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1 UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 13F FORM 13F COVER PAGE Report for the Calendar Year or Quarter Ended: June 30, 1999 Check here if Amendment [ ]; Amendment Number: ---- This Amendment (Check only one.): [ ] is a restatement. [ ] adds new holdings entries Institutional Investment Manager Filing this Report: Name: AMERICAN INTERNATIONAL GROUP, INC. Address: 70 Pine Street New York, New York 10270 Form 13F File Number: 28-219 The Institutional Investment Manager filing this report and the person by whom it is signed represent that the person signing the report is authorized to submit it, that all information contained herein is true, correct and complete, and that it is understood that all required items, statements, schedules, lists, and tables, are considered integral parts of this form. Person Signing this Report on Behalf of Reporting Manager: Name: Edward E. Matthews Title: Vice Chairman -- Investments and Financial Services Phone: (212) 770-5400 Signature, Place, and Date of Signing: /s/ Edward E. Matthews New York, New York August 16, 1999 - ------------------------------- -------------------------- --------------- (Signature) (City, State) (Date) Report Type (Check only one.): [X] 13F HOLDINGS REPORT. (Check if all holdings of this reporting manager are reported in this report.) [ ] 13F NOTICE. (Check if no holdings reported are in this report, and all holdings are reported in this report and a portion are reported by other reporting manager(s).) [ ] 13F COMBINATION REPORT. (Check if a portion of the holdings for this reporting manager are reported in this report and a portion are reported by other reporting manager(s).)

2 FORM 13F SUMMARY PAGE REPORT SUMMARY: Number of Other Included Managers: 3 Form 13F Information Table Entry Total: 2408 Form 13F Information Table Value Total: $13,873,074 (thousands) List of Other Included Managers: Provide a numbered list of the name(s) and Form 13F file number(s) of all institutional investment managers with respect to which this report is filed, other than the manager filing this report. No. Form 13F File Number Name - -- -------------------- ------------------------------------- 1 28-4637 AIG GLOBAL INVESTMENT CORP. 2 28-2725 SUNAMERICA ASSET MANAGEMENT CORP. 3 28-3463 JOHN MCSTAY INVESTMENT COUNSEL LLC

3 FILE NUMBER 28-219 (CONSOLIDATED) AS OF 6/30/99 - -------------------------------------------------------------------------------------------------------------------- TITLE OF CUSIP VALUE SHRS OR SH/PRN NAME OF ISSUER CLASS (X$1000) PRN AMT - -------------------------------------------------------------------------------------------------------------------- 3COM COM 8855351040 64 2,400 SH 99 CENTS ONLY STORES COM 65440K106 41,306 827,149 SH A D C TELECOMMUNICATN COM 000886101 9,700 212,900 SH A. SCHULMAN INC COM 808194104 57 3,300 SH A.J. GALLAGHER COM 363576109 11,177 225,800 SH AAR CORP COM 000361105 86 4,800 SH ABACUS DIRECT CORP COM 002553105 14,924 163,100 SH ABBEY NATIONAL COM 000445007 269 13,000 SH ABITIBI-PRICE COM 003924107 1,928 161,675 SH ABBOTT LABORATORIES COM 002824100 3,004 66,200 SH ABBOTT LABS COM 002824100 2,563 54,900 SH ABERCROMBIE & FITCH - CL A COM 002896207 2,554 53,200 SH ABERCROMBIE & FITCH - CL A COM 002896207 442 9,200 SH ABERCROMBIE & FITCH - CL A COM 002896207 7,102 77,200 SH ABR INFORMATION SVCS INC COM 00077R108 207 2,300 SH ACCREDO HEALTH INC COM 00437V104 10,153 310,000 SH ACE LTD COM G0070K103 1,182 37,900 SH ACNIELSEN CORP COM 004833109 148 4,899 SH ACTION PERFORMANCE COS INC COM 004933107 4,641 154,300 SH ACUSON CORP COM 005113105 43 2,500 SH ACXIOM CORP COM 005125109 885 33,400 SH ADAC LABS COM 005313200 19 1,400 SH ADAPTEC INC COM 00651F108 457 20,100 SH ADC TELECOMMUNICATIONS COM 000886101 560 12,300 SH ADC TELECOMMUNICATIONS COM 000886101 844 17,700 SH ADELPHIA COMMUNICATIONS CORP COM 006848105 688 10,900 SH ADOBE SYS INC COM 00724F101 289 5,100 SH ADOBE SYSTEMS INC COM 00724F101 214 2,600 SH ADVANCE PARADIGM INC COM 007491103 31,208 511,600 SH ADVANCED MICRO DEVICES COM 007903107 94 5,200 SH AEA INVESTORS CLASS B COM 00799H115 1,800 11,250 SH AES CORP COM 00130H105 401 6,900 SH AETNA INC COM 008117103 537 6,000 SH AETNA INC COM 008117103 1,312 16,100 SH AFFILIATED COMPUTER COM 008190100 98,830 1,952,200 SH AFFILIATED COMPUTER SVCS INC COM 008190100 791 17,300 SH AFFILIATED COMPUTER SVCS-A COM 008190100 223 4,400 SH AFLAC INC COM 001055102 1,682 30,900 SH AFLAC INC. COM 001055102 8,632 180,300 SH AGCO CORP COM 001084102 61 5,400 SH AGL RES INC COM 001204106 89 4,800 SH AGL RES INC COM 001204106 657 37,400 SH AGOURON PHARMACEUTICALS INC COM 008488108 136 2,400 SH AIR EXPRESS INTL CORP COM 009104100 416 27,500 SH - ----------------------------------------------------------------------------------------------------------------------------- PUT/CALL INVESTMENT OTHER VOTING AUTHORITY NAME OF ISSUER DISCRETION MANAGERS SOLE SHARED NONE - ----------------------------------------------------------------------------------------------------------------------------- 3COM DEFINED 1 2,400 99 CENTS ONLY STORES DEFINED 3 809,099 18,050 A D C TELECOMMUNICATN DEFINED 3 176,600 36,300 A. SCHULMAN INC DEFINED 1 3,300 A.J. GALLAGHER DEFINED 1 225,800 AAR CORP DEFINED 2 4,800 ABACUS DIRECT CORP DEFINED 3 159,300 3,800 ABBEY NATIONAL DEFINED 2 13,000 ABITIBI-PRICE DEFINED 1 161,675 ABBOTT LABORATORIES DEFINED 1 66,200 ABBOTT LABS DEFINED 2 54,900 ABERCROMBIE & FITCH - CL A DEFINED 3 50,800 2,400 ABERCROMBIE & FITCH - CL A DEFINED 1 9,200 ABERCROMBIE & FITCH - CL A DEFINED 2 77,200 ABR INFORMATION SVCS INC DEFINED 2 2,300 ACCREDO HEALTH INC DEFINED 3 310,000 ACE LTD DEFINED 2 37,900 ACNIELSEN CORP DEFINED 1 4,899 ACTION PERFORMANCE COS INC DEFINED 2 154,300 ACUSON CORP DEFINED 1 2,500 ACXIOM CORP DEFINED 2 33,400 ADAC LABS DEFINED 2 1,400 ADAPTEC INC DEFINED 2 20,100 ADC TELECOMMUNICATIONS DEFINED 1 12,300 ADC TELECOMMUNICATIONS DEFINED 2 17,700 ADELPHIA COMMUNICATIONS CORP DEFINED 2 10,900 ADOBE SYS INC DEFINED 2 5,100 ADOBE SYSTEMS INC DEFINED 1 2,600 ADVANCE PARADIGM INC DEFINED 3 502,100 9,500 ADVANCED MICRO DEVICES DEFINED 1 5,200 AEA INVESTORS CLASS B DEFINED 1 11,250 AES CORP DEFINED 1 6,900 AETNA INC DEFINED 1 6,000 AETNA INC DEFINED 2 16,100 AFFILIATED COMPUTER DEFINED 3 1,881,800 70,400 AFFILIATED COMPUTER SVCS INC DEFINED 2 17,300 AFFILIATED COMPUTER SVCS-A DEFINED 1 4,400 AFLAC INC DEFINED 2 30,900 AFLAC INC. DEFINED 1 180,300 AGCO CORP DEFINED 1 5,400 AGL RES INC DEFINED 1 4,800 AGL RES INC DEFINED 2 37,400 AGOURON PHARMACEUTICALS INC DEFINED 2 2,400 AIR EXPRESS INTL CORP DEFINED 2 27,500 Page 1 of 49

4 FILE NUMBER 28-219 (CONSOLIDATED) AS OF 6/30/99 AIR PRODS + CHEMS INC COM 009158106 4,425 129,191 SH AIR PRODUCTS COM 009158106 358 8,900 SH AIRBORNE FGHT CORP COM 009266107 311 10,000 SH AIRBORNE FREIGHT CORP COM 009266107 100 3,600 SH AIRGAS INC COM 009363102 70 5,700 SH AK STEEL HOLDING CORP COM 001547108 104 4,600 SH AK STL HLDG CORP COM 001547108 505 22,400 SH ALASKA AIR GROUP COM 011659109 88 2,100 SH ALASKA AIR GROUP INC COM 011659109 95 2,000 SH ALBANY INTL CORP COM 012348108 52 2,470 SH ALBEMARLE CORP COM 012653101 111 4,800 SH ALBERTO-CULVER CO COM 013068101 59 2,200 SH ALBERTSON'S INC COM 013104104 16,806 325,943 SH ALCAN ALUM LTD COM 013716956 45 1,740 SH ALCAN ALUMINUM LTD COM 013716105 16,383 507,400 SH ALCOA INC COM 013817101 362 8,800 SH ALCOA INC. COM 013817101 693 11,200 SH ALEXANDER BALDWIN COM 014482103 87 3,900 SH ALIANT COMMUNICATIONS INC COM 016090102 143 3,100 SH ALKERMES INC COM 01642T108 2,542 93,600 SH ALLAIRE CORP COM 016714107 2,040 30,000 SH ALLEGHENY ENERGY INC COM 017361106 337 10,500 SH ALLEGHENY TELEDYNE INC COM 017415100 166 7,345 SH ALLEN TELECOM INC COM 018091108 82 13,500 SH ALLERGAN INC COM 018490102 289 2,600 SH ALLIANT ENERGY CORP COM 018802108 182 6,400 SH ALLIED WASTE INDUSTRIES INC COM 019589308 310 15,700 SH ALLIED WASTE INDUSTRIES INC COM 019589308 2,673 185,125 SH ALLIED-SIGNAL INC. COM 019512102 18,153 288,150 SH ALLMERICA FINANCIAL CORP COM 019754100 304 5,000 SH ALLOY ONLINE INC COM 019855105 6 500 SH ALLSTATE CORP COM 020002101 30,424 848,050 SH ALLSTATE CORP COM 020002101 1,831 49,400 SH ALLTEL CORP COM 020039103 672 9,400 SH ALLTEL CORP COM 020039103 5,184 83,105 SH ALPHA INDUSTRIES INC COM 020753109 19 390 SH ALTERA CORP COM 021441100 655 17,800 SH ALTERNATIVE LIVING SVCS INC COM 02145K107 3,504 175,200 SH ALZA COM 022615108 163 3,200 SH ALZA CORP COM 022615108 1,251 32,700 SH AMB PPTY CORP COM 00163T109 16,137 686,700 SH AMBAC FINL GROUP INC COM 023139108 680 12,600 SH AMBAC INC. COM 023139108 343 6,000 SH AMCORE FINL INC COM 023912108 186 9,000 SH AMDOCS LIMITED COM 002256908 796 35,000 SH AMERADA HESS CORP COM 023551104 214 3,600 SH AMERADA HESS CORP COM 023551104 21,667 148,470 SH AMEREN CORPORATION COM 023608102 176 4,580 SH AMERICA ONLINE INC COM 02364J104 4,290 39,000 SH AMERICAN AIRLINES COM 001765106 484 7,100 SH AIR PRODS + CHEMS INC DEFINED 2 129,191 AIR PRODUCTS DEFINED 1 8,900 AIRBORNE FGHT CORP DEFINED 2 10,000 AIRBORNE FREIGHT CORP DEFINED 1 3,600 AIRGAS INC DEFINED 1 5,700 AK STEEL HOLDING CORP DEFINED 1 4,600 AK STL HLDG CORP DEFINED 2 22,400 ALASKA AIR GROUP DEFINED 1 2,100 ALASKA AIR GROUP INC DEFINED 2 2,000 ALBANY INTL CORP DEFINED 1 2,470 ALBEMARLE CORP DEFINED 1 4,800 ALBERTO-CULVER CO DEFINED 1 2,200 ALBERTSON'S INC DEFINED 1 325,943 ALCAN ALUM LTD DEFINED 2 1,740 ALCAN ALUMINUM LTD DEFINED 1 507,400 ALCOA INC DEFINED 2 8,800 ALCOA INC. DEFINED 1 11,200 ALEXANDER BALDWIN DEFINED 1 3,900 ALIANT COMMUNICATIONS INC DEFINED 1 3,100 ALKERMES INC DEFINED 2 93,600 ALLAIRE CORP DEFINED 2 30,000 ALLEGHENY ENERGY INC DEFINED 1 10,500 ALLEGHENY TELEDYNE INC DEFINED 1 7,345 ALLEN TELECOM INC DEFINED 2 13,500 ALLERGAN INC DEFINED 1 2,600 ALLIANT ENERGY CORP DEFINED 1 6,400 ALLIED WASTE INDUSTRIES INC DEFINED 1 15,700 ALLIED WASTE INDUSTRIES INC DEFINED 2 185,125 ALLIED-SIGNAL INC. DEFINED 1 288,150 ALLMERICA FINANCIAL CORP DEFINED 1 5,000 ALLOY ONLINE INC DEFINED 1 500 ALLSTATE CORP DEFINED 1 848,050 ALLSTATE CORP DEFINED 2 49,400 ALLTEL CORP DEFINED 1 9,400 ALLTEL CORP DEFINED 2 83,105 ALPHA INDUSTRIES INC DEFINED 2 390 ALTERA CORP DEFINED 1 17,800 ALTERNATIVE LIVING SVCS INC DEFINED 2 175,200 ALZA DEFINED 1 3,200 ALZA CORP DEFINED 2 32,700 AMB PPTY CORP DEFINED 3 561,900 124,800 AMBAC FINL GROUP INC DEFINED 2 12,600 AMBAC INC. DEFINED 1 6,000 AMCORE FINL INC DEFINED 2 9,000 AMDOCS LIMITED DEFINED 1 35,000 AMERADA HESS CORP DEFINED 1 3,600 AMERADA HESS CORP DEFINED 2 148,470 AMEREN CORPORATION DEFINED 1 4,580 AMERICA ONLINE INC DEFINED 1 39,000 AMERICAN AIRLINES DEFINED 1 7,100 Page 2 of 49

5 FILE NUMBER 28-219 (CONSOLIDATED) AS OF 6/30/99 AMERICAN BANKERS INS GROUP INC COM 024456204 802 7,600 SH AMERICAN CELLULAR COMMON STOCK COM 02599C106 357 3,571 SH AMERICAN ELEC PWR INC COM 025537101 20 500 SH AMERICAN ELECTRIC POWER COM 025537101 285 7,600 SH AMERICAN EXPRESS COM 025816109 27,645 212,450 SH AMERICAN EXPRESS CO COM 025816109 20,250 172,255 SH AMERICAN FINANCIAL GROUP INC COM 025932104 187 5,500 SH AMERICAN FINL GROUP INC OHIO COM 025932104 176 5,000 SH AMERICAN GENERAL CORP COM 026351106 758 10,061 SH AMERICAN GREEETINGS -CL A COM 026375105 81 2,700 SH AMERICAN GREETINGS CORP COM 026375105 3,145 123,950 SH AMERICAN HEALTH PPTYS COM 026494104 4,423 219,800 SH AMERICAN HERITAGE LIFE INVT COM 026522102 61 2,600 SH AMERICAN HOME PRODUCTS COM 026609107 18,412 320,900 SH AMERICAN HOME PRODUCTS CORP COM 026609107 6,225 95,400 SH AMERICAN INTL GROUP INC COM 026874107 2,760,476 23,543,506 SH AMERICAN INTL GROUP INC COM 026874107 2,120 17,575 SH AMERICAN ITALIAN PASTA CO COM 027070101 143 5,700 SH AMERICAN POWER CONVERSION COM 029066107 326 16,200 SH AMERICAN PWR CONVERSION CORP COM 029066107 918 34,000 SH AMERICAN SKIING CORP COMMON COM 029654308 2 371,415 SH AMERICAN STANDARD COMPANIES COM 029712106 302 6,300 SH AMERICAN TOWER COM 029912201 52,178 2,174,100 SH AMERICAN WTR WKS INC COM 030411102 209 6,800 SH AMERICREDIT CORP COM 03060R101 40,726 2,545,400 SH AMERIN CORP COM 03070X106 278 13,700 SH AMERISOURCE HEALTH CORP COM 03071P102 940 27,500 SH AMERITECH CORPORATION/DEL COM 030954101 3,197 43,500 SH AMES DEPT STORES INC COM 030789507 16 360 SH AMES DEPT STORES INC COM 030789507 50,251 1,101,400 SH AMETEK INC (new) COM 031100100 67 2,900 SH AMGEN INC COM 031162100 12,343 165,300 SH AMGEN INC. COM 031162100 1,297 21,300 SH AMLI RESIDENTIAL PPTYS TR COM 001735109 95 4,600 SH AMSOUTH BANCORPORATION COM 321651020 139 6,000 SH ANADARKO PETROLEUM CORP COM 032511107 180 4,900 SH ANALOG DEVICES INC COM 032654105 693 13,800 SH ANALOG DEVICES INC COM 032654105 473 15,900 SH ANDREW CORPRATION COM 034425108 62 3,275 SH ANHEUSER BUSCH COS INC COM 035229103 4,099 53,800 SH ANHEUSER-BUSCH COS COM 035229103 13,531 190,750 SH ANIXTER INTL INC COM 035290105 208 17,400 SH ANNTAYLOR STORES CORP COM 036115103 433 9,800 SH ANNUITY AND LIFE RE HLDGS COM G03910109 229 10,000 SH ANSWERTHINK CONSULTING GROUP COM 036916104 2,940 105,000 SH ANTEC CORP COM 03664P105 56,543 1,763,517 SH AON CORP COM 037389103 11,362 275,450 SH APACHE CORP COM 037411105 135 3,450 SH APACHE CORP COM 037411105 58 1,475 SH APACHE CORP COM 037411105 5,737 147,100 SH AMERICAN BANKERS INS GROUP INC DEFINED 2 7,600 AMERICAN CELLULAR COMMON STOCK DEFINED 1 3,571 AMERICAN ELEC PWR INC DEFINED 2 500 AMERICAN ELECTRIC POWER DEFINED 1 7,600 AMERICAN EXPRESS DEFINED 1 212,450 AMERICAN EXPRESS CO DEFINED 2 172,255 AMERICAN FINANCIAL GROUP INC DEFINED 1 5,500 AMERICAN FINL GROUP INC OHIO DEFINED 2 5,000 AMERICAN GENERAL CORP DEFINED 1 10,061 AMERICAN GREEETINGS -CL A DEFINED 1 2,700 AMERICAN GREETINGS CORP DEFINED 2 123,950 AMERICAN HEALTH PPTYS DEFINED 3 180,300 39,500 AMERICAN HERITAGE LIFE INVT DEFINED 2 2,600 AMERICAN HOME PRODUCTS DEFINED 1 320,900 AMERICAN HOME PRODUCTS CORP DEFINED 2 95,400 AMERICAN INTL GROUP INC DEFINED 1 23,543,506 AMERICAN INTL GROUP INC DEFINED 2 17,575 AMERICAN ITALIAN PASTA CO DEFINED 2 5,700 AMERICAN POWER CONVERSION DEFINED 1 16,200 AMERICAN PWR CONVERSION CORP DEFINED 2 34,000 AMERICAN SKIING CORP COMMON DEFINED 2 371,415 AMERICAN STANDARD COMPANIES DEFINED 1 6,300 AMERICAN TOWER DEFINED 3 2,088,300 85,800 AMERICAN WTR WKS INC DEFINED 1 6,800 AMERICREDIT CORP DEFINED 3 2,479,500 65,900 AMERIN CORP DEFINED 2 13,700 AMERISOURCE HEALTH CORP DEFINED 2 27,500 AMERITECH CORPORATION/DEL DEFINED 1 43,500 AMES DEPT STORES INC DEFINED 1 360 AMES DEPT STORES INC DEFINED 3 1,080,200 21,200 AMETEK INC (new) DEFINED 1 2,900 AMGEN INC DEFINED 2 165,300 AMGEN INC. DEFINED 1 21,300 AMLI RESIDENTIAL PPTYS TR DEFINED 2 4,600 AMSOUTH BANCORPORATION DEFINED 1 6,000 ANADARKO PETROLEUM CORP DEFINED 1 4,900 ANALOG DEVICES INC DEFINED 1 13,800 ANALOG DEVICES INC DEFINED 2 15,900 ANDREW CORPRATION DEFINED 1 3,275 ANHEUSER BUSCH COS INC DEFINED 2 53,800 ANHEUSER-BUSCH COS DEFINED 1 190,750 ANIXTER INTL INC DEFINED 2 17,400 ANNTAYLOR STORES CORP DEFINED 2 9,800 ANNUITY AND LIFE RE HLDGS DEFINED 2 10,000 ANSWERTHINK CONSULTING GROUP DEFINED 2 105,000 ANTEC CORP DEFINED 3 1,702,517 61,000 AON CORP DEFINED 1 275,450 APACHE CORP DEFINED 1 3,450 APACHE CORP DEFINED 2 1,475 APACHE CORP DEFINED 3 127,800 19,300 Page 3 of 49

6 FILE NUMBER 28-219 (CONSOLIDATED) AS OF 6/30/99 APARTMENT INVT & MGMT COM 03748R101 11,158 261,000 SH APARTMENT INVT. + MGMT CO COM 03748R101 558 15,400 SH APOGEE ENTERPRISES INC COM 037598109 166 14,400 SH APOLLO GROUP INC COM 037604105 189 7,100 SH APPLE COMPUTER COM 037833100 222 4,800 SH APPLE COMPUTER COM 037833100 410 11,400 SH APPLEBEES INTL INC COM 037899101 109 4,400 SH APPLIED MATERIALS INC COM 038222105 1,056 14,300 SH APPLIED MATERIALS INC COM 038222105 1,616 26,200 SH APPLIED MICRO CIRCUITS COM 03822W109 15,356 186,700 SH APPLIED PWR INC COM 038225108 63 2,300 SH APRIA HEALTHCARE GROUP COM 037933108 75 4,400 SH APRIA HEALTHCARE GROUP INC COM 037933108 120 10,100 SH APTARGROUP INC COM 038336103 187 7,200 SH ARCHER DANIELS MIDLAND COM 039483102 4,832 313,026 SH ARCHER DANIELS MIDLAND CO COM 039483102 238 16,200 SH ARCHSTONE COMM COM 039581103 14,320 652,762 SH ARCHSTONE COMMUNITIES TRUST COM 039581103 4,388 200,000 SH ARDEN RLTY GROUP INC COM 039793104 8,446 343,000 SH ARDEN RLTY INC COM 039793104 65 2,900 SH ARGONAUT GROUP INC COM 040157109 721 29,000 SH ARMSTRONG WORLD INDS INS COM 042476101 81 1,400 SH ARNOLD INDS INC COM 042595108 37 2,400 SH ARROW ELECTRONICS COM 042735100 152 8,000 SH ARVIN INDS INC COM 043339100 76 2,000 SH ASARCO COM 043413103 26 1,400 SH ASDA GROUP COM 005720008 122 50,000 SH ASHLAND INC COM 044204105 104 2,600 SH ASHLAND INC COM 044204105 197 4,800 SH ASSOCIATED BANC CORP COM 045487105 169 5,300 SH ASSOCIATED BANC-CORP COM 045487105 218 5,250 SH ASSOCIATES FIRST CAP CORP COM 046008108 2,056 45,738 SH ASSOCIATES FIRST CAPITAL CORP COM 046008108 1,164 26,368 SH ASTORIA FINANCIAL CORP COM 046265104 220 5,000 SH ASTORIA FINL CORP COM 046265104 178 3,560 SH ASTRA AB COM 046298105 1,193 52,000 SH ASTROPOWER INC COM 04644A101 2,935 167,700 SH AT & T COM 001957109 36,178 648,200 SH AT + T CORP COM 001957109 21,262 271,394 SH AT HOME CORP COM 045919107 8,628 54,825 SH AT&T CORP LIBERTY MEDIA A COM 001957208 2,840 54,719 SH ATLANTIC RICHFIELD COM 048825103 1,070 12,800 SH ATLANTIC RICHFIELD CO COM 048825103 781 10,700 SH ATMEL CRP COM 049513104 223 8,500 SH AUDIOCODES LTD ORD COM M15342104 3,283 121,600 SH AURORA FOODS INC COM 05164B106 85 5,200 SH AUTO BY TEL COM 05275N106 4,000 400,000 SH AUTOBYTEL INC COM 05275N106 616 14,700 SH AUTODESK INC. COM 052769106 56 1,900 SH AUTOMATIC DATA PROCESSING INC COM 053015103 15,655 355,800 SH APARTMENT INVT & MGMT DEFINED 3 216,100 44,900 APARTMENT INVT. + MGMT CO DEFINED 2 15,400 APOGEE ENTERPRISES INC DEFINED 2 14,400 APOLLO GROUP INC DEFINED 1 7,100 APPLE COMPUTER DEFINED 1 4,800 APPLE COMPUTER DEFINED 2 11,400 APPLEBEES INTL INC DEFINED 2 4,400 APPLIED MATERIALS INC DEFINED 1 14,300 APPLIED MATERIALS INC DEFINED 2 26,200 APPLIED MICRO CIRCUITS DEFINED 3 182,300 4,400 APPLIED PWR INC DEFINED 2 2,300 APRIA HEALTHCARE GROUP DEFINED 1 4,400 APRIA HEALTHCARE GROUP INC DEFINED 2 10,100 APTARGROUP INC DEFINED 2 7,200 ARCHER DANIELS MIDLAND DEFINED 1 313,026 ARCHER DANIELS MIDLAND CO DEFINED 2 16,200 ARCHSTONE COMM DEFINED 3 536,649 116,113 ARCHSTONE COMMUNITIES TRUST DEFINED 1 200,000 ARDEN RLTY GROUP INC DEFINED 3 284,600 58,400 ARDEN RLTY INC DEFINED 2 2,900 ARGONAUT GROUP INC DEFINED 2 29,000 ARMSTRONG WORLD INDS INS DEFINED 1 1,400 ARNOLD INDS INC DEFINED 1 2,400 ARROW ELECTRONICS DEFINED 1 8,000 ARVIN INDS INC DEFINED 1 2,000 ASARCO DEFINED 1 1,400 ASDA GROUP DEFINED 2 50,000 ASHLAND INC DEFINED 1 2,600 ASHLAND INC DEFINED 2 4,800 ASSOCIATED BANC CORP DEFINED 2 5,300 ASSOCIATED BANC-CORP DEFINED 1 5,250 ASSOCIATES FIRST CAP CORP DEFINED 2 45,738 ASSOCIATES FIRST CAPITAL CORP DEFINED 1 26,368 ASTORIA FINANCIAL CORP DEFINED 1 5,000 ASTORIA FINL CORP DEFINED 2 3,560 ASTRA AB DEFINED 2 52,000 ASTROPOWER INC DEFINED 3 167,700 AT & T DEFINED 1 648,200 AT + T CORP DEFINED 2 271,394 AT HOME CORP DEFINED 2 54,825 AT&T CORP LIBERTY MEDIA A DEFINED 2 54,719 ATLANTIC RICHFIELD DEFINED 1 12,800 ATLANTIC RICHFIELD CO DEFINED 2 10,700 ATMEL CRP DEFINED 1 8,500 AUDIOCODES LTD ORD DEFINED 3 115,200 6,400 AURORA FOODS INC DEFINED 2 5,200 AUTO BY TEL DEFINED 1 400,000 AUTOBYTEL INC DEFINED 2 14,700 AUTODESK INC. DEFINED 1 1,900 AUTOMATIC DATA PROCESSING INC DEFINED 1 355,800 Page 4 of 49

7 FILE NUMBER 28-219 (CONSOLIDATED) AS OF 6/30/99 AUTOMATIC DATA PROCESSING INC COM 053015103 9,930 240,000 SH AUTOZONE INC COM 053332102 178 5,900 SH AUTOZONE INC COM 053332102 945 31,100 SH AVALONBAY COMM COM 053484101 16,979 458,898 SH AVERY DENNISON CORP. COM 053611109 248 4,100 SH AVISTA CORP COM 05379B503 1,028 60,000 SH AVNET INC. COM 053807103 172 3,700 SH AVON PRODUCTS COM 054303102 566 10,200 SH AVT CORP COM 002420107 742 31,100 SH AXIOM SYSTEMS COM 054607106 6 5,025 SH AXOGEN LTD COM G0690R108 6,275 200,000 SH BAKER HUGHES INC COM 057224107 938 38,600 SH BAKER HUGHES INC. COM 057224107 418 12,470 SH BALL CORP COM 058498106 46 1100 SH BANC ONE CORP COM 06423A103 18,387 308,700 SH BANCO DE A EDWARDS - ADR COM 059504100 568 39,200 SH BANCO DE GALICIA Y BUENOS AIRE COM 059538207 15 909 SH BANCO FRANCES ADR COM 059591107 501 27,500 SH BANCO FRANCES DEL RIO LA PLATA COM 059591107 10 560 SH BANCO GANADERO SA - ADR CVT 059594507 81 10,500 SH BANCO LATINOAMERICANO DE EXP COM P16994132 624 24,000 SH BANCO RIO DE LA PLATA - ADR COM 059644104 278 29,300 SH BANCWEST CORP NEW COM 059790105 123 2,900 SH BANDAG INC COM 059815100 66 1,900 SH BANK COMM SAN DIEGO CALIF COM 061589107 78 3,900 SH BANK NEW YORK INC COM 064057102 4,589 127,680 SH BANK OF IRELAND COM 407617000 581 27,700 SH BANK OF MONTREAL COM 063671101 9,500 254,700 SH BANK OF NEW YORK COM 064057102 1,376 37,500 SH BANK ONE CORP COM 06423A103 3,924 70,539 SH BANK ONE CORP COM 06423A103 514 8,622 SH BANK UNITED CORP. COM 065412108 47,835 1,190,302 SH BANK UTD CORP COM 065412108 28,200 701,700 SH BANKAMERICA CORP NEW COM 06605F102 4,130 58,480 SH BANKAMERICA CORPORATION COM 060505104 29,744 405,719 SH BANKBOSTON CORP COM 06605R106 134 3,100 SH BANKBOSTON CORP. COM 06605R106 568 11,100 SH BANK OF MONTREAL COM 063671101 2,576 72,650 SH BANTA CORP COM 066821109 57 2,700 SH BANTA CORP COM 066821109 439 23,100 SH BARCLAYS COM 007820004 487 16,900 SH BARD C R INC COM 067383109 2,018 40,000 SH BARD(C.R.) COM 067383109 19 400 SH BARNES & NOBLE INC. COM 067774109 153 5,600 SH BARNETT INC COM 068062108 94 10,900 SH BARR LABS INC COM 068306109 40 1,300 SH BARRETT RES CORP COM 068480201 566 22,600 SH BARRICK GOLD CORP. COM 067901108 1,487 79,035 SH BASSETT FURNITURE INDS INC COM 070203104 138 6,400 SH BATTLE MTN GOLD CO COM 071593107 22 9,000 SH AUTOMATIC DATA PROCESSING INC DEFINED 2 240,000 AUTOZONE INC DEFINED 1 5,900 AUTOZONE INC DEFINED 2 31,100 AVALONBAY COMM DEFINED 3 388,785 70,113 AVERY DENNISON CORP. DEFINED 1 4,100 AVISTA CORP DEFINED 2 60,000 AVNET INC. DEFINED 1 3,700 AVON PRODUCTS DEFINED 1 10,200 AVT CORP DEFINED 2 31,100 AXIOM SYSTEMS DEFINED 1 5,025 AXOGEN LTD DEFINED 1 200,000 BAKER HUGHES INC DEFINED 2 38,600 BAKER HUGHES INC. DEFINED 1 12,470 BALL CORP DEFINED 1 1,100 BANC ONE CORP DEFINED 1 308,700 BANCO DE A EDWARDS - ADR DEFINED 1 39,200 BANCO DE GALICIA Y BUENOS AIRE DEFINED 2 909 BANCO FRANCES ADR DEFINED 1 27,500 BANCO FRANCES DEL RIO LA PLATA DEFINED 2 560 BANCO GANADERO SA - ADR DEFINED 1 10,500 BANCO LATINOAMERICANO DE EXP DEFINED 2 24,000 BANCO RIO DE LA PLATA - ADR DEFINED 1 29,300 BANCWEST CORP NEW DEFINED 2 2,900 BANDAG INC DEFINED 1 1,900 BANK COMM SAN DIEGO CALIF DEFINED 2 3,900 BANK NEW YORK INC DEFINED 2 127,680 BANK OF IRELAND DEFINED 2 27,700 BANK OF MONTREAL DEFINED 1 254,700 BANK OF NEW YORK DEFINED 1 37,500 BANK ONE CORP DEFINED 2 70,539 BANK ONE CORP DEFINED 1 8,622 BANK UNITED CORP. DEFINED 1 1,190,302 BANK UTD CORP DEFINED 3 687,000 14,700 BANKAMERICA CORP NEW DEFINED 2 58,480 BANKAMERICA CORPORATION DEFINED 1 405,719 BANKBOSTON CORP DEFINED 2 3,100 BANKBOSTON CORP. DEFINED 1 11,100 BANK OF MONTREAL DEFINED 1 72,650 BANTA CORP DEFINED 1 2,700 BANTA CORP DEFINED 2 23,100 BARCLAYS DEFINED 2 16,900 BARD C R INC DEFINED 2 40,000 BARD(C.R.) DEFINED 1 400 BARNES & NOBLE INC. DEFINED 1 5,600 BARNETT INC DEFINED 2 10,900 BARR LABS INC DEFINED 2 1,300 BARRETT RES CORP DEFINED 2 22,600 BARRICK GOLD CORP. DEFINED 1 79,035 BASSETT FURNITURE INDS INC DEFINED 2 6,400 BATTLE MTN GOLD CO DEFINED 1 9,000 Page 5 of 49

