A)(NON-VOTE) ................. 810 59,400 THOMSON CORP ......................... 1,629 109,600 TIME WARNER, INC ..................... 6,795 ----------- 9,360 ----------- PERSONAL CREDIT INSTITUTIONS--0.10% 44,700 ACOM CO LTD .......................... 2,475 21,808 HOUSEHOLD INTERNATIONAL, INC ......... 2,782 ----------- 5,257 ----------- PERSONNEL SUPPLY SERVICES--1.35% 9,348,000 +CORPORATE SERVICES GROUP PLC ......... 32,916 2,625,000 HAYS PLC ............................. 35,115 18,000 MANPOWER, INC ........................ 635 51,200 NEWELL COS, INC ...................... 2,176 ----------- 70,842 ----------- PETROLEUM AND PETROLEUM PRODUCTS--0.02% 22,800 ENRON CORP ........................... 948 ----------- PETROLEUM REFINING--2.82% 65,500 ATLANTIC RICHFIELD CO ................ 5,248 556,297 BG PLC ............................... 2,508 2,586,680 BRITISH PETROLEUM PLC ................ 34,070 208,141 BROKEN HILL PROPRIETARY CO LTD ....... 1,933 2,876 BURMAH CASTROL PLC ................... 50 74,600 CHEVRON CORP ......................... 5,744 185,000 CHUAN HUP HOLDINGS LTD ............... 56 298,000 COSMO OIL CO LTD ..................... 454 37,339 ELF AQUITANE S.A ..................... 4,345 1,430 oGEOPHYSIQUE (COMPAGNIE GENERALE DE) ............. 183 122,766 LONDON & SCOTTISH MARINE OIL PLC ..... 546 209,000 MITSUBISHI OIL CO LTD ................ 310 3,300 MURPHY OIL CORP ...................... 179 33,000 NIPPON OIL & FATS CO LTD ............. 56 389,800 NIPPON OIL CO LTD .................... 1,010 58,108 REPSOL S.A ........................... 2,478 See notes to financial statements. -53- GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ---------- PETROLEUM REFINING-(Continued) 897,000 ROYAL DUTCH PETROLEUM CO ............. $ 49,246 2,004,000 SAGA PETROLEUM AS SERIES A ........... 34,522 162,775 SANTOS LTD ........................... 670 23,500 SUN CO, INC .......................... 988 29,800 SUNCOR ENERGY, INC ................... 1,020 40,000 TEIKOKU OIL CO LTD ................... 105 76,996 UNOCAL CORP .......................... 2,988 ----------- 148,709 ----------- PHOTOGRAPHIC EQUIPMENT AND SUPPLIES--1.83% 84,200 EASTMAN KODAK CO ..................... 5,120 887,000 FUJI PHOTO FILM CO LTD ............... 34,110 771,300 XEROX CORP ........................... 56,932 ----------- 96,162 ----------- PLASTICS MATERIALS AND SYNTHETICS--0.24% 80,200 BASF AG .............................. 2,843 162,838 DU PONT (E.I.) DE NEMOURS & CO ....... 9,780 75 EASTMAN CHEMICAL CO .................. 4 5,200 oSOMMER-ALLIBERT ...................... 181 ----------- 12,808 ----------- PLUMBING AND HEATING, EXCEPT ELECTRIC--0.02% 21,200 MASCO CORP ........................... 1,079 ----------- POTTERY AND RELATED PRODUCTS--0.00% 74,154 CARADON PLC .......................... 219 ----------- PRESERVED FRUITS AND VEGETABLES--0.17% 172,000 AJINOMOTO CO LTD ..................... 1,680 30,500 CAMPBELL SOUP CO ..................... 1,773 60,150 HEINZ (H.J.) CO ...................... 3,056 14,000 KIKKOMAN CORP ........................ 71 210,000 NICHIREI CORP ........................ 452 72,000 Q.P. CORP ............................ 440 30,100 SARA LEE CORP ........................ 1,695 ----------- 9,167 ----------- PRIMARY NONFERROUS METALS--0.11% 28,900 ALCAN ALUMINIUM CO LTD ............... 796 48,800 ALUMINUM CO OF AMERICA ............... 3,434 2,850 oGRANGES AB ........................... 45 5,381 INCO LTD ............................. 91 20,000 INCO LTD (U.S.) ...................... 340 10,600 PHELPS DODGE CORP .................... 660 4,900 REYNOLDS METALS CO ................... 294 ----------- 5,660 ----------- PRODUCERS, ORCHESTRAS, ENTERTAINERS--1.97% 51,184 EMI GROUP PLC ........................ 442 80,337 GRANADA GROUP LTD (CLASS A) .......... 1,239 20,000 KONICA CORP .......................... 92 307,572 LADBROKE GROUP PLC ................... 1,336 112,500 MAGNUM CORP BERHAD ................... 68 69 MOEVENPICK HOLDINGS (BR) ............. 28 7,000 SHIMANO, INC ......................... 129 9,970 SMH AG (REGD) ........................ 1,347 2,661,100 +oWESTWOOD ONE, INC .................... 98,793 ----------- 103,474 ----------- PULP MILLS--0.02% 5,900 oEMPRESA NATIONAL DE CELULOSAS S.A .... 80 55,600 oREPAP ENTERPRISES, INC ............... 7 VALUE SHARES (000) ------ ---------- 16,800 SARRIO CIA PAPELERA DE LEIZA S.A ..... $ 61 36,400 UPM-KYMMENE OY ....................... 729 ----------- 877 ----------- RADIO AND TELEVISION BROADCASTING--0.10% 165,379 BRITISH SKY BROADCASTING GROUP PLC ... 1,235 90 CANAL PLUS S.A ....................... 17 177,900 MEDIASET S.P.A ....................... 875 2 PATHE S.A ............................ 0 217,120 REED INTERNATIONAL PLC ............... 2,117 79,000 TOKYO BROADCASTING SYSTEMS, INC ...... 1,003 60 oVIACOM, INC (CLASS B) ................ 2 1,534 oVIACOM, INC (CLASS B) WTS 07/07/99 ... 1 ----------- 5,250 ----------- RADIO, TELEVISION, AND COMPUTER STORES--0.01% 9,200 TANDY CORP ........................... 355 ----------- RAILROADS--3.17% 52,900 BRAMBLES INDUSTRIES LTD .............. 1,050 44,000 BURLINGTON NORTHERN SANTA FE CORP .... 4,089 2,158,300 CANADIAN PACIFIC LTD ................. 58,063 64,196 CSX CORP ............................. 3,467 364,111 HANKYU CORP .......................... 1,711 354,797 KINKI NIPPON RAILWAY CO LTD .......... 1,902 363,125 NAGOYA RAILROAD CO LTD ............... 1,251 176,000 NIPPON EXPRESS CO LTD ................ 880 300 NORFOLK SOUTHERN CORP ................ 9 69,000 ODAKYU ELECTRIC RAILWAY CO LTD ....... 299 5,775,236 RAILTRACK GROUP PLC .................. 92,270 101,000 SEINO TRANSPORTATION CO LTD .......... 506 139,000 TOBU RAILWAY CO LTD .................. 436 90,122 YAMATO TRANSPORT CO LTD .............. 1,213 ----------- 167,146 ----------- REAL ESTATE AGENTS AND MANAGERS--0.15% 148,904 BRITISH LAND PLC ..................... 1,629 61,084 oEVERGO CHINA HOLDINGS LTD ............ 2 96,400 GENERAL PROPERTY TRUST ............... 171 1,503,000 HOPEWELL HOLDINGS LTD ................ 374 70,792 LAND SECURITIES PLC .................. 1,142 302,000 MITSUBISHI ESTATE CO LTD ............. 3,298 5 NEW WORLD DEVELOPMENT CO LTD ......... 0 158 SAGEM S.A ............................ 70 11,000 TOKYO TATEMONO CO LTD ................ 14 88,000 TOSTEM CORP .......................... 948 ----------- 7,648 ----------- REAL ESTATE OPERATORS AND LESSORS--0.00% 100 ROUSE CO ............................. 3 ----------- RESEARCH AND TESTING SERVICES--0.43% 52,433 ASTRA AB SERIES A FREE ............... 909 220,532 ASTRA AB SERIES B FREE ............... 3,710 109,000 CHUGAI PHARMACEUTICAL CO LTD ......... 562 118,000 DAIICHI PHARMACEUTICAL CO LTD ........ 1,334 47,000 EISAI CO LTD ......................... 719 2,264 ESSILOR INTERNATIONAL ................ 677 95,000 KYOWA HAKKO KOGYO .................... 413 151,000 LION CORP ............................ 448 8,160 LOREAL S.A ........................... 3,194 120,000 SHIONOGI & CO LTD .................... 552 47,700 SHISEIDO & CO LTD .................... 653 81,000 TAISHO PHARMACEUTICAL CO LTD ......... 2,074 209,000 TAKEDA CHEMICAL INDUSTRIES LTD ....... 5,980 See notes to financial statements. -54- GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ ---------- RESEARCH AND TESTING SERVICES-(Continued) 7,900 UNI CHARM CORP ....................... $ 281 64,964 YAMANOUCHI PHARMACEUTICAL CO LTD ..... 1,399 ----------- 22,905 ----------- RESIDENTIAL BUILDING CONSTRUCTION--0.23% 148,000 oAOKI CONSTRUCTION CO LTD ............. 48 48,910 BARRATT DEVELOPMENTS LTD ............. 186 244,342 BLUE CIRCLE INDUSTRIES PLC ........... 1,430 11,200 BPB PLC .............................. 62 5,100 CLAYTON HOMES, INC ................... 92 121,000 DAIWA HOUSE INDUSTRY CO LTD .......... 642 91,000 oEKRAN BERHAD ......................... 64 102,470 ENGLISH CHINA CLAYS PLC .............. 454 17,300 FOMENTO CONSTRUCCIONES Y CONTRATAS S.A ....................... 658 360,000 FUJITA CORP .......................... 130 64,000 oHASEKO CORP .......................... 33 220,000 HAZAMA-GUMI LTD ...................... 108 700 HOLLANDSCHE BETON GROEP NV (H.B.G.) .. 13 110,000 INAX CORP ............................ 321 276,000 KAJIMA CORP .......................... 698 148,000 NIHON CEMENT CO LTD .................. 306 110,000 NISHIMATSU CONSTRUCTION CO LTD ....... 347 116,000 OBAYASHI CORP ........................ 396 119,000 OKUMURA CORP ......................... 284 52,000 PENTA OCEAN CONSTRUCTION CO LTD ...... 73 247,990 PILKINGTON PLC ....................... 522 219,170 RUGBY GROUP PLC ...................... 492 8,207 ST. GOBAIN S.A ....................... 1,166 475,000 TAISEI CORP .......................... 782 341,855 TARMAC PLC ........................... 644 29,000 TOA CORP ............................. 38 84,700 TOTO LTD ............................. 543 60,000 #UNITED ENGINEERING BERHAD ............ 50 82,397 WILLIAMS PLC ......................... 468 32,973 WILSON (CONNOLLY) HOLDINGS PLC ....... 85 50,000 WIMPEY (GEORGE) LTD .................. 87 79,800 WOLSELEY PLC ......................... 634 224,500 YTL CORP BERHAD ...................... 303 ----------- 12,159 ----------- SANITARY SERVICES--1.55% 21,300 BROWNING FERRIS INDUSTRIES, INC ...... 788 104,886 LAIDLAW, INC ......................... 1,429 105,074 THAMES WATER PLC ..................... 1,575 1,918,700 oU.S.A. WASTE SERVICES, INC ........... 75,309 95,052 WASTE MANAGEMENT, INC ................ 2,614 ----------- 81,715 ----------- SAVINGS INSTITUTIONS--0.73% 15,200 GOLDEN WEST FINANCIAL CORP ........... 1,487 575,433 WASHINGTON MUTUAL, INC ............... 36,720 ----------- 38,207 ----------- SAWMILLS AND PLANING MILLS--0.04% 18,000 BOISE CASCADE CORP ................... 545 10,500 oINTERNATIONAL FOREST PRODUCTS LTD .... 44 35,700 LOUISIANA PACIFIC CORP ............... 678 11,600 MACMILLAN BLOEDEL LTD ................ 120 3,100 TEMPLE-INLAND, INC ................... 162 9,600 WEYERHAEUSER CO ...................... 471 ----------- 2,020 ----------- VALUE SHARES (000) ------ ---------- SEARCH AND NAVIGATION EQUIPMENT--0.01% 5,851 RAYTHEON CO (CLASS A) ................ $ 289 ----------- SECURITY AND COMMODITY SERVICES--0.05% 26,125 MERCURY ASSETS MANAGEMENT GROUP PLC ............................ 728 17,900 TRANSAMERICA CORP .................... 1,906 ----------- 2,634 ----------- SECURITY BROKERS AND DEALERS--0.41% 155,911 ABBEY NATIONAL PLC ................... 2,691 555 COMPAGNIE BANCAIRE S.A ............... 90 540 CPR .................................. 44 3,185 CREDIT SAISON CO LTD ................. 79 344,000 DAIWA SECURITIES CO LTD .............. 1,191 5,995 FORTIS AG ............................ 1,251 71,000 JACCS CO ............................. 437 261,000 MBF CAPITAL BERHAD ................... 61 18,300 MERRILL LYNCH & CO, INC .............. 1,335 131,000 NIPPON SHINPAN CO LTD ................ 148 468,000 NOMURA SECURITIES CO LTD ............. 6,263 14,300 ORIX CORP ............................ 1,001 41,950 PAINE WEBBER GROUP, INC .............. 1,450 72,000 RASHID HUSSAIN BERHAD ................ 56 5,706 SCHROEDERS LTD ....................... 176 61,050 SCHWAB (CHARLES) CORP ................ 2,560 371,900 SUN HUNG KAI PROPERTIES LTD .......... 2,592 114,000 TA ENTERPRISE BERHAD ................. 23 32,982 WOODCHESTER INVESTMENTS PLC .......... 118 275,000 xYAMAICHI SECURITIES CO LTD ........... 2 ----------- 21,568 ----------- SHIP AND BOAT BUILDING AND REPAIRING--0.02% 18,530 xoBREMER VULKAN AG ..................... 16 10,100 GENERAL DYNAMICS CORP ................ 873 66 oHALTER MARINE GROUP, INC ............. 2 90,000 KAWASAKI HEAVY INDUSTRIES, LTD ....... 140 406,000 oMITSUI ENGINEERING & SHIP BUILDING CO LTD .............................. 259 ----------- 1,290 ----------- SHOE STORES--1.52% 608,570 ADIDAS AG ............................ 80,078 ----------- SOAP, CLEANERS, AND TOILET GOODS--0.31% 35,100 AVON PRODUCTS, INC ................... 2,154 31,100 DIAL CORP ............................ 647 167,200 PROCTER & GAMBLE CO .................. 13,345 ----------- 16,146 ----------- SPECIAL INDUSTRY MACHINERY--0.07% 114,700 oAPPLIED MATERIALS, INC ............... 3,455 1,013 oRAUMA OY ............................. 16 ----------- 3,471 ----------- SUBDIVIDERS AND DEVELOPERS--1.98% 1,203,175 AXA UAP .............................. 93,138 32,900 oCATELLUS DEVELOPMENT CORP ............ 658 551,000 CHEUNG KONG HOLDINGS LTD ............. 3,609 639,197 CHINESE ESTATES LTD .................. 283 143,560 CITY DEVELOPMENT LTD ................. 665 13,665 oCITY DEVELOPMENT LTD WTS 07/18/98 .... 41 123,000 DAIKYO, INC .......................... 95 See notes to financial statements. -55- GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ --------- SUBDIVIDERS AND DEVELOPERS-(Continued) 11,726 HAMMERSON PLC ........................ $ 91 425,000 HANG LUNG DEVELOPMENT CO LTD ......... 598 234,000 oHONG LEONG PROPERTIES BERHAD ......... 43 127,000 HOTEL PROPERTIES LTD ................. 83 356,000 HYSAN DEVELOPMENT CO LTD ............. 710 165,000 oIGB CORP BERHAD ...................... 38 141,333 oMALAYSIAN RESOURCES CORP BERHAD ...... 33 175,000 oMETROPLEX BERHAD ..................... 45 22,164 MISAWA HOMES CO LTD .................. 62 232,000 MITSUI FUDOSAN CO LTD ................ 2,248 186,250 oMULPHA INTERNATIONAL BERHAD .......... 22 265 oSALOMON S.A .......................... 23 8,566 SCHRODERS PROPERTY FUND .............. 13 107,100 SLOUGH ESTATES PLC ................... 605 136,000 TAI CHEUNG HOLDINGS LTD .............. 54 194,200 UNITED OVERSEAS LAND LTD ............. 164 347,216 WESTFIELD TRUST (UNITS) .............. 663 13,799 #oWESTFIELD TRUST (UNITS) NEW .......... 25 ----------- 104,009 ----------- SUGAR AND CONFECTIONERY PRODUCTS--0.05% 6,600 DANISCO AS ........................... 366 30,500 EZAKI GLICO CO LTD ................... 198 143,000 MEIJI SEIKA KAISHA LTD ............... 477 820,450 MONTEDISON S.P.A ..................... 738 25,000 NIPPON BEET SUGAR MANUFACTURING CO LTD .............................. 34 34,600 TATE & LYLE PLC ...................... 286 7,800 WESTON (GEORGE) LTD .................. 665 ----------- 2,764 ----------- SURETY INSURANCE--0.88% 480,400 ACE LTD .............................. 46,359 ----------- TELEPHONE COMMUNICATIONS--7.54% 83 o360 COMMUNICATIONS CO ................ 2 73,820 oAIRTOUCH COMMUNICATIONS, INC ......... 3,068 1,308,719 AT & T CORP .......................... 80,159 108,612 BELL ATLANTIC CORP ................... 9,884 181,294 BELLSOUTH CORP ....................... 10,209 274,950 DEUTSCHE TELEKOM AG .................. 5,176 101,000 oFRANCE TELECOM S.A ................... 3,665 6,900 GN STORE NORD AS-GN GREAT NORDIC ..... 116 69,410 KONINKLIJKE PTT NEDERLAND NV ......... 2,897 103,175 LUCENT TECHNOLOGIES, INC ............. 8,241 3,890 NIPPON TELEGRAPH & TELEPHONE CORP .... 33,508 27,343 PORTUGAL TELECOM S.A ................. 1,270 160,826 SBC COMMUNICATIONS, INC .............. 11,781 992,000 SINGAPORE TELECOMMUNICATIONS LTD ..... 1,849 17,800 SIRTI S.P.A .......................... 108 4,500 SOUTHERN NEW ENGLAND TELECOMMUNICATIONS CORP ............. 226 23,350 SPRINT CORP .......................... 1,369 626,805 TELECOM ITALIA ....................... 4,009 17,570,399 TELECOM ITALIA MOBILE S.P.A .......... 81,200 16,100 TELE DANMARK AS (CLASS B) ............ 999 129,003 TELEFONICA DE ESPANA S.A ............. 3,682 407,500 oTELEPORT COMMUNICATIONS GROUP, INC (CLASS A) ........................... 22,362 689,394 oTELSTRA CORP LTD (P/P) ............... 1,455 9,000 TELUS CORP ........................... 199 3,626,730 oWORLDCOM, INC ........................ 109,709 ----------- 397,143 ----------- VALUE SHARES (000) ------ ---------- TIRES AND INNER TUBES--0.09% 50,200 GOODYEAR TIRE & RUBBER CO ............ $ 3,194 31,937 MICHELIN S.A. (CLASS B) .............. 1,609 ----------- 4,803 ----------- TOYS AND SPORTING GOODS--0.01% 9,100 CALLAWAY GOLF CO ..................... 260 4,000 NAMCO LTD ............................ 117 ----------- 377 ----------- VARIETY STORES--0.07% 10 COMPTOIRS MODERNES ................... 5 29,600 HENNES & MAURITZ AB SERIES B ......... 1,306 5,200 oINSTRUMENTARIUM GROUP SERIES B FREE ....................... 181 111,382 oK MART CORP .......................... 1,288 32,000 METRO HOLDINGS LTD ................... 40 23,000 OKAMATO INDUSTRIES, INC .............. 41 108,500 oWATERFORD WEDGWOOD PLC (UNITS) ....... 147 43,500 oWOOLWORTH CORP ....................... 886 ----------- 3,894 ----------- WATCHES, CLOCKS, WATCHCASES AND PARTS--0.00% 4,000 SEIKO CORP ........................... 14 ----------- WATER SUPPLY--0.01% 14,700 oAGUAS DE BARCELONA S.A ............... 606 ----------- WATER TRANSPORTATION SERVICES--0.02% 19,600 TIDEWATER, INC ....................... 1,080 ----------- WOMEN'S ACCESSORY AND SPECIALTY STORES--0.03% 63,100 LIMITED, INC ......................... 1,609 ----------- WOMEN'S AND CHILDREN'S UNDERGARMENTS--0.02% 166,000 GUNZE LTD ............................ 276 76,000 WACOAL CORP .......................... 760 ----------- 1,036 ----------- WOMEN'S AND MISSES' OUTERWEAR--0.03% 21,780 BENETTON GROUP S.P.A ................. 357 17,400 LIZ CLAIBORNE, INC ................... 728 205,000 oRENOWN, INC .......................... 87 46,000 TOKYO STYLE CO LTD ................... 417 ----------- 1,589 ----------- WOMEN'S CLOTHING STORES--0.60% 1,317,500 INTIMATE BRANDS, INC (CLASS A) ....... 31,702 ----------- YARN AND THREAD MILLS--0.00% 3,200 UNIFI, INC ........................... 125 TOTAL COMMON STOCK (Cost $4,419,937).................... 5,144,290 ----------- PRINCIPAL - -------------- SHORT TERM INVESTMENTS--7.53% COMMERCIAL PAPER--1.61% BANKERS TRUST NEW YORK CORP $20,000,000 5.570%, 05/06/98 ................ 19,600 ~ DUPONT (E.I.) DE NEMOURS & CO 23,000,000 5.700%, 02/06/98 ................ 22,862 GTE CORP 7,500,000 6.050%, 02/23/98 ................ 7,434 See notes to financial statements. -56- GLOBAL EQUITIES ACCOUNT (CONTINUED) VALUE SHARES (000) ------ --------- COMMERCIAL PAPER--(CONTINUED) HOUSEHOLD FINANCE CORP $12,000,000 5.500%, 01/20/98 .............. $ 11,961 SWEDISH EXPORT CREDIT CORP 23,000,000 5.520%, 01/07/98 .............. 22,975 ----------- 84,832 ----------- OTHER AGENCIES--0.43% INTERNATIONAL BANK FOR RECONSTRUCTION 23,000,000 5.500%, 04/30/98 .............. 22,578 ----------- U.S. GOVERNMENT & AGENCIES--5.49% FEDERAL HOME LOAN BANK 50,000,000 4.900%, 01/07/98 .............. 49,945 2,000,000 5.660%, 01/07/98 .............. 1,998 FEDERAL HOME LOAN MORTGAGE CORP 31,878,000 5.375%, 01/02/98 .............. 31,868 7,500,000 5.670%, 01/09/98 .............. 7,489 14,943,000 5.630%, 02/12/98 .............. 14,844 9,816,000 5.630%, 02/25/98 .............. 9,732 FEDERAL NATIONAL MORTGAGE ASSOCIATION 28,430,000 5.470%, 02/05/98 .............. 28,273 33,000,000 5.470%, 03/27/98 .............. 32,562 82,000,000 5.480%, 05/22/98 .............. 80,244 32,948,000 5.480%, 05/27/98 .............. 32,217 ----------- 289,172 ----------- TOTAL SHORT TERM INVESTMENTS (Cost $396,655)................... 396,582 ----------- TOTAL PORTFOLIO (Cost $4,855,836)................. $ 5,584,811 =========== - -------- o Non-income producing + Affiliate holding x In bankruptcy ~ Commercial Paper issued under the private placement exemption under Section 4(2) of the Securities Act of 1933, as amended. # Restricted securities-investment in securities not registered under the Securities Act of 1933 or not publicly traded on foreign markets. Additional information on each holding is as follows: ACQUISITION ACQUISITION SECURITY DATE COST - -------- ---------- ---------- INCHCAPE MARKETING SERVICES ............... 12/26/97 $ 14,941 LAIR LIQUIDE (REGD) ....................... VARIOUS 215,354 PUBLIC BANK BERHAD (LR) RTS ............... 12/16/97 3,373 SODEXHO ALLIANCE S.A. ..................... 12/20/96 73,651 UNITED ENGINEERING BERHAD ................. 11/27/96 495,448 VIGLEN TECNOLOGY (CV LOAN STOCK) .......... 08/05/97 65,382 WESTFIELD TRUST (UNITS) NEW ............... 12/20/96 643,459 ---------- $1,511,608 ========== See notes to financial statements. -57- COLLEGE RETIREMENT EQUITIES FUND TRANSACTIONS WITH AFFILIATED COMPANIES--GLOBAL EQUITIES JANUARY 1, 1997--DECEMBER 31, 1997
VALUE AT PURCHASE SALES REALIZED ISSUE DECEMBER 31, 1996 COST PROCEEDS GAIN (LOSS) ----- ----------------- ----------- --------- ----------- ADAC LABORATORIES, INC $ 28,657,950 -- -- -- CHAMPION ENTERPRISES, INC ** $14,046,591 $23,459,637 $(7,483,303) CORPORATE SERVICES GROUP, PLC ** 7,901,611 -- -- IHC CALAND NV 134,136,368 109,983 -- -- STORK NV ** 42,508,748 34,449,878 744,726 WESTWOOD ONE, INC 44,240,787 -- -- -- ------------ ----------- ----------- ----------- TOTAL AFFILIATED TRANSACTIONS $207,035,105 $64,566,933 $57,909,515 ($6,738,577) ============ =========== =========== ===========
DIVIDEND SHARES AT VALUE AT ISSUE INCOME DECEMBER 31, 1997 DECEMBER 31, 1997 ----- --------- ----------------- ----------------- ADAC LABORATORIES, INC -- 1,200,333 $ 23,706,576 CHAMPION ENTERPRISES, INC -- * * CORPORATE SERVICES GROUP, PLC $ 762,349 9,348,000 32,915,766 IHC CALAND NV 2,178,395 2,352,850 122,093,359 STORK NV 1,714,866 * * WESTWOOD ONE, INC -- 2,661,100 98,793,337 ---------- ------------ TOTAL AFFILIATED TRANSACTIONS $4,655,610 $277,509,038 ========== ============
** Not an Affiliate as of December 31, 1996 * Not an Affiliate as of December 31, 1997 See notes to financial statements. -58- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GROWTH ACCOUNT DECEMBER 31, 1997 SUMMARY BY INDUSTRY (Continued) (000) VALUE % ----- ----- PREFERRED STOCK LIFE INSURANCE .................................. $ 260 0.01% MEDICAL INSTRUMENTS AND SUPPLIES ................ 2 0.00 MEDICAL SERVICE AND HEALTH INSURANCE ...................................... 5 0.00 ----- ---- TOTAL PREFERRED STOCK (Cost $246) ..................................... 267 0.01 ----- ---- COMMON STOCK ADVERTISING ..................................... 12,904 0.28 AGRICULTURAL CHEMICALS .......................... 480 0.01 AIR TRANSPORTATION, SCHEDULED ................... 2,969 0.06 AIRCRAFT AND PARTS .............................. 37,905 0.81 AIRPORTS, FLYING FIELDS, AND SERVICES ........... 29 0.00 APPAREL, PIECE GOODS, AND NOTIONS ............... 2,464 0.05 AUTO AND HOME SUPPLY STORES ..................... 855 0.02 AUTOMOTIVE RENTALS, NO DRIVERS .................. 404 0.01 AUTOMOTIVE SERVICES, EXCEPT REPAIR .............. 42 0.00 BAKERY PRODUCTS ................................. 2,875 0.06 BEAUTY SHOPS .................................... 296 0.01 BEVERAGES ....................................... 156,266 3.33 BITUMINOUS COAL AND LIGNITE MINING .............. 367 0.01 BLANKBOOKS AND BOOKBINDING ...................... 2,068 0.04 BLAST FURNACE AND BASIC STEEL PRODUCTS ....................................... 2,737 0.06 BOOKS ........................................... 19,990 0.43 BROADWOVEN FABRIC MILLS, COTTON ................. 48,643 1.04 BROADWOVEN FABRIC MILLS, MANMADE ........................................ 25 0.00 BUSINESS CREDIT INSTITUTIONS .................... 576 0.01 CABLE AND OTHER PAY TV SERVICES ................. 17,072 0.36 CARPETS AND RUGS ................................ 184 0.00 CASH GRAINS ..................................... 198 0.00 CEMENT, HYDRAULIC ............................... 900 0.02 CHEMICALS AND ALLIED PRODUCTS ................... 13 0.00 CHEWING AND SMOKING TOBACCO ..................... 4,229 0.09 CHILDREN'S AND INFANTS' WEAR STORES .................................... 936 0.02 CIGARETTES ...................................... 101,600 2.17 CIGARS .......................................... 331 0.01 COMMERCIAL BANKS ................................ 85,024 1.81 COMMERCIAL PRINTING ............................. 1,430 0.03 COMMUNICATIONS EQUIPMENT ........................ 94,688 2.02 COMMUNICATIONS SERVICES, NEC .................... 263 0.01 COMPUTER AND DATA PROCESSING SERVICES ....................................... 269,015 5.73 COMPUTER AND OFFICE EQUIPMENT ................... 282,425 6.02 CONCRETE, GYPSUM, AND PLASTER PRODUCTS ....................................... 1,877 0.04 CONSTRUCTION AND RELATED MACHINERY ...................................... 4,821 0.10 COPPER ORES ..................................... 64 0.00 CREDIT REPORTING AND COLLECTION ................. 6,952 0.15 CUTLERY, HANDTOOLS, AND HARDWARE ................ 37,152 0.79 DEEP SEA DOMESTIC TRANSPORTATION OF FREIGHT ..................................... 118 0.00 VALUE % ----- ----- DEEP SEA FOREIGN TRANSPORTATION OF FREIGHT ..................................... $ 514 0.01% DEPARTMENT STORES ............................... 37,116 0.79 DRUG STORES AND PROPRIETARY STORES ......................................... 12,586 0.27 DRUGS ........................................... 460,870 9.83 DRUGS, PROPRIETARIES, AND SUNDRIES ....................................... 72,574 1.55 EATING AND DRINKING PLACES ...................... 29,075 0.62 ELECTRIC DISTRIBUTION EQUIPMENT ................. 86,363 1.84 ELECTRIC LIGHTING AND WIRING EQUIPMENT ...................................... 837 0.02 ELECTRIC SERVICES ............................... 5,646 0.12 ELECTRICAL GOODS ................................ 19,970 0.43 ELECTRICAL INDUSTRIAL APPARATUS ................. 6,314 0.14 ELECTRICAL WORK ................................. 70 0.00 ELECTRONIC COMPONENTS AND ACCESSORIES .................................... 322,000 6.87 ENGINEERING AND ARCHITECTURAL SERVICES ....................................... 145 0.00 ENGINES AND TURBINES ............................ 803 0.02 FABRICATED RUBBER PRODUCTS, NEC ................. 418 0.01 FABRICATED STRUCTURAL METAL PRODUCTS ....................................... 359 0.01 FAMILY CLOTHING STORES .......................... 5,256 0.11 FARM AND GARDEN MACHINERY ....................... 220 0.00 FARM-PRODUCT RAW MATERIALS ...................... 1,394 0.03 FEDERAL AND FEDERALLY-SPONSORED CREDIT AGENCIES ................................ 54,860 1.17 FIRE, MARINE, AND CASUALTY INSURANCE ...................................... 4,933 0.11 FLAT GLASS ...................................... 1,205 0.03 FOOTWEAR EXCEPT, RUBBER ......................... 1,029 0.02 FREIGHT TRANSPORTATION ARRANGEMENT .................................... 555 0.01 FUNERAL SERVICE AND CREMATORIES ................. 6,802 0.15 FURNITURE AND HOMEFURNISHINGS STORES ......................................... 3,947 0.08 GAS PRODUCTION AND DISTRIBUTION ................. 1,421 0.03 GENERAL INDUSTRIAL MACHINERY .................... 154,258 3.29 GLASS AND GLASSWARE, PRESSED OR BLOWN .......................................... 8,734 0.18 GOLD AND SILVER ORES ............................ 16,290 0.35 GRAIN MILL PRODUCTS ............................. 22,768 0.49 GROCERIES AND RELATED PRODUCTS .................. 11,424 0.24 GROCERY STORES .................................. 20,699 0.44 GUIDED MISSILES, SPACE VEHICLES AND PARTS .......................................... 372 0.01 HARDWARE, PLUMBING AND HEATING EQUIPMENT ...................................... 615 0.01 HEALTH AND ALLIED SERVICES, NEC ................. 14,477 0.31 HEAVY CONSTRUCTION, EXCEPT HIGHWAY ........................................ 1,346 0.03 HOLDING OFFICES ................................. 1,993 0.04 HOME HEALTH CARE SERVICES ....................... 384 0.01 HORTICULTURAL SPECIALTIES ....................... 1,898 0.04 See notes to financial statements. -59- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GROWTH ACCOUNT DECEMBER 31, 1997 SUMMARY BY INDUSTRY (Continued) (000) VALUE % ----- ----- HOSE, BELTING, GASKETS AND PACKING ........................................ $ 102 0.00% HOSPITALS ....................................... 18,205 0.39 HOTELS AND MOTELS ............................... 26,788 0.57 HOUSEHOLD APPLIANCE STORES ...................... 2,654 0.06 HOUSEHOLD APPLIANCES ............................ 226,787 4.84 HOUSEHOLD AUDIO AND VIDEO EQUIPMENT ...................................... 327 0.01 HOUSEHOLD FURNITURE ............................. 1,560 0.03 INDUSTRIAL INORGANIC CHEMICALS .................. 42,158 0.90 INDUSTRIAL MACHINERY, NEC ....................... 99 0.00 INDUSTRIAL ORGANIC CHEMICALS .................... 658 0.01 INSURANCE AGENTS, BROKERS, AND SERVICE ........................................ 3,657 0.08 INSURANCE CARRIERS, NEC ......................... 24 0.00 IRON AND STEEL FOUNDRIES ........................ 60 0.00 JEWELRY, SILVERWARE, AND PLATED WARE .................................... 2,296 0.05 JOB TRAINING AND RELATED SERVICES ............... 9 0.00 KNITTING MILLS .................................. 578 0.01 LANDSCAPE AND HORTICULTURAL SERVICES ....................................... 262 0.01 LAUNDRY, CLEANING, AND GARMENT SERVICES ....................................... 1,561 0.03 LEATHER TANNING AND FINISHING ................... 838 0.02 LEGAL SERVICES .................................. 253 0.01 LIFE INSURANCE .................................. 30,311 0.65 LUGGAGE ......................................... 534 0.01 LUMBER AND CONSTRUCTION MATERIALS ...................................... 14 0.00 LUMBER AND OTHER BUILDING MATERIALS ...................................... 34,755 0.74 MACHINERY, EQUIPMENT, AND SUPPLIES ....................................... 241 0.01 MAILING, REPRODUCTION AND STENOGRAPHIC SERVICES .......................... 411 0.01 MANAGEMENT AND PUBLIC RELATIONS ................. 1,957 0.04 MANIFOLD BUSINESS FORMS ......................... 618 0.01 MEASURING AND CONTROLLING DEVICES ........................................ 29,027 0.62 MEAT PRODUCTS ................................... 9,869 0.21 MEDICAL AND DENTAL LABORATORIES ................. 96 0.00 MEDICAL INSTRUMENTS AND SUPPLIES ................ 162,445 3.46 MEDICAL SERVICE AND HEALTH INSURANCE ...................................... 16,691 0.36 MEN'S AND BOYS' CLOTHING STORES ................. 932 0.02 MEN'S AND BOYS' FURNISHINGS ..................... 2,133 0.05 METAL CANS AND SHIPPING CONTAINERS ..................................... 1,166 0.02 METAL FORGINGS AND STAMPINGS .................... 1,096 0.02 METAL SERVICES, NEC ............................. 1 0.00 METALWORKING MACHINERY .......................... 23 0.00 MILLWORK, PLYWOOD AND STRUCTURAL MEMBERS ........................................ 20 0.00 MISCELLANEOUS AMUSEMENT, RECREATION SERVICES ....................................... 90,674 1.93 VALUE % ----- ----- MISCELLANEOUS APPAREL AND ACCESSORY STORES ............................... $ 6,557 0.14% MISCELLANEOUS APPAREL AND ACCESSORIES .................................... 1,039 0.02 MISCELLANEOUS BUSINESS SERVICES ................. 9,767 0.21 MISCELLANEOUS CHEMICAL PRODUCTS ................. 7,951 0.17 MISCELLANEOUS CONVERTED PAPER PRODUCTS ....................................... 21,727 0.46 MISCELLANEOUS DURABLE GOODS ..................... 3,454 0.07 MISCELLANEOUS ELECTRICAL EQUIPMENT AND SUPPLIES ................................... 741 0.02 MISCELLANEOUS EQUIPMENT RENTAL AND LEASING .................................... 730 0.02 MISCELLANEOUS FABRICATED METAL PRODUCTS ....................................... 1,682 0.04 MISCELLANEOUS FOOD AND KINDRED PRODUCTS ....................................... 406 0.01 MISCELLANEOUS FOOD STORES ....................... 1,295 0.03 MISCELLANEOUS GENERAL MERCHANDISE STORES ......................................... 1,136 0.02 MISCELLANEOUS INVESTING ......................... 6,089 0.13 MISCELLANEOUS MANUFACTURES ...................... 1,897 0.04 MISCELLANEOUS METAL ORES ........................ 124 0.00 MISCELLANEOUS NONMETALLIC MINERAL PRODUCTS ....................................... 7,968 0.17 MISCELLANEOUS NONMETALLIC MINERALS .............. 182 0.00 MISCELLANEOUS PERSONAL SERVICES ................. 1,566 0.03 MISCELLANEOUS PETROLEUM AND COAL PRODUCTS ....................................... 449 0.01 MISCELLANEOUS PLASTICS PRODUCTS, NEC ............................................ 29,529 0.63 MISCELLANEOUS PRIMARY METAL PRODUCTS ....................................... 9 0.00 MISCELLANEOUS REPAIR SHOPS ...................... 74 0.00 MISCELLANEOUS SHOPPING GOOD STORES .............. 7,009 0.15 MISCELLANEOUS SPECIAL TRADE CONTRACTORS .................................... 0 0.00 MISCELLANEOUS TEXTILE GOODS ..................... 81 0.00 MISCELLANEOUS TRANSPORTATION EQUIPMENT ...................................... 52 0.00 MOBILE HOME DEALERS ............................. 1,882 0.04 MORTGAGE BANKERS AND BROKERS .................... 4,724 0.10 MOTION PICTURE PRODUCTION AND SERVICES ....................................... 41,494 0.88 MOTION PICTURE THEATERS ......................... 837 0.02 MOTOR VEHICLES AND EQUIPMENT .................... 7,247 0.15 MOTORCYCLES, BICYCLES, AND PARTS ................ 21,347 0.46 NATURAL GAS LIQUIDS ............................. 490 0.01 NEW AND USED CAR DEALERS ........................ 4,069 0.09 NEWSPAPERS ...................................... 18,362 0.39 NONFERROUS FOUNDRIES (CASTINGS) ................. 409 0.01 NONFERROUS ROLLING AND DRAWING .................. 2,287 0.05 NONSTORE RETAILERS .............................. $11,429 0.24 NURSING AND PERSONAL CARE FACILITIES ..................................... 1,578 0.03 OFFICE FURNITURE ................................ 1,915 0.04 See notes to financial statements. -60 COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GROWTH ACCOUNT DECEMBER 31, 1997 SUMMARY BY INDUSTRY (Continued) (000) VALUE % ----- ----- OFFICES AND CLINICS OF MEDICAL DOCTORS ........................................ $ 1,836 0.04% OFFICES AND CLINICS OF DENTISTS ................. 178 0.00 OFFICES OF OTHER HEALTH PRACTITIONERS .................................. 80 0.00 OIL AND GAS EXTRACTION .......................... 57,689 1.23 OIL AND GAS FIELD SERVICES ...................... 69,874 1.49 OPERATIVE BUILDERS .............................. 3,337 0.07 OPHTHALMIC GOODS ................................ 1,275 0.03 ORDNANCE AND ACCESSORIES, NEC ................... 736 0.02 PAINT, GLASS, AND WALLPAPER STORES ......................................... 213 0.00 PAINTS AND ALLIED PRODUCTS ...................... 843 0.02 PAPER AND PAPER PRODUCTS ........................ 8,773 0.19 PAPER MILLS ..................................... 819 0.02 PAPERBOARD CONTAINERS AND BOXES ................. 162 0.00 PAPERBOARD MILLS ................................ 706 0.02 PASSENGER TRANSPORTATION ARRANGEMENT .................................... 18,465 0.39 PERIODICALS ..................................... 9,129 0.19 PERSONAL CREDIT INSTITUTIONS .................... 10,045 0.21 PERSONNEL SUPPLY SERVICES ....................... 16,462 0.35 PETROLEUM AND PETROLEUM PRODUCTS ....................................... 2,529 0.05 PETROLEUM REFINING .............................. 6,069 0.13 PHOTOGRAPHIC EQUIPMENT AND SUPPLIES ....................................... 