8 FILE NUMBER 28-219 (CONSOLIDATED) AS OF 6/30/99 BAUSCH & LOMB COM 071707103 153 2,000 SH BAXTER INTERNATIONAL INC. COM 071813109 6,117 100,900 SH BAXTER INTL INC COM 071813109 1,676 25,400 SH BB&T CORPORATION COM 054937107 404 11,000 SH BCE INC COM 05534B109 10,212 211,530 SH BE AEROSPACE INC COM 073302101 239 16,300 SH BEAR STEARNS COM 073902108 207 4,430 SH BEAR STEARNS COS INC COM 073902108 469 10,500 SH BECKMAN COULTER INC COM 075811109 122 2,500 SH BECTON DICKINSON & CO COM 075887109 309 10,300 SH BECTON DICKINSON + CO COM 075887109 1,023 26,700 SH BED BATH & BEYOND COM 075896100 4,570 118,700 SH BED BATH + BEYOND INC COM 075896100 136 3,700 SH BED BATH AND BEYOND COM 075896100 454 11,800 SH BEDFORD PPTY INVS COM 076446301 3,375 188,800 SH BEDFORD PPTY INVS INC COM 076446301 70 6,100 SH BELCO OIL + GAS CORP COM 077410207 488 31,000 SH BELDEN INC COM 077459105 119 7,000 SH BELL + HOWELL CO NEW COM 077852101 196 6,700 SH BELL ATLANTIC COM 077853109 4,456 68,160 SH BELL ATLANTIC CORP COM 077853109 1,091 21,100 SH BELL CANADA INTERNATIONAL INC. COM 077914109 505 40,000 SH BELLSOUTH CORP COM 079860102 3,510 76,100 SH BELO A H CORP DEL COM 080555105 217 10,800 SH BEMIS CO. COM 081437105 80 2,000 SH BEMIS INC COM 081437105 5,739 184,758 SH BEN + JERRYS HOMEMADE INC COM 081465106 722 25,900 SH BENCHMARK ELECTRS INC COM 08160H101 106 3,531 SH BERGEN BRUNSWIG CORP COM 083739102 198 11,450 SH BERGEN BRUNSWIG CORP COM 083739102 438 21,900 SH BERINGER WINE ESTATES HLDGS COM 084102102 1,004 27,900 SH BERKLEY W R CORP COM 084423102 102 4,150 SH BERKLEY, W.R. COM 084423102 1,650 66,000 SH BERKSHIRE HATHAWAY INC COM 084670207 447 191 SH BERKSHIRE HATHAWAY INC DEL COM 084670108 4,855 68 SH BERKSHIRE HATHWAY INC COM 084990308 971 10,000 SH BEST BUY CO INC COM 086516101 603 11,600 SH BEST BUY INC COM 086516101 1,161 17,200 SH BEST FOODS INC COM 08658U101 629 12,700 SH BESTFOODS COM 08658U101 4,945 105,217 SH BETHELEM STEEL CORP COM 087509105 36 4,700 SH BEVERLY ENTERPRISES INC (new) COM 087851309 73 9,000 SH BEYOND COM CORP COM 08860E101 1,359 51,900 SH BG COM 015421902 96 16,294 SH BIOGEN COM 090597105 810 12,600 SH BIOGEN INC COM 090597105 8,538 74,700 SH BIOMET INC COM 090613100 183 4,600 SH BISYS GROUP INC COM 055472104 1,670 29,700 SH BJ SVCS CO COM 055482103 188 6,400 SH BJ SVCS CO COM 055482103 4,645 198,200 SH BAUSCH & LOMB DEFINED 1 2,000 BAXTER INTERNATIONAL INC. DEFINED 1 100,900 BAXTER INTL INC DEFINED 2 25,400 BB&T CORPORATION DEFINED 1 11,000 BCE INC DEFINED 1 211,530 BE AEROSPACE INC DEFINED 2 16,300 BEAR STEARNS DEFINED 1 4,430 BEAR STEARNS COS INC DEFINED 2 10,500 BECKMAN COULTER INC DEFINED 1 2,500 BECTON DICKINSON & CO DEFINED 1 10,300 BECTON DICKINSON + CO DEFINED 2 26,700 BED BATH & BEYOND DEFINED 3 87,400 31,300 BED BATH + BEYOND INC DEFINED 2 3,700 BED BATH AND BEYOND DEFINED 1 11,800 BEDFORD PPTY INVS DEFINED 3 154,700 34,100 BEDFORD PPTY INVS INC DEFINED 2 6,100 BELCO OIL + GAS CORP DEFINED 2 31,000 BELDEN INC DEFINED 2 7,000 BELL + HOWELL CO NEW DEFINED 2 6,700 BELL ATLANTIC DEFINED 1 68,160 BELL ATLANTIC CORP DEFINED 2 21,100 BELL CANADA INTERNATIONAL INC. DEFINED 1 40,000 BELLSOUTH CORP DEFINED 1 76,100 BELO A H CORP DEL DEFINED 1 10,800 BEMIS CO. DEFINED 1 2,000 BEMIS INC DEFINED 2 184,758 BEN + JERRYS HOMEMADE INC DEFINED 2 25,900 BENCHMARK ELECTRS INC DEFINED 2 3,531 BERGEN BRUNSWIG CORP DEFINED 1 11,450 BERGEN BRUNSWIG CORP DEFINED 2 21,900 BERINGER WINE ESTATES HLDGS DEFINED 2 27,900 BERKLEY W R CORP DEFINED 2 4,150 BERKLEY, W.R. DEFINED 1 66,000 BERKSHIRE HATHAWAY INC DEFINED 2 191 BERKSHIRE HATHAWAY INC DEL DEFINED 2 68 BERKSHIRE HATHWAY INC DEFINED 1 10,000 BEST BUY CO INC DEFINED 2 11,600 BEST BUY INC DEFINED 1 17,200 BEST FOODS INC DEFINED 1 12,700 BESTFOODS DEFINED 2 105,217 BETHELEM STEEL CORP DEFINED 1 4,700 BEVERLY ENTERPRISES INC (new) DEFINED 1 9,000 BEYOND COM CORP DEFINED 2 51,900 BG DEFINED 2 16,294 BIOGEN DEFINED 1 12,600 BIOGEN INC DEFINED 2 74,700 BIOMET INC DEFINED 1 4,600 BISYS GROUP INC DEFINED 2 29,700 BJ SVCS CO DEFINED 1 6,400 BJ SVCS CO DEFINED 2 198,200 Page 6 of 49

9 FILE NUMBER 28-219 (CONSOLIDATED) AS OF 6/30/99 BJS WHOLESALE CLUB COM 05548J106 37,320 1,241,400 SH BJ'S WHOLESALE CLUB INC COM 05548J106 180 6,000 SH BJS WHSL CLUB INC COM 05548J106 788 29,800 SH BLACK & DECKER CORP COM 091797100 227 3,600 SH BLACK BOX CORP COM 091826107 550 17,800 SH BLACK HILLS CORP COM 092113109 45 1,950 SH BLANCH E W HLDGS INC COM 093210102 184 3,500 SH BLOCK H & R INC COM 0936711052 800 16000 SH BMC SOFTWARE COM 055921100 502 9,300 SH BMC SOFTWARE INC COM 055921100 990 26,700 SH BOARDWALK EQUITIES INC COM 096613104 7 800 SH BOB EVANS FARMS INC COM 096761101 74 3,700 SH BOB EVANS FARMS INC COM 096761101 161 8,100 SH BOEING CO COM 097023105 1,411 37,690 SH BOEING CO. COM 097023105 1,620 36,826 SH BOISE CASCADE CORP COM 097383103 86 2,000 SH BORDERS GROUP INC COM 099709107 101 6,400 SH BORDERS GROUP INC COM 099709107 203 14,400 SH BORG WARNER AUTOMOTIVE INC COM 099724106 306 6,400 SH BORG-WARNER AUTOMOTIVE INC COM 099724106 110 2,000 SH BOSTON SCIENTIFIC COM 101137107 633 14,400 SH BOSTON SCIENTIFIC CORP COM 101137107 933 23,000 SH BOWATER INC COM 102183100 232 4,900 SH BOWATER INC COM 102183100 83 2,100 SH BOWNE + CO INC COM 103043105 141 12,100 SH BOYDS COLLECTION LTD COM 103354106 427 23,700 SH BP AMOCO PLC COM 055622104 1,319 12,684 SH BRADLEY REAL ESTATE COM 104580105 4,324 208,400 SH BRADLEY REAL ESTATE INC COM 104580105 4,140 199,500 SH BRADLEY REAL ESTATE INC COM 104580105 78 4,300 SH BRANDYWINE RLTY COM 105368203 6,613 333,800 SH BRANDYWINE RLTY TR COM 105368203 86 5,300 SH BRASIL DISTR PAO ACU-SP ADR COM 20440T201 663 35,500 SH BRE PROPERTIES COM 05564E106 4,264 164,000 SH BRIGGS & STRATTON COM 109043109 52 900 SH BRIGGS + STRATTON CORP COM 109043109 44 900 SH BRIGHT HORIZON FAMILY COM 109195107 28,242 1,496,280 SH BRIGHTSTAR INFORMATION COM 10947N104 119 31,000 SH BRINKER INTERNATIONAL INC COM 109641100 149 5,400 SH BRINKER INTL INC COM 109641100 17,149 623,600 SH BRISTOL HOTEL COM 110041100 369 49,200 SH BRISTOL MYERS SQUIBB COM 110122108 19,906 282,600 SH BRISTOL MYERS SQUIBB COM 110122108 6,208 96,260 SH BROADCOM CORP COM 111320107 486 7,900 SH BROADVISION INC COM 111412102 4,626 77,400 SH BROWN AND BROWN COM 115236101 4,452 117,150 SH BROWN GROUP INC COM 115736100 9,657 444,000 SH BROWN-FORMAN CORP CL B COM 115637209 163 2,500 SH BROWNING FERRIS INDS INC COM 115885105 490 12,700 SH BROWNING FERRIS INDUSTRIES COM 115885105 344 8,000 SH BJS WHOLESALE CLUB DEFINED 3 1,180,900 60,500 BJ'S WHOLESALE CLUB INC DEFINED 1 6,000 BJS WHSL CLUB INC DEFINED 2 29,800 BLACK & DECKER CORP DEFINED 1 3,600 BLACK BOX CORP DEFINED 2 17,800 BLACK HILLS CORP DEFINED 1 1,950 BLANCH E W HLDGS INC DEFINED 2 3,500 BLOCK H & R INC DEFINED 1 16,000 BMC SOFTWARE DEFINED 1 9,300 BMC SOFTWARE INC DEFINED 2 26,700 BOARDWALK EQUITIES INC DEFINED 2 800 BOB EVANS FARMS INC DEFINED 1 3,700 BOB EVANS FARMS INC DEFINED 2 8,100 BOEING CO DEFINED 2 37,690 BOEING CO. DEFINED 1 36,826 BOISE CASCADE CORP DEFINED 1 2,000 BORDERS GROUP INC DEFINED 1 6,400 BORDERS GROUP INC DEFINED 2 14,400 BORG WARNER AUTOMOTIVE INC DEFINED 2 6,400 BORG-WARNER AUTOMOTIVE INC DEFINED 1 2,000 BOSTON SCIENTIFIC DEFINED 1 14,400 BOSTON SCIENTIFIC CORP DEFINED 2 23,000 BOWATER INC DEFINED 1 4,900 BOWATER INC DEFINED 2 2,100 BOWNE + CO INC DEFINED 2 12,100 BOYDS COLLECTION LTD DEFINED 2 23,700 BP AMOCO PLC DEFINED 2 12,684 BRADLEY REAL ESTATE DEFINED 3 172,000 36,400 BRADLEY REAL ESTATE INC DEFINED 1 199,500 BRADLEY REAL ESTATE INC DEFINED 2 4,300 BRANDYWINE RLTY DEFINED 3 275,500 58,300 BRANDYWINE RLTY TR DEFINED 2 5,300 BRASIL DISTR PAO ACU-SP ADR DEFINED 1 35,500 BRE PROPERTIES DEFINED 3 134,900 29,100 BRIGGS & STRATTON DEFINED 1 900 BRIGGS + STRATTON CORP DEFINED 2 900 BRIGHT HORIZON FAMILY DEFINED 3 1,496,280 BRIGHTSTAR INFORMATION DEFINED 2 31,000 BRINKER INTERNATIONAL INC DEFINED 1 5,400 BRINKER INTL INC DEFINED 3 582,800 40,800 BRISTOL HOTEL DEFINED 3 49,200 BRISTOL MYERS SQUIBB DEFINED 1 282,600 BRISTOL MYERS SQUIBB DEFINED 2 96,260 BROADCOM CORP DEFINED 2 7,900 BROADVISION INC DEFINED 2 77,400 BROWN AND BROWN DEFINED 1 117,150 BROWN GROUP INC DEFINED 3 444,000 BROWN-FORMAN CORP CL B DEFINED 1 2,500 BROWNING FERRIS INDS INC DEFINED 2 12,700 BROWNING FERRIS INDUSTRIES DEFINED 1 8,000 Page 7 of 49

10 FILE NUMBER 28-219 (CONSOLIDATED) AS OF 6/30/99 BRUNSWICK CORP COM 117043109 98 3,500 SH BRUNSWICK CORP COM 117043109 135 7,100 SH BUDGET GROUP INC COM 119003101 1,611 130,874 SH BUDGET GROUP INC COM 119003101 98 8,000 SH BUFFETS INC COM 119882108 47 4,100 SH BURLINGTON INDUSTRIES EQUITY INC COM 121693105 50 5,400 SH BURLINGTON NORTHERN SANTA FE COM 12189T104 564 18,310 SH BURLINGTON NORTHN SANTA FE COM 12189T104 4,241 129,000 SH BURLINGTON RES INC COM 122014103 192 4,800 SH BURLINGTON RESOURCES COM 122014103 286 6,624 SH BURNHAM PAC PPTYS COM 12232C108 4,079 331,300 SH BURR BROWN COM 122574106 618 26,300 SH BUSH BOAKE ALLEN INC COM 123162109 275 10,000 SH C D I CORP COM 125071100 106 4,400 SH C H ROBINSON WORLDWIDE COM 12541W100 732 28,900 SH C.R. BARD COM 067383109 77 1,600 SH CABLE + WIRELESS COM 016255903 378 30,334 SH CABLE DESIGN TECHNOLOGIES CORP COM 126924109 132 12,000 SH CABLETRON SYSTEMS INC COM 126920107 77 5,900 SH CABLEVISION SYS CORP COM 12686C109 4,249 57,320 SH CABOT CORP COM 127055101 150 6,200 SH CADBURY SCHWEPPES COM 016124000 302 21,000 SH CADENCE DESIGN SYSTEMS INC. COM 127387108 274 21,700 SH CALIBER LEARNING NETWORK INC COM 129914107 147 37,700 SH CALLAWAY GOLF CO COM 131193104 89 6,100 SH CALPINE CORP COM 131347106 215 5,900 SH CAMBRIDGE TECH PARTNERS INC COM 132524109 88 5,000 SH CAMBRIDGE TECHNOLOGY PARNERS M COM 132524109 1,388 100,000 SH CAMBRIDGE TECHNOLOGY PARNERS M COM 132524109 339 24,400 SH CAMDEN PPTY COM 133131102 11,935 430,100 SH CAMDEN PROPERTY TRUST COM 133131102 4,579 165,000 SH CAMPBELL SOUP COMPANY COM 134429109 844 18,200 SH CANADIAN NATL RY CO COM 136375102 139 2,500 SH CANADIAN PACIFIC COM 135923100 1,435 62,400 SH CANANDAIGUA WINE INC COM 137219200 70 1,400 SH CANDLEWOOD HTL COM 13741M108 1,495 398,700 SH CAPITAL ONE FINANCIAL CORP COM 14040H105 373 6,700 SH CAPITAL ONE FINL CORP COM 14040H105 12,609 83,500 SH CAPITAL RE CORP COM 140432105 79 4,600 SH CAPITOL TRANSAMERICA CORP COM 140640103 1,601 120,800 SH CAPSTAR BROADCASTING COM 14067g105 3,301 120,600 SH CAPTEC NET LEASE RLTY COM 140724105 6,005 442,800 SH CARAUSTAR INDS INC COM 140909102 80 3,500 SH CARDIAC SCIENCE INC. COM 141410209 2 578 SH CARDINAL HEALTH INC COM 14149Y108 616 9,600 SH CARDINAL HEALTH INC COM 14149Y108 9,900 150,000 SH CAREER ED CORP COM 141665109 1,731 50,000 SH CARLISLE COS INC COM 142339100 130 2,700 SH CARLISLE COS INC COM 142339100 173 3,700 SH CARNIVAL CORP COM 143658102 7,006 144,275 SH BRUNSWICK CORP DEFINED 1 3,500 BRUNSWICK CORP DEFINED 2 7,100 BUDGET GROUP INC DEFINED 1 130,874 BUDGET GROUP INC DEFINED 2 8,000 BUFFETS INC DEFINED 1 4,100 BURLINGTON INDUSTRIES EQUITY INC DEFINED 1 5,400 BURLINGTON NORTHERN SANTA FE DEFINED 1 18,310 BURLINGTON NORTHN SANTA FE DEFINED 2 129,000 BURLINGTON RES INC DEFINED 2 4,800 BURLINGTON RESOURCES DEFINED 1 6,624 BURNHAM PAC PPTYS DEFINED 3 273,400 57,900 BURR BROWN DEFINED 2 26,300 BUSH BOAKE ALLEN INC DEFINED 2 10,000 C D I CORP DEFINED 2 4,400 C H ROBINSON WORLDWIDE DEFINED 2 28,900 C.R. BARD DEFINED 1 1,600 CABLE + WIRELESS DEFINED 2 30,334 CABLE DESIGN TECHNOLOGIES CORP DEFINED 2 12,000 CABLETRON SYSTEMS INC DEFINED 1 5,900 CABLEVISION SYS CORP DEFINED 2 57,320 CABOT CORP DEFINED 1 6,200 CADBURY SCHWEPPES DEFINED 2 21,000 CADENCE DESIGN SYSTEMS INC. DEFINED 1 21,700 CALIBER LEARNING NETWORK INC DEFINED 2 37,700 CALLAWAY GOLF CO DEFINED 1 6,100 CALPINE CORP DEFINED 2 5,900 CAMBRIDGE TECH PARTNERS INC DEFINED 1 5,000 CAMBRIDGE TECHNOLOGY PARNERS M DEFINED 2 100,000 CAMBRIDGE TECHNOLOGY PARNERS M DEFINED 2 24,400 CAMDEN PPTY DEFINED 3 353,500 76,600 CAMDEN PROPERTY TRUST DEFINED 1 165,000 CAMPBELL SOUP COMPANY DEFINED 1 18,200 CANADIAN NATL RY CO DEFINED 2 2,500 CANADIAN PACIFIC DEFINED 1 62,400 CANANDAIGUA WINE INC DEFINED 2 1,400 CANDLEWOOD HTL DEFINED 3 320,200 78,500 CAPITAL ONE FINANCIAL CORP DEFINED 1 6,700 CAPITAL ONE FINL CORP DEFINED 2 83,500 CAPITAL RE CORP DEFINED 2 4,600 CAPITOL TRANSAMERICA CORP DEFINED 1 120,800 CAPSTAR BROADCASTING DEFINED 3 96,000 24,600 CAPTEC NET LEASE RLTY DEFINED 3 370,700 72,100 CARAUSTAR INDS INC DEFINED 2 3,500 CARDIAC SCIENCE INC. DEFINED 1 578 CARDINAL HEALTH INC DEFINED 1 9,600 CARDINAL HEALTH INC DEFINED 2 150,000 CAREER ED CORP DEFINED 2 50,000 CARLISLE COS INC DEFINED 1 2,700 CARLISLE COS INC DEFINED 2 3,700 CARNIVAL CORP DEFINED 2 144,275 Page 8 of 49

11 FILE NUMBER 28-219 (CONSOLIDATED) AS OF 6/30/99 CARNIVAL CORP CLASS A COM 143658102 1,130 23,300 SH CAROLINA POWER AND LIGHT COM 144141108 253 5,900 SH CARPENTER TECHNOLOGY COM 144285103 49 1,700 SH CARPENTER TECHNOLOGY CORP COM 144285103 493 19,000 SH CARRAMERICA REALTY COM 144418100 12,238 489,500 SH CARRIAGE SVCS INC COM 143905107 1,187 63,500 SH CARTER WALLACE INC COM 146285101 64 3,500 SH CASCADE NAT GAS CORP COM 147339105 363 24,300 SH CASE CORP COM 14743R103 149 3,100 SH CATALINA MARKETING CORP COM 148867104 1,718 20,000 SH CATAPULT COMMUNICATIONS CORP COM 149016107 69 5,000 SH CATELLUS DEV CORP COM 149111106 115 8,600 SH CATERPILLAR INC COM 149123101 4,993 108,689 SH CATERPILLAR INC. COM 149123101 918 15,300 SH CB RICHARD ELLIS SVCS INC COM 12489L108 450 27,300 SH CBL + ASSOC PPTYS INC COM 124830100 88 3,800 SH CBRL GROUP INC COM 12489V106 92 5,300 SH CBRL GROUP INC COM 12489V106 108 6,000 SH CBS CORP COM 12490K107 7,892 192,700 SH CBS CORPORATION COM 12490K107 1,167 26,800 SH CBT GROUP PUB LTD COM 124853300 29 2,527 SH CCB FINANCIAL CORP COM 124875105 185 3,500 SH CCB FINL CORP COM 124875105 487 9,000 SH CCC INFORMATION SERVICE GROUP INC COM 12487Q109 1,545 120,000 SH CELLSTAR CORP COM 150925105 138 13,300 SH CEMENTOS DIAMANTE S.A. - ADR COM 151261104 119 9,600 SH CEMIG-ENERGETICA DE MINAS GERAIS-ADR COM 2044096012 1,066 51,090 SH CENDANT CORP COM 151313103 7 324 SH CENDANT CORPORATION COM 151313103 642 31,318 SH CENTERPOINT PPTYS TR COM 151895109 72 2,300 SH CENTERPOINT PPTYS TR COM 151895109 3 100 SH CENTEX CORP COM 152312104 75 2,000 SH CENTOCOR INC COM 152342101 654 17,700 SH CENTOCOR INC. COM 152342101 280 6,000 SH CENTRAIS ELEC BRAS-SP ADR CM COM 15234Q207 401 42,400 SH CENTRAL + SOUTH WEST CORP COM 152357109 117 5,000 SH CENTRAL AND SOUTHWEST CORP COM 152357109 192 8,200 SH CENTRAL EUROPEAN MEDIA ENT LTD COM G20045103 466 37,300 SH CENTRAL GARDEN + PET CO COM 153527106 597 35,400 SH CENTURY TEL ENTERPRISES INC COM 156686107 4,229 60,200 SH CENTURYTEL INC COM 156700106 239 6,000 SH CERIDIAN CORP COM 15677T106 193 5,900 SH CHAMPION INTERNATIONAL CORP COM 158525105 182 3,800 SH CHAMPIONSHIP AUTO RACING TEAM COM 158711101 507 17,400 SH CHARTER ONE FINANCIAL, INC. COM 160903100 426 15,300 SH CHARTER ONE FINL INC COM 160903100 37,975 1,365,383 SH CHARTWELL RE CORP COM 16139W109 43 2,500 SH CHASE MANHATTAN CORP NEW COM 16161A108 22,889 281,500 SH CHASE MANHATTAN CORP(new) COM 16161A1088 26,363 304,776 SH CHATEAU CMNTYS INC COM 161726104 116 4,200 SH CARNIVAL CORP CLASS A DEFINED 1 23,300 CAROLINA POWER AND LIGHT DEFINED 1 5,900 CARPENTER TECHNOLOGY DEFINED 1 1,700 CARPENTER TECHNOLOGY CORP DEFINED 2 19,000 CARRAMERICA REALTY DEFINED 3 403,600 85,900 CARRIAGE SVCS INC DEFINED 3 63,500 CARTER WALLACE INC DEFINED 1 3,500 CASCADE NAT GAS CORP DEFINED 2 24,300 CASE CORP DEFINED 1 3,100 CATALINA MARKETING CORP DEFINED 2 20,000 CATAPULT COMMUNICATIONS CORP DEFINED 2 5,000 CATELLUS DEV CORP DEFINED 2 8,600 CATERPILLAR INC DEFINED 2 108,689 CATERPILLAR INC. DEFINED 1 15,300 CB RICHARD ELLIS SVCS INC DEFINED 2 27,300 CBL + ASSOC PPTYS INC DEFINED 2 3,800 CBRL GROUP INC DEFINED 1 5,300 CBRL GROUP INC DEFINED 2 6,000 CBS CORP DEFINED 2 192,700 CBS CORPORATION DEFINED 1 26,800 CBT GROUP PUB LTD DEFINED 2 2,527 CCB FINANCIAL CORP DEFINED 1 3,500 CCB FINL CORP DEFINED 2 9,000 CCC INFORMATION SERVICE GROUP INC DEFINED 1 120,000 CELLSTAR CORP DEFINED 2 13,300 CEMENTOS DIAMANTE S.A. - ADR DEFINED 1 9,600 CEMIG-ENERGETICA DE MINAS GERAIS-ADR DEFINED 1 51,090 CENDANT CORP DEFINED 2 324 CENDANT CORPORATION DEFINED 1 31,318 CENTERPOINT PPTYS TR DEFINED 2 2,300 CENTERPOINT PPTYS TR DEFINED 2 100 CENTEX CORP DEFINED 1 2,000 CENTOCOR INC DEFINED 2 17,700 CENTOCOR INC. DEFINED 1 6,000 CENTRAIS ELEC BRAS-SP ADR CM DEFINED 1 42,400 CENTRAL + SOUTH WEST CORP DEFINED 2 5,000 CENTRAL AND SOUTHWEST CORP DEFINED 1 8,200 CENTRAL EUROPEAN MEDIA ENT LTD DEFINED 2 37,300 CENTRAL GARDEN + PET CO DEFINED 2 35,400 CENTURY TEL ENTERPRISES INC DEFINED 2 60,200 CENTURYTEL INC DEFINED 1 6,000 CERIDIAN CORP DEFINED 1 5,900 CHAMPION INTERNATIONAL CORP DEFINED 1 3,800 CHAMPIONSHIP AUTO RACING TEAM DEFINED 2 17,400 CHARTER ONE FINANCIAL, INC. DEFINED 1 15,300 CHARTER ONE FINL INC DEFINED 3 1,286,259 79,124 CHARTWELL RE CORP DEFINED 2 2,500 CHASE MANHATTAN CORP NEW DEFINED 2 281,500 CHASE MANHATTAN CORP(new) DEFINED 1 304,776 CHATEAU CMNTYS INC DEFINED 2 4,200 Page 9 of 49

12 FILE NUMBER 28-219 (CONSOLIDATED) AS OF 6/30/99 CHATEAU COMMUNITIES COM 161726104 3,362 112,300 SH CHATEAU COMMUNITIES INC. COM 161726104 4,640 155,000 SH CHECKFREE HLDGS CORP COM 162816102 2,171 51,010 SH CHEESECAKE FACTORY COM 163072101 31,545 1,034,250 SH CHESAPEAKE CORP COM 165159104 75 2,000 SH CHESAPEAKE CORP COM 165159104 62 2,300 SH CHEVRON CORP COM 166751107 12,061 136,379 SH CHEVRON CORPORATION COM 166751107 19,968 210,050 SH CHICOS FAS INC COM 168615102 1,217 51,800 SH CHIEFTAIN INTL INC COM 16867C101 306 25,000 SH CHILDRENS PL RETAIL STORES INC COM 168905107 5 200 SH CHILECTRA S A COM 168884104 9 422 SH CHIQUITA BRANDS INTL INC COM 170032502 313 7,000 SH CHIRON CORP COM 170040109 329 15,000 SH CHIRON CORP. COM 170040109 338 16,300 SH CHRIS CRAFT INDS INC COM 170520100 117 2,481 SH CHUBB CORP COM 171232101 848 12,200 SH CHUBB CORP COM 171232101 1,605 27,400 SH CHURCH & DWIGHT INC COM 171340102 74 1,700 SH CIA ANONIMA NACL TELEF DE VENEZUELA-A COM 204421101 1,259 46,200 SH CIA CERVEJARIA BRAHMA-SP ADR COM 20440X103 632 55,900 SH CIA DE MINAS BUENAVENTURA - ADR COM 204448104 507 33,102 SH CIA PARANAENSE ENER-SP ADR COM 20441B407 501 59,850 SH CIA TELECOM CHILE-SPONS ADR COM 204449300 705 28,500 SH CIA VALE DO RIO DOCE-ADR COM 204412100 1,064 53,600 SH CIBER INC COM 17163B102 290 15,100 SH CIENA CORP COM 171779101 450 20,000 SH CIFRA S.A. DE C.V. ADR Series V COM 171785405 244 12,745 SH CIGNA CORP COM 125509109 730 8,200 SH CINAR CORP COM 171905300 968 43,000 SH CINAR CORPORATION COM 171905300 71,070 2,900,800 SH CINCINNATI BELL COM 171870108 289 11,600 SH CINCINNATI BELL INC COM 171870108 523 23,300 SH CINCINNATI FINANCIAL CORPORATION COM 172062101 201 5,350 SH CINERGY CORP COM 172474108 195 6,100 SH CINTAS CORP COM 172908105 645 9,600 SH CINTAS CORP COM 172908105 411 6,300 SH CIRCLE INTL GROUP INC COM 172574105 60 4,200 SH CIRCUIT CITY STORES INC COM 172737108 942 12,300 SH CIRCUIT CITY STORES-CIRCUIT CITY GROU COM 172737108 363 3,900 SH CIRRUS LOGIC, INCORPORATED COM 172755100 50 5,600 SH CISCO SYS INC COM 17275R102 31,567 288,440 SH CISCO SYSTEMS INC. COM 17275R102 38,753 601,400 SH CIT GROUP INC COM 125577106 568 18,600 SH CITIGROUP INC COM 172967101 30,598 644,162 SH CITIGROUP INC COM 172967101 43,938 698,726 SH CITRIX SYS INC COM 177376100 2,769 72,800 SH CITRIX SYSTEMS INC COM 177376100 396 7,000 SH CITY NATL CORP COM 178566105 150 4,000 SH CLAIRE S STORES INC COM 179584107 1,022 34,000 SH CHATEAU COMMUNITIES DEFINED 3 90,800 21,500 CHATEAU COMMUNITIES INC. DEFINED 1 155,000 CHECKFREE HLDGS CORP DEFINED 2 51,010 CHEESECAKE FACTORY DEFINED 3 1,012,300 21,950 CHESAPEAKE CORP DEFINED 1 2,000 CHESAPEAKE CORP DEFINED 2 2,300 CHEVRON CORP DEFINED 2 136,379 CHEVRON CORPORATION DEFINED 1 210,050 CHICOS FAS INC DEFINED 3 51,800 CHIEFTAIN INTL INC DEFINED 2 25,000 CHILDRENS PL RETAIL STORES INC DEFINED 2 200 CHILECTRA S A DEFINED 2 422 CHIQUITA BRANDS INTL INC DEFINED 2 7,000 CHIRON CORP DEFINED 2 15,000 CHIRON CORP. DEFINED 1 16,300 CHRIS CRAFT INDS INC DEFINED 1 2,481 CHUBB CORP DEFINED 1 12,200 CHUBB CORP DEFINED 2 27,400 CHURCH & DWIGHT INC DEFINED 1 1,700 CIA ANONIMA NACL TELEF DE VENEZUELA-A DEFINED 1 46,200 CIA CERVEJARIA BRAHMA-SP ADR DEFINED 1 55,900 CIA DE MINAS BUENAVENTURA - ADR DEFINED 1 33,102 CIA PARANAENSE ENER-SP ADR DEFINED 1 59,850 CIA TELECOM CHILE-SPONS ADR DEFINED 1 28,500 CIA VALE DO RIO DOCE-ADR DEFINED 1 53,600 CIBER INC DEFINED 2 15,100 CIENA CORP DEFINED 2 20,000 CIFRA S.A. DE C.V. ADR Series V DEFINED 1 12,745 CIGNA CORP DEFINED 1 8,200 CINAR CORP DEFINED 2 43,000 CINAR CORPORATION DEFINED 3 2,845,600 55,200 CINCINNATI BELL DEFINED 1 11,600 CINCINNATI BELL INC DEFINED 2 23,300 CINCINNATI FINANCIAL CORPORATION DEFINED 1 5,350 CINERGY CORP DEFINED 1 6,100 CINTAS CORP DEFINED 1 9,600 CINTAS CORP DEFINED 2 6,300 CIRCLE INTL GROUP INC DEFINED 2 4,200 CIRCUIT CITY STORES INC DEFINED 2 12,300 CIRCUIT CITY STORES-CIRCUIT CITY GROU DEFINED 1 3,900 CIRRUS LOGIC, INCORPORATED DEFINED 1 5,600 CISCO SYS INC DEFINED 2 288,440 CISCO SYSTEMS INC. DEFINED 1 601,400 CIT GROUP INC DEFINED 2 18,600 CITIGROUP INC DEFINED 1 644,162 CITIGROUP INC DEFINED 2 698,726 CITRIX SYS INC DEFINED 2 72,800 CITRIX SYSTEMS INC DEFINED 1 7,000 CITY NATL CORP DEFINED 1 4,000 CLAIRE S STORES INC DEFINED 2 34,000 Page 10 of 49

13 FILE NUMBER 28-219 (CONSOLIDATED) AS OF 6/30/99 CLAIRE'S STORES INC COM 179584107 108 4,200 SH CLAYTON HOMES INC COM 184190106 148 12,968 SH CLEAR CHANNEL COMMUN COM 184502102 95,459 1,384,714 SH CLEAR CHANNEL COMMUNICATIONS COM 184502102 724 10,500 SH CLEAR CHANNEL COMMUNICATIONS COM 184502102 20,736 309,200 SH CLECO CORPORATION COM 12561M107 61 2,000 SH CLEVELAND CLIFFS INC COM 185896107 32 1,000 SH CLEVELAND CLIFFS INC COM 185896107 61 1,800 SH CLOROX CO. COM 189054109 427 4,000 SH CMAC INVT CORP COM 125662106 312 8,000 SH CMG INFORMATION SVCS INC COM 125750109 4,832 26,400 SH CMP GROUP INC COM 125887109 73 2,800 SH CMS ENERGY CORP COM 125896100 184 4,400 SH CNF TRANSN INC COM 12612W104 787 20,800 SH CNF TRANSPORTATION COM 12612W104 169 4,400 SH COACH USA INC COM 18975L106 446 16,200 SH COAST FEDERAL LITIGATION TR COM 19034Q110 9 1,500 SH COASTAL CORP COM 190441105 326 8,100 SH COASTAL CORP COM 190441105 4,335 107,700 SH COCA COLA COM 191216100 5,927 95,600 SH COCA COLA CO COM 191216100 1,384 22,545 SH COCA COLA ENTERPRISES INC COM 191219104 743 24,550 SH COCA-COLA ENTERPRISES COM 191219104 470 15,800 SH COGNEX CORP COM 192422103 471 20,100 SH COGNOS INC COM 19244C109 503 21,500 SH COINSTAR INC COM 19259P300 7,172 250,000 SH COLE NATL CORP COM 193290103 88 4,800 SH COLGATE PALMOLIVE CO COM 194162103 285 3,100 SH COLGATE-PALMOLIVE COM 194162103 1,807 18,350 SH COLONIAL PROPERTIES TRUST COM 195872106 17,275 611,500 SH COLT TELECOM GROUP COM 042469908 563 31,300 SH COLUMBIA / HCA HEALTHCARE CORP COM 197677107 394 20,787 SH COLUMBIA ENERGY GROUP COM 197648108 213 3,400 SH COLUMBIA/HCA HEALTHCARE CO COM 197677107 601 26,350 SH COMAIR HLDGS INC COM 199789108 408 17,250 SH COMAIR HOLDINGS COM 199789108 178 8,550 SH COMCAST CORP COM 200300200 14,132 224,540 SH COMCAST CORP. SPECIAL CL A COM 200300200 1,061 27,600 SH COMDISCO COM 200336105 336 13,100 SH COMERICA INC COM 200340107 392 6,600 SH COMMSCOPE INC COM 203372107 30,818 1,002,200 SH COMMUNICATIONS SATELLITE CORP SERIES COM 20564D107 137 4,200 SH COMMUNITY BK SYS INC COM 203607106 262 11,000 SH COMPANHIA BRASILEIRA DE DISTR COM 20440T201 15 1,000 SH COMPANHIA ENERGETICA DE MINAS COM 204409601 42 1,888 SH COMPANHIA ENERGETICA DE MINAS GERAIS COM 204409601 470 22,500 SH COMPANIA TELECOMUNICACIONES CHILE ADR COM 2044493003 1,103 44,550 SH COMPAQ COMPUTER COM 204493100 2,318 97,844 SH COMPAQ COMPUTER CORP COM 204493100 1,782 61,519 SH COMPASS BANCSHARES INC COM 20449H109 518 15,000 SH CLAIRE'S STORES INC DEFINED 1 4,200 CLAYTON HOMES INC DEFINED 1 12,968 CLEAR CHANNEL COMMUN DEFINED 3 1,339,844 44,870 CLEAR CHANNEL COMMUNICATIONS DEFINED 1 10,500 CLEAR CHANNEL COMMUNICATIONS DEFINED 2 309,200 CLECO CORPORATION DEFINED 1 2,000 CLEVELAND CLIFFS INC DEFINED 1 1,000 CLEVELAND CLIFFS INC DEFINED 2 1,800 CLOROX CO. DEFINED 1 4,000 CMAC INVT CORP DEFINED 2 8,000 CMG INFORMATION SVCS INC DEFINED 2 26,400 CMP GROUP INC DEFINED 1 2,800 CMS ENERGY CORP DEFINED 1 4,400 CNF TRANSN INC DEFINED 2 20,800 CNF TRANSPORTATION DEFINED 1 4,400 COACH USA INC DEFINED 2 16,200 COAST FEDERAL LITIGATION TR DEFINED 2 1,500 COASTAL CORP DEFINED 1 8,100 COASTAL CORP DEFINED 3 92,700 15,000 COCA COLA DEFINED 1 95,600 COCA COLA CO DEFINED 2 22,545 COCA COLA ENTERPRISES INC DEFINED 2 24,550 COCA-COLA ENTERPRISES DEFINED 1 15,800 COGNEX CORP DEFINED 2 20,100 COGNOS INC DEFINED 2 21,500 COINSTAR INC DEFINED 3 250,000 COLE NATL CORP DEFINED 2 4,800 COLGATE PALMOLIVE CO DEFINED 2 3,100 COLGATE-PALMOLIVE DEFINED 1 18,350 COLONIAL PROPERTIES TRUST DEFINED 1 611,500 COLT TELECOM GROUP DEFINED 2 31,300 COLUMBIA / HCA HEALTHCARE CORP DEFINED 2 20,787 COLUMBIA ENERGY GROUP DEFINED 1 3,400 COLUMBIA/HCA HEALTHCARE CO DEFINED 1 26,350 COMAIR HLDGS INC DEFINED 2 17,250 COMAIR HOLDINGS DEFINED 1 8,550 COMCAST CORP DEFINED 2 224,540 COMCAST CORP. SPECIAL CL A DEFINED 1 27,600 COMDISCO DEFINED 1 13,100 COMERICA INC DEFINED 1 6,600 COMMSCOPE INC DEFINED 3 982,000 20,200 COMMUNICATIONS SATELLITE CORP SERIES DEFINED 1 4,200 COMMUNITY BK SYS INC DEFINED 2 11,000 COMPANHIA BRASILEIRA DE DISTR DEFINED 2 1,000 COMPANHIA ENERGETICA DE MINAS DEFINED 2 1,888 COMPANHIA ENERGETICA DE MINAS GERAIS DEFINED 1 22,500 COMPANIA TELECOMUNICACIONES CHILE ADR DEFINED 1 44,550 COMPAQ COMPUTER DEFINED 1 97,844 COMPAQ COMPUTER CORP DEFINED 2 61,519 COMPASS BANCSHARES INC DEFINED 2 15,000 Page 11 of 49