15,973 0.34 PLASTICS MATERIALS AND SYNTHETICS ............... 12,571 0.27 PLUMBING AND HEATING, EXCEPT ELECTRIC ....................................... 1,126 0.03 PLUMBING, HEATING, AIR-CONDITIONING ............. 127 0.00 POULTRY AND EGGS ................................ 581 0.01 PRESERVED FRUITS AND VEGETABLES ................. 22,980 0.49 PRIMARY NONFERROUS METALS ....................... 2,295 0.05 PRODUCERS, ORCHESTRAS, ENTERTAINERS ................................... 18,655 0.40 PRODUCTS OF PURCHASED GLASS ..................... 1,097 0.02 PROFESSIONAL AND COMMERCIAL EQUIPMENT ...................................... 4,900 0.10 RADIO AND TELEVISION BROADCASTING ............... 33,187 0.71 RADIO, TELEVISION, AND COMPUTER STORES ......................................... 4,904 0.10 RAILROADS ....................................... 1,723 0.04 REAL ESTATE AGENTS AND MANAGERS ................. 71 0.00 REAL ESTATE OPERATORS AND LESSORS ........................................ 1,287 0.03 REFRIGERATION AND SERVICE MACHINERY ...................................... 5,631 0.12 RESEARCH AND TESTING SERVICES ................... 6,054 0.13 RESIDENTIAL BUILDING CONSTRUCTION ............... 234 0.00 RETAIL NURSERIES AND GARDEN STORES ......................................... 496 0.01 VALUE % ----- ----- RETAIL STORES, NEC .............................. $ 578 0.01% SANITARY SERVICES ............................... 75,342 1.61 SAVINGS INSTITUTIONS ............................ 4,619 0.10 SCHOOLS AND EDUCATIONAL SERVICES, NEC .................................. 1,526 0.03 SCREW MACHINE PRODUCTS, BOLTS, ETC. .................................... 511 0.01 SEARCH AND NAVIGATION EQUIPMENT ...................................... 342 0.01 SECURITY AND COMMODITY SERVICES ................. 8,968 0.19 SECURITY BROKERS AND DEALERS .................... 9,276 0.20 SHIP AND BOAT BUILDING AND REPAIRING ............ 79 0.00 SHOE STORES ..................................... 406 0.01 SOAP, CLEANERS, AND TOILET GOODS ................ 87,377 1.86 SOCIAL SERVICES, NEC ............................ 307 0.01 SPECIAL INDUSTRY MACHINERY ...................... 17,472 0.37 SUBDIVIDERS AND DEVELOPERS ...................... 1,050 0.02 SUGAR AND CONFECTIONERY PRODUCTS ................ 4,719 0.10 SURETY INSURANCE ................................ 38,331 0.82 TELEPHONE COMMUNICATIONS ........................ 316,942 6.76 TIRES AND INNER TUBES ........................... 672 0.01 TOYS AND SPORTING GOODS ......................... 50,122 1.07 TRUCKING AND COURIER SERVICES, EXCEPT AIR ..................................... 469 0.01 VARIETY STORES .................................. 4,354 0.09 VETERINARY SERVICES ............................. 129 0.00 VIDEO TAPE RENTAL ............................... 109 0.00 VOCATIONAL SCHOOLS .............................. 309 0.01 WATER TRANSPORTATION OF FREIGHT, NEC ................................... 52 0.00 WATER TRANSPORTATION SERVICES ................... 3,269 0.07 WATER WELL DRILLING ............................. 59 0.00 WOMEN'S ACCESSORY AND SPECIALTY STORES ......................................... 1,431 0.03 WOMEN'S AND MISSES' OUTERWEAR ................... 2,128 0.05 WOMEN'S CLOTHING STORES ......................... 362 0.01 WOOD BUILDINGS AND MOBILE HOMES ................. 1,191 0.03 YARN AND THREAD MILLS ........................... 304 0.01 ---------- ------ TOTAL COMMON STOCK (Cost $ 3,656,645) .............................. 4,511,118 96.17 ---------- ------ SHORT TERM INVESTMENTS U.S. GOVERNMENT & AGENCIES ...................... 168,144 3.58 ---------- ------ TOTAL SHORT TERM INVESTMENTS (Cost $ 168,166) ................................ 168,144 3.58 ---------- ------ TOTAL PORTFOLIO (Cost $ 3,825,057) .............................. 4,679,529 99.76 ========== ===== OTHER ASSETS & LIABILITIES, NET ............... 11,434 0.24 ---------- ------ NET ASSETS ......................................... $4,690,963 100.00% ========== ====== See notes to financial statements. -61- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--GROWTH ACCOUNT DECEMBER 31, 1997 SUMMARY BY INDUSTRY (Continued) (000) VALUE SHARES (000) ------ ----- PREFERRED STOCK--0.01% LIFE INSURANCE--0.01% 3,640 AETNA, INC 6.25% (CLASS C) ....... $ 260 ----------- MEDICAL INSTRUMENTS AND SUPPLIES--0.00% 32,800 oFRESENIUS MEDICAL CARE (CLASS D) . 2 ----------- MEDICAL SERVICE AND HEALTH INSURANCE--0.00% 240 PACIFICARE HEALTH SYSTEMS CV SERIES A ........................ 5 ----------- TOTAL PREFERRED STOCK (Cost $246)....................... 267 ----------- COMMON STOCK--96.17% ADVERTISING--0.28% 16,800 ACKERLEY GROUP, INC .................. 285 8,900 oCATALINA MARKETING CORP .............. 412 128,550 INTERPUBLIC GROUP OF COS, INC ........ 6,403 127,000 OMNICOM GROUP, INC ................... 5,382 11,400 oVALASSIS COMMUNICATIONS, INC ......... 422 ----------- 12,904 ----------- AGRICULTURAL CHEMICALS--0.01% 1,415 oFREEPORT MCMORAN SULPHUR, INC ........ 17 6,030 IMC GLOBAL, INC ...................... 197 2,233 oIMC GLOBAL, INC WTS 12/22/00 ......... 9 935 MISSISSIPPI CHEMICAL CORP ............ 17 12,800 oMYCOGEN CORP ......................... 240 ----------- 480 ----------- AIR TRANSPORTATION, SCHEDULED--0.06% 10,750 AIR EXPRESS INTERNATIONAL CORP ....... 328 400 ASA HOLDINGS, INC .................... 11 21,625 COMAIR HOLDINGS, INC ................. 522 7,800 oFEDERAL EXPRESS CORP ................. 476 2,800 oMIDWEST EXPRESS HOLDINGS, INC ........ 109 30,500 oNORTHWEST AIRLINES CORP (CLASS A) .... 1,460 2,550 SOUTHWEST AIRLINES CO ................ 63 ----------- 2,969 ----------- AIRCRAFT AND PARTS--0.81% 14,400 oAIRTRAN HOLDINGS, INC ................ 58 231,100 ALLIED SIGNAL, INC ................... 8,998 21,100 oBE AEROSPACE, INC .................... 564 362,900 BOEING CO ............................ 17,759 7,100 oDUCOMMUN, INC ........................ 248 44,000 oGULFSTREAM AEROSPACE CORP ............ 1,287 8,400 OEA, INC ............................. 243 2,500 oTRIUMPH GROUP, INC ................... 83 119,000 UNITED TECHNOLOGIES CORP ............. 8,665 ----------- 37,905 ----------- AIRPORTS, FLYING FIELDS, AND SERVICES--0.00% 1,000 oEAGLE USA AIRFREIGHT, INC ............ 29 ----------- VALUE SHARES (000) ------ ----- APPAREL, PIECE GOODS, AND NOTIONS--0.05% 10,000 oDONNKENNY, INC ....................... $ 27 35,600 oGENESCO, INC ......................... 454 800 oKENNETH COLE PRODUCTIONS, INC ........ 13 28,900 NIKE, INC (CLASS B) .................. 1,134 29,000 oREEBOK INTERNATIONAL LTD ............. 836 ----------- 2,464 ----------- AUTO AND HOME SUPPLY STORES--0.02% 2,600 oDISCOUNT AUTO PARTS, INC ............. 50 33,700 PEP BOYS MANNY, MOE, & JACK CO ....... 805 ----------- 855 ----------- AUTOMOTIVE RENTALS, NO DRIVERS--0.01% 19,700 oRENTERS CHOICE, INC .................. 404 ----------- AUTOMOTIVE SERVICES, EXCEPT REPAIR--0.00% 800 BORG-WARNER AUTOMOTIVE, INC .......... 42 ----------- BAKERY PRODUCTS--0.06% 48,900 INTERSTATE BAKERIES CORP ............. 1,828 15,300 LANCE, INC ........................... 403 13,300 NABISCO HOLDINGS CORP (CLASS A) ...... 644 ----------- 2,875 ----------- BEAUTY SHOPS--0.01% 11,800 REGIS CORP ........................... 296 ----------- BEVERAGES--3.33% 118,150 ANHEUSER BUSCH COS, INC .............. 5,199 12,700 BROWN FORMAN, INC (CLASS B) .......... 702 1,397,700 COCA COLA CO ......................... 93,122 203,600 COCA COLA ENTERPRISES, INC ........... 7,241 1,368,250 PEPSICO, INC ......................... 49,856 3,000 oROBERT MONDAVI CORP (CLASS A) ........ 146 ----------- 156,266 ----------- BITUMINOUS COAL AND LIGNITE MINING--0.01% 22,500 ZEIGLER COAL HOLDINGS CO ............. 367 ----------- BLANKBOOKS AND BOOKBINDING--0.04% 59,500 DELUXE CORP .......................... 2,053 700 oFRANKLIN COVEY CO .................... 15 ----------- 2,068 ----------- BLAST FURNACE AND BASIC STEEL PRODUCTS--0.06% 5,900 oARMCO, INC ........................... 29 27,000 oLONE STAR TECHNOLOGIES, INC .......... 766 10,000 oMAVERICK TUBE CORP ................... 253 17,700 NUCOR CORP ........................... 855 1,700 OREGON STEEL MILLS, INC .............. 36 9,800 QUANEX CORP .......................... 276 20,900 oSTEEL DYNAMICS, INC .................. 334 11,380 WORTHINGTON INDUSTRIES, INC .......... 188 ----------- 2,737 ----------- See notes to financial statements. -62- GROWTH ACCOUNT (Continued) VALUE SHARES (000) ------ ----- BOOKS--0.43% 27,500 oGOLDEN BOOKS FAMILY ENTERTAINMENT, INC ..................$ 284 1,700 HOUGHTON MIFFLIN CO .................. 65 4,100 MCGRAW HILL COS, INC ................. 303 500,700 oSCHOLASTIC CORP ...................... 18,776 1,600 THOMAS NELSON, INC ................... 19 10,000 WILEY (JOHN) & SONS, INC (CLASS A) ... 543 ----------- 19,990 ----------- BROADWOVEN FABRIC MILLS, COTTON--1.04% 3,100 oTRIARC COS, INC ...................... 84 1,027,700 oWESTPOINT STEVENS, INC ............... 48,559 ----------- 48,643 ----------- BROADWOVEN FABRIC MILLS, MANMADE--0.00% 2,900 oCOLLINS & AIKMAN CORP ................ 25 ----------- BUSINESS CREDIT INSTITUTIONS--0.01% 4,200 oARCADIA FINANCIAL LTD ................ 31 7,500 CAPITAL ONE FINANCIAL CORP ........... 406 1,500 FINOVA GROUP, INC .................... 75 2,600 TOTAL SYSTEM SERVICES, INC ........... 64 ----------- 576 ----------- CABLE AND OTHER PAY TV SERVICES--0.36% 800 oBET HOLDINGS, INC (CLASS A) .......... 44 950 oCABLE MICHIGAN, INC .................. 22 5,800 oCABLEVISION SYSTEMS CORP (CLASS A) ... 555 25,600 oCAI WIRELESS SYSTEMS, INC ............ 29 20,400 oCENTURY COMMUNICATIONS CORP (CLASS A) ........................... 199 18,400 COMCAST CORP (CLASS A) ............... 587 126,043 COMCAST CORP (CLASS A) SPECIAL ....... 3,978 5,850 oMASTEC, INC .......................... 134 33,787 oPANAMSAT CORP ........................ 1,457 13,100 TCA CABLE TV, INC .................... 603 13,060 oTCI SATELLITE ENTERTAINMENT (CLASS A) ........................... 90 241,979 oTELE-COMMUNICATIONS, INC (CLASS A) ........................... 6,760 89,771 oTELECOM-TCI VENTURES GROUP (CLASS A) ........................... 2,542 2,500 oUNITED VIDEO SATELLITE GROUP, INC .... 72 ----------- 17,072 ----------- CARPETS AND RUGS--0.00% 15,800 SHAW INDUSTRIES, INC ................. 184 ----------- CASH GRAINS--0.00% 1,900 DEKALB GENETICS CORP (CLASS B) ....... 75 4,044 DELTA & PINE LAND CO ................. 123 ----------- 198 ----------- CEMENT, HYDRAULIC--0.02% 2,000 CENTEX CONSTRUCTION PRODUCTS, INC ....................... 60 20,100 MEDUSA CORP .......................... 840 ----------- 900 ----------- CHEMICALS AND ALLIED PRODUCTS--0.00% 1,400 VALHI, INC ........................... 13 ----------- CHEWING AND SMOKING TOBACCO--0.09% 114,500 UST, INC ............................ 4,229 ----------- VALUE SHARES (000) ------ ----- CHILDREN'S AND INFANTS' WEAR STORES--0.02% 34,200 oGYMBOREE CORP ....................... $ 936 ----------- CIGARETTES--2.17% 2,242,200 PHILIP MORRIS COS, INC ............... 101,600 ----------- CIGARS--0.01% 1,800 oCONSOLIDATED CIGAR HOLDINGS, INC ..... 50 13,200 oGENERAL CIGAR HOLDINGS, INC (CLASS A) ........................... 281 ----------- 331 ----------- COMMERCIAL BANKS--1.81% 1,648 BANC ONE CORP ........................ 90 1,900 CCB FINANCIAL CORP ................... 204 136,100 CITICORP CO .......................... 17,208 800 oCNB BANCSHARES, INC .................. 39 8,300 COMMERCE BANCORP, INC ................ 423 800 oCOMMUNITY FIRST BANKSHARES, INC ...... 43 84,850 FIFTH THIRD BANCORP .................. 6,936 3,575 HUBCO, INC ........................... 140 1,700 oIMPERIAL BANCORP ..................... 84 222,425 MBNA CORP ............................ 6,075 39,300 NORWEST CORP ......................... 1,518 15,181 OLD NATIONAL BANCORP ................. 734 300 PARK NATIONAL CORP ................... 26 1,500 oPROVIDENT FINANCIAL GROUP ............ 73 12,800 STATE STREET CORP .................... 745 149,350 SYNOVUS FINANCIAL CORP ............... 4,891 25,754 TRUSTCO BANK CORP .................... 702 6,000 U.S. BANCORP ......................... 672 28,300 U.S. TRUST CORP ...................... 1,772 400 oUNITED BANKSHARES, INC ............... 19 125,000 WELLS FARGO & CO ..................... 42,430 3,200 WILMINGTON TRUST CORP ................ 200 ----------- 85,024 ----------- COMMERCIAL PRINTING--0.03% 900 AMERICAN BUSINESS PRODUCTS, INC ...... 19 8,300 oBIG FLOWER HOLDINGS, INC ............. 200 11,300 oCONSOLIDATED GRAPHICS, INC ........... 527 1,600 DONNELLEY (R.R.) & SONS CO ........... 60 19,100 HARLAND (JOHN H.) CO ................. 401 8,300 MERRILL CORP ......................... 193 13,600 oTOPPS, INC ........................... 30 ----------- 1,430 ----------- COMMUNICATIONS EQUIPMENT--2.02% 175,761 o3COM CORP ............................ 6,141 74,560 oADC TELECOMMUNICATIONS, INC .......... 3,113 90,000 oADVANCED FIBRE COMMUNICATIONS ........ 2,621 26,900 ALIANT COMMUNICATIONS, INC ........... 844 40,475 oANDREW CORP .......................... 971 27,400 oASPECT TELECOMMUNICATIONS CORP ....... 572 19,350 oASSOCIATED GROUP, INC (CLASS A) ...... 573 1,150 oASSOCIATED GROUP, INC (CLASS B) ...... 33 5,300 oBILLING INFORMATION CONCEPTS CORP .... 254 29,900 oBOSTON TECHNOLOGY, INC ............... 751 5,800 oCHYRON CORP .......................... 26 800 oCIDCO, INC ........................... 16 84,900 oCIENA CORP ........................... 5,190 4,800 oCOHERENT COMMUNICATIONS SYSTEMS CORP ........................ 134 8,400 oDAVOX CORP ........................... 274 32,600 oDIGITAL MICROWAVE CORP ............... 473 48,000 oDSC COMMUNICATIONS CORP .............. 1,152 30,100 oDSP COMMUNICATIONS, INC .............. 361 See notes to financial statements. -63- GROWTH ACCOUNT (Continued) VALUE SHARES (000) ------ ---------- COMMUNICATIONS EQUIPTMENT-(Continued) 1,500 oECHOSTAR COMMUNICATIONS CORP (CLASS A) ........................... $ 25 4,600 oEIS INTERNATIONAL, INC ............... 25 464,400 oERICSSON TELEFON (LM) SERIES B ADR ... 17,328 8,191 oEXCEL COMMUNICATIONS, INC ............ 119 3,500 FEDERAL SIGNAL CORP .................. 76 8,400 oGENERAL DATACOMM INDUSTRIES, INC ..... 39 38,700 oGEOTEK COMMUNICATIONS, INC ........... 59 12,350 oGLENAYRE TECHNOLOGIES, INC ........... 122 521,400 oGLOBALSTAR TELECOMMUNICATIONS LTD .... 25,614 1,400 oHARMONIC LIGHTWAVES, INC ............. 15 23,400 oINTELIDATA TECHNOLOGIES CORP ......... 43 15,000 INTER-TEL, INC ....................... 291 27,000 oINTERDIGITAL COMMUNICATIONS CORP ..... 83 46,700 oITT CORP ............................. 3,870 18,400 oLO-JACK CORP ......................... 271 293,500 MOTOROLA, INC ........................ 16,748 6,500 oNATURAL MICROSYSTEMS CORP ............ 302 7,900 oNETWORK EQUIPMENT TECHNOLOGIES, INC ................... 116 16,200 oNEXTLEVEL SYSTEMS, INC ............... 290 12,700 oP-COM, INC ........................... 219 36,850 oPAIRGAIN TECHNOLOGIES, INC ........... 714 10,200 oPICTURETEL CORP ...................... 66 11,800 PITTWAY CORP (CLASS A) ............... 822 15,000 oPLANTRONICS, INC ..................... 600 33,600 oPREMISYS COMMUNICATIONS, INC ......... 878 50 oPRICELLULAR CORP (CLASS A) ........... 1 69,500 SCIENTIFIC-ATLANTA, INC .............. 1,164 9,700 oSHIVA CORP ........................... 83 5,000 oSPECTRIAN CORP ....................... 96 7,800 oSTANFORD TELECOMMUNICATIONS, INC ..... 132 17,400 SYMBOL TECHNOLOGIES, INC ............. 657 15,620 oSYMMETRICOM, INC ..................... 182 5,700 oTCSI CORP ............................ 46 4,250 oTELTREND, INC ........................ 73 1,000 oYURIE SYSTEMS, INC ................... 20 ----------- 94,688 ----------- COMMUNICATIONS SERVICES, NEC--0.01% 5,800 oCOMMNET CELLULAR, INC ................ 206 2,500 oSMARTALK TELESERVICES, INC ........... 57 ----------- 263 ----------- COMPUTER AND DATA PROCESSING SERVICES--5.73% 18,000 oACCLAIM ENTERTAINMENT, INC ........... 65 25,520 oACXIOM CORP .......................... 491 52,580 ADOBE SYSTEMS, INC ................... 2,169 23,850 oAFFILIATED COMPUTER SERVICES, INC (CLASS A) ........................... 628 30,600 oAMERICA ONLINE, INC .................. 2,729 8,575 oAMERICAN MANAGEMENT SYSTEMS, INC ..... 167 19,800 ANALYSTS INTERNATIONAL CORP .......... 683 5,000 oAPPLIX, INC .......................... 26 3,500 oASPECT DEVELOPMENT, INC .............. 182 6,500 oASPEN TECHNOLOGY, INC ................ 223 60,920 AUTODESK, INC ........................ 2,254 140,600 AUTOMATIC DATA PROCESSING, INC ....... 8,629 24,480 oAVANT CORP ........................... 410 2,300 oBA MERCHANT SERVICES, INC (CLASS A) .. 41 5,050 oBISYS GROUP, INC ..................... 168 66,700 oBMC SOFTWARE, INC .................... 4,377 800 oBOOLE & BABBAGE, INC ................. 24 VALUE SHARES (000) ------ ---------- 8,800 oBORLAND INTERNATIONAL, INC ........... $ 64 1,100 oBRODERBUND SOFTWARE, INC ............. 28 2,800 oCACI INTERNATIONAL, INC (CLASS A) .... 55 215,700 oCADENCE DESIGN SYSTEMS, INC .......... 5,285 15,700 oCAMBRIDGE TECHNOLOGY PARTNERS, INC ... 654 7,000 oCELLNET DATA SYSTEMS, INC ............ 54 13,800 oCELLULAR TECHNICAL SERVICES CO ....... 44 84,600 oCERIDIAN CORP ........................ 3,876 10,200 oCERNER CORP .......................... 215 200 oCHECKPOINT SYSTEMS, INC .............. 4 8,200 oCHOICEPOINT, INC ..................... 392 11,400 oCIRRUS LOGIC, INC .................... 121 32,350 oCITRIX SYSTEMS, INC .................. 2,459 1,627,587 COMPUTER ASSOCIATES INTERNATIONAL, INC .................. 86,059 24,725 oCOMPUTER HORIZONS CORP ............... 1,125 15,600 oCOMPUTER NETWORK TECHNOLOGY CORP ..... 55 41,604 oCOMPUTER SCIENCES CORP ............... 3,474 14,100 COMPUTER TASK GROUP, INC ............. 501 36,000 oCOMPUTERVISION CORP .................. 137 122,620 oCOMPUWARE CORP ....................... 3,924 7,950 oCOMSHARE, INC ........................ 49 28,200 oCORESTAFF, INC ....................... 747 7,500 oCSG SYSTEMS INTERNATIONAL, INC ....... 300 8,000 oCYBERMEDIA, INC ...................... 121 18,100 oDATA TRANSMISSION NETWORK CORP ....... 507 200 oDELTEK SYSTEMS, INC .................. 3 2,700 oDIALOGIC CORP ........................ 118 5,900 oDIGI INTERNATIONAL, INC .............. 100 8,800 oDST SYSTEMS, INC ..................... 376 2,100 oE TRADE GROUP, INC ................... 48 10,900 oELECTRONIC ARTS, INC ................. 412 248,000 ELECTRONIC DATA SYSTEMS CORP ......... 10,897 28,520 oELECTRONICS FOR IMAGING, INC ......... 474 5,300 oENVOY CORP ........................... 154 7,450 oEXCALIBUR TECHNOLOGIES CORP .......... 64 8,700 oFILENET CORP ......................... 262 151,522 FIRST DATA CORP ...................... 4,432 63,050 oFISERV, INC .......................... 3,097 30,500 oFORE SYSTEMS, INC .................... 465 27,900 oGENERAL MAGIC, INC ................... 38 7,300 oGEOWORKS CORP ........................ 70 34,700 oGT INTERACTIVE SOFTWARE CORP ......... 221 50,000 oGTECH HOLDINGS CORP .................. 1,597 180,268 HBO & CO ............................. 8,653 2,500 oHCIA, INC ............................ 30 9,400 oHEALTH MANAGEMENT SYSTEMS, INC ....... 56 8,140 oHNC SOFTWARE ......................... 350 20,300 oHYPERION SOFTWARE CORP ............... 726 6,600 oIMNET SYSTEMS, INC ................... 107 5,500 oINSO CORP ............................ 64 7,300 oINTEGRATED SYSTEMS, INC .............. 100 24,540 oINTERSOLV, INC ....................... 497 9,900 oINTERVOICE, INC ...................... 74 2,350 oINTUIT, INC .......................... 97 2,500 oITRON, INC ........................... 45 11,300 JACK HENRY & ASSOCIATES, INC ......... 308 3,000 oJDA SOFTWARE GROUP, INC .............. 105 93,100 oKEANE, INC ........................... 3,782 22,014 oLEARNING CO, INC ..................... 354 3,300 oLEGATO SYSTEMS, INC .................. 145 4,700 oLHS GROUP, INC ....................... 281 2,500 oLYCOS, INC ........................... 103 8,500 oMACROMEDIA, INC ...................... 71 1,000 oMANUGISTICS GROUP, INC ............... 45 See notes to financial statements. -64- GROWTH ACCOUNT (Continued) VALUE SHARES (000) ------ ---------- COMPUTER AND DATA PROCESSING SERVICES-(Continued) 1,700 oMAY & SEPH, INC ...................... $ 23 7,600 oMENTOR GRAPHICS CORP ................. 74 14,500 oMERCURY INTERACTIVE CORP ............. 388 20,150 oMICROPROSE, INC ...................... 44 431,500 oMICROSOFT CORP ....................... 55,771 2,600 oMIDWAY GAMES, INC .................... 47 35,100 NATIONAL DATA CORP ................... 1,268 2,200 oNETCOM ON-LINE COMMUNICATIONS SERVICE, INC ........................ 53 20,400 oNETMANAGE, INC ....................... 57 6,099 oNETSCAPE COMMUNICATIONS CORP ......... 149 9,500 oNETWORK PERIPHERALS, INC ............. 69 71,576 oNETWORKS ASSOCIATES, INC ............. 3,785 67,450 oNOVELL, INC .......................... 506 2,800 oODS NETWORKS, INC .................... 18 1,000 oOPEN MARKET, INC ..................... 10 417,237 oORACLE CORP .......................... 9,310 97,300 oPARAMETRIC TECHNOLOGY CORP ........... 4,610 7,915 PAYCHEX, INC ......................... 401 96,800 oPEOPLESOFT, INC ...................... 3,775 14,800 oPHOENIX TECHNOLOGIES LTD ............. 179 14,100 oPHYSICIAN COMPUTER NETWORK, INC ...... 56 34,700 oPLATINUM TECHNOLOGY, INC ............. 980 5,900 oPOLICY MANAGEMENT SYSTEMS CORP ....... 410 9,700 oPROJECT SOFTWARE & DEVELOPMENT, INC .................... 228 9,900 oPROTEIN DESIGN LABORATORIES, INC ..... 396 9,500 oPSINET, INC .......................... 49 18,600 oQUARTERDECK CORP ..................... 30 18,980 oREMEDY CORP .......................... 399 6,800 oSANTA CRUZ OPERATION, INC ............ 28 32,800 oSECURITY DYNAMICS TECHNOLOGIES, INC .. 1,173 35,300 SHARED MEDICAL SYSTEMS CORP.......... 2,330 1,274 oSIEBEL SYSTEMS, INC .................. 53 2,100 oSPYGLASS, INC ........................ 10 12,196 oSTERLING COMMERCE, INC ............... 469 20,800 oSTERLING SOFTWARE, INC ............... 853 12,140 oSTRUCTURAL DYNAMICS RESEARCH CORP .... 273 86,600 oSUNGARD DATA SYSTEMS, INC ............ 2,685 9,700 oSYBASE, INC .......................... 129 29,250 oSYMANTEC CORP ........................ 642 32,302 oSYNOPSYS, INC ........................ 1,155 19,100 oSYSTEM SOFTWARE ASSOCIATES, INC ...... 167 17,000 oSYSTEMS & COMPUTER TECHNOLOGY CORP ..................... 844 7,700 oSYSTEMSOFT CORP ...................... 49 11,000 oTECHNOLOGY SOLUTIONS CO .............. 290 12,720 oTRANSACTION SYSTEM ARCHITECTURE ...... 483 8,100 oUSCS INTERNATIONAL, INC .............. 138 7,920 oVIASOFT, INC ......................... 335 13,150 oWIND RIVER SYSTEMS, INC .............. 522 13,900 oYAHOO, INC ........................... 963 100 oZILOG, INC ........................... 2 ----------- 269,015 ----------- COMPUTER AND OFFICE EQUIPMENT--6.02% 16,450 oADTRAN, INC .......................... 452 2,500 oAPEX PC SOLUTIONS, INC ............... 55 42,180 oASCEND COMMUNICATIONS, INC ........... 1,033 17,500 oAUSPEX SYSTEMS, INC .................. 175 521 oAXIOHM TRANSACTION SOLUTIONS, INC .... 9 2,300 oBANCTEC, INC ......................... 62 163,955 oBAY NETWORKS, INC .................... 4,191 6,500 oBELL & HOWELL CO ..................... 157 VALUE SHARES (000) ------ ---------- 8,900 oBROADBAND TECHNOLOGIES, INC .......... $ 37 21,700 oCABLETRON SYSTEMS, INC ............... 326 8,900 oCENTENNIAL TECHNOLOGIES, INC ......... 9 1,165,675 oCISCO SYSTEMS, INC ................... 64,986 950,050 COMPAQ COMPUTER CORP ................. 53,618 34,150 oCOMVERSE TECHNOLOGY, INC ............. 1,332 29,935 oCONCORD EFS, INC ..................... 745 31,400 oCOPYTELE, INC ........................ 110 3,600 oDATA GENERAL CORP .................... 63 201,700 oDELL COMPUTER CORP ................... 16,943 5,500 oDIAMOND MULTIMEDIA SYSTEMS, INC ...... 49 3,450 DIEBOLD, INC ......................... 175 600 oDYNATECH CORP ........................ 28 376,400 oEMC CORP ............................. 10,327 18,200 oENCAD, INC ........................... 501 30,800 oGATEWAY 2000, INC .................... 1,005 524,000 HEWLETT-PACKARD CO ................... 32,750 4,700 oHMT TECHNOLOGY CORP .................. 61 1,700 HUNT CORP ............................ 40 15,400 oIDENTIX, INC ......................... 148 100 oIMATION CORP ......................... 2 5,500 oIN FOCUS SYSTEMS, INC ................ 167 425,000 INTERNATIONAL BUSINESS MACHINES CORP ....................... 44,439 135,000 oIOMEGA CORP .......................... 1,679 49,000 oLEXMARK INTERNATIONAL GROUP (CLASS A) .................... 1,862 33,370 oMICROCHIP TECHNOLOGY, INC ............ 1,001 9,400 oMICRON ELECTRONICS, INC .............. 86 9,300 oMICROS SYSTEMS, INC .................. 419 2,500 oMICROTOUCH SYSTEMS, INC .............. 39 5,260 oMYLEX CORP ........................... 47 700 NATIONAL COMPUTER SYSTEMS, INC ....... 25 4,537 oNCR CORP ............................. 126 8,000 oNEOMAGIC CORP ........................ 102 30,200 PITNEY BOWES, INC .................... 2,716 3,400 oPROXIM, INC .......................... 38 77,000 oQUANTUM CORP ......................... 1,545 13,429 oRATIONAL SOFTWARE CORP ............... 153 91,900 REYNOLDS & REYNOLDS CO (CLASS A) ..... 1,694 6,600 oSAFEGUARD SCIENTIFICS, INC ........... 207 879,900 oSEAGATE TECHNOLOGY, INC .............. 16,938 2,000 oSEQUENT COMPUTER SYSTEMS, INC ........ 40 132,100 oSILICON GRAPHICS, INC ................ 1,643 93,600 oSOLECTRON CORP ....................... 3,890 270,250 oSUN MICROSYSTEMS, INC ................ 10,776 8,700 oTSENG LABORATORIES, INC .............. 12 124,000 oUNISYS CORP .......................... 1,721 6,000 oVIDEOSERVER, INC ..................... 95 53,380 oWANG LABORATORIES, INC ............... 1,181 16,200 oWESTERN DIGITAL CORP ................. 260 13,400 oXIRCOM, INC .......................... 135 ----------- 282,425 ----------- CONCRETE, GYPSUM, AND PLASTER PRODUCTS--0.04% 38,300 oUSG CORP ............................. 1,877 ----------- CONSTRUCTION AND RELATED MACHINERY--0.10% 34,600 BAKER HUGHES, INC .................... 1,509 10,700 DOVER CORP ........................... 387 35,800 oEVI, INC ............................. 1,853 6,600 HARNISCHFEGER INDUSTRIES, INC ........ 233 23,200 JLG INDUSTRIES, INC .................. 328 9,600 MANITOWOC, INC ....................... 312 10,000 OMNIQUIP INTERNATIONAL, INC .......... 199 ----------- 4,821 ----------- See notes to financial statements. -65- GROWTH ACCOUNT (Continued) VALUE SHARES (000) ------ ---------- COPPER ORES--0.00% 4,800 oSOUTHERN PERU COPPER CORP ............ $ 64 ----------- CREDIT REPORTING AND COLLECTION--0.15% 66 oACNEILSEN CORP ....................... 2 150,900 COGNIZANT CORP ....................... 6,724 2,000 DUN & BRADSTREET CORP ................ 62 11,800 oPMT SERVICES, INC .................... 164 ----------- 6,952 ----------- CUTLERY, HANDTOOLS, AND HARDWARE--0.79% 2,500 oAMERICAN SAFETY RAZOR CO ............. 50 365,586 GILLETTE CO .......................... 36,719 500 oSIMPSON MANUFACTURING CO, INC ........ 17 7,200 SNAP-ON, INC ......................... 314 1,100 STANLEY WORKS CO ..................... 52 ----------- 37,152 ----------- DEEP SEA DOMESTIC TRANSPORTATION OF FREIGHT--0.00% 4,600 oHVIDE MARINE, INC (CLASS A) .......... 118 ----------- DEEP SEA FOREIGN TRANSPORTATION OF FREIGHT--0.01% 17,500 oTRICO MARINE SERVICES, INC ........... 514 ----------- DEPARTMENT STORES--0.79% 5,300 DAYTON HUDSON CORP ................... 358 88,568 oFEDERATED DEPARTMENT STORES, INC ..... 3,814 1,300 oFRED MEYER, INC ...................... 47 62,200 oKOHLS CORP ........................... 4,237 29,700 oNEIMAN-MARCUS GROUP, INC ............. 898 69 PENNEY, (J.C.) CO, INC ............... 4 33,600 oPROFFITTS, INC ....................... 956 69,500 ROSS STORES, INC ..................... 2,528 615,500 WAL-MART STORES, INC ................. 24,274 ----------- 37,116 ----------- DRUG STORES AND PROPRIETARY STORES--0.27% 12,225 ARBOR DRUGS, INC ..................... 226 59,920 CVS CORP ............................. 3,839 5,700 oRITE AID CORP ........................ 335 260,900 WALGREEN CO .......................... 8,186 ----------- 12,586 ----------- DRUGS--9.83% 442,000 ABBOTT LABORATORIES CO ............... 28,979 20,000 oALKERMES, INC ........................ 398 200 ALLERGAN, INC ........................ 7 9,700 oALLIANCE PHARMACEUTICAL CORP ......... 70 430,000 AMERICAN HOME PRODUCTS CORP .......... 32,895 20,150 oAMYLIN PHARMACEUTICALS, INC .......... 110 144,100 BAXTER INTERNATIONAL, INC ............ 7,268 58,800 oBIO-TECHNOLOGY GENERAL CORP .......... 632 62,600 oBIOGEN, INC .......................... 2,277 370,600 BRISTOL MYERS SQUIBB CO .............. 35,068 400 CARTER WALLACE, INC .................. 7 11,800 oCENTOCOR, INC ........................ 392 583,616 oCHIRON CORP .......................... 9,921 58,700 oCOVANCE, INC ......................... 1,167 18,980 oCREATIVE BIOMOLECULES, INC ........... 140 3,395 oCRESCENDO PHARMACEUTICALS CORP ....... 39 31,050 oDURA PHARMACEUTICALS, INC ............ 1,424 9,100 oFOREST LABORATORIES, INC ............. 449 21,700 oGENSIA SICOR, INC .................... 126 52,900 oGENZYME CORP (GENERAL DIVISION) ...... 1,468 VALUE SHARES (000) ------ ---------- 38,424 oGENZYME CORP (TISSUE REPAIR DIVISION) ............ $ 264 9,400 oGILEAD SCIENCES, INC ................. 360 685,400 oGUILFORD PHARMACEUTICALS, INC ........ 13,794 4,100 ICN PHARMACEUTICALS, INC ............. 200 18,000 oIDEXX LABORATORIES, INC .............. 287 11,700 oINTERNEURON PHARMACEUTICALS, INC ..... 111 8,900 oIVAX CORP ............................ 60 29,100 JONES MEDICAL INDUSTRIES, INC ........ 1,113 19,840 oLIGAND PHARMACEUTICALS CO (CLASS A) .. 255 519,868 LILLY (ELI) & CO ..................... 36,196 456,800 oMARTEK BIOSCIENCES CORP .............. 3,769 109,440 #MARTEK BIOSCIENCES CORP WTS 05/18/98 ........................ 0 16,350 oMATRIX PHARMACEUTICALS, INC .......... 56 7,800 oMEDICIS PHARMACEUTICAL CORP (CLASS A) ........................... 399 187,751 oMEDPARTNERS, INC ..................... 4,201 753,100 *MERCK & CO, INC ...................... 80,017 155,400 MYLAN LABORATORIES, INC .............. 3,254 23,300 oNABI, INC ............................ 79 9,200 oNEOPROBE CORP ........................ 55 9,200 oNEUROGEN CORP ........................ 124 7,780 oNOVEN PHARMACEUTICALS, INC ........... 54 14,450 oORGANOGENESIS, INC ................... 381 1,000 oPATHOGENESIS CORP .................... 37 1,600 oPERRIGO CO ........................... 21 1,887,200 PFIZER, INC .......................... 140,714 9,018 oPHARMACEUTICAL PRODUCT DEVELOPMENT ........................ 139 2,900 PHARMACIA & UPJOHN, INC .............. 106 23,800 oQUINTILES TRANSNATIONAL CORP ......... 910 100 oROBERTS PHARMACEUTICAL CORP .......... 1 16,000 oSANGSTAT MEDICAL CORP ................ 648 423,200 SCHERING-PLOUGH CORP ................. 26,291 18,000 oSEPRACOR, INC ........................ 721 14,400 oSEQUUS PHARMACEUTICALS, INC .......... 107 13,400 oSOMATOGEN, INC ....................... 59 20,600 oTECHNE CORP .......................... 361 23,500 oTWINLAB CORP ......................... 582 12,340 oVERTEX PHARMACEUTICALS, INC .......... 407 12,100 oVICAL, INC ........................... 145 142,400 WARNER-LAMBERT CO .................... 17,658 126,300 oWATSON PHARMACEUTICALS, INC .......... 4,097 ----------- 460,870 ----------- DRUGS, PROPRIETARIES, AND SUNDRIES--1.55% 26,900 oAMERISOURCE HEALTH CORP (CLASS A) .... 1,567 165,500 oAMGEN, INC ........................... 8,958 34,500 BERGEN BRUNSWIG CORP (CLASS A) ....... 1,453 768,526 CARDINAL HEALTH, INC ................. 57,736 24,500 oIMMUNEX CORP ......................... 1,323 1,700 MCKESSON CORP ........................ 184 2,000 oNBTY, INC ............................ 67 42,600 oREXALL SUNDOWN, INC .................. 1,286 ----------- 72,574 ----------- EATING AND DRINKING PLACES--0.62% 39,700 APPLE SOUTH, INC ..................... 521 36,840 APPLEBEES INTERNATIONAL, INC ......... 665 9,650 oBOSTON CHICKEN, INC .................. 62 7,700 oBUFFETS, INC ......................... 72 60,600 CKE RESTAURANTS, INC ................. 2,553 5,250 oCONSOLIDATED PRODUCTS, INC ........... 86 14,520 CRACKER BARREL OLD COUNTRY STORE, INC .......................... 485 See notes to financial statements. -66- GROWTH ACCOUNT (Continued) VALUE SHARES (000) ------ ---------- EATING AND DRINKING PLACES--(Continued) 57,600 oFOODMAKER, INC ....................... $ 868 2,100 oIHOP CORP ............................ 68 10,000 oINTERNATIONAL DAIRY QUEEN, INC (CLASS A) ........................... 268 14,500 oLANDRYS SEAFOOD RESTAURANTS, INC ..... 348 11,050 oLONE STAR STEAKHOUSE & SALOON, INC ... 193 331,450 MCDONALDS CORP ....................... 15,827 1,766 MORRISON HEALTH CARE, INC ............ 35 1,325 MORRISON RESTAURANTS, INC ............ 3 3,400 oNPC INTERNATIONAL, INC ............... 41 29,700 oOUTBACK STEAKHOUSE, INC .............. 854 24,230 oPAPA JOHNS INTERNATIONAL, INC ........ 845 3,400 oRAINFOREST CAFE, INC ................. 112 350 oRUBY TUESDAY, INC .................... 9 4,300 SBARRO, INC .......................... 113 18,500 oSHOWBIZ PIZZA TIME, INC .............. 426 3,800 oSONIC CORP ........................... 107 9,400 oTHE CHEESECAKE FACTORY CO ............ 287 92,615 oTRICON GLOBAL RESTAURANTS, INC ....... 2,692 63,800 WENDYS INTERNATIONAL, INC ............ 1,535 ----------- 29,075 ----------- ELECTRIC DISTRIBUTION EQUIPMENT--1.84% 2,906,471 CBS CORP ............................. 85,559 21,900 oMAGNETEK, INC ........................ 427 12,700 oOAK INDUSTRIES, INC .................. 377 ----------- 86,363 ----------- ELECTRIC LIGHTING AND WIRING EQUIPMENT--0.02% 10,000 oCHICAGO MINIATURE LAMP, INC .......... 338 2,000 oHOLOPHANE CORP ....................... 50 9,500 THOMAS & BETTS CORP .................. 449 ----------- 837 ----------- ELECTRIC SERVICES--0.12% 106,000 oAES CORP ............................. 4,942 300 oCALENERGY, INC ....................... 9 4,000 OTTER TAIL POWER CO .................. 152 9,212 TEXAS UTILITIES CO ................... 383 8,800 oTUCSON ELECTRIC POWER CO ............. 160 ----------- 5,646 ----------- ELECTRICAL GOODS--0.43% 2,500 oACT MANUFACTURING, INC ............... 35 539,500 oARROW ELECTRONICS, INC ............... 17,500 50 oAVID TECHNOLOGIES, INC ............... 1 4,500 AVNET, INC ........................... 297 12,600 oCALIFORNIA AMPLIFIER, INC ............ 27 9,700 oCELLSTAR CORP ........................ 193 2,700 oCREE RESEARCH, INC ................... 51 9,565 oHSN, INC ............................. 493 26,100 oKENT ELECTRONICS CORP ................ 656 10,600 oOAK TECHNOLOGY, INC .................. 69 3,700 PIONEER-STANDARD ELECTRONICS, INC .... 56 11,100 oQUALCOMM, INC ........................ 561 24,600 oTOP SOURCE TECHNOLOGIES, INC ......... 31 ----------- 19,970 ----------- ELECTRICAL INDUSTRIAL APPARATUS--0.14% 99,200 oAMERICAN POWER CONVERSION CORP ....... 2,344 35,600 AMETEK, INC .......................... 961 28,200 EMERSON ELECTRIC CO .................. 1,592 11,875 oTHERMO ELECTRON CORP ................. 528 2,700 oUCAR INTERNATIONAL, INC .............. 108 VALUE SHARES (000) ------ ---------- 17,000 oVICOR CORP ........................... $ 461 11,480 oZOLTEK COS, INC ...................... 320 ----------- 6,314 ----------- ELECTRICAL WORK--0.00% 4,600 oMEMC ELECTRONIC MATERIALS, INC ....... 70 ----------- ELECTRONIC COMPONENTS AND ACCESSORIES--6.87% 14,220 oACTEL CORP ........................... 180 656,700 oADAPTEC, INC ......................... 24,380 2,500 oADE CORP ............................. 44 2,500 oADVANCED ENERGY INDUSTRIES, INC ...... 37 800 oADVANCED MICRO DEVICES, INC .......... 14 7,100 oALLIANCE SEMICONDUCTOR CORP .......... 32 507,900 oALTERA CORP .......................... 16,824 8,050 oALTRON, INC .......................... 107 35,000 AMP, INC ............................. 1,470 29,166 oANALOG DEVICES, INC .................. 808 46,100 oATMEL CORP ........................... 856 5,000 oATMI, INC ............................ 121 32,000 AVX CORP ............................. 590 4,200 oBERG ELECTRICS CORP .................. 96 7,840 oBLACK BOX CORP ....................... 277 15,400 BMC INDUSTRIES, INC .................. 248 15,000 oCHIPS & TECHNOLOGIES, INC ............ 217 31,625 oCOMPUTER PRODUCTS, INC ............... 716 9,500 oCYPRESS SEMICONDUCTOR CORP ........... 81 30,200 DALLAS SEMICONDUCTOR CORP ............ 1,231 25,700 oDII GROUP, INC ....................... 700 7,500 oELTRON INTERNATIONAL, INC ............ 227 5,950 oENERGY CONVERSION DEVICES, INC ....... 72 1,500 oESS TECHNOLOGY ....................... 11 3,500 oFEI CO ............................... 44 18,100 oGENERAL SEMICONDUCTOR, INC ........... 209 9,600 oHADCO CORP ........................... 434 15,900 oIMP, INC ............................. 11 7,400 oINTEGRATED DEVICE TECHNOLOGY, INC .... 70 1,913,400 INTEL CORP ........................... 134,416 6,900 oJABIL CIRCUIT, INC ................... 274 54,040 oKEMET CORP ........................... 1,047 20,140 oLATTICE SEMICONDUCTOR CORP ........... 954 26,260 oLEVEL ONE COMMUNICATIONS, INC ........ 742 633,600 LINEAR TECHNOLOGY CO ................. 36,511 10,800 oLSI LOGIC CORP ....................... 213 129,900 oMAXIM INTEGRATED PRODUCTS ............ 4,482 32,200 METHODE ELECTRONICS, INC (CLASS A) ... 523 835,400 oMICRON TECHNOLOGY, INC ............... 21,720 32,332 MOLEX, INC ........................... 1,039 1,600 oMRV COMMUNICATIONS, INC .............. 38 24,931 oNATIONAL SEMICONDUCTOR CORP .......... 647 6,600 oOBJECTIVE SYSTEMS INTEGRATORS, INC ... 55 6,400 oPLEXUS CORP .......................... 95 4,000 oPMC-SIERRA, INC ...................... 124 5,000 oRADISYS CORP ......................... 186 4,300 oRAMBUS, INC .......................... 197 7,200 oREAD RITE CORP ....................... 113 12,050 oS3, INC .............................. 60 8,000 oSANDISK CORP ......................... 163 22,540 oSANMINA CORP ......................... 1,527 1,500 oSAWTEK, INC .......................... 40 63,520 oSCI SYSTEMS, INC ..................... 2,767 6,100 oSDL, INC ............................. 88 4,000 oSEMITOOL, INC ........................ 52 1,500 oSEMTECH CORP ......................... 59 8,900 oSILICON VALLEY GROUP, INC ............ 201 6,400 oSIPEX CORP ........................... 194 See notes to financial statements. -67- GROWTH ACCOUNT (Continued) VALUE SHARES (000) ------ ---------- ELECTRONIC COMPONENTS AND ACCESSORIES-(Continued) 19,500 oSMART MODULAR TECHNOLOGIES, INC ...... $ 449 1,500 oSPEEDFAM INTERNATIONAL, INC .......... 40 5,500 oSUPERTEX, INC ........................ 60 6,400 TECHNITROL, INC ...................... 192 378,050 oTELLABS, INC ......................... 19,989 867,100 TEXAS INSTRUMENTS, INC ............... 39,020 5,400 oTRIDENT MICROSYSTEMS, INC ............ 49 35,100 oUNITRODE CORP ........................ 755 7,449 oVISHAY INTERTECHNOLOGY, INC .......... 176 10,000 oVISX, INC ............................ 221 24,175 oVITESSE SEMICONDUCTOR CORP ........... 913 22,900 oVLSI TECHNOLOGY, INC ................. 541 27,400 oXILINX, INC .......................... 961 ----------- 322,000 ----------- ENGINEERING AND ARCHITECTURAL SERVICES--0.00% 5,700 oJACOBS ENGINEERING GROUP, INC ........ 145 ----------- ENGINES AND TURBINES--0.02% 26,500 BRUNSWICK CORP ....................... 803 ----------- FABRICATED RUBBER PRODUCTS, NEC--0.01% 3,100 CARLISLE COS, INC .................... 133 2,500 oFOAMEX INTERNATIONAL, INC ............ 27 10,300 GENCORP, INC ......................... 258 ----------- 418 ----------- FABRICATED STRUCTURAL METAL PRODUCTS--0.01% 4,900 oGRIFFON CORP ......................... 72 200 oMILLER INDUSTRIES, INC ............... 2 7,260 oNCI BUILDING SYSTEMS, INC ............ 258 600 TRINITY INDUSTRIES, INC .............. 27 ----------- 359 ----------- FAMILY CLOTHING STORES--0.11% 1,200 oBUCKLE, INC .......................... 41 132,000 GAP, INC ............................. 4,678 300 NORDSTROM, INC ....................... 18 8,500 oSTAGE STORES, INC .................... 318 7,500 oSTEIN MART, INC ...................... 201 ----------- 5,256 ----------- FARM AND GARDEN MACHINERY--0.00% 9,150 ALLIED PRODUCTS CORP ................. 220 ----------- FARM-PRODUCT RAW MATERIALS--0.03% 53,100 DIMON, INC ........................... 1,394 ----------- FEDERAL AND FEDERALLY-SPONSORED CREDIT AGENCIES--1.17% 619,100 FEDERAL NATIONAL MORTGAGE ASSOCIATION ......................... 35,327 351,300 FREDDIE MAC .......................... 14,733 34,500 SLM HOLDING CORP ..................... 4,800 ----------- 54,860 ----------- FIRE, MARINE, AND CASUALTY INSURANCE--0.11% 700 oFOREMOST CORP OF AMERICA ............. 49 23,330 FRONTIER INSURANCE GROUP, INC ........ 534 42,500 HCC INSURANCE HOLDINGS, INC .......... 903 400 HSB GROUP, INC ....................... 22 300 oMARKEL CORP .......................... 47 26,000 PROGRESSIVE CORP ..................... 3,117 4,400 VESTA INSURANCE GROUP, INC ........... 261 ----------- 4,933 ----------- VALUE SHARES (000) ------ ---------- FLAT GLASS--0.03% 21,100 PPG INDUSTRIES, INC .................. $ 1,205 ----------- FOOTWEAR EXCEPT, RUBBER--0.02% 15,400 oNINE WEST GROUP, INC ................. 399 51,100 STRIDE RITE CORP ..................... 613 300 oTIMBERLAND CO ........................ 17 ----------- 1,029 ----------- FREIGHT TRANSPORTATION ARRANGEMENT--0.01% 11,800 EXPEDITORS INTERNATIONAL OF WASHINGTON .......................... 454 6,800 oFRITZ COS, INC ....................... 95 300 oKITTY HAWK, INC ...................... 6 ----------- 555 ----------- FUNERAL SERVICE AND CREMATORIES--0.15% 164,200 SERVICE CORP INTERNATIONAL ........... 6,065 15,800 STEWART ENTERPRISES, INC (CLASS A) ... 737 ----------- 6,802 ----------- FURNITURE AND HOMEFURNISHINGS STORES--0.08% 42,860 oBED BATH & BEYOND, INC ............... 1,650 6,500 oBOMBAY, INC .......................... 30 18,300 oGARDEN RIDGE CORP .................... 261 400 HEILIG MEYERS CO ..................... 5 3,000 oLINENS N THINGS, INC ................. 131 41,550 PIER 1 IMPORTS, INC .................. 940 22,200 oWILLIAMS-SONOMA, INC ................. 930 ----------- 3,947 ----------- GAS PRODUCTION AND DISTRIBUTION--0.03% 74,400 NGC CORP ............................. 1,302 2,600 SONAT, INC ........................... 119 ----------- 1,421 ----------- GENERAL INDUSTRIAL MACHINERY--3.29% 69,700 oCOLTEC INDUSTRIES, INC ............... 1,616 5,000 DT INDUSTRIES, INC ................... 170 20,200 oFIGGIE INTERNATIONAL, INC (CLASS A) .. 265 10,517 FLOWSERVE CORP ....................... 294 10,100 GRACO, INC ........................... 377 15,800 HELIX TECHNOLOGY CORP ................ 308 20,550 IDEX CORP ............................ 717 47,200 KAYDON CORP .......................... 1,540 1,500 oNN BALL & ROLLER, INC ................ 13 10,200 NORDSON CORP ......................... 468 9,850 PALL CORP ............................ 204 12,300 ROPER INDUSTRIES, INC ................ 347 51,500 SUNDSTRAND CORP ...................... 2,594 3,225,416 TYCO INTERNATIONAL LTD ............... 145,345 ----------- 154,258 ----------- GLASS AND GLASSWARE, PRESSED OR BLOWN--0.18% 76,600 CORNING, INC ......................... 2,844 15,200 LANCASTER COLONY CORP ................ 857 15,600 LIBBEY, INC .......................... 591 29,500 OWENS CORNING CO ..................... 1,007 59,700 oOWENS ILLINOIS, INC .................. 2,265 36,000 oSOLA INTERNATIONAL, INC .............. 1,170 ----------- 8,734 ----------- See notes to financial statements. -68- GROWTH ACCOUNT (Continued) VALUE SHARES (000) ------ ---------- GOLD AND SILVER ORES--0.35% 718,000 oEUOR-NEVADA MINING CORP .............. $ 9,708 53,104 FREEPORT MCMORAN COPPER & GOLD, INC (CLASS A) ................. 813 114,177 FREEPORT MCMORAN COPPER & GOLD, INC (CLASS B) ................. 1,798 1,100 oGETCHELL GOLD CORP ................... 26 500 HOMESTAKE MINING CO .................. 4 11,600 NEWMONT GOLD CO ...................... 346 116,346 NEWMONT MINING CORP .................. 3,418 177,400 oSUNSHINE MINING & REFINING CO ........ 177 ----------- 16,290 ----------- GRAIN MILL PRODUCTS--0.49% 80,400 CPC INTERNATIONAL, INC ............... 8,683 97,662 GENERAL MILLS, INC ................... 6,995 46,800 KELLOGG CO ........................... 2,322 23,600 QUAKER OATS CO ....................... 1,245 10,200 oRALCORP HOLDINGS, INC ................ 173 36,050 RALSTON PURINA CO .................... 3,350 ----------- 22,768 ----------- GROCERIES AND RELATED PRODUCTS--0.24% 16,188 EARTHGRAINS CO ....................... 761 56,150 FLOWERS INDUSTRIES, INC .............. 1,155 99,400 oGENERAL NUTRITION COS, INC ........... 3,380 11,500 oJP FOODSERVICE, INC .................. 425 63,200 RICHFOOD HOLDINGS, INC ............... 1,785 100 SMART & FINAL, INC ................... 2 27,525 oSUIZA FOODS CORP ..................... 1,639 49,400 SYSCO CORP ........................... 2,251 1,000 oUNITED NATURAL FOODS, INC ............ 26 ----------- 11,424 ----------- GROCERY STORES--0.44% 93,300 ALBERTSONS, INC ...................... 4,420 8,780 FOOD LION, INC (CLASS B) ............. 72 9,700 HANNAFORD BROTHERS, INC .............. 421 166,000 oKROGER CO ............................ 6,132 137,400 oSAFEWAY, INC ......................... 8,691 46,500 oSOUTHLAND CORP ....................... 99 16,300 oWHOLE FOODS MARKET, INC .............. 833 700 WINN DIXIE STORES, INC ............... 31 ----------- 20,699 ----------- GUIDED MISSILES, SPACE VEHICLES AND PARTS--0.01% 12,500 oORBITAL SCIENCES CORP ................ 372 ----------- HARDWARE, PLUMBING & HEATING EQUIPMENT--0.01% 16,070 FASTENAL CO .......................... 615 ----------- HEALTH AND ALLIED SERVICES, NEC--0.31% 5,850 oACCESS HEALTH, INC ................... 172 6,420 oAMERICAN HOMEPATIENT, INC ............ 151 15,750 oAMERICAN ONCOLOGY RESOURCES, INC ..... 252 900 oBUCKEYE TECHNOLOGIES, INC ............ 42 10,100 oEXPRESS SCRIPTS, INC ................. 606 193,140 oHEALTHSOUTH CORP ..................... 5,360 10,240 oLINCARE HOLDINGS, INC ................ 584 900 oMEDIQ, INC ........................... 10 6,700 oMID ATLANTIC MEDICAL SERVICES, INC ... 85 75,200 OMNICARE, INC ........................ 2,331 22,418 oPHARMERICA, INC ...................... 233 6,400 oPHP HEALTHCARE CORP .................. 96 6,900 oPRIME MEDICAL SERVICES, INC .......... 95 VALUE SHARES (000) ------ ---------- 33,100 oRENAL TREATMENT CENTERS, INC ......... $ 1,196 65,700 UNITED HEALTHCARE CORP ............... 3,264 ----------- 14,477 ----------- HEAVY CONSTRUCTION, EXCEPT HIGHWAY--0.03% 6,000 FLUOR CORP ........................... 224 66,020 oGLOBAL INDUSTRIES LTD ................ 1,122 ----------- 1,346 ----------- HOLDING OFFICES--0.04% 18,800 EVEREST REINSURANCE HOLDINGS, INC .... 776 400 oSEACOR SMIT, INC ..................... 24 30,000 SIGMA ALDRICH CORP ................... 1,193 ----------- 1,993 ----------- HOME HEALTH CARE SERVICES--0.01% 5,500 oAPRIA HEALTHCARE GROUP, INC .......... 74 36,500 oCORAM HEALTHCARE CORP ................ 123 14,000 oMATRIA HEALTHCARE, INC ............... 79 9,900 oMAXICARE HEALTH PLANS, INC ........... 108 ----------- 384 ----------- HORTICULTURAL SPECIALTIES--0.04% 17,700 PIONEER-HI-BRED INTERNATIONAL, INC ... 1,898 ----------- HOSE, BELTING, GASKETS AND PACKING--0.00% 3,200 WYNNS INTERNATIONAL, INC ............. 102 ----------- HOSPITALS--0.39% 277,730 COLUMBIA/HCA HEALTHCARE CORP ......... 8,228 76,268 oHEALTH MANAGEMENT ASSOCIATES, INC (CLASS A) ........................... 1,926 83,700 oHUMANA, INC .......................... 1,737 12,300 oPEDIATRIX MEDICAL GROUP, INC ......... 526 119,235 oTENET HEALTHCARE CORP ................ 3,950 34,300 oUNIVERSAL HEALTH SERVICES, INC ....... 1,728 4,500 oVENCOR, INC .......................... 110 ----------- 18,205 ----------- HOTELS AND MOTELS--0.57% 2,900 oCAPSTAR HOTEL CO ..................... 100 455,226 oCENDANT CORP ......................... 15,648 20,800 oCHOICE HOTELS INTERNATIONAL, INC ..... 333 200 oGRAND CASINOS, INC ................... 3 40,800 oHARRAHS ENTERTAINMENT, INC ........... 770 77,800 HILTON HOTELS CORP ................... 2,315 12,100 oHOST MARRIOTT CORP ................... 237 25,280 oHOST MARRIOTT SERVICES CORP .......... 376 65,600 LA QUINTA INNS, INC .................. 1,267 24,200 MARRIOTT INTERNATIONAL, INC .......... 1,676 14,800 oMGM GRAND, INC ....................... 534 6,600 oPRIMADONNA RESORTS, INC .............. 110 25,900 oPRIME HOSPITALITY CORP ............... 528 58,548 oPROMUS HOTEL CORP .................... 2,459 15,000 oSIGNATURE RESORTS, INC ............... 328 3,100 oSTATION CASINOS, INC ................. 32 6,933 oSUNBURST HOSPITALITY CORP ............ 68 300 oTRUMP HOTEL & CASINO RESORT, INC ..... 2 75 oWHG RESORTS & CASINO, INC ............ 2 ----------- 26,788 ----------- HOUSEHOLD APPLIANCE STORES--0.06% 63,000 SUNBEAM CORP ......................... 2,654 ----------- HOUSEHOLD APPLIANCES--4.84% 3,090,800 GENERAL ELECTRIC CO .................. 226,787 ----------- See notes to financial statements. -69- GROWTH ACCOUNT (Continued) VALUE SHARES (000) ------ ---------- HOUSEHOLD AUDIO AND VIDEO EQUIPMENT--0.01% 28,300 xoALLIANCE ENTERTAINMENT CORP .......... $ 1 12,400 oNIMBUS CD INTERNATIONAL, INC ......... 133 35,500 oZENITH ELECTRONICS CORP .............. 193 ----------- 327 ----------- HOUSEHOLD FURNITURE--0.03% 29,700 oFURNITURE BRANDS INTERNATIONAL, INC .. 609 22,700 LEGGETT & PLATT, INC ................. 951 ----------- 1,560 ----------- INDUSTRIAL INORGANIC CHEMICALS--0.90% 1,400 AIR PRODUCTS & CHEMICALS, INC ........ 115 16,900 oAIRGAS, INC .......................... 237 200 ALBEMARLE CORP ....................... 5 900 CALGON CARBON CORP ................... 10 108,550 ENGELHARD CORP ....................... 1,886 26,900 GEORGIA GULF CORP .................... 824 12,400 GRACE (W.R.) & CO .................... 997 1,200 MINERALS TECHNOLOGIES, INC ........... 55 2,600 oNL INDUSTRIES, INC ................... 35 844,300 PRAXAIR, INC ......................... 37,994 ----------- 42,158 ----------- INDUSTRIAL MACHINERY, NEC--0.00% 2,200 ROBBINS & MYERS, INC ................. 87 700 oUNOVA, INC ........................... 12 ----------- 99 ----------- INDUSTRIAL ORGANIC CHEMICALS--0.01% 4,300 oBIO-RAD LABORATORIES, INC (CLASS A) .. 112 3,400 CROMPTON & KNOWLES CORP .............. 90 59,300 ETHYL CORP ........................... 456 ----------- 658 ----------- INSURANCE AGENTS, BROKERS, AND SERVICE--0.08% 21,600 CRAWFORD & CO (CLASS B) .............. 441 12,400 GALLAGHER (ARTHUR J.) & CO ........... 427 37,400 MARSH & MCLENNAN COS, INC ............ 2,789 ----------- 3,657 ----------- INSURANCE CARRIERS, NEC--0.00% 800 WESTERN NATIONAL CORP ................ 24 ----------- IRON AND STEEL FOUNDRIES--0.00% 3,400 INTERMET CORP ........................ 60 ----------- JEWELRY, SILVERWARE, AND PLATED WARE--0.05% 35,000 JOSTENS, INC ......................... 807 41,300 TIFFANY & CO ......................... 1,489 ----------- 2,296 ----------- JOB TRAINING AND RELATED SERVICES--0.00% 1,800 oFIREARMS TRAINING SYSTEMS, INC ....... 9 ----------- KNITTING MILLS--0.01% 14,450 ST. JOHN KNITS, INC .................. 578 ----------- LANDSCAPE AND HORTICULTURAL SERVICES--0.01% 12,900 ROLLINS, INC ......................... 262 ----------- LAUNDRY, CLEANING, AND GARMENT SERVICES--0.03% 11,000 CINTAS CORP .......................... 429 14,050 G & K SERVICES, INC (CLASS A) ........ 590 19,300 UNIFIRST CORP ........................ 542 ----------- 1,561 ----------- VALUE SHARES (000) ------ ---------- LEATHER TANNING AND FINISHING--0.02% 37,050 WOLVERINE WORLD WIDE, INC ............ $ 838 ----------- LEGAL SERVICES--0.01% 7,400 oPREPAID LEGAL SERVICES, INC .......... 253 ----------- LIFE INSURANCE--0.65% 15,400 20TH CENTURY INDUSTRIES .............. 400 7,215 AETNA, INC ........................... 509 1,600 AMERICAN BANKERS INSURANCE GROUP, INC .......................... 74 70,350 AMERICAN INTERNATIONAL GROUP, INC .......................... 7,651 99,100 CONSECO, INC ......................... 4,503 2,800 HARTFORD LIFE, INC (CLASS A) ......... 127 9,150 oHIGHLANDS INSURANCE GROUP, INC ....... 260 500 PENNCORP FINANCIAL GROUP, INC ........ 18 4,600 PROTECTIVE LIFE CORP ................. 275 2,700 oPROVIDENT COS, INC ................... 104 7,100 REINSURANCE GROUP OF AMERICA, INC .... 302 4,000 RELIANCE GROUP HOLDINGS, INC ......... 57 107,550 SUNAMERICA, INC ...................... 4,598 210,700 TRAVELERS GROUP, INC ................. 11,351 1,500 UNUM CORP ............................ 82 ----------- 30,311 ----------- LUGGAGE--0.01% 16,900 oSAMSONITE CORP ....................... 534 ----------- LUMBER AND CONSTRUCTION MATERIALS--0.00% 1,000 oUNIVERSAL FOREST PRODUCTS, INC ....... 14 ----------- LUMBER AND OTHER BUILDING MATERIALS--0.74% 17,100 oEAGLE HARDWARE & GARDEN, INC ......... 331 469,925 HOME DEPOT, INC ...................... 27,667 141,700 LOWES COS, INC ....................... 6,757 ----------- 34,755 ----------- MACHINERY, EQUIPMENT, AND SUPPLIES--0.01% 5,750 APPLIED INDUSTRIAL TECHNOLOGIES, INC . 154 400 oAVIATION SALES CO .................... 15 100 oFAIRCHILD CORP (CLASS A) ............. 2 3,200 oHIRSCH INTERNATIONAL CORP (CLASS A) .. 70 ----------- 241 ----------- MAILING, REPRODUCTION AND STENOGRAPHIC SERVICES--0.01% 21,100 oADVO, INC ............................ 411 ----------- MANAGEMENT AND PUBLIC RELATIONS--0.04% 10,900 oABR INFORMATION SERVICES, INC ........ 260 9,300 BLOUNT INTERNATIONAL, INC ............ 248 8,400 oCORRECTIONS CORP OF AMERICA .......... 311 26,460 oGARTNER GROUP, INC (CLASS A) ......... 986 17,200 oMEDAPHIS CORP ........................ 112 1,000 oMETZLER GROUP, INC ................... 40 ----------- 1,957 ----------- MANIFOLD BUSINESS FORMS--0.01% 1,700 oNEW ENGLAND BUSINESS SERVICES, INC ... 57 800 STANDARD REGISTER, INC ............... 28 13,700 WALLACE COMPUTER SERVICES, INC ....... 533 ----------- 618 ----------- See notes to financial statements. -70- GROWTH ACCOUNT (Continued) VALUE SHARES (000) ------ ---------- MEASURING AND CONTROLLING DEVICES--0.62% 15,900 oALLEN TELECOM, INC ................... $ 293 4,300 oBURR BROWN CORP ...................... 138 28,900 oC-CUBE MICROSYSTEMS, INC ............. 471 9,300 oCELLPRO, INC ......................... 22 44,900 oCOGNEX CORP .......................... 1,224 6,000 COHU, INC ............................ 184 19,800 oCREDENCE SYSTEMS CORP ................ 587 9,600 oCYMER, INC ........................... 144 12,100 oDIONEX CORP .......................... 602 13,700 oELECTROGLAS, INC ..................... 211 2,300 FISHER SCIENTIFIC INTERNATIONAL, INC . 110 7,500 oGENRAD, INC .......................... 226 200 oHAEMONETICS CORP ..................... 3 95,600 HONEYWELL, INC ....................... 6,549 27,900 oINPUT/OUTPUT, INC .................... 828 9,100 oINTEGRATED CIRCUIT SYSTEMS, INC ...... 259 315,000 oKLA-TENCOR CORP ...................... 12,167 5,000 oLECROY CORP .......................... 151 11,200 oLTX CORP ............................. 50 8,700 MILLIPORE CORP ....................... 295 1,900 oPERCEPTRON, INC ...................... 41 1,000 PERKIN-ELMER CORP .................... 71 12,250 oROBOTIC VISION SYSTEMS, INC .......... 141 6,100 TEKTRONIX, INC ....................... 242 106,600 oTERADYNE, INC ........................ 3,411 3,480 oUNIPHASE CORP ........................ 144 3,000 oVEECO INSTRUMENTS, INC ............... 66 6,600 oWATERS CORP .......................... 248 6,400 X RITE, INC .......................... 117 1,700 oZYGO CORP ............................ 32 ----------- 29,027 ----------- MEAT PRODUCTS--0.21% 250,900 CONAGRA, INC ......................... 8,233 47,300 oSMITHFIELD FOODS, INC ................ 1,561 5,333 WORTHINGTON FOODS, INC ............... 75 ----------- 9,869 ----------- MEDICAL AND DENTAL LABORATORIES--0.00% 11,200 oEPITOPE, INC ......................... 56 2,350 oQUEST DIAGNOSTICS, INC ............... 40 ----------- 96 ----------- MEDICAL INSTRUMENTS AND SUPPLIES--3.46% 3,600 oACUSON CORP .......................... 60 18,300 oADAC LABORATORIES, INC ............... 361 72,500 oALZA CORP ............................ 2,306 12,540 ARROW INTERNATIONAL, INC ............. 464 39,000 oARTERIAL VASCULAR ENGINEERING, INC ... 2,535 11,650 oATL ULTRASOUND, INC .................. 536 27,200 BALLARD MEDICAL PRODUCTS CO .......... 660 100 BARD (C.R.), INC ..................... 3 115,700 BECTON DICKINSON & CO ................ 5,785 77,200 BIOMET, INC .......................... 1,978 32,115 oBOSTON SCIENTIFIC CORP ............... 1,473 524 oCARDIOVASULAR DYNAMICS, INC .......... 3 7,020 oCNS, INC ............................. 47 5,750 oCONMED CORP .......................... 151 15,200 oCYGNUS, INC .......................... 302 2,052,600 DENTSPLY INTERNATIONAL, INC .......... 62,604 4,500 DEPUY, INC ........................... 129 3,900 DIAGNOSTIC PRODUCTS CORP ............. 108 10,600 oENDOSONICS CORP ...................... 114 VALUE SHARES (000) ------ ---------- 710 oFRESENIUS MEDICAL CARE AG ADR ........ $ 15 61,462 GUIDANT CORP ......................... 3,826 1,000 oHEARTPORT, INC ....................... 20 7,300 oHOLOGIC, INC ......................... 151 11,800 oI-STAT CORP .......................... 187 44,400 oIMATRON, INC ......................... 103 12,600 INVACARE CORP ........................ 274 22,600 oISOLYSER CO, INC ..................... 53 828,676 JOHNSON & JOHNSON CO ................. 54,589 4,400 oLIFECORE BIOMEDICAL, INC ............. 96 2,500 oMARQUETTE MEDICAL SYSTEMS, INC (CLASS A) ........................... 67 231,600 MEDTRONIC, INC ....................... 12,116 6,200 MENTOR CORP .......................... 226 1,000 oMILLENNIUM PHARMACEUTICALS, INC ...... 19 500 oMINIMED, INC ......................... 19 4,600 oNORTHFIELD LABORATORIES, INC ......... 42 700 oOEC MEDICAL SYSTEMS, INC ............. 14 8,500 oPHYSIO-CONTROL INTERNATIONAL CORP .... 135 11,300 oPOSSIS MEDICAL, INC .................. 124 27,600 oRESPIRONICS, INC ..................... 618 18,100 oSAFESKIN CORP ........................ 1,027 2,000 oSOFAMOR DANEK GROUP, INC ............. 130 60,375 oST. JUDE MEDICAL, INC ................ 1,841 33,800 oSTERIS CORP .......................... 1,631 8,100 STRYKER CORP ......................... 302 13,400 oSUMMIT TECHNOLOGY, INC ............... 61 3,300 oSUNRISE MEDICAL, INC ................. 51 30,900 oSYBRON INTERNATIONAL CORP ............ 1,450 15,400 oTHERMEDICS, INC ...................... 252 700 oTREX MEDICAL CORP .................... 10 42,100 U.S. SURGICAL CORP ................... 1,234 10,300 oUROMED CORP .......................... 36 32,900 VARIAN ASSOCIATES, INC ............... 1,664 41,700 oVIVUS, INC ........................... 443 ----------- 162,445 ----------- MEDICAL SERVICE AND HEALTH INSURANCE--0.36% 73,900 AFLAC, INC ........................... 3,778 9,100 oCOMPDENT CORP ........................ 185 2,500 oCONCENTRA MANAGED CARE, INC .......... 84 7,700 oCOVENTRY CORP ........................ 117 34,120 oFOUNDATION HEALTH SYSTEMS (CLASS A) .. 763 32,000 oFPA MEDICAL MANAGEMENT, INC .......... 596 20,800 oOXFORD HEALTH PLANS, INC ............. 324 4,065 oPACIFICARE HEALTH SYSTEMS, INC (CLASS A) .......................... 204 143,534 oPACIFICARE HEALTH SYSTEMS, INC (CLASS B) .......................... 7,518 12,500 oPHYMATRIX CORP ....................... 197 88,190 oQUORUM HEALTH GROUP, INC ............. 2,304 14,700 oWELLPOINT HEALTH NETWORKS, INC ....... 621 ----------- 16,691 ----------- MEN'S AND BOYS' CLOTHING STORES--0.02% 3,700 oABERCROMBIE & FITCH CO (CLASS A) ..... 116 8,200 oMENS WAREHOUSE, INC .................. 285 17,950 oPACIFIC SUNWEAR CALIFORNIA, INC ...... 531 ----------- 932 ----------- MEN'S AND BOYS' FURNISHINGS--0.05% 7,900 AUTHENTIC FITNESS CORP ............... 146 16,900 oFRUIT OF THE LOOM, INC (CLASS A) ..... 433 600 oGUESS ?, INC ......................... 4 See notes to financial statements. -71- GROWTH ACCOUNT (Continued) VALUE SHARES (000) ------ ---------- MEN'S AND BOYS' FURNISHINGS-(Continued) 3,600 oQUIKSILVER, INC ...................... $ 103 700 oUNITOG CO ............................ 16 45,600 WARNACO GROUP, INC (CLASS A) ......... 1,431 ----------- 2,133 ----------- METAL CANS AND SHIPPING CONTAINERS--0.02% 1,700 CLARCOR, INC ......................... 50 21,950 CROWN CORK & SEAL CO, INC ............ 1,100 500 oSILGAN HOLDINGS, INC ................. 16 ----------- 1,166 ----------- METAL FORGINGS AND STAMPINGS--0.02% 9,500 oHEXCEL CORP .......................... 237 19,300 MASCOTECH, INC ....................... 355 25,700 oWYMAN-GORDON CO ...................... 504 ----------- 1,096 ----------- METAL SERVICES, NEC--0.00% 100 oMATERIAL SCIENCES CORP ............... 1 ----------- METALWORKING MACHINERY--0.00% 750 CINCINNATI MILACRON, INC ............. 19 52 KENNAMETAL, INC ...................... 3 7,200 xoMOLTEN METAL TECHNOLOGY, INC ......... 1 ----------- 23 ----------- MILLWORK, PLYWOOD AND STRUCTURAL MEMBERS--0.00% 600 oTRIANGLE PACIFIC CORP ................ 20 ----------- MISCELLANEOUS AMUSEMENT, RECREATION SERVICES--1.93% 8,340 oANCHOR GAMING CO ..................... 465 8,400 oBOYD GAMING CORP ..................... 56 1,580,800 CARNIVAL CORP (CLASS A) .............. 87,537 69,100 oCIRCUS CIRCUS ENTERPRISES, INC ....... 1,417 44,900 oMIRAGE RESORT, INC ................... 1,021 8,800 oSCIENTIFIC GAMES HOLDINGS CORP ....... 178 ----------- 90,674 ----------- MISCELLANEOUS APPAREL AND ACCESSORY STORES--0.14% 14,300 oCML GROUP, INC ....................... 47 7,300 oNORTH FACE, INC ...................... 161 184,700 TJX COS, INC ......................... 6,349 ----------- 6,557 ----------- MISCELLANEOUS APPAREL AND ACCESSORIES--0.02% 44,700 oNAUTICA ENTERPRISES, INC ............. 1,039 ----------- MISCELLANEOUS BUSINESS SERVICES--0.21% 500 oAPAC TELESERVICES, INC ............... 7 1,100 oBORG-WARNER SECURITY CORP ............ 19 9,000 oCARIBINER INTERNATIONAL, INC ......... 401 30,160 oCHECKFREE CORP ....................... 814 60,100 EQUIFAX, INC ......................... 2,130 12,800 oEXECUTIVE TELECARD LTD ............... 30 6,500 FAIR ISSAC & CO, INC ................. 217 34,600 oHEALTHCARE COMPARE CO ................ 1,769 3,300 oINTERMEDIA COMMUNICATIONS, INC ....... 200 24,400 oMETROMEDIA INTERNATIONAL GROUP, INC .. 232 38,800 oPAGING NETWORK, INC .................. 417 33,300 PITTSTON BRINKS GROUP CO ............. 1,340 VALUE SHARES (000) ------ ---------- 20,000 oPLAYERS INTERNATIONAL, INC ........... $ 64 3,500 oSEATTLE FILMWORKS, INC ............... 39 61,300 SOTHEBYS HOLDINGS, INC (CLASS A) ..... 1,134 9,450 oSYLVAN LEARNING SYSTEMS, INC ......... 369 15,300 VIAD CORP ............................ 295 12,500 WACKENHUT CORP SERIES A .............. 290 ----------- 9,767 ----------- MISCELLANEOUS CHEMICAL PRODUCTS--0.17% 600 BETZDEARBORN, INC .................... 37 27,100 CABOT CORP ........................... 749 61,600 oCYTEC INDUSTRIES, INC ................ 2,891 35,000 MORTON INTERNATIONAL, INC ............ 1,203 25,300 oSCHERER (R.P.) CORP .................. 1,543 24,900 oSMITH INTERNATIONAL, INC ............. 1,528 ----------- 7,951 ----------- MISCELLANEOUS CONVERTED PAPER PRODUCTS--0.46% 1,200 oAMERICAN PAD & PAPER CO .............. 12 6,350 AVERY DENNISON CORP .................. 284 2,900 BEMIS, INC ........................... 128 14,600 FIRST BRANDS CORP .................... 393 81,356 FORT JAMES CORP ...................... 3,112 328,956 KIMBERLY-CLARK CORP .................. 16,222 9,200 oMAIL-WELL, INC ....................... 373 34,325 oPAXAR CORP ........................... 508 16,600 oSHOREWOOD PACKAGING CORP ............. 444 7,245 SONOCO PRODUCTS CO ................... 251 ----------- 21,727 ----------- MISCELLANEOUS DURABLE GOODS--0.07% 77,400 oCOSTCO COS, INC ...................... 3,454 ----------- MISCELLANEOUS ELECTRICAL EQUIPMENT AND SUPPLIES--0.02% 3,500 C&D TECHNOLOGIES, INC ................ 169 6,700 oELECTRO SCIENTIFIC INDUSTRIES, INC ... 255 100 EXIDE CORP ........................... 3 900 oHUTCHINSON TECHNOLOGY, INC ........... 20 19,750 oKOMAG, INC ........................... 294 ----------- 741 ----------- MISCELLANEOUS EQUIPMENT RENTAL AND LEASING--0.02% 22,600 oANIXTER INTERNATIONAL, INC ........... 373 1,200 oCORT BUSINESS SERVICES CORP .......... 48 10,100 oRENTAL SERVICE CORP .................. 248 2,600 oUS RENTALS, INC ...................... 61 ----------- 730 ----------- MISCELLANEOUS FABRICATED METAL PRODUCTS--0.04% 4,400 oBARNES GROUP, INC .................... 100 19,750 CRANE CO ............................. 857 23,200 POLARIS INDUSTRIES, INC .............. 709 700 oSHAW GROUP, INC ...................... 16 ----------- 1,682 ----------- MISCELLANEOUS FOOD AND KINDRED PRODUCTS--0.01% 14,500 MCCORMICK & CO, INC (NON-VOTE) ....... 406 ----------- MISCELLANEOUS FOOD STORES--0.03% 17,500 NATURES SUNSHINE PRODUCTS, INC ....... 455 21,900 oSTARBUCKS CORP ....................... 840 ----------- 1,295 ----------- See notes to financial statements. -72- GROWTH ACCOUNT (Continued) VALUE SHARES (000) ------ ---------- MISCELLANEOUS GENERAL MERCHANDISE STORES--0.02% 21,800 CASEYS GENERAL STORES, INC ........... $ 553 16,090 DOLLAR GENERAL CORP .................. 583 ----------- 1,136 ----------- MISCELLANEOUS INVESTING--0.13% 2,000 ASSOCIATED ESTATES REALTY CORP ....... 47 4,200 CARRAMERICA REALTY CORP .............. 133 100 oCORNERSTONE PROPERTIES, INC .......... 2 2,200 COUSINS PROPERTIES, INC .............. 64 9,200 DEVELOPERS DIVERSIFIED REALTY CORP ... 352 2,500 FEDERAL REALTY INVESTMENT TRUST ...... 64 21,600 GENERAL GROWTH PROPERTIES, INC ....... 780 500 GREAT LAKES REIT, INC ................ 10 21,600 HEALTH CARE PROPERTY INVESTORS, INC .. 817 1,100 JP REALTY, INC ....................... 29 3,500 KIMCO REALTY CORP .................... 123 35,747 MILLS CORP ........................... 876 100 NATIONAL HEALTH INVESTORS, INC ....... 4 1,400 PENNSYLVANIA REAL ESTATE INVESTMENT TRUST ................... 34 12,500 RECKSON ASSOCIATES REALTY CORP ....... 317 12,800 REDWOOD TRUST, INC ................... 261 5,764 SIMON DEBARTOLO GROUP, INC ........... 188 2,100 SPIEKER PROPERTIES, INC .............. 90 3,700 TOWN & COUNTRY TRUST ................. 65 31,800 VORNADO REALTY TRUST ................. 1,493 20,300 WASHINGTON REAL ESTATE INVESTMENT TRUST ..................... 340 ----------- 6,089 ----------- MISCELLANEOUS MANUFACTURES--0.04% 3,300 ARMSTRONG WORLD INDUSTRIES, INC ...... 247 30,050 oBLYTH INDUSTRIES, INC ................ 900 10,000 INTERNATIONAL GAME TECHNOLOGY CO ..... 253 16,800 oLYDALL, INC .......................... 328 8,000 oWMS INDUSTRIES, INC .................. 169 ----------- 1,897 ----------- MISCELLANEOUS METAL ORES--0.00% 7,400 oSTILLWATER MINING CO ................. 124 ----------- MISCELLANEOUS NONMETALLIC MINERAL PRODUCTS--0.17% 97,100 MINNESOTA MINING & MANUFACTURING CO .................... 7,968 ----------- MISCELLANEOUS NONMETALLIC MINERALS--0.00% 18,100 JOHNS MANVILLE CORP .................. 182 ----------- MISCELLANEOUS PERSONAL SERVICES--0.03% 34,900 BLOCK (H&R), INC ..................... 1,564 200 oTHERMOLASE CORP ...................... 2 ----------- 1,566 ----------- MISCELLANEOUS PETROLEUM AND COAL PRODUCTS--0.01% 3,284 oTEXACO, INC .......................... 179 1,000 oWD-40 CO ............................. 29 5,900 WITCO CORP ........................... 241 ----------- 449 ----------- MISCELLANEOUS PLASTICS PRODUCTS, NEC--0.63% 2,200 APTARGROUP, INC ...................... 122 9,600 oFURON CO ............................. 200 406,250 MONSANTO CO .......................... 17,063 115,700 RAYCHEM CORP ......................... 4,982 VALUE SHARES (000) ------ ---------- 54,800 RUBBERMAID, INC ...................... $ 1,370 2,325 SCHULMAN (A.), INC ................... 58 14,300 oSEALED AIR CORP ...................... 883 63,890 SOLUTIA, INC ......................... 1,705 8,600 SPARTECH CORP ........................ 130 20,500 oSYNETIC, INC ......................... 748 2,100 TREDEGAR INDUSTRIES, INC ............. 138 76,400 TUPPERWARE CORP ...................... 2,130 ----------- 29,529 ----------- MISCELLANEOUS PRIMARY METAL PRODUCTS--0.00% 500 oSPECIAL METALS CORP .................. 9 ----------- MISCELLANEOUS REPAIR SHOPS--0.00% 2,600 oSERVICE EXPERTS, INC ................. 74 ----------- MISCELLANEOUS SHOPPING GOOD STORES--0.15% 5,400 oBARNES & NOBLE, INC .................. 180 56,000 oBORDERS GROUP, INC ................... 1,754 5,600 HANCOCK FABRICS, INC ................. 81 18,600 oJUMBOSPORTS, INC ..................... 28 138,750 oOFFICE DEPOT, INC .................... 3,321 86,000 oOFFICEMAX, INC ....................... 1,226 24,550 oTHE SPORTS AUTHORITY, INC ............ 362 185 oTOYS R US, INC ....................... 6 2,200 oZALE CORP ............................ 51 ----------- 7,009 ----------- MISCELLANEOUS SPECIAL TRADE CONTRACTORS--0.00% 6,600 xoAMRE, INC ............................ 0 ----------- MISCELLANEOUS TEXTILE GOODS--0.00% 8,500 oPOLYMER GROUP, INC ................... 81 ----------- MISCELLANEOUS TRANSPORTATION EQUIPMENT--0.00% 5,400 ARCTIC CAT, INC ...................... 52 ----------- MOBILE HOME DEALERS--0.04% 56,700 OAKWOOD HOMES CORP ................... 1,882 ----------- MORTGAGE BANKERS AND BROKERS--0.10% 7,600 AAMES FINANCIAL CORP ................. 98 2,400 oCONTIFINANCIAL CORP .................. 60 68 COUNTRYWIDE CREDIT INDUSTRIES, INC ... 3 1,300 oDELTA FINANCIAL CORP ................. 17 84 FIRST UNION CORP ..................... 4 139,200 GREEN TREE FINANCIAL CORP ............ 3,645 2,500 oIMC MORTGAGE CO ...................... 30 20,300 oIMPERIAL CREDIT INDUSTRIES, INC ...... 416 5,600 PMI GROUP, INC ....................... 