14 FILE NUMBER 28-219 (CONSOLIDATED) AS OF 6/30/99 COMPASS GROUP COM 028801900 796 68,800 SH COMPUSA INC COM 204932107 64 8,600 SH COMPUTER ASSOC INTL INC COM 204912109 960 27,000 SH COMPUTER ASSOCIATES INT'L COM 204912109 15,867 289,800 SH COMPUTER HORIZONS CORP COM 205908106 301 27,500 SH COMPUTER SCIENCES CORP COM 205363104 422 6,100 SH COMPUTER SCIENCES CORP COM 205363104 14,901 270,000 SH COMPUWARE CORP COM 205638109 452 14,200 SH COMVERSE TECH COM 205862402 419 5,550 SH CONAGRA COM 205887102 511 19,200 SH CONAGRA INC COM 205887102 4,931 192,882 SH CONCENTRA MANAGED CARE COM 20589T103 15,978 1,078,700 SH CONCENTRA MANAGED CARE INC COM 20589T103 61 4,100 SH CONCENTRA MANAGED CARE INC COM 20589T103 551 38,000 SH CONCENTRIC NETWORK CORP DEL COM 20589R107 599 8,000 SH CONCORD COMMUNICATIONS INC COM 206186108 241 4,300 SH CONCORD EFS INC COM 206197105 449 10,600 SH CONCORD EFS INC COM 206197105 829 30,200 SH CONCORD EFS INC COM 206197105 9,495 224,400 SH CONECTIV INC COM 206829103 200 8,200 SH CONEXANT SYSTEMS COM 207142100 4,697 80,900 SH CONEXANT SYSTEMS INC COM 207142100 73 1,250 SH CONMED CORP COM 207410101 164 5,300 SH CONOCO INC COM 208251306 160 5,855 SH CONSECO INC COM 208464107 56 1,800 SH CONSECO INC. COM 208464107 372 12,206 SH CONSOLIDATED EDISON INC COM 209115104 1,317 29,100 SH CONSOLIDATED EDISON INC COM 209115104 18 400 SH CONSOLIDATED NATURAL GAS CO. COM 209615103 231 3,800 SH CONSOLIDATED PAPER INC COM 209759109 209 7,800 SH CONSOLIDATED PAPERS INC COM 209759109 940 40,000 SH CONSOLIDATED STORES CORP COM 210149100 485 16,000 SH CONSOLIDATED STORES CORPORATION COM 210149100 119 4,400 SH CONSTELLATION ENERGY GROUP COM 210371100 172 5,800 SH CONTINENTAL AIRLS INC COM 210795308 836 22,000 SH CONVERGYS CORPORATION COM 212485106 271 14,000 SH COOPER CAMERON CORP COM 216640102 722 21,300 SH COOPER INDS INC COM 216669101 38 900 SH COOPER INDUSTRIES COM 216669101 276 5,300 SH COOPER TIRE & RUBBER COM 216831107 73 3,100 SH COOPER TIRE + RUBR CO COM 216831107 4,606 250,645 SH COORS (ADOLPH) - CL B COM 217016104 54 1,100 SH COPART INC COM 217204106 132 6,400 SH CORDANT TECHNOLOGIES INC COM 218412104 145 3,200 SH CORN PRODUCTS INTL INC COM 219023108 110 4,600 SH CORNERSTONE PPTYS COM 21922h103 10,333 650,900 SH CORNING INC. COM 219350105 631 9,000 SH CORPORATE EXEC BRD COM 21988R102 6,223 175,000 SH CORPORATE EXECUTIVE BRD CO COM 21988R102 26 1,000 SH CORPORATE EXPRESS INC COM 219881042 0 3,901 SH COMPASS GROUP DEFINED 2 68,800 COMPUSA INC DEFINED 1 8,600 COMPUTER ASSOC INTL INC DEFINED 2 27,000 COMPUTER ASSOCIATES INT'L DEFINED 1 289,800 COMPUTER HORIZONS CORP DEFINED 2 27,500 COMPUTER SCIENCES CORP DEFINED 1 6,100 COMPUTER SCIENCES CORP DEFINED 2 270,000 COMPUWARE CORP DEFINED 1 14,200 COMVERSE TECH DEFINED 1 5,550 CONAGRA DEFINED 1 19,200 CONAGRA INC DEFINED 2 192,882 CONCENTRA MANAGED CARE DEFINED 3 1,051,000 27,700 CONCENTRA MANAGED CARE INC DEFINED 1 4,100 CONCENTRA MANAGED CARE INC DEFINED 2 38,000 CONCENTRIC NETWORK CORP DEL DEFINED 2 8,000 CONCORD COMMUNICATIONS INC DEFINED 2 4,300 CONCORD EFS INC DEFINED 1 10,600 CONCORD EFS INC DEFINED 2 30,200 CONCORD EFS INC DEFINED 3 183,300 41,100 CONECTIV INC DEFINED 1 8,200 CONEXANT SYSTEMS DEFINED 3 67,600 13,300 CONEXANT SYSTEMS INC DEFINED 1 1,250 CONMED CORP DEFINED 2 5,300 CONOCO INC DEFINED 2 5,855 CONSECO INC DEFINED 2 1,800 CONSECO INC. DEFINED 1 12,206 CONSOLIDATED EDISON INC DEFINED 1 29,100 CONSOLIDATED EDISON INC DEFINED 2 400 CONSOLIDATED NATURAL GAS CO. DEFINED 1 3,800 CONSOLIDATED PAPER INC DEFINED 1 7,800 CONSOLIDATED PAPERS INC DEFINED 2 40,000 CONSOLIDATED STORES CORP DEFINED 2 16,000 CONSOLIDATED STORES CORPORATION DEFINED 1 4,400 CONSTELLATION ENERGY GROUP DEFINED 1 5,800 CONTINENTAL AIRLS INC DEFINED 2 22,000 CONVERGYS CORPORATION DEFINED 1 14,000 COOPER CAMERON CORP DEFINED 2 21,300 COOPER INDS INC DEFINED 2 900 COOPER INDUSTRIES DEFINED 1 5,300 COOPER TIRE & RUBBER DEFINED 1 3,100 COOPER TIRE + RUBR CO DEFINED 2 250,645 COORS (ADOLPH) - CL B DEFINED 1 1,100 COPART INC DEFINED 2 6,400 CORDANT TECHNOLOGIES INC DEFINED 1 3,200 CORN PRODUCTS INTL INC DEFINED 2 4,600 CORNERSTONE PPTYS DEFINED 3 530,400 120,500 CORNING INC. DEFINED 1 9,000 CORPORATE EXEC BRD DEFINED 3 175,000 CORPORATE EXECUTIVE BRD CO DEFINED 2 1,000 CORPORATE EXPRESS INC DEFINED 2 3,901 Page 12 of 49

15 FILE NUMBER 28-219 (CONSOLIDATED) AS OF 6/30/99 COST COMPANIES INC COM 22160Q102 649 8,100 SH COST PLUS INC CALIF COM 221485105 13,463 295,900 SH COSTCO COS INC COM 22160Q102 4,110 44,890 SH COUNTRYWIDE CR INDS INC COM 222372104 1,219 32,500 SH COUNTRYWIDE CREDIT IND INC COM 222372104 180 4,200 SH COVAD COMMUNICATIONS GROUP INC COM 222814204 1,460 22,200 SH COVANCE INC COM 222816100 122 5,100 SH COVANCE INC COM 222816100 1,519 60,600 SH COX COMMUNICATIONS INC NEW COM 224044107 401 5,300 SH CRANE CO COM 224399105 78 2,475 SH CRANE CO COM 224399105 145 6,000 SH CREDENCE SYSTEMS CORP COM 225302108 212 9,900 SH CREDITRUST CORP COM 225429109 79 4,000 SH CRESCENT REAL ESTATE COM 225756105 17,490 736,400 SH CRESCENT REAL ESTATE EQUITIES COM 225756105 591 27,500 SH CRESTLINE CAPITAL CORP COM 226153104 56 3,309 SH CRISTALERIAS DE CHILE S.A. - ADR COM 226714103 96 6,200 SH CRITICAL PATH INC COM 22674V100 1,594 20,700 SH CRITICAL PATH INC COM 22674V100 10,178 184,000 SH CROMPTON & KNOWLES COR COM 227111101 119 6,000 SH CROWN CASTLE INTERNATIONAL COM 228227104 50,867 2,444,050 SH CROWN CORK & SEAL COM 228255105 140 4,900 SH CSG SYS INTL INC COM 126349109 631 16,000 SH CSG SYS INTL INC COM 126349109 43,380 1,656,500 SH CSK AUTO CORP COM 125965103 16,327 604,700 SH CSX CORP COM 126408103 381 8,400 SH CSX CORP COM 126408103 596 15,300 SH CTG RES INC COM 125957100 676 28,000 SH CUMMINS ENGINE COM 231021106 91 1,600 SH CUMMINS ENGINE INC COM 231021106 61,284 1,072,800 SH CUSTOMTRACKS CORP COM 232046102 1,398 25,000 SH CVS CORP COM 126650100 9,500 200,000 SH CVS CORPORATION COM 126650100 716 14,100 SH CYPRESS SEMICONDUCTOR COM 232806109 123 7,200 SH CYPRUS AMAX MINERALS CO COM 232809103 52 3,400 SH CYTEC INDUSTRIES INC COM 232820100 123 3,900 SH D + N SVGS FINL CORP COM 232864108 59 2,600 SH D R HORTON INC COM 23331A109 1,421 85,500 SH D.R.HORTON INC COM 23331A109 1,420 84,800 SH DAIMLER CHRYSLER AG COM D1668R123 5,706 66,375 SH DAIRY MART CONV STORES COM 2338602*5 360,001 SH DAISYTEK INTL CORP COM 234053106 3,042 186,500 SH DALLAS SEMICONDUCTOR CORP COM 235204104 1,027 26,600 SH DANA CORP COM 235811106 284 6,157 SH DANA CORP COM 235811106 380 10,000 SH DANAHER CORP COM 235851102 273 4,700 SH DANAHER CORP COM 235851102 993 19,000 SH DANAHER CORP DEL COM 235851102 10,195 175,400 SH DARDEN RESTAURANTS INC COM 237194105 127 5,800 SH DARDEN RESTAURANTS INC COM 237194105 516 25,000 SH COST COMPANIES INC DEFINED 1 8,100 COST PLUS INC CALIF DEFINED 3 295,900 COSTCO COS INC DEFINED 2 44,890 COUNTRYWIDE CR INDS INC DEFINED 2 32,500 COUNTRYWIDE CREDIT IND INC DEFINED 1 4,200 COVAD COMMUNICATIONS GROUP INC DEFINED 2 22,200 COVANCE INC DEFINED 1 5,100 COVANCE INC DEFINED 2 60,600 COX COMMUNICATIONS INC NEW DEFINED 2 5,300 CRANE CO DEFINED 1 2,475 CRANE CO DEFINED 2 6,000 CREDENCE SYSTEMS CORP DEFINED 2 9,900 CREDITRUST CORP DEFINED 2 4,000 CRESCENT REAL ESTATE DEFINED 3 603,000 133,400 CRESCENT REAL ESTATE EQUITIES DEFINED 2 27,500 CRESTLINE CAPITAL CORP DEFINED 1 3,309 CRISTALERIAS DE CHILE S.A. - ADR DEFINED 1 6,200 CRITICAL PATH INC DEFINED 2 20,700 CRITICAL PATH INC DEFINED 3 180,700 3,300 CROMPTON & KNOWLES COR DEFINED 1 6,000 CROWN CASTLE INTERNATIONAL DEFINED 1 2,444,050 CROWN CORK & SEAL DEFINED 1 4,900 CSG SYS INTL INC DEFINED 2 16,000 CSG SYS INTL INC DEFINED 3 1,597,000 59,500 CSK AUTO CORP DEFINED 3 557,900 46,800 CSX CORP DEFINED 1 8,400 CSX CORP DEFINED 2 15,300 CTG RES INC DEFINED 2 28,000 CUMMINS ENGINE DEFINED 1 1,600 CUMMINS ENGINE INC DEFINED 3 1,047,400 25,400 CUSTOMTRACKS CORP DEFINED 3 25,000 CVS CORP DEFINED 2 200,000 CVS CORPORATION DEFINED 1 14,100 CYPRESS SEMICONDUCTOR DEFINED 1 7,200 CYPRUS AMAX MINERALS CO DEFINED 1 3,400 CYTEC INDUSTRIES INC DEFINED 1 3,900 D + N SVGS FINL CORP DEFINED 2 2,600 D R HORTON INC DEFINED 3 85,500 D.R.HORTON INC DEFINED 2 84,800 DAIMLER CHRYSLER AG DEFINED 2 66,375 DAIRY MART CONV STORES DEFINED 2 360,001 DAISYTEK INTL CORP DEFINED 3 186,500 DALLAS SEMICONDUCTOR CORP DEFINED 2 26,600 DANA CORP DEFINED 1 6,157 DANA CORP DEFINED 2 10,000 DANAHER CORP DEFINED 1 4,700 DANAHER CORP DEFINED 2 19,000 DANAHER CORP DEL DEFINED 3 148,800 26,600 DARDEN RESTAURANTS INC DEFINED 1 5,800 DARDEN RESTAURANTS INC DEFINED 2 25,000 Page 13 of 49

16 FILE NUMBER 28-219 (CONSOLIDATED) AS OF 6/30/99 DATA GENERAL CORP COM 237688106 22 1,500 SH DAYTON HUDSON CORP COM 239753106 1,229 18,900 SH DAYTON HUDSON CORP COM 239753106 5,996 90,000 SH DEAN FOODS CO COM 242361103 145 3,500 SH DEERE & CO COM 244199105 643 16,400 SH DEERE & CO COM 244199105 231 5,915 SH DELL COMPUTER CORP COM 247025109 21,747 532,620 SH DELL COMPUTER CORP. COM 247025109 3,689 99,700 SH DELPHI AUTOMOTIVE SYSTEMS COM 2471261055 62 3,354 SH DELPHI AUTOMOTIVE SYSTEMS COM 247126105 71 3,862 SH DELTA AIRLINES INC. COM 247361108 328 5,700 SH DELUXE CHECK PRINTERS COM 248019101 109 2,800 SH DENTSPLY INTL INC NEW COM 249030107 139 4,800 SH DEPARTMENT 56 INC COM 249509100 88 2,900 SH DEPPHI AUTOMOTIVE SYSTEMS COM 247126105 290 15,668 SH DESC SA -SPON ADR COM 250309101 534 23,600 SH DESCARTES SYS GROUP INC COM 249906108 332 40,000 SH DETROIT EDISON CO COM 233331107 183 4,500 SH DEVELOPERS DIVERS RLTY COM 251591103 12,754 755,800 SH DEVON ENERGY CORP COM 251799102 543 19,700 SH DEVON ENERGY CORP COM 251799102 13,437 375,200 SH DEVON FING TR COM 251910402 77 1,200 SH DEVRY INC DEL COM 251893103 853 29,400 SH DEVRY INC DEL COM 251893103 53,886 2,408,300 SH DEXTER COM 252165105 86 2,100 SH DEXTER CORP COM 252165105 145 4,600 SH DIAGEO PLC COM 25243Q205 828 18,100 SH DIAL CORP (NEW) COM 25247D101 331 8,900 SH DIAMOND FIELDS NOE COM 252905203 125 SH DIAMOND OFFSHORE DRILLING INC COM 25271C102 3,036 96,000 SH DIEBOLD COM 253651103 174 6,050 SH DILLARDS INC - CL A COM 254067101 158 4,500 SH DIME BANCORP, INC. COM 25429Q102 205 10,200 SH DISNEY WALT CO COM 254687106 996 32,000 SH DITECH CORP COM 25500M103 3,898 194,900 SH DOLE FOOD INC COM 256605106 153 5,200 SH DOLLAR GENERAL COM 256669102 209 7,206 SH DOLLAR TREE STORES COM 256747106 5,320 120,900 SH DOLLAR TREE STORES INC COM 256747106 278 6,888 SH DOMINION RESOURCES COM 257470104 316 7,300 SH DONALDSON CO INC COM 257651109 103 4,200 SH DONALDSON INC COM 257651109 360 20,000 SH DONALDSON LUFKIN+JENRETTE INC COM 257661108 767 11,000 SH DOREL INDS INC COM 25822C205 107 6,400 SH DOUBLECLICK INC COM 258609304 2,840 15,600 SH DOVER CORP COM 260003108 700 21,300 SH DOVER CORP COM 260003108 174 5,300 SH DOVER CORP. COM 260003108 291 8,300 SH DOW CHEMICAL CORP COM 260543103 1,218 9,600 SH DOW JONES & CO. COM 260561105 212 4,000 SH DATA GENERAL CORP DEFINED 1 1,500 DAYTON HUDSON CORP DEFINED 1 18,900 DAYTON HUDSON CORP DEFINED 2 90,000 DEAN FOODS CO DEFINED 1 3,500 DEERE & CO DEFINED 1 16,400 DEERE & CO DEFINED 2 5,915 DELL COMPUTER CORP DEFINED 2 532,620 DELL COMPUTER CORP. DEFINED 1 99,700 DELPHI AUTOMOTIVE SYSTEMS DEFINED 1 3,354 DELPHI AUTOMOTIVE SYSTEMS DEFINED 2 3,862 DELTA AIRLINES INC. DEFINED 1 5,700 DELUXE CHECK PRINTERS DEFINED 1 2,800 DENTSPLY INTL INC NEW DEFINED 1 4,800 DEPARTMENT 56 INC DEFINED 2 2,900 DEPPHI AUTOMOTIVE SYSTEMS DEFINED 1 15,668 DESC SA -SPON ADR DEFINED 1 23,600 DESCARTES SYS GROUP INC DEFINED 2 40,000 DETROIT EDISON CO DEFINED 1 4,500 DEVELOPERS DIVERS RLTY DEFINED 3 623,900 131,900 DEVON ENERGY CORP DEFINED 2 19,700 DEVON ENERGY CORP DEFINED 3 366,500 8,700 DEVON FING TR DEFINED 2 1,200 DEVRY INC DEL DEFINED 2 29,400 DEVRY INC DEL DEFINED 3 2,355,600 52,700 DEXTER DEFINED 1 2,100 DEXTER CORP DEFINED 2 4,600 DIAGEO PLC DEFINED 2 18,100 DIAL CORP (NEW) DEFINED 1 8,900 DIAMOND FIELDS NOE DEFINED 1 125 DIAMOND OFFSHORE DRILLING INC DEFINED 2 96,000 DIEBOLD DEFINED 1 6,050 DILLARDS INC - CL A DEFINED 1 4,500 DIME BANCORP, INC. DEFINED 1 10,200 DISNEY WALT CO DEFINED 2 32,000 DITECH CORP DEFINED 3 184,600 10,300 DOLE FOOD INC DEFINED 1 5,200 DOLLAR GENERAL DEFINED 1 7,206 DOLLAR TREE STORES DEFINED 3 98,100 22,800 DOLLAR TREE STORES INC DEFINED 1 6,888 DOMINION RESOURCES DEFINED 1 7,300 DONALDSON CO INC DEFINED 1 4,200 DONALDSON INC DEFINED 2 20,000 DONALDSON LUFKIN+JENRETTE INC DEFINED 2 11,000 DOREL INDS INC DEFINED 2 6,400 DOUBLECLICK INC DEFINED 2 15,600 DOVER CORP DEFINED 2 21,300 DOVER CORP DEFINED 2 5,300 DOVER CORP. DEFINED 1 8,300 DOW CHEMICAL CORP DEFINED 1 9,600 DOW JONES & CO. DEFINED 1 4,000 Page 14 of 49

17 FILE NUMBER 28-219 (CONSOLIDATED) AS OF 6/30/99 DOW JONES + CO INC COM 260561105 227 4,800 SH DPL INC COM 233293109 258 13,900 SH DREYER'S GRAND ICE CREAM COM 261878102 33 2,200 SH DRKOOP COM INC COM 262098106 2,550 160,000 SH DSET CORP COM 262504103 3,217 276,700 SH DSP COMMUNICATIONS COM 23332K106 27,420 949,600 SH DSP COMMUNICATIONS INC COM 23332K106 267 17,200 SH DST SYS INC DEL COM 233326107 1,171 19,500 SH DST SYS INC DEL COM 233326107 402 6,700 SH DTE Energy Co Com Stk COM 2333311072 37 900 SH DU PONT E I DE NEMOUR COM 263534109 11,586 197,633 SH DU PONT E.I. DE NEMOURS COM 263534109 3,040 44,500 SH DUKE ENERGY CO COM 264399106 5 100 SH DUKE ENERGY CORP COM 264399106 793 14,572 SH DUKE REALTY INVT COM 264411505 10,534 466,900 SH DUN & BRADSTREET CORP COM 26483B106 237 6,700 SH DURA AUTOMOTIVE SYS INC COM 265903104 90 3,200 SH DURA PHARMACEUTICALS COM 26632S109 29,531 2,473,800 SH E M C CORP MASS COM 268648102 47,979 379,383 SH E TRADE GROUP INC COM 269246104 542 9,300 SH E*TRADE GROUP INC COM 269246104 783 19,600 SH EAGLE HARDWARE AND GARDEN COM 26959B101 99 2,600 SH EASTERN ENTERPRISES COM 27637F100 28 700 SH EASTMAN CHEMICAL COM 277432100 166 3,200 SH EASTMAN KODAK COM 277461109 901 13,300 SH EASTMAN KODAK CO COM 277461109 4,687 73,384 SH EATON CORP COM 278058102 285 3,100 SH EATON CORP COM 278058102 21 300 SH EBAY INC COM 278642103 2,053 14,955 SH ECHOSTAR COMMUNICATIONS CORP N COM 278762109 3,141 38,500 SH ECOLAB INC COM 278865100 239 5,476 SH EDISON INTERNATIONAL-formerly SCECORP COM 281020107 14,779 552,500 SH EDISON INTL COM 281020107 2 100 SH EDUCATION MGMT CORP COM 28139T101 19,244 927,400 SH EDWARDS AG INC COM 281760108 266 8,250 SH EG & G COM 268457108 57 1,600 SH EL PASO ENERGY CORPORATION COM 283905107 387 11,000 SH ELAN CORP PLC - ADR COM 284131208 46,289 1,668,055 SH ELAN CORP PLC -WTS CL-A ADR COM 284131703 6,300 200,000 SH ELDER BEERMAN STR COM 284470101 249 34,100 SH ELDERTRUST COM COM 284560109 2,745 269,400 SH ELECTRONIC ARTS COM 285512109 255 4,700 SH ELECTRONIC ARTS COM 285512109 1,014 21,400 SH ELECTRONIC DATA SYS CORP NEW COM 285661104 584 12,000 SH ELECTRONIC DATA SYSTEMS COM 285661104 1,076 19,000 SH ELETRONICS FOR IMAGING INC COM 286082102 648 16,300 SH ELF AQUITAINE - ADR COM 2862691050 75 1,306 SH ELI LILLY AND COMPANY COM 532457108 10,908 152,300 SH EMBOTELLADORA ANDINA -ADR 'B' COM 29081P303 584 38,300 SH EMBRATEL PARTICIPACOES - ADR COM 29081N100 698 50,300 SH DOW JONES + CO INC DEFINED 2 4,800 DPL INC DEFINED 1 13,900 DREYER'S GRAND ICE CREAM DEFINED 1 2,200 DRKOOP COM INC DEFINED 3 160,000 DSET CORP DEFINED 2 276,700 DSP COMMUNICATIONS DEFINED 3 930,700 18,900 DSP COMMUNICATIONS INC DEFINED 2 17,200 DST SYS INC DEL DEFINED 2 19,500 DST SYS INC DEL DEFINED 2 6,700 DTE Energy Co Com Stk DEFINED 1 900 DU PONT E I DE NEMOUR DEFINED 2 197,633 DU PONT E.I. DE NEMOURS DEFINED 1 44,500 DUKE ENERGY CO DEFINED 2 100 DUKE ENERGY CORP DEFINED 1 14,572 DUKE REALTY INVT DEFINED 3 383,400 83,500 DUN & BRADSTREET CORP DEFINED 1 6,700 DURA AUTOMOTIVE SYS INC DEFINED 2 3,200 DURA PHARMACEUTICALS DEFINED 3 2,382,800 91,000 E M C CORP MASS DEFINED 2 379,383 E TRADE GROUP INC DEFINED 2 9,300 E*TRADE GROUP INC DEFINED 1 19,600 EAGLE HARDWARE AND GARDEN DEFINED 2 2,600 EASTERN ENTERPRISES DEFINED 1 700 EASTMAN CHEMICAL DEFINED 1 3,200 EASTMAN KODAK DEFINED 1 13,300 EASTMAN KODAK CO DEFINED 2 73,384 EATON CORP DEFINED 1 3,100 EATON CORP DEFINED 2 300 EBAY INC DEFINED 2 14,955 ECHOSTAR COMMUNICATIONS CORP N DEFINED 2 38,500 ECOLAB INC DEFINED 1 5,476 EDISON INTERNATIONAL-formerly SCECORP DEFINED 1 552,500 EDISON INTL DEFINED 2 100 EDUCATION MGMT CORP DEFINED 3 927,400 EDWARDS AG INC DEFINED 1 8,250 EG & G DEFINED 1 1,600 EL PASO ENERGY CORPORATION DEFINED 1 11,000 ELAN CORP PLC - ADR DEFINED 1 1,668,055 ELAN CORP PLC -WTS CL-A ADR DEFINED 1 200,000 ELDER BEERMAN STR DEFINED 3 34,100 ELDERTRUST COM DEFINED 3 221,000 48,400 ELECTRONIC ARTS DEFINED 1 4,700 ELECTRONIC ARTS DEFINED 2 21,400 ELECTRONIC DATA SYS CORP NEW DEFINED 2 12,000 ELECTRONIC DATA SYSTEMS DEFINED 1 19,000 ELETRONICS FOR IMAGING INC DEFINED 2 16,300 ELF AQUITAINE - ADR DEFINED 1 1,306 ELI LILLY AND COMPANY DEFINED 1 152,300 EMBOTELLADORA ANDINA -ADR 'B' DEFINED 1 38,300 EMBRATEL PARTICIPACOES - ADR DEFINED 1 50,300 Page 15 of 49

18 FILE NUMBER 28-219 (CONSOLIDATED) AS OF 6/30/99 EMC CORPORATION COM 268648102 2,090 38,000 SH EMERSON ELEC CO COM 291011104 4,274 80,741 SH EMERSON ELECTRIC COM 291011104 1,687 26,800 SH EMMIS COMMUNICTNS COM 291525103 741 15,000 SH EMPRESA NACIONAL DE ELEC ADR COM 29244T101 353 29,392 SH EMPRESAS ICA S.A. ADS COM 292448107 400 59,300 SH ENERGY EAST CORP COM 29266M109 1,314 25,000 SH ENERGY EAST CORPORATION COM 29266M109 289 11,100 SH ENERSIS SA ADR COM 29274F104 499 20,797 SH ENESCO GROUP COM 292973104 37 1,600 SH ENGELHARD CORP COM 292845104 127 5,600 SH ENHANCE FINL SVCS GROUP INC COM 293310108 817 35,900 SH ENRON CORP COM 293561106 899 11,000 SH ENRON CORP COM 293561106 10,000 155,500 SH ENSCO INTL INC COM 26874Q100 247 12,400 SH ENTERGY CORP COM 29364G103 297 9,500 SH ENTRUST TECHNOLOGIES INC COM 293848107 4,140 122,700 SH EQUIFAX INC. COM 294429105 239 6,700 SH EQUITABLE RES INC COM 294549100 261 10,000 SH EQUITY OFFICE PPTYS COM 294741103 30,321 1,183,275 SH EQUITY OFFICE PPTYS TR COM 294741103 244 9,600 SH EQUITY OFFICE PROPERTIES TRUST COM 294741103 13,399 522,873 SH EQUITY RESIDENT PPTYS COM 29476L107 25,582 567,700 SH EQUITY RESIDENTIAL 7.25% PFD CVT 29476L859 3,572 150,000 SH EQUITY RESIDENTIAL PPTYS TR COM 29476L107 165 4,000 SH EQUITY RESIDENTIAL PROPS TR COM 29476L107 4,506 100,000 SH ERICSSON L M TEL CO COM 294821400 533 22,400 SH ESAT TELECOM GROUP PLC COM 26883Y102 226 5,400 SH ESSEX PPTY TR INC COM 297178105 318 9,000 SH ETEC SYS INC COM 26922C103 400 13,600 SH ETHAN ALLEN INTERIORS INC COM 297602104 736 17,700 SH ETHYL CORP COM 297659104 41 6,800 SH EVEREST REINSURANCE HOLDINGS COM 299808105 150 4,600 SH EVERGREEN RESOURCES COM 299900308 296 14,800 SH EXCALIBUR TECHNOLOGIES CORP COM 300651205 260 19,900 SH EXCITE INC COM 300904109 5,725 40,900 SH EXECUTIVE RISK INC COM 301586103 2,467 29,000 SH EXODUS COMMUNICATIONS INC COM 302088109 656 4,900 SH EXTENDED STAY AMER INC COM 30224P101 567 55,700 SH EXXON COM 302290101 38,138 494,500 SH EXXON CORP COM 302290101 2,371 33,600 SH FAIRFAX FINL COM 303901953 28 100 SH FAIRFAX FINL HLDGS LTD COM 303901102 233 800 SH FAMILY DLR STORES INC COM 307000109 499 21,700 SH FAMILY DOLLAR STORES COM 307000109 377 15,700 SH FASTENAL CO COM 311900104 178 3,400 SH FDX CORPORATION COM 31304N107 575 10,600 SH FEDERAL HOME LN MTG CORP COM 313400301 6,252 109,450 SH FEDERAL HOME LOAN MTG CORP. COM 313400301 1,740 30,000 SH FEDERAL MOGUL CORP COM 313549107 296 5,700 SH EMC CORPORATION DEFINED 1 38,000 EMERSON ELEC CO DEFINED 2 80,741 EMERSON ELECTRIC DEFINED 1 26,800 EMMIS COMMUNICTNS DEFINED 3 15,000 EMPRESA NACIONAL DE ELEC ADR DEFINED 1 29,392 EMPRESAS ICA S.A. ADS DEFINED 1 59,300 ENERGY EAST CORP DEFINED 2 25,000 ENERGY EAST CORPORATION DEFINED 1 11,100 ENERSIS SA ADR DEFINED 1 20,797 ENESCO GROUP DEFINED 1 1,600 ENGELHARD CORP DEFINED 1 5,600 ENHANCE FINL SVCS GROUP INC DEFINED 2 35,900 ENRON CORP DEFINED 1 11,000 ENRON CORP DEFINED 2 155,500 ENSCO INTL INC DEFINED 1 12,400 ENTERGY CORP DEFINED 1 9,500 ENTRUST TECHNOLOGIES INC DEFINED 2 122,700 EQUIFAX INC. DEFINED 1 6,700 EQUITABLE RES INC DEFINED 2 10,000 EQUITY OFFICE PPTYS DEFINED 3 981,598 201,677 EQUITY OFFICE PPTYS TR DEFINED 2 9,600 EQUITY OFFICE PROPERTIES TRUST DEFINED 1 522,873 EQUITY RESIDENT PPTYS DEFINED 3 468,200 99,500 EQUITY RESIDENTIAL 7.25% PFD DEFINED 1 150,000 EQUITY RESIDENTIAL PPTYS TR DEFINED 2 4,000 EQUITY RESIDENTIAL PROPS TR DEFINED 1 100,000 ERICSSON L M TEL CO DEFINED 2 22,400 ESAT TELECOM GROUP PLC DEFINED 2 5,400 ESSEX PPTY TR INC DEFINED 3 9,000 ETEC SYS INC DEFINED 2 13,600 ETHAN ALLEN INTERIORS INC DEFINED 2 17,700 ETHYL CORP DEFINED 1 6,800 EVEREST REINSURANCE HOLDINGS DEFINED 1 4,600 EVERGREEN RESOURCES DEFINED 2 14,800 EXCALIBUR TECHNOLOGIES CORP DEFINED 2 19,900 EXCITE INC DEFINED 2 40,900 EXECUTIVE RISK INC DEFINED 1 29,000 EXODUS COMMUNICATIONS INC DEFINED 2 4,900 EXTENDED STAY AMER INC DEFINED 2 55,700 EXXON DEFINED 1 494,500 EXXON CORP DEFINED 2 33,600 FAIRFAX FINL DEFINED 2 100 FAIRFAX FINL HLDGS LTD DEFINED 2 800 FAMILY DLR STORES INC DEFINED 2 21,700 FAMILY DOLLAR STORES DEFINED 1 15,700 FASTENAL CO DEFINED 1 3,400 FDX CORPORATION DEFINED 1 10,600 FEDERAL HOME LN MTG CORP DEFINED 2 109,450 FEDERAL HOME LOAN MTG CORP. DEFINED 1 30,000 FEDERAL MOGUL CORP DEFINED 1 5,700 Page 16 of 49