405 2,400 oSOUTHERN PACIFIC FUNDING CORP ........ 32 900 UNITED COS FINANCIAL CORP ............ 14 ----------- 4,724 ----------- MOTION PICTURE PRODUCTION AND SERVICES--0.88% 43,400 oAMERICAN MEDIA, INC (CLASS A) ........ 336 394,070 DISNEY (WALT) CO ..................... 39,038 58,475 oLIBERTY MEDIA GROUP (CLASS A) ........ 2,120 ----------- 41,494 ----------- MOTION PICTURE THEATERS--0.02% 7,150 HARCOURT GENERAL, INC ................ 391 400 oMOVIE GALLERY, INC ................... 1 15,950 oREGAL CINEMAS, INC ................... 445 ----------- 837 ----------- See notes to financial statements. -73- GROWTH ACCOUNT (Continued) VALUE SHARES (000) ------ ---------- MOTOR VEHICLES AND EQUIPMENT--0.15% 19,948 AUTOLIV, INC ......................... $ 653 3,100 COACHMEN INDUSTRIES, INC ............. 67 19,400 DANAHER CORP ......................... 1,225 3,200 ECHLIN, INC .......................... 116 39,300 ILLINOIS TOOL WORKS, INC ............. 2,363 38,200 oLEAR CORP ............................ 1,815 4,200 MODINE MANUFACTURING CO .............. 143 9,200 REGAL-BELOIT CORP .................... 272 9,300 SUPERIOR INDUSTRIES INTERNATIONAL, INC .................. 249 12,100 WABASH NATIONAL CORP ................. 344 ----------- 7,247 ----------- MOTORCYCLES, BICYCLES, AND PARTS--0.46% 779,800 HARLEY DAVIDSON, INC ................. 21,347 ----------- NATURAL GAS LIQUIDS--0.01% 8,000 oTEJAS GAS CORP ....................... 490 ----------- NEW AND USED CAR DEALERS--0.09% 140,000 oAUTOZONE, INC ........................ 4,060 1,000 oUGLY DUCKLING CORP ................... 9 ----------- 4,069 ----------- NEWSPAPERS--0.39% 7,200 BELO (A.H.) CORP SERIES A ............ 404 1,100 CENTRAL NEWSPAPERS, INC (CLASS A) .... 81 136,000 GANNETT CO, INC ...................... 8,407 16,200 HARTE-HANKS COMMUNICATIONS, INC ...... 601 33,100 oJOURNAL REGISTER CO .................. 695 34,200 LEE ENTERPRISES, INC ................. 1,011 4,550 NEW YORK TIMES CO (CLASS A) .......... 301 34,313 NEWS CORP LTD ADR (LTD-VOTE) ......... 682 800 PULITZER PUBLISHING CO ............... 50 2,300 SCRIPPS (E.W.) CO (CLASS A) .......... 111 6,400 TIMES MIRROR CO SERIES A ............. 394 88,800 TRIBUNE CO ........................... 5,528 200 WASHINGTON POST CO (CLASS B) ......... 97 ----------- 18,362 ----------- NONFERROUS FOUNDRIES (CASTINGS)--0.01% 11,600 STANDEX INTERNATIONAL CORP ........... 409 ----------- NONFERROUS ROLLING AND DRAWING--0.05% 3,125 oAFC CABLE SYSTEMS, INC ............... 93 6,400 BELDEN, INC .......................... 226 5,050 oCABLE DESIGN TECHNOLOGIES CO ......... 196 700 oCHASE INDUSTRIES, INC ................ 18 29,633 oCOMMSCOPE, INC ....................... 398 4,800 oENCORE WIRE CORP ..................... 147 8,800 oESSEX INTERNATIONAL, INC ............. 262 14,000 oGENERAL CABLE CORP ................... 507 200 oMUELLER INDUSTRIES, INC .............. 12 1,000 oOREGON METALLURICAL CORP ............. 33 16,800 oRMI TITANIUM CO ...................... 336 1,900 oWOLVERINE TUBE, INC .................. 59 ----------- 2,287 ----------- NONSTORE RETAILERS--0.24% 7,400 oBRYLANE, INC ......................... 364 8,230 oCDW COMPUTER CENTERS, INC ............ 429 6,000 oCHRONIMED, INC ....................... 73 16,300 oGLOBAL DIRECTMAIL CORP ............... 282 13,400 oLANDS END, INC ....................... 470 10,300 oMICRO WAREHOUSE, INC ................. 144 VALUE SHARES (000) ------ --------- 12,600 oNATIONAL MEDIA CORP .................. $ 41 199,100 SEARS ROEBUCK & CO ................... 9,009 28,300 oVIKING OFFICE PRODUCTS, INC .......... 617 ----------- 11,429 ----------- NURSING AND PERSONAL CARE FACILITIES--0.03% 16,300 oBEVERLY ENTERPRISES, INC ............. 212 6,950 oGENESIS HEALTH VENTURES, INC ......... 183 13,600 oHEALTH CARE & RETIREMENT CORP ........ 547 3,828 oLCA-VISION, INC ...................... 4 15,200 MANOR CARE, INC ...................... 532 600 oMARINER HEALTH GROUP, INC ............ 10 4,584 oPARAGON HEALTH NETWORK, INC .......... 90 ----------- 1,578 ----------- OFFICE FURNITURE--0.04% 15,400 HON INDUSTRIES, INC .................. 909 7,800 oKNOLL, INC ........................... 251 25,050 U.S. INDUSTRIES, INC ................. 755 ----------- 1,915 ----------- OFFICES AND CLINICS OF MEDICAL DOCTORS--0.04% 4,300 oINTEGRATED SILICON SOLUTION, INC ..... 33 7,300 oMAGELLAN HEALTH SERVICES, INC ........ 157 7,200 oNATIONAL SURGERY CENTERS, INC ........ 189 23,450 oPHYCOR, INC .......................... 633 35,450 oPHYSICIAN SALES & SERVICE, INC ....... 762 3,400 oPHYSICIANS RESOURCE GROUP, INC ....... 15 1,400 oSIERRA HEALTH SERVICES, INC .......... 47 ----------- 1,836 ----------- OFFICES AND CLINICS OF DENTISTS--0.00% 10,700 oORTHODONTIC CENTERS OF AMERICA, INC .. 178 ----------- OFFICES OF OTHER HEALTH PRACTITIONERS--0.00% 7,700 oPHYSICIAN RELIANCE NETWORK, INC ...... 80 ----------- OIL AND GAS EXTRACTION--1.23% 4,000 ANADARKO PETROLEUM CORP .............. 243 1,249,000 APACHE CORP .......................... 43,793 7,300 oBARNETT RESOURCES CORP ............... 221 900 BERRY PETROLEUM CO (CLASS A) ......... 16 27,072 BURLINGTON RESOURCES, INC ............ 1,213 20,100 CHESAPEAKE ENERGY CORP ............... 152 6,150 CROSS TIMBERS OIL CO ................. 153 16,300 DEVON ENERGY CORP .................... 628 645 oEEX CORP ............................. 6 42,000 ENRON OIL & GAS CO ................... 890 8,800 KCS ENERGY, INC ...................... 183 23,300 oNEWFIELD EXPLORATION CO .............. 543 7,400 NOBLE AFFILIATES, INC ................ 261 8,900 oNUEVO ENERGY CO ...................... 363 1,400 oPIONEER NATURAL RESOURCES CO ......... 41 1,900 POGO PRODUCING CO .................... 56 2,548 oSEAGULL ENERGY CORP .................. 53 12,500 ST MARY LAND & EXPLORATION CO ........ 438 7,100 oSTONE ENERGY CORP .................... 238 6,815 oSWIFT ENERGY CO ...................... 144 222,389 UNION PACIFIC RESOURCES GROUP, INC ... 5,393 55,200 UNION TEXAS PETROLEUM HOLDINGS, INC .. 1,149 22,800 oUNIT CORP ............................ 219 14,900 VASTAR RESOURCES, INC ................ 533 40,000 VINTAGE PETROLEUM, INC ............... 760 ----------- 57,689 ----------- See notes to financial statements. -74- GROWTH ACCOUNT (Continued) VALUE SHARES (000) ------ ---------- OIL AND GAS FIELD SERVICES--1.49% 2,800 oBENTON OIL & GAS CO .................. $ 36 32,300 oBJ SERVICES CO ....................... 2,324 824,900 DIAMOND OFFSHORE DRILLING, INC ....... 39,698 163,900 ENSCO INTERNATIONAL, INC ............. 5,491 25,300 oFALCON DRILLING CO, INC .............. 887 96,600 oGLOBAL MARINE, INC ................... 2,367 104,802 HALLIBURTON CO ....................... 5,443 5,000 oKEY ENERGY GROUP, INC ................ 108 6,900 LOMAK PETROLEUM, INC ................. 112 50,040 oMARINE DRILLING CO, INC .............. 1,038 36,500 oNABORS INDUSTRIES, INC ............... 1,147 3,600 oNEWPARK RESOURCES, INC ............... 63 22,100 oNOBLE DRILLING CORP .................. 677 1,200 oOCEAN ENERGY, INC .................... 59 7,600 oOCEANEERING INTERNATIONAL, INC ....... 150 7,400 oPATTERSON ENERGY, INC ................ 286 30,200 oPRIDE INTERNATIONAL, INC ............. 763 7,300 oREADING & BATES CORP ................. 306 112,100 oROWAN COS, INC ....................... 3,419 51,700 TRANSOCEAN OFFSHORE, INC ............. 2,491 21,700 oTUBOSCOPE, INC ....................... 522 2,700 oUNITED MERIDIAN CORP ................. 76 22,600 oVERITAS DGC, INC ..................... 893 33,500 oWEATHERFORD ENTERRA, INC ............. 1,466 700 oWESTERN ATLAS, INC ................... 52 ----------- 69,874 ----------- OPERATIVE BUILDERS--0.07% 18,600 oFAIRFIELD COMMUNITIES, INC ........... 823 48,200 HILLENBRAND INDUSTRIES, INC .......... 2,467 2,200 LENNAR CORP .......................... 47 ----------- 3,337 ----------- OPHTHALMIC GOODS--0.03% 21,000 oCOLE NATIONAL CORP (CLASS A) ......... 629 15,800 oCOOPER COS, INC ...................... 646 ----------- 1,275 ----------- ORDNANCE AND ACCESSORIES, NEC--0.02% 4,000 oALLIANT TECHSYSTEMS, INC ............. 223 6,600 oCOLEMAN CO, INC ...................... 106 22,100 STRUM, RUGER & CO, INC ............... 407 ----------- 736 ----------- PAINT, GLASS, AND WALLPAPER STORES--0.00% 17,900 APOGEE ENTERPRISES, INC .............. 213 ----------- PAINTS AND ALLIED PRODUCTS--0.02% 1,600 FERRO CORP ........................... 39 4,200 LILLY INDUSTRIES, INC (CLASS A) ...... 87 17,762 RPM, INC ............................. 271 14,000 VALSPAR CORP ......................... 446 ----------- 843 ----------- PAPER AND PAPER PRODUCTS--0.19% 11,000 oBOISE CASCADE OFFICE PRODUCTS CORP ... 164 51,970 oCORPORATE EXPRESS, INC ............... 669 93,600 IKON OFFICE SOLUTIONS, INC ........... 2,633 89,140 oSTAPLES, INC ......................... 2,474 118,350 oU.S. OFFICE PRODUCTS CO .............. 2,323 10,600 oUNITED STATIONERS, INC ............... 510 ----------- 8,773 ----------- VALUE SHARES (000) ------ --------- PAPER MILLS--0.02% 16,760 SCHWEITZER-MAUDUIT INTERNATIONAL, INC ................. $ 624 9,710 WAUSAU-MOSINEE PAPER CORP ............ 195 ----------- 819 ----------- PAPERBOARD CONTAINERS AND BOXES--0.00% 100 oACX TECHNOLOGIES, INC ................ 2 27,900 oGAYLORD CONTAINER CO ................. 160 ----------- 162 ----------- PAPERBOARD MILLS--0.02% 17,600 CARAUSTAR INDUSTRIES, INC ............ 603 7,300 oJEFFERSON SMURFIT CORP ............... 103 ----------- 706 ----------- PASSENGER TRANSPORTATION ARRANGEMENT--0.39% 206,400 AMERICAN EXPRESS CO .................. 18,421 8,850 oMESA AIR GROUP, INC .................. 44 ----------- 18,465 ----------- PERIODICALS--0.19% 13,100 xoMARVEL ENTERTAINMENT GROUP, INC....... 7 12,500 MEREDITH CORP ........................ 446 16,300 oPLAYBOY ENTERPRISES, INC (CLASS B) ... 256 76,900 oPRIMEDIA, INC ........................ 971 32,500 READER'S DIGEST ASSOCIATION, INC (CLASS A) (NON-VOTE) ............... 768 106,604 TIME WARNER, INC ..................... 6,609 2,700 oWORLD COLOR PRESS, INC ............... 72 ----------- 9,129 ----------- PERSONAL CREDIT INSTITUTIONS--0.21% 22,600 ADVANTA CORP (CLASS A) ............... 593 43,300 oAMERICREDIT CORP ..................... 1,199 20,300 oCREDIT ACCEPTANCE CORP ............... 157 30,000 oFIRSTPLUS FINANCIAL GROUP, INC ....... 1,151 45,845 HOUSEHOLD INTERNATIONAL, INC ......... 5,848 79,650 oMERCURY FINANCE CO ................... 50 49,850 THE MONEY STORE, INC ................. 1,047 ----------- 10,045 ----------- PERSONNEL SUPPLY SERVICES--0.35% 128,099 oACCUSTAFF, INC ....................... 2,946 11,600 oALTERNATIVE RESOURCES CORP ........... 268 900 oCDI CORP ............................. 41 13,500 oEMPLOYEE SOLUTIONS, INC .............. 58 12,600 oINTERIM SERVICES, INC ................ 326 3,680 KELLY SERVICES, INC (CLASS A) ........ 110 42,600 MANPOWER, INC ........................ 1,502 160,500 NEWELL COS, INC ...................... 6,821 18,900 NORRELL CORP ......................... 376 15,498 OLSTEN CORP .......................... 232 7,400 oREGISTRY, INC ........................ 339 75,150 oROBERT HALF INTERNATIONAL, INC ....... 3,006 5,000 oROMAC INTERNATIONAL,INC .............. 122 3,600 oSOURCE SERVICES CORP ................. 78 7,500 oSTAFFMARK, INC ....................... 237 ----------- 16,462 ----------- PETROLEUM AND PETROLEUM PRODUCTS--0.05% 52,500 ENRON CORP ........................... 2,182 3,300 LYONDELL PETROCHEMICAL CO ............ 87 7,600 oNATIONAL-OILWELL, INC ................ 260 ----------- 2,529 ----------- See notes to financial statements. -75- GROWTH ACCOUNT (Continued) VALUE SHARES (000) ------ ---------- PETROLEUM REFINING--0.13% 76,800 TOSCO CORP ........................... $ 2,904 78,311 UNOCAL CORP .......................... 3,039 4,000 VALERO ENERGY CORP ................... 126 ----------- 6,069 ----------- PHOTOGRAPHIC EQUIPMENT AND SUPPLIES--0.34% 79,800 EASTMAN KODAK CO ..................... 4,853 150,650 XEROX CORP ........................... 11,120 ----------- 15,973 ----------- PLASTICS MATERIALS AND SYNTHETICS--0.27% 4,000 oCARBIDE/GRAPHITE GROUP, INC .......... 135 106,200 DU PONT (E.I.) DE NEMOURS & CO ....... 6,379 116,900 HERCULES, INC ........................ 5,852 7,950 oMCWHORTER TECHNOLOGIES, INC .......... 205 ----------- 12,571 ----------- PLUMBING AND HEATING, EXCEPT ELECTRIC--0.03% 18,900 MASCO CORP ........................... 962 31,800 ROHN INDUSTRIES, INC ................. 164 ----------- 1,126 ----------- PLUMBING, HEATING, AIR-CONDITIONING--0.00% 8,100 oAMERICAN RESIDENTIAL SERVICES, INC ... 127 ----------- POULTRY AND EGGS--0.01% 28,350 TYSON FOODS, INC ..................... 581 ----------- PRESERVED FRUITS AND VEGETABLES--0.49% 107,400 CAMPBELL SOUP CO ..................... 6,243 30,100 DOLE FOOD, INC ....................... 1,377 126,100 HEINZ (H.J.) CO ...................... 6,407 150 RJR NABISCO HOLDINGS CORP ............ 6 136,200 SARA LEE CORP ........................ 7,670 49,000 WHITMAN CORP ......................... 1,277 ----------- 22,980 ----------- PRIMARY NONFERROUS METALS--0.05% 29,000 PRECISION CAST PARTS CORP ............ 1,749 18,900 oTITANIUM METALS CORP ................. 546 ----------- 2,295 ----------- PRODUCERS, ORCHESTRAS, ENTERTAINERS--0.40% 502,500 oWESTWOOD ONE, INC .................... 18,655 ----------- PRODUCTS OF PURCHASED GLASS--0.02% 40,800 oGENTEX CORP .......................... 1,097 ----------- PROFESSIONAL AND COMMERCIAL EQUIPMENT--0.10% 38,000 oCHS ELECTRONICS, INC ................. 651 25,100 oGRAHAM-FIELD HEALTH PRODUCTS, INC .... 419 13,700 oGULF SOUTH MEDICAL SUPPLY, INC ....... 510 22,500 oINGRAM MICRO, INC (CLASS A) .......... 655 29,550 OWENS & MINOR, INC ................... 428 15,800 oPATTERSON DENTAL CO .................. 715 36,900 oTECH DATA CORP ....................... 1,434 6,200 oWONDERWARE CORP ...................... 88 ----------- 4,900 ----------- VALUE SHARES (000) ------ --------- RADIO AND TELEVISION BROADCASTING--0.71% 11,500 oCHANCELLOR MEDIA CORP (CLASS A) ...... $ 858 17,500 oCLEAR CHANNEL COMMUNICATIONS, INC .... 1,390 631,900 oCOX RADIO, INC (CLASS A) ............. 25,434 1,800 oEMMIS BROADCASTING CORP (CLASS A) .... 82 10,740 GAYLORD ENTERTAINMENT CO ............. 343 3,600 oJACOR COMMUNICATIONS, INC ............ 191 5,000 oJACOR COMMUNICATIONS, INC WTS 09/18/01 ........................ 31 14,100 oLIN TELEVISION CORP .................. 768 5,900 UNITED TELEVISION, INC ............... 613 19,500 oVALUEVISION INTERNATIONAL, INC ....... 74 12,196 oVIACOM, INC (CLASS A) ................ 499 70,087 oVIACOM, INC (CLASS B) ................ 2,904 ----------- 33,187 ----------- RADIO, TELEVISION, AND COMPUTER STORES--0.10% 3,000 CIRCUIT CITY STORES-CIRCUIT CITY GROUP .......................... 107 14,900 oCOMPUCOM SYSTEMS, INC ................ 123 129,800 oCOMPUSA, INC ......................... 4,024 2,500 oINACOM CORP .......................... 70 28,000 oINFORMIX CORP ........................ 133 1,000 oMICROAGE, INC ........................ 15 11,200 TANDY CORP ........................... 432 ----------- 4,904 ----------- RAILROADS--0.04% 24,550 ILLINOIS CENTRAL CORP SERIES A ....... 836 8,700 KANSAS CITY SOUTHERN INDUSTRIES, INC ..................... 276 4 UNION PACIFIC CORP ................... 0 26,150 oWISCONSIN CENTRAL TRANSIT CORP ....... 611 ----------- 1,723 ----------- REAL ESTATE AGENTS AND MANAGERS--0.00% 2,200 oCB COMMERCIAL REAL ESTATE SERVICES ... 71 ----------- REAL ESTATE OPERATORS AND LESSORS--0.03% 39,300 ROUSE CO ............................. 1,287 ----------- REFRIGERATION AND SERVICE MACHINERY--0.12% 100,600 oAMERICAN STANDARD COS, INC ........... 3,854 3,400 oCHART INDUSTRIES, INC ................ 78 8,370 oCULLIGAN WATER TECHNOLOGIES, INC ..... 421 6,450 oU.S. FILTER CORP ..................... 193 16,100 WATSCO, INC .......................... 397 17,400 YORK INTERNATIONAL CORP .............. 688 ----------- 5,631 ----------- RESEARCH AND TESTING SERVICES--0.13% 27,650 oADVANCED TISSUE SCIENCE CO ........... 342 23,600 oAGOURON PHARMACEUTICALS, INC ......... 693 29,800 oAURA SYSTEMS, INC .................... 98 4,500 oCEPHALON, INC ........................ 51 3,000 oCLINTRIALS, INC ...................... 24 12,100 oCOLUMBIA LABORATORIES, INC ........... 192 14,900 oCURATIVE HEALTH SERVICES, INC ........ 453 38,700 oCYTOGEN CORP ......................... 63 15,960 oENZO BIOCHEMICAL, INC ................ 233 13,300 oHUMAN GENOME SCIENCES, INC ........... 529 See notes to financial statements. -76- GROWTH ACCOUNT (Continued) VALUE SHARES (000) ------ --------- RESEARCH AND TESTING SERVICES-(Continued) 43,600 oICOS CORP ............................ $ 798 10,300 oIDEC PHARMACEUTICALS CORP ............ 354 29,620 oISIS PHARMACEUTICALS, INC ............ 365 19,804 oLABORATORY CORP OF AMERICA HOLDINGS ............................ 33 2,560 oLABORATORY CORP OF AMERICA HOLDINGS WTS 04/28/00................ 0 14,900 oLIPOSOME CO, INC ..................... 69 3,000 oMYRIAD GENETICS, INC ................. 73 1,400 oNEOPATH, INC ......................... 18 14,180 oNEUREX CORP .......................... 197 15,900 oNEUROMEDICAL SYSTEMS, INC ............ 45 17,700 oNFO WORLDWIDE, INC ................... 371 14,600 oREGENERON PHARMACEUTICALS, INC ....... 125 8,500 oTHERMO CARDIOSYSTEMS, INC ............ 227 10,100 oTHERMOTREX CORP ...................... 223 12,500 oTRANSKARYOTIC THERAPIES, INC ......... 439 4,300 oU.S. BIOSCIENCE, INC ................. 39 ----------- 6,054 ----------- RESIDENTIAL BUILDING CONSTRUCTION--0.00% 7,500 oAMERICAN HOMESTAR CORP ............... 124 6,120 CLAYTON HOMES, INC ................... 110 ----------- 234 ----------- RETAIL NURSERIES AND GARDEN STORES--0.01% 18,900 oCENTRAL GARDEN & PET CO .............. 496 ----------- RETAIL STORES, NEC--0.01% 14,100 oPETCO ANIMAL SUPPLIES, INC ........... 338 13,240 oPETSMART, INC ........................ 96 22,750 oSUNGLASS HUT INTERNATIONAL, INC ...... 144 ----------- 578 ----------- SANITARY SERVICES--1.61% 52,400 oALLIED WASTE INDUSTRIES, INC ......... 1,222 17,200 BROWNING FERRIS INDUSTRIES, INC ...... 636 500 oCENTURY BUSINESS SERVICES, INC ....... 9 267,960 oREPUBLIC INDUSTRIES, INC ............. 6,247 4,600 oTETRA TECHNOLOGIES, INC .............. 97 1,704,800 oU.S.A. WASTE SERVICES, INC ........... 66,913 7,924 WASTE MANAGEMENT, INC ................ 218 ----------- 75,342 ----------- SAVINGS INSTITUTIONS--0.10% 4,500 CHEMFIRST, INC ....................... 127 1,900 oFIRSTFED FINANCIAL CORP .............. 74 1,600 NEW YORK BANCORP, INC ................ 64 32,200 oOCWEN FINANCIAL CORP ................. 819 3,900 SOVEREIGN BANCORP, INC ............... 81 23,200 TCF FINANCIAL CORP ................... 787 41,800 WASHINGTON MUTUAL, INC ............... 2,667 ----------- 4,619 ----------- SCHOOLS AND EDUCATIONAL SERVICES, NEC--0.03% 32,300 oAPOLLO GROUP, INC (CLASS A) .......... 1,526 ----------- SCREW MACHINE PRODUCTS, BOLTS, ETC.--0.01% 5,340 HUBBELL, INC (CLASS B) ............... 263 7,200 TRIMAS CORP .......................... 248 ----------- 511 ----------- VALUE SHARES (000) ------ --------- SEARCH AND NAVIGATION EQUIPMENT--0.01% 100 SENSORMATIC ELECTRONICS CORP ......... $ 2 15,600 oTRIMBLE NAVIGATION LTD ............... 340 ----------- 342 ----------- SECURITY AND COMMODITY SERVICES--0.19% 25,000 oAMRESCO, INC ......................... 756 12,900 oDATA BROADCASTING CORP ............... 73 35,750 FRANKLIN RESOURCES, INC .............. 3,108 7,500 FULTON FINANCIAL CORP ................ 244 8,700 oINSIGNIA FINANCIAL GROUP, INC ........ 200 9,200 PIONEER GROUP, INC ................... 259 60,100 PRICE (T. ROWE) ASSOCIATES, INC ...... 3,779 10,700 SEI INVESTMENT CO .................... 449 4,100 UNITED ASSET MANAGEMENT CORP ......... 100 ----------- 8,968 ----------- SECURITY BROKERS AND DEALERS--0.20% 4,600 oJEFFERIES GROUP, INC ................. 188 3,000 JOHN NUVEEN CO (CLASS A) ............. 105 700 oLEGG MASON, INC ...................... 39 9,500 LEHMAN BROTHERS HOLDINGS, INC ........ 485 400 MORGAN KEEGAN, INC ................... 10 36,000 MORGAN STANLEY, DEAN WITTER, DISCOVER ............................ 2,129 17,200 QUICK & REILLY GROUP, INC ............ 740 15,500 RAYMOND JAMES FINANCIAL CORP ......... 615 118,400 SCHWAB (CHARLES) CORP ................ 4,965 ----------- 9,276 ----------- SHIP AND BOAT BUILDING AND REPAIRING--0.00% 2,742 oHALTER MARINE GROUP, INC ............. 79 ----------- SHOE STORES--0.01% 14,500 oFINISH LINE, INC (CLASS A) ........... 190 11,450 oJUST FOR FEET, INC ................... 150 980 oPAYLESS SHOESOURCE, INC .............. 66 ----------- 406 ----------- SOAP, CLEANERS, AND TOILET GOODS--1.86% 112,200 AVON PRODUCTS, INC ................... 6,886 700 CHURCH & DWIGHT CO, INC .............. 20 10,800 CLOROX CO ............................ 854 145,100 COLGATE PALMOLIVE CO ................. 10,665 123,900 DIAL CORP ............................ 2,579 17,200 ECOLAB, INC .......................... 954 44,500 INTERNATIONAL FLAVORS & FRAGRANCES, INC ...................... 2,292 790,100 PROCTER & GAMBLE CO .................. 63,060 1,900 oREVLON, INC (CLASS A) ................ 67 ----------- 87,377 ----------- SOCIAL SERVICES, NEC--0.01% 9,777 INTEGRATED HEALTH SERVICES, INC ...... 305 100 oSUN HEALTHCARE GROUP, INC ............ 2 ----------- 307 ----------- SPECIAL INDUSTRY MACHINERY--0.37% 304,200 oAPPLIED MATERIALS, INC ............... 9,164 6,500 oASYST TECHNOLOGIES, INC .............. 141 48,100 oCOOPER CAMERON CORP .................. 2,934 16,200 oETEC SYSTEMS, INC .................... 753 16,200 FOSTER WHEELER CORP .................. 438 4,300 oFSI INTERNATIONAL, INC ............... 51 2,400 oGASONICS INTERNATIONAL CORP .......... 24 See notes to financial statements. -77- GROWTH ACCOUNT (Continued) VALUE SHARES (000) ------ --------- SPECIAL INDUSTRY MACHINERY-(Continued) 12,400 oINTEGRATED PROCESS EQUIPMENT CORP .... $ 195 6,300 oIONICS, INC .......................... 246 19,200 oKULICHE & SOFFA INDUSTRIES, INC ...... 358 5,800 oLAM RESEARCH CORP .................... 170 43,500 oNOVELLUS SYSTEMS, INC ................ 1,406 2,300 oOAKLEY, INC .......................... 21 15,000 oPHOTRONICS, INC ...................... 364 12,800 oPRESSTEK, INC ........................ 330 9,500 oPRI AUTOMATION, INC .................. 274 700 oULTRATECH STEPPER, INC ............... 14 19,800 oZEBRA TECHNOLOGY CORP ................ 589 ----------- 17,472 ----------- SUBDIVIDERS AND DEVELOPERS--0.02% 52,500 oCATELLUS DEVELOPMENT CORP ............ 1,050 ----------- SUGAR AND CONFECTIONERY PRODUCTS--0.10% 27,800 HERSHEY FOODS CORP ................... 1,722 13,206 TOOTSIE ROLL INDUSTRIES, INC ......... 825 27,300 WRIGLEY (WM) JR CO ................... 2,172 ----------- 4,719 ----------- SURETY INSURANCE--0.82% 337,200 ACE LTD .............................. 32,540 2,000 oAMERIN CORP .......................... 56 1,700 CAPMAC HOLDINGS, INC ................. 59 19,900 CMAC INVESTMENT CORP ................. 1,201 67,200 MGIC INVESTMENT CORP ................. 4,469 200 oTRIAD GUARANTY, INC .................. 6 ----------- 38,331 ----------- TELEPHONE COMMUNICATIONS--6.76% 9,300 o360 COMMUNICATIONS CO ................ 188 2,010 oACC CORP ............................. 102 353,900 oAIRTOUCH COMMUNICATIONS, INC ......... 14,709 400 ALLTEL CORP .......................... 16 32,600 AMERITECH CORP ....................... 2,624 10,400 oARCH COMMUNICATIONS GROUP, INC ....... 53 1,651,200 AT & T CORP .......................... 101,136 1,000 oBRIGHTPOINT, INC ..................... 14 10,800 oBROOKS FIBER PROPERTIES, INC ......... 594 8,000 oCELLULAR COMMUNICATIONS INTERNATIONAL, INC .................. 374 13,100 CENTURY TELEPHONE ENTERPRISES, INC ... 653 155,700 CINCINNATI BELL, INC ................. 4,827 2,533 oCOMMONWEALTH TELEPHONE ENTERPRISES ......................... 66 12,400 oCORECOMM, INC ........................ 126 3,200 FRONTIER CORP ........................ 77 147,200 GTE CORP ............................. 7,691 12,300 oHIGHWAYMASTER COMMUNICATIONS, INC .... 70 15,300 oLCI INTERNATIONAL, INC ............... 470 354,823 LUCENT TECHNOLOGIES, INC ............. 28,341 1,400 MCI COMMUNICATIONS CORP .............. 60 12,800 oMETROCALL, INC ....................... 63 6,400 oMOBILE TELECOMMUNICATIONS TECHNOLOGIES CORP ................... 141 1,200 oNTL, INC ............................. 33 5,300 oPAGEMART WIRELESS, INC (CLASS A) ..... 42 3,800 oRCN CORP ............................. 130 115,828 SBC COMMUNICATIONS, INC .............. 8,484 1,397 TELEPHONE & DATA SYSTEMS, INC ........ 65 VALUE SHARES (000) ------ --------- 535,500 oTELEPORT COMMUNICATIONS GROUP, INC (CLASS A) ................ $ 29,386 8,100 oU.S. CELLULAR CORP ................... 251 4,200 oVANGUARD CELLULAR SYSTEMS, INC ....... 54 6,000 oWEST TELESERVICES CORP ............... 72 1,000 oWESTERN WIRELESS CORP (CLASS A) ...... 17 10,300 oWINSTAR COMMUNICATIONS, INC .......... 257 3,826,640 oWORLDCOM, INC ........................ 115,756 ----------- 316,942 ----------- TIRES AND INNER TUBES--0.01% 200 COOPER TIRE & RUBBER CO .............. 5 16,100 GOODRICH (B.F.) CO ................... 667 ----------- 672 ----------- TOYS AND SPORTING GOODS--1.07% 60,700 CALLAWAY GOLF CO ..................... 1,734 1,600 oGALOOB TOYS, INC ..................... 16 10,500 HASBRO, INC .......................... 331 12,900 K2, INC .............................. 293 1,281,818 MATTEL, INC .......................... 47,748 ----------- 50,122 ----------- TRUCKING AND COURIER SERVICES, EXCEPT AIR--0.01% 10,100 oAMERICAN FREIGHTWAYS CORP ............ 100 11,400 oSWIFT TRANSPORTATION CO, INC ......... 369 ----------- 469 ----------- VARIETY STORES--0.09% 49,018 oCONSOLIDATED STORES CORP ............. 2,154 11,700 oDOLLAR TREE STORES, INC .............. 484 2,700 FAMILY DOLLAR STORES, INC ............ 79 29,100 oMAC FRUGALS BARGAINS CLOSE-OUTS,INC .. 1,197 21,600 oWOOLWORTH CORP ....................... 440 ----------- 4,354 ----------- VETERINARY SERVICES--0.00% 9,600 oVETERINARY CENTERS OF AMERICA, INC ... 129 ----------- VIDEO TAPE RENTAL--0.00% 10,300 oHOLLYWOOD ENTERTAINMENT CORP ......... 109 ----------- VOCATIONAL SCHOOLS--0.01% 9,700 oDEVRY, INC ........................... 309 ----------- WATER TRANSPORTATION OF FREIGHT, NEC--0.00% 2,700 oKIRBY CORP ........................... 52 ----------- WATER TRANSPORTATION SERVICES--0.07% 59,300 TIDEWATER, INC ....................... 3,269 ----------- WATER WELL DRILLING--0.00% 4,500 oLAYNE CHRISTENSEN CO ................. 59 ----------- WOMEN'S ACCESSORY AND SPECIALTY STORES--0.03% 52,300 CLAIRES STORES, INC .................. 1,017 5,000 oGOODYS FAMILY CLOTHING, INC .......... 136 10,890 LIMITED, INC ......................... 278 ----------- 1,431 ----------- WOMEN'S AND MISSES' OUTERWEAR--0.05% 45,800 oJONES APPAREL GROUP, INC ............. 1,969 3,800 LIZ CLAIBORNE, INC ................... 159 ----------- 2,128 ----------- See notes to financial statements. -78- GROWTH ACCOUNT (Continued) VALUE SHARES (000) ------ --------- WOMEN'S CLOTHING STORES--0.01% 2,800 oANN TAYLOR STORES CORP ............... $ 37 12,500 oPAUL HARRIS STORES, INC .............. 126 1,200 TALBOTS, INC ......................... 22 8,900 oURBAN OUTFITTERS, INC ................ 162 500 oWET SEAL, INC (CLASS A) .............. 15 ----------- 362 ----------- WOOD BUILDINGS AND MOBILE HOMES--0.03% 57,920 oCHAMPION ENTERPRISES, INC ............ 1,191 ----------- YARN AND THREAD MILLS--0.01% 8,100 UNIFI, INC ........................... 304 ----------- TOTAL COMMON STOCK (Cost $3,656,645)........... 4,511,118 ----------- PRINCIPAL --------- SHORT TERM INVESTMENTS--3.58% U.S. GOVERNMENT & AGENCIES--3.58% FEDERAL HOME LOAN BANK (FHLB) $10,000,000 4.750%, 01/02/98 9,997 33,000,000 * 5.680%, 01/05/98 32,974 2,010,000 5.660%, 01/07/98 2,008 20,000,000 5.610%, 02/03/98 19,896 10,000,000 * 5.610%, 02/03/98 9,948 FEDERAL HOME LOAN MORTGAGE CORP (FHLMC) 37,160,000 5.400%, 01/06/98 37,125 FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 56,240,000 * 5.670%, 01/05/98 56,196 ----------- 168,144 ----------- TOTAL SHORT TERM INVESTMENTS (Cost $168,166)............. 168,144 ----------- TOTAL PORTFOLIO (Cost $3,825,057)............ $4,679,529 =========== - ---------- o Non-income producing x In bankruptcy * All or a portion of this secuirity has been segregated by the Custodian to cover margin or other requirements on open futures contracts, covered call options written and securities purchased on a delayed delivery basis. # Restricted Securities-Investment in securities not registered under the Securities Act of 1933 or not publicly traded in foreign markets. At 12/31/97, the value of these securities amounted to $91,930 or 1.96% of net assets. Additional information on each holdings is as follows: ACQUISITION ACQUISITION SECURITY DATE COST -------- ----------- ----------- MARTEK BIOSCIENCES CORP WTS 05/18/98 05/22/95 91,930 See notes to financial statements. -79- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--EQUITY INDEX ACCOUNT DECEMBER 31, 1997 SUMMARY BY INDUSTRY (000) VALUE % -------- ----- BONDS CORPORATE BONDS RADIO AND TELEVISION BROADCASTING ......... $ 8 0.00% SANITARY SERVICES ......................... 12 0.00 -------- ----- TOTAL CORPORATE BONDS (Cost $15) ................................. 20 0.00 -------- ----- TOTAL BONDS (Cost $15) ................................. 20 0.00 -------- ----- PREFERRED STOCK LIFE INSURANCE ............................. 91 0.00 MEDICAL INSTRUMENTS AND SUPPLIES ........... 1 0.00 MEDICAL SERVICE AND HEALTH INSURANCE ....... 4 0.00 MISCELLANEOUS ELECTRICAL EQUIPMENT AND SUPPLIES ................... 22 0.00 -------- ----- TOTAL PREFERRED STOCK (Cost $117) ................................ 118 0.00 -------- ----- COMMON STOCK ADVERTISING ................................ 3,860 0.19 AGRICULTURAL CHEMICALS ..................... 1,648 0.08 AIR TRANSPORTATION, SCHEDULED .............. 11,564 0.57 AIRCRAFT AND PARTS ......................... 23,184 1.13 APPAREL, PIECE GOODS, AND NOTIONS .......... 1,556 0.08 AUTO AND HOME SUPPLY STORES ................ 287 0.01 AUTOMOBILE PARKING ......................... 143 0.01 AUTOMOTIVE RENTALS, NO DRIVERS ............. 1,791 0.09 AUTOMOTIVE SERVICES, EXCEPT REPAIR ......... 328 0.02 BAKERY PRODUCTS ............................ 1,550 0.08 BEAUTY SHOPS ............................... 88 0.00 BEVERAGES .................................. 55,343 2.71 BITUMINOUS COAL AND LIGNITE MINING ......... 75 0.00 BLANKBOOKS AND BOOKBINDING ................. 767 0.04 BLAST FURNACE AND BASIC STEEL PRODUCTS ..................... 7,389 0.36 BOAT DEALERS ............................... 56 0.00 BOOKS ...................................... 2,244 0.11 BROADWOVEN FABRIC MILLS, COTTON ............ 814 0.04 BROADWOVEN FABRIC MILLS, MANMADE ........... 539 0.03 BUSINESS CREDIT INSTITUTIONS ............... 1,981 0.10 CABLE AND OTHER PAY TV SERVICES ............ 8,326 0.41 CARPENTRY AND FLOOR WORK ................... 175 0.01 CARPETS AND RUGS ........................... 298 0.01 CASH GRAINS ................................ 625 0.03 CEMENT, HYDRAULIC .......................... 632 0.03 CHEMICAL AND FERTILIZER MINERALS ........... 159 0.01 CHEMICALS AND ALLIED PRODUCTS .............. 43 0.00 CHEWING AND SMOKING TOBACCO ................ 1,396 0.07 CHILDREN'S AND INFANTS' WEAR STORES .............................. 189 0.01 CIGARETTES ................................. 24,306 1.19 CIGARS ..................................... 190 0.01 COMBINATION UTILITY SERVICES ............... 25,182 1.23 COMMERCIAL BANKS ........................... 181,891 8.90 COMMERCIAL PRINTING ........................ 1,743 0.09 COMMERCIAL SPORTS .......................... 88 0.00 COMMUNICATIONS EQUIPMENT ................... 22,890 1.12 COMMUNICATIONS SERVICES, NEC ............... 1,142 0.06 VALUE % -------- ----- COMPUTER AND DATA PROCESSING SERVICES ......................... $ 74,494 3.65% COMPUTER AND OFFICE EQUIPMENT ................. 89,076 4.36 CONCRETE, GYPSUM, AND PLASTER PRODUCTS ............................ 973 0.05 CONSTRUCTION AND RELATED MACHINERY ............ 9,325 0.46 COPPER ORES ................................... 613 0.03 CREDIT REPORTING AND COLLECTION ............... 3,107 0.15 CRUSHED AND BROKEN STONE ...................... 1,110 0.05 CUTLERY, HANDTOOLS, AND HARDWARE .............. 14,278 0.70 DAIRY PRODUCTS ................................ 665 0.03 DEEP SEA FOREIGN TRANSPORTATION OF FREIGHT .................................. 542 0.03 DEPARTMENT STORES ............................. 28,832 1.41 DRUG STORES AND PROPRIETARY STORES ............ 7,956 0.39 DRUGS ......................................... 148,749 7.28 DRUGS, PROPRIETARIES, AND SUNDRIES ............ 7,959 0.39 EATING AND DRINKING PLACES .................... 13,038 0.64 ELECTRIC DISTRIBUTION EQUIPMENT ............... 5,749 0.28 ELECTRIC LIGHTING AND WIRING EQUIPMENT ............................ 822 0.04 ELECTRIC SERVICES ............................. 49,493 2.42 ELECTRICAL GOODS .............................. 4,167 0.20 ELECTRICAL INDUSTRIAL APPARATUS ............... 8,474 0.41 ELECTRICAL WORK ............................... 120 0.01 ELECTRONIC COMPONENTS AND ACCESSORIES ............................. 49,445 2.42 ENGINEERING AND ARCHITECTURAL SERVICES .................................... 155 0.01 ENGINES AND TURBINES .......................... 2,869 0.14 FABRICATED RUBBER PRODUCTS, NEC ............... 653 0.03 FABRICATED STRUCTURAL METAL PRODUCTS .............................. 523 0.03 FAMILY CLOTHING STORES ........................ 3,636 0.18 FARM AND GARDEN MACHINERY ..................... 4,838 0.24 FARM-PRODUCT RAW MATERIALS .................... 721 0.04 FEDERAL AND FEDERALLY-SPONSORED CREDIT AGENCIES ............................. 21,427 1.05 FIRE, MARINE, AND CASUALTY INSURANCE ................................... 18,666 0.91 FLAT GLASS .................................... 2,125 0.10 FOOTWEAR EXCEPT, RUBBER ....................... 620 0.03 FREIGHT TRANSPORTATION ARRANGEMENT ............ 673 0.03 FUNERAL SERVICE AND CREMATORIES ............... 2,564 0.13 FURNITURE AND HOME FURNISHINGS STORES ...................................... 1,780 0.09 GAS PRODUCTION AND DISTRIBUTION ............... 11,815 0.58 GENERAL INDUSTRIAL MACHINERY .................. 8,711 0.43 GLASS AND GLASSWARE, PRESSED OR BLOWN ............................ 3,985 0.20 GOLD AND SILVER ORES .......................... 2,601 0.13 GRAIN MILL PRODUCTS ........................... 15,137 0.74 GREETING CARDS ................................ 563 0.03 GROCERIES AND RELATED PRODUCTS ................ 4,974 0.24 GROCERY STORES ................................ 12,399 0.61 GUIDED MISSILES, SPACE VEHICLES AND PARTS ................................... 5,490 0.27 See notes to financial statements. -80- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--EQUITY INDEX ACCOUNT DECEMBER 31, 1997 SUMMARY BY INDUSTRY (CONTINUED) (000) VALUE % -------- ----- HARDWARE, PLUMBING AND HEATING EQUIPMENT .................................. $ 226 0.01% HEALTH AND ALLIED SERVICES, NEC ...................... 