19 FILE NUMBER 28-219 (CONSOLIDATED) AS OF 6/30/99 FEDERAL NAT'L MORTGAGE CO. COM 313586109 24,976 365,950 SH FEDERAL NATL MTG ASSN COM 313586109 3,172 45,800 SH FEDERAL REALTY INVS TRUST COM 313747206 3,899 170,000 SH FEDERAL RLTY INVT TR COM 313747206 38 1,800 SH FEDERAL SIGNAL CORP COM 313855108 83 3,900 SH FEDERATED DEPARTMENT STORES COM 31410H101 17,745 335,200 SH FELCOR LODGING TR INC COM 31430F101 227 9,800 SH FELCOR LODGING TRUST COM 31430f101 23,941 1,153,769 SH FERRO CORP COM 315405100 99 3,600 SH FERRO CORP COM 315405100 139 5,600 SH FIFTH THIRD BANK COM 316773100 651 9,775 SH FINOVA GROUP INC COM 317928109 519 10,000 SH FINOVA GROUP INC COM 317928109 488 9,400 SH FINOVA GROUP INC COM COM 317928109 11,125 211,400 SH FINOVA GROUP INC. COM 317928109 284 5,400 SH FIREBIRD REPUBLICA FUND LTD COM 318991965 50 960 SH FIRST DATA CORP COM 319963104 866 17,700 SH FIRST DATA CORP COM 319963104 718 16,800 SH FIRST HEALTH GROUP CORP COM 320960107 104 4,800 SH FIRST INDUSTRIAL RLTY COM 32054K103 10,690 389,600 SH FIRST SEC CORP DEL COM 336294103 471 17,300 SH FIRST SENTINEL BANCORP INC COM 33640T103 291 37,000 SH FIRST SIERRA FINANCIAL COM 335944104 19,985 799,400 SH FIRST TENN NATL CORP COM 337162101 444 11,600 SH FIRST TENN NATL CORP COM 337162101 568 15,500 SH FIRST UN CORP COM 337358105 5,889 110,200 SH FIRST UNION CORP COM 337358105 1,778 37,726 SH FIRST VA BKS INC COM 337477103 1,818 39,800 SH FIRST VIRGINIA BANKS COM 337477103 219 4,450 SH FIRST WASH RLTY TR COM 337489504 4,009 171,500 SH FIRST YRS INC COM 337610109 66 4,800 SH FIRSTAR CORPORATION COM 33763V109 687 24,550 SH FIRSTENERGY CORPORATION COM 337932107 279 9,000 SH FIRSTMERIT CORP COM 337915102 21,185 754,922 SH FISERV INC COM 337738108 336 10,725 SH FISERV INC COM 337738108 1,618 30,250 SH FISERV INC COM COM 337738108 13,337 425,925 SH FLASHNET COMMUNICATIONS INC COM 338527104 267 6,500 SH FLEET FINANCIAL GROUP COM 338915101 932 21,000 SH FLEETWOOD ENTERPRISES COM 339099103 45 1,700 SH FLEXTRONICS INTERNATIONAL COM Y2573F102 622 12,200 SH FLIR SYS INC COM 302445101 65 3,600 SH FLORIDA PROGRESS COM 341109106 347 8,400 SH FLORIDA PROGRESS CORP COM 341109106 468 12,400 SH FLOWERS INDS INC COM 343496105 148 6,000 SH FLOWERS INDUSTRIES INC COM 343496105 191 8,800 SH FLOWSERVE CORP COM 34354P105 1,503 96,600 SH FLOWSERVE CORPORATION COM 34354P105 49 2,600 SH FLUOR CORP COM 343861100 142 3,500 SH FMC CORP COM 302491303 109 1,600 SH FEDERAL NAT'L MORTGAGE CO. DEFINED 1 365,950 FEDERAL NATL MTG ASSN DEFINED 2 45,800 FEDERAL REALTY INVS TRUST DEFINED 1 170,000 FEDERAL RLTY INVT TR DEFINED 2 1,800 FEDERAL SIGNAL CORP DEFINED 1 3,900 FEDERATED DEPARTMENT STORES DEFINED 1 335,200 FELCOR LODGING TR INC DEFINED 2 9,800 FELCOR LODGING TRUST DEFINED 3 956,154 197,615 FERRO CORP DEFINED 1 3,600 FERRO CORP DEFINED 2 5,600 FIFTH THIRD BANK DEFINED 1 9,775 FINOVA GROUP INC DEFINED 2 10,000 FINOVA GROUP INC DEFINED 2 9,400 FINOVA GROUP INC COM DEFINED 3 193,800 17,600 FINOVA GROUP INC. DEFINED 1 5,400 FIREBIRD REPUBLICA FUND LTD DEFINED 2 960 FIRST DATA CORP DEFINED 1 17,700 FIRST DATA CORP DEFINED 2 16,800 FIRST HEALTH GROUP CORP DEFINED 1 4,800 FIRST INDUSTRIAL RLTY DEFINED 3 321,300 68,300 FIRST SEC CORP DEL DEFINED 1 17,300 FIRST SENTINEL BANCORP INC DEFINED 2 37,000 FIRST SIERRA FINANCIAL DEFINED 3 787,200 12,200 FIRST TENN NATL CORP DEFINED 1 11,600 FIRST TENN NATL CORP DEFINED 2 15,500 FIRST UN CORP DEFINED 2 110,200 FIRST UNION CORP DEFINED 1 37,726 FIRST VA BKS INC DEFINED 2 39,800 FIRST VIRGINIA BANKS DEFINED 1 4,450 FIRST WASH RLTY TR DEFINED 3 141,600 29,900 FIRST YRS INC DEFINED 2 4,800 FIRSTAR CORPORATION DEFINED 1 24,550 FIRSTENERGY CORPORATION DEFINED 1 9,000 FIRSTMERIT CORP DEFINED 3 738,922 16,000 FISERV INC DEFINED 1 10,725 FISERV INC DEFINED 2 30,250 FISERV INC COM DEFINED 3 386,300 39,625 FLASHNET COMMUNICATIONS INC DEFINED 2 6,500 FLEET FINANCIAL GROUP DEFINED 1 21,000 FLEETWOOD ENTERPRISES DEFINED 1 1,700 FLEXTRONICS INTERNATIONAL DEFINED 2 12,200 FLIR SYS INC DEFINED 2 3,600 FLORIDA PROGRESS DEFINED 1 8,400 FLORIDA PROGRESS CORP DEFINED 2 12,400 FLOWERS INDS INC DEFINED 2 6,000 FLOWERS INDUSTRIES INC DEFINED 1 8,800 FLOWSERVE CORP DEFINED 2 96,600 FLOWSERVE CORPORATION DEFINED 1 2,600 FLUOR CORP DEFINED 1 3,500 FMC CORP DEFINED 1 1,600 Page 17 of 49

20 FILE NUMBER 28-219 (CONSOLIDATED) AS OF 6/30/99 FOMENTO ECONOMICO MEX-SP ADR COM 344419106 319 8,000 SH FOODMAKER INC COM 344839204 217 8,500 SH FORD MOTOR COM 345370100 2,658 47,100 SH FORD MOTOR COM 345370100 12,179 214,650 SH FORE SYSTEMS COM 345449102 689 36,500 SH FOREST LABORATORIES-CLASS A COM 345838106 5,564 120,300 SH FORT JAMES CORPORATION COM 347471104 314 8,300 SH FORTUNE BRANDS INC COM 349631101 281 6,800 SH FORTUNE BRANDS INC COM 349631101 8 200 SH FOSTER WHEELER CORP. COM 350244109 25 1,800 SH FOUNDATION HEALTH SYSTEMS - CL A COM 350404109 157 10,490 SH FOX ENTMT GROUP INC COM 35138T107 328 12,100 SH FPL GROUP INC COM 302571104 415 7,600 SH FPL GROUP INC COM 302571104 692 13,000 SH FRANCHISE FIN CORP COM 351807102 8,310 373,500 SH FRANKLIN RES INC COM 354613101 402 9,900 SH FRANKLIN RES INC COM 354613101 152 5,400 SH FREDS INC COM 356108100 83 7,500 SH FREEPORT-MCMORAN COPPER & GOLD COM 35671D857 135 7,500 SH FRIEDE GOLDMAN INTL INC COM 358430106 1,808 113,000 SH FRONTIER CORP COM 35906P105 416 7,100 SH FRONTIER CORP COM 35906P105 4,145 79,900 SH FRONTIER INS GROUP INC NEW COM 359081106 318 26,740 SH FRONTIER INS. GRP. COM 359081106 28 1,740 SH FRUIT OF THE LOOM INC COM G3682L105 28 2,900 SH FULLER H B CO COM 359694106 188 3,200 SH FULLER, H.B. COM 359694106 82 1,200 SH FUNDTECH LTD COM M47095100 2,445 81,000 SH FURNITURE BRANDS INTERNATIONAL COM 360921100 131 4,700 SH FURNITURE BRANDS INTL COM 360921100 7,203 258,400 SH FURNITURE BRANDS INTL INC COM 360921100 177 8,000 SH G + K SERVICES COM 361268105 876 19,000 SH GABLES RESIDENTIAL COM 362418105 8,166 338,500 SH GABLES RESIDENTIAL TR COM 362418105 368 16,700 SH GALILEO INTL INC COM 363547100 779 16,100 SH GALLAGHER ARTHUR J + CO COM 363576109 129 2,800 SH GALLAHER GROUP PLC COM 363595109 5 200 SH GANNETT INC COM 364730101 907 14,400 SH GANNETT PUBLISHING COM 364730101 17,518 245,430 SH GAP INC COM 364760108 13,412 266,251 SH GAP INC COM 364760108 14,206 211,050 SH GARTNER GROUP INC NEW COM 366651107 478 21,200 SH GATEWAY INC COM 367626108 307 5,200 SH GATX CORP. COM 361448103 145 3,800 SH GELTEX PHARMACEUTICALS INC COM 368538104 1,055 75,000 SH GENCORP INC COM 368682100 78 3,100 SH GENENTECH INC COM 368710307 612 6,900 SH GENER S.A. - Spons ADR COM 368731105 1,269 71,465 SH GENERAL ALUMINUM CORP. COM 368768107 1,162 516,663 SH GENERAL COMMUNICATION INC COM 369385109 254 55,700 SH FOMENTO ECONOMICO MEX-SP ADR DEFINED 1 8,000 FOODMAKER INC DEFINED 2 8,500 FORD MOTOR DEFINED 1 47,100 FORD MOTOR DEFINED 2 214,650 FORE SYSTEMS DEFINED 2 36,500 FOREST LABORATORIES-CLASS A DEFINED 1 120,300 FORT JAMES CORPORATION DEFINED 1 8,300 FORTUNE BRANDS INC DEFINED 1 6,800 FORTUNE BRANDS INC DEFINED 2 200 FOSTER WHEELER CORP. DEFINED 1 1,800 FOUNDATION HEALTH SYSTEMS - CL A DEFINED 1 10,490 FOX ENTMT GROUP INC DEFINED 2 12,100 FPL GROUP INC DEFINED 1 7,600 FPL GROUP INC DEFINED 2 13,000 FRANCHISE FIN CORP DEFINED 3 308,900 64,600 FRANKLIN RES INC DEFINED 1 9,900 FRANKLIN RES INC DEFINED 2 5,400 FREDS INC DEFINED 2 7,500 FREEPORT-MCMORAN COPPER & GOLD DEFINED 1 7,500 FRIEDE GOLDMAN INTL INC DEFINED 2 113,000 FRONTIER CORP DEFINED 1 7,100 FRONTIER CORP DEFINED 2 79,900 FRONTIER INS GROUP INC NEW DEFINED 2 26,740 FRONTIER INS. GRP. DEFINED 1 1,740 FRUIT OF THE LOOM INC DEFINED 1 2,900 FULLER H B CO DEFINED 2 3,200 FULLER, H.B. DEFINED 1 1,200 FUNDTECH LTD DEFINED 2 81,000 FURNITURE BRANDS INTERNATIONAL DEFINED 1 4,700 FURNITURE BRANDS INTL DEFINED 3 235,200 23,200 FURNITURE BRANDS INTL INC DEFINED 2 8,000 G + K SERVICES DEFINED 2 19,000 GABLES RESIDENTIAL DEFINED 3 272,500 66,000 GABLES RESIDENTIAL TR DEFINED 2 16,700 GALILEO INTL INC DEFINED 2 16,100 GALLAGHER ARTHUR J + CO DEFINED 2 2,800 GALLAHER GROUP PLC DEFINED 2 200 GANNETT INC DEFINED 2 14,400 GANNETT PUBLISHING DEFINED 1 245,430 GAP INC DEFINED 1 266,251 GAP INC DEFINED 2 211,050 GARTNER GROUP INC NEW DEFINED 2 21,200 GATEWAY INC DEFINED 1 5,200 GATX CORP. DEFINED 1 3,800 GELTEX PHARMACEUTICALS INC DEFINED 2 75,000 GENCORP INC DEFINED 1 3,100 GENENTECH INC DEFINED 2 6,900 GENER S.A. - Spons ADR DEFINED 1 71,465 GENERAL ALUMINUM CORP. DEFINED 1 516,663 GENERAL COMMUNICATION INC DEFINED 2 55,700 Page 18 of 49

21 FILE NUMBER 28-219 (CONSOLIDATED) AS OF 6/30/99 GENERAL DYNAMICS CORP COM 369550108 1,164 16,900 SH GENERAL ELEC CO COM 369604103 30,928 279,525 SH GENERAL ELEC CO COM 369604103 2,712 24,000 SH GENERAL ELECTRIC COM 369604103 48,782 431,700 SH GENERAL GROWTH PPTYS COM 370021107 7,679 216,300 SH GENERAL GROWTH PPTYS INC COM 370021107 542 16,700 SH GENERAL GROWTH PPTYS INC COM 370021206 344 15,100 SH GENERAL INSTR CORP COM 370120107 8,016 188,600 SH GENERAL INSTR CORP DEL COM 370120107 667 22,000 SH GENERAL INSTRUMENT CORP COM 370120107 234 5,500 SH GENERAL MILLS INC COM 370334104 490 6,100 SH GENERAL MOTORS COM 370442105 1,683 25,500 SH GENERAL MTRS CORP COM 370442105 21,822 252,521 SH GENERAL MTRS CORP COM 370442832 1,261 25,000 SH GENERAL NUTRITION COS COM 37047F103 156 6,700 SH GENERAL NUTRITION COS INC COM 37047F103 82 5,900 SH GENERAL PUBLIC UTILITY COM 36225X100 186 4,400 SH GENERAL RE CORPORATION COM 370997306 971 10,000 SH GENTEX CORP COM 371901109 512 23,800 SH GENTEX CORP COM 371901109 57,142 2,040,800 SH GENUINE PARTS CO COM 372460105 4,327 150,192 SH GENUINE PARTS CO. COM 372460105 252 7,200 SH GENZYME CORP COM 372917104 359 7,400 SH GENZYME CORP COM 372917104 5,491 108,900 SH GENZYME CORP COM 372917500 0 3 SH GENZYME CORP GENL DIV 5.25% 6/1/05 CVT 372917AE4 556 4,000 SH GENZYME SURGICAL PRODUCTS COM 372917609 6 1,325 SH GEO. HORMEL & CO COM 440452100 262 6,500 SH GEORGIA GULF CORP COM 373200203 51 3,000 SH GEORGIA PAC CORP COM 373298108 5,643 76,000 SH GEORGIA PAC CORP COM 373298702 642 28,600 SH GEORGIA PACIFIC COM 373298108 351 7,400 SH GEORGIA PACIFIC (TIMBER GRP) COM 373298702 189 7,500 SH GERBER CHILDRENSWEAR INC COM 373701101 578 91,500 SH GETTY IMAGES INC COM 374276103 706 33,700 SH GIBSON GREETINGS INC COM 374827103 20 2,800 SH GILAT SATELLITE NETWORKS LTD COM M51474100 537 9,000 SH GILAT SATELLITE NETWORKS, LTD. COM M51474100 289 5,500 SH GILEAD SCIENCES INC COM 375558103 141 2,700 SH GILEAD SCIENCES INC COM 375558103 1,114 24,500 SH GILLETTE CO COM 375766102 10,328 251,900 SH GILLETTE CO COM 375766102 2,152 36,200 SH GLATFELTER P H CO COM 377316104 53 3,600 SH GLAXO PLC COM 37733W105 748 11,980 SH GLENBOROUGH RLTY COM 37803P105 10,864 620,800 SH GLENBOROUGH RLTY TR INC COM 37803P105 213 12,500 SH GLIMCHER RLTY TR COM 379302102 66 4,600 SH GLOBAL CROSSING LTD COM G3921A100 162 3,500 SH GLOBAL INDUSTRIES INC COM 379336100 101 10,000 SH GLOBAL MARINE COM 379352404 231 14,900 SH GENERAL DYNAMICS CORP DEFINED 1 16,900 GENERAL ELEC CO DEFINED 2 279,525 GENERAL ELEC CO DEFINED 3 24,000 GENERAL ELECTRIC DEFINED 1 431,700 GENERAL GROWTH PPTYS DEFINED 3 183,200 33,100 GENERAL GROWTH PPTYS INC DEFINED 2 16,700 GENERAL GROWTH PPTYS INC DEFINED 2 15,100 GENERAL INSTR CORP DEFINED 3 155,100 33,500 GENERAL INSTR CORP DEL DEFINED 2 22,000 GENERAL INSTRUMENT CORP DEFINED 1 5,500 GENERAL MILLS INC DEFINED 1 6,100 GENERAL MOTORS DEFINED 1 25,500 GENERAL MTRS CORP DEFINED 2 252,521 GENERAL MTRS CORP DEFINED 2 25,000 GENERAL NUTRITION COS DEFINED 1 6,700 GENERAL NUTRITION COS INC DEFINED 2 5,900 GENERAL PUBLIC UTILITY DEFINED 1 4,400 GENERAL RE CORPORATION DEFINED 1 10,000 GENTEX CORP DEFINED 2 23,800 GENTEX CORP DEFINED 3 1,969,800 71,000 GENUINE PARTS CO DEFINED 2 150,192 GENUINE PARTS CO. DEFINED 1 7,200 GENZYME CORP DEFINED 1 7,400 GENZYME CORP DEFINED 2 108,900 GENZYME CORP DEFINED 2 3 GENZYME CORP GENL DIV 5.25% 6/1/05 DEFINED 1 4,000 GENZYME SURGICAL PRODUCTS DEFINED 1 1,325 GEO. HORMEL & CO DEFINED 1 6,500 GEORGIA GULF CORP DEFINED 1 3,000 GEORGIA PAC CORP DEFINED 2 76,000 GEORGIA PAC CORP DEFINED 2 28,600 GEORGIA PACIFIC DEFINED 1 7,400 GEORGIA PACIFIC (TIMBER GRP) DEFINED 1 7,500 GERBER CHILDRENSWEAR INC DEFINED 2 91,500 GETTY IMAGES INC DEFINED 2 33,700 GIBSON GREETINGS INC DEFINED 2 2,800 GILAT SATELLITE NETWORKS LTD DEFINED 2 9,000 GILAT SATELLITE NETWORKS, LTD. DEFINED 1 5,500 GILEAD SCIENCES INC DEFINED 1 2,700 GILEAD SCIENCES INC DEFINED 2 24,500 GILLETTE CO DEFINED 1 251,900 GILLETTE CO DEFINED 2 36,200 GLATFELTER P H CO DEFINED 1 3,600 GLAXO PLC DEFINED 2 11,980 GLENBOROUGH RLTY DEFINED 3 503,100 117,700 GLENBOROUGH RLTY TR INC DEFINED 2 12,500 GLIMCHER RLTY TR DEFINED 2 4,600 GLOBAL CROSSING LTD DEFINED 2 3,500 GLOBAL INDUSTRIES INC DEFINED 2 10,000 GLOBAL MARINE DEFINED 1 14,900 Page 19 of 49

22 FILE NUMBER 28-219 (CONSOLIDATED) AS OF 6/30/99 GLOBAL TELESYSTEMS COM 37936U1043 32,400 400,000 SH GLOBAL TELESYSTEMS GROUP INC COM 37936U104 207 3,700 SH GLOBALSTAR LP LTD COM G3930H104 522 37,760 SH GOLDEN ST BANCORP COM 381197102 24,212 1,076,100 SH GOLDEN WEST FINANCIAL CORP. COM 381317106 245 2,500 SH GOLDEN WEST FINL CORP DEL COM 381317106 535 5,600 SH GOLF TR AMER INC COM 38168B103 4,175 170,850 SH GOODRICH (B.F.) CO COM 382388106 116 2,720 SH GOODYEAR TIRE & RUBBER CO. COM 382550101 365 6,200 SH GOODYEAR TIRE AND RUBBER COM 382550101 4,922 98,818 SH GP FINANCIAL CORP COM 395384100 279 8,500 SH GPU INC COM 36225X100 194 5,200 SH GRACE W.R. (NEW) COM 38388F108 63 3,300 SH GRAINGER (W.W.) INC. COM 384802104 221 4,100 SH GRANITE CONSTR INC COM 387328107 130 5,550 SH GRANITE CONSTRUCTION INC COM 387328107 70 2,400 SH GREAT ATLANTIC & PACIFIC COM 390064103 47 1,400 SH GREAT ATLANTIC + PAC TEA INC COM 390064103 78 2,600 SH GREAT LAKES CHEMICAL CORP COM 390568103 115 2,500 SH GREAT LAKES CHEMICAL CORP COM 390568103 243 6,600 SH GREAT LAKES REIT INC COM 390752103 3,541 217,900 SH GREAT PLAINS SOFTWARE COM 39119E105 13,505 286,200 SH GREATER BAY BANCORP COM 391648102 86 3,000 SH GREENPOINT FINL CORP COM 395384100 695 20,000 SH GRUPO INDUSTRIAL MASECA SA-ADR COM 400488409 261 29,205 SH GRUPO TELEVISA S.A. GDR (ADR) COM 40049J206 2,438 54,400 SH GST TELECOMMUNICATIONS INC COM 361942105 4,755 435,200 SH GTE CORP COM 362320103 2,760 45,500 SH GTE CORP. COM 362320103 36,882 488,497 SH GTECH HOLDINGS CORP COM 400518106 90 3,800 SH GTS DURATEK COM 36237J107 1,308 230,000 SH GUCCI GROUP N V COM 401566104 3,144 39,054 SH GUIDANT CORP COM 401698105 583 11,400 SH GULFSTREAM AEROSPACE CORP COM 402734107 446 6,600 SH GULFSTREAM AEROSPACE CORP NEW COM 402734107 542 12,500 SH HA LO INDS INC COM 404429102 1,306 106,050 SH HALIBURTON COM 406216101 751 16,600 SH HALLIBURTON CO COM 406216101 5,808 148,550 SH HAMILTON BANCORP INC FLA COM 407013101 1,548 60,000 SH HANNA M A CO COM 410522106 74 4,500 SH HANNAFORD BROS CO COM 410550107 193 3,600 SH HANSON PLC COM 411352404 238 5,400 SH HARCOURT GEN INC COM 41163G101 1,985 44,800 SH HARCOURT GENERAL COM 41163G101 139 2,700 SH HARLEY DAVIDSON INC COM 412822108 761 14,000 SH HARLEYSVILLE GROUP INC COM 412824104 92 4,800 SH HARMAN INTL INDS INC NEW COM 413086109 331 9,000 SH HARMONIC INC COM 413160102 23,452 408,300 SH HARRAH'S ENTERTAINMENT COM 413619107 82 3,700 SH HARRIS CORP COM 413875105 110 2,800 SH GLOBAL TELESYSTEMS DEFINED 1 400,000 GLOBAL TELESYSTEMS GROUP INC DEFINED 2 3,700 GLOBALSTAR LP LTD DEFINED 2 37,760 GOLDEN ST BANCORP DEFINED 3 1,053,000 23,100 GOLDEN WEST FINANCIAL CORP. DEFINED 1 2,500 GOLDEN WEST FINL CORP DEL DEFINED 2 5,600 GOLF TR AMER INC DEFINED 3 140,650 30,200 GOODRICH (B.F.) CO DEFINED 1 2,720 GOODYEAR TIRE & RUBBER CO. DEFINED 1 6,200 GOODYEAR TIRE AND RUBBER DEFINED 2 98,818 GP FINANCIAL CORP DEFINED 1 8,500 GPU INC DEFINED 2 5,200 GRACE W.R. (NEW) DEFINED 1 3,300 GRAINGER (W.W.) INC. DEFINED 1 4,100 GRANITE CONSTR INC DEFINED 2 5,550 GRANITE CONSTRUCTION INC DEFINED 1 2,400 GREAT ATLANTIC & PACIFIC DEFINED 1 1,400 GREAT ATLANTIC + PAC TEA INC DEFINED 2 2,600 GREAT LAKES CHEMICAL CORP DEFINED 1 2,500 GREAT LAKES CHEMICAL CORP DEFINED 2 6,600 GREAT LAKES REIT INC DEFINED 3 178,900 39,000 GREAT PLAINS SOFTWARE DEFINED 3 264,500 21,700 GREATER BAY BANCORP DEFINED 2 3,000 GREENPOINT FINL CORP DEFINED 2 20,000 GRUPO INDUSTRIAL MASECA SA-ADR DEFINED 1 29,205 GRUPO TELEVISA S.A. GDR (ADR) DEFINED 1 54,400 GST TELECOMMUNICATIONS INC DEFINED 2 435,200 GTE CORP DEFINED 2 45,500 GTE CORP. DEFINED 1 488,497 GTECH HOLDINGS CORP DEFINED 1 3,800 GTS DURATEK DEFINED 1 230,000 GUCCI GROUP N V DEFINED 2 39,054 GUIDANT CORP DEFINED 1 11,400 GULFSTREAM AEROSPACE CORP DEFINED 1 6,600 GULFSTREAM AEROSPACE CORP NEW DEFINED 2 12,500 HA LO INDS INC DEFINED 2 106,050 HALIBURTON DEFINED 1 16,600 HALLIBURTON CO DEFINED 2 148,550 HAMILTON BANCORP INC FLA DEFINED 2 60,000 HANNA M A CO DEFINED 1 4,500 HANNAFORD BROS CO DEFINED 1 3,600 HANSON PLC DEFINED 2 5,400 HARCOURT GEN INC DEFINED 2 44,800 HARCOURT GENERAL DEFINED 1 2,700 HARLEY DAVIDSON INC DEFINED 1 14,000 HARLEYSVILLE GROUP INC DEFINED 2 4,800 HARMAN INTL INDS INC NEW DEFINED 2 9,000 HARMONIC INC DEFINED 3 392,200 16,100 HARRAH'S ENTERTAINMENT DEFINED 1 3,700 HARRIS CORP DEFINED 1 2,800 Page 20 of 49

23 FILE NUMBER 28-219 (CONSOLIDATED) AS OF 6/30/99 HARRIS CORP DEL COM 413875105 263 9,200 SH HARSCO CORP COM 415864107 138 4,300 SH HARTE HANKS INC COM 416196103 576 21,000 SH HARTE-HANKS INC COM 416196103 32,406 1,194,700 SH HARTFORD FINANCIAL SERVICES GROUP, IN COM 416515104 554 9,500 SH HARTFORD FINANCIAL SVCS GRP COM 416515104 1,136 20,000 SH HASBRO INC. COM 418056107 210 7,525 SH HAVERTY FURNITURE COS INC COM 419596101 112 4,400 SH HAWAIIAN ELECTRIC COM 419870100 96 2,700 SH HCC INS HLDGS INC COM 404132102 156 8,100 SH HCR MANOR CARE COM 404134108 73 3,000 SH HCR MANOR CARE INC COM 404134108 167 7,300 SH HEALTH CARE PPTY INVS COM 421915109 7,655 265,100 SH HEALTH MANAGEMENT ASSOCIATES INC - A COM 421933102 248 22,000 SH HEALTH MGMT ASSOC COM 421933102 950 77,975 SH HEALTHCARE FINL PARTNERS INC COM 42219W108 1,505 57,600 SH HEALTHCARE FINL PRTNER COM 42219W108 52,831 1,542,500 SH HEALTHCARE RLTY TR COM 421946104 5,590 264,600 SH HEALTHSOUTH CORP COM 421924101 89 8,600 SH HEALTHSOUTH CORPORATION COM 421924101 231 15,500 SH HEFTEL BROADCASTING CORP COM 422799106 907 20,900 SH HEICO CORP NEW COM 422806208 2,734 127,900 SH HEILIG-MEYERS COM 422893107 37 5,500 SH HEINZ H J CO COM 423074103 4,136 87,310 SH HEINZ H.J. COM 423074103 18,366 366,400 SH HELLENIC TELECOMMUN ORGANIZA ADR'S COM 423325307 332 30,000 SH HELLER FINANCIAL INC CVT 423328871 13,125 125,000 SH HELLER FINL INC COM 423328103 494 21,000 SH HELMERICH & PAYNE COM 423452101 43 1,800 SH HELMERICH AND PAYNE INC COM 423452101 191 8,400 SH HENRY JACK + ASSOC INC COM 426281101 66 1,800 SH HENRY SCHEIN INC COM 806407102 1,437 56,900 SH HERCULES INC COM 427056106 157 4,000 SH HERSHEY FOODS CORP COM 427866108 350 5,900 SH HERTZ CORP COM 428040109 11,224 209,800 SH HEWLETT PACKARD CO COM 428236103 12,993 191,600 SH HEWLETT-PACKARD COMPANY COM 428236103 4,080 40,600 SH HIBERNIA CORP COM 428656102 224 14,300 SH HIBERNIA CORP COM 428656102 683 52,000 SH HIGHLAND INS GROUP INC COM 431032101 0 15 SH HIGHWOODS PPTYS INC COM 431284108 14,265 519,900 SH HIGHWOODS PROPERTIES INC COM 431284108 3,293 120,000 SH HILLENBRAND INDUSTRIES COM 431573104 251 5,800 SH HILLSBOROUGH COMPANIES COM 431992106 13 2,571 SH HILTON HOTELS COM 432848109 140 9,900 SH HILTON HOTELS CORP COM 432848109 3,623 255,400 SH HILTON HOTELS CORP 5.0% 05/15/06 CVT 432848AL3 229 2,500 SH HISPANIC BROADCASTING COM 43357b104 84,335 1,111,500 SH HOLLYWOOD ENTMT CORP COM 436141105 302 16,200 SH HOLOPHANE CORP COM 43645B106 264 12,000 SH HARRIS CORP DEL DEFINED 2 9,200 HARSCO CORP DEFINED 1 4,300 HARTE HANKS INC DEFINED 2 21,000 HARTE-HANKS INC DEFINED 3 1,169,400 25,300 HARTFORD FINANCIAL SERVICES GROUP, IN DEFINED 1 9,500 HARTFORD FINANCIAL SVCS GRP DEFINED 2 20,000 HASBRO INC. DEFINED 1 7,525 HAVERTY FURNITURE COS INC DEFINED 2 4,400 HAWAIIAN ELECTRIC DEFINED 1 2,700 HCC INS HLDGS INC DEFINED 2 8,100 HCR MANOR CARE DEFINED 1 3,000 HCR MANOR CARE INC DEFINED 2 7,300 HEALTH CARE PPTY INVS DEFINED 3 218,300 46,800 HEALTH MANAGEMENT ASSOCIATES INC - A DEFINED 1 22,000 HEALTH MGMT ASSOC DEFINED 2 77,975 HEALTHCARE FINL PARTNERS INC DEFINED 2 57,600 HEALTHCARE FINL PRTNER DEFINED 3 1,506,800 35,700 HEALTHCARE RLTY TR DEFINED 3 217,400 47,200 HEALTHSOUTH CORP DEFINED 2 8,600 HEALTHSOUTH CORPORATION DEFINED 1 15,500 HEFTEL BROADCASTING CORP DEFINED 2 20,900 HEICO CORP NEW DEFINED 2 127,900 HEILIG-MEYERS DEFINED 1 5,500 HEINZ H J CO DEFINED 2 87,310 HEINZ H.J. DEFINED 1 366,400 HELLENIC TELECOMMUN ORGANIZA ADR'S DEFINED 1 30,000 HELLER FINANCIAL INC DEFINED 1 125,000 HELLER FINL INC DEFINED 2 21,000 HELMERICH & PAYNE DEFINED 1 1,800 HELMERICH AND PAYNE INC DEFINED 2 8,400 HENRY JACK + ASSOC INC DEFINED 2 1,800 HENRY SCHEIN INC DEFINED 2 56,900 HERCULES INC DEFINED 1 4,000 HERSHEY FOODS CORP DEFINED 1 5,900 HERTZ CORP DEFINED 2 209,800 HEWLETT PACKARD CO DEFINED 2 191,600 HEWLETT-PACKARD COMPANY DEFINED 1 40,600 HIBERNIA CORP DEFINED 1 14,300 HIBERNIA CORP DEFINED 2 52,000 HIGHLAND INS GROUP INC DEFINED 2 15 HIGHWOODS PPTYS INC DEFINED 3 434,200 85,700 HIGHWOODS PROPERTIES INC DEFINED 1 120,000 HILLENBRAND INDUSTRIES DEFINED 1 5,800 HILLSBOROUGH COMPANIES DEFINED 1 2,571 HILTON HOTELS DEFINED 1 9,900 HILTON HOTELS CORP DEFINED 3 208,000 47,400 HILTON HOTELS CORP 5.0% 05/15/06 DEFINED 1 2,500 HISPANIC BROADCASTING DEFINED 3 1,087,300 24,200 HOLLYWOOD ENTMT CORP DEFINED 2 16,200 HOLOPHANE CORP DEFINED 2 12,000 Page 21 of 49

24 FILE NUMBER 28-219 (CONSOLIDATED) AS OF 6/30/99 HOME DEPOT COM 437076102 13,165 204,300 SH HOME DEPOT INC COM 437076102 29,792 477,810 SH HOME DEPOT INC COM 437076102 2,900 45,000 SH HOME PPTYS N Y INC COM 437306103 296 12,800 SH HOMEBASE INC 5.25% 11/1/04 CVT 43738EAA6 258 3,000 SH HOMESTAKE MINING COM 437614100 63 7,700 SH HON INDS INC COM 438092108 152 5,200 SH HON INDS INC COM 438092108 325 14,800 SH HONEYWELL COM 438506107 556 4,800 SH HONEYWELL INC COM 438506107 1,137 15,000 SH HORACE MANN EDUCATORS CORP COM 440327104 1,974 72,600 SH HOSPITALITY PPTYS COM 44106M102 4,199 154,800 SH HOST MARRIOTT CORP COM 44107p104 20,487 1,725,200 SH HOST MARRIOTT CORP (REIT) COM 44107P104 427 35,967 SH HOST MARRIOTT CORP NEW COM 44107P104 468 42,100 SH HOST MARRIOTT SERVICES CORP COM 440914109 54 6,617 SH HOUGHTON MIFFLIN CO COM 441560109 127 2,700 SH HOUGHTON MIFFLIN CO COM 441560109 502 10,700 SH HOUSEHOLD INT'L COM 441815107 1,015 21,425 SH HOUSEHOLD INTL INC COM 441815107 5,448 119,400 SH HRPT TRUST COM 40426w101 5,416 353,700 SH HSB GROUP INC COM 40428N109 14,889 361,500 SH HUANENG POWER INTL INC COM 443304100 40 4,000 SH HUBBELL INC. Class B COM 443510201 259 5,700 SH HUBCO INC COM 404382103 419 12,510 SH HUGHES SUPPLY INC COM 444482103 96 4,200 SH HUMANA CORP COM 444859102 82 6,300 SH HUNT (JB) TRANSPRT SVCS INC COM 445658107 55 3,400 SH HUNTINGTON BANCSHARES COM 446150104 278 7,930 SH HUSSMANN INTL INC COM 448110106 84 5,700 SH HYPERCOM CORP COM 44913M105 217 34,000 SH HYPERION SOLUTIONS CORP COM 44914M104 77 5,280 SH IBERDROLA SA COM 442464004 165 11,120 SH IBP INC. COM 449223106 195 8,200 SH ICG COMMUNICATIONS INC COM 449246107 755 37,800 SH ICN PHARMACEUTICALS INC COM 448924100 225 7,000 SH IDACORP INC COM 451107106 104 3,300 SH IDACORP INC COM 451107106 226 7,700 SH IKON OFFICE SOLUTIONS INC COM 451713101 75 5,000 SH ILLINOIS TOOL WORKS COM 452308109 801 9,800 SH ILLINOVA CORP COM 452317100 177 6,500 SH ILLINOVA CORP COM 452317100 311 14,700 SH IMASCO COM 452451701 3,661 131,400 SH IMATION CORPORATION COM 45245A107 92 3,700 SH IMAX CORP COM 45245E109 282 14,400 SH IMC GLOBAL INC COM 449669100 204 10,000 SH IMC GLOBAL INC. COM 449669100 182 10,500 SH IMPERIAL BANCORP COM 452556103 343 20,000 SH IMS HEALTH INC COM 449934108 3,119 94,160 SH IMS HEALTH INC. COM 449934108 409 13,100 SH HOME DEPOT DEFINED 1 204,300 HOME DEPOT INC DEFINED 2 477,810 HOME DEPOT INC DEFINED 3 45,000 HOME PPTYS N Y INC DEFINED 2 12,800 HOMEBASE INC 5.25% 11/1/04 DEFINED 1 3,000 HOMESTAKE MINING DEFINED 1 7,700 HON INDS INC DEFINED 1 5,200 HON INDS INC DEFINED 2 14,800 HONEYWELL DEFINED 1 4,800 HONEYWELL INC DEFINED 2 15,000 HORACE MANN EDUCATORS CORP DEFINED 1 72,600 HOSPITALITY PPTYS DEFINED 3 128,600 26,200 HOST MARRIOTT CORP DEFINED 3 1,424,100 301,100 HOST MARRIOTT CORP (REIT) DEFINED 1 35,967 HOST MARRIOTT CORP NEW DEFINED 2 42,100 HOST MARRIOTT SERVICES CORP DEFINED 1 6,617 HOUGHTON MIFFLIN CO DEFINED 1 2,700 HOUGHTON MIFFLIN CO DEFINED 2 10,700 HOUSEHOLD INT'L DEFINED 1 21,425 HOUSEHOLD INTL INC DEFINED 2 119,400 HRPT TRUST DEFINED 3 291,400 62,300 HSB GROUP INC DEFINED 1 361,500 HUANENG POWER INTL INC DEFINED 2 4,000 HUBBELL INC. Class B DEFINED 1 5,700 HUBCO INC DEFINED 2 12,510 HUGHES SUPPLY INC DEFINED 2 4,200 HUMANA CORP DEFINED 1 6,300 HUNT (JB) TRANSPRT SVCS INC DEFINED 1 3,400 HUNTINGTON BANCSHARES DEFINED 1 7,930 HUSSMANN INTL INC DEFINED 2 5,700 HYPERCOM CORP DEFINED 2 34,000 HYPERION SOLUTIONS CORP DEFINED 2 5,280 IBERDROLA SA DEFINED 2 11,120 IBP INC. DEFINED 1 8,200 ICG COMMUNICATIONS INC DEFINED 2 37,800 ICN PHARMACEUTICALS INC DEFINED 1 7,000 IDACORP INC DEFINED 1 3,300 IDACORP INC DEFINED 2 7,700 IKON OFFICE SOLUTIONS INC DEFINED 1 5,000 ILLINOIS TOOL WORKS DEFINED 1 9,800 ILLINOVA CORP DEFINED 1 6,500 ILLINOVA CORP DEFINED 2 14,700 IMASCO DEFINED 1 131,400 IMATION CORPORATION DEFINED 1 3,700 IMAX CORP DEFINED 2 14,400 IMC GLOBAL INC DEFINED 2 10,000 IMC GLOBAL INC. DEFINED 1 10,500 IMPERIAL BANCORP DEFINED 2 20,000 IMS HEALTH INC DEFINED 2 94,160 IMS HEALTH INC. DEFINED 1 13,100 Page 22 of 49

25 FILE NUMBER 28-219 (CONSOLIDATED) AS OF 6/30/99 INA(IST NAZ ASS) COM 453493900 242 0 80,000 SH INACOM CORP COM 45323G109 22 2,800 SH INCO LTD COM 453258402 115 6,400 SH INDIANA ENERGY INC COM 454707100 57 2,666 SH INDIGO AVIATION AB COM 45567P104 2,182 329,300 SH INFINITY COM 45662s102 3,719 125,800 SH INFINITY BROADCASTING CORP NEW COM 45662S102 749 29,100 SH INFORMATION RES INC COM 456905108 21 2,400 SH INFORMIX CORP COM 456779107 135 15,800 SH INFOSEEK CORP COM 45678M107 3,839 51,900 SH INFOSYS TECH - ADR COM 4567881085 406 7,000 SH INGERSOLL-RAND COM 456866102 1,050 16,250 SH INKTOMI CORP COM 457277101 5,948 69,460 SH INNKEEPERS USA TR COM 4576J0104 4,094 409,400 SH INSIGHT ENTERPRISES INC COM 45765U103 639 25,700 SH INSPIRE INS SOLUTIONS COM 457732105 19,465 1,342,400 SH INSURANCE AUTO AUCTIONS COM 457875102 1,613 100,000 SH INSURANCE MGMT SOLUTNS COM 458045101 638 75,000 SH INTEGRATED DEVICE TECH INC COM 458118106 84 7,700 SH INTEL CORP COM 458140100 30,982 520,700 SH INTEL CORP COM 458140100 18,636 157,540 SH INTERFACE INC COM 458665106 103 11,000 SH INTERIM SVCS INC COM 45868P100 662 44,100 SH INTERMEDIA COMM COMMON COM 458801107 0 7,399 SH INTERMEDIA COMM SER. B CVT 458801404 507 5,169 SH INTERMEDIA COMMUNICATIONS INC COM 458801107 3,166 118,900 SH INTERMET CORP COM 45881K104 79 5,900 SH INTERNATIONAL BUSINESS MACHINES COM 459200101 36,410 281,700 SH INTERNATIONAL BUSINESS MACHS COM 459200101 26,626 152,755 SH INTERNATIONAL FLAVORS & FRAGRANCES COM 459506101 202 4,600 SH INTERNATIONAL FLAVOURS COM 459506101 4,245 113,016 SH INTERNATIONAL GAME TECHNOLOGY COM 459902102 176 9,500 SH INTERNATIONAL MULTIFOOD COM 460043102 36 1,600 SH INTERNATIONAL MULTIFOODS CORP COM 460043102 84 3,600 SH INTERNATIONAL PAPER COM 460146103 782 15,559 SH INTERNATIONAL PAPER CO COM 460146103 4,793 113,605 SH INTERNATIONAL SPEEDWAY COM 460335201 38,185 803,900 SH INTERPUBLIC GROUP COS COM 460690100 485 5,600 SH INTERPUBLIC GROUP COS INC COM 460690100 1,931 24,800 SH INTERSTATE BAKERIES CORP COM 46072H108 139 6,200 SH INTERSTATE BAKERIES CORP COM 46072H108 173 8,000 SH INTERSTATE HOTELS CORPORATION COM 46088R108 62 15,057 SH INTERTAN INC COM 461120107 1,500 75,000 SH INTRAWARE INC COM 46118M103 200 5,000 SH INTUIT COM 461202103 1,025 10,080 SH INTUIT INCORPORATION COM 461202103 469 5,200 SH INVESTMENT TECHNOLOGY GROUP COM 46145F105 80 2,500 SH INVITROGEN CORP COM 46185R100 1,893 147,000 SH INVITROGEN CORP COM 46185R100 1,827 74,000 SH IONICS INC COM 462218108 609 20,200 SH INA(IST NAZ ASS) DEFINED 2 80,000 INACOM CORP DEFINED 2 2,800 INCO LTD DEFINED 1 6,400 INDIANA ENERGY INC DEFINED 1 2,666 INDIGO AVIATION AB DEFINED 3 329,300 INFINITY DEFINED 3 104,100 21,700 INFINITY BROADCASTING CORP NEW DEFINED 2 29,100 INFORMATION RES INC DEFINED 1 2,400 INFORMIX CORP DEFINED 1 15,800 INFOSEEK CORP DEFINED 2 51,900 INFOSYS TECH - ADR DEFINED 1 7,000 INGERSOLL-RAND DEFINED 1 16,250 INKTOMI CORP DEFINED 2 69,460 INNKEEPERS USA TR DEFINED 3 341,600 67,800 INSIGHT ENTERPRISES INC DEFINED 2 25,700 INSPIRE INS SOLUTIONS DEFINED 3 1,318,400 24,000 INSURANCE AUTO AUCTIONS DEFINED 1 100,000 INSURANCE MGMT SOLUTNS DEFINED 3 75,000 INTEGRATED DEVICE TECH INC DEFINED 1 7,700 INTEL CORP DEFINED 1 520,700 INTEL CORP DEFINED 2 157,540 INTERFACE INC DEFINED 2 11,000 INTERIM SVCS INC DEFINED 2 44,100 INTERMEDIA COMM COMMON DEFINED 2 7,399 INTERMEDIA COMM SER. B DEFINED 1 5,169 INTERMEDIA COMMUNICATIONS INC DEFINED 2 118,900 INTERMET CORP DEFINED 2 5,900 INTERNATIONAL BUSINESS MACHINES DEFINED 1 281,700 INTERNATIONAL BUSINESS MACHS DEFINED 2 152,755 INTERNATIONAL FLAVORS & FRAGRANCES DEFINED 1 4,600 INTERNATIONAL FLAVOURS DEFINED 2 113,016 INTERNATIONAL GAME TECHNOLOGY DEFINED 1 9,500 INTERNATIONAL MULTIFOOD DEFINED 1 1,600 INTERNATIONAL MULTIFOODS CORP DEFINED 2 3,600 INTERNATIONAL PAPER DEFINED 1 15,559 INTERNATIONAL PAPER CO DEFINED 2 113,605 INTERNATIONAL SPEEDWAY DEFINED 3 782,400 21,500 INTERPUBLIC GROUP COS DEFINED 1 5,600 INTERPUBLIC GROUP COS INC DEFINED 2 24,800 INTERSTATE BAKERIES CORP DEFINED 1 6,200 INTERSTATE BAKERIES CORP DEFINED 2 8,000 INTERSTATE HOTELS CORPORATION DEFINED 1 15,057 INTERTAN INC DEFINED 3 75,000 INTRAWARE INC DEFINED 2 5,000 INTUIT DEFINED 2 10,080 INTUIT INCORPORATION DEFINED 1 5,200 INVESTMENT TECHNOLOGY GROUP DEFINED 1 2,500 INVITROGEN CORP DEFINED 2 147,000 INVITROGEN CORP DEFINED 3 74,000 IONICS INC DEFINED 2 20,200 Page 23 of 49

26 FILE NUMBER 28-219 (CONSOLIDATED) AS OF 6/30/99 IPALCO ENTERPRISES INC COM 462613100 161 7,600 SH IPC HOLDINGS LTD COM G4933P101 278 14,000 SH IPC HOLDINGS LTDS COM G4933P101 122,000 6,100,000 SH IRON MOUNTAIN INC COM 462849104 3 100,000 SH IRON MTN INC DEL COM 46284P104 45,149 1,577,250 SH IRT PPTY CO COM 450058102 353 40,000 SH IRT PPTY CO COM 450058102 4,230 428,400 SH ISS GROUP INC COM 450306105 585 7,300 SH ITALGAS(SOC ITAL) COM 446820003 39 8,000 SH ITT EDL SVCS INC COM 45068B109 2,780 74,000 SH ITT INDUSTRIES COM 450911102 160 4,200 SH IVAX CORP COM 465823102 148 10,500 SH IVILLAGE INC COM 46588H105 291 2,900 SH IXL ENTERPRISES INC COM 450718101 1,075 40,000 SH J.C. PENNEY & CO. COM 708160106 665 13,700 SH J.M. SMUCKER COM 832696108 45 2,000 SH JABIL CIRCUIT INC COM 466313103 320 7,100 SH JACOBS ENGR GROUP INC COM 469814107 87 2,300 SH JACOR COMMUNICATIONS INC COM 469858401 3,260 42,900 SH JDN RLTY CORP COM 465917102 121 6,100 SH JDN RLTY CORP COM 465917102 2,918 130,400 SH JEFFERSON PILOT COM 475070108 351 5,300 SH JERONIMO MARTINS SGPS COM 447723008 163 4,566 SH JLG INDS INC COM 466210101 226 16,600 SH JOHNSON & JOHNSON COM 478160104 19,118 195,080 SH JOHNSON & JOHNSON COM 478160104 17,649 188,080 SH JOHNSON CONTROLS INC COM 478366107 243 3,500 SH JONES APPAREL GROUP IN COM 480074103 376 10,953 SH JONES APPAREL GROUP INC COM 480074103 617 22,100 SH JONES INTERCABLE INC COM 480206200 1,138 28,900 SH JONES LANG LASALLE INC COM 48020Q107 543 18,100 SH JONES PHARMACEUTICALS COM 480236108 35,827 909,900 SH JOSTENS COM 481088102 25 1,200 SH JOSTENS INC COM 481088102 425 20,000 SH JP REALTY INC COM 46624A106 1,388 67,500 SH JUST FOR FEET INC COM 48213P106 313 25,000 SH K MART COM 482584109 310 18,800 SH K MART CORP COM 482584109 398 23,700 SH K2 INC COM 482732104 65 8,200 SH KANSAS CITY PWR & LT C COM 485134100 138 5,400 SH KANSAS CITY SOUTHN IND COM 485170104 306 4,800 SH KAUFMAN & BROAD HOME CORP. COM 486168107 55 2,200 SH KAUFMAN + BROAD HOME CORP COM 486168107 47 2,100 SH KAYDON CORP COM 486587108 130 4,500 SH KAYDON CORP. COM 486587108 94 2,800 SH KBC BANKVERZEKERIN NPV COM 449774009 433 6,480 SH KEANE INC COM 486665102 127 5,600 SH KEEBLER FOODS CO COM 487256109 548 15,000 SH KELLOGG COM 487836108 561 17,000 SH KELLOGG CO COM 487836108 4,920 145,517 SH IPALCO ENTERPRISES INC DEFINED 1 7,600 IPC HOLDINGS LTD DEFINED 2 14,000 IPC HOLDINGS LTDS DEFINED 1 6,100,000 IRON MOUNTAIN INC DEFINED 2 100,000 IRON MTN INC DEL DEFINED 3 1,520,700 56,550 IRT PPTY CO DEFINED 2 40,000 IRT PPTY CO DEFINED 3 352,500 75,900 ISS GROUP INC DEFINED 2 7,300 ITALGAS(SOC ITAL) DEFINED 2 8,000 ITT EDL SVCS INC DEFINED 2 74,000 ITT INDUSTRIES DEFINED 1 4,200 IVAX CORP DEFINED 1 10,500 IVILLAGE INC DEFINED 2 2,900 IXL ENTERPRISES INC DEFINED 3 40,000 J.C. PENNEY & CO. DEFINED 1 13,700 J.M. SMUCKER DEFINED 1 2,000 JABIL CIRCUIT INC DEFINED 1 7,100 JACOBS ENGR GROUP INC DEFINED 1 2,300 JACOR COMMUNICATIONS INC DEFINED 2 42,900 JDN RLTY CORP DEFINED 2 6,100 JDN RLTY CORP DEFINED 3 106,900 23,500 JEFFERSON PILOT DEFINED 1 5,300 JERONIMO MARTINS SGPS DEFINED 2 4,566 JLG INDS INC DEFINED 2 16,600 JOHNSON & JOHNSON DEFINED 1 195,080 JOHNSON & JOHNSON DEFINED 2 188,080 JOHNSON CONTROLS INC DEFINED 1 3,500 JONES APPAREL GROUP IN DEFINED 1 10,953 JONES APPAREL GROUP INC DEFINED 2 22,100 JONES INTERCABLE INC DEFINED 2 28,900 JONES LANG LASALLE INC DEFINED 2 18,100 JONES PHARMACEUTICALS DEFINED 3 877,100 32,800 JOSTENS DEFINED 1 1,200 JOSTENS INC DEFINED 2 20,000 JP REALTY INC DEFINED 3 55,500 12,000 JUST FOR FEET INC DEFINED 2 25,000 K MART DEFINED 1 18,800 K MART CORP DEFINED 2 23,700 K2 INC DEFINED 2 8,200 KANSAS CITY PWR & LT C DEFINED 1 5,400 KANSAS CITY SOUTHN IND DEFINED 1 4,800 KAUFMAN & BROAD HOME CORP. DEFINED 1 2,200 KAUFMAN + BROAD HOME CORP DEFINED 2 2,100 KAYDON CORP DEFINED 2 4,500 KAYDON CORP. DEFINED 1 2,800 KBC BANKVERZEKERIN NPV DEFINED 2 6,480 KEANE INC DEFINED 1 5,600 KEEBLER FOODS CO DEFINED 2 15,000 KELLOGG DEFINED 1 17,000 KELLOGG CO DEFINED 2 145,517 Page 24 of 49

27 FILE NUMBER 28-219 (CONSOLIDATED) AS OF 6/30/99 KELLSTROM INDS INC COM 488035106 71 4,500 SH KELLWOOD CO COM 488044108 119 5,400 SH KELLY SERVICES CI'A' COM 488152208 103 3,200 SH KEMET CORP COM 488360108 162 14,200 SH KENNAMETAL INC COM 489170100 74 2,400 SH KERR MCGEE CORP COM 492386107 165 3,285 SH KEY PRODTN INC COM 493138101 928 101,000 SH KEYCORP COM 493267108 585 18,200 SH KEYSPAN CORPORTATION COM 49337W100 340 12,900 SH KEYSTONE FINANCIAL INC COM 493482103 130 4,400 SH KILROY REALTY CORP COM 49427F108 3,656 150,000 SH KILROY RLTY CORP COM 49427F108 123 6,000 SH KIMBALL INTL INC COM 494274103 74 5,000 SH KIMBERLY CLARK CORP COM 494368103 259 5,400 SH KIMBERLY-CLARK CORP COM 494368103 1,454 25,500 SH KIMCO REALTY COM 49446R109 35,500 893,075 SH KIMCO REALTY CORP COM 49446R109 12,410 312,200 SH KIMCO RLTY CORP COM 49446R109 15 400 SH KING WORLD PRODUCTIONS COM 495667107 87 2,500 SH KINGFISHER COM 026201905 503 40,000 SH KLA TENCOR CORP COM 482480100 481 9,900 SH KLA-TENCOR CORP COM 482480100 212 3,275 SH KLM ROYAL DUTCH AIRLS COM 482516101 389 14,000 SH KMART FINANCING 7.75% PFD CVT 498778208 3,510 60,000 SH KN ENERGY INC. COM 482620101 76 5,700 SH KNIGHT RIDDER INC. COM 499040103 198 3,600 SH KNIGHT TRIMARK GROUP COM 499067106 670 10,000 SH KNIGHT/TRIMARK GRP COM 499067106 22,729 372,600 SH KNIGHTSBRIDGE TANKERS LTD COM G5299G106 540 32,000 SH KOGER EQUITY INC COM 500228101 47 3,500 SH KOHLS CORPORATION COM 500255104 538 7,000 SH KOMAG INC COM 500453105 157 35,800 SH KONINKLIJKE PHILIPS ELECTRS NV COM 500472105 247 3,000 SH KONINKLIJKE PHILIPS ELECTRS NV COM 500472105 41 500 SH KOREA ELEC POWER CORP-SP ADR COM 500631106 2,960 164,000 SH KOREA ELEC PWR CORP COM 500631106 136 10,700 SH KOREA FUND INC COM 500634100 1,978 133,000 SH KRAUSES FURNITURE INC COM 500760202 314 173,100 SH KROGER CO. COM 501044101 941 33,700 SH KROLL O GARA CO COM 501050108 4,646 171,800 SH KROLL-O'GARA COMPANY COM 501050108 31,863 1,444,212 SH L OREAL COM 453478000 101 160 SH LA Z BOY INC COM 505336107 131 6,900 SH LAB HLDGS INC COM 505353102 527 31,700 SH LABONE INC COM 50540E101 37 3,500 SH LACLEDE GAS CO COM 505588103 559 26,700 SH LAFARGE COM 450270004 67 742 SH LAIDLAW INC. COM 50730K503 92 12,500 SH LAM RESH CORP COM 512807108 525 18,100 SH LAMONTS APPAREL INC COM 513628404 13 34,222 SH KELLSTROM INDS INC DEFINED 2 4,500 KELLWOOD CO DEFINED 2 5,400 KELLY SERVICES CI'A' DEFINED 1 3,200 KEMET CORP DEFINED 2 14,200 KENNAMETAL INC DEFINED 1 2,400 KERR MCGEE CORP DEFINED 1 3,285 KEY PRODTN INC DEFINED 3 101,000 KEYCORP DEFINED 1 18,200 KEYSPAN CORPORTATION DEFINED 1 12,900 KEYSTONE FINANCIAL INC DEFINED 1 4,400 KILROY REALTY CORP DEFINED 1 150,000 KILROY RLTY CORP DEFINED 2 6,000 KIMBALL INTL INC DEFINED 2 5,000 KIMBERLY CLARK CORP DEFINED 2 5,400 KIMBERLY-CLARK CORP DEFINED 1 25,500 KIMCO REALTY DEFINED 1 893,075 KIMCO REALTY CORP DEFINED 3 255,800 56,400 KIMCO RLTY CORP DEFINED 2 400 KING WORLD PRODUCTIONS DEFINED 1 2,500 KINGFISHER DEFINED 2 40,000 KLA TENCOR CORP DEFINED 2 9,900 KLA-TENCOR CORP DEFINED 1 3,275 KLM ROYAL DUTCH AIRLS DEFINED 2 14,000 KMART FINANCING 7.75% PFD DEFINED 1 60,000 KN ENERGY INC. DEFINED 1 5,700 KNIGHT RIDDER INC. DEFINED 1 3,600 KNIGHT TRIMARK GROUP DEFINED 2 10,000 KNIGHT/TRIMARK GRP DEFINED 3 357,200 15,400 KNIGHTSBRIDGE TANKERS LTD DEFINED 2 32,000 KOGER EQUITY INC DEFINED 2 3,500 KOHLS CORPORATION DEFINED 1 7,000 KOMAG INC DEFINED 2 35,800 KONINKLIJKE PHILIPS ELECTRS NV DEFINED 2 3,000 KONINKLIJKE PHILIPS ELECTRS NV DEFINED 2 500 KOREA ELEC POWER CORP-SP ADR DEFINED 1 164,000 KOREA ELEC PWR CORP DEFINED 2 10,700 KOREA FUND INC DEFINED 1 133,000 KRAUSES FURNITURE INC DEFINED 2 173,100 KROGER CO. DEFINED 1 33,700 KROLL O GARA CO DEFINED 2 171,800 KROLL-O'GARA COMPANY DEFINED 1 1,444,212 L OREAL DEFINED 2 160 LA Z BOY INC DEFINED 2 6,900 LAB HLDGS INC DEFINED 2 31,700 LABONE INC DEFINED 2 3,500 LACLEDE GAS CO DEFINED 2 26,700 LAFARGE DEFINED 2 742 LAIDLAW INC. DEFINED 1 12,500 LAM RESH CORP DEFINED 2 18,100 LAMONTS APPAREL INC DEFINED 1 34,222 Page 25 of 49

28 File Number 28-219 (Consolidated) As of 6/30/99 LANCASTER COLONY CORP COM 513847103 129 3,750 SH LANCASTER COLONY CORP COM 513847103 797 30,000 SH LANCE INC COM 514606102 225 14,400 SH LANCE INC COM 514606102 1,113 70,100 SH LANDAMERICA FINL GROUP INC COM 514936103 17 600 SH LANDRYS SEAFOOD REST INC COM 51508L103 179 28,000 SH LANDS END INC COM 515086106 140 2,900 SH LAS VEGAS ENTER NETWRK CO COM 517669305 0 90,629 SH LASALLE RE HOLDINGS LTD COM G5383Q101 881 30,000 SH LASON HLDGS INC COM 51808R107 528 9,400 SH LATTICE SEMICONDUCTOR CORP COM 518415104 632 13,900 SH LAUDER ESTEE COS INC COM 518439104 567 6,000 SH LEAR CORP COM 521865105 867 20,300 SH LEAR CORPORATION COM 521865105 289 5,800 SH LEARNING CO INC COM 522008101 458 15,800 SH LEE ENTERPRISES INC COM 523768109 110 3,600 SH LEGATO SYSTEMS INC COM 524651106 196 3,400 SH LEGATO SYSTEMS INC COM 524651106 3,392 65,800 SH LEGGETT & PLATT INC. COM 524660107 470 16,900 SH LEHMAN BROTHERS HLDGS INC COM 524908100 896 15,000 SH LEHMAN BROTHERS HOLDING INC COM 524908100 236 3,800 SH LEINER HEALTH PRODUCTS INC. NEW COM 525367108 364 3,640 SH LEINER HEALTH PRODUCTS INC. WARRANTS COM 525996112 43 8,925 SH LEVEL 3 COMMUNICATIONS INC COM 52729N100 3,713 50,990 SH LEXMARK INTL GROUP - CL A COM 529771107 799 12,200 SH LG&E ENERGY CORP COM 501917108 250 11,900 SH LIBBEY INC COM 529898108 90 2,900 SH LIBERTY FINANCIAL COMPANIES COM 530512102 628 25,000 SH LIBERTY PPTY COM 531172104 11,059 444,600 SH LIBERTY PROPERTY COM 531172104 66 3,200 SH LIFE FINL CORP COM 53184P101 25 8,000 SH LIFEPOINT HOSPITAL INC COM 53219L109 0 9 SH LIFEPOINT HOSPITALS INC. W/I COM 53219L109 0 1 SH LILLY ELI + CO COM 532457108 5,346 62,990 SH LIMITED INC COM 532716107 454 10,000 SH LIMITED INC COM 532716107 424 10,700 SH LINCARE HLDGS INC COM 532791100 1,313 46,800 SH LINCARE HOLDINGS INC COM 532791100 125 5,000 SH LINCOLN NATIONAL CORP COM 534187109 55 1,050 SH LINCOLN NATIONAL CORP. COM 534187109 544 10,400 SH LINEAR TECHNOLOGY CORP COM 535678106 874 13,000 SH LINEAR TECHNOLOGY CORP COM 535678106 1,040 20,270 SH LINENS N THINGS INC COM 535679104 43,273 989,100 SH LITCHFIELD FINL CORP COM 536619109 13,174 777,813 SH LITTELFUSE INC COM 537008104 551 30,000 SH LITTON INDS INC COM 538021106 296 4,100 SH LIZ CLAIBORNE INC COM 539320101 102 2,800 SH LOCKHEED MARTIN CORP COM 539830109 842 22,600 SH LOCKHEED MARTIN CORP COM 539830109 328 8,700 SH LOEWS CORP. COM 540424108 411 5,200 SH LANCASTER COLONY CORP DEFINED 1 3,750 LANCASTER COLONY CORP DEFINED 2 30,000 LANCE INC DEFINED 1 14,400 LANCE INC DEFINED 2 70,100 LANDAMERICA FINL GROUP INC DEFINED 2 600 LANDRYS SEAFOOD REST INC DEFINED 2 28,000 LANDS END INC DEFINED 1 2,900 LAS VEGAS ENTER NETWRK CO DEFINED 2 90,629 LASALLE RE HOLDINGS LTD DEFINED 1 30,000 LASON HLDGS INC DEFINED 2 9,400 LATTICE SEMICONDUCTOR CORP DEFINED 2 13,900 LAUDER ESTEE COS INC DEFINED 2 6,000 LEAR CORP DEFINED 2 20,300 LEAR CORPORATION DEFINED 1 5,800 LEARNING CO INC DEFINED 2 15,800 LEE ENTERPRISES INC DEFINED 1 3,600 LEGATO SYSTEMS INC DEFINED 1 3,400 LEGATO SYSTEMS INC DEFINED 2 65,800 LEGGETT & PLATT INC. DEFINED 1 16,900 LEHMAN BROTHERS HLDGS INC DEFINED 2 15,000 LEHMAN BROTHERS HOLDING INC DEFINED 1 3,800 LEINER HEALTH PRODUCTS INC. NEW DEFINED 1 3,640 LEINER HEALTH PRODUCTS INC. WARRANTS DEFINED 1 8,925 LEVEL 3 COMMUNICATIONS INC DEFINED 2 50,990 LEXMARK INTL GROUP - CL A DEFINED 1 12,200 LG&E ENERGY CORP DEFINED 1 11,900 LIBBEY INC DEFINED 2 2,900 LIBERTY FINANCIAL COMPANIES DEFINED 1 25,000 LIBERTY PPTY DEFINED 3 365,100 79,500 LIBERTY PROPERTY DEFINED 2 3,200 LIFE FINL CORP DEFINED 2 8,000 LIFEPOINT HOSPITAL INC DEFINED 2 9 LIFEPOINT HOSPITALS INC. W/I DEFINED 1 1 LILLY ELI + CO DEFINED 2 62,990 LIMITED INC DEFINED 1 10,000 LIMITED INC DEFINED 2 10,700 LINCARE HLDGS INC DEFINED 2 46,800 LINCARE HOLDINGS INC DEFINED 1 5,000 LINCOLN NATIONAL CORP DEFINED 2 1,050 LINCOLN NATIONAL CORP. DEFINED 1 10,400 LINEAR TECHNOLOGY CORP DEFINED 1 13,000 LINEAR TECHNOLOGY CORP DEFINED 2 20,270 LINENS N THINGS INC DEFINED 3 969,700 19,400 LITCHFIELD FINL CORP DEFINED 3 762,613 15,200 LITTELFUSE INC DEFINED 2 30,000 LITTON INDS INC DEFINED 1 4,100 LIZ CLAIBORNE INC DEFINED 1 2,800 LOCKHEED MARTIN CORP DEFINED 1 22,600 LOCKHEED MARTIN CORP DEFINED 2 8,700 LOEWS CORP. DEFINED 1 5,200 Page 26 0f 49

29 File Number 28-219 (Consolidated) As of 6/30/99 LO-JACK CORPORATION COM 539451104 2,010 240,000 SH LONE STAR INDS INC COM 542290408 217 7,000 SH LONE STAR STEAKHOUSE + SALOON COM 542307103 71 6,900 SH LONE STAR STEAKHOUSE S COM 542307103 34 3,500 SH LONGS DRUG STORES INC COM 543162101 41 1,200 SH LONGVIEW FIBRE COM 543213102 70 4,500 SH LORAL SPACE + COMMUNICATIONS COM G56462107 884 61,200 SH LOUISIANA PACIFIC COM 546347105 103 4,300 SH LOWE'S COMPANIES COM 548661107 754 13,300 SH LSI LOGIC CORP COM 502161102 240 5,200 SH LTC PROPERTIES COM 502175102 3,374 259,500 SH LUBRIZOL CORP COM 549271104 450 20,000 SH LUBRIZOL CORP. COM 549271104 142 5,200 SH LUBYS CAFETERIAS INC COM 549282101 386 22,900 SH LUCENT TECHNOLOGIES COM 549463107 23,620 350,252 SH LUCENT TECHNOLOGIES COM 549463107 21,686 217,316 SH LYCOS INC COM 550818108 1,489 17,300 SH LYONDELL CHEMICAL COMPANY COM 552078107 198 9,600 SH MAC GRAY CORP COM 554153106 891 97,000 SH MACDERMID INC COM 554273102 16,298 350,500 SH MACERICH CO COM 554382101 7,038 268,100 SH MACK CA RLTY CORP COM 554489104 235 8,000 SH MACK CALI REALTY CORP COM 554489104 9,207 297,600 SH MACROMEDIA INC COM 556100105 2,315 51,100 SH MADECO SA-ADR COM 5563041038 197 19,500 SH MAGELLAN HEALTH SVCS INC COM 559079108 36 8,700 SH MAGNA INTL. 4.875% 2/15/05 CVT 559222AF1 294 3,000 SH MAGNETEK INC COM 559424106 23 2,200 SH MAGNETEK INC COM 559424106 84 10,000 SH MAHANAGAR TELE NIGAM-GDR COM 559778204 442 51,500 SH MAHANAGAR TELEP NI COM 559778204 21 2,000 SH MAKER COMMUNICATIONS COM 560875106 1,380 44,500 SH MALLINCKRODT GROUP INC COM 561232109 105 2,900 SH MALLINCKRODT INC NEW COM 561232109 29 1,100 SH MANDALAY RESORT GROUP COM 562567107 178 8,400 SH MANPOWER INC COM 56418H100 158 7,000 SH MANPOWER INC WIS COM 56418H100 281 12,000 SH MANUFACTURED HOME CMNT COM 564682102 6,170 237,300 SH MANUFACTURED HOME CMNTYS INC COM 564682102 401 16,700 SH MANUFACTURED HOME COMMUNITIES COM 564682102 4,680 180,000 SH MAPQUEST COM INC COM 565644101 3,044 186,600 SH MARINE DRILLING COS INC COM 568240204 385 35,000 SH MARK IV INDS INC COM 570387100 97 4,600 SH MARK IV INDS INC COM 570387100 179 13,700 SH MARKETWATCH COM INC COM 570619106 37 500 SH MARRIOTT INTERNATIONAL-CL A COM 571903202 2,825 75,576 SH MARRIOTT INTL INC NEW COM 571903202 1,150 34,200 SH MARSH & MC LENNAN COM 571748102 16,928 223,650 SH MARSH + MCLENNAN COS INC COM 571748102 163 2,200 SH MARSHALL & ILSLY CORP COM 571834100 573 8,900 SH LO-JACK CORPORATION DEFINED 1 240,000 LONE STAR INDS INC DEFINED 2 7,000 LONE STAR STEAKHOUSE + SALOON DEFINED 2 6,900 LONE STAR STEAKHOUSE S DEFINED 1 3,500 LONGS DRUG STORES INC DEFINED 1 1,200 LONGVIEW FIBRE DEFINED 1 4,500 LORAL SPACE + COMMUNICATIONS DEFINED 2 61,200 LOUISIANA PACIFIC DEFINED 1 4,300 LOWE'S COMPANIES DEFINED 1 13,300 LSI LOGIC CORP DEFINED 1 5,200 LTC PROPERTIES DEFINED 3 209,000 50,500 LUBRIZOL CORP DEFINED 2 20,000 LUBRIZOL CORP. DEFINED 1 5,200 LUBYS CAFETERIAS INC DEFINED 2 22,900 LUCENT TECHNOLOGIES DEFINED 1 350,252 LUCENT TECHNOLOGIES DEFINED 2 217,316 LYCOS INC DEFINED 2 17,300 LYONDELL CHEMICAL COMPANY DEFINED 1 9,600 MAC GRAY CORP DEFINED 2 97,000 MACDERMID INC DEFINED 3 343,200 7,300 MACERICH CO DEFINED 3 221,600 46,500 MACK CA RLTY CORP DEFINED 2 8,000 MACK CALI REALTY CORP DEFINED 3 244,100 53,500 MACROMEDIA INC DEFINED 2 51,100 MADECO SA-ADR DEFINED 1 19,500 MAGELLAN HEALTH SVCS INC DEFINED 2 8,700 MAGNA INTL. 4.875% 2/15/05 DEFINED 1 3,000 MAGNETEK INC DEFINED 1 2,200 MAGNETEK INC DEFINED 2 10,000 MAHANAGAR TELE NIGAM-GDR DEFINED 1 51,500 MAHANAGAR TELEP NI DEFINED 2 2,000 MAKER COMMUNICATIONS DEFINED 3 44,500 MALLINCKRODT GROUP INC DEFINED 1 2,900 MALLINCKRODT INC NEW DEFINED 2 1,100 MANDALAY RESORT GROUP DEFINED 1 8,400 MANPOWER INC DEFINED 1 7,000 MANPOWER INC WIS DEFINED 2 12,000 MANUFACTURED HOME CMNT DEFINED 3 195,500 41,800 MANUFACTURED HOME CMNTYS INC DEFINED 2 16,700 MANUFACTURED HOME COMMUNITIES DEFINED 1 180,000 MAPQUEST COM INC DEFINED 3 183,400 3,200 MARINE DRILLING COS INC DEFINED 2 35,000 MARK IV INDS INC DEFINED 1 4,600 MARK IV INDS INC DEFINED 2 13,700 MARKETWATCH COM INC DEFINED 2 500 MARRIOTT INTERNATIONAL-CL A DEFINED 1 75,576 MARRIOTT INTL INC NEW DEFINED 2 34,200 MARSH & MC LENNAN DEFINED 1 223,650 MARSH + MCLENNAN COS INC DEFINED 2 2,200 MARSHALL & ILSLY CORP DEFINED 1 8,900 Page 27 of 49