6,173 0.30 HEAVY CONSTRUCTION, EXCEPT HIGHWAY ................... 853 0.04 HOLDING OFFICES ...................................... 4,557 0.22 HOME HEALTH CARE SERVICES ............................ 242 0.01 HORTICULTURAL SPECIALTIES ............................ 1,759 0.09 HOSPITALS ............................................ 8,673 0.42 HOTELS AND MOTELS .................................... 14,144 0.69 HOUSEHOLD APPLIANCE STORES ........................... 628 0.03 HOUSEHOLD APPLIANCES ................................. 55,836 2.73 HOUSEHOLD AUDIO AND VIDEO EQUIPMENT .................. 24 0.00 HOUSEHOLD FURNITURE .................................. 1,267 0.06 INDUSTRIAL INORGANIC CHEMICALS ....................... 8,698 0.43 INDUSTRIAL MACHINERY, NEC ............................ 574 0.03 INDUSTRIAL ORGANIC CHEMICALS ......................... 2,413 0.12 INSURANCE AGENTS, BROKERS, AND SERVICE ....................................... 5,449 0.27 INSURANCE CARRIERS, NEC .............................. 1,620 0.08 IRON ORES ............................................ 96 0.00 JEWELRY, SILVERWARE, AND PLATED WARE ................. 432 0.02 KNITTING MILLS ....................................... 276 0.01 LANDSCAPE AND HORTICULTURAL SERVICES ........................................... 160 0.01 LAUNDRY, CLEANING, AND GARMENT SERVICES ................................... 1,463 0.07 LEAD AND ZINC ORES ................................... 33 0.00 LEATHER TANNING AND FINISHING ........................ 348 0.02 LEGAL SERVICES ....................................... 246 0.01 LIFE INSURANCE ....................................... 65,473 3.21 LOGGING .............................................. 51 0.00 LUGGAGE .............................................. 139 0.01 LUMBER AND CONSTRUCTION MATERIALS .................... 1,468 0.07 LUMBER AND OTHER BUILDING MATERIALS .................. 11,398 0.56 MACHINERY, EQUIPMENT, AND SUPPLIES ................... 198 0.01 MAILING, REPRODUCTION, AND STENOGRAPHIC SERVICES .............................. 241 0.01 MANAGEMENT AND PUBLIC RELATIONS ...................... 1,678 0.08 MANIFOLD BUSINESS FORMS .............................. 509 0.02 MEASURING AND CONTROLLING DEVICES .................... 10,682 0.52 MEAT PRODUCTS ........................................ 4,741 0.23 MEDICAL AND DENTAL LABORATORIES ...................... 64 0.00 MEDICAL INSTRUMENTS AND SUPPLIES ..................... 37,465 1.83 MEDICAL SERVICE AND HEALTH INSURANCE ................. 5,670 0.28 MEN'S AND BOYS' CLOTHING STORES ...................... 205 0.01 MEN'S AND BOYS' FURNISHINGS .......................... 2,692 0.13 MEN'S AND BOYS' SUITS AND COATS ...................... 234 0.01 METAL CANS AND SHIPPING CONTAINERS ................... 1,867 0.09 METAL FORGINGS AND STAMPINGS ......................... 2,612 0.13 METALS AND MINERALS, EXCEPT PETROLEUM ................................... 166 0.01 METALWORKING MACHINERY ............................... 1,431 0.07 MILLWORK, PLYWOOD AND STRUCTURAL MEMBERS ................................. 27 0.00 MISCELLANEOUS AMUSEMENT, RECREATION SERVICES ................................ 1,802 0.09 MISCELLANEOUS APPAREL AND ACCESSORY STORES ................................... 1,305 0.06 VALUE % -------- ----- MISCELLANEOUS APPAREL AND ACCESSORIES ........................................ $ 314 0.02% MISCELLANEOUS BUSINESS SERVICES ...................... 4,388 0.21 MISCELLANEOUS CHEMICAL PRODUCTS ...................... 4,597 0.23 MISCELLANEOUS CONVERTED PAPER PRODUCTS ..................................... 9,760 0.48 MISCELLANEOUS DURABLE GOODS .......................... 1,971 0.10 MISCELLANEOUS ELECTRICAL EQUIPMENT AND SUPPLIES ....................................... 573 0.03 MISCELLANEOUS EQUIPMENT RENTAL AND LEASING ................................. 247 0.01 MISCELLANEOUS FABRICATED METAL PRODUCTS ..................................... 2,683 0.13 MISCELLANEOUS FOOD AND KINDRED PRODUCTS ................................... 758 0.04 MISCELLANEOUS FOOD STORES ............................ 709 0.03 MISCELLANEOUS GENERAL MERCHANDISE STORES ............................................. 1,067 0.05 MISCELLANEOUS INVESTING .............................. 28,428 1.39 MISCELLANEOUS MANUFACTURES ........................... 2,104 0.10 MISCELLANEOUS METAL ORES ............................. 75 0.00 MISCELLANEOUS NONDURABLE GOODS ....................... 462 0.02 MISCELLANEOUS NONMETALLIC MINERAL PRODUCTS ................................... 7,640 0.37 MISCELLANEOUS NONMETALLIC MINERALS ................... 79 0.00 MISCELLANEOUS PERSONAL SERVICES ...................... 1,051 0.05 MISCELLANEOUS PETROLEUM AND COAL PRODUCTS ...................................... 8,374 0.41 MISCELLANEOUS PLASTICS PRODUCTS, NEC ................. 15,355 0.75 MISCELLANEOUS SHOPPING GOOD STORES ................... 4,687 0.23 MISCELLANEOUS TRANSPORTATION EQUIPMENT .......................................... 377 0.02 MOBILE HOME DEALERS .................................. 358 0.02 MORTGAGE BANKERS AND BROKERS ......................... 10,007 0.49 MOTION PICTURE PRODUCTION AND SERVICES ....................................... 17,779 0.87 MOTION PICTURE THEATERS .............................. 864 0.04 MOTOR VEHICLES AND EQUIPMENT ......................... 40,287 1.97 MOTOR VEHICLES, PARTS, AND SUPPLIES .................. 1,268 0.06 MOTORCYCLES, BICYCLES, AND PARTS ..................... 846 0.04 NATURAL GAS LIQUIDS .................................. 1,369 0.07 NEW AND USED CAR DEALERS ............................. 893 0.04 NEWSPAPERS ........................................... 12,158 0.60 NONFERROUS FOUNDRIES (CASTINGS) ...................... 39 0.00 NONFERROUS ROLLING AND DRAWING ....................... 1,660 0.08 NONSTORE RETAILERS ................................... 5,177 0.25 NURSING AND PERSONAL CARE FACILITIES ................. 1,545 0.08 OFFICE FURNITURE ..................................... 1,699 0.08 OFFICES AND CLINICS OF MEDICAL DOCTORS .................................... 1,246 0.06 OFFICES AND CLINICS OF DENTISTS ...................... 150 0.01 OFFICES OF OTHER HEALTH PRACTITIONERS ................ 51 0.00 OIL AND GAS EXTRACTION ............................... 76,277 3.73 OIL AND GAS FIELD SERVICES ........................... 14,863 0.73 OPERATIVE BUILDERS ................................... 1,411 0.07 OPHTHALMIC GOODS ..................................... 587 0.03 ORDNANCE AND ACCESSORIES, NEC ........................ 458 0.02 PAINT, GLASS, AND WALLPAPER STORES ................... 116 0.01 See notes to financial statements -81- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--EQUITY INDEX ACCOUNT DECEMBER 31, 1997 SUMMARY BY INDUSTRY (CONTINUED) (000) VALUE % ----- ----- PAINTS AND ALLIED PRODUCTS ....................... $ 2,238 0.11% PAPER AND PAPER PRODUCTS ......................... 2,946 0.14 PAPER MILLS ...................................... 5,010 0.25 PAPERBOARD CONTAINERS AND BOXES .................. 401 0.02 PAPERBOARD MILLS ................................. 3,405 0.17 PASSENGER TRANSPORTATION ARRANGEMENT .................................... 9,350 0.46 PENS, PENCILS, OFFICE, AND ART SUPPLIES ................................... 2 0.00 PENSION, HEALTH, AND WELFARE FUNDS ............... 90 0.00 PERIODICALS ...................................... 7,852 0.38 PERSONAL CREDIT INSTITUTIONS ..................... 4,815 0.24 PERSONNEL SUPPLY SERVICES ........................ 4,853 0.24 PETROLEUM AND PETROLEUM PRODUCTS ................. 3,884 0.19 PETROLEUM REFINING ............................... 24,091 1.18 PHOTOGRAPHIC EQUIPMENT AND SUPPLIES .............. 10,515 0.52 PIPELINES, EXCEPT NATURAL GAS .................... 685 0.03 PLASTICS MATERIALS AND SYNTHETICS ................ 18,078 0.89 PLUMBING AND HEATING, EXCEPT ELECTRIC ............ 1,703 0.08 POULTRY AND EGGS ................................. 670 0.03 PRESERVED FRUITS AND VEGETABLES .................. 17,845 0.87 PRIMARY NONFERROUS METALS ........................ 5,805 0.29 PRODUCERS, ORCHESTRAS, ENTERTAINERS .............. 319 0.02 PRODUCTS OF PURCHASED GLASS ...................... 575 0.03 PROFESSIONAL AND COMMERCIAL EQUIPMENT ...................................... 1,713 0.08 RADIO AND TELEVISION BROADCASTING ................ 7,886 0.39 RADIO, TELEVISION, AND COMPUTER STORES ................................ 2,681 0.13 RAILROADS ........................................ 12,861 0.63 REAL ESTATE OPERATORS AND LESSORS ................ 735 0.04 REFRIGERATION AND SERVICE MACHINERY .............. 2,880 0.14 RENTAL OF RAILROAD CARS .......................... 508 0.03 RESEARCH AND TESTING SERVICES .................... 1,902 0.09 RESIDENTIAL BUILDING CONSTRUCTION ................ 1,520 0.07 RETAIL STORES, NEC ............................... 326 0.02 ROOMING AND BOARDING HOUSES ...................... 2 0.00 SANITARY SERVICES ................................ 9,286 0.46 SAVINGS INSTITUTIONS ............................. 14,759 0.72 SAWMILLS AND PLANING MILLS ....................... 4,397 0.22 SCHOOLS AND EDUCATIONAL SERVICES, NEC .................................. 393 0.02 VALUE % -------- ----- SCREW MACHINE PRODUCTS, BOLTS, ETC ..... $ 961 0.05% SEARCH AND NAVIGATION EQUIPMENT ........ 4,637 0.23 SECURITY AND COMMODITY SERVICES ........ 5,986 0.29 SECURITY BROKERS AND DEALERS ........... 19,925 0.98 SHIP AND BOAT BUILDING AND REPAIRING ... 1,518 0.08 SHOE STORES ............................ 653 0.03 SOAP, CLEANERS, AND TOILET GOODS ....... 36,447 1.78 SOCIAL SERVICES, NEC ................... 585 0.03 SPECIAL INDUSTRY MACHINERY ............. 4,822 0.23 STRUCTURAL CLAY PRODUCTS ............... 124 0.01 SUBDIVIDERS AND DEVELOPERS ............. 278 0.01 SUGAR AND CONFECTIONERY PRODUCTS ....... 3,419 0.17 SURETY INSURANCE ....................... 2,825 0.14 TELEPHONE COMMUNICATIONS ............... 141,362 6.92 TIRES AND INNER TUBES .................. 3,726 0.18 TITLE INSURANCE ........................ 416 0.02 TOYS AND SPORTING GOODS ................ 3,749 0.19 TRUCKING AND COURIER SERVICES, EXCEPT AIR ........................... 1,865 0.09 VARIETY STORES ......................... 4,193 0.21 VIDEO TAPE RENTAL ...................... 55 0.00 VOCATIONAL SCHOOLS ..................... 374 0.02 WATER SUPPLY ........................... 605 0.03 WATER TRANSPORTATION OF FREIGHT, NEC ... 100 0.00 WATER TRANSPORTATION SERVICES .......... 634 0.03 WOMEN'S ACCESSORY AND SPECIALTY STORES ..................... 1,452 0.07 WOMEN'S AND MISSES' OUTERWEAR .......... 1,089 0.05 WOMEN'S CLOTHING STORES ................ 719 0.04 WOOD BUILDINGS AND MOBILE HOMES ........ 249 0.01 YARN AND THREAD MILLS .................. 904 0.04 ----------- ------ TOTAL COMMON STOCK (Cost $1,546,437) ...................... 2,016,162 98.70 ----------- ------ SHORT TERM INVESTMENTS U.S. GOVERNMENT AND AGENCIES ........... 37,085 1.82 ----------- ------ TOTAL SHORT TERM INVESTMENTS (Cost $37,090) ......................... 37,085 1.82 ----------- ------ TOTAL PORTFOLIO (Cost $1,583,659) ...................... 2,053,385 100.52 ----------- ------ OTHER ASSETS AND LIABILITIES, NET .... (10,679) (0.52) ----------- ------ NET ASSETS ................................ $ 2,042,706 100.00% =========== ====== See notes to financial statements -82- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--EQUITY INDEX ACCOUNT DECEMBER 31, 1997 VALUE PRINCIPAL (000) --------- ----- BONDS--0.00% CORPORATE BONDS--0.00% RADIO AND TELEVISION BROADCASTING--0.00% VIACOM INTERNATIONAL, INC (SUBORDINATED DEB) $ 8,000 8.000%, 07/07/06 ................$ 8 ----------- SANITARY SERVICES--0.00% WMX TECHNOLOGIES CV, INC (SUBORDINATED NOTE) 14,000 2.000%, 01/24/05 ................ 12 ----------- TOTAL CORPORATE BONDS (Cost $15) ........................ 20 ----------- TOTAL BONDS (Cost $15) ......................... 20 ----------- SHARES ------ PREFERRED STOCK--0.00% LIFE INSURANCE--0.00% 1,273 AETNA, INC 6.25% (CLASS C) ........ 91 ----------- MEDICAL INSTRUMENTS AND SUPPLIES--0.00% 11,200 oFRESENIUS MEDICAL CARE (CLASS D) ..... 1 ----------- MEDICAL SERVICE AND HEALTH INSURANCE--0.00% 160 PACIFICARE HEALTH SYSTEMS CV SERIES A ............................ 4 ----------- MISCELLANEOUS ELECTRICAL EQUIPMENT AND SUPPLIES--0.00% 1,122 PREMIER FARNELL PLC CV ADR ........... 22 ----------- TOTAL PREFERRED STOCK (Cost $117) .......................... 118 ----------- COMMON STOCK--98.70% ADVERTISING--0.19% 5,500 oCATALINA MARKETING CORP .............. 254 25,950 INTERPUBLIC GROUP OF COS, INC ........ 1,293 32,200 OMNICOM GROUP, INC ................... 1,364 3,600 oOUTDOOR SYSTEMS, INC ................. 138 6,200 oSNYDER COMMUNICATIONS, INC ........... 226 7,700 TRUE NORTH COMMUNICATIONS, INC ....... 191 3,800 oUNIVERSAL OUTDOOR HOLDINGS, INC ...... 198 5,300 oVALASSIS COMMUNICATIONS, INC ......... 196 ----------- 3,860 ----------- AGRICULTURAL CHEMICALS--0.08% 6,700 oFMC CORP ............................. 451 1,250 oFREEPORT-MCMORAN SULPHUR, INC ........ 15 24,624 IMC GLOBAL, INC ...................... 806 1,971 oIMC GLOBAL, INC WTS 12/22/00 ......... 8 7,168 MISSISSIPPI CHEMICAL CORP ............ 131 5,200 oMYCOGEN CORP ......................... 98 4,600 oSCOTTS CO (CLASS A) .................. 139 ----------- 1,648 ----------- VALUE SHARES (000) ------ --------- AIR TRANSPORTATION, SCHEDULED--0.57% 12,950 AIR EXPRESS INTERNATIONAL CORP ....... $ 395 15,600 oAMERICA WEST HOLDINGS CORP (CLASS B) ........................... 291 18,200 oAMR CORP ............................. 2,339 7,300 ASA HOLDINGS, INC .................... 208 2,500 oATLAS AIR, INC ....................... 60 14,737 COMAIR HOLDINGS, INC ................. 356 10,400 oCONTINENTAL AIRLINES, INC (CLASS B) .. 501 15,000 DELTA AIRLINES, INC .................. 1,785 25,200 oFEDERAL EXPRESS CORP ................. 1,539 16,100 oNORTHWEST AIRLINES CORP (CLASS A) .... 771 6,800 PITTSTON BURLINGTON GROUP CO ......... 179 400 SKYWEST, INC ......................... 12 45,750 SOUTHWEST AIRLINES CO ................ 1,127 1,500 oTRANS WORLD AIRLINES, INC ............ 15 11,800 oUAL CORP ............................. 1,092 14,300 oUS AIRWAYS GROUP, INC ................ 894 ----------- 11,564 ----------- AIRCRAFT AND PARTS--1.13% 4,600 oAIRTRAN HOLDINGS, INC ................ 18 112,800 ALLIED SIGNAL, INC ................... 4,392 6,300 oBE AEROSPACE, INC .................... 169 227,936 BOEING CO ............................ 11,155 2,600 BREED TECHNOLOGIES, INC .............. 47 16,500 oGULFSTREAM AEROSPACE CORP ............ 483 11,048 NORTHROP GRUMMAN CORP ................ 1,271 6,300 OEA, INC ............................. 182 28,400 TEXTRON, INC ......................... 1,775 50,700 UNITED TECHNOLOGIES CORP ............. 3,692 ----------- 23,184 ----------- APPAREL, PIECE GOODS, AND NOTIONS--0.08% 6,120 BURLINGTON COAT FACTORY WAREHOUSE CORP ...................... 101 29,000 NIKE, INC (CLASS B) .................. 1,138 10,990 oREEBOK INTERNATIONAL LTD ............. 317 ----------- 1,556 ----------- AUTO AND HOME SUPPLY STORES--0.01% 12,000 PEP BOYS MANNY, MOE, & JACK CO ....... 287 ----------- AUTOMOBILE PARKING--0.01% 3,150 CENTRAL PARKING CORP ................. 143 ----------- AUTOMOTIVE RENTALS, NO DRIVERS--0.09% 7,200 oBUDGET GROUP, INC .................... 249 6,800 HERTZ CORP (CLASS A) ................. 274 2,860 oNATIONAL AUTO CREDIT, INC ............ 15 4,000 oRENTERS CHOICE, INC .................. 82 17,000 ROLLINS TRUCK LEASING CORP ........... 304 20,400 RYDER SYSTEM, INC .................... 668 3,400 XTRA CORP ............................ 199 ----------- 1,791 ----------- AUTOMOTIVE SERVICES, EXCEPT REPAIR--0.02% 6,300 BORG-WARNER AUTOMOTIVE, INC .......... 328 ----------- See notes to financial statements. -83- EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ --------- BAKERY PRODUCTS--0.08% 10,200 INTERSTATE BAKERIES CORP ............. $ 381 6,300 LANCE, INC ........................... 166 20,700 NABISCO HOLDINGS CORP (CLASS A) ...... 1,003 ----------- 1,550 ----------- BEAUTY SHOPS--0.00% 3,500 REGIS CORP ........................... 88 ----------- BEVERAGES--2.71% 92,900 ANHEUSER BUSCH COS, INC .............. 4,088 8,800 BROWN FORMAN, INC (CLASS B) .......... 486 600 oBUSH BOAKE ALLEN, INC ................ 16 3,500 oCANANDAIGUA BRANDS, INC (CLASS A) .... 194 518,900 COCA COLA CO ......................... 34,572 47,400 COCA COLA ENTERPRISES, INC ........... 1,686 9,700 COORS (ADOLPH) CO (CLASS B) .......... 323 35,700 FORTUNE BRANDS, INC .................. 1,323 347,300 PEPSICO, INC ......................... 12,655 ----------- 55,343 ----------- BITUMINOUS COAL AND LIGNITE MINING--0.00% 4,600 ZEIGLER COAL HOLDINGS CO ............. 75 ----------- BLANKBOOKS AND BOOKBINDING--0.04% 19,300 DELUXE CORP .......................... 666 4,600 oFRANKLIN COVEY CO .................... 101 ----------- 767 ----------- BLAST FURNACE AND BASIC STEEL PRODUCTS--0.36% 14,000 AK STEEL HOLDINGS CORP ............... 248 25,625 ALLEGHENY TELEDYNE, INC .............. 663 10,300 oARMCO, INC ........................... 51 37,600 oBETHLEHEM STEEL CORP ................. 324 9,200 BIRMINGHAM STEEL CORP ................ 145 4,200 CARPENTER TECHNOLOGY CORP ............ 202 24,900 INLAND STEEL INDUSTRIES, INC ......... 426 9,200 J & L SPECIALTY STEEL, INC ........... 93 4,100 oLONE STAR TECHNOLOGIES, INC .......... 116 43,900 LTV CORP ............................. 428 200 LUKENS, INC .......................... 6 17,200 NUCOR CORP ........................... 831 5,300 OREGON STEEL MILLS, INC .............. 113 300 ROUGE INDUSTRIES, INC (CLASS A) ...... 4 14,100 oSTEEL DYNAMICS, INC .................. 226 5,700 TEXAS INDUSTRIES, INC ................ 257 69,100 USX-MARATHON GROUP, INC .............. 2,332 18,400 USX-US STEEL GROUP, INC .............. 575 21,140 WORTHINGTON INDUSTRIES, INC .......... 349 ----------- 7,389 ----------- BOAT DEALERS--0.00% 2,500 oWEST MARINE, INC ..................... 56 ----------- BOOKS--0.11% 11,500 BANTA CORP ........................... 311 7,800 HOUGHTON MIFFLIN CO .................. 299 20,400 MCGRAW HILL COS, INC ................. 1,510 3,300 oSCHOLASTIC CORP ...................... 124 ----------- 2,244 ----------- BROADWOVEN FABRIC MILLS, COTTON--0.04% 26,300 oBURLINGTON INDUSTRIES, INC ........... 363 1,600 oCONE MILLS CORP ...................... 12 3,800 oTRIARC COS, INC ...................... 104 7,100 oWESTPOINT STEVENS, INC ............... 335 ----------- 814 ----------- VALUE SHARES (000) ------ --------- BROADWOVEN FABRIC MILLS, MANMADE--0.03% 5,500 ALBANY INTERNATIONAL CORP (CLASS A) .. $ 127 15,800 oCOLLINS & AIKMAN CORP ................ 136 5,300 SPRING INDUSTRIES, INC ............... 276 ----------- 539 ----------- BUSINESS CREDIT INSTITUTIONS--0.10% 6,100 oARCADIA FINANCIAL LTD ................ 45 15,200 ASSOCIATES FIRST CAPITAL CORP ........ 1,081 1,808 CAPITAL ONE FINANCIAL CORP ........... 98 13,200 FINOVA GROUP, INC .................... 656 4,100 TOTAL SYSTEM SERVICES, INC ........... 101 ----------- 1,981 ----------- CABLE AND OTHER PAY TV SERVICES--0.41% 4,496 oASCENT ENTERTAINMENT GROUP, INC ...... 47 1,150 oCABLE MICHIGAN, INC .................. 26 5,400 oCABLEVISION SYSTEMS CORP (CLASS A) ... 517 7,600 oCAI WIRELESS SYSTEMS, INC ............ 9 2,800 COMCAST CORP (CLASS A) ............... 89 78,228 COMCAST CORP (CLASS A) SPECIAL ....... 2,469 21,084 oCOX COMMUNICATIONS, INC (CLASS A) .... 845 2,700 oMASTEC, INC .......................... 62 5,810 oPANAMSAT CORP ........................ 251 3,800 TCA CABLE TV, INC .................... 175 14,040 oTCI SATELLITE ENTERTAINMENT (CLASS A) 97 86,187 oTELE-COMMUNICATIONS, INC (CLASS A) ... 2,408 47,013 oTELECOM-TCI VENTURES GROUP (CLASS A) ........................... 1,331 ----------- 8,326 ----------- CARPENTRY AND FLOOR WORK--0.01% 7,500 GEON CO .............................. 175 ----------- CARPETS AND RUGS--0.01% 25,600 SHAW INDUSTRIES, INC ................. 298 ----------- CASH GRAINS--0.03% 7,100 DEKALB GENETICS CORP (CLASS B) ....... 279 11,333 DELTA & PINE LAND CO ................. 346 ----------- 625 ----------- CEMENT, HYDRAULIC--0.03% 2,600 CENTEX CONSTRUCTION PRODUCTS, INC .... 78 5,900 MEDUSA CORP .......................... 247 5,200 SOUTHDOWN, INC ....................... 307 ----------- 632 ----------- CHEMICAL AND FERTILIZER MINERALS--0.01% 1,913 POTASH CORP OF SASKATCHEWAN, INC ..... 159 ----------- CHEMICALS AND ALLIED PRODUCTS--0.00% 4,600 VALHI, INC ........................... 43 ----------- CHEWING AND SMOKING TOBACCO--0.07% 37,800 UST, INC ............................. 1,396 ----------- CHILDREN'S AND INFANTS' WEAR STORES--0.01% 6,900 oGYMBOREE CORP ........................ 189 ----------- CIGARETTES--1.19% 536,400 PHILIP MORRIS COS, INC ............... 24,306 ----------- CIGARS--0.01% 8,900 oGENERAL CIGAR HOLDINGS, INC (CLASS A) .......................... 190 ----------- See notes to financial statements. -84- EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ --------- COMBINATION UTILITY SERVICES--1.23% 33,800 BALTIMORE GAS & ELECTRIC CO .......... $ 1,151 5,300 CENTRAL HUDSON GAS & ELECTRIC CORP ... 233 8,788 CENTRAL MAINE POWER CO ............... 134 1,900 CILCORP, INC ......................... 93 7,100 CIPSCO, INC .......................... 314 62,918 oCITIZENS UTILITIES CO (CLASS B) ...... 606 49,000 CONSOLIDATED EDISON CO OF NEW YORK, INC ........................ 2,009 20,400 DELMARVA POWER & LIGHT CO ............ 470 88,400 EDISON INTERNATIONAL CO .............. 2,403 24,600 ENOVA CORP ........................... 666 15,800 IPALCO ENTERPRISES, INC .............. 663 24,100 KANSAS CITY POWER & LIGHT CO ......... 712 26,400 LONG ISLAND LIGHTING CO .............. 795 25,100 MIDAMERICAN ENERGY HOLDINGS CO ....... 552 22,700 MONTANA POWER CO ..................... 722 21,385 NEW CENTURY ENERGIES, INC ............ 1,025 16,100 NEW YORK STATE ELECTRIC & GAS CORP ... 572 61,900 oNIAGARA MOHAWK POWER CORP ............ 650 12,700 NIPSCO INDUSTRIES, INC ............... 628 15,200 NORTHERN STATES POWER CO ............. 885 5,300 ORANGE & ROCKLAND UTILITY, INC ....... 247 62,500 PACIFICORP ........................... 1,707 45,900 PECO ENERGY CO ....................... 1,113 20,100 PUBLIC SERVICE CO OF NEW MEXICO ...... 476 51,200 PUBLIC SERVICE ENTERPRISE GROUP, INC . 1,622 21,400 ROCHESTER GAS & ELECTRIC CORP ........ 728 26,100 SCANA CORP ........................... 781 11,000 SIERRA PACIFIC RESOURCES ............. 413 20,900 UNION ELECTRIC CO .................... 904 20,499 UTILICORP UNITED, INC ................ 796 17,600 WASHINGTON WATER POWER CO ............ 428 15,900 WESTERN RESOURCES, INC ............... 684 ----------- 25,182 ----------- COMMERCIAL BANKS--8.90% 3,700 ALLIED IRISH BANKS PLC (SPONSORED ADR) ..................... 215 16,200 AMSOUTH BANCORP ...................... 880 14,005 ASSOCIATED BANC CORP ................. 772 132,428 BANC ONE CORP ........................ 7,192 1,700 BANCORPSOUTH, INC .................... 80 84,400 BANK OF NEW YORK CO, INC ............. 4,879 157,500 BANKAMERICA CORP ..................... 11,498 30,674 BANKBOSTON CORP ...................... 2,881 20,125 BANKERS TRUST NEW YORK CORP .......... 2,263 43,200 BARNETT BANKS, INC ................... 3,105 26,357 BB&T CORP ............................ 1,688 6,000 CCB FINANCIAL CORP ................... 645 8,200 CENTURA BANKS, INC ................... 566 97,158 CHASE MANHATTAN CORP ................. 10,639 106,621 CITICORP CO .......................... 13,481 5,700 CITIZENS BANKING CORP ................ 197 13,100 CITY NATIONAL CORP ................... 484 5,800 oCNB BANCSHARES, INC .................. 279 13,500 COLONIAL BANCGROUP, INC .............. 465 22,300 COMERICA, INC ........................ 2,013 4,900 COMMERCE BANCORP, INC ................ 250 10,519 COMMERCE BANCSHARES, INC ............. 713 6,800 oCOMMUNITY FIRST BANKSHARES, INC ...... 362 15,750 COMPASS BANCSHARES, INC .............. 689 44,509 CORESTATES FINANCIAL CORP ............ 3,564 23,352 CRESTAR FINANCIAL CORP ............... 1,331 9,500 CULLEN FROST BANKERS, INC ............ 577 12,500 DEPOSIT GUARANTY ..................... 711 VALUE SHARES (000) ------ --------- 27,650 FIFTH THIRD BANCORP .................. $ 2,260 13,219 FIRST AMERICAN CORP .................. 658 71,155 FIRST CHICAGO NBD CORP ............... 5,941 1,000 FIRST CITIZENS BANCSHARES, INC (CLASS A) ........................... 104 9,648 FIRST COMMERCE CORP .................. 649 7,944 FIRST COMMERCIAL CORP ................ 466 200 FIRST EMPIRE STATE CORP .............. 93 2,500 FIRST FINANCIAL BANCORP .............. 121 8,800 FIRST HAWAIIAN, INC .................. 350 3,300 FIRST MIDWEST BANCORP, INC ........... 144 19,401 FIRST OF AMERICA BANK CORP ........... 1,496 24,575 FIRST SECURITY CORP .................. 1,029 13,700 FIRST TENNESSEE NATIONAL CORP ........ 914 12,450 FIRST VIRGINIA BANKS, INC ............ 644 25,800 FIRSTAR CORP ......................... 1,095 17,400 FIRSTMERIT CORP ...................... 494 56,788 FLEET FINANCIAL GROUP, INC ........... 4,256 21,239 FRANCHISE FINANCE CORP OF AMERICA .... 573 8,800 GREENPOINT FINANCIAL CORP ............ 639 12,730 HUBCO, INC ........................... 498 41,441 HUNTINGTON BANCSHARES, INC ........... 1,492 7,500 oIMPERIAL BANCORP ..................... 370 49,400 KEYCORP .............................. 3,498 14,650 KEYSTONE FINANCIAL, INC .............. 590 15,600 MAGNA GROUP, INC ..................... 714 22,256 MARSHALL & ILSLEY CORP ............... 1,383 91,437 MBNA CORP ............................ 2,497 55,448 MELLON BANK CORP ..................... 3,362 27,972 MERCANTILE BANCORP, INC .............. 1,720 18,105 MERCANTILE BANKSHARES CORP ........... 708 41,400 MORGAN (J.P.) & CO, INC .............. 4,673 48,787 NATIONAL CITY CORP ................... 3,208 16,500 NATIONAL COMMERCE BANCORP ............ 582 166,224 NATIONSBANK CORP ..................... 10,108 18,600 NORTH FORK BANCORP, INC .............. 624 24,560 NORTHERN TRUST CORP .................. 1,713 169,296 NORWEST CORP ......................... 6,539 23,716 OLD KENT FINANCIAL CORP .............. 940 5,374 OLD NATIONAL BANCORP ................. 260 6,300 ONBANCORP, INC ....................... 444 8,312 ONE VALLEY BANCORP, INC .............. 322 23,100 PACIFIC CENTURY FINANCIAL CORP ....... 572 100 PARK NATIONAL CORP ................... 9 10,400 PEOPLES HERITAGE FINANCIAL GROUP, INC .......................... 478 71,880 PNC BANK CORP ........................ 4,102 14,600 POPULAR, INC ......................... 723 8,100 oPROVIDENT FINANCIAL GROUP ............ 393 1,500 QUEENS COUNTY BANCORP, INC ........... 61 29,552 REGIONS FINANCIAL CORP ............... 1,247 11,500 REPUBLIC NEW YORK CORP ............... 1,313 14,100 RIGGS NATIONAL CORP .................. 379 21,800 SOUTHTRUST CORP ...................... 1,383 19,700 STAR BANC CORP ....................... 1,130 34,900 STATE STREET CORP .................... 2,031 37,921 SUMMIT BANCORP ....................... 2,019 49,800 SUNTRUST BANKS, INC .................. 3,554 10,920 SUSQUEHANNA BANCSHARES, INC .......... 418 33,025 SYNOVUS FINANCIAL CORP ............... 1,082 9,900 TRUSTMARK CORP ....................... 458 57,160 U.S. BANCORP ......................... 6,398 6,100 U.S. TRUST CORP ...................... 382 840 UMB FINANCIAL CORP ................... 46 14,774 UNION PLANTERS CORP .................. 1,004 See notes to financial statements. -85- EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ --------- COMMERCIAL BANKS-(Continued) 1,900 UNIONBANCAL CORP ..................... $ 204 12,123 VALLEY NATIONAL BANCORP .............. 477 44,006 WACHOVIA CORP ........................ 3,570 17,768 WELLS FARGO & CO ..................... 6,031 4,200 WESTAMERICA BANCORP .................. 429 3,200 WHITNEY HOLDINGS CORP ................ 182 9,100 WILMINGTON TRUST CORP ................ 568 14,500 ZIONS BANCORP ........................ 658 ----------- 181,891 ----------- COMMERCIAL PRINTING--0.09% 10,500 oAPPLIED GRAPHICS TECHNOLOGIES, INC ... 559 4,600 BOWNE & CO, INC ...................... 183 1,800 oCONSOLIDATED GRAPHICS, INC ........... 84 19,900 DONNELLEY (R.R.) & SONS CO ........... 741 8,300 HARLAND (JOHN H.) CO ................. 174 1,000 oTOPPS, INC ........................... 2 ----------- 1,743 ----------- COMMERCIAL SPORTS--0.00% 3,800 oFLORIDA PANTHERS HOLDINGS, INC ....... 66 1,000 oHOLLYWOOD PARK, INC .................. 22 ----------- 88 ----------- COMMUNICATIONS EQUIPMENT--1.12% 73,740 o3COM CORP ............................ 2,576 30,700 oADC TELECOMMUNICATIONS, INC .......... 1,282 14,500 oADVANCED FIBRE COMMUNICATIONS ........ 422 9,500 ALIANT COMMUNICATIONS, INC ........... 298 19,387 oANDREW CORP .......................... 465 6,000 oANTEC CORP ........................... 94 1,000 oAPPLIED INNOVATION, INC .............. 6 13,700 oASPECT TELECOMMUNICATIONS CORP ....... 286 5,500 oBILLING INFORMATION CONCEPTS CORP .... 264 5,600 oBOSTON TECHNOLOGY, INC ............... 141 1,500 oCALIFORNIA MICROWAVE, INC ............ 29 4,066 oCHYRON CORP .......................... 18 1,900 oCIDCO, INC ........................... 37 20,400 oCIENA CORP ........................... 1,247 8,700 oDIGITAL MICROWAVE CORP ............... 126 24,700 oDSC COMMUNICATIONS CORP .............. 593 9,800 oDSP COMMUNICATIONS, INC .............. 118 10,981 oEXCEL COMMUNICATIONS, INC ............ 159 25,100 FEDERAL SIGNAL CORP .................. 543 1,200 oFIRST ALERT, INC ..................... 3 1,600 oGENERAL DATACOMM INDUSTRIES, INC ..... 8 9,900 oGEOTEK COMMUNICATIONS, INC ........... 15 12,587 oGLENAYRE TECHNOLOGIES, INC ........... 124 19,500 HARRIS CORP ......................... 895 2,900 oHEARTLAND WIRELESS COMMUNICATIONS, INC ................. 5 1,000 INTER-TEL, INC ....................... 19 1,100 oINTERDIGITAL COMMUNICATIONS CORP ..... 3 20,800 oITT CORP ............................. 1,724 27,100 ITT INDUSTRIES, INC .................. 850 2,300 oLORAL SPACE & COMMUNICATIONS LTD ..... 49 137,400 MOTOROLA, INC ........................ 7,840 3,400 oNETWORK EQUIPMENT TECHNOLOGIES, INC ................... 50 26,500 oNEXTLEVEL SYSTEMS, INC ............... 474 9,700 oP-COM, INC ........................... 167 13,700 oPAIRGAIN TECHNOLOGIES, INC ........... 265 5,300 oPICTURETEL CORP ...................... 34 3,500 PITTWAY CORP (CLASS A) ............... 244 2,500 oPOWERWAVE TECHNOLOGIES, INC .......... 42 6,100 oPREMISYS COMMUNICATIONS, INC ......... 159 VALUE SHARES (000) ------ --------- 19,700 SCIENTIFIC-ATLANTA, INC .............. $ 330 3,900 oSHIVA CORP ........................... 33 10,500 SYMBOL TECHNOLOGIES, INC ............. 396 2,200 oTCSI CORP ............................ 18 2,800 oTEKELEC .............................. 85 5,100 oTELE-COMMUNICATIONS INTERNATIONAL (CLASS A) ........................... 92 3,400 oWESTELL TECHNOLOGIES, INC (CLASS A) .. 43 9,800 oXYLAN CORP ........................... 148 3,500 oYURIE SYSTEMS, INC ................... 71 ----------- 22,890 ----------- COMMUNICATIONS SERVICES, NEC--0.06% 3,700 oAMERICAN MOBILE SATELLITE CORP ....... 26 16,500 COMSAT CORP SERIES 1 ................. 400 8,000 oMCLEODUSA, INC (CLASS A) ............. 256 13,900 WPL HOLDINGS, INC .................... 460 ----------- 1,142 ----------- COMPUTER AND DATA PROCESSING SERVICES--3.65% 400 o3DO CO ............................... 1 2,900 oACCLAIM ENTERTAINMENT, INC ........... 11 11,300 oACXIOM CORP .......................... 218 15,272 ADOBE SYSTEMS, INC ................... 630 8,800 oAFFILIATED COMPUTER SERVICES, INC (CLASS A) ........................... 232 7,700 oAFFYMETRIX, INC ...................... 240 22,100 oAMERICA ONLINE, INC .................. 1,971 9,825 oAMERICAN MANAGEMENT SYSTEMS, INC ..... 192 5,250 ANALYSTS INTERNATIONAL CORP .......... 181 2,400 oARBOR SOFTWARE CORP .................. 97 6,100 oASPEN TECHNOLOGY, INC ................ 209 9,400 AUTODESK, INC ........................ 348 65,400 AUTOMATIC DATA PROCESSING, INC ....... 4,014 4,600 oAVANT CORP ........................... 77 400 oBANYAN SYSTEMS, INC .................. 1 4,800 oBEA SYSTEMS, INC ..................... 83 8,000 oBISYS GROUP, INC ..................... 266 21,000 oBMC SOFTWARE, INC .................... 1,378 2,200 oBORLAND INTERNATIONAL, INC ........... 16 6,600 oBRODERBUND SOFTWARE, INC ............. 169 42,450 oCADENCE DESIGN SYSTEMS, INC .......... 1,040 8,400 oCAMBRIDGE TECHNOLOGY PARTNERS, INC ....................... 350 16,400 oCERIDIAN CORP ........................ 751 7,100 oCERNER CORP .......................... 150 6,300 oCHECKPOINT SYSTEMS, INC .............. 110 2,680 oCHOICEPOINT, INC ..................... 128 3,100 oCIBER, INC ........................... 180 12,300 oCIRRUS LOGIC, INC .................... 131 5,200 oCITRIX SYSTEMS, INC .................. 395 2,200 oCLARIFY, INC ......................... 26 11,775 COMDISCO, INC ........................ 394 9,700 oCOMPUSERVE CORP ...................... 118 92,475 COMPUTER ASSOCIATES INTERNATIONAL, INC .................. 4,890 6,950 oCOMPUTER HORIZONS CORP ............... 316 15,260 oCOMPUTER SCIENCES CORP ............... 1,274 6,200 COMPUTER TASK GROUP, INC ............. 220 10,000 oCOMPUTERVISION CORP .................. 38 31,000 oCOMPUWARE CORP ....................... 992 9,950 oCORESTAFF, INC ....................... 264 6,700 oCSG SYSTEMS INTERNATIONAL, INC ....... 268 2,100 oDIALOGIC CORP ........................ 92 2,700 oDOCUMENTUM, INC ...................... 114 See notes to financial statements. -86- EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ --------- COMPUTER AND DATA PROCESSING SERVICES-(Continued) 7,300 oDST SYSTEMS, INC ..................... $ 312 8,250 oE TRADE GROUP, INC ................... 190 10,700 oELECTRONIC ARTS, INC ................. 405 74,200 ELECTRONIC DATA SYSTEMS CORP ......... 3,260 11,300 oELECTRONICS FOR IMAGING, INC ......... 188 3,500 oENVOY CORP ........................... 102 2,600 oFILENET CORP ......................... 78 84,548 FIRST DATA CORP ...................... 2,473 11,300 oFISERV, INC .......................... 555 17,000 oFORE SYSTEMS, INC .................... 259 5,600 oFORTE SOFTWARE, INC .................. 43 8,300 oGT INTERACTIVE SOFTWARE CORP ......... 53 11,100 oGTECH HOLDINGS CORP .................. 355 6,000 oHARBINGER CORP ....................... 169 41,000 HBO & CO ............................. 1,968 1,400 oHCIA, INC ............................ 17 3,500 oHEALTH MANAGEMENT SYSTEMS, INC ....... 21 4,200 oHNC SOFTWARE ......................... 181 4,200 oHYPERION SOFTWARE CORP ............... 150 1,000 oI2 TECHNOLOGIES, INC ................. 53 3,800 oIDX SYSTEMS CORP ..................... 141 1,600 oINFORMATION RESOURCES, INC ........... 21 3,000 oINSO CORP ............................ 35 267 oINTEGRATED SYSTEMS CONSULTING GROUP .................... 3 3,800 oINTEGRATED SYSTEMS, INC .............. 