30 File Number 28-219 (Consolidated) As of 6/30/99 MARTIN MARIETTA MATERIALS INC COM 573284106 236 4,000 SH MARTIN MARIETTA MATLS INC COM 573284106 3,258 57,100 SH MASCO CORP COM 574599106 375 13,000 SH MASCO CORP COM 574599106 2,011 71,200 SH MASISA SA-ADR COM 574799102 185 17,600 SH MATAV RT-SPONSORED ADR COM 559776109 265 9,625 SH MATTEL INC COM 577081102 2,438 97,386 SH MATTEL INC. COM 577081102 355 13,600 SH MAXIM INTEGRATED PRODS COM 57772K101 798 12,000 SH MAXIM INTEGRATED PRODS INC COM 57772K101 1,341 24,800 SH MAXIMUS INC COM 577933104 36,147 1,257,300 SH MAXXAM INC COM 577913106 52 800 SH MAXXIM MED INC COM 57777G105 68 3,600 SH MAY DEPARTMENT STORES COM 577778103 989 24,200 SH MAY DEPT STORES CO COM 577778103 5,119 130,848 SH MAYTAG CO. COM 578592107 258 3,700 SH MAYTAG CORP COM 578592107 12 200 SH MBIA INC COM 55262C100 70 1,200 SH MBIA INC. COM 55262C100 259 4,000 SH MBNA CORP COM 55262L100 899 29,365 SH MBNA CORP COM 55262L100 511 21,400 SH MBNA CORP COM 55262L100 7,001 228,600 SH MC DONALDS CORP. COM 580135101 13,148 319,700 SH McCORMICK & CO. COM 579780206 215 6,800 SH MCDERMOTT INTERNATIONAL COM 580037109 59 2,100 SH MCDERMOTT INTL INC COM 580037109 749 29,600 SH MCDONALDS CORP COM 580135101 10,109 223,100 SH MCGRAW HILL CORP COM 580645109 1,483 27,500 SH MCI WORLDCOM COM 552688106 521 5,885 SH MCI WORLDCOM COM 552688106 503 5,843 SH MCI WORLDCOM INC COM 55268B106 16,946 196,907 SH MCI WORLDCOM INC COM 55268B106 36,435 411,535 SH MCKESSON HBOC INC COM 58155Q103 299 9,294 SH MCKESSON HBOC INC COM 58155Q103 6,322 95,790 SH MCN ENERGY GROUP INC. COM 55267J100 149 7,200 SH MDU RES GROUP INC COM 552690109 48 2,100 SH MEAD CORP COM 582834107 175 4,200 SH MEDE AMER CORP COM 584067102 4,152 110,000 SH MEDIA GEN INC COM 584404107 122 2,400 SH MEDIA METRIX INC COM 58440X103 799 15,000 SH MEDIAONE GROUP INC COM 58440J104 1,726 23,200 SH MEDIAONE GROUP INC COM 58440J104 9,418 148,200 SH MEDICIS PHARMACEUTICAL COM 584690309 28,867 1,137,600 SH MEDICIS PHARMACEUTICAL CORP COM 584690309 300 10,000 SH MEDIMMUNE INC COM 584699102 318 4,700 SH MEDIMMUNE INC COM 584699102 6,804 114,950 SH MEDIOLANUM COM 553519901 1,987 74,680 SH MEDITRUST CORP PAIRED COM 58501T306 14,985 1,147,200 SH MEDTRONIC INC COM 585055106 1,830 25,500 SH MEDTRONIC INC. COM 585055106 1,768 22,700 SH MARTIN MARIETTA MATERIALS INC DEFINED 1 4,000 MARTIN MARIETTA MATLS INC DEFINED 2 57,100 MASCO CORP DEFINED 1 13,000 MASCO CORP DEFINED 2 71,200 MASISA SA-ADR DEFINED 1 17,600 MATAV RT-SPONSORED ADR DEFINED 1 9,625 MATTEL INC DEFINED 2 97,386 MATTEL INC. DEFINED 1 13,600 MAXIM INTEGRATED PRODS DEFINED 1 12,000 MAXIM INTEGRATED PRODS INC DEFINED 2 24,800 MAXIMUS INC DEFINED 3 1,232,900 24,400 MAXXAM INC DEFINED 1 800 MAXXIM MED INC DEFINED 2 3,600 MAY DEPARTMENT STORES DEFINED 1 24,200 MAY DEPT STORES CO DEFINED 2 130,848 MAYTAG CO. DEFINED 1 3,700 MAYTAG CORP DEFINED 2 200 MBIA INC DEFINED 2 1,200 MBIA INC. DEFINED 1 4,000 MBNA CORP DEFINED 1 29,365 MBNA CORP DEFINED 2 21,400 MBNA CORP DEFINED 3 228,600 MC DONALDS CORP. DEFINED 1 319,700 McCORMICK & CO. DEFINED 1 6,800 MCDERMOTT INTERNATIONAL DEFINED 1 2,100 MCDERMOTT INTL INC DEFINED 2 29,600 MCDONALDS CORP DEFINED 2 223,100 MCGRAW HILL CORP DEFINED 1 27,500 MCI WORLDCOM DEFINED 2 5,885 MCI WORLDCOM DEFINED 2 5,843 MCI WORLDCOM INC DEFINED 1 196,907 MCI WORLDCOM INC DEFINED 2 411,535 MCKESSON HBOC INC DEFINED 1 9,294 MCKESSON HBOC INC DEFINED 2 95,790 MCN ENERGY GROUP INC. DEFINED 1 7,200 MDU RES GROUP INC DEFINED 2 2,100 MEAD CORP DEFINED 1 4,200 MEDE AMER CORP DEFINED 3 110,000 MEDIA GEN INC DEFINED 1 2,400 MEDIA METRIX INC DEFINED 3 15,000 MEDIAONE GROUP INC DEFINED 1 23,200 MEDIAONE GROUP INC DEFINED 2 148,200 MEDICIS PHARMACEUTICAL DEFINED 3 1,112,700 24,900 MEDICIS PHARMACEUTICAL CORP DEFINED 2 10,000 MEDIMMUNE INC DEFINED 1 4,700 MEDIMMUNE INC DEFINED 2 114,950 MEDIOLANUM DEFINED 2 74,680 MEDITRUST CORP PAIRED DEFINED 3 944,900 202,300 MEDTRONIC INC DEFINED 2 25,500 MEDTRONIC INC. DEFINED 1 22,700 Page 28 of 49

31 File Number 28-219 (Consolidated) As of 6/30/99 MELLON BANK CORP COM 585509102 793 21,800 SH MELLON BK CORP COM 585509102 5,982 85,000 SH MENTOR GRAPHICS COM 587200106 72 5,600 SH MERCANTILE BANCORPORAT COM 587342106 343 6,000 SH MERCANTILE BANCORPORATION INC COM 587342106 2,294 48,300 SH MERCANTILE BANCORPORTN COM 587342106 4,142 72,500 SH MERCANTILE BANKSHARES CORP COM 587405101 822 23,250 SH MERCANTILE BANKSHARES CORP COM 587405101 734 20,100 SH MERCK & CO INC COM 589331107 18,648 234,050 SH MERCK & CO. COM 589331107 25,669 348,640 SH MEREDITH CORP COM 589433101 62 1,800 SH MERISTAR HOSPITALITY COM 58984y103 305 13,600 SH MERITOR AUTOMOTIVE INC COM 59000G100 145 5,699 SH MERRILL LYNCH & CO. COM 590188108 1,089 13,700 SH MERRILL LYNCH + CO INC COM 590188108 7,597 85,900 SH MESABA HLDGS INC COM 59066B102 265 20,000 SH META GROUP INC COM 591002100 673 43,800 SH METHODE ELECTRS INC COM 591520200 231 21,000 SH METRIS COS INC COM 591598107 143 3,601 SH METRIS COS INC COM 591598107 72,918 1,789,388 SH METRO AG COM 504141904 382 6,100 SH METROCALL STOCKS COM 591647102 0 40,000 SH METTLER-TOLEDO INTERNATIONAL COM 592688105 15,010 588,631 SH METZLER GROUP INC COM 592903108 622 19,900 SH METZLER GROUP INC COM 592903108 46,134 1,670,000 SH MEYER FRED INC DEL NEW COM 592907109 841 14,280 SH MGI PPTYS COM 552885105 30 1,100 SH MGIC INVESTMENT CORP COM 552848103 263 5,400 SH MGIC INVT CORP WIS COM 552848103 214 6,100 SH MGIC INVT CORP WIS COM 552848103 5,519 113,500 SH MGM GRAND INC COM 552953101 842 25,035 SH MIAMI CRUISELINE SERVICES HOLD I CX B COM 593993108 1,604 3,333 SH MICHAELS STORES INC SUB NT CV6.75%03 CVT 594087ac2 593 600,000 SH MICRO WHSE INC COM 59501B105 54 3,000 SH MICROCHIP TECHNOLOGY INCORPORATED COM 595017104 218 4,600 SH MICROMUSE INC COM 595094103 4,393 95,500 SH MICRON 7.0% 7/1/04 CVT 595112AB9 202 2,000 SH MICRON TECHNOLOGY INC COM 595112103 324 8,000 SH MICRON TECHNOLOGY INC COM 595112103 241 5,000 SH MICROSOFT COM 594918104 61,787 685,090 SH MICROSOFT CORP COM 594918104 61,821 690,010 SH MIDAMERICAN ENERGY HOLDINGS CO COM 59562V107 177 5,100 SH MIDCOAST ENERGY RES COM 59563W104 2,306 143,000 SH MIDWEST EXPRESS HLDGS INC COM 597911106 97 3,300 SH MILACRON INC COM 598709103 24 1,300 SH MILACRON INC COM 598709103 33 2,100 SH MILLENNIUM CHEMICALS INC COM 599903101 225 11,300 SH MILLENNIUM PHARMACEUTICALS COM 599902103 625 20,000 SH MILLER HERMAN COM 600544100 153 7,300 SH MILLER HERMAN INC COM 600544100 471 26,100 SH MELLON BANK CORP DEFINED 1 21,800 MELLON BK CORP DEFINED 2 85,000 MENTOR GRAPHICS DEFINED 1 5,600 MERCANTILE BANCORPORAT DEFINED 1 6,000 (C) MERCANTILE BANCORPORATION INC DEFINED 2 48,300 MERCANTILE BANCORPORTN DEFINED 3 59,800 12,700 MERCANTILE BANKSHARES CORP DEFINED 1 23,250 MERCANTILE BANKSHARES CORP DEFINED 2 20,100 MERCK & CO INC DEFINED 2 234,050 MERCK & CO. DEFINED 1 348,640 MEREDITH CORP DEFINED 1 1,800 MERISTAR HOSPITALITY DEFINED 3 13,600 MERITOR AUTOMOTIVE INC DEFINED 1 5,699 MERRILL LYNCH & CO. DEFINED 1 13,700 MERRILL LYNCH + CO INC DEFINED 2 85,900 MESABA HLDGS INC DEFINED 2 20,000 META GROUP INC DEFINED 2 43,800 METHODE ELECTRS INC DEFINED 2 21,000 METRIS COS INC DEFINED 2 3,601 METRIS COS INC DEFINED 3 1,723,452 65,936 METRO AG DEFINED 2 6,100 METROCALL STOCKS DEFINED 2 40,000 METTLER-TOLEDO INTERNATIONAL DEFINED 1 588,631 METZLER GROUP INC DEFINED 2 19,900 METZLER GROUP INC DEFINED 3 1,609,200 60,800 MEYER FRED INC DEL NEW DEFINED 2 14,280 MGI PPTYS DEFINED 2 1,100 MGIC INVESTMENT CORP DEFINED 1 5,400 MGIC INVT CORP WIS DEFINED 2 6,100 MGIC INVT CORP WIS DEFINED 3 82,100 31,400 MGM GRAND INC DEFINED 2 25,035 MIAMI CRUISELINE SERVICES HOLD I CX B DEFINED 1 3,333 MICHAELS STORES INC SUB NT CV6.75%03 DEFINED 3 600,000 MICRO WHSE INC DEFINED 1 3,000 MICROCHIP TECHNOLOGY INCORPORATED DEFINED 1 4,600 MICROMUSE INC DEFINED 2 95,500 MICRON 7.0% 7/1/04 DEFINED 1 2,000 MICRON TECHNOLOGY INC DEFINED 1 8,000 MICRON TECHNOLOGY INC DEFINED 2 5,000 MICROSOFT DEFINED 1 685,090 MICROSOFT CORP DEFINED 2 690,010 MIDAMERICAN ENERGY HOLDINGS CO DEFINED 1 5,100 MIDCOAST ENERGY RES DEFINED 3 143,000 MIDWEST EXPRESS HLDGS INC DEFINED 2 3,300 MILACRON INC DEFINED 1 1,300 MILACRON INC DEFINED 2 2,100 MILLENNIUM CHEMICALS INC DEFINED 2 11,300 MILLENNIUM PHARMACEUTICALS DEFINED 2 20,000 MILLER HERMAN DEFINED 1 7,300 MILLER HERMAN INC DEFINED 2 26,100 Page 29 0f 49

32 File Number 28-219 (Consolidated) As of 6/30/99 MILLIPORE CORP COM 601073109 69 1,700 SH MILLIPORE CORP COM 601073109 18,456 455,000 SH MILLS COPORATION COM 601148109 3,253 150,000 SH MINAS BUENAVENTURA-SPON ADR COM 204448104 168 11,000 SH MINDSPRING ENTERPRISES INC COM 602683104 567 6,600 SH MINERALS TECHNOLOGIES INC COM 603158106 112 2,000 SH MINERALS TECHNOLOGIES INC COM 603158106 912 19,000 SH MINNESOTA MINING & MFG. COM 604059105 1,452 16,700 SH MINNESOTA MNG + MFG CO COM 604059105 6,576 92,949 SH MINNESOTA POWER, INC COM 604110106 115 5,800 SH MIRAGE RESORTS INC COM 60462E1047 124 7,400 SH MIRAGE RESORTS INC COM 60462E104 799 38,296 SH MITCHELL ENERGY + DEV CORP COM 606592301 225 18,000 SH MITEL CORP COM 606711109 1,809 275,125 SH MMC NETWORKS INC COM 55308N102 17,564 392,500 SH MOBIL CORP COM 607059102 11,492 129,550 SH MOBIL CORP. COM 607059102 3,985 40,350 SH MOBILE MINI COM 60740F105 1,072 54,800 SH MODINE MFG CO COM 607828100 81 2,500 SH MODIS PROFESSIONAL SERVICES COM 607830106 138 10,200 SH MOHAWK INDS INC COM 608190104 1,680 56,000 SH MOHAWK INDUSTRIES INC COM 608190104 161 5,300 SH MOLEX INC COM 608554101 506 13,686 SH MOLEX INC COM 608554200 839 32,500 SH MOLEX INC COM 608554101 492 16,737 SH MONSANTO COMPANY COM 611662107 942 23,800 SH MONTANA POWER CO COM 612085100 338 4,800 SH MONTANA PWR CO COM 612085100 736 10,000 SH MONY GROUP INC COM 615337102 62 2,500 SH MOOG INC COM 615394202 70 2,300 SH MOORE CORP COM 615785102 1,622 184,750 SH MORGAN J P + CO INC COM 616880100 5,737 46,497 SH MORGAN J.P. COM 616880100 1,068 7,600 SH MORGAN STANLEY ASIA PAC FD INC COM 61744U106 656 82,000 SH MORGAN STANLEY DEAN WITTER COM 617446448 20,933 208,995 SH MORGAN STANLEY DEAN WITTER & CO COM 617446448 24,650 240,191 SH MORGAN STANLEY DW INDIA INVESTMENT FU COM 61745C105 291 30,000 SH MOTOROLA INC COM 620076109 2,246 23,700 SH MOTOROLA INC COM 620076109 9,437 125,750 SH MOVADO GROUP INC COM 624580106 1,304 52,200 SH MTI HOLDING INC COMMON COM 553769100 0 104,164 SH MULTEX SYS INC COM 625367107 2,405 38,500 SH MURATA MFG CO COM 661040006 692 13,000 SH MURPHY OIL CORP COM 626717102 190 3,900 SH MURPHY OIL CORP COM 626717102 266 6,400 SH MYLAN LABORATORIES COM 628530107 313 11,800 SH MYLAN LABS INC COM 628530107 5,740 216,600 SH NABISCO GROUP HOLDINGS COM 62952P102 284 14,500 SH NABISCO HLDGS CORP COM 629526104 1,135 27,300 SH NABORS INDS INC COM 629568106 212 8,700 SH MILLIPORE CORP DEFINED 1 1,700 MILLIPORE CORP DEFINED 3 444,700 10,300 MILLS COPORATION DEFINED 1 150,000 MINAS BUENAVENTURA-SPON ADR DEFINED 1 11,000 MINDSPRING ENTERPRISES INC DEFINED 2 6,600 MINERALS TECHNOLOGIES INC DEFINED 1 2,000 MINERALS TECHNOLOGIES INC DEFINED 2 19,000 MINNESOTA MINING & MFG. DEFINED 1 16,700 MINNESOTA MNG + MFG CO DEFINED 2 92,949 MINNESOTA POWER, INC DEFINED 1 5,800 MIRAGE RESORTS INC DEFINED 1 7,400 MIRAGE RESORTS INC DEFINED 2 38,296 MITCHELL ENERGY + DEV CORP DEFINED 2 18,000 MITEL CORP DEFINED 1 275,125 MMC NETWORKS INC DEFINED 3 384,500 8,000 MOBIL CORP DEFINED 2 129,550 MOBIL CORP. DEFINED 1 40,350 MOBILE MINI DEFINED 3 54,800 MODINE MFG CO DEFINED 1 2,500 MODIS PROFESSIONAL SERVICES DEFINED 1 10,200 MOHAWK INDS INC DEFINED 2 56,000 MOHAWK INDUSTRIES INC DEFINED 1 5,300 MOLEX INC DEFINED 1 13,686 MOLEX INC DEFINED 2 32,500 MOLEX INC DEFINED 2 16,737 MONSANTO COMPANY DEFINED 1 23,800 MONTANA POWER CO DEFINED 1 4,800 MONTANA PWR CO DEFINED 2 10,000 MONY GROUP INC DEFINED 2 2,500 MOOG INC DEFINED 2 2,300 MOORE CORP DEFINED 1 184,750 MORGAN J P + CO INC DEFINED 2 46,497 MORGAN J.P. DEFINED 1 7,600 MORGAN STANLEY ASIA PAC FD INC DEFINED 2 82,000 MORGAN STANLEY DEAN WITTER DEFINED 2 208,995 MORGAN STANLEY DEAN WITTER & CO DEFINED 1 240,191 MORGAN STANLEY DW INDIA INVESTMENT FU DEFINED 1 30,000 MOTOROLA INC DEFINED 1 23,700 MOTOROLA INC DEFINED 2 125,750 MOVADO GROUP INC DEFINED 2 52,200 MTI HOLDING INC COMMON DEFINED 2 104,164 MULTEX SYS INC DEFINED 2 38,500 MURATA MFG CO DEFINED 2 13,000 MURPHY OIL CORP DEFINED 1 3,900 MURPHY OIL CORP DEFINED 2 6,400 MYLAN LABORATORIES DEFINED 1 11,800 MYLAN LABS INC DEFINED 3 188,300 28,300 NABISCO GROUP HOLDINGS DEFINED 1 14,500 NABISCO HLDGS CORP DEFINED 2 27,300 NABORS INDS INC DEFINED 1 8,700 Page 30 0f 49

33 File Number 28-219 (Consolidated) As of 6/30/99 NAC RE CORP COM 628907107 413 7,700 SH NACCO INDUSTRIES -CL A COM 629579103 29 400 SH NALCO CHEM CO COM 629853102 5,814 218,868 SH NALCO CHEMICAL CO COM 629853102 130 2,500 SH NALE LABORATORIES WARRANTS COM 629857111 400 26,000 SH NANOGEN INC COM 630075109 3,438 500,000 SH NANOGEN INC COM 630075109 185 20,000 SH NATIONAL AUSTRALIA BK 7.875% PFD CVT 632525309 3,797 125,000 SH NATIONAL CITY CORP COM 635405103 878 13,400 SH NATIONAL CITY CORP COM 635405103 976 14,700 SH NATIONAL COMM BANCORP COM 635449101 342 15,000 SH NATIONAL DATA CORP COM 635621105 399 9,500 SH NATIONAL EQUIPMENT SERV COM 635847106 0 75,000 SH NATIONAL FUEL GAS CO N COM 636180101 160 3,300 SH NATIONAL FUEL GAS CO N J COM 636180101 279 7,100 SH NATIONAL INSTRS CORP COM 636518102 382 13,550 SH NATIONAL PRESTO INDS INC COM 637215104 2,112 59,600 SH NATIONAL SEMICONDUCTER 6.5% 10/01/02 CVT 637640AB9 143 1,500 SH NATIONAL SEMICONDUCTOR COM 637640103 144 5,700 SH NATIONAL SERVICE INDS INC COM 637657107 50 1,400 SH NATIONAL SVC INDS INC COM 637657107 4,579 134,438 SH NATIONWIDE HEALTH PPTY COM 638620104 6,729 353,000 SH NAUTICA ENTERPRISES INC COM 639089101 101 8,900 SH NAVISTAR INTERNATIONAL COM 63934E1082 135 2,700 SH NCH CORP. COM 628850109 30 600 SH NEOMAGIC CORP COM 640497103 64 6,400 SH NEON SYS INC COM 640509105 553 10,200 SH NETGRAVITY INC COM 641114103 2,852 69,000 SH NETWORK APPLIANCE INC COM 64120L104 4,250 83,900 SH NETWORK EQUIP TECHNOLOGIES COM 641208103 286 32,000 SH NETWORK SOLUTIONS INC COM 64121q102 26,863 339,500 SH NETWORK SOLUTIONS INC DEL COM 64121Q102 3,976 37,600 SH NETWORKS ASSOCIATES INC COM 640938106 166 11,300 SH NETWORKS ASSOCS INC COM 640938106 199 6,500 SH NEVADA POWER CO COM 641423108 105 4,200 SH NEVADA PWR CO COM 641423108 1,015 41,000 SH NEW CENTURY ENERGIES COM 64352U103 190 4,900 SH NEW ENGLAND ELEC SYS COM 644001109 281 5,600 SH NEW JERSEY RES CORP COM 646025106 64 1,800 SH NEW PLAN EXCEL REALTY COM 648053106 11,255 625,300 SH NEW YORK TIMES COM 650111107 283 7,700 SH NEW YORK TIMES CO COM 650111107 46 1,600 SH NEWBRIDGE NETWORKS COM 650901101 2,914 101,800 SH NEWCOURT CR GROUP INC COM 650905102 280 10,350 SH NEWELL RUBBERMAID INC COM 651229106 660 14,237 SH NEWELL RUBBERMAID INC COM 651229106 5,742 120,874 SH NEWFIELD EXPL CO COM 651290108 317 14,000 SH NEWMONT MINING CORP COM 651639106 122 6,133 SH NEWPORT NEWS SHIPBUILDING COM 652228107 74 2,500 SH NEWS CORP LTD COM 652487802 1,185 43,100 SH NAC RE CORP DEFINED 2 7,700 NACCO INDUSTRIES -CL A DEFINED 1 400 NALCO CHEM CO DEFINED 2 218,868 NALCO CHEMICAL CO DEFINED 1 2,500 NALE LABORATORIES WARRANTS DEFINED 1 26,000 NANOGEN INC DEFINED 1 500,000 NANOGEN INC DEFINED 2 20,000 NATIONAL AUSTRALIA BK 7.875% PFD DEFINED 1 125,000 NATIONAL CITY CORP DEFINED 1 13,400 NATIONAL CITY CORP DEFINED 2 14,700 NATIONAL COMM BANCORP DEFINED 2 15,000 NATIONAL DATA CORP DEFINED 2 9,500 NATIONAL EQUIPMENT SERV DEFINED 2 75,000 NATIONAL FUEL GAS CO N DEFINED 1 3,300 NATIONAL FUEL GAS CO N J DEFINED 2 7,100 NATIONAL INSTRS CORP DEFINED 2 13,550 NATIONAL PRESTO INDS INC DEFINED 2 59,600 NATIONAL SEMICONDUCTER 6.5% 10/01/02 DEFINED 1 1,500 NATIONAL SEMICONDUCTOR DEFINED 1 5,700 NATIONAL SERVICE INDS INC DEFINED 1 1,400 NATIONAL SVC INDS INC DEFINED 2 134,438 NATIONWIDE HEALTH PPTY DEFINED 3 290,300 62,700 NAUTICA ENTERPRISES INC DEFINED 2 8,900 NAVISTAR INTERNATIONAL DEFINED 1 2,700 NCH CORP. DEFINED 1 600 NEOMAGIC CORP DEFINED 2 6,400 NEON SYS INC DEFINED 2 10,200 NETGRAVITY INC DEFINED 2 69,000 NETWORK APPLIANCE INC DEFINED 2 83,900 NETWORK EQUIP TECHNOLOGIES DEFINED 2 32,000 NETWORK SOLUTIONS INC DEFINED 3 324,100 15,400 NETWORK SOLUTIONS INC DEL DEFINED 2 37,600 NETWORKS ASSOCIATES INC DEFINED 1 11,300 NETWORKS ASSOCS INC DEFINED 2 6,500 NEVADA POWER CO DEFINED 1 4,200 NEVADA PWR CO DEFINED 2 41,000 NEW CENTURY ENERGIES DEFINED 1 4,900 NEW ENGLAND ELEC SYS DEFINED 1 5,600 NEW JERSEY RES CORP DEFINED 2 1,800 NEW PLAN EXCEL REALTY DEFINED 3 513,400 111,900 NEW YORK TIMES DEFINED 1 7,700 NEW YORK TIMES CO DEFINED 2 1,600 NEWBRIDGE NETWORKS DEFINED 1 101,800 NEWCOURT CR GROUP INC DEFINED 2 10,350 NEWELL RUBBERMAID INC DEFINED 1 14,237 NEWELL RUBBERMAID INC DEFINED 2 120,874 NEWFIELD EXPL CO DEFINED 2 14,000 NEWMONT MINING CORP DEFINED 1 6,133 NEWPORT NEWS SHIPBUILDING DEFINED 1 2,500 NEWS CORP LTD DEFINED 2 43,100 Page 31 0f 49

34 File Number 28-219 (Consolidated) As of 6/30/99 NEWS CORPORATION COM 662075902 56 8,162 SH NEWS CORPORATION COM 688692003 101 13,685 SH NEXTCARD INC COM 65332K107 6,631 195,400 SH NEXTEL COMMUNICATIONS COM 65332V103 527 10,500 SH NEXTLINK COMMUNICATIONS INC COM 65333H707 812 14,500 SH NIAGARA MOHAWK HLDGS INC COM 653520106 2,245 167,100 SH NIAGARA MOHAWK HOLDINGS INC COM 653520106 93 5,800 SH NICOR INC COM 654086107 72 1,900 SH NIELSEN MEDIA RESH INC COM 653929307 788 31,933 SH NIKE INC CL B COM 654106103 1,109 18,325 SH NIKE INC. COM 654106103 729 11,500 SH NIPPON TEL+TEL CP COM 664137007 774 79 SH NISOURCE INC COM 65473P105 279 10,800 SH NOBLE AFFILIATES INC COM 654894104 132 4,700 SH NOBLE DRILLING CORP COM 655042109 222 11,300 SH NOBLE DRILLING CORP COM 655042109 55 3,200 SH NOKIA CORP COM 654902204 8,009 55,475 SH NOMURA SECURITIES COM 664310000 199 19,000 SH NORDSON CORP COM 655663102 98 1,600 SH NORDSON CORP COM 655663102 279 5,000 SH NORDSTROM INC. COM 655664100 211 6,300 SH NORFOLK AND SOUTHERN COM 655844108 452 15,000 SH NORFOLK SOUTHN CORP COM 655844108 4,225 160,188 SH NORTEL NETWORKS CORP COM 656569100 25,294 291,360 SH NORTH FORK BANCORPORATION COM 659424105 278 13,000 SH NORTH FORK BANCORPORATION INC COM 659424105 1,208 57,200 SH NORTHEAST UTILS COM 664397106 198 11,100 SH NORTHERN STATES POWER - MN COM 665772109 135 5,600 SH NORTHERN TELECOM LTD COM 665815106 1,777 28,600 SH NORTHERN TELECOM LTD COM 665815106 8,977 108,500 SH NORTHERN TELECOM LTD COM 665815957 430 6,900 SH NORTHERN TR CORP COM 665859104 446 4,600 SH NORTHROP GRUMMAN CORP COM 666807102 139 2,100 SH NORTHROP GRUMMAN CORP COM 666807102 54 900 SH NORTHWAY FINANCIAL INC. COM 667270102 1,249 45,010 SH NORTHWEST NAT GAS CO COM 667655104 893 40,800 SH NORTHWEST NATURAL GAS CO. COM 667655104 405 16,800 SH NOVA CORP GA COM 669784100 457 17,400 SH NOVA CORP GA COM 669784100 59,001 2,360,021 SH NOVA CORP/GEORGIA COM 669784100 145 5,800 SH NOVARTIS AG COM 66987V109 479 5,900 SH NOVELL INC COM 670006105 1,496 59,400 SH NOVELL INC. COM 670006105 371 14,000 SH NS GROUP INC COM 628916108 278 50,000 SH NTL INC COM 629407107 195 2,400 SH NUCOR CORP COM 670346105 171 3,600 SH NUI CORP COM 629430109 125 5,800 SH O CHARLEYS INC COM 670823103 3,778 236,100 SH OAK INDS INC COM 671400505 149 4,700 SH OAK INDS INC COM 671400505 64,983 1,481,100 SH NEWS CORPORATION DEFINED 2 8,162 NEWS CORPORATION DEFINED 2 13,685 NEXTCARD INC DEFINED 3 191,300 4,100 NEXTEL COMMUNICATIONS DEFINED 1 10,500 NEXTLINK COMMUNICATIONS INC DEFINED 2 14,500 NIAGARA MOHAWK HLDGS INC DEFINED 2 167,100 NIAGARA MOHAWK HOLDINGS INC DEFINED 1 5,800 NICOR INC DEFINED 1 1,900 NIELSEN MEDIA RESH INC DEFINED 2 31,933 NIKE INC CL B DEFINED 2 18,325 NIKE INC. DEFINED 1 11,500 NIPPON TEL+TEL CP DEFINED 2 79 NISOURCE INC DEFINED 1 10,800 NOBLE AFFILIATES INC DEFINED 1 4,700 NOBLE DRILLING CORP DEFINED 1 11,300 NOBLE DRILLING CORP DEFINED 2 3,200 NOKIA CORP DEFINED 2 55,475 NOMURA SECURITIES DEFINED 2 19,000 NORDSON CORP DEFINED 1 1,600 NORDSON CORP DEFINED 2 5,000 NORDSTROM INC. DEFINED 1 6,300 NORFOLK AND SOUTHERN DEFINED 1 15,000 NORFOLK SOUTHN CORP DEFINED 2 160,188 NORTEL NETWORKS CORP DEFINED 1 291,360 NORTH FORK BANCORPORATION DEFINED 1 13,000 NORTH FORK BANCORPORATION INC DEFINED 2 57,200 NORTHEAST UTILS DEFINED 1 11,100 NORTHERN STATES POWER - MN DEFINED 1 5,600 NORTHERN TELECOM LTD DEFINED 2 28,600 NORTHERN TELECOM LTD DEFINED 1 108,500 NORTHERN TELECOM LTD DEFINED 2 6,900 NORTHERN TR CORP DEFINED 1 4,600 NORTHROP GRUMMAN CORP DEFINED 1 2,100 NORTHROP GRUMMAN CORP DEFINED 2 900 NORTHWAY FINANCIAL INC. DEFINED 1 45,010 NORTHWEST NAT GAS CO DEFINED 2 40,800 NORTHWEST NATURAL GAS CO. DEFINED 1 16,800 NOVA CORP GA DEFINED 2 17,400 NOVA CORP GA DEFINED 3 2,279,315 80,706 NOVA CORP/GEORGIA DEFINED 1 5,800 NOVARTIS AG DEFINED 2 5,900 NOVELL INC DEFINED 2 59,400 NOVELL INC. DEFINED 1 14,000 NS GROUP INC DEFINED 2 50,000 NTL INC DEFINED 2 2,400 NUCOR CORP DEFINED 1 3,600 NUI CORP DEFINED 2 5,800 O CHARLEYS INC DEFINED 3 236,100 OAK INDS INC DEFINED 2 4,700 OAK INDS INC DEFINED 3 1,443,200 37,900 Page 32 0f 49

35 File Number 28-219 (Consolidated) As of 6/30/99 OAKLEY INC COM 673662102 2,959 426,420 SH OCCIDENTAL PETROLEUM COM 674599105 277 13,100 SH OCEAN ENERGY INC TEX COM 67481E106 88 12,900 SH OFFICE DEPOT INC COM 676220106 3,198 108,471 SH OFFICE DEPOT INCORPORATED COM 676220106 710 32,200 SH OFFICEMAX INC COM 67622M108 128 10,700 SH OFFSHORE LOGISTICS INC COM 676255102 1,793 154,200 SH OGDEN CORP COM 676346109 105 3,900 SH OGE ENERGY CORP. COM 670837103 166 7,000 SH OHIO CAS CORP COM 677240103 78 2,000 SH OIL CO LUKOIL COM 677862104 3 120 SH OLD KENT FINANCIAL CORP COM 679833103 426 10,185 SH OLD REPUBLIC INTERNATIONAL GROUP COM 680223104 216 12,500 SH OLIN CORP COM 680665205 55 4,200 SH OLSTEN CORP. COM 681385100 42 6,600 SH OMNICARE INC COM 681904108 97 7,700 SH OMNICARE INC COM 681904108 170 8,900 SH OMNICARE INC COM 681904108 369 29,200 SH OMNICOM GROUP COM 681919106 1,119 14,000 SH OMNICOM GROUP INC COM 681919106 496 6,200 SH OMNIPOINT CORP COM 68212D102 138 9,600 SH OMNIQUIP INTL INC COM 681969101 72 6,100 SH ON ASSIGNMENT INC COM 682159108 513 20,000 SH ONEOK COM 682680103 25 800 SH ONHEALTH NETWORK CO COM 68272W107 996 93,700 SH ONYX SOFTWARE CORP COM 683402101 1,163 29,700 SH ORACLE CORP COM 68389X105 18 700 SH ORACLE SYSTEMS COM 68389X105 2,119 57,075 SH ORANGE COM 066149907 292 20,900 SH ORBOTECH LTD COM M75253100 399 8,100 SH OREGON STL MLS INC COM 686079104 27 2,000 SH ORION CAP CORP COM 686268103 247 7,900 SH ORTHODONTIC CTRS AMER COM 68750P103 18,700 1,323,900 SH ORTHODONTIC CTRS AMER INC COM 68750P103 394 25,000 SH OSHKOSH TRUCK CORP COM 688239201 3,298 102,000 SH OUTBACK STEAKHOUSE COM 689899102 543 13,800 SH OUTBACK STEAKHOUSE INC COM 689899102 242 6,150 SH OUTBACK STEAKHOUSE INC COM 689899102 3,443 105,300 SH OUTDOOR SYS INC COM 690057104 3,254 108,480 SH OUTDOOR SYS INC COM 690057104 99,230 2,718,639 SH OVERSEAS SHIPHOLDING COM 690368105 40 3,100 SH OWENS CORNING COM 69073F103 69 2,000 SH OWENS ILL INC COM 690768403 575 23,000 SH OWENS-ILLINOIS INC COM 690768403 173 5,300 SH OXFORD HEALTH PLANS COM 691471106 115 7,400 SH P + O COM 068004001 278 19,040 SH P G & E CORPORATION COM 69331C108 13,410 413,400 SH P P & L RESOURCES INC COM 693499105 178 5,800 SH PACCAR INC COM 693718108 144 2,700 SH PACCAR INC COM COM 693718108 7,344 137,600 SH OAKLEY INC DEFINED 2 426,420 OCCIDENTAL PETROLEUM DEFINED 1 13,100 OCEAN ENERGY INC TEX DEFINED 2 12,900 OFFICE DEPOT INC DEFINED 2 108,471 OFFICE DEPOT INCORPORATED DEFINED 1 32,200 OFFICEMAX INC DEFINED 1 10,700 OFFSHORE LOGISTICS INC DEFINED 2 154,200 OGDEN CORP DEFINED 1 3,900 OGE ENERGY CORP. DEFINED 1 7,000 OHIO CAS CORP DEFINED 2 2,000 OIL CO LUKOIL DEFINED 2 120 OLD KENT FINANCIAL CORP DEFINED 1 10,185 OLD REPUBLIC INTERNATIONAL GROUP DEFINED 1 12,500 OLIN CORP DEFINED 1 4,200 OLSTEN CORP. DEFINED 1 6,600 OMNICARE INC DEFINED 1 7,700 OMNICARE INC DEFINED 2 8,900 OMNICARE INC DEFINED 3 29,200 OMNICOM GROUP DEFINED 2 14,000 OMNICOM GROUP INC DEFINED 1 6,200 OMNIPOINT CORP DEFINED 2 9,600 OMNIQUIP INTL INC DEFINED 2 6,100 ON ASSIGNMENT INC DEFINED 2 20,000 ONEOK DEFINED 1 800 ONHEALTH NETWORK CO DEFINED 3 93,700 ONYX SOFTWARE CORP DEFINED 2 29,700 ORACLE CORP DEFINED 2 700 ORACLE SYSTEMS DEFINED 1 57,075 ORANGE DEFINED 2 20,900 ORBOTECH LTD DEFINED 2 8,100 OREGON STL MLS INC DEFINED 1 2,000 ORION CAP CORP DEFINED 2 7,900 ORTHODONTIC CTRS AMER DEFINED 3 1,291,700 32,200 ORTHODONTIC CTRS AMER INC DEFINED 2 25,000 OSHKOSH TRUCK CORP DEFINED 2 102,000 OUTBACK STEAKHOUSE DEFINED 3 13,800 OUTBACK STEAKHOUSE INC DEFINED 1 6,150 OUTBACK STEAKHOUSE INC DEFINED 2 105,300 OUTDOOR SYS INC DEFINED 2 108,480 OUTDOOR SYS INC DEFINED 3 2,633,014 85,625 OVERSEAS SHIPHOLDING DEFINED 1 3,100 OWENS CORNING DEFINED 1 2,000 OWENS ILL INC DEFINED 2 23,000 OWENS-ILLINOIS INC DEFINED 1 5,300 OXFORD HEALTH PLANS DEFINED 1 7,400 P + O DEFINED 2 19,040 P G & E CORPORATION DEFINED 1 413,400 P P & L RESOURCES INC DEFINED 1 5,800 PACCAR INC DEFINED 1 2,700 PACCAR INC COM DEFINED 3 117,400 20,200 Page 33 0f 49

36 File Number 28-219 (Consolidated) As of 6/30/99 PACIFIC CENTURY FINL COM 694058108 142 6,600 SH PACIFIC GULF PPTYS INC COM 694396102 63 3,500 SH PACIFICARE HEALTH SYSTEMS INC COM 695112102 245 3,404 SH PACIFICORP COM 695114108 215 11,700 SH PAINE WEBBER GROUP INC COM 695629105 257 5,500 SH PAINE WEBBER GROUP INC COM 695629105 3,190 80,000 SH PAINE WEBBER GROUP INC COM 695629105 234 5,000 SH PALL CORP COM 696429307 107 4,800 SH PALL CORP COM 696429307 222 13,400 SH PAN PACIFIC RETAIL COM 69806L104 3,528 182,100 SH PANAMERICAN BEVERAGES COM P74823108 207 8,700 SH PANTRY INC COM COM 698657103 790 49,000 SH PAPA JOHNS INTL INC COM 698813102 434 9,900 SH PAPA JOHN'S INTL INC COM 698813102 116 2,600 SH PARAMETRIC TECHNOLOGY CORP COM 699173100 146 10,500 SH PARAMETRIC TECHNOLOGY CORP COM 699173100 1,335 67,600 SH PARK PLACE ENTERTAINMENT COM 700690100 33 3,500 SH PARKER HANNIFAN COM 701094104 201 4,400 SH PARKWAY PPTYS INC COM 70159Q104 282 10,000 SH PARMALAT FINANZ COM 471440909 234 164,600 SH PARTNERRE LTD COM G6852T105 45 1,100 SH PAYCHEX INC COM 704326107 271 8,500 SH PAYCHEX INC COM 704326107 1,921 40,500 SH PAYCHEX INC COM 704326107 56,216 1,763,648 SH PAYLESS SHOESOURCE INC COM 704379106 632 13,600 SH PAYLESS SHOESOURCE INC. COM 704379106 187 3,500 SH PE CORP-PE BIOSYTEMS COM 69332S102 218 1,900 SH PECO ENERGY CO COM 693304107 327 7,800 SH PECO ENERGY CO COM 693304107 5,550 120,000 SH PENNCORP FINANCIAL GROUP COM 708094107 12 7,225 SH PENNEY J C INC COM 708160106 1,458 36,000 SH PENSKE MOTORSPORTS INC COM 709598106 1,114 31,600 SH PENTAIR INC COM 709631105 257 7,600 SH PENTAIR, INC COM 709631105 151 3,300 SH PENZOIL-QUAKER STATE CO COM 709323109 105 6,999 SH PEOPLES ENERGY CORP COM 711030106 452 14,000 SH PEOPLE'S ENERGY CORP. COM 711030106 53 1,400 SH PEOPLES HERITAGE FINL GROUP COM 711147108 1,101 61,400 SH PEOPLESOFT INC COM 712713106 174 10,100 SH PEP BOYS MANNY MOE & JAC COM 713278109 50 2,400 SH PEPSI BOTTLING GROUP INC COM 713409100 2,190 101,000 SH PEPSICO INC. COM 713448108 11,711 302,700 SH PEPSI-GEMEX S.A.- GDR COM 713435105 1,132 124,100 SH PERRIGO CO COM 714290103 50 6,600 SH PERRIGO CO COM 714290103 433 59,700 SH PERVASIVE SOFTWARE INC COM 715710109 13,661 549,200 SH PETROL BRASILEIROS COM 268453008 102 737,000 SH PETROLEUM GEO SVCS AS COM 716597109 688 45,100 SH PETSMART INC COM 716768106 590 73,800 SH PETSMART INC COM 716768106 9,370 914,100 SH PACIFIC CENTURY FINL DEFINED 1 6,600 PACIFIC GULF PPTYS INC DEFINED 2 3,500 PACIFICARE HEALTH SYSTEMS INC DEFINED 1 3,404 PACIFICORP DEFINED 1 11,700 PAINE WEBBER GROUP INC DEFINED 1 5,500 PAINE WEBBER GROUP INC DEFINED 2 80,000 PAINE WEBBER GROUP INC DEFINED 3 5,000 PALL CORP DEFINED 1 4,800 PALL CORP DEFINED 2 13,400 PAN PACIFIC RETAIL DEFINED 3 150,000 32,100 PANAMERICAN BEVERAGES DEFINED 1 8,700 PANTRY INC COM DEFINED 3 49,000 PAPA JOHNS INTL INC DEFINED 2 9,900 PAPA JOHN'S INTL INC DEFINED 1 2,600 PARAMETRIC TECHNOLOGY CORP DEFINED 1 10,500 PARAMETRIC TECHNOLOGY CORP DEFINED 2 67,600 PARK PLACE ENTERTAINMENT DEFINED 1 3,500 PARKER HANNIFAN DEFINED 1 4,400 PARKWAY PPTYS INC DEFINED 2 10,000 PARMALAT FINANZ DEFINED 2 164,600 PARTNERRE LTD DEFINED 2 1,100 PAYCHEX INC DEFINED 1 8,500 PAYCHEX INC DEFINED 2 40,500 PAYCHEX INC DEFINED 3 1,699,649 63,999 PAYLESS SHOESOURCE INC DEFINED 2 13,600 PAYLESS SHOESOURCE INC. DEFINED 1 3,500 PE CORP-PE BIOSYTEMS DEFINED 1 1,900 PECO ENERGY CO DEFINED 1 7,800 PECO ENERGY CO DEFINED 2 120,000 PENNCORP FINANCIAL GROUP DEFINED 1 7,225 PENNEY J C INC DEFINED 2 36,000 PENSKE MOTORSPORTS INC DEFINED 2 31,600 PENTAIR INC DEFINED 2 7,600 PENTAIR, INC DEFINED 1 3,300 PENZOIL-QUAKER STATE CO DEFINED 1 6,999 PEOPLES ENERGY CORP DEFINED 2 14,000 PEOPLE'S ENERGY CORP. DEFINED 1 1,400 PEOPLES HERITAGE FINL GROUP DEFINED 2 61,400 PEOPLESOFT INC DEFINED 1 10,100 PEP BOYS MANNY MOE & JAC DEFINED 1 2,400 PEPSI BOTTLING GROUP INC DEFINED 2 101,000 PEPSICO INC. DEFINED 1 302,700 PEPSI-GEMEX S.A.- GDR DEFINED 1 124,100 PERRIGO CO DEFINED 1 6,600 PERRIGO CO DEFINED 2 59,700 PERVASIVE SOFTWARE INC DEFINED 3 549,200 PETROL BRASILEIROS DEFINED 2 737,000 PETROLEUM GEO SVCS AS DEFINED 2 45,100 PETSMART INC DEFINED 2 73,800 PETSMART INC DEFINED 3 914,100 Page 34 of 49

37 File Number 28-219 (Consolidated) As of 6/30/99 PETSMART INC SB NT CV 6.75%04 CVT 716768ab2 513 400,000 SH PFF BANCORP INC COM 69331W104 175 10,000 SH PFIZER COM 717081103 6,262 57,450 SH PFIZER INC COM 717081103 30,456 230,365 SH PG+E CORP COM 69331C108 311 10,000 SH PHARMACIA & UPJOHN INC COM 716941109 1,613 28,400 SH PHARMACIA + UPJOHN INC COM 716941109 4,965 79,600 SH PHELPS DODGE CORP. COM 717265102 14,500 234,100 SH PHILADELPHIA CONSOLIDATED HLDG CO COM 717528103 1,898 81,232 SH PHILIP MORRIS COM 718154107 25,748 640,700 SH PHILIP MORRIS COS INC COM 718154107 14,368 408,313 SH PHILLIPS PETROLEUM COM 718507106 5,051 100,400 SH PIER 1 IMPORTS INC COM 720279108 403 49,600 SH PINNACLE SYS INC COM 723481107 209 4,600 SH PINNACLE WEST CAP CORP COM 723484101 302 7,500 SH PINNACLE WEST CAP CORP COM 723484101 247 6,800 SH PIONEER HI BRED INTNL INC COM 723686101 370 9,500 SH PIONEER NATURAL RESOURCES CO COM 723787107 101 9,200 SH PITNEY BOWES COM 724479100 752 11,700 SH PITTSTON BRINKS GROUP COM 725701106 251 10,700 SH PITTSTON BRINK'S GROUP COM 725701106 94 3,500 SH PITTSTON CO COM 725701882 61 8,800 SH PITTWAY CORP DEL COM 725790208 792 29,900 SH PIXAR COM 725811103 310 8,000 SH PIXAR COM COM 725811103 2,450 56,800 SH PJ AMER INC COM COM 72585Q104 3,581 169,000 SH PLACER DOME INC COM 725906101 114 9,700 SH PLATINUM TECHNOLOGY INTL INC COM 72764T101 213 8,400 SH PLEXUS CORP COM 729132100 141 5,000 SH PLX TECHNOLOGY INC COM 693417107 3,553 75,000 SH PMC SIERRA INC COM 69344F106 363 5,100 SH PMI GROUP INC COM 69344M101 201 3,200 SH PNC FINANCIAL CORP COM 693475105 749 13,000 SH POGO PRODUCING CO COM 730448107 18,137 973,800 SH POLARIS INDS INC COM 731068102 178 5,600 SH POLAROID CORP COM 731095105 50 1,800 SH POLICY MANAGEMENT SYSTEMS COM 731108106 96 3,200 SH POLICY MGMT SYS CORP COM 731108106 815 26,600 SH POLO RALPH LAUREN CORP COM 731572103 332 16,700 SH POST PPTYS INC COM 737464107 10,480 255,600 SH POST PROPERTIES INC COM 737464107 4,141 101,000 SH POTLATCH CORP COM 737628107 44 1000 SH POTLATCH CORP COM 737628107 367 10,800 SH POTOMAC ELEC PWR CO COM 737679100 303 10,300 SH POWER INTERIGATIONS INC COM 739276103 50 678 SH PPG INDUSTRIES INC COM 693506107 443 7,500 SH PPT VISION INC COM 693519100 125 26,000 SH PRAXAIR INC COM 74005P104 15,738 321,600 SH PRAXAIR INC COM 74005P104 902 25,000 SH PRECISION CASTPARTS CORP COM 740189105 85 2,000 SH PETSMART INC SB NT CV 6.75%04 DEFINED 3 400,000 PFF BANCORP INC DEFINED 2 10,000 PFIZER DEFINED 1 57,450 PFIZER INC DEFINED 2 230,365 PG+E CORP DEFINED 2 10,000 PHARMACIA & UPJOHN INC DEFINED 1 28,400 PHARMACIA + UPJOHN INC DEFINED 2 79,600 PHELPS DODGE CORP. DEFINED 1 234,100 PHILADELPHIA CONSOLIDATED HLDG CO DEFINED 1 81,232 PHILIP MORRIS DEFINED 1 640,700 PHILIP MORRIS COS INC DEFINED 2 408,313 PHILLIPS PETROLEUM DEFINED 1 100,400 PIER 1 IMPORTS INC DEFINED 2 49,600 PINNACLE SYS INC DEFINED 2 4,600 PINNACLE WEST CAP CORP DEFINED 1 7,500 PINNACLE WEST CAP CORP DEFINED 2 6,800 PIONEER HI BRED INTNL INC DEFINED 1 9,500 PIONEER NATURAL RESOURCES CO DEFINED 1 9,200 PITNEY BOWES DEFINED 1 11,700 PITTSTON BRINKS GROUP DEFINED 2 10,700 PITTSTON BRINK'S GROUP DEFINED 1 3,500 PITTSTON CO DEFINED 2 8,800 PITTWAY CORP DEL DEFINED 2 29,900 PIXAR DEFINED 2 8,000 PIXAR COM DEFINED 3 56,800 PJ AMER INC COM DEFINED 3 169,000 PLACER DOME INC DEFINED 1 9,700 PLATINUM TECHNOLOGY INTL INC DEFINED 2 8,400 PLEXUS CORP DEFINED 2 5,000 PLX TECHNOLOGY INC DEFINED 3 75,000 PMC SIERRA INC DEFINED 2 5,100 PMI GROUP INC DEFINED 1 3,200 PNC FINANCIAL CORP DEFINED 1 13,000 POGO PRODUCING CO DEFINED 3 953,600 20,200 POLARIS INDS INC DEFINED 2 5,600 POLAROID CORP DEFINED 1 1,800 POLICY MANAGEMENT SYSTEMS DEFINED 1 3,200 POLICY MGMT SYS CORP DEFINED 2 26,600 POLO RALPH LAUREN CORP DEFINED 2 16,700 POST PPTYS INC DEFINED 3 212,500 43,100 POST PROPERTIES INC DEFINED 1 101,000 POTLATCH CORP DEFINED 1 1,000 POTLATCH CORP DEFINED 2 10,800 POTOMAC ELEC PWR CO DEFINED 1 10,300 POWER INTERIGATIONS INC DEFINED 1 678 PPG INDUSTRIES INC DEFINED 1 7,500 PPT VISION INC DEFINED 2 26,000 PRAXAIR INC DEFINED 1 321,600 PRAXAIR INC DEFINED 2 25,000 PRECISION CASTPARTS CORP DEFINED 1 2,000 Page 35 of 49

38 File Number 28-219 (Consolidated) As of 6/30/99 PRECISION CASTPARTS CORP COM 740189105 153 3,800 SH PREMARK INTERNATIONAL, INC. COM 740459102 191 5,100 SH PREMIER PKS INC COM 740540208 2,395 64,300 SH PRENTISS PPTYS TR COM 740706106 1,254 53,100 SH PRESIDENTIAL LIFE CORP COM 740884101 81 4,500 SH PRICE T ROWE & ASSOCIA COM 741477103 418 10,900 SH PRICELINE COM INC COM 741503106 124 1,500 SH PRIME HOSPITALITY CORP COM 741917108 95 9,600 SH PROCTER + GAMBLE CO COM 742718109 1,175 12,000 SH PROCTER AND GAMBLE COM 742718109 28,560 320,000 SH PROFESSIONAL DETAILING COM 74312N107 4,531 192,800 SH PROFESSIONAL DETAILING INC COM 74312N107 524 20,000 SH PROFIT RECOVERY GROUP COM 743168106 57,873 1,223,200 SH PROGRESSIVE CORP OHIO COM 743315103 2,597 18,100 SH PROGRESSIVE CORP. COM 743315103 467 3,220 SH PROLOGIS TR SH BEN INT COM 743410102 25,947 1,281,340 SH PROMUS HOTEL CORP COM 74342P106 216 6,962 SH PROMUS HOTEL CORP NEW COM 74342P106 524 14,400 SH PROTECTION ONE INC COM 743663304 237 38,000 SH PROTECTIVE LIFE CORP COM 743674103 1,011 26,700 SH PROTECTIVE LIFE CORP. COM 743674103 2,356 69,300 SH PROVIDENT COMPANIES INC COM 743862104 216 5,400 SH PROVIDENT COS INC COM 743862104 17 500 SH PROVIDENT FINANCIAL GROUP COM 743866105 162 3,700 SH PROVIDIAN FINANCIAL CORP COM 74406A102 1,445 15,500 SH PROVIDIAN FINL CORP COM 74406A102 7,194 65,400 SH PROVIDIAN FINL CORP COM 74406A102 5,026 53,900 SH PSS WORLD MEDICAL INC COM 69366A100 66 5,900 SH PT INDOSAT (PERSERO) TBK COM 715680104 351 18,000 SH PUBLIC SERVICE ENTERPRISE GP COM 744573106 380 9,300 SH PUBLIC STORAGE INC COM 74460D109 152 6,100 SH PUBLIC STORAGE INC COM 74460D109 16,395 585,522 SH PUBLIC SVC CO N MEX COM 744499104 72 3,600 SH PUBLIC SVC CO NM COM 744499104 78 4,600 SH PUBLISHING + BROADCASTING LTD COM 663708006 114 20,000 SH PUGET SOUND PWR & LT C COM 745332106 173 7,200 SH PULITZER INC COM 745769109 81 2,000 SH PULTE CORP COM 745867101 39 1,700 SH QRS CORP COM 74726X105 1,058 17,000 SH QUAKER OATS COM 747402105 345 5,200 SH QUALCOMM INC COM 747525103 1,808 12,600 SH QUALCOMM INC COM 747525103 1,031 8,300 SH QUANTUM 7% 8/1/04 CVT 747906AC9 279 3,000 SH QUANTUM CORP COM 747906105 692 38,500 SH QUANTUM CORP. COM 747906105 372 15,400 SH QUEBECOR COM 747922210 1,345 61,850 SH QUESTAR CORP COM 748356102 604 31,600 SH QUINTILES TRANSNATIONAL CORP COM 748767100 407 9,700 SH QUORUM HEALTH GROUP INC COM 749084109 77 6,100 SH QUORUM HEALTH GROUP INC COM 749084109 36 3,600 SH PRECISION CASTPARTS CORP DEFINED 2 3,800 PREMARK INTERNATIONAL, INC. DEFINED 1 5,100 PREMIER PKS INC DEFINED 2 64,300 PRENTISS PPTYS TR DEFINED 3 53,100 PRESIDENTIAL LIFE CORP DEFINED 2 4,500 PRICE T ROWE & ASSOCIA DEFINED 1 10,900 PRICELINE COM INC DEFINED 2 1,500 PRIME HOSPITALITY CORP DEFINED 2 9,600 PROCTER + GAMBLE CO DEFINED 2 12,000 PROCTER AND GAMBLE DEFINED 1 320,000 PROFESSIONAL DETAILING DEFINED 3 192,800 PROFESSIONAL DETAILING INC DEFINED 2 20,000 PROFIT RECOVERY GROUP DEFINED 3 1,201,300 21,900 PROGRESSIVE CORP OHIO DEFINED 2 18,100 PROGRESSIVE CORP. DEFINED 1 3,220 PROLOGIS TR SH BEN INT DEFINED 3 1,054,510 226,830 PROMUS HOTEL CORP DEFINED 1 6,962 PROMUS HOTEL CORP NEW DEFINED 2 14,400 PROTECTION ONE INC DEFINED 2 38,000 PROTECTIVE LIFE CORP DEFINED 2 26,700 PROTECTIVE LIFE CORP. DEFINED 1 69,300 PROVIDENT COMPANIES INC DEFINED 1 5,400 PROVIDENT COS INC DEFINED 2 500 PROVIDENT FINANCIAL GROUP DEFINED 1 3,700 PROVIDIAN FINANCIAL CORP DEFINED 1 15,500 PROVIDIAN FINL CORP DEFINED 2 65,400 PROVIDIAN FINL CORP DEFINED 3 42,700 11,200 PSS WORLD MEDICAL INC DEFINED 1 5,900 PT INDOSAT (PERSERO) TBK DEFINED 1 18,000 PUBLIC SERVICE ENTERPRISE GP DEFINED 1 9,300 PUBLIC STORAGE INC DEFINED 2 6,100 PUBLIC STORAGE INC DEFINED 3 483,696 101,826 PUBLIC SVC CO N MEX DEFINED 1 3,600 PUBLIC SVC CO NM DEFINED 2 4,600 PUBLISHING + BROADCASTING LTD DEFINED 2 20,000 PUGET SOUND PWR & LT C DEFINED 1 7,200 PULITZER INC DEFINED 2 2,000 PULTE CORP DEFINED 1 1,700 QRS CORP DEFINED 2 17,000 QUAKER OATS DEFINED 1 5,200 QUALCOMM INC DEFINED 1 12,600 QUALCOMM INC DEFINED 2 8,300 QUANTUM 7% 8/1/04 DEFINED 1 3,000 QUANTUM CORP DEFINED 2 38,500 QUANTUM CORP. DEFINED 1 15,400 QUEBECOR DEFINED 1 61,850 QUESTAR CORP DEFINED 1 31,600 QUINTILES TRANSNATIONAL CORP DEFINED 1 9,700 QUORUM HEALTH GROUP INC DEFINED 1 6,100 QUORUM HEALTH GROUP INC DEFINED 2 3,600 Page 36 of 49

39 File Number 28-219 (Consolidated) As of 6/30/99 QWEST COMMUNICATIONS INTL INC COM 749121109 4,060 56,324 SH R R DONNELLEY & SONS COM 257867101 215 5,800 SH R.P.M. INC OHIO COM 749685103 362 27,200 SH RADIAN GROUP INC COM 750236101 13,497 276,500 SH RALCORP HLDGS INC NEW COM 751028101 251 13,200 SH RALSTON PURINA CO COM 751277401 770 17,100 SH RALSTON PURINA CO COM 751277302 336 12,600 SH RALSTON PURINA GROUP COM 751277302 374 12,300 SH RANBAXY LABORATORIES-GRD COM 747204230 1,210 73,350 SH RANGER OIL LTD COM 752805101 57 11,500 SH RAO GAZPROM COM 753317205 11 1,080 SH RATIONAL SOFTWARE CORP COM 75409P202 247 7,500 SH RATIONAL SOFTWARE CORP COM 75409P202 681 25,700 SH RAYCHEM CORP. COM 754603108 133 3,600 SH RAYMOND JAMES FINANCIAL INC COM 754730109 1,325 67,100 SH RAYONIER INC COM 754907103 125 2,500 SH RAYTHEON CO COM 755111408 586 10,000 SH RAYTHEON CO COM 755111309 982 17,000 SH RAYTHEON COMPANY CLASS - B COM 755111408 881 12,500 SH RCM TECHNOLOGIES INC COM 749360400 1,691 153,700 SH READERS DIGEST ASSN- CLASS A COM 755267101 1,157 29,100 SH REAL NETWORKS INC COM 75605L104 2,969 24,300 SH RECKSON ASSOCS RLTY COM 75621K106 5,954 252,700 SH RECKSON ASSOCS RLTY CORP COM 75621K106 80 3,900 SH REEBOK INTL LTD COM 758110100 47 2,500 SH REEBOK INTL LTD COM 758110100 416 26,200 SH REGAL BELOIT CORP COM 758750103 130 7,200 SH REGENCY RLTY CORP COM 758939102 39 2,100 SH REGENCY RLTY CORP COM COM 758939102 9,731 443,600 SH REGIONS FINL CORP COM 758940100 327 8,500 SH REGIS CORP MINN COM COM 758932107 19,951 1,039,800 SH REINSURANCE GROUP AMER INC COM 759351109 702 16,500 SH REINSURANCE GROUP OF AMERICA COM 759351208 930 27,450 SH RELIANCE GROUP HLDGS INC COM 759464100 329 43,500 SH RELIANT ENERGY INC. COM 75952J108 341 12,326 SH RELIASTAR FINANCIAL CORP COM 75952U103 333 7,600 SH RELIASTAR FINL CORP COM 75952U103 124 2,900 SH RENAISSANCE RE HOLDINGS LTD COM G7496G103 1,084 25,000 SH RENAISSANCE WORLDWIDE INC COM 75968A109 71 11,400 SH REPUBLIC NEW YORK COM 760719104 334 4,900 SH RESTORATION HARDWARE INC DEL COM 760981100 357 16,300 SH REYNOLDS & REYNOLDS COM 761695105 163 7,000 SH REYNOLDS + REYNOLDS CO COM 761695105 201 10,600 SH REYNOLDS METALS COM 761763101 142 2,400 SH RICHFOOD HLDGS INC COM 763408101 304 14,100 SH RITCHIE BROS AUCTIONEERS INC COM 767744105 573 17,000 SH RITE AID CORP COM 767754104 266 10,800 SH RITE AID CORP COM 767754104 1,050 42,000 SH RIVERVIEW BANCORP INC COM 769397100 238 20,000 SH RJ REYNOLDS TOBACCO HOLDINGS COM 76182K105 153 4,833 SH QWEST COMMUNICATIONS INTL INC DEFINED 2 56,324 R R DONNELLEY & SONS DEFINED 1 5,800 R.P.M. INC OHIO DEFINED 2 27,200 RADIAN GROUP INC DEFINED 3 269,800 6,700 RALCORP HLDGS INC NEW DEFINED 2 13,200 RALSTON PURINA CO DEFINED 2 17,100 RALSTON PURINA CO DEFINED 2 12,600 RALSTON PURINA GROUP DEFINED 1 12,300 RANBAXY LABORATORIES-GRD DEFINED 1 73,350 RANGER OIL LTD DEFINED 1 11,500 RAO GAZPROM DEFINED 2 1,080 RATIONAL SOFTWARE CORP DEFINED 1 7,500 RATIONAL SOFTWARE CORP DEFINED 2 25,700 RAYCHEM CORP. DEFINED 1 3,600 RAYMOND JAMES FINANCIAL INC DEFINED 2 67,100 RAYONIER INC DEFINED 1 2,500 RAYTHEON CO DEFINED 2 10,000 RAYTHEON CO DEFINED 2 17,000 RAYTHEON COMPANY CLASS - B DEFINED 1 12,500 RCM TECHNOLOGIES INC DEFINED 2 153,700 READERS DIGEST ASSN- CLASS A DEFINED 1 29,100 REAL NETWORKS INC DEFINED 2 24,300 RECKSON ASSOCS RLTY DEFINED 3 215,000 37,700 RECKSON ASSOCS RLTY CORP DEFINED 2 3,900 REEBOK INTL LTD DEFINED 1 2,500 REEBOK INTL LTD DEFINED 2 26,200 REGAL BELOIT CORP DEFINED 2 7,200 REGENCY RLTY CORP DEFINED 2 2,100 REGENCY RLTY CORP COM DEFINED 3 364,200 79,400 REGIONS FINL CORP DEFINED 1 8,500 REGIS CORP MINN COM DEFINED 3 1,022,400 17,400 REINSURANCE GROUP AMER INC DEFINED 2 16,500 REINSURANCE GROUP OF AMERICA DEFINED 2 27,450 RELIANCE GROUP HLDGS INC DEFINED 2 43,500 RELIANT ENERGY INC. DEFINED 1 12,326 RELIASTAR FINANCIAL CORP DEFINED 1 7,600 RELIASTAR FINL CORP DEFINED 2 2,900 RENAISSANCE RE HOLDINGS LTD DEFINED 1 25,000 RENAISSANCE WORLDWIDE INC DEFINED 2 11,400 REPUBLIC NEW YORK DEFINED 1 4,900 RESTORATION HARDWARE INC DEL DEFINED 2 16,300 REYNOLDS & REYNOLDS DEFINED 1 7,000 REYNOLDS + REYNOLDS CO DEFINED 2 10,600 REYNOLDS METALS DEFINED 1 2,400 RICHFOOD HLDGS INC DEFINED 2 14,100 RITCHIE BROS AUCTIONEERS INC DEFINED 2 17,000 RITE AID CORP DEFINED 1 10,800 RITE AID CORP DEFINED 2 42,000 RIVERVIEW BANCORP INC DEFINED 2 20,000 RJ REYNOLDS TOBACCO HOLDINGS DEFINED 1 4,833 Page 37 of 49

40 File Number 28-219 (Consolidated) As of 6/30/99 ROBERT HALF INTERNATIONAL INC COM 770323103 197 7,650 SH ROBERT HALF INTL INC COM 770323103 9,283 282,900 SH ROBERTS PHARMACEUTICAL CORP COM 770491108 77 3,700 SH ROCKWELL INTL CORP COM 773903109 510 8,400 SH ROGERS COMMUNICATIONS INC COM 775109200 1,437 94,200 SH ROGERS COMMUNICATIONS INC COM 775109200 185 10,200 SH ROGERS COMMUNICATIONS INC COM 775109960 298 16,400 SH ROHM & HAAS CO COM 775371107 401 9,354 SH ROLLINS INC COM 775711104 48 3,000 SH ROMAC INTL INC COM 775835101 194 22,800 SH ROPER INDS COM 776696106 167 7,000 SH ROSS STORES INC COM 778296103 207 4,100 SH ROSS STORES INC COM COM 778296103 43,907 871,600 SH ROUSE CO COM 779273101 555 25,000 SH ROUSE CO COM 779273309 15 400 SH ROUSE CO COM 779273101 142 6,400 SH ROUSE CO COM COM 779273101 17,592 693,300 SH ROWAN COS. INC. COM 779382100 57 3,100 SH ROWECOM INC COM 77957X108 48 1,100 SH ROYAL BK CDA MONTREAL QUE COM 780087953 30 640 SH ROYAL CARIBBEAN CRUISES LTD COM V7780T103 480 12,300 SH ROYAL DUTCH PETE CO COM 780257804 12,417 238,785 SH ROYAL DUTCH PETRO-NY SHRS COM 780257804 5,037 83,600 SH RPM INC OHIO COM 749685103 133 9,400 SH RSL COMMUNICATIONS LTD COM G7702U102 592 16,500 SH RUDDICK CORP COM 781258108 82 4,100 SH RUSSELL CORP COM 782352108 29 1,500 SH RYANS FAMILY STEAK HOUSES INC COM 783519101 166 13,800 SH RYDER SYS INC COM 783549108 91 3,300 SH RYDER SYSTEMS INC COM 783549108 72 2,800 SH RYERSON TULL INC COM 78375P107 43 1,900 SH SAFECO CORP COM 786429100 278 6,300 SH SAFEGUARD SCIENTIFICS INC COM 786449108 739 10,900 SH SAFEWAY INC NEW COM 786514208 936 18,900 SH SAKS INC COM 79377W108 850 32,700 SH SAKS INCORPORATED COM 79377W108 375 13,000 SH SAN JUAN BASIN RTY TR COM 798241105 729 89,690 SH SANMINA CORPORATION COM 800907107 372 4,900 SH SANTA FE INTERNATIONAL CORP COM G7805C108 73 3,900 SH SANTA FE SNYDER CORPORATION COM 80218K105 117 14,600 SH SAP AKTIENGESELLSCHAFT COM 803054204 705 26,800 SH SAPIENT CORP COM 803062108 328 4,600 SH SARA LEE CORP COM 803111103 819 36,100 SH SARA LEE CORP COM 803111103 755 30,500 SH SAVILLE SYS PLC COM 805174109 1,701 139,100 SH SBA COMMUNICATIONS CRP COM 78388J106 1,405 145,000 SH SBARRO INC COM 805844107 49 1,800 SH SBARRO INC COM 805844107 1,720 64,900 SH SBC COMMUNICATIONS INC COM 78387G103 26,628 459,108 SH SBC COMMUNICATIONS INC COM 78387G103 1,659 35,200 SH ROBERT HALF INTERNATIONAL INC DEFINED 1 7,650 ROBERT HALF INTL INC DEFINED 2 282,900 ROBERTS PHARMACEUTICAL CORP DEFINED 2 3,700 ROCKWELL INTL CORP DEFINED 1 8,400 ROGERS COMMUNICATIONS INC DEFINED 1 94,200 ROGERS COMMUNICATIONS INC DEFINED 2 10,200 ROGERS COMMUNICATIONS INC DEFINED 2 16,400 ROHM & HAAS CO DEFINED 1 9,354 ROLLINS INC DEFINED 1 3,000 ROMAC INTL INC DEFINED 2 22,800 ROPER INDS DEFINED 2 7,000 ROSS STORES INC DEFINED 1 4,100 ROSS STORES INC COM DEFINED 3 851,600 20,000 ROUSE CO DEFINED 2 25,000 ROUSE CO DEFINED 2 400 ROUSE CO DEFINED 2 6,400 ROUSE CO COM DEFINED 3 567,600 125,700 ROWAN COS. INC. DEFINED 1 3,100 ROWECOM INC DEFINED 2 1,100 ROYAL BK CDA MONTREAL QUE DEFINED 2 640 ROYAL CARIBBEAN CRUISES LTD DEFINED 2 12,300 ROYAL DUTCH PETE CO DEFINED 2 238,785 ROYAL DUTCH PETRO-NY SHRS DEFINED 1 83,600 RPM INC OHIO DEFINED 1 9,400 RSL COMMUNICATIONS LTD DEFINED 2 16,500 RUDDICK CORP DEFINED 1 4,100 RUSSELL CORP DEFINED 1 1,500 RYANS FAMILY STEAK HOUSES INC DEFINED 2 13,800 RYDER SYS INC DEFINED 2 3,300 RYDER SYSTEMS INC DEFINED 1 2,800 RYERSON TULL INC DEFINED 1 1,900 SAFECO CORP DEFINED 1 6,300 SAFEGUARD SCIENTIFICS INC DEFINED 2 10,900 SAFEWAY INC NEW DEFINED 1 18,900 SAKS INC DEFINED 2 32,700 SAKS INCORPORATED DEFINED 1 13,000 SAN JUAN BASIN RTY TR DEFINED 3 89,690 SANMINA CORPORATION DEFINED 1 4,900 SANTA FE INTERNATIONAL CORP DEFINED 2 3,900 SANTA FE SNYDER CORPORATION DEFINED 1 14,600 SAP AKTIENGESELLSCHAFT DEFINED 2 26,800 SAPIENT CORP DEFINED 2 4,600 SARA LEE CORP DEFINED 1 36,100 SARA LEE CORP DEFINED 2 30,500 SAVILLE SYS PLC DEFINED 2 139,100 SBA COMMUNICATIONS CRP DEFINED 3 145,000 SBARRO INC DEFINED 1 1,800 SBARRO INC DEFINED 2 64,900 SBC COMMUNICATIONS INC DEFINED 1 459,108 SBC COMMUNICATIONS INC DEFINED 2 35,200 Page 38 of 49