52 6,000 oINTERNATIONAL NETWORK SERVICES ....... 139 2,100 oINTERVOICE, INC ...................... 16 7,800 oINTUIT, INC .......................... 322 2,000 oITRON, INC ........................... 36 500 oJTS CORP ............................. 0 14,000 oKEANE, INC ........................... 569 800 oLANDSTAR SYSTEM, INC ................. 21 9,300 oLEARNING CO, INC ..................... 149 3,400 oLEGATO SYSTEMS, INC .................. 150 1,300 oLHS GROUP, INC ....................... 78 3,800 oMACROMEDIA, INC ...................... 32 4,700 oMANUGISTICS GROUP, INC ............... 210 2,500 oMASTECH CORP ......................... 79 12,300 oMENTOR GRAPHICS CORP ................. 119 170,880 oMICROSOFT CORP ....................... 22,086 3,200 oMIDWAY GAMES, INC .................... 58 9,500 NATIONAL DATA CORP ................... 343 4,200 oNATIONAL INSTRUMENTS CORP ............ 122 1,100 oNETCOM ON-LINE COMMUNICATIONS SERVICE, INC ........................ 26 4,200 oNETMANAGE, INC ....................... 12 10,020 oNETSCAPE COMMUNICATIONS CORP ......... 244 14,479 oNETWORKS ASSOCIATES, INC ............. 766 75,200 oNOVELL, INC .......................... 564 1,400 oODS NETWORKS, INC .................... 9 168,887 oORACLE CORP .......................... 3,768 26,000 oPARAMETRIC TECHNOLOGY CORP ........... 1,232 18,712 PAYCHEX, INC ......................... 947 2,600 oPEGASYSTEMS, INC ..................... 52 31,100 oPEOPLESOFT, INC ...................... 1,213 5,200 oPHYSICIAN COMPUTER NETWORK, INC ...... 21 14,700 oPLATINUM TECHNOLOGY, INC ............. 415 5,500 oPOLICY MANAGEMENT SYSTEMS CORP ....... 383 1,400 oPROGRESS SOFTWARE CORP ............... 30 5,400 oPROTEIN DESIGN LABORATORIES, INC ..... 216 4,500 oPSINET, INC .......................... 23 2,100 oQUARTERDECK CORP ..................... 3 VALUE SHARES (000) ------ --------- 4,400 oREMEDY CORP .......................... $ 92 1,900 oSAPIENT CORP ......................... 116 4,000 oSCOPUS TECHNOLOGY, INC ............... 48 9,450 oSECURITY DYNAMICS TECHNOLOGIES, INC .. 338 5,300 SHARED MEDICAL SYSTEMS CORP .......... 350 5,048 oSIEBEL SYSTEMS, INC .................. 211 19,477 oSTERLING COMMERCE, INC ............... 749 11,700 oSTERLING SOFTWARE, INC ............... 480 6,000 oSTRUCTURAL DYNAMICS RESEARCH CORP ....................... 135 16,900 oSUNGARD DATA SYSTEMS, INC ............ 524 18,900 oSYBASE, INC .......................... 252 4,100 oSYKES ENTERPRISES, INC ............... 80 12,400 oSYMANTEC CORP ........................ 272 9,572 oSYNOPSYS, INC ........................ 342 3,950 oSYSTEM SOFTWARE ASSOCIATES, INC ...... 35 3,000 oSYSTEMS & COMPUTER TECHNOLOGY CORP ..................... 149 2,400 oSYSTEMSOFT CORP ...................... 15 6,150 oTECHNOLOGY SOLUTIONS CO .............. 162 7,600 oTRANSACTION SYSTEM ARCHITECTURE ...... 289 5,000 oUSCS INTERNATIONAL, INC .............. 85 9,800 oVANSTAR CORP ......................... 111 2,500 oVANTIVE CORP ......................... 63 6,000 oVERITAS SOFTWARE CORP ................ 306 4,100 oVIASOFT, INC ......................... 173 5,600 oVISIO CORP ........................... 215 6,600 oWIND RIVER SYSTEMS, INC .............. 262 6,300 oYAHOO, INC ........................... 436 4,800 oZILOG, INC ........................... 92 ----------- 74,494 ----------- COMPUTER AND OFFICE EQUIPMENT--4.36% 6,500 oADTRAN, INC .......................... 179 32,700 oAPPLE COMPUTER, INC .................. 429 36,510 oASCEND COMMUNICATIONS, INC ........... 894 4,200 oAUSPEX SYSTEMS, INC .................. 42 6,100 oBANCTEC, INC ......................... 164 46,745 oBAY NETWORKS, INC .................... 1,195 3,900 oBELL & HOWELL CO ..................... 94 23,300 oCABLETRON SYSTEMS, INC ............... 350 231,970 oCISCO SYSTEMS, INC ................... 12,932 162,277 COMPAQ COMPUTER CORP ................. 9,159 7,100 oCOMVERSE TECHNOLOGY, INC ............. 277 13,175 oCONCORD EFS, INC ..................... 328 7,800 oCOPYTELE, INC ........................ 27 13,700 oDATA GENERAL CORP .................... 239 60,120 oDELL COMPUTER CORP ................... 5,050 5,700 oDIAMOND MULTIMEDIA SYSTEMS, INC ...... 51 18,275 DIEBOLD, INC ......................... 925 34,800 oDIGITAL EQUIPMENT CORP ............... 1,288 4,500 oDYNATECH CORP ........................ 211 110,700 oEMC CORP ............................. 3,037 1,700 oENCAD, INC ........................... 47 3,100 oEXABYTE CORP ......................... 20 12,500 oGATEWAY 2000, INC .................... 408 189,300 HEWLETT-PACKARD CO ................... 11,831 9,700 oHMT TECHNOLOGY CORP .................. 126 21,000 oIMATION CORP ......................... 336 1,700 oIN FOCUS SYSTEMS, INC ................ 52 8,400 oINTERGRAPH CORP ...................... 84 224,100 *INTERNATIONAL BUSINESS MACHINES CORP ....................... 23,432 50,200 oIOMEGA CORP .......................... 624 See notes to financial statements. -87- EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ --------- COMPUTER AND OFFICE EQUIPTMENT-(Continued) 14,900 oLEXMARK INTERNATIONAL GROUP (CLASS A) ........................... $ 566 7,900 oLITTON INDUSTRIES, INC ............... 454 11,100 oMICROCHIP TECHNOLOGY, INC ............ 333 9,700 oMICRON ELECTRONICS, INC .............. 89 1,000 oMYLEX CORP ........................... 9 17,368 oNCR CORP ............................. 483 4,800 oNEOMAGIC CORP ........................ 61 9,800 oNETWORK APPLIANCE, INC ............... 348 36,000 PITNEY BOWES, INC .................... 3,238 1,392 PREMIER FARNELL PLC ADR .............. 19 23,900 oQUANTUM CORP ......................... 479 15,492 oRATIONAL SOFTWARE CORP ............... 176 15,100 REYNOLDS & REYNOLDS CO (CLASS A) ..... 278 9,500 oSAFEGUARD SCIENTIFICS, INC ........... 298 53,300 oSEAGATE TECHNOLOGY, INC .............. 1,026 11,700 oSEQUENT COMPUTER SYSTEMS, INC ........ 234 39,868 oSILICON GRAPHICS, INC ................ 496 23,500 oSOLECTRON CORP ....................... 977 13,900 oSTORAGE TECHNOLOGY CORP .............. 861 8,200 oSTRATUS COMPUTER, INC ................ 310 82,800 oSUN MICROSYSTEMS, INC ................ 3,302 37,500 oUNISYS CORP .......................... 520 2,800 oVIDEOSERVER, INC ..................... 44 13,900 oWANG LABORATORIES, INC ............... 308 18,500 oWESTERN DIGITAL CORP ................. 297 3,900 oXIRCOM, INC .......................... 39 ----------- 89,076 ----------- CONCRETE, GYPSUM AND PLASTER PRODUCTS--0.05% 10,528 LAFARGE CORP ......................... 311 2,500 LONE STAR INDUSTRIES, INC ............ 133 10,800 oUSG CORP ............................. 529 ----------- 973 ----------- CONSTRUCTION AND RELATED MACHINERY--0.46% 36,000 BAKER HUGHES, INC .................... 1,571 10,020 CAMCO INTERNATIONAL, INC ............. 638 83,300 CATERPILLAR, INC ..................... 4,045 46,600 DOVER CORP ........................... 1,683 7,500 oEVI, INC ............................. 388 5,300 oGLOBAL INDUSTRIAL TECHNOLOGIES, INC ................... 90 15,200 HARNISCHFEGER INDUSTRIES, INC ........ 537 7,900 JLG INDUSTRIES, INC .................. 112 3,800 MANITOWOC, INC ....................... 124 6,400 oVARCO INTERNATIONAL, INC ............. 137 ----------- 9,325 ----------- COPPER ORES--0.03% 39,900 CYPRUS AMAX MINERALS CO .............. 613 ----------- CREDIT REPORTING AND COLLECTION--0.15% 16,666 oACNEILSEN CORP ....................... 406 34,200 COGNIZANT CORP ....................... 1,524 34,900 DUN & BRADSTREET CORP ................ 1,080 7,000 oPMT SERVICES, INC .................... 97 ----------- 3,107 ----------- CRUSHED AND BROKEN STONE--0.05% 11,368 MARTIN MARIETTA MATERIALS, INC ....... 416 6,800 VULCAN MATERIALS CO .................. 694 ----------- 1,110 ----------- VALUE SHARES (000) ------ --------- CUTLERY, HANDTOOLS AND HARDWARE--0.70% 129,111 GILLETTE CO .......................... $ 12,968 14,550 SNAP-ON, INC ......................... 635 14,300 STANLEY WORKS CO ..................... 675 ----------- 14,278 ----------- DAIRY PRODUCTS--0.03% 10,600 DEAN FOODS CO ........................ 631 1,400 DREYERS GRAND ICE CREAM, INC ......... 34 ----------- 665 ----------- DEEP SEA FOREIGN TRANSPORTATION OF FREIGHT--0.03% 12,400 ALEXANDER & BALDWIN, INC ............. 339 6,200 oOMI, INC ............................. 57 6,700 OVERSEAS SHIPHOLDING GROUP, INC ...... 146 ----------- 542 ----------- DEPARTMENT STORES--1.41% 1,300 xoCALDOR CORP .......................... 0 7,700 oCARSON PIRIE SCOTT & CO .............. 386 47,800 DAYTON HUDSON CORP ................... 3,227 24,400 DILLARDS, INC (CLASS A) .............. 860 47,913 oFEDERATED DEPARTMENT STORES, INC ..... 2,063 31,844 oFRED MEYER, INC ...................... 1,158 14,800 oKOHLS CORP ........................... 1,008 55,300 MAY DEPARTMENT STORES CO ............. 2,914 8,100 MERCANTILE STORES CO, INC ............ 493 5,700 oNEIMAN-MARCUS GROUP, INC ............. 172 51,305 PENNEY, (J.C.) CO, INC ............... 3,094 12,100 oPROFFITTS, INC ....................... 344 11,500 ROSS STORES, INC ..................... 418 321,900 WAL-MART STORES, INC ................. 12,695 ----------- 28,832 ----------- DRUG STORES AND PROPRIETARY STORES--0.39% 17,437 ARBOR DRUGS, INC ..................... 323 37,531 CVS CORP ............................. 2,404 8,700 LONGS DRUG STORES CORP ............... 279 25,915 oRITE AID CORP ........................ 1,521 2,066 oVITALINK PHARMACY SERVICES, INC ...... 50 107,700 WALGREEN CO .......................... 3,379 ----------- 7,956 ----------- DRUGS--7.28% 179,500 ABBOTT LABORATORIES CO ............... 11,768 3,200 oALKERMES, INC ........................ 64 19,440 ALLEGIANCE CORP ...................... 689 15,700 ALLERGAN, INC ........................ 527 3,000 oALLIANCE PHARMACEUTICAL CORP ......... 22 149,500 AMERICAN HOME PRODUCTS CORP .......... 11,437 6,800 oAMYLIN PHARMACEUTICALS, INC .......... 37 3,100 oBARR LABORATORIES, INC ............... 106 61,400 BAXTER INTERNATIONAL, INC ............ 3,097 13,000 oBIO-TECHNOLOGY GENERAL CORP .......... 140 14,500 oBIOGEN, INC .......................... 527 979 BLOCK DRUG, INC (CLASS A) ............ 42 229,300 BRISTOL MYERS SQUIBB CO .............. 21,698 4,700 CARTER WALLACE, INC .................. 79 14,700 oCENTOCOR, INC ........................ 489 41,628 oCHIRON CORP .......................... 708 200 oCOPLEY PHARMACEUTICAL, INC ........... 1 1,100 oCOR THERAPEUTICS, INC ................ 25 17,550 oCOVANCE, INC ......................... 349 855 oCRESCENDO PHARMACEUTICALS CORP ....... 10 See notes to financial statements. -88- EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ --------- DRUGS-(Continued) 10,800 oDURA PHARMACEUTICALS, INC ............ $ 495 2,364 oELAN CORP PLC ADR .................... 121 10,100 oFOREST LABORATORIES, INC ............. 498 600 oGENSIA SICOR, INC .................... 3 18,500 oGENZYME CORP (GENERAL DIVISION) ...... 513 495 oGENZYME CORP (TISSUE REPAIR DIVISION) ............ 3 9,400 oGILEAD SCIENCES, INC ................. 360 10,444 ICN PHARMACEUTICALS, INC ............. 510 7,900 oIDEXX LABORATORIES, INC .............. 126 5,700 oINTERNATIONAL SPECIALTY PRODUCTS, INC ....................... 85 7,800 oINTERNEURON PHARMACEUTICALS, INC ..... 74 41,392 oIVAX CORP ............................ 279 5,700 JONES MEDICAL INDUSTRIES, INC ........ 218 600 oLIGAND PHARMACEUTICALS CO (CLASS A) ........................... 8 211,276 LILLY (ELI) & CO ..................... 14,710 18,600 MALLINCKRODT, INC .................... 707 15,713 MARK IV INDUSTRIES, INC .............. 344 2,400 oMATRIX PHARMACEUTICALS, INC .......... 8 3,400 oMEDICIS PHARMACEUTICAL CORP (CLASS A) ........................... 174 30,419 oMEDPARTNERS, INC ..................... 681 276,200 MERCK & CO, INC ...................... 29,346 27,250 MYLAN LABORATORIES, INC .............. 571 6,300 oNABI, INC ............................ 21 1,200 oNEUROGEN CORP ........................ 16 4,700 oNEXSTAR PHARMACEUTICALS, INC ......... 53 5,200 oPAREXEL INTERNATIONAL CORP ........... 192 25,500 oPERRIGO CO ........................... 341 297,300 PFIZER, INC .......................... 22,167 3,500 oPHARMACEUTICAL PRODUCT DEVELOPMENT ......................... 54 116,445 PHARMACIA & UPJOHN, INC .............. 4,265 9,800 oQUINTILES TRANSNATIONAL CORP ......... 375 1,900 oROBERTS PHARMACEUTICAL CORP .......... 18 167,900 SCHERING-PLOUGH CORP ................. 10,431 8,800 oSEPRACOR, INC ........................ 353 6,400 oSEQUUS PHARMACEUTICALS, INC .......... 48 2,200 oSOMATOGEN, INC ....................... 10 8,100 oTWINLAB CORP ......................... 200 9,900 oVERTEX PHARMACEUTICALS, INC .......... 327 61,500 WARNER-LAMBERT CO .................... 7,626 18,576 oWATSON PHARMACEUTICALS, INC .......... 603 ----------- 148,749 ----------- DRUGS, PROPRIETARIES, AND SUNDRIES--0.39% 7,400 oAMERISOURCE HEALTH CORP (CLASS A) .... 431 57,700 oAMGEN, INC ........................... 3,123 11,525 BERGEN BRUNSWIG CORP (CLASS A) ....... 485 25,371 CARDINAL HEALTH, INC ................. 1,906 1,000 oHERBALIFE INTERNATIONAL, INC (CLASS A) ........................... 21 2,000 oHERBALIFE INTERNATIONAL, INC (CLASS B) ........................... 43 5,200 oIMMUNEX CORP ......................... 281 9,500 MCKESSON CORP ........................ 1,028 3,890 oNBTY, INC ............................ 130 8,200 oREXALL SUNDOWN, INC .................. 248 7,500 oSCHEIN (HENRY), INC .................. 263 ----------- 7,959 ----------- EATING AND DRINKING PLACES--0.64% 11,800 APPLE SOUTH, INC ..................... $ 155 6,800 APPLEBEES INTERNATIONAL, INC ......... 123 11,100 oBOSTON CHICKEN, INC .................. 71 23,700 oBRINKER INTERNATIONAL, INC ........... 379 5,600 oBUFFETS, INC ......................... 53 10,600 CKE RESTAURANTS, INC ................. 447 14,500 CRACKER BARREL OLD COUNTRY STORE, INC ........................... 484 44,400 DARDEN RESTAURANTS, INC .............. 555 12,100 oFOODMAKER, INC ....................... 182 7,400 oLANDRYS SEAFOOD RESTAURANTS, INC ..... 178 8,200 oLONE STAR STEAKHOUSE & SALOON, INC ... 144 9,500 LUBYS CAFETERIA, INC ................. 167 162,200 MCDONALDS CORP ....................... 7,745 1,100 MORRISON HEALTH CARE, INC ............ 22 825 MORRISON RESTAURANTS, INC ............ 2 9,900 oOUTBACK STEAKHOUSE, INC .............. 285 7,850 oPAPA JOHNS INTERNATIONAL, INC ........ 274 7,100 oPLANET HOLLYWOOD, INC (CLASS A) ...... 94 2,100 oRAINFOREST CAFE, INC ................. 69 2,250 oRUBY TUESDAY, INC .................... 58 10,900 oRYANS FAMILY STEAK HOUSES, INC ....... 93 2,700 SBARRO, INC .......................... 71 5,600 oSHONEYS, INC ......................... 18 29,790 oTRICON GLOBAL RESTAURANTS, INC ....... 866 20,900 WENDYS INTERNATIONAL, INC ............ 503 ----------- 13,038 ----------- ELECTRIC DISTRIBUTION EQUIPMENT--0.28% 146,966 CBS CORP ............................. 4,326 22,030 COOPER INDUSTRIES, INC ............... 1,079 7,500 oLITTLEFUSE, INC ...................... 187 4,400 oMAGNETEK, INC ........................ 86 2,400 oOAK INDUSTRIES, INC .................. 71 ----------- 5,749 ----------- ELECTRIC LIGHTING AND WIRING EQUIPMENT--0.04% 1,500 oCHICAGO MINIATURE LAMP, INC .......... 51 1,700 JUNO LIGHTING, INC ................... 30 12,905 THOMAS & BETTS CORP .................. 610 6,700 VALMONT INDUSTRIES ................... 131 ----------- 822 ----------- ELECTRIC SERVICES--2.42% 29,100 oAES CORP ............................. 1,357 26,000 ALLEGHENY ENERGY, INC ................ 845 42,600 AMERICAN ELECTRIC POWER CO, INC ...... 2,199 25,000 ATLANTIC ENERGY, INC ................. 530 14,300 BOSTON EDISON CO ..................... 542 11,500 oCALENERGY, INC ....................... 331 32,200 CAROLINA POWER & LIGHT CO ............ 1,366 44,300 CENTRAL & SOUTH WEST CORP ............ 1,199 9,700 CENTRAL LOUISIANA ELECTRIC, INC ...... 314 30,123 CINERGY CORP ......................... 1,154 19,900 CMS ENERGY CORP ...................... 877 5,700 COMMONWEALTH ENERGY SYSTEM CO ........ 190 42,300 DOMINION RESOURCES, INC .............. 1,800 21,600 DPL, INC ............................. 621 16,900 DQE, INC ............................. 594 30,000 DTE ENERGY CO ........................ 1,041 81,670 DUKE ENERGY CORP ..................... 4,522 3,300 EASTERN UTILITIES ASSOCIATION CO ..... 87 54,500 ENTERGY CORP ......................... 1,632 53,325 oFIRSTENERGY CORP ..................... 1,546 See notes to financial statements. -89- EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ --------- ELECTRIC SERVICES-(Continued) 21,600 FLORIDA PROGRESS CORP ................ $ 848 36,100 FPL GROUP, INC ....................... 2,137 25,700 GPU, INC ............................. 1,083 6,400 HAWAIIAN ELECTRIC INDUSTRIES, INC .... 262 61,849 HOUSTON INDUSTRIES, INC .............. 1,651 11,800 IDAHO POWER CO ....................... 444 20,400 ILLINOVA CORP ........................ 550 8,500 KU ENERGY CORP ....................... 334 17,200 LOUISVILLE GAS & ELECTRIC ENERGY CORP ......................... 426 12,200 MINNESOTA POWER & LIGHT CO ........... 531 15,800 NEVADA POWER CO ...................... 420 17,600 NEW ENGLAND ELECTRIC SYSTEMS CO ...... 752 59,100 NORTHEAST UTILITIES CO ............... 698 13,300 OGE ENERGY CORP ...................... 727 95,565 PG&E CORP ............................ 2,909 17,800 PINNACLE WEST CAPITAL CORP ........... 754 29,400 POTOMAC ELECTRIC POWER CO ............ 759 34,600 PP&L RESOURCES, INC .................. 828 21,940 PUGET SOUND ENERGY, INC .............. 662 156,600 SOUTHERN CO .......................... 4,052 30,300 TECO ENERGY, INC ..................... 852 51,582 TEXAS UTILITIES CO ................... 2,144 4,940 oTUCSON ELECTRIC POWER CO ............. 90 7,610 UGI CORP ............................. 223 45,500 UNICOM CORP .......................... 1,399 1,500 UNITED ILLUMINATING CO ............... 69 28,900 WISCONSIN ENERGY CORP ................ 831 9,200 WPS RESOURCES CORP ................... 311 ----------- 49,493 ----------- ELECTRICAL GOODS--0.20% 21,674 oARROW ELECTRONICS, INC ............... 703 8,200 oAVID TECHNOLOGIES, INC ............... 219 9,300 AVNET, INC ........................... 614 2,950 oCELLSTAR CORP ........................ 59 9,200 GRAINGER (W.W.), INC ................. 894 10,565 oHSN, INC ............................. 544 7,900 oKENT ELECTRONICS CORP ................ 198 6,200 oMARSHALL INDUSTRIES, INC ............. 186 5,800 oOAK TECHNOLOGY, INC .................. 38 1,950 PIONEER-STANDARD ELECTRONICS, INC .... 30 13,500 oQUALCOMM, INC ........................ 682 ----------- 4,167 ----------- ELECTRICAL INDUSTRIAL APPARATUS--0.41% 17,200 oAMERICAN POWER CONVERSION CORP ....... 406 7,400 AMETEK, INC .......................... 200 9,866 BALDOR ELECTRIC CO ................... 214 92,600 EMERSON ELECTRIC CO .................. 5,226 10,600 STEWART & STEVENSON SERVICES, INC .... 270 35,150 oTHERMO ELECTRON CORP ................. 1,564 8,600 oUCAR INTERNATIONAL, INC .............. 343 6,800 oVICOR CORP ........................... 184 2,400 oZOLTEK COS, INC ...................... 67 ----------- 8,474 ----------- ELECTRICAL WORK--0.01% 7,900 oMEMC ELECTRONIC MATERIALS, INC ....... 120 ----------- ELECTRONIC COMPONENTS AND ACCESSORIES--2.42% 3,600 oACTEL CORP ........................... 45 24,950 oADAPTEC, INC ......................... 926 1,900 oADVANCED ENERGY INDUSTRIES, INC ...... 28 VALUE SHARES (000) ------ --------- 28,500 oADVANCED MICRO DEVICES, INC .......... $ 511 1,500 oALLIANCE SEMICONDUCTOR CORP .......... 7 17,600 oALTERA CORP .......................... 583 45,800 AMP, INC ............................. 1,924 3,000 oANADIGICS, INC ....................... 90 32,833 oANALOG DEVICES, INC .................. 909 20,400 oATMEL CORP ........................... 379 8,500 AVX CORP ............................. 157 9,200 oBERG ELECTRICS CORP .................. 209 5,900 oBLACK BOX CORP ....................... 209 7,600 BMC INDUSTRIES, INC .................. 123 4,100 oCHIPS & TECHNOLOGIES, INC ............ 59 2,800 oCOHERENT, INC ........................ 98 6,300 oCOMPUTER PRODUCTS, INC ............... 143 19,300 oCYPRESS SEMICONDUCTOR CORP ........... 164 8,000 DALLAS SEMICONDUCTOR CORP ............ 326 7,680 oDII GROUP, INC ....................... 209 3,900 oESS TECHNOLOGY ....................... 30 6,800 oGENERAL SEMICONDUCTOR, INC ........... 79 2,900 oHADCO CORP ........................... 131 7,150 HARMAN INTERNATIONAL INDUSTRIES, INC ..................... 303 22,700 oINTEGRATED DEVICE TECHNOLOGY, INC .... 214 372,670 INTEL CORP ........................... 26,180 13,100 oINTERNATIONAL RECTIFIER CORP ......... 155 2,800 oJABIL CIRCUIT, INC ................... 111 12,100 oKEMET CORP ........................... 234 5,100 oLATTICE SEMICONDUCTOR CORP ........... 242 4,800 oLEVEL ONE COMMUNICATIONS, INC ........ 136 14,800 LINEAR TECHNOLOGY CO ................. 853 27,900 oLSI LOGIC CORP ....................... 551 25,600 oMAXIM INTEGRATED PRODUCTS ............ 883 8,200 METHODE ELECTRONICS, INC (CLASS A) ... 133 3,200 oMICREL, INC .......................... 90 34,700 oMICRON TECHNOLOGY, INC ............... 902 21,132 MOLEX, INC ........................... 679 5,600 oMRV COMMUNICATIONS, INC .............. 134 31,892 oNATIONAL SEMICONDUCTOR CORP .......... 827 3,900 oOBJECTIVE SYSTEMS INTEGRATORS, INC ... 33 6,300 oPMC-SIERRA, INC ...................... 195 1,100 oRADISYS CORP ......................... 41 5,000 oRAMBUS, INC .......................... 229 12,100 oREAD RITE CORP ....................... 191 11,200 oS3, INC .............................. 56 4,100 oSANDISK CORP ......................... 83 5,000 oSANMINA CORP ......................... 339 3,100 oSAWTEK, INC .......................... 82 12,200 oSCI SYSTEMS, INC ..................... 531 8,800 oSILICON VALLEY GROUP, INC ............ 199 5,800 oSMART MODULAR TECHNOLOGIES, INC ...... 133 1,400 oSPEEDFAM INTERNATIONAL, INC .......... 37 36,060 oTELLABS, INC ......................... 1,907 85,300 TEXAS INSTRUMENTS, INC ............... 3,839 5,200 oUNITRODE CORP ........................ 112 18,036 oVISHAY INTERTECHNOLOGY, INC .......... 426 1,500 oVISX, INC ............................ 33 8,400 oVITESSE SEMICONDUCTOR CORP ........... 317 8,100 oVLSI TECHNOLOGY, INC ................. 191 14,400 oXILINX, INC .......................... 505 ----------- 49,445 ----------- ENGINEERING AND ARCHITECTURAL SERVICES--0.01% 6,100 oJACOBS ENGINEERING GROUP, INC ........ 155 ----------- See notes to financial statements. -90- EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ --------- ENGINES AND TURBINES--0.14% 22,600 BRUNSWICK CORP ....................... $ 685 9,000 CUMMINS ENGINE CO, INC ............... 532 5,100 oDETROIT DIESEL CORP .................. 121 36,500 DRESSER INDUSTRIES, INC .............. 1,531 ----------- 2,869 ----------- FABRICATED RUBBER PRODUCTS, NEC--0.03% 8,500 CARLISLE COS, INC .................... 363 4,500 oFOAMEX INTERNATIONAL, INC ............ 49 7,800 GENCORP, INC ......................... 195 500 STANDARD PRODUCTS CO ................. 13 1,100 WEST CO, INC ......................... 33 ----------- 653 ----------- FABRICATED STRUCTURAL METAL PRODUCTS--0.03% 7,400 oMILLER INDUSTRIES, INC ............... 80 675 TRANSPRO, INC ........................ 6 9,800 TRINITY INDUSTRIES, INC .............. 437 ----------- 523 ----------- FAMILY CLOTHING STORES--0.18% 67,050 GAP, INC ............................. 2,376 9,100 NORDSTROM, INC ....................... 549 15,400 oSAKS HOLDINGS, INC ................... 319 7,500 oSTAGE STORES, INC .................... 280 4,200 oSTEIN MART, INC ...................... 112 ----------- 3,636 ----------- FARM AND GARDEN MACHINERY--0.24% 13,700 AGCO CORP ............................ 401 17,500 CASE CORP ............................ 1,058 56,200 DEERE & CO ........................... 3,277 2,400 TORO CO .............................. 102 ----------- 4,838 ----------- FARM-PRODUCT RAW MATERIALS--0.04% 12,900 DIMON, INC ........................... 339 9,300 UNIVERSAL CORP ....................... 382 ----------- 721 ----------- FEDERAL AND FEDERALLY-SPONSORED CREDIT AGENCIES--1.05% 235,800 FEDERAL NATIONAL MORTGAGE ASSOCIATION ......................... 13,455 151,900 FREDDIE MAC .......................... 6,370 10,800 SLM HOLDING CORP ..................... 1,503 2,000 STUDENT LOAN CORP .................... 99 ----------- 21,427 ----------- FIRE, MARINE AND CASUALTY INSURANCE--0.91% 12,150 ALLIED GROUP, INC .................... 348 87,228 ALLSTATE CORP ........................ 7,927 7,800 AMERICAN FINANCIAL GROUP, INC ........ 314 6,400 ARGONAUT GROUP, INC .................. 217 4,500 CITIZENS CORP ........................ 129 7,900 COMMERCE GROUP, INC .................. 258 3,800 ERIE INDEMNITY CO (CLASS A) .......... 112 8,700 FRONTIER INSURANCE GROUP, INC ........ 199 3,000 HARLEYSVILLE GROUP, INC .............. 72 22,600 HARTFORD FINANCIAL SERVICES GROUP, INC .......................... 2,115 10,700 HCC INSURANCE HOLDINGS, INC .......... 227 9,000 HORACE MANN EDUCATORS CORP ........... 256 5,000 HSB GROUP, INC ....................... 276 300 oMARKEL CORP .......................... 47 VALUE SHARES (000) ------ ---------- 4,800 MERCURY GENERAL CORP ................. $ 265 8,700 NAC RE CORP .......................... 425 10,500 PROGRESSIVE CORP ..................... 1,259 28,600 SAFECO CORP .......................... 1,394 16,700 ST. PAUL COS, INC .................... 1,370 12,900 TIG HOLDINGS, INC .................... 428 2,850 TRANSATLANTIC HOLDINGS, INC .......... 204 22,800 USF&G CORP ........................... 503 5,400 VESTA INSURANCE GROUP, INC ........... 321 ----------- 18,666 ----------- FLAT GLASS--0.10% 37,200 PPG INDUSTRIES, INC .................. 2,125 ----------- FOOTWEAR EXCEPT, RUBBER--0.03% 9,969 oFOOTSTAR, INC ........................ 268 600 JUSTIN INDUSTRIES, INC ............... 8 8,400 oNINE WEST GROUP, INC ................. 218 10,500 STRIDE RITE CORP ..................... 126 ----------- 620 ----------- FREIGHT TRANSPORTATION ARRANGEMENT--0.03% 5,000 AIRBORNE FREIGHT CORP ................ 311 8,300 EXPEDITORS INTERNATIONAL OF WASHINGTON ....................... 320 3,000 oFRITZ COS, INC ....................... 42 ----------- 673 ----------- FUNERAL SERVICE AND CREMATORIES--0.13% 3,700 oEQUITY CORP INTERNATIONAL ............ 86 51,300 SERVICE CORP INTERNATIONAL ........... 1,895 12,500 STEWART ENTERPRISES, INC (CLASS A) ... 583 ----------- 2,564 ----------- FURNITURE AND HOME FURNISHINGS STORES--0.09% 9,300 oBED BATH & BEYOND, INC ............... 358 1,200 oBOMBAY, INC .......................... 6 7,800 ETHAN ALLEN INTERIORS, INC ........... 301 21,100 HEILIG MEYERS CO ..................... 253 5,400 oLINENS N THINGS, INC ................. 236 19,370 PIER 1 IMPORTS, INC .................. 438 4,500 oWILLIAMS-SONOMA, INC ................. 188 ----------- 1,780 ----------- GAS PRODUCTION AND DISTRIBUTION--0.58% 16,800 AGL RESOURCES, INC ................... 343 8,282 ATMOS ENERGY CORP .................... 251 22,900 COASTAL CORP ......................... 1,418 15,248 EL PASO NATURAL GAS CO ............... 1,014 8,200 EQUITABLE RESOURCES, INC ............. 290 7,500 INDIANA ENERGY, INC .................. 247 13,100 KEYSPAN ENERGY CORP .................. 482 5,000 KN ENERGY, INC ....................... 270 16,900 MCN ENERGY GROUP, INC ................ 682 6,500 MDU RESOURCES GROUP, INC ............. 206 11,500 NATIONAL FUEL GAS CO ................. 560 30,200 NGC CORP ............................. 529 11,400 NICOR, INC ........................... 481 11,900 NORTHWEST NATURAL GAS CO ............. 369 7,236 ONEOK, INC ........................... 292 6,300 PEOPLES ENERGY CORP .................. 248 9,489 PIEDMONT NATURAL GAS CO, INC ......... 341 8,200 oPRIMARK CORP ......................... 334 20,700 SONAT, INC ........................... 947 See notes to financial statements. -91- EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ --------- GAS PRODUCTION AND DISTRIBUTION-(Continued) 5,800 SOUTHWEST GAS CORP ................... $ 108 10,800 WASHINGTON GAS LIGHT CO .............. 334 3,300 WESTERN GAS RESOURCES, INC ........... 73 70,334 WILLIAMS COS, INC .................... 1,996 ----------- 11,815 ----------- GENERAL INDUSTRIAL MACHINERY--0.43% 12,300 oCOLTEC INDUSTRIES, INC ............... 285 5,000 DONALDSON CO, INC .................... 225 11,800 FEDERAL-MOGUL CORP ................... 478 13,705 FLOWSERVE CORP ....................... 383 11,100 GENERAL SIGNAL CORP .................. 468 3,700 GRACO, INC ........................... 138 2,200 HELIX TECHNOLOGY CORP ................ 43 7,900 IDEX CORP ............................ 276 34,400 INGERSOLL-RAND CO .................... 1,393 9,800 KAYDON CORP .......................... 320 3,300 NORDSON CORP ......................... 151 28,700 PALL CORP ............................ 594 8,500 ROPER INDUSTRIES, INC ................ 240 13,100 SUNDSTRAND CORP ...................... 660 11,863 TIMKEN CO ............................ 408 58,790 TYCO INTERNATIONAL LTD ............... 2,649 ----------- 8,711 ----------- GLASS AND GLASSWARE, PRESSED OR BLOWN--0.20% 52,100 CORNING, INC ......................... 1,934 2,100 oDUPONT PHOTOMASKS, INC ............... 73 4,900 LANCASTER COLONY CORP ................ 276 3,700 LIBBEY, INC .......................... 140 10,000 OWENS CORNING CO ..................... 341 24,900 oOWENS ILLINOIS, INC .................. 945 8,500 oSOLA INTERNATIONAL, INC .............. 276 ----------- 3,985 ----------- GOLD AND SILVER ORES--0.13% 18,600 oAMAX GOLD, INC ....................... 43 49,800 BATTLE MOUNTAIN GOLD CO .............. 293 4,500 oCOEUR DALENE MINES CORP .............. 41 17,692 FREEPORT MCMORAN COPPER & GOLD, INC (CLASS A) ....................... 271 17,333 FREEPORT-MCMORAN COPPER & GOLD, INC (CLASS B) ....................... 273 7,891 oGETCHELL GOLD CORP ................... 189 50,600 HOMESTAKE MINING CO .................. 449 3,800 NEWMONT GOLD CO ...................... 113 31,335 NEWMONT MINING CORP .................. 920 9,000 oSUNSHINE MINING & REFINING CO ........ 9 ----------- 2,601 ----------- GRAIN MILL PRODUCTS--0.74% 122,575 ARCHER DANIELS MIDLAND CO ............ 2,658 32,700 CPC INTERNATIONAL, INC ............... 3,532 35,011 GENERAL MILLS, INC ................... 2,508 50,300 KELLOGG CO ........................... 2,496 30,500 QUAKER OATS CO ....................... 1,609 10,500 oRALCORP HOLDINGS, INC ................ 178 23,200 RALSTON PURINA CO .................... 2,156 ----------- 15,137 ----------- GREETING CARDS--0.03% 14,000 AMERICAN GREETINGS CORP (CLASS A) .... 548 700 oGIBSON GREETINGS, INC ................ 15 ----------- 563 ----------- VALUE SHARES (000) ------ --------- GROCERIES AND RELATED PRODUCTS--0.24% 9,580 EARTHGRAINS CO ....................... $ 450 12,181 FLEMING COS, INC ..................... 164 21,850 FLOWERS INDUSTRIES, INC .............. 449 16,600 oGENERAL NUTRITION COS, INC ........... 564 10,790 oJP FOODSERVICE, INC .................. 399 12,050 RICHFOOD HOLDINGS, INC ............... 340 4,500 oSUIZA FOODS CORP ..................... 268 14,100 SUPERVALU, INC ....................... 590 38,400 SYSCO CORP ........................... 1,750 ----------- 4,974 ----------- GROCERY STORES--0.61% 50,300 ALBERTSONS, INC ...................... 2,383 48,200 AMERICAN STORES CO ................... 991 83,500 FOOD LION, INC (CLASS B) ............. 689 19,400 GIANT FOOD, INC (CLASS A) ............ 654 8,000 GREAT ATLANTIC & PACIFIC TEA CO, INC . 238 12,600 HANNAFORD BROTHERS, INC .............. 547 48,200 oKROGER CO ............................ 1,780 4,212 oQUALITY FOOD CENTERS, INC ............ 282 54,242 oSAFEWAY, INC ......................... 3,431 21,700 oSOUTHLAND CORP ....................... 46 3,400 WEIS MARKETS, INC .................... 119 6,200 oWHOLE FOODS MARKET, INC .............. 317 21,100 WINN DIXIE STORES, INC ............... 922 ----------- 12,399 ----------- GUIDED MISSILES, SPACE VEHICLES AND PARTS--0.27% 37,576 LOCKHEED MARTIN CORP ................. 3,701 10,800 oORBITAL SCIENCES CORP ................ 321 27,500 TRW, INC ............................. 1,468 ----------- 5,490 ----------- HARDWARE, PLUMBING AND HEATING EQUIPMENT--0.01% 5,900 FASTENAL CO .......................... 226 ----------- HEALTH AND ALLIED SERVICES, NEC--0.30% 2,900 oACCESS HEALTH, INC ................... 85 6,000 oBUCKEYE TECHNOLOGIES, INC ............ 278 1,800 oCOASTAL PHYSICIAN GROUP, INC ......... 1 80,244 oHEALTHSOUTH CORP ..................... 2,227 7,300 oLINCARE HOLDINGS, INC ................ 416 8,300 oMID ATLANTIC MEDICAL SERVICES, INC ... 106 14,500 oNOVACARE, INC ........................ 189 17,200 OMNICARE, INC ........................ 533 10,285 oPHARMERICA, INC ...................... 107 4,900 oRENAL CARE GROUP, INC ................ 157 6,400 oRENAL TREATMENT CENTERS, INC ......... 231 37,100 UNITED HEALTHCARE CORP ............... 1,843 ----------- 6,173 ----------- HEAVY CONSTRUCTION, EXCEPT HIGHWAY--0.04% 15,600 FLUOR CORP ........................... 583 15,900 oGLOBAL INDUSTRIES LTD ................ 270 ----------- 853 ----------- HOLDING OFFICES--0.22% 14,100 AMBAC FINANCIAL GROUP, INC ........... 649 10,900 EVEREST REINSURANCE HOLDINGS, INC .... 450 28,504 HIBERNIA CORP (CLASS A) .............. 536 4,300 oSEACOR SMIT, INC ..................... 259 See notes to financial statements. -92- EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ --------- HOLDING OFFICES-(Continued) 20,680 SIGMA ALDRICH CORP ................... $ 822 39,530 TENNECO, INC ......................... 1,561 10,100 UST CORP ............................. 280 ----------- 4,557 ----------- HOME HEALTH CARE SERVICES--0.01% 14,200 oAPRIA HEALTHCARE GROUP, INC .......... 191 5,178 oCORAM HEALTHCARE CORP ................ 17 3,100 oMAXICARE HEALTH PLANS, INC ........... 34 ----------- 242 ----------- HORTICULTURAL SPECIALTIES--0.09% 16,400 PIONEER-HI-BRED INTERNATIONAL, INC ... 1,759 ----------- HOSPITALS--0.42% 141,155 COLUMBIA/HCA HEALTHCARE CORP ......... 4,182 30,643 oHEALTH MANAGEMENT ASSOCIATES, INC (CLASS A) ........................... 774 34,000 oHUMANA, INC .......................... 706 2,500 oPEDIATRIX MEDICAL GROUP, INC ......... 107 62,850 oTENET HEALTHCARE CORP ................ 2,082 10,200 oUNIVERSAL HEALTH SERVICES, INC ....... 514 12,615 oVENCOR, INC .......................... 308 ----------- 8,673 ----------- HOTELS AND MOTELS--0.69% 2,600 oAVATEX CORP .......................... 5 9,300 oAZTAR CORP ........................... 58 7,350 oBRISTOL HOTEL CO ..................... 214 8,800 oCAPSTAR HOTEL CO ..................... 302 500 oCASINO MAGIC CORP .................... 1 177,030 oCENDANT CORP ......................... 6,085 11,500 oCHOICE HOTELS INTERNATIONAL, INC ..... 184 17,800 oEXTENDED STAY AMERICA, INC ........... 221 6,450 oGRAND CASINOS, INC ................... 88 21,600 oHARRAHS ENTERTAINMENT, INC ........... 408 38,800 HILTON HOTELS CORP ................... 1,154 41,600 oHOST MARRIOTT CORP ................... 816 1,940 oHOST MARRIOTT SERVICES CORP .......... 29 6,700 oINTERSTATE HOTELS CO ................. 235 14,650 LA QUINTA INNS, INC .................. 283 23,000 MARRIOTT INTERNATIONAL, INC .......... 1,593 7,100 oMGM GRAND, INC ....................... 256 3,600 oPRIMADONNA RESORTS, INC .............. 60 21,300 oPRIME HOSPITALITY CORP ............... 434 20,887 oPROMUS HOTEL CORP .................... 877 3,100 oRED ROOF INNS, INC ................... 47 800 oRIO HOTEL & CASINO, INC .............. 17 3,100 SHOWBOAT, INC ........................ 91 8,600 oSIGNATURE RESORTS, INC ............... 188 6,700 oSTATION CASINOS, INC ................. 68 3,833 oSUNBURST HOSPITALITY CORP ............ 38 5,100 oTRUMP HOTEL & CASINO RESORT, INC ..... 34 7,600 oVAIL RESORTS, INC .................... 197 1,450 oWHG RESORTS & CASINO, INC ............ 32 3,200 oWYNDHAM HOTEL CORP ................... 129 ----------- 14,144 ----------- HOUSEHOLD APPLIANCE STORES--0.03% 14,900 SUNBEAM CORP ......................... 628 ----------- HOUSEHOLD APPLIANCES--2.73% 740,000 GENERAL ELECTRIC CO .................. 54,298 21,900 MAYTAG CO ............................ 817 13,100 WHIRLPOOL CORP ....................... 721 ----------- 55,836 ----------- VALUE SHARES (000) ------ --------- HOUSEHOLD AUDIO AND VIDEO EQUIPMENT--0.00% 4,400 oZENITH ELECTRONICS CORP .............. $ 24 ----------- HOUSEHOLD FURNITURE--0.06% 800 BASSETT FURNITURE INDUSTRIES, INC .... 24 14,600 oFURNITURE BRANDS INTERNATIONAL, INC .................. 299 1,500 LA-Z-BOY, INC ........................ 65 21,000 LEGGETT & PLATT, INC ................. 879 ----------- 1,267 ----------- INDUSTRIAL INORGANIC CHEMICALS--0.43% 21,200 AIR PRODUCTS & CHEMICALS, INC ........ 1,744 15,100 oAIRGAS, INC .......................... 211 7,200 ALBEMARLE CORP ....................... 172 9,300 CALGON CARBON CORP ................... 100 20,900 ENGELHARD CORP ....................... 363 9,400 GEORGIA GULF CORP .................... 288 14,800 GRACE (W.R.) & CO .................... 1,190 12,600 GREAT LAKES CHEMICAL CORP ............ 565 13,500 oKAISER ALUMINUN CORP ................. 119 21,500 MILLENNIUM CHEMICAL, INC ............. 507 9,400 MINERALS TECHNOLOGIES, INC ........... 427 4,900 oNL INDUSTRIES, INC ................... 67 10,500 OLIN CORP ............................ 492 31,700 PRAXAIR, INC ......................... 1,427 23,900 UNION CARBIDE CORP ................... 1,026 ----------- 8,698 ----------- INDUSTRIAL MACHINERY, NEC--0.03% 6,400 APPLIED POWER, INC (CLASS A) ......... 442 8,000 oUNOVA, INC ........................... 132 ----------- 574 ----------- INDUSTRIAL ORGANIC CHEMICALS--0.12% 4,600 ARCO CHEMICAL CO ..................... 215 16,600 CROMPTON & KNOWLES CORP .............. 440 29,400 ETHYL CORP ........................... 226 12,600 LUBRIZOL CORP ........................ 465 1,700 oMIRAVANT MEDICAL TECHNOLOGY .......... 68 5,850 OM GROUP, INC ........................ 214 8,200 ROHM & HAAS CO ....................... 785 ----------- 2,413 ----------- INSURANCE AGENTS, BROKERS, AND SERVICE--0.27% 15,256 ALLMERICA FINANCIAL CORP ............. 762 29,150 AON CORP ............................. 1,709 9,350 BERKLEY (W.R.) CORP .................. 410 4,600 GALLAGHER (ARTHUR J.) & CO ........... 158 29,000 MARSH & MCLENNAN COS, INC ............ 2,162 9,200 SELECTIVE INSURANCE GROUP, INC ....... 248 ----------- 5,449 ----------- INSURANCE CARRIERS, NEC--0.08% 17,200 MBIA, INC ............................ 1,149 15,900 WESTERN NATIONAL CORP ................ 471 ----------- 1,620 ----------- IRON ORES--0.00% 2,100 CLEVELAND CLIFFS, INC ................ 96 ----------- JEWELRY, SILVERWARE AND PLATED WARE--0.02% 8,400 JOSTENS, INC ......................... 194 6,600 TIFFANY & CO ......................... 238 ----------- 432 ----------- See notes to financial statements. -93- EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ --------- KNITTING MILLS--0.01% 6,900 ST. JOHN KNITS, INC .................. $ 276 ----------- LANDSCAPE AND HORTICULTURAL SERVICES--0.01% 7,900 ROLLINS, INC ......................... 160 ----------- LAUNDRY, CLEANING AND GARMENT SERVICES--0.07% 15,200 CINTAS CORP .......................... 593 6,900 G & K SERVICES, INC (CLASS A) ........ 290 11,700 NATIONAL SERVICE INDUSTRIES, INC ..... 580 ----------- 1,463 ----------- LEAD AND ZINC ORES--0.00% 6,700 oHECLA MINING CO ...................... 33 ----------- LEATHER TANNING AND FINISHING--0.02% 15,362 WOLVERINE WORLD WIDE, INC ............ 348 ----------- LEGAL SERVICES--0.01% 7,200 oPREPAID LEGAL SERVICES, INC .......... 246 ----------- LIFE INSURANCE--3.21% 9,400 20TH CENTURY INDUSTRIES .............. 244 4,463 AEGON N.V. ARS ....................... 400 31,218 AETNA, INC ........................... 2,203 12,600 AMERICAN BANKERS INSURANCE GROUP, INC ........................... 579 51,101 AMERICAN GENERAL CORP ................ 2,763 135,975 AMERICAN INTERNATIONAL GROUP, INC .... 14,787 500 AMERICAN NATIONAL INSURANCE CO ....... 47 3,800 AMERUS LIFE HOLDINGS, INC (CLASS A) .. 140 35,000 CHUBB CORP ........................... 2,647 15,800 CIGNA CORP ........................... 2,734 12,903 CINCINNATI FINANCIAL CORP ............ 1,816 39,184 CONSECO, INC ......................... 1,780 2,300 oDELPHI FINANCIAL GROUP, INC .......... 104 18,500 EQUITABLE COS, INC ................... 920 6,800 FREMONT GENERAL CORP ................. 372 18,200 GENERAL REINSURANCE CORP ............. 3,858 10,900 HARTFORD LIFE, INC (CLASS A) ......... 494 850 oHIGHLANDS INSURANCE GROUP, INC ....... 24 15,250 JEFFERSON-PILOT CORP ................. 1,188 5,700 JOHN ALDEN FINANCIAL CORP ............ 137 4,300 LIBERTY CORP ......................... 201 4,800 LIBERTY FINANCIAL COS, INC ........... 181 4,100 LIFE RE CORP ......................... 267 21,100 LINCOLN NATIONAL CORP ................ 1,648 15,600 LOEWS CORP ........................... 1,656 7,300 NATIONWIDE FINANCIAL SERVICES, INC (CLASS A) ........................... 264 7,200 OHIO CASUALTY CORP ................... 321 17,850 OLD REPUBLIC INTERNATIONAL CORP ...... 664 8,800 ORION CAPITAL CORP ................... 409 10,300 PENNCORP FINANCIAL GROUP, INC ........ 368 7,800 PRESIDENTIAL LIFE CORP ............... 158 8,100 PROTECTIVE LIFE CORP ................. 484 14,108 oPROVIDENT COS, INC ................... 545 19,100 PROVIDIAN FINANCIAL CORP ............. 863 8,800 REINSURANCE GROUP OF AMERICA, INC .... 375 14,000 RELIANCE GROUP HOLDINGS, INC ......... 198 19,706 RELIASTAR FINANCIAL CORP ............. 812 41,600 SUNAMERICA, INC ...................... 1,778 28,300 TORCHMARK CORP ....................... 1,190 258,846 TRAVELERS GROUP, INC ................. 13,945 10,300 oUICI ................................. 359 28,500 UNUM CORP ............................ 1,550 ----------- 65,473 ----------- VALUE SHARES (000) ------ --------- LOGGING--0.00% 1,857 DELTIC TIMBER CORP ................... $ 51 ----------- LUGGAGE--0.01% 4,400 oSAMSONITE CORP ....................... 139 ----------- LUMBER AND CONSTRUCTION MATERIALS--0.07% 17,600 GEORGIA PACIFIC CORP (PACKAGING GROUP) ................... 1,069 17,600 oGEORGIA PACIFIC CORP (TIMBER GROUP) .. 399 ----------- 1,468 ----------- LUMBER AND OTHER BUILDING MATERIALS--0.56% 5,700 oEAGLE HARDWARE & GARDEN, INC ......... 110 167,100 HOME DEPOT, INC ...................... 9,838 30,400 LOWES COS, INC ....................... 1,450 ----------- 11,398 ----------- MACHINERY, EQUIPMENT, AND SUPPLIES--0.01% 5,100 AAR CORP ............................. 198 ----------- MAILING, REPRODUCTION AND STENOGRAPHIC SERVICES--0.01% 7,700 oADVO, INC ............................ 150 4,400 oAMERICAN BUSINESS INFORMATION, INC (CLASS A) ........................... 46 4,400 oAMERICAN BUSINESS INFORMATION, INC (CLASS B) ........................... 45 ----------- 241 ----------- MANAGEMENT AND PUBLIC RELATIONS--0.08% 5,400 oABR INFORMATION SERVICES, INC ........ 129 17,100 oCORRECTIONS CORP OF AMERICA .......... 634 9,800 oGARTNER GROUP, INC (CLASS A) ......... 365 12,100 oMEDAPHIS CORP ........................ 79 2,900 oWACKENHUT CORRECTIONS CORP ........... 78 19,100 WHEELABRATOR TECHNOLOGIES, INC ....... 307 2,500 oWHITTMAN HART, INC ................... 86 ----------- 1,678 ----------- MANIFOLD BUSINESS FORMS--0.02% 2,900 STANDARD REGISTER, INC ............... 101 10,500 WALLACE COMPUTER SERVICES, INC ....... 408 ----------- 509 ----------- MEASURING AND CONTROLLING DEVICES--0.52% 5,600 oALLEN TELECOM, INC ................... 103 11,500 BECKMAN INSTRUMENTS, INC ............. 460 6,600 oBURR BROWN CORP ...................... 212 6,900 oC-CUBE MICROSYSTEMS, INC ............. 113 600 oCELLPRO, INC ......................... 1 10,100 oCOGNEX CORP .......................... 275 4,300 oCREDENCE SYSTEMS CORP ................ 127 7,600 oCYMER, INC ........................... 114 3,300 oDIONEX CORP .......................... 164 20,500 EG & G, INC .......................... 427 4,100 oELECTROGLAS, INC ..................... 63 10,200 FISHER SCIENTIFIC INTERNATIONAL, INC . 487 12,800 oGENRAD, INC .......................... 386 5,300 oHAEMONETICS CORP ..................... 74 29,800 HONEYWELL, INC ....................... 2,041 10,400 oINPUT/OUTPUT, INC .................... 309 22,000 JOHNSON CONTROLS, INC ................ 1,051 17,600 oKLA-TENCOR CORP ...................... 680 2,000 LIFE TECHNOLOGIES, INC ............... 67 See notes to financial statements. -94- EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ --------- MEASURING AND CONTROLLING DEVICES-(Continued) 2,600 oLTX CORP ............................. $ 12 16,100 MILLIPORE CORP ....................... 546 800 xoOMEGA ENVIRONMENTAL, INC ............. 0 11,900 PERKIN-ELMER CORP .................... 846 14,750 TEKTRONIX, INC ....................... 585 17,500 oTERADYNE, INC ........................ 560 3,968 oTHERMO INSTRUMENT SYSTEMS, INC ....... 137 2,300 oTHERMO OPTEK CORP .................... 35 322 oTHERMO VISION CORP ................... 3 4,100 oTHERMOQUEST CORP ..................... 74 8,800 oUNIPHASE CORP ........................ 364 8,800 oWATERS CORP .......................... 331 1,900 X RITE, INC .......................... 35 ----------- 10,682 ----------- MEAT PRODUCTS--0.23% 14,300 BOB EVANS FARMS, INC ................. 316 14,200 CHIQUITA BRANDS INTERNATIONAL, INC ... 232 105,400 CONAGRA, INC ......................... 3,458 21,100 IBP, INC ............................. 442 8,800 oSMITHFIELD FOODS, INC ................ 290 353 WLR FOODS, INC ....................... 3 ----------- 4,741 ----------- MEDICAL AND DENTAL LABORATORIES--0.00% 3,775 oQUEST DIAGNOSTICS, INC ............... 64 ----------- MEDICAL INSTRUMENTS AND SUPPLIES--1.83% 4,200 oACUSON CORP .......................... 70 20,200 oALZA CORP ............................ 643 4,400 ARROW INTERNATIONAL, INC ............. 163 7,100 oARTERIAL VASCULAR ENGINEERING, INC ... 462 3,100 oATL ULTRASOUND, INC .................. 143 6,300 BALLARD MEDICAL PRODUCTS CO .......... 153 12,400 BARD (C.R.), INC ..................... 388 24,400 BECTON DICKINSON & CO ................ 1,220 21,300 BIOMET, INC .......................... 546 25,552 oBOSTON SCIENTIFIC CORP ............... 1,172 1,300 oCNS, INC ............................. 9 2,200 oCYGNUS, INC .......................... 44 1,000 oCYTYC CORP ........................... 25 1,200 oDATASCOPE CORP ....................... 31 12,000 DENTSPLY INTERNATIONAL, INC .......... 366 3,300 DEPUY, INC ........................... 95 400 DIAGNOSTIC PRODUCTS CORP ............. 11 6,283 oFRESENIUS MEDICAL CARE AG ADR ........ 137 31,242 GUIDANT CORP ......................... 1,945 8,800 INVACARE CORP ........................ 191 3,200 oISOLYSER CO, INC ..................... 8 306,110 JOHNSON & JOHNSON CO ................. 20,165 104,700 MEDTRONIC, INC ....................... 5,477 7,700 MENTOR CORP .......................... 281 5,500 oSAFESKIN CORP ........................ 312 4,700 oSOFAMOR DANEK GROUP, INC ............. 306 18,600 oST. JUDE MEDICAL, INC ................ 567 8,710 oSTERIS CORP .......................... 420 15,300 STRYKER CORP ......................... 570 4,250 oSUMMIT TECHNOLOGY, INC ............... 19 2,200 oSUNRISE MEDICAL, INC ................. 34 11,400 oSYBRON INTERNATIONAL CORP ............ 535 7,500 oTHERMEDICS, INC ...................... 123 14,700 U.S. SURGICAL CORP ................... 431 VALUE SHARES (000) ------ --------- 6,500 VARIAN ASSOCIATES, INC ............... $ 329 7,000 oVIVUS, INC ........................... 74 ----------- 37,465 ----------- MEDICAL SERVICE AND HEALTH INSURANCE--0.28% 26,750 AFLAC, INC ........................... 1,368 2,500 oCNA FINANCIAL CORP ................... 319 19,800 oCONCENTRA MANAGED CARE, INC .......... 668 7,600 oCOVENTRY CORP ........................ 116 26,670 oFOUNDATION HEALTH SYSTEMS (CLASS A) .. 597 5,400 oFPA MEDICAL MANAGEMENT, INC .......... 101 15,400 oOXFORD HEALTH PLANS, INC ............. 240 824 oPACIFICARE HEALTH SYSTEMS, INC (CLASS A) ........................... 41 9,420 oPACIFICARE HEALTH SYSTEMS, INC (CLASS B) ........................... 493 3,600 oPHYMATRIX CORP ....................... 57 16,050 oQUORUM HEALTH GROUP, INC ............. 419 15,200 TRAVELERS PROPERTY CASUALTY CORP ..... 669 12,400 oTRIGON HEALTHCARE, INC ............... 324 1,600 UNITED WISCONSIN SERVICES, INC ....... 41 5,134 oWELLPOINT HEALTH NETWORKS, INC ....... 217 ----------- 5,670 ----------- MEN'S AND BOYS' CLOTHING STORES--0.01% 5,900 oMENS WAREHOUSE, INC .................. 205 ----------- MEN'S AND BOYS' FURNISHINGS--0.13% 4,700 AUTHENTIC FITNESS CORP ............... 87 19,500 oFRUIT OF THE LOOM, INC (CLASS A) ..... 500 1,300 PHILLIPS VAN HEUSEN CORP ............. 19 7,800 RUSSELL CORP ......................... 207 29,300 VF CORP .............................. 1,346 17,000 WARNACO GROUP, INC (CLASS A) ......... 533 ----------- 2,692 ----------- MEN'S AND BOYS' SUITS AND COATS--0.01% 7,800 KELLWOOD CO .......................... 234 ----------- METAL CANS AND SHIPPING CONTAINERS--0.09% 12,026 BALL CORP ............................ 425 25,200 CROWN CORK & SEAL CO, INC ............ 1,263 5,500 oSILGAN HOLDINGS, INC ................. 179 ----------- 1,867 ----------- METAL FORGINGS AND STAMPINGS--0.13% 8,200 oHEXCEL CORP .......................... 204 11,800 MASCOTECH, INC ....................... 217 33,500 ROCKWELL INTERNATIONAL CORP .......... 1,750 6,900 oTOWER AUTOMOTIVE, INC ................ 290 7,700 oWYMAN-GORDON CO ...................... 151 ----------- 2,612 ----------- METALS AND MINERALS, EXCEPT PETROLEUM--0.01% 2,800 COMMERCIAL METALS CO ................. 88 260 WESCO FINANCIAL CORP ................. 78 ----------- 166 ----------- METALWORKING MACHINERY--0.07% 18,300 BLACK & DECKER CORP .................. 715 8,400 CINCINNATI MILACRON, INC ............. 218 6,180 KENNAMETAL, INC ...................... 320 8,100 oMOHAWK INDUSTRIES, INC ............... 178 3,800 xoMOLTEN METAL TECHNOLOGY, INC ......... 0 ----------- 1,431 ----------- See notes to financial statements. -95- EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ --------- MILLWORK, PLYWOOD & STRUCTURAL MEMBERS--0.00% 1,100 TJ INTERNATIONAL, INC ................ $ 27 ----------- MISCELLANEOUS AMUSEMENT, RECREATION SERVICES--0.09% 2,300 oANCHOR GAMING CO ..................... 128 600 oARGOSY GAMING CORP ................... 2 850 oBALLY TOTAL FITNESS HOLDINGS CORP .... 19 12,800 oBOYD GAMING CORP ..................... 85 22,600 oCIRCUS CIRCUS ENTERPRISES, INC ....... 463 35,900 oMIRAGE RESORT, INC ................... 817 2,600 oPREMIER PARKS, INC ................... 105 2,300 oSCIENTIFIC GAMES HOLDINGS CORP ....... 47 5,500 oSPEEDWAY MOTORSPORTS, INC ............ 136 ----------- 1,802 ----------- MISCELLANEOUS APPAREL AND ACCESSORY STORES--0.06% 2,600 oCML GROUP, INC ....................... 9 37,700 TJX COS, INC ......................... 1,296 ----------- 1,305 ----------- MISCELLANEOUS APPAREL AND ACCESSORIES--0.02% 13,500 oNAUTICA ENTERPRISES, INC ............. 314 ----------- MISCELLANEOUS BUSINESS SERVICES--0.21% 3,400 oAPAC TELESERVICES, INC ............... 46 4,100 oCARIBINER INTERNATIONAL, INC ......... 182 10,000 oCHECKFREE CORP ....................... 270 32,100 EQUIFAX, INC ......................... 1,138 1,500 FAIR ISSAC & CO, INC ................. 50 6,600 oHEALTHCARE COMPARE CO ................ 337 6,300 oINTERMEDIA COMMUNICATIONS, INC ....... 383 13,000 oMETROMEDIA INTERNATIONAL GROUP, INC .......................... 124 4,900 oNOVA CORP ............................ 123 26,800 oPAGING NETWORK, INC .................. 288 4,500 oPAYMENTECH, INC ...................... 66 9,000 PITTSTON BRINKS GROUP CO ............. 362 3,250 oPLAYERS INTERNATIONAL, INC ........... 10 5,600 oSITEL CORP ........................... 51 13,500 SOTHEBYS HOLDINGS, INC (CLASS A) ..... 250 3,000 oSPS TRANSACTION SERVICES, INC ........ 68 5,200 oSYLVAN LEARNING SYSTEMS, INC ......... 203 5,600 oTELETECH HOLDINGS, INC ............... 64 19,300 VIAD CORP ............................ 373 ----------- 4,388 ----------- MISCELLANEOUS CHEMICAL PRODUCTS--0.23% 8,000 BETZDEARBORN, INC .................... 489 16,300 CABOT CORP ........................... 450 10,900 oCYTEC INDUSTRIES, INC ................ 512 2,942 FULLER (H.B.) CO ..................... 146 29,200 MORTON INTERNATIONAL, INC ............ 1,004 15,100 NALCO CHEMICAL CORP .................. 597 8,300 oSCHERER (R.P.) CORP .................. 506 8,200 oSMITH INTERNATIONAL, INC ............. 503 4,800 THIOKOL CORP ......................... 390 ----------- 4,597 ----------- MISCELLANEOUS CONVERTED PAPER PRODUCTS--0.48% 7,700 oAMERICAN PAD & PAPER CO .............. 74 18,400 AVERY DENNISON CORP .................. 823 12,600 BEMIS, INC ........................... 555 270 oCROWN VANTAGE, INC ................... 2 VALUE SHARES (000) ------ --------- 10,700 FIRST BRANDS CORP .................... $ 288 25,675 FORT JAMES CORP ...................... 982 118,308 KIMBERLY-CLARK CORP .................. 5,834 5,900 oMAIL-WELL, INC ....................... 239 8,625 oPAXAR CORP ........................... 128 8,700 oPLAYTEX PRODUCTS, INC ................ 89 1,900 oSHOREWOOD PACKAGING CORP ............. 51 20,030 SONOCO PRODUCTS CO ................... 695 ----------- 9,760 ----------- MISCELLANEOUS DURABLE GOODS--0.10% 43,900 oCOSTCO COS, INC ...................... 1,959 1,800 oHANDLEMAN CO ......................... 12 ----------- 1,971 ----------- MISCELLANEOUS ELECTRICAL EQUIPMENT AND SUPPLIES--0.03% 5,400 oAPPLIED MAGNETICS CORP ............... 60 4,600 EXIDE CORP ........................... 119 3,700 oHUTCHINSON TECHNOLOGY, INC ........... 81 13,200 oKOMAG, INC ........................... 196 3,000 KUHLMAN CORP ......................... 117 ----------- 573 ----------- MISCELLANEOUS EQUIPMENT RENTAL AND LEASING--0.01% 9,300 oANIXTER INTERNATIONAL, INC ........... 153 4,000 oUS RENTALS, INC ...................... 94 ----------- 247 ----------- MISCELLANEOUS FABRICATED METAL PRODUCTS--0.13% 5,700 AEROQUIP-VICKERS, INC ................ 280 10,150 CRANE CO ............................. 440 12,200 HARSCO CORP .......................... 526 24,475 PARKER-HANNIFIN CORP ................. 1,123 8,600 POLARIS INDUSTRIES, INC .............. 263 1,800 WATTS INDUSTRIES, INC (CLASS A) ...... 51 ----------- 2,683 ----------- MISCELLANEOUS FOOD AND KINDRED PRODUCTS--0.04% 16,200 MCCORMICK & CO, INC (NON-VOTE) ....... 454 7,200 UNIVERSAL FOODS CORP ................. 304 ----------- 758 ----------- MISCELLANEOUS FOOD STORES--0.03% 3,200 NATURES SUNSHINE PRODUCTS, INC ....... 83 16,300 oSTARBUCKS CORP ....................... 626 ----------- 709 ----------- MISCELLANEOUS GENERAL MERCHANDISE STORES--0.05% 11,500 CASEYS GENERAL STORES, INC ........... 292 21,393 DOLLAR GENERAL CORP .................. 775 ----------- 1,067 ----------- MISCELLANEOUS INVESTING--1.39% 3,600 AMERICAN HEALTH PROPERTIES, INC ...... 99 16,200 APARTMENT INVESTMENT & MANAGEMENT CO ....................... 595 16,500 ARDEN REALTY GROUP, INC .............. 507 6,900 AVALON PROPERTIES, INC ............... 213 14,600 BAY APARTMENT COMMUNITIES, INC ....... 569 6,400 BRE PROPERTIES, INC (CLASS A) ........ 180 17,100 CAMDEN PROPERTY TRUST ................ 530 36,096 CAPSTEAD MORTGAGE CORP ............... 720 9,000 CARRAMERICA REALTY CORP .............. 285 1,300 CBL & ASSOCIATES PROPERTIES, INC ..... 32 13,900 CHATEAU PROPERTIES, INC .............. 438 See notes to financial statements. -96- EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ --------- MISCELLANEOUS INVESTING-(Continued) 14,200 oCORNERSTONE PROPERTIES, INC .......... $ 272 3,900 COUSINS PROPERTIES, INC .............. 114 36,100 CRESCENT REAL ESTATE EQUITIES, INC ... 1,421 1,040 oCRESECENT OPERATING, INC ............. 25 8,500 DEVELOPERS DIVERSIFIED REALTY CORP ... 325 30,163 DUKE REALTY INVESTMENTS, INC ......... 731 20,805 DYNEX CAPITAL, INC ................... 277 846 oECHELON INTERNATIONAL CORP ........... 19 29,909 oEQUITY OFFICE PROPERTIES TRUST ....... 944 24,000 EQUITY RESIDENTIAL PROPERTIES TRUST CO ............................ 1,214 6,800 FEDERAL REALTY INVESTMENT TRUST ...... 175 37,900 FELCOR SUITE HOTELS, INC ............. 1,345 14,500 FIRST INDUSTRIAL REALTY TRUST, INC ... 524 7,000 GENERAL GROWTH PROPERTIES, INC ....... 253 4,700 oGLENBOROUGH REALTY TRUST, INC ........ 139 2,800 GLIMCHER REALTY TRUST ................ 63 43,900 HEALTH AND RETIREMENT PROPERTY TRUST ...................... 878 5,900 HEALTH CARE PROPERTY INVESTORS, INC .. 223 26,000 HIGHWOODS PROPERTIES, INC ............ 967 2,246 oHOMESTEAD VILLAGE, INC ............... 34 14,400 HOSPITALITY PROPERTIES TRUST ......... 473 42,538 INMC MORTGAGE HOLDINGS, INC .......... 997 13,450 KIMCO REALTY CORP .................... 474 26,100 LIBERTY PROPERTY TRUST CO ............ 745 10,350 LNR PROPERTY CORP .................... 245 1,700 MACERICH CO .......................... 48 18,700 MACK-CALI REALTY CORP ................ 767 2,300 MANUFACTURED HOME COMMUNITIES, INC .................... 62 16,461 oMEDITRUST CORP PAIRED ................ 603 9,603 MERRY LAND & INVESTMENT CO, INC ...... 220 3,900 NATIONAL HEALTH INVESTORS, INC ....... 163 10,100 NATIONWIDE HEALTH PROPERTIES, INC .... 258 17,007 NEW PLAN REALTY TRUST ................ 434 2,200 OMEGA HEALTHCARE INVESTORS, INC ...... 85 3,999 PATRIOT AMERICAN HOSPITALITY, INC .... 115 800 oPEC ISRAEL ECONOMIC CORP ............. 17 6,000 POST PROPERTIES, INC ................. 244 18,200 PRENTISS PROPERTIES TRUST ............ 508 22,300 PUBLIC STORAGE, INC .................. 655 20,700 REALTY INCOME CORP ................... 527 11,200 RECKSON ASSOCIATES REALTY CORP ....... 284 5,300 REDWOOD TRUST, INC ................... 108 4,200 RFS HOTEL INVESTORS, INC ............. 84 12,037 SECURITY CAPITAL ATLANTIC, INC ....... 254 1,763 oSECURITY CAPITAL GROUP, INC WTS 09/18/98 ........................ 9 21,263 SECURITY CAPITAL INDUSTRIAL TRUST .... 529 25,942 SECURITY CAPITAL PACIFIC TRUST ....... 629 4,900 SHURGARD STORAGE CENTERS, INC ........ 142 39,556 SIMON DEBARTOLO GROUP, INC ........... 1,293 22,500 SPIEKER PROPERTIES, INC .............. 965 11,400 STORAGE USA, INC ..................... 455 12,500 TAUBMAN CENTERS, INC ................. 163 43,559 UNITED DOMINION REALTY TRUST, INC .... 607 17,200 VORNADO REALTY TRUST ................. 807 6,800 WASHINGTON REAL ESTATE INVESTMENT TRUST .................... 114 800 oWELLSFORD REAL PROPERTIES, INC ....... 13 13,000 WESTFIELD AMERICA, INC ............... 221 ----------- 28,428 ----------- VALUE SHARES (000) ------ --------- MISCELLANEOUS MANUFACTURES--0.10% 9,300 ARMSTRONG WORLD INDUSTRIES, INC ...... $ 695 1,500 oAUTOTOTE CORP (CLASS A) .............. 4 8,600 oBLYTH INDUSTRIES, INC ................ 257 5,400 BRADY (W.H.) CO (CLASS A) ............ 167 22,400 INTERNATIONAL GAME TECHNOLOGY CO ..... 566 2,600 NACCO INDUSTRIES, INC (CLASS A) ...... 279 2,000 oSODAK GAMING, INC .................... 13 5,800 oWMS INDUSTRIES, INC .................. 123 ----------- 2,104 ----------- MISCELLANEOUS METAL ORES--0.00% 4,500 oSTILLWATER MINING CO ................. 75 ----------- MISCELLANEOUS NONDURABLE GOODS--0.02% 3,600 oDEPARTMENT 56, INC ................... 104 3,700 RUSS BERRIE & CO, INC ................ 97 20,000 TERRA INDUSTRIES, INC ................ 261 ----------- 462 ----------- MISCELLANEOUS NONMETALLIC MINERAL PRODUCTS--0.37% 93,100 MINNESOTA MINING & MANUFACTURING CO .................... 7,640 ----------- MISCELLANEOUS NONMETALLIC MINERALS--0.00% 7,900 JOHNS MANVILLE CORP .................. 79 ----------- MISCELLANEOUS PERSONAL SERVICES--0.05% 22,700 BLOCK (H&R), INC ..................... 1,017 3,200 oTHERMOLASE CORP ...................... 34 ----------- 1,051 ----------- MISCELLANEOUS PETROLEUM AND COAL PRODUCTS--0.41% 22,400 AMERADA HESS CORP .................... 1,229 118,706 oTEXACO, INC .......................... 6,455 16,900 WITCO CORP ........................... 690 ----------- 8,374 ----------- MISCELLANEOUS PLASTICS PRODUCTS, NEC--0.75% 4,500 APTARGROUP, INC ...................... 250 51,500 DOW CHEMICAL CO ...................... 5,227 134,900 MONSANTO CO .......................... 5,666 14,600 PREMARK INTERNATIONAL, INC ........... 423 18,400 RAYCHEM CORP ......................... 792 33,100 RUBBERMAID, INC ...................... 828 16,775 SCHULMAN (A.), INC ................... 421 9,000 oSEALED AIR CORP ...................... 556 22,080 SOLUTIA, INC ......................... 589 3,300 oSYNETIC, INC ......................... 120 2,600 TREDEGAR INDUSTRIES, INC ............. 171 11,200 TUPPERWARE CORP ...................... 312 ----------- 15,355 ----------- MISCELLANEOUS SHOPPING GOOD STORES--0.23% 2,700 oAMAZON.COM, INC ...................... 163 10,800 oBARNES & NOBLE, INC .................. 360 17,200 oBORDERS GROUP, INC ................... 539 800 oJUMBOSPORTS, INC ..................... 1 6,500 oMICHAELS STORES, INC ................. 190 32,650 oOFFICE DEPOT, INC .................... 782 25,600 oOFFICEMAX, INC ....................... 365 9,050 oTHE SPORTS AUTHORITY, INC ............ 133 59,801 oTOYS R US, INC ....................... 1,880 11,900 oZALE CORP ............................ 274 ----------- 4,687 ----------- See notes to financial statements. -97- EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ --------- MISCELLANEOUS TRANSPORTATION EQUIPMENT--0.02% 2,600 ARCTIC CAT, INC ...................... $ 25 8,300 FLEETWOOD ENTERPRISES, INC ........... 352 ----------- 377 ----------- MOBILE HOME DEALERS--0.02% 10,800 OAKWOOD HOMES CORP ................... 358 ----------- MORTGAGE BANKERS AND BROKERS--0.49% 6,100 AAMES FINANCIAL CORP ................. 79 2,500 oCITYSCAPE FINANCIAL CORP ............. 1 2,800 oCONTIFINANCIAL CORP .................. 71 20,705 COUNTRYWIDE CREDIT INDUSTRIES, INC ... 888 129,635 FIRST UNION CORP ..................... 6,644 28,300 GREEN TREE FINANCIAL CORP ............ 741 8,400 oHOMESIDE, INC ........................ 232 6,700 oIMPERIAL CREDIT INDUSTRIES, INC ...... 137 3,800 PMI GROUP, INC ....................... 275 8,200 PULTE CORP ........................... 343 600 SIRROM CAPITAL CORP .................. 31 7,280 UNITED COS FINANCIAL CORP ............ 113 7,000 UNITRIN, INC ......................... 452 ----------- 10,007 ----------- MOTION PICTURE PRODUCTION AND SERVICES--0.87% 155,926 DISNEY (WALT) CO ..................... 15,446 8,300 KING WORLD PRODUCTIONS, INC .......... 479 45,882 oLIBERTY MEDIA GROUP (CLASS A) ........ 1,663 5,600 oPIXAR, INC ........................... 121 10,000 oSPELLING ENTERTAINMENT GROUP, INC .... 70 ----------- 17,779 ----------- MOTION PICTURE THEATERS--0.04% 11,000 HARCOURT GENERAL, INC ................ 602 1,000 oMOVIE GALLERY, INC ................... 3 9,300 oREGAL CINEMAS, INC ................... 259 ----------- 864 ----------- MOTOR VEHICLES AND EQUIPMENT--1.97% 11,400 ARVIN INDUSTRIES, INC ................ 380 22,799 AUTOLIV, INC ......................... 747 132,162 CHRYSLER CORP ........................ 4,650 2,600 COACHMEN INDUSTRIES, INC ............. 56 22,400 DANA CORP ............................ 1,064 7,800 DANAHER CORP ......................... 492 20,600 EATON CORP ........................... 1,839 19,800 ECHLIN, INC .......................... 717 257,400 FORD MOTOR CO ........................ 12,532 163,500 GENERAL MOTORS CORP .................. 9,912 29,000 GENERAL MOTORS CORP (CLASS H) ........ 1,071 9,260 oHAYES LEMMERZ INTERNATIONAL, INC ..... 259 42,400 ILLINOIS TOOL WORKS, INC ............. 2,549 15,100 oLEAR CORP ............................ 717 6,348 LUCASVARITY PLC ADR .................. 221 15,633 MERITOR AUTOMOTIVE, INC .............. 329 5,100 MODINE MANUFACTURING CO .............. 174 18,900 oNAVISTAR INTERNATIONAL CORP .......... 469 14,600 PACCAR, INC .......................... 767 5,700 REGAL-BELOIT CORP .................... 169 5,900 SMITH (A.O.) CORP .................... 249 5,700 SPX CORP ............................. 393 6,200 SUPERIOR INDUSTRIES INTERNATIONAL, INC .................. 166 VALUE SHARES (000) ------ --------- 7,700 TELEFLEX, INC ........................ $ 291 2,600 WABASH NATIONAL CORP ................. 74 ----------- 40,287 ----------- MOTOR VEHICLES, PARTS, AND SUPPLIES--0.06% 36,600 GENUINE PARTS CO ..................... 1,242 800 oINSURANCE AUTO AUCTIONS, INC ......... 9 1,800 oTBC CORP ............................. 17 ----------- 1,268 ----------- MOTORCYCLES, BICYCLES, AND PARTS--0.04% 30,900 HARLEY DAVIDSON, INC ................. 846 ----------- NATURAL GAS LIQUIDS--0.07% 10,800 COLUMBIA GAS SYSTEMS, INC ............ 848 4,400 NEW JERSEY RESOURCES CORP ............ 176 5,625 oTEJAS GAS CORP ....................... 345 ----------- 1,369 ----------- NEW AND USED CAR DEALERS--0.04% 30,800 oAUTOZONE, INC ........................ 893 ----------- NEWSPAPERS--0.60% 7,700 BELO (A.H.) CORP SERIES A ............ 432 3,200 CENTRAL NEWSPAPERS, INC (CLASS A) .... 237 11,000 DOW JONES & CO, INC .................. 591 58,500 GANNETT CO, INC ...................... 3,616 8,800 HARTE-HANKS COMMUNICATIONS, INC ...... 327 14,400 HOLLINGER INTERNATIONAL, INC ......... 202 11,100 oJOURNAL REGISTER CO .................. 233 18,300 KNIGHT-RIDDER, INC ................... 952 9,400 LEE ENTERPRISES, INC ................. 278 3,100 MEDIA GENERAL, INC (CLASS A) ......... 130 17,300 NEW YORK TIMES CO (CLASS A) .......... 1,144 27,387 NEWS CORP LTD ADR (LTD-VOTE) ......... 544 9,700 SCRIPPS (E.W.) CO (CLASS A) .......... 470 16,100 TIMES MIRROR CO SERIES A ............. 990 20,600 TRIBUNE CO ........................... 1,282 1,500 WASHINGTON POST CO (CLASS B) ......... 730 ----------- 12,158 ----------- NONFERROUS FOUNDRIES (CASTINGS)--0.00% 1,100 STANDEX INTERNATIONAL CORP ........... 39 ----------- NONFERROUS ROLLING AND DRAWING--0.08% 11,100 BELDEN, INC .......................... 391 4,200 oCABLE DESIGN TECHNOLOGIES CO ......... 163 7,733 oCOMMSCOPE, INC ....................... 104 4,700 oESSEX INTERNATIONAL, INC ............. 140 8,500 oGENERAL CABLE CORP ................... 308 5,300 oMUELLER INDUSTRIES, INC .............. 313 1,500 oOREGON METALLURICAL CORP ............. 50 2,400 oRMI TITANIUM CO ...................... 48 4,600 oWOLVERINE TUBE, INC .................. 143 ----------- 1,660 ----------- NONSTORE RETAILERS--0.25% 2,800 oBRYLANE, INC ......................... 138 1,750 oCDW COMPUTER CENTERS, INC ............ 91 14,400 FINGERHUT COS, INC ................... 308 2,900 oGLOBAL DIRECTMAIL CORP ............... 50 4,800 oLANDS END, INC ....................... 168 6,600 oMICRO WAREHOUSE, INC ................. 92 4,600 oMSC INDUSTRIAL DIRECT CO (CLASS A) ... 193 80,300 SEARS ROEBUCK & CO ................... 3,634 17,200 oSERVICE MERCHANDISE, INC ............. 37 See notes to financial statements. -98- EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ --------- NONSTORE RETAILERS-(Continued) 600 oSPIEGEL, INC (CLASS A) ............... $ 3 4,500 STANHOME, INC ........................ 116 15,900 oVIKING OFFICE PRODUCTS, INC .......... 347 ----------- 5,177 ----------- NURSING AND PERSONAL CARE FACILITIES--0.08% 22,600 oBEVERLY ENTERPRISES, INC ............. 294 10,600 oGENESIS HEALTH VENTURES, INC ......... 280 9,050 oHEALTH CARE & RETIREMENT CORP ........ 364 1,214 oLCA-VISION, INC ...................... 1 9,800 MANOR CARE, INC ...................... 343 5,000 oMARINER HEALTH GROUP, INC ............ 81 3,099 oPARAGON HEALTH NETWORK, INC .......... 61 2,800 oSUNRISE ASSISTED LIVING, INC ......... 121 ----------- 1,545 ----------- OFFICE FURNITURE--0.08% 5,000 HON INDUSTRIES, INC .................. 295 10,000 KIMBALL INTERNATIONAL, INC (CLASS B) . 184 3,300 oKNOLL, INC ........................... 106 10,100 MILLER (HERMAN), INC ................. 551 18,700 U.S. INDUSTRIES, INC ................. 563 ----------- 1,699 ----------- OFFICES & CLINICS OF MEDICAL DOCTORS--0.06% 2,300 oINTEGRATED SILICON SOLUTION, INC ..... 18 7,100 oMAGELLAN HEALTH SERVICES, INC ........ 153 13,025 oPHYCOR, INC .......................... 352 11,400 oPHYSICIAN SALES & SERVICE, INC ....... 245 5,400 oPHYSICIANS RESOURCE GROUP, INC ....... 24 4,800 oSIERRA HEALTH SERVICES, INC .......... 161 10,666 oTOTAL RENAL CARE HOLDINGS, INC ....... 293 ----------- 1,246 ----------- OFFICES AND CLINICS OF DENTISTS--0.01% 9,000 oORTHODONTIC CENTERS OF AMERICA, INC .. 150 ----------- OFFICES OF OTHER HEALTH PRACTITIONERS--0.00% 4,900 oPHYSICIAN RELIANCE NETWORK, INC ...... 51 ----------- OIL AND GAS EXTRACTION--3.73% 112,800 AMOCO CORP ........................... 9,602 11,800 ANADARKO PETROLEUM CORP .............. 716 18,100 APACHE CORP .......................... 635 13,800 ASHLAND, INC ......................... 741 11,700 oBARNETT RESOURCES CORP ............... 354 2,300 oBELCO OIL & GAS CORP ................. 43 6,900 oBROWN (TOM), INC ..................... 133 36,765 BURLINGTON RESOURCES, INC ............ 1,648 1,400 CABOT OIL & GAS CORP (CLASS A) ....... 27 11,000 CHESAPEAKE ENERGY CORP ............... 83 20,300 CONSOLIDATED NATURAL GAS CO .......... 1,228 9,900 CROSS TIMBERS OIL CO ................. 247 6,900 DEVON ENERGY CORP .................... 266 45,243 oEEX CORP ............................. 410 12,900 ENRON OIL & GAS CO ................... 273 567,300 EXXON CORP ........................... 34,712 6,800 oFORCENERGY GAS EXPLORATION, INC ...... 178 3,800 oFOREST OIL CORP ...................... 63 23,100 oGREY WOLF, INC ....................... 124 6,900 HELMERICH & PAYNE, INC ............... 468 6,800 KCS ENERGY, INC ...................... 141 9,500 KERR-MCGEE CORP ...................... 601 VALUE SHARES (000) ------ --------- 575 oMCMORAN OIL & GAS CO ................. $ 2 2,200 MITCHELL ENERGY & DEVELOPMENT CORP (CLASS A) ...................... 65 180,600 MOBIL CORP ........................... 13,037 11,000 oNEWFIELD EXPLORATION CO .............. 256 10,900 NOBLE AFFILIATES, INC ................ 384 6,800 oNUEVO ENERGY CO ...................... 277 71,300 OCCIDENTAL PETROLEUM CORP ............ 2,090 24,500 oORYX ENERGY CO ....................... 625 44,500 PHILLIPS PETROLEUM CO ................ 2,164 16,000 oPIONEER NATURAL RESOURCES CO ......... 463 7,400 POGO PRODUCING CO .................... 218 14,300 QUESTAR CORP ......................... 638 1,000 oRUTHERFORD-MORAN OIL CORP ............ 18 27,500 oSANTA FE ENERGY RESOURCES, INC ....... 309 12,792 oSEAGULL ENERGY CORP .................. 264 8,800 SNYDER OIL CORP ...................... 161 1,300 SOUTHWESTERN ENERGY CO ............... 17 3,850 oSWIFT ENERGY CO ...................... 81 1,000 oTRANSTEXAS GAS CORP .................. 15 2,700 oTRITON ENERGY LTD .................... 79 54,792 UNION PACIFIC RESOURCES GROUP, INC ... 1,329 16,700 UNION TEXAS PETROLEUM HOLDINGS, INC ....................... 348 3,700 VASTAR RESOURCES, INC ................ 132 10,200 VINTAGE PETROLEUM, INC ............... 194 9,000 WICOR, INC ........................... 418 ----------- 76,277 ----------- OIL AND GAS FIELD SERVICES--0.73% 2,600 oATWOOD OCEANICS, INC ................. 123 6,100 oBENTON OIL & GAS CO .................. 79 7,650 oBJ SERVICES CO ....................... 550 160 oBJ SERVICES CO WTS 04/13/00 .......... 7 3,800 oCLIFFS DRILLING CO ................... 190 15,500 DIAMOND OFFSHORE DRILLING, INC ....... 746 30,450 ENSCO INTERNATIONAL, INC ............. 1,020 17,400 oFALCON DRILLING CO, INC .............. 610 29,900 oGLOBAL MARINE, INC ................... 733 57,072 HALLIBURTON CO ....................... 2,964 13,900 oMARINE DRILLING CO, INC .............. 288 21,500 oNABORS INDUSTRIES, INC ............... 676 20,000 oNEWPARK RESOURCES, INC ............... 350 25,700 oNOBLE DRILLING CORP .................. 787 3,600 oOCEAN ENERGY, INC .................... 178 16,700 PACIFIC ENTERPRISES, INC ............. 628 25,000 oPARKER DRILLING CO ................... 305 2,800 oPATTERSON ENERGY, INC ................ 108 9,900 oPRIDE INTERNATIONAL, INC ............. 250 14,200 oREADING & BATES CORP ................. 595 16,300 oROWAN COS, INC ....................... 497 22,000 TRANSOCEAN OFFSHORE, INC ............. 1,060 14,700 oTUBOSCOPE, INC ....................... 354 9,500 oUNITED MERIDIAN CORP ................. 267 6,000 oVERITAS DGC, INC ..................... 237 11,400 oWEATHERFORD ENTERRA, INC ............. 499 10,300 oWESTERN ATLAS, INC ................... 762 ----------- 14,863 ----------- OPERATIVE BUILDERS--0.07% 6,500 CENTEX CORP .......................... 409 4,700 oFAIRFIELD COMMUNITIES, INC ........... 208 10,400 HILLENBRAND INDUSTRIES, INC .......... 532 12,150 LENNAR CORP .......................... 262 ----------- 1,411 ----------- See notes to financial statements. -99- EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ --------- OPHTHALMIC GOODS--0.03% 12,000 BAUSCH & LOMB, INC ................... $ 476 3,700 oCOLE NATIONAL CORP (CLASS A) ......... 111 ----------- 587 ----------- ORDNANCE AND ACCESSORIES, NEC--0.02% 4,700 oALLIANT TECHSYSTEMS, INC ............. 262 7,400 oCOLEMAN CO, INC ...................... 119 4,200 STRUM, RUGER & CO, INC ............... 77 ----------- 458 ----------- PAINT, GLASS AND WALLPAPER STORES--0.01% 9,800 APOGEE ENTERPRISES, INC .............. 116 ----------- PAINTS AND ALLIED PRODUCTS--0.11% 10,000 DEXTER CORP .......................... 432 10,000 FERRO CORP ........................... 243 28,437 RPM, INC ............................. 434 31,600 SHERWIN-WILLIAMS CO .................. 877 7,900 VALSPAR CORP ......................... 252 ----------- 2,238 ----------- PAPER AND PAPER PRODUCTS--0.14% 2,200 oBOISE CASCADE OFFICE PRODUCTS CORP ... 33 26,790 oCORPORATE EXPRESS, INC ............... 345 30,400 IKON OFFICE SOLUTIONS, INC ........... 855 34,050 oSTAPLES, INC ......................... 945 25,350 oU.S. OFFICE PRODUCTS CO .............. 497 19,050 UNISOURCE WORLDWIDE, INC ............. 271 ----------- 2,946 ----------- PAPER MILLS--0.25% 8,400 BOWATER, INC ......................... 373 19,500 CHAMPION INTERNATIONAL CORP .......... 884 6,300 CONSOLIDATED PAPERS, INC ............. 336 9,100 GLATFELTER (P.H.) CO ................. 169 14,100 LONGVIEW FIBRE CO .................... 214 21,200 MEAD CORP ............................ 594 10,800 PENTAIR, INC ......................... 388 7,000 POTLATCH CORP ........................ 301 5,760 SCHWEITZER-MAUDUIT INTERNATIONAL, INC ................... 215 14,500 UNION CAMP CORP ...................... 778 7,325 WAUSAU-MOSINEE PAPER CORP ............ 147 19,450 WESTVACO CORP ........................ 611 ----------- 5,010 ----------- PAPERBOARD CONTAINERS AND BOXES--0.02% 5,500 oACX TECHNOLOGIES, INC ................ 134 6,500 oGAYLORD CONTAINER CO ................. 37 22,000 oSTONE CONTAINER CORP ................. 230 ----------- 401 ----------- PAPERBOARD MILLS--0.17% 7,300 CARAUSTAR INDUSTRIES, INC ............ 250 6,400 CHESAPEAKE CORP ...................... 220 62,548 INTERNATIONAL PAPER CO ............... 2,697 5,300 oJEFFERSON SMURFIT CORP ............... 75 1,800 ST. JOE CORP ......................... 163 ----------- 3,405 ----------- PASSENGER TRANSPORTATION ARRANGEMENT--0.46% 102,700 AMERICAN EXPRESS CO .................. 9,166 1,000 oMESA AIR GROUP, INC .................. 5 6,200 oSABRE GROUP HOLDINGS, INC ............ 179 ----------- 9,350 ----------- VALUE SHARES (000) ------ ---------- PENS, PENCILS, OFFICE AND ART SUPPLIES--0.00% 3,500 oNU KOTE HOLDING, INC (CLASS A) ....... $ 2 ----------- PENSION, HEALTH AND WELFARE FUNDS--0.00% 4,100 AMERICAN ANNUITY GROUP, INC .......... 90 ----------- PERIODICALS--0.38% 5,300 xoMARVEL ENTERTAINMENT GROUP, INC ...... 3 9,400 MEREDITH CORP ........................ 335 33,000 oPRIMEDIA, INC ........................ 417 17,700 READER'S DIGEST ASSOCIATION, INC (CLASS A) (NON-VOTE) ................ 418 103,994 TIME WARNER, INC ..................... 6,448 8,700 oWORLD COLOR PRESS, INC ............... 231 ----------- 7,852 ----------- PERSONAL CREDIT INSTITUTIONS--0.24% 9,600 ADVANTA CORP (CLASS A) ............... 252 8,200 oAMERICREDIT CORP ..................... 227 9,900 BENEFICIAL CORP ...................... 823 4,800 oCREDIT ACCEPTANCE CORP ............... 37 5,300 oFIRSTPLUS FINANCIAL GROUP, INC ....... 203 21,326 HOUSEHOLD INTERNATIONAL, INC ......... 2,720 7,900 LEUCADIA NATIONAL CORP ............... 273 20,850 oMERCURY FINANCE CO ................... 13 2,800 METRIS COS, INC ...................... 96 8,150 THE MONEY STORE, INC ................. 171 ----------- 4,815 ----------- PERSONNEL SUPPLY SERVICES--0.24% 17,144 oACCUSTAFF, INC ....................... 394 4,500 oALTERNATIVE RESOURCES CORP ........... 104 4,800 oCDI CORP ............................. 220 3,700 oEMPLOYEE SOLUTIONS, INC .............. 16 12,400 oINTERIM SERVICES, INC ................ 321 9,000 KELLY SERVICES, INC (CLASS A) ........ 270 16,800 MANPOWER, INC ........................ 592 32,900 NEWELL COS, INC ...................... 1,398 5,100 NORRELL CORP ......................... 101 20,982 OLSTEN CORP .......................... 315 3,300 oREGISTRY, INC ........................ 151 21,450 oROBERT HALF INTERNATIONAL, INC ....... 858 2,100 oVOLT INFORMATION SCIENCES, INC ....... 113 ----------- 4,853 ----------- PETROLEUM AND PETROLEUM PRODUCTS--0.19% 70,670 ENRON CORP ........................... 2,937 25,000 oHARKEN ENERGY CORP ................... 175 9,400 LYONDELL PETROCHEMICAL CO ............ 249 10,300 oNATIONAL-OILWELL, INC ................ 352 12,000 QUAKER STATE OIL REFINING CORP ....... 171 ----------- 3,884 ----------- PETROLEUM REFINING--1.18% 74,000 ATLANTIC RICHFIELD CO ................ 5,929 150,300 CHEVRON CORP ......................... 11,573 2,000 FINA, INC (CLASS A) .................. 128 11,000 MURPHY OIL CORP ...................... 596 9,700 PENNZOIL CO .......................... 648 18,100 SUN CO, INC .......................... 761 34,347 TOSCO CORP ........................... 1,299 24,794 ULTRAMAR DIAMOND SHAMROCK CORP ....... 790 54,757 UNOCAL CORP .......................... 2,125 7,700 VALERO ENERGY CORP ................... 242 ----------- 24,091 ----------- See notes to financial statements. -100- EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ --------- PHOTOGRAPHIC EQUIPMENT AND SUPPLIES--0.52% 73,300 EASTMAN KODAK CO ..................... $ 4,458 10,100 POLAROID CORP ........................ 492 75,400 XEROX CORP ........................... 5,565 ----------- 10,515 ----------- PIPELINES, EXCEPT NATURAL GAS--0.03% 14,800 MAPCO, INC ........................... 685 ----------- PLASTICS MATERIALS AND SYNTHETICS--0.89% 258,600 DU PONT (E.I.) DE NEMOURS & CO ....... 15,532 16,400 EASTMAN CHEMICAL CO .................. 977 11,675 HANNA (M.A.) CO ...................... 295 20,500 HERCULES, INC ........................ 1,026 10,100 LAWTER INTERNATIONAL, INC ............ 110 200 oMCWHORTER TECHNOLOGIES, INC .......... 5 6,800 WELLMAN, INC ......................... 133 ----------- 18,078 ----------- PLUMBING AND HEATING, EXCEPT ELECTRIC--0.08% 31,700 MASCO CORP ........................... 1,613 17,400 ROHN INDUSTRIES, INC ................. 90 ----------- 1,703 ----------- POULTRY AND EGGS--0.03% 32,700 TYSON FOODS, INC ..................... 670 ----------- PRESERVED FRUITS AND VEGETABLES--0.87% 58,900 CAMPBELL SOUP CO ..................... 3,424 1,200 oCASTLE & COOKE, INC .................. 20 9,500 DOLE FOOD, INC ....................... 435 83,150 HEINZ (H.J.) CO ...................... 4,225 10,800 HORMEL FOODS CORP .................... 354 67,983 RJR NABISCO HOLDINGS CORP ............ 2,549 110,500 SARA LEE CORP ........................ 6,223 23,600 WHITMAN CORP ......................... 615 ----------- 17,845 ----------- PRIMARY NONFERROUS METALS--0.29% 11,200 oALUMAX, INC .......................... 381 35,600 ALUMINUM CO OF AMERICA ............... 2,505 20,100 ASARCO, INC .......................... 451 1,200 BRUSH WELLMAN, INC ................... 29 12,800 PHELPS DODGE CORP .................... 797 7,300 PRECISION CAST PARTS CORP ............ 440 17,200 REYNOLDS METALS CO ................... 1,032 5,900 oTITANIUM METALS CORP ................. 170 ----------- 5,805 ----------- PRODUCERS, ORCHESTRAS, ENTERTAINERS--0.02% 8,600 oWESTWOOD ONE, INC .................... 319 ----------- PRODUCTS OF PURCHASED GLASS--0.03% 11,500 oGENTEX CORP .......................... 309 6,200 oMEDIMMUNE, INC ....................... 266 ----------- 575 ----------- PROFESSIONAL AND COMMERCIAL EQUIPMENT--0.08% 7,900 oCHS ELECTRONICS, INC ................. 135 1,600 oFTP SOFTWARE, INC .................... 4 2,900 oGULF SOUTH MEDICAL SUPPLY, INC ....... 108 14,800 oINGRAM MICRO, INC (CLASS A) .......... 431 900 oINTELLIGENT ELECTRONICS, INC ......... 5 VALUE SHARES (000) ------ ---------- 900 oMERISEL, INC ......................... $ 4 10,500 OWENS & MINOR, INC ................... 152 8,300 oPATTERSON DENTAL CO .................. 376 2,500 oSPINE-TECH, INC ...................... 129 9,300 oTECH DATA CORP ....................... 362 500 oWONDERWARE CORP ...................... 7 ----------- 1,713 ----------- RADIO AND TELEVISION BROADCASTING--0.39% 9,800 oAMERICAN RADIO SYSTEMS CORP .......... 522 13,450 oCHANCELLOR MEDIA CORP (CLASS A) ...... 1,004 7,261 oCHRIS CRAFT INDUSTRIES, INC .......... 380 14,700 oCLEAR CHANNEL COMMUNICATIONS, INC .... 1,168 11,730 GAYLORD ENTERTAINMENT CO ............. 375 7,400 oHEFTEL BROADCASTING CORP (CLASS A) ... 346 11,200 oJACOR COMMUNICATIONS, INC ............ 595 4,300 oJACOR COMMUNICATIONS, INC WTS 09/18/01 ........................ 26 4,850 oLIN TELEVISION CORP .................. 264 400 UNITED TELEVISION, INC ............... 42 6,460 oVIACOM, INC (CLASS A) ................ 264 69,993 oVIACOM, INC (CLASS B) ................ 2,900 150 oVIACOM, INC (CLASS B) WTS 07/07/99 ... 0 ----------- 7,886 ----------- RADIO, TELEVISION AND COMPUTER STORES--0.13% 6,900 oBEST BUY, INC ........................ 254 19,700 CIRCUIT CITY STORES- CIRCUIT CITY GROUP .................. 701 8,200 oCOMPUCOM SYSTEMS, INC ................ 68 18,400 oCOMPUSA, INC ......................... 570 41,900 oINFORMIX CORP ........................ 199 600 oMICROAGE, INC ........................ 9 1,700 oMUSICLAND STORES CORP ................ 12 22,500 TANDY CORP ........................... 868 ----------- 2,681 ----------- RAILROADS--0.63% 32,745 BURLINGTON NORTHERN SANTA FE CORP .... 3,043 45,800 CSX CORP ............................. 2,473 1,000 FLORIDA EAST COAST INDUSTRIES, INC ... 96 8,100 IES INDUSTRIES, INC .................. 298 14,400 ILLINOIS CENTRAL CORP SERIES A ....... 491 22,800 KANSAS CITY SOUTHERN INDUSTRIES, INC ..................... 724 78,700 NORFOLK SOUTHERN CORP ................ 2,425 48,185 UNION PACIFIC CORP ................... 3,009 12,900 oWISCONSIN CENTRAL TRANSIT CORP ....... 302 ----------- 12,861 ----------- REAL ESTATE OPERATORS AND LESSORS--0.04% 14,500 ROUSE CO ............................. 475 5,800 WEINGARTEN REALTY INVESTORS, INC ..... 260 ----------- 735 ----------- REFRIGERATION AND SERVICE MACHINERY--0.14% 15,200 oAMERICAN STANDARD COS, INC ........... 582 8,477 oCULLIGAN WATER TECHNOLOGIES, INC ..... 426 13,200 EASTERN ENTERPRISES CO ............... 594 8,400 TECUMSEH PRODUCTS CO (CLASS A) ....... 410 16,450 oU.S. FILTER CORP ..................... 492 9,500 YORK INTERNATIONAL CORP .............. 376 ----------- 2,880 ----------- See notes to financial statements. -101- EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ --------- RENTAL OF RAILROAD CARS--0.03% 7,000 GATX CORP ............................ $ 508 ----------- RESEARCH AND TESTING SERVICES--0.09% 8,000 oADVANCED TISSUE SCIENCE CO ........... 99 7,000 oAGOURON PHARMACEUTICALS, INC ......... 206 4,500 oCEPHALON, INC ........................ 51 3,200 oCLINTRIALS, INC ...................... 25 6,800 oCOLUMBIA LABORATORIES, INC ........... 108 1,890 oENZO BIOCHEMICAL, INC ................ 28 8,300 oHUMAN GENOME SCIENCES, INC ........... 330 4,800 oIDEC PHARMACEUTICALS CORP ............ 165 6,800 oINCYTE PHARMACEUTICALS, INC .......... 306 6,300 oISIS PHARMACEUTICALS, INC ............ 78 20,080 oLABORATORY CORP OF AMERICA HOLDINGS ............................ 34 244 oLABORATORY CORP OF AMERICA HOLDINGS WTS 04/28/00 ............... 0 6,200 oLIPOSOME CO, INC ..................... 29 7,000 oNEUROMEDICAL SYSTEMS, INC ............ 20 7,800 oOIS OPTICAL IMAGING SYSTEMS, INC ..... 10 5,800 oTHERMO CARDIOSYSTEMS, INC ............ 155 2,600 oTHERMOTREX CORP ...................... 58 5,200 oTRANSKARYOTIC THERAPIES, INC ......... 183 1,900 oU.S. BIOSCIENCE, INC ................. 17 ----------- 1,902 ----------- RESIDENTIAL BUILDING CONSTRUCTION--0.07% 20,216 CLAYTON HOMES, INC ................... 364 9,200 HORTON (D.R.), INC ................... 160 13,700 KAUFMAN & BROAD HOME CORP ............ 307 15,800 oTOLL BROTHERS, INC ................... 423 12,900 oWALTER INDUSTRIES, INC ............... 266 ----------- 1,520 ----------- RETAIL STORES, NEC--0.02% 4,400 oPETCO ANIMAL SUPPLIES, INC ........... 106 24,600 oPETSMART, INC ........................ 178 6,600 oSUNGLASS HUT INTERNATIONAL, INC ...... 42 ----------- 326 ----------- ROOMING AND BOARDING HOUSES--0.00% 100 oCHARTWELL LEISURE, INC ............... 2 ----------- SANITARY SERVICES--0.46% 24,800 oALLIED WASTE INDUSTRIES, INC ......... 578 50,600 BROWNING FERRIS INDUSTRIES, INC ...... 1,872 12,000 oLAIDLAW ENVIRONMENTAL SERVICES, INC .. 59 24,500 OGDEN CORP ........................... 691 68,600 oREPUBLIC INDUSTRIES, INC ............. 1,599 43,265 oU.S.A. WASTE SERVICES, INC ........... 1,698 101,401 WASTE MANAGEMENT, INC ................ 2,789 ----------- 9,286 ----------- SAVINGS INSTITUTIONS--0.72% 3,900 ALBANK FINANCIAL CORP ................ 201 12,700 ASTORIA FINANCIAL CORP ............... 708 9,400 BANK UNITED CORP (CLASS A) ........... 460 470 oCALIFORNIA FEDERAL BANK (GOODWILL CERT) ..................... 11 15,910 CHARTER ONE FINANCIAL, INC ........... 1,004 5,100 CHEMFIRST, INC ....................... 144 6,600 oCOAST SAVINGS FINANCIAL, INC ......... 453 11,100 COMMERCIAL FEDERAL CORP .............. 395 20,200 DIME BANCORP, INC .................... 611 13,600 oGOLDEN STATE BANCORP, INC ............ 508 9,000 GOLDEN WEST FINANCIAL CORP ........... 880 3,700 GREAT FINANCIAL CORP ................. 189 VALUE SHARES (000) ------ ---------- 19,100 H.F. AHMANSON & CO ................... $ 1,279 10,300 LONG ISLAND BANCORP, INC ............. 511 11,920 MAF BANCORP, INC ..................... 422 2,700 NEW YORK BANCORP, INC ................ 107 10,200 oOCWEN FINANCIAL CORP ................. 259 8,600 PEOPLES BANK OF BRIDGEPORT CO ........ 327 14,700 ROSLYN BANCORP, INC .................. 342 29,534 SOVEREIGN BANCORP, INC ............... 613 20,825 ST. PAUL BANCORP, INC ................ 547 21,000 TCF FINANCIAL CORP ................... 713 11,395 WASHINGTON FEDERAL, INC .............. 358 50,536 WASHINGTON MUTUAL, INC ............... 3,225 7,400 WEBSTER FINANCIAL CORP ............... 492 ----------- 14,759 ----------- SAWMILLS AND PLANING MILLS--0.22% 11,400 BOISE CASCADE CORP ................... 345 24,800 LOUISIANA PACIFIC CORP ............... 471 8,400 RAYONIER, INC ........................ 358 12,000 TEMPLE-INLAND, INC ................... 628 39,000 WEYERHAEUSER CO ...................... 1,913 21,200 WILLAMETTE INDUSTRIES, INC ........... 682 ----------- 4,397 ----------- SCHOOLS AND EDUCATIONAL SERVICES, NEC--0.02% 8,325 oAPOLLO GROUP, INC (CLASS A) .......... 393 ----------- SCREW MACHINE PRODUCTS, BOLTS, ETC.--0.05% 16,350 HUBBELL, INC (CLASS B) ............... 806 4,500 TRIMAS CORP .......................... 155 ----------- 961 ----------- SEARCH AND NAVIGATION EQUIPMENT--0.23% 750 PRIMEX TECHNOLOGIES, INC ............. 25 26,634 RAYTHEON CO (CLASS A) ................ 1,313 49,200 RAYTHEON CO (CLASS B) ................ 2,485 28,200 SENSORMATIC ELECTRONICS CORP ......... 464 9,100 oTRACOR, INC .......................... 276 3,400 oTRIMBLE NAVIGATION LTD ............... 74 ----------- 4,637 ----------- SECURITY AND COMMODITY SERVICES--0.29% 10,350 oAMRESCO, INC ......................... 313 10,200 FINANCIAL SECURITY ASSURANCE HOLDINGS LTD ........................ 492 19,750 FRANKLIN RESOURCES, INC .............. 1,717 11,200 FULTON FINANCIAL CORP ................ 364 10,000 PIONEER GROUP, INC ................... 281 12,000 PRICE (T. ROWE) ASSOCIATES, INC ...... 755 2,000 SEI INVESTMENT CO .................... 84 12,300 TRANSAMERICA CORP .................... 1,310 27,400 UNITED ASSET MANAGEMENT CORP ......... 670 ----------- 5,986 ----------- SECURITY BROKERS AND DEALERS--0.98% 33,301 BEAR STEARNS COS, INC ................ 1,582 4,100 DONALDSON, LUFKIN, & JENRETTE, INC ... 326 22,550 EDWARDS (A.G.), INC .................. 896 5,700 oHAMBRECHT & QUIST GROUP .............. 208 2,400 oINTERRA FINANCIAL, INC ............... 166 11,066 oLEGG MASON, INC ...................... 619 27,420 LEHMAN BROTHERS HOLDINGS, INC ........ 1,398 75,000 MERRILL LYNCH & CO, INC .............. 5,470 101,000 MORGAN STANLEY, DEAN WITTER, DISCOVER ............................ 5,972 23,500 PAINE WEBBER GROUP, INC .............. 812 See notes to financial statements. -102- EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ --------- 6,225 QUICK & REILLY GROUP, INC ............ $ 268 11,800 RAYMOND JAMES FINANCIAL, CORP ........ 468 41,500 SCHWAB (CHARLES) CORP ................ 1,740 ----------- 19,925 ----------- SHIP AND BOAT BUILDING AND REPAIRING--0.08% 12,500 GENERAL DYNAMICS CORP ................ 1,080 5,115 oHALTER MARINE GROUP, INC ............. 148 11,406 NEWPORT NEWS SHIPBUILDING, INC ....... 290 ----------- 1,518 ----------- SHOE STORES--0.03% 2,200 BROWN GROUP, INC ..................... 29 13 oEDISON BROTHERS STORES WTS 09/26/05 ........................ 0 3,600 oJUST FOR FEET, INC ................... 47 8,596 oPAYLESS SHOESOURCE, INC .............. 577 ----------- 653 ----------- SOAP, CLEANERS AND TOILET GOODS--1.78% 9,000 ALBERTO CULVER CO (CLASS B) .......... 289 26,300 AVON PRODUCTS, INC ................... 1,614 4,100 CHURCH & DWIGHT CO, INC .............. 115 14,700 CLOROX CO ............................ 1,162 66,200 COLGATE PALMOLIVE CO ................. 4,866 28,100 DIAL CORP ............................ 585 12,100 ECOLAB, INC .......................... 671 23,200 INTERNATIONAL FLAVORS & FRAGRANCES, INC ..................... 1,195 8,700 LAUDER (ESTEE) CO (CLASS A) .......... 448 311,200 PROCTER & GAMBLE CO .................. 24,838 4,500 oREVLON, INC (CLASS A) ................ 159 18,000 SAFETY-KLEEN CORP .................... 494 1,400 oUSA DETERGENTS, INC .................. 11 ----------- 36,447 ----------- SOCIAL SERVICES, NEC--0.03% 11,248 INTEGRATED HEALTH SERVICES, INC ...... 351 12,100 oSUN HEALTHCARE GROUP, INC ............ 234 ----------- 585 ----------- SPECIAL INDUSTRY MACHINERY--0.23% 75,360 oAPPLIED MATERIALS, INC ............... 2,270 12,114 oCOOPER CAMERON CORP .................. 739 4,800 oETEC SYSTEMS, INC .................... 223 9,200 FOSTER WHEELER CORP .................. 249 1,500 oFSI INTERNATIONAL, INC ............... 18 900 oINTEGRATED PROCESS EQUIPMENT CORP .... 14 4,800 oIONICS, INC .......................... 188 4,400 oKULICHE & SOFFA INDUSTRIES, INC ...... 82 5,700 oLAM RESEARCH CORP .................... 167 7,000 oNOVELLUS SYSTEMS, INC ................ 226 6,900 oOAKLEY, INC .......................... 63 5,600 oPHOTRONICS, INC ...................... 136 5,200 oPRESSTEK, INC ........................ 134 2,900 oPRI AUTOMATION, INC .................. 84 3,700 oTHERMO FIBERTEK, INC ................. 45 3,700 oULTRATECH STEPPER, INC ............... 74 3,700 oZEBRA TECHNOLOGY CORP ................ 110 ----------- 4,822 ----------- STRUCTURAL CLAY PRODUCTS--0.01% 10,100 oDAL-TILE INTERNATIONAL, INC .......... 124 ----------- SUBDIVIDERS AND DEVELOPERS--0.01% 13,900 oCATELLUS DEVELOPMENT CORP ............ 278 ----------- VALUE SHARES (000) ------ ---------- SUGAR AND CONFECTIONERY PRODUCTS--0.17% 21,500 HERSHEY FOODS CORP ................... $ 1,332 3,851 TOOTSIE ROLL INDUSTRIES, INC ......... 241 23,200 WRIGLEY (WM) JR CO ................... 1,846 ----------- 3,419 ----------- SURETY INSURANCE--0.14% 8,100 oAMERIN CORP .......................... 227 3,000 CAPITAL RE CORP ...................... 186 1,700 CAPMAC HOLDINGS, INC ................. 59 6,900 CMAC INVESTMENT CORP ................. 417 5,500 ENHANCE FINANCIAL SERVICES GROUP, INC .......................... 327 24,200 MGIC INVESTMENT CORP ................. 1,609 ----------- 2,825 ----------- TELEPHONE COMMUNICATIONS--6.92% 28,500 o360 COMMUNICATIONS CO ................ 575 3,600 oACC CORP ............................. 182 112,500 oAIRTOUCH COMMUNICATIONS, INC ......... 4,676 39,800 ALLTEL CORP .......................... 1,634 124,900 AMERITECH CORP ....................... 10,054 5,200 oARCH COMMUNICATIONS GROUP, INC ....... 27 367,900 AT & T CORP .......................... 22,534 176,293 BELL ATLANTIC CORP ................... 16,043 225,700 BELLSOUTH CORP ....................... 12,710 9,800 oBRIGHTPOINT, INC ..................... 136 12,100 oBROOKS FIBER PROPERTIES, INC ......... 666 400 oCELLULAR COMMUNICATIONS INTERNATIONAL, INC .................. 19 13,300 CENTURY TELEPHONE ENTERPRISES, INC ... 663 30,500 CINCINNATI BELL, INC ................. 946 3,066 oCOMMONWEALTH TELEPHONE ENTERPRISES ......................... 79 37,300 FRONTIER CORP ........................ 898 214,600 GTE CORP ............................. 11,213 4,400 oHIGHWAYMASTER COMMUNICATIONS, INC .... 25 7,000 oIXC COMMUNICATIONS, INC .............. 220 19,975 oLCI INTERNATIONAL, INC ............... 614 150,762 LUCENT TECHNOLOGIES, INC ............. 12,042 125,380 MCI COMMUNICATIONS CORP .............. 5,368 16,600 oMOBILE TELECOMMUNICATIONS TECHNOLOGIES CORP ................... 365 51,500 oNEXTEL COMMUNICATIONS, INC (CLASS A) . 1,339 8,466 oNTL, INC ............................. 236 10,100 oOMNIPOINT CORP ....................... 235 4,900 oPACIFIC GATEWAY EXCHANGE, INC ........ 264 3,900 oPOWERTEL, INC ........................ 65 5,300 oPREMIERE TECHNOLOGIES, INC ........... 146 4,600 oRCN CORP ............................. 158 207,813 SBC COMMUNICATIONS, INC .............. 15,222 17,100 SOUTHERN NEW ENGLAND TELECOMMUNICATIONS CORP ............. 860 96,000 SPRINT CORP .......................... 5,628 8,200 oTEL-SAVE HOLDINGS, INC ............... 163 18,134 TELEPHONE & DATA SYSTEMS, INC ........ 844 7,200 oTELEPORT COMMUNICATIONS GROUP, INC (CLASS A) ....................... 395 5,900 oU.S. CELLULAR CORP ................... 183 105,300 U.S. WEST COMMUNICATIONS GROUP, INC .. 4,752 142,700 oU.S. WEST MEDIA GROUP, INC ........... 4,120 7,600 oVANGUARD CELLULAR SYSTEMS, INC ....... 97 7,800 oWEST TELESERVICES CORP ............... 94 8,500 oWINSTAR COMMUNICATIONS, INC .......... 212 154,061 oWORLDCOM, INC ........................ 4,660 ----------- 141,362 ----------- See notes to financial statements. -103- EQUITY INDEX ACCOUNT (CONTINUED) VALUE SHARES (000) ------ --------- TIRES AND INNER TUBES--0.18% 4,600 BANDAG, INC .......................... $ 246 19,800 COOPER TIRE & RUBBER CO .............. 483 19,360 GOODRICH (B.F.) CO ................... 802 34,500 GOODYEAR TIRE & RUBBER CO ............ 2,195 ----------- 3,726 ----------- TITLE INSURANCE--0.02% 1,200 oALLEGHANY CORP (DELAWARE) ............ 342 1,000 FIRST AMERICAN FINANCIAL CORP ........ 74 ----------- 416 ----------- TOYS AND SPORTING GOODS--0.19% 15,400 CALLAWAY GOLF CO ..................... 440 2,800 oGALOOB TOYS, INC ..................... 29 25,000 HASBRO, INC .......................... 788 5,500 K2, INC .............................. 125 63,556 MATTEL, INC .......................... 2,367 ----------- 3,749 ----------- TRUCKING & COURIER SERVICES, EXCEPT AIR--0.09% 5,200 oAMERICAN FREIGHTWAYS CORP ............ 51 3,000 ARNOLD INDUSTRIES, INC ............... 52 5,500 CALIBER SYSTEM, INC .................. 268 10,200 CNF TRANSPORTATION, INC .............. 391 3,450 oCONSOLIDATED FREIGHTWAYS CORP ........ 47 3,300 oHEARTLAND EXPRESS, INC ............... 89 6,200 HUNT (J.B.) TRANSPORT SERVICES, INC .. 116 200 oM.S. CARRIERS, INC ................... 5 700 ROADWAY EXPRESS, INC ................. 15 7,500 oSWIFT TRANSPORTATION CO, INC ......... 243 8,400 USFREIGHTWAYS CORP ................... 273 8,900 WERNER ENTERPRISES, INC .............. 182 5,300 oYELLOW CORP .......................... 133 ----------- 1,865 ----------- VARIETY STORES--0.21% 11,000 oBJS WHOLESALE CLUB, INC .............. 345 17,537 oCONSOLIDATED STORES CORP ............. 771 6,450 oDOLLAR TREE STORES, INC .............. 267 13,800 FAMILY DOLLAR STORES, INC ............ 405 6,300 oHOMEBASE, INC ........................ 50 110,300 oK MART CORP .......................... 1,275 6,900 oMAC FRUGALS BARGAINS CLOSE-OUTS, INC ..................... 284 13,400 oSHOPKO STORES, INC ................... 291 24,800 oWOOLWORTH CORP ....................... 505 ----------- 4,193 ----------- VIDEO TAPE RENTAL--0.00% 5,200 oHOLLYWOOD ENTERTAINMENT CORP ......... 55 ----------- VOCATIONAL SCHOOLS--0.02% 9,200 oDEVRY, INC ........................... 293 2,800 oLEARNING TREE INTERNATIONAL, INC ..... 81 ----------- 374 ----------- WATER SUPPLY--0.03% 16,300 AMERICAN WATER WORKS CO, INC ......... 445 8,200 UNITED WATER RESOURCES, INC .......... 160 ----------- 605 ----------- WATER TRANSPORTATION OF FREIGHT, NEC--0.00% 5,200 oKIRBY CORP ........................... 100 ----------- VALUE SHARES (000) ------ ---------- WATER TRANSPORTATION SERVICES--0.03% 11,500 TIDEWATER, INC ....................... $ 634 ----------- WOMEN'S ACCESSORY AND SPECIALTY STORES--0.07% 13,100 CLAIRES STORES, INC .................. 255 2,200 oGOODYS FAMILY CLOTHING, INC .......... 60 44,592 LIMITED, INC ......................... 1,137 ----------- 1,452 ----------- WOMEN'S AND MISSES' OUTERWEAR--0.05% 8,700 oJONES APPAREL GROUP, INC ............. 374 17,100 LIZ CLAIBORNE, INC ................... 715 ----------- 1,089 ----------- WOMEN'S CLOTHING STORES--0.04% 3,700 oANN TAYLOR STORES CORP ............... 49 600 CATO CORP (CLASS A) .................. 5 24,800 oCHARMING SHOPPES, INC ................ 116 17,800 INTIMATE BRANDS, INC (CLASS A) ....... 428 2,900 oPETRIE STORES CORP (LIQUIDATING TRUST) ................. 9 6,200 TALBOTS, INC ......................... 112 ----------- 719 ----------- WOOD BUILDINGS AND MOBILE HOMES--0.01% 12,100 oCHAMPION ENTERPRISES, INC ............ 249 ----------- YARN AND THREAD MILLS--0.04% 10,200 RUDDICK CORP ......................... 178 18,700 UNIFI, INC ........................... 726 ----------- 904 ----------- TOTAL COMMON STOCK (Cost $1,546,437) ................... 2,016,162 ----------- PRINCIPAL --------- SHORT TERM INVESTMENTS--1.82% U.S. GOVERNMENT & AGENCIES--1.82% FEDERAL FARM CREDIT BANK $10,110,000 5.720%, 01/22/98 ................ 10,075 FEDERAL HOME LOAN BANK (FHLB) 14,100,000 4.750%, 01/02/98 ................ 14,096 FEDERAL NATIONAL MORTGAGE ASSOCIATION (FNMA) 2,570,000 5.670%, 01/05/98 ................ 2,568 4,250,000 * 5.670%, 01/08/98 ................ 4,245 6,110,000 * 5.640%, 01/09/98 ................ 6,101 ----------- 37,085 ----------- TOTAL SHORT TERM INVESTMENTS (Cost $37,090) ..................... 37,085 ----------- TOTAL PORTFOLIO (Cost $1,583,659) ...................$ 2,053,385 =========== - ---------- o Non-income producing x In bankruptcy * All or a portion of this security has been segregated by the custodian to cover margin of other requirements on open futures contracts, covered call options written and securities purchased on a delayed delivery basis. See notes to financial statements. -104- COLLEGE RETIREMENT EQUITIES FUND STATEMENT OF INVESTMENTS--INFLATION LINKED BOND ACCOUNT DECEMBER 31, 1997 SUMMARY BY INDUSTRY (000) VALUE % ------- ------ BONDS CORPORATE BONDS COMMERCIAL BANKS ................. $ 2,343 2.45% ------- ------ TOTAL CORPORATE BONDS (Cost $2,446) .................... 2,343 2.45 ------- ------ GOVERNMENT BONDS U.S. TREASURY SECURITIES ......... 91,382 95.61 ------- ------ TOTAL GOVERNMENT BONDS (Cost $91,078) ................... 91,382 95.61 ------- ------ TOTAL BONDS (Cost $93,524) .................... 93,725 98.06 ------- ------ TOTAL PORTFOLIO (Cost $93,524) .................... 93,725 98.06 ------- ------ OTHER ASSETS AND LIABILITIES, NET 1,855 1.94 ------- ------ NET ASSETS .......................... $95,580 100.00% ======= ====== MOODY'S VALUE PRINCIPAL RATINGS (000) --------- ------- ----- BONDS--98.06% CORPORATE BONDS--2.45% COMMERCIAL BANKS--2.45% J.P. MORGAN INFLATION INDEXED $ 2,500,000 6.358%, 02/15/12 .......... AA3 $ 2,343 ------------ TOTAL CORPORATE BONDS (Cost $2,446) ......................... 2,343 ------------ GOVERNMENT BONDS--95.61% U.S. TREASURY SECURITIES--95.61% U.S. TREASURY INFLATION INDEXED 47,924,794 3.625%, 07/15/02 .......... 47,685 44,875,252 3.375%, 01/15/07 .......... 43,697 ----------- 91,382 ----------- TOTAL GOVERNMENT BONDS (Cost $91,078)........................... 91,382 ---------- TOTAL BONDS (Cost $93,524)........................... 93,725 ---------- TOTAL PORTFOLIO (Cost $93,524)........................... $93,725 ========== - ---------- The composition of long-term debt holdings as a percentage of total value of investment in securities, is as follows: MOODY'S RATINGS AA 2.50% U.S. Government obligations represent 97.50% of the long-term debt portfolio value. Moody's rating is provided by Moody's Investors Services (Unaudited). See notes to financial statements. -105- COLLEGE RETIREMENT EQUITIES FUND Participant Voting Results December 31, 1997 CREF's annual meeting was held on November 10, 1997. The annual meeting involved the election of trustees. The four trustees elected to four-year terms at the annual meeting were: Joyce A. Fecske: 28,480,710,596.27 (97.9%) votes were cast in favor, and 592,205,753.84 (2.1%) votes were withheld. Edes P. Gilbert: 28,471,708,344.65 (97.9%) votes were cast in favor, and 601,208,005.46 (2.1%) votes were withheld. Stephen A. Ross: 28,548,803,399.57 (98.2%) votes were cast in favor, and 524,112,950.54 (1.8%) votes were withheld. Maceo K. Sloan: 28,503,276,499.51 (98.0%) votes were cast in favor, and 569,639,850.60 (2.0%) votes were withheld). The other trustees currently in office are Robert H. Atwell, Elizabeth E. Bailey, John H. Biggs, Gary P. Brinson, Stuart Tse Kong Ho, Nancy L. Jacob, Marjorie Fine Knowles, Martin L. Leibowitz, Jay O. Light, Bevis Longstreth, Robert M. Lovell, Jr., Eugene C. Sit, David K. Storrs, and Robert W. Vishny. One shareholder proposal was submitted to a vote of CREF participants in the Social Choice Account, recommending adoption of an additonal screen for the account. On this proposal, 136,860,178.52 (35.3%) votes were cast in favor, 215,479,099.19 (55.6%) votes were cast in opposition and 35,154,453.48 (9.1%) abstained. The proposal was defeated. One shareholder proposal was submitted to a vote of CREF participants in accounts with investments in tobacco manufacturers, asking CREF to divest its investments in those companies. For the Stock Account, 6,682,194,602.60 (27.2%) votes were cast in favor, 16,572,514,580.57 (67.3%) votes were cast in opposition and 1,361,033,104.75 (5.5%) abstained. The proposal was defeated. For the Money Market Account, 221,387,284.06 (28.2%) votes were cast in favor, 520,891,890.64 (66.4%) votes were cast in opposition and 42,146,814.74 (5.4%) abstained. The proposal was defeated. For the Bond Market Account, 85,787,185.95 (29.7%) votes were cast in favor, 188,830,276.55 (65.3%) votes were cast in opposition and 14,334,751.76 (5.0%) abstained. The proposal was defeated. For the Global Equities Account, 393,616,992.12 (27.7%) votes were cast in favor, 959,415,719.31 (67.6%) votes were cast in opposition and 65,873,882.54 (4.7%) abstained. The proposal was defeated. For the Growth Account, 301,216,507.74 (27.8%) votes were cast in favor, 733,811,753.68 (67.8%) votes were cast in opposition and 47,323,637.81 (4.4%) abstained. The proposal was defeated. For the Equity Index Account, 130,532,515.21 (29.6%) votes were cast in favor, 291,004,882.41 (66.1%) votes were cast in opposition and 18,844,530.38 (4.3%) abstained. The proposal was defeated. For the Inflation-Linked Bond Account, 882,139.87 (1.6%) votes were cast in favor, 53,616,138.81 (98.1%) votes were cast in opposition and 163,427.42 (0.3%) abstained. The proposal was defeated. Shareholders also ratified the election of Ernst & Young LLP as the independent auditors for CREF for the fiscal year ending December 31, 1997. 28,338,862,134.56 (97.5%) votes were cast in favor, 253,277,471.08 (0.9%) votes were cast in opposition and 480,776,744.47 (1.6%) abstained. -106- | College Retirement Equities Fund [CREF LOGO] | 730 Third Avenue | New York, NY 10017-3206 | 212/490-9000 CAR--02M-2/98 Printed on recycled paper -----END PRIVACY-ENHANCED MESSAGE-----