41 File Number 28-219 (Consolidated) As of 6/30/99 SCANA CORP COM 805898103 117 5,400 SH SCANNA CORP COM 805898103 215 9,200 SH SCHERING PLOUGH COM 806605101 28,366 540,300 SH SCHERING PLOUGH CORP COM 806605101 17,477 316,060 SH SCHLUMBERGER COM 806857108 18,390 288,750 SH SCHLUMBERGER COM 806857108 6,514 107,940 SH SCHOLASTIC CORP COM 807066105 655 13,400 SH SCHOLASTIC CORPORATION COM 807066105 71 1,400 SH SCHULMAN A INC COM 808194104 471 34,700 SH SCHWAB (CHARLES) CORP COM 808513105 1,684 15,450 SH SCHWAB CHARLES CORP COM 808513105 1,132 11,775 SH SCHWEITZER MAUDUIT INTL INC COM 808541106 115 10,000 SH SCI SYS INC COM 783890106 86 2,900 SH SCI SYSTEMS INC COM 783890106 237 5,000 SH SCIENTIFIC ATLANTA INC COM 808655104 104 2,900 SH SCIENTIFIC ATLANTA INC COM 808655104 5,900 163,900 SH SCOTSMAN INDS INC COM 809340102 67 3,900 SH SDL INC COM COM 784076101 39,727 778,000 SH SEAGATE TECHNOLOGY COM 811804103 246 9,600 SH SEAGATE TECHNOLOGY COM 811804103 591 20,000 SH SEAGRAM COMPANY LTD COM 811850106 5,885 121,400 SH SEALED AIR CORP NEW COM 81211K100 1,013 20,600 SH SEALED AIR CORP. (new) COM 81211K100 172 2,657 SH SEARS ROEBUCK + CO COM 812387108 375 8,300 SH SEARS, ROEBUCK COM 812387108 16,551 371,400 SH SELECTIVE INS GROUP INC COM 816300107 95 5,400 SH SEMPRA ENERGY COM 816851109 193 8,552 SH SENSORMATIC ELECTRONICS CORP COM 817265101 91 6,500 SH SEPRACOR INC COM 817315104 211 2,600 SH SEPRACOR INC COM 817315104 4,469 39,835 SH SEQUA CORP - CL A COM 817320104 49 700 SH SEQUENT COMPUTER SYS INC COM 817338106 37 4,100 SH SEQUENT COMPUTER SYS. COM 817338106 55 3,100 SH SERVICE CORP INTERNATIONAL COM 817565104 191 9,900 SH SFX ENTMT INC COM 784178105 646 10,000 SH SFX ENTMT INC CL A COM 784178105 71,507 1,117,300 SH SHARED MEDI CAL SYSTEM COM 819486101 1,014 18,200 SH SHARED MEDICAL SYSTEMS COM 819486101 65 1000 SH SHAW INDUSTRIES INC. COM 820286102 210 12,000 SH SHELL TRANS + TRADING PLC COM 822703609 532 13,100 SH SHELL TRNSPT+TRDG COM 080341001 706 105,000 SH SHERWIN-WILLIAMS COM 824348106 183 6,600 SH SHIRE PHARMACEUTICALS GROUP PL COM 82481R106 98 4,300 SH SHOPKO STORES INC COM 824911101 442 14,800 SH SIEBEL SYS INC COM 826170102 1,425 30,000 SH SIEBEL SYSTEMS INC COM 826170102 491 7,400 SH SIERRA HEALTH SVCS INC COM 826322109 262 20,150 SH SIERRA PAC RES COM 826425100 194 5,500 SH SIGMA-ALDRICH COM 826552101 138 4,000 SH SILICON GRAPHICS 5.25 09/04 CVT 827056AC6 354 4,000 SH SCANA CORP DEFINED 2 5,400 SCANNA CORP DEFINED 1 9,200 SCHERING PLOUGH DEFINED 1 540,300 SCHERING PLOUGH CORP DEFINED 2 316,060 SCHLUMBERGER DEFINED 1 288,750 SCHLUMBERGER DEFINED 2 107,940 SCHOLASTIC CORP DEFINED 2 13,400 SCHOLASTIC CORPORATION DEFINED 1 1,400 SCHULMAN A INC DEFINED 2 34,700 SCHWAB (CHARLES) CORP DEFINED 1 15,450 SCHWAB CHARLES CORP DEFINED 2 11,775 SCHWEITZER MAUDUIT INTL INC DEFINED 2 10,000 SCI SYS INC DEFINED 2 2,900 SCI SYSTEMS INC DEFINED 1 5,000 SCIENTIFIC ATLANTA INC DEFINED 1 2,900 SCIENTIFIC ATLANTA INC DEFINED 3 133,300 30,600 SCOTSMAN INDS INC DEFINED 2 3,900 SDL INC COM DEFINED 3 762,600 15,400 SEAGATE TECHNOLOGY DEFINED 1 9,600 SEAGATE TECHNOLOGY DEFINED 2 20,000 SEAGRAM COMPANY LTD DEFINED 1 121,400 SEALED AIR CORP NEW DEFINED 2 20,600 SEALED AIR CORP. (new) DEFINED 1 2,657 SEARS ROEBUCK + CO DEFINED 2 8,300 SEARS, ROEBUCK DEFINED 1 371,400 SELECTIVE INS GROUP INC DEFINED 2 5,400 SEMPRA ENERGY DEFINED 1 8,552 SENSORMATIC ELECTRONICS CORP DEFINED 1 6,500 SEPRACOR INC DEFINED 1 2,600 SEPRACOR INC DEFINED 2 39,835 SEQUA CORP - CL A DEFINED 1 700 SEQUENT COMPUTER SYS INC DEFINED 2 4,100 SEQUENT COMPUTER SYS. DEFINED 1 3,100 SERVICE CORP INTERNATIONAL DEFINED 1 9,900 SFX ENTMT INC DEFINED 2 10,000 SFX ENTMT INC CL A DEFINED 3 1,078,900 38,400 SHARED MEDI CAL SYSTEM DEFINED 2 18,200 SHARED MEDICAL SYSTEMS DEFINED 1 1,000 SHAW INDUSTRIES INC. DEFINED 1 12,000 SHELL TRANS + TRADING PLC DEFINED 2 13,100 SHELL TRNSPT+TRDG DEFINED 2 105,000 SHERWIN-WILLIAMS DEFINED 1 6,600 SHIRE PHARMACEUTICALS GROUP PL DEFINED 2 4,300 SHOPKO STORES INC DEFINED 2 14,800 SIEBEL SYS INC DEFINED 2 30,000 SIEBEL SYSTEMS INC DEFINED 1 7,400 SIERRA HEALTH SVCS INC DEFINED 2 20,150 SIERRA PAC RES DEFINED 2 5,500 SIGMA-ALDRICH DEFINED 1 4,000 SILICON GRAPHICS 5.25 09/04 DEFINED 1 4,000 Page 39 of 49

42 File Number 28-219 (Consolidated) As of 6/30/99 SILICON GRAPHICS, INC. COM 827056102 113 6,900 SH SILICON VY GROUP INC COM 827066101 66 5,400 SH SIMON PPTY GROUP NEW COM 828806109 23,950 904,550 SH SK TELECOM CO LTD - ADR COM 78440P1084 3,0169 186,208 SH SKY FINL GROUP INC COM COM 83080P103 1,172 43,000 SH SL GREEN REALTY CORP COM 78440X101 11,269 551,400 SH SLM HLDG CORP COM 78442A109 1,870 44,800 SH SMITH (DS) HLDGS COM 082201906 32 18,000 SH SMITH CORONA COM 831858204 957 785 SH SMITH INTERNATIONAL INC. COM 832110100 152 3,500 SH SMITH INTL INC COM 832110100 5,224 130,600 SH SMITHKLINE BEECHAM P L C COM 832378301 2,200 30,775 SH SNAP-ON INC. COM 833034101 127 3,500 SH SNYDER COMMUNICATIONS INC COM 832914105 206 6,300 SH SNYDER COMMUNICATIONS INC COM 832914105 1,787 64,100 SH SOC QUIMICA Y MINERA COM 833635105 1,809 51,130 SH SOC. GENERALE COM 481775005 486 2,526 SH SODEXHO ALLIANCE COM 481830008 303 1,848 SH SODEXHO MARIOTT SERVICES COM 833793102 159 8,272 SH SODEXHO MARRIOTT SVCS INC COM 833793102 154 7,000 SH SOLA INTL INC COM 834092108 434 36,000 SH SOLECTRON CORP COM 834182107 600 9,000 SH SOLECTRON CORP COM 834182107 777 16,000 SH SOLUTIA INC COM 834376105 205 9,600 SH SOLUTIA INC COM 834376105 26 1,485 SH SONAT INC COM 835415100 3 100 SH SONAT INC. COM 835415100 123 3,700 SH SONIC AUTOMOTIVE INC CL A COM 83545G102 18,641 1,355,700 SH SONOCO PRODS CO COM 835495102 260 8,690 SH SOTHEBYS HLDGS INC COM 835898107 2,500 77,000 SH SOTHEBY'S HOLDINGS COM 835898107 183 4,800 SH SOUTHDOWN INC COM 841297104 212 3,300 SH SOUTHERN CO COM 842587107 729 27,500 SH SOUTHERN CO COM 842587107 140 6,000 SH SOUTHERN PERU COPPER CORP COM 843611104 188 13,000 SH SOUTHTRUST CORP COM 844730101 276 7,200 SH SOUTHTRUST CORP COM 844730101 119 3,200 SH SOUTHWEST AIRLINES COM 844741108 405 13,025 SH SOUTHWEST AIRLS CO COM 844741108 377 12,450 SH SOUTHWEST BANCORPORATION TEX COM 84476R109 59 4,800 SH SOVEREIGN BANCORP INC COM 845905108 177 14,600 SH SPARTECH CORP COM NEW COM 847220209 9,402 297,300 SH SPEEDFAM IPEC INC COM 847705100 240 20,000 SH SPEEDWAY MOTORSPORTS COM 847788106 16,751 426,100 SH SPEEDWAY MOTORSPORTSINC COM 847788106 1,159 28,100 SH SPIEGEL INC COM 848457107 122 20,000 SH SPIEKER PPTYS INC COM COM 848497103 6,714 172,700 SH SPLASH TECHNOLOGY HLDGS INC COM 848623104 194 32,000 SH SPORTS AUTH INC COM 849176102 25 3,400 SH SPRINGS INDUSTRIES INC - CL A COM 851783100 31 700 SH SILICON GRAPHICS, INC. DEFINED 1 6,900 SILICON VY GROUP INC DEFINED 2 5,400 SIMON PPTY GROUP NEW DEFINED 3 746,250 158,300 SK TELECOM CO LTD - ADR DEFINED 1 186,208 SKY FINL GROUP INC COM DEFINED 3 43,000 SL GREEN REALTY CORP DEFINED 3 455,000 96,400 SLM HLDG CORP DEFINED 2 44,800 SMITH (DS) HLDGS DEFINED 2 18,000 SMITH CORONA DEFINED 1 785 SMITH INTERNATIONAL INC. DEFINED 1 3,500 SMITH INTL INC DEFINED 2 130,600 SMITHKLINE BEECHAM P L C DEFINED 2 30,775 SNAP-ON INC. DEFINED 1 3,500 SNYDER COMMUNICATIONS INC DEFINED 1 6,300 SNYDER COMMUNICATIONS INC DEFINED 2 64,100 SOC QUIMICA Y MINERA DEFINED 1 51,130 SOC. GENERALE DEFINED 2 2,526 SODEXHO ALLIANCE DEFINED 2 1,848 SODEXHO MARIOTT SERVICES DEFINED 1 8,272 SODEXHO MARRIOTT SVCS INC DEFINED 2 7,000 SOLA INTL INC DEFINED 2 36,000 SOLECTRON CORP DEFINED 1 9,000 SOLECTRON CORP DEFINED 2 16,000 SOLUTIA INC DEFINED 1 9,600 SOLUTIA INC DEFINED 2 1,485 SONAT INC DEFINED 2 100 SONAT INC. DEFINED 1 3,700 SONIC AUTOMOTIVE INC CL A DEFINED 3 1,336,300 19,400 SONOCO PRODS CO DEFINED 1 8,690 SOTHEBYS HLDGS INC DEFINED 2 77,000 SOTHEBY'S HOLDINGS DEFINED 1 4,800 SOUTHDOWN INC DEFINED 1 3,300 SOUTHERN CO DEFINED 1 27,500 SOUTHERN CO DEFINED 2 6,000 SOUTHERN PERU COPPER CORP DEFINED 1 13,000 SOUTHTRUST CORP DEFINED 1 7,200 SOUTHTRUST CORP DEFINED 2 3,200 SOUTHWEST AIRLINES DEFINED 1 13,025 SOUTHWEST AIRLS CO DEFINED 2 12,450 SOUTHWEST BANCORPORATION TEX DEFINED 2 4,800 SOVEREIGN BANCORP INC DEFINED 1 14,600 SPARTECH CORP COM NEW DEFINED 3 288,200 9,100 SPEEDFAM IPEC INC DEFINED 2 20,000 SPEEDWAY MOTORSPORTS DEFINED 3 406,700 19,400 SPEEDWAY MOTORSPORTSINC DEFINED 2 28,100 SPIEGEL INC DEFINED 2 20,000 SPIEKER PPTYS INC COM DEFINED 3 143,300 29,400 SPLASH TECHNOLOGY HLDGS INC DEFINED 2 32,000 SPORTS AUTH INC DEFINED 2 3,400 SPRINGS INDUSTRIES INC - CL A DEFINED 1 700 Page 40 of 49

43 File Number 28-219 (Consolidated) As of 6/30/99 SPRINT COM 852061100 1,727,800 32,600 SH SPRINT CORP COM 852061506 8,017,771 180,937 SH SPRINT PCS GROUP COM 852061506 971,850 17,050 SH SPT TELECOM AS - GDR COM 852110105 355,874 22,000 SH SPX CORP COM 784635104 225,450 2,700 SH SPYGLASS INC COM 852192103 1,208,406 134,100 SH ST JUDE MEDICAL INC COM 790849103 110,438 3,100 SH ST PAUL BANCORP INC COM 792848103 281,125 13,000 SH ST PAUL BANCORP INC COM COM 792848103 14,415,150 565,300 SH ST. PAUL COS INC. COM 792860108 286,312 9,000 SH STANDARD REGISTER CO COM 853887107 76,875 2,500 SH STANFORD TELECOMMUNICATIONS COM 854402104 590,400 38,400 SH STANLEY WORKS COM 854616109 347,626 10,800 SH STANLEY WORKS COM 854616109 71,750 2,800 SH STAPLES INC COM 855030102 539,860 17,450 SH STAR CHOICE COMMUNICATIONS WARRANT COM 854921111 700,590 254,760 SH STAR CITY HLDGS COM 686871906 29,200 28,600 SH STARBUCKS CORP COM 855244109 585,975 15,600 SH STARBUCKS CORP COM 855244109 8,400,000 300,000 SH STARBUCKS CORP COM COM 855244109 41,183,525 1,096,400 SH STARWOOD HOTELS & RESORTS COM 85590A203 3,328,256 108,900 SH STATE STREET CORP COM 857477103 572,013 6,700 SH STATE STREET CORPORATION COM 857477103 1,906,750 23,200 SH STATEN IS BANCORP INC COM 857550107 101,406 5,900 SH STEINER LEISURE LIMITED COM P8744Y102 1,887,178 61,450 SH STEINWAY MUSICAL COMMON COM 858495104 47,730 1,801,131 SH STERIS CORP COM 859152100 114,313 5,900 SH STERIS CORP COM 859152100 396,713 14,900 SH STERLING BANCSHARES INC COM 858907108 34,238 3,300 SH STERLING COMM INC COM 859205106 753,375 24,500 SH STERLING COMMERCE INC COM 859205106 308,700 8,400 SH STERLING SOFTWARE INC COM 859547101 171,844 6,500 SH STERLING SOFTWARE INC. COM 859547101 1,206,500 50,800 SH STEWART & STEVE COM 860342104 44,225 2,900 SH STEWART + STEVENSON SVCS INC COM 860342104 172,500 23,000 SH STEWART ENETERPRISES INC - CL A COM 860370105 142,713 9,800 SH STONE ENERGY CORP COM 861642106 1,978,913 46,700 SH STORAGE TECHNOLOGY CORP. COM 862111200 193,375 8,500 SH STORAGE USA COM 861907103 7,552,000 236,000 SH STORAGE USA INC COM 861907103 2,560,000 80,000 SH STRIDE RITE CORP COM 863314100 253,575 20,700 SH STRUCTURAL DYNAMICS RESEARCH COM 863555108 53,831 2,900 SH STRUCTURAL DYNAMICS RESH CORP COM 863555108 138,750 7,400 SH STRYKER CORP COM 863667101 499,038 8,300 SH STRYKER CORP COM 863667101 756,563 15,000 SH STUDENT LN CORP COM 863902102 67,275 1,800 SH STUDENT LOAN MARKETING COM 78442A109 242,806 5,300 SH SUIZA FOODS CORP COM 865077101 134,000 3,200 SH SUIZA FOODS CORP COM 865077101 596,269 17,700 SH SUMMIT BANCORP COM 866005101 9,617,400 246,600 SH SPRINT DEFINED 1 32,600 SPRINT CORP DEFINED 2 180,937 SPRINT PCS GROUP DEFINED 1 17,050 SPT TELECOM AS - GDR DEFINED 1 22,000 SPX CORP DEFINED 1 2,700 SPYGLASS INC DEFINED 2 134,100 ST JUDE MEDICAL INC DEFINED 1 3,100 ST PAUL BANCORP INC DEFINED 2 13,000 ST PAUL BANCORP INC COM DEFINED 3 554,300 11,000 ST. PAUL COS INC. DEFINED 1 9,000 STANDARD REGISTER CO DEFINED 1 2,500 STANFORD TELECOMMUNICATIONS DEFINED 2 38,400 STANLEY WORKS DEFINED 1 10,800 STANLEY WORKS DEFINED 2 2,800 STAPLES INC DEFINED 1 17,450 STAR CHOICE COMMUNICATIONS WARRANT DEFINED 1 254,760 STAR CITY HLDGS DEFINED 2 28,600 STARBUCKS CORP DEFINED 1 15,600 STARBUCKS CORP DEFINED 2 300,000 STARBUCKS CORP COM DEFINED 3 1,057,800 38,600 STARWOOD HOTELS & RESORTS DEFINED 3 88,400 20,500 STATE STREET CORP DEFINED 1 6,700 STATE STREET CORPORATION DEFINED 2 23,200 STATEN IS BANCORP INC DEFINED 2 5,900 STEINER LEISURE LIMITED DEFINED 2 61,450 STEINWAY MUSICAL COMMON DEFINED 2 1,801,131 STERIS CORP DEFINED 1 5,900 STERIS CORP DEFINED 2 14,900 STERLING BANCSHARES INC DEFINED 2 3,300 STERLING COMM INC DEFINED 2 24,500 STERLING COMMERCE INC DEFINED 1 8,400 STERLING SOFTWARE INC DEFINED 1 6,500 STERLING SOFTWARE INC. DEFINED 2 50,800 STEWART & STEVE DEFINED 1 2,900 STEWART + STEVENSON SVCS INC DEFINED 2 23,000 STEWART ENETERPRISES INC - CL A DEFINED 1 9,800 STONE ENERGY CORP DEFINED 3 46,700 STORAGE TECHNOLOGY CORP. DEFINED 1 8,500 STORAGE USA DEFINED 3 193,200 42,800 STORAGE USA INC DEFINED 1 80,000 STRIDE RITE CORP DEFINED 2 20,700 STRUCTURAL DYNAMICS RESEARCH DEFINED 1 2,900 STRUCTURAL DYNAMICS RESH CORP DEFINED 2 7,400 STRYKER CORP DEFINED 1 8,300 STRYKER CORP DEFINED 2 15,000 STUDENT LN CORP DEFINED 2 1,800 STUDENT LOAN MARKETING DEFINED 1 5,300 SUIZA FOODS CORP DEFINED 1 3,200 SUIZA FOODS CORP DEFINED 2 17,700 SUMMIT BANCORP DEFINED 2 246,600 Page 41 of 49

44 File Number 28-219 (Consolidated) As of 6/30/99 SUMMIT BANCORPORATION COM 866005101 288,506 6,900 SH SUMMIT PPTYS INC COM 866239106 443,888 26,600 SH SUN COMMUNITIES INC COM 866674104 1,128,900 31,800 SH SUN INTL HOTELS LTD COM P8797T133 17 385 SH SUN MICROSYSTEMS COM 866810104 2,052,475 29,800 SH SUN MICROSYSTEMS INC COM 866810104 8,750,000 70,000 SH SUNGARD DATA SYS INC COM 867363103 468,000 11,700 SH SUNGARD DATA SYS INC COM 867363103 88,930,512 2,577,696 SH SUNGARD DATA SYSTEMS INC. COM 867363103 331,200 9,600 SH SUNGLASS HUT INTL INC COM 86736F106 2,205,000 210,000 SH SUNGLASS HUT INTL INC COM 86736F106 543,794 52,100 SH SUNGLASS HUT INTL INC COM 86736F106 29,562 1,720 SH SUNOCO INC COM 86764P109 78,488 2,600 SH SUNRISE ASSISTED LIVING INC COM 86768K106 3,983,156 87,500 SH SUNRISE MED INC COM 867910101 55,000 8,800 SH SUNTERRA CORP COM 86787D109 418,275 42,900 SH SUNTRUST BANKS INC. COM 867914103 777,700 11,200 SH SUNTRUST BKS INC COM 867914103 342,375 5,500 SH SUPER VALU STORES COM 868536103 111,263 4300 SH SUPERIOR CONSULT HLDG COM 868146101 14,247,156 577,100 SH SUPERIOR INDS INTL INC COM 868168105 65,550 2,400 SH SUPERIOR INDS INTL INC COM 868168105 346,425 14,900 SH SWIFT TRANSN CO COM 870756103 22,073,150 1,003,325 SH SWIFT TRANSN INC COM 870756103 527,725 20,900 SH SYBRON CORP COM 87114F106 253,575 9,200 SH SYBRON INTL CORP WISCONSIN COM 87114F106 465,000 18,600 SH SYKES ENTERPRISES INC COM 871237103 16,343,738 489,700 SH SYLVAN LEARNING SYS COM 871399101 52,624,125 1,935,600 SH SYLVAN LEARNING SYS INC COM 871399101 1,668,375 61,000 SH SYLVAN LEARNING SYSTEMS INC COM 871399101 125,063 4,600 SH SYMANTEC CORP COM 871503108 188,006 11,100 SH SYMANTEC CORPORATION COM 871503108 117,300 4,600 SH SYMBOL TECHNOLOGIES IN COM 871508107 273,797 7,425 SH SYNOPSYS INC COM 871607107 292,494 5,300 SH SYNOPSYS INC COM 871607107 783,833 14,600 SH SYNOVUS FINANCIAL CORPORATION COM 87161C105 194,775 9,800 SH SYSCO CORP. COM 871829107 1,192,500 40,000 SH SYSTEMS + COMPUTER TECHNOLOGY COM 871873105 190,588 19,300 SH TAIWAN FUND COM 874036106 518,750 25,000 SH TALBOTS INC COM 874161102 95,063 3,900 SH TANDY CORP COM 875382103 1,646,363 25,800 SH TANDY CORP COM COM 875382103 18,919,513 387,100 SH TANDY CORP. COM 875382103 439,875 9,000 SH TAUBMAN CTRS INC COM COM 876664103 3,331,163 252,600 SH TCA CABLE TV INC COM 872241104 699,344 16,100 SH TCA CABLE TV INC. COM 872241104 233,100 4,200 SH TCF FINANCIAL CORP. COM 872275102 211,850 7,600 SH TDK CORP COM 686930009 404,932 5,000 SH TECH DATA CORP COM 878237106 156,825 4,100 SH TECO ENERGY COM 872375100 259,350 11,400 SH SUMMIT BANCORPORATION DEFINED 1 6,900 SUMMIT PPTYS INC DEFINED 2 26,600 SUN COMMUNITIES INC DEFINED 3 31,800 SUN INTL HOTELS LTD DEFINED 2 385 SUN MICROSYSTEMS DEFINED 1 29,800 SUN MICROSYSTEMS INC DEFINED 2 70,000 SUNGARD DATA SYS INC DEFINED 2 11,700 SUNGARD DATA SYS INC DEFINED 3 2,487,296 90,400 SUNGARD DATA SYSTEMS INC. DEFINED 1 9,600 SUNGLASS HUT INTL INC DEFINED 2 210,000 SUNGLASS HUT INTL INC DEFINED 2 52,100 SUNGLASS HUT INTL INC DEFINED 2 1,720 SUNOCO INC DEFINED 1 2,600 SUNRISE ASSISTED LIVING INC DEFINED 2 87,500 SUNRISE MED INC DEFINED 2 8,800 SUNTERRA CORP DEFINED 2 42,900 SUNTRUST BANKS INC. DEFINED 1 11,200 SUNTRUST BKS INC DEFINED 2 5,500 SUPER VALU STORES DEFINED 1 4,300 SUPERIOR CONSULT HLDG DEFINED 3 554,900 22,200 SUPERIOR INDS INTL INC DEFINED 1 2,400 SUPERIOR INDS INTL INC DEFINED 2 14,900 SWIFT TRANSN CO DEFINED 3 977,900 25,425 SWIFT TRANSN INC DEFINED 2 20,900 SYBRON CORP DEFINED 1 9,200 SYBRON INTL CORP WISCONSIN DEFINED 2 18,600 SYKES ENTERPRISES INC DEFINED 3 479,500 10,200 SYLVAN LEARNING SYS DEFINED 3 1,895,750 39,850 SYLVAN LEARNING SYS INC DEFINED 2 61,000 SYLVAN LEARNING SYSTEMS INC DEFINED 1 4,600 SYMANTEC CORP DEFINED 2 11,100 SYMANTEC CORPORATION DEFINED 1 4,600 SYMBOL TECHNOLOGIES IN DEFINED 1 7,425 SYNOPSYS INC DEFINED 1 5,300 SYNOPSYS INC DEFINED 2 14,600 SYNOVUS FINANCIAL CORPORATION DEFINED 1 9,800 SYSCO CORP. DEFINED 1 40,000 SYSTEMS + COMPUTER TECHNOLOGY DEFINED 2 19,300 TAIWAN FUND DEFINED 1 25,000 TALBOTS INC DEFINED 2 3,900 TANDY CORP DEFINED 2 25,800 TANDY CORP COM DEFINED 3 346,300 40,800 TANDY CORP. DEFINED 1 9,000 TAUBMAN CTRS INC COM DEFINED 3 208,600 44,000 TCA CABLE TV INC DEFINED 2 16,100 TCA CABLE TV INC. DEFINED 1 4,200 TCF FINANCIAL CORP. DEFINED 1 7,600 TDK CORP DEFINED 2 5,000 TECH DATA CORP DEFINED 1 4,100 TECO ENERGY DEFINED 1 11,400 Page 42 of 49

45 File Number 28-219 (Consolidated) As of 6/30/99 TECUMSEH PRODS CO COM 878895200 97 1,600 SH TEEKAY SHIPPING CORP COM V89564104 76 4,600 SH TEKTRONIX INC COM 879131100 56 1,850 SH TELE NORTE LESTE PARTICIPACOES S.A. A COM 879246106 117 6,300 SH TELEBRAS ADR PFD BLOCK COM 879287308 3,202 37,200 SH TELECOMUNICACOES BRASILEIRAS COM 879287308 666 8,256 SH TELEFLEX INC COM 879369106 135 3,100 SH TELEFLEX INC COM 879369106 337 9,900 SH TELEFONICA DE ARGENTINA ADR COM 879378206 2,027 65,250 SH TELEFONICA DE ARGENTINA S A COM 879378206 81 2,690 SH TELEFONICA DEL PERU ADR COM 879384105 842 57,700 SH TELEFONOS DE MEXICO S A COM 879403780 364 5,550 SH TELEKOMUNIKACJA POLSKA-GDR COM 87943D207 477 68,000 SH TELEPHONE & DATA SYSTEMS, INC. COM 879433100 358 4,900 SH TELESP CELULAR SA COM 224695908 10 275,000 SH TELESP PARTICIPACOES SA-ADR COM 87952K100 816 38,500 SH TELESP TEL SAO PAU COM 288254006 35 287,924 SH TELEWEST COMMS COM 065445900 269 62,200 SH TELLABS COM 879664100 1,013 15,000 SH TELLABS INC COM 879664100 704 7,200 SH TELMEX ADS - TELEFONOS DE MEXICO CL L COM 879403780 5,779 76,770 SH TEMPLE-INLAND COM 879868107 144 2,100 SH TENET HEALTHCARE CORP COM 88033G100 1,379 72,800 SH TENET HEALTHCARE CORP. COM 88033G100 219 11,800 SH TENNECO INC NEW COM 88037E101 698 25,000 SH TENNECO(NEW) COM 88037E1011 167 7,000 SH TERADYNE INC COM 880770102 382 7,000 SH TERADYNE INC. COM 880770102 4,111 57,300 SH TESCO COM 088470000 196 74,000 SH TESORO PETE CORP COM 881609101 116 10,500 SH TETRA TECH INC NEW COM 88162G103 427 20,200 SH TETRA TECH INC NEW COM COM 88162G103 33,066 2,003,991 SH TEVA PHARMACEUTICAL INDS ADR COM 881624209 1,061 22,400 SH TEXACO INC COM 881694103 2,207 38,390 SH TEXACO INC. COM 881694103 1,617 25,928 SH TEXAS INDS INC COM 882491103 65 2,600 SH TEXAS INSTRS INC COM 882508104 26,410 266,100 SH TEXAS INSTRS INC COM 882508104 2,881 20,010 SH TEXAS INSTRUMENTS INC COM 882508104 2,203 15,300 SH TEXAS UTILITIES CO COM 882848104 417 10,052 SH TEXAS UTILS CO COM 882848104 1,668 40,000 SH TEXTRON INC COM 883203101 560 6,800 SH THERMADYNE CORP COMMON COM 883434201 58 80,000 SH THERMO ELECTRON COM 883556102 130 6,500 SH THOMAS & BETTS CORP COM 884315102 85 1,800 SH TICKETMASTER ONLINE CITYSEARCH COM 88633P203 2,989 88,900 SH TIDEWATER INC. COM 886423102 165 5,400 SH TIFFANY & CO. COM 886547108 280 2,900 SH TIME WARNER INC COM 887315109 30,083 423,078 SH TIME WARNER INC. COM 887315109 28,364 390,550 SH TECUMSEH PRODS CO DEFINED 1 1,600 TEEKAY SHIPPING CORP DEFINED 2 4,600 TEKTRONIX INC DEFINED 1 1,850 TELE NORTE LESTE PARTICIPACOES S.A. A DEFINED 1 6,300 TELEBRAS ADR PFD BLOCK DEFINED 1 37,200 TELECOMUNICACOES BRASILEIRAS DEFINED 2 8,256 TELEFLEX INC DEFINED 1 3,100 TELEFLEX INC DEFINED 2 9,900 TELEFONICA DE ARGENTINA ADR DEFINED 1 65,250 TELEFONICA DE ARGENTINA S A DEFINED 2 2,690 TELEFONICA DEL PERU ADR DEFINED 1 57,700 TELEFONOS DE MEXICO S A DEFINED 2 5,550 TELEKOMUNIKACJA POLSKA-GDR DEFINED 1 68,000 TELEPHONE & DATA SYSTEMS, INC. DEFINED 1 4,900 TELESP CELULAR SA DEFINED 2 275,000 TELESP PARTICIPACOES SA-ADR DEFINED 1 38,500 TELESP TEL SAO PAU DEFINED 2 287,924 TELEWEST COMMS DEFINED 2 62,200 TELLABS DEFINED 1 15,000 TELLABS INC DEFINED 2 7,200 TELMEX ADS - TELEFONOS DE MEXICO CL L DEFINED 1 76,770 TEMPLE-INLAND DEFINED 1 2,100 TENET HEALTHCARE CORP DEFINED 2 72,800 TENET HEALTHCARE CORP. DEFINED 1 11,800 TENNECO INC NEW DEFINED 2 25,000 TENNECO(NEW) DEFINED 1 7,000 TERADYNE INC DEFINED 2 7,000 TERADYNE INC. DEFINED 1 57,300 TESCO DEFINED 2 74,000 TESORO PETE CORP DEFINED 2 10,500 TETRA TECH INC NEW DEFINED 2 20,200 TETRA TECH INC NEW COM DEFINED 3 1,961,956 42,035 TEVA PHARMACEUTICAL INDS ADR DEFINED 2 22,400 TEXACO INC DEFINED 2 38,390 TEXACO INC. DEFINED 1 25,928 TEXAS INDS INC DEFINED 2 2,600 TEXAS INSTRS INC DEFINED 2 266,100 TEXAS INSTRS INC DEFINED 3 20,010 TEXAS INSTRUMENTS INC DEFINED 1 15,300 TEXAS UTILITIES CO DEFINED 1 10,052 TEXAS UTILS CO DEFINED 2 40,000 TEXTRON INC DEFINED 1 6,800 THERMADYNE CORP COMMON DEFINED 1 80,000 THERMO ELECTRON DEFINED 1 6,500 THOMAS & BETTS CORP DEFINED 1 1,800 TICKETMASTER ONLINE CITYSEARCH DEFINED 2 88,900 TIDEWATER INC. DEFINED 1 5,400 TIFFANY & CO. DEFINED 1 2,900 TIME WARNER INC DEFINED 2 423,078 TIME WARNER INC. DEFINED 1 390,550 Page 43 of 49

46 File Number 28-219 (Consolidated) As of 6/30/99 TIMES MIRROR CO COM 887364107 225 3,800 SH TIMKEN CO. COM 887389104 41 2,100 SH TJX COMPANIES INC. NEW COM 872540109 386 11,600 SH TMP WORLDWIDE INC COM COM 872941109 22,041 347,100 SH TOKIO MARINE +FIRE COM 689476000 68 6,000 SH TOKYO ELECTRON COM 689567006 207 4,000 SH TOLL BROS INC COM 889478103 237 13,100 SH TOMKINS COM 089626006 236 64,000 SH TOPPAN PRINTING CO COM 689702009 131 10,000 SH TORCHMARK CORP COM 891027104 229 6,700 SH TORO CO COM 891092108 91 2,900 SH TORONTO DOMINION BANK COM 891160509 5,916 134,350 SH TOSCO CORP COM 891490302 345 13,300 SH TOSCO CORP COM 891490302 819 33,000 SH TOTAL RENAL CARE HLDGS INC COM 89151A107 95 8,600 SH TOTAL RENAL CARE HOLDINGS COM 89151A107 103 6,600 SH TOWER AUTOMOTIVE INC COM 891707101 205 11,000 SH TOYS R US COM 892335100 230 11,100 SH TRANS WORLD AIRLINES, INC COM 893349837 12 2,649 SH TRANSACTION SYS ARCHIT COM 893416107 62,927 1,613,500 SH TRANSACTION SYS ARCHITECTS INC COM 893416107 1,274 35,400 SH TRANSAMERICA COM 893485102 443 5,900 SH TRANSAMERICA CORP COM 893485102 383 5,400 SH TRANSATLANTIC HLDGS INC COM 893521104 1,973 26,300 SH TRANSATLANTIC HOLDINGS INC COM 893521104 1,472,936 19,655,520 SH TRANSMONTAIGNE INC COM 893934109 16,432 1,308,000 SH TRANSOCEAN OFFSHORE INC COM G90076103 231 8,800 SH TRANSOCEAN OFFSHORE INC COM 893817106 1,570 54,500 SH TRANSPORTADOR GAS SUR-SP ADR COM 893870204 730 77,900 SH TRANSWITCH CORP COM 894065101 17,766 375,000 SH TRAVEL SVCS INTL INC COM 894169101 681 64,900 SH TRIAD HOSPITAL INC COM 89379K109 0 9 SH TRIAD HOSPITALS INC W/I COM 89579K109 0 1 SH TRIBUNE CO COM 896047107 401 4,600 SH TRIBUNE CO NEW COM 896047107 386 5,900 SH TRICON GLOBAL RESTAURANTS, INC. COM 895953107 334 6,170 SH TRIGON HEALTHCARE COM 89618L100 30,271 832,200 SH TRIGON HEALTHCARE INC COM 89618L100 131 3,600 SH TRIMERIS INC COM 896263100 988 68,153 SH TRINET CORP RLTY TR INC COM 896287109 109 4,300 SH TRINITY INDUSTRIES COM 896522109 121 3,600 SH TRIZEC HAHN CORP COM 896938107 3,482 170,900 SH TRW INC COM 872649108 274 5,000 SH TUBOS DE ACERO DE MEX-SP ADR COM 898592506 384 35,300 SH TUPPERWARE CORP COM 899896104 66 2,600 SH TV AZTECA S A DE C V COM 901145102 13 2,100 SH TV AZTECA S.A. DE C.V. - ADR COM 901145102 1,021 196,900 SH TV GUIDE INC COM 87307Q109 757 20,600 SH TWENTIETH CENTURY IND. COM 901272203 988,744 53,445,620 SH TWENTIETH CENTURY IND. COM 901272203 80 4,900 SH TIMES MIRROR CO DEFINED 1 3,800 TIMKEN CO. DEFINED 1 2,100 TJX COMPANIES INC. NEW DEFINED 1 11,600 TMP WORLDWIDE INC COM DEFINED 3 339,700 7,400 TOKIO MARINE +FIRE DEFINED 2 6,000 TOKYO ELECTRON DEFINED 2 4,000 TOLL BROS INC DEFINED 2 13,100 TOMKINS DEFINED 2 64,000 TOPPAN PRINTING CO DEFINED 2 10,000 TORCHMARK CORP DEFINED 1 6,700 TORO CO DEFINED 2 2,900 TORONTO DOMINION BANK DEFINED 1 134,350 TOSCO CORP DEFINED 1 13,300 TOSCO CORP DEFINED 2 33,000 TOTAL RENAL CARE HLDGS INC DEFINED 2 8,600 TOTAL RENAL CARE HOLDINGS DEFINED 1 6,600 TOWER AUTOMOTIVE INC DEFINED 2 11,000 TOYS R US DEFINED 1 11,100 TRANS WORLD AIRLINES, INC DEFINED 1 2,649 TRANSACTION SYS ARCHIT DEFINED 3 1,557,000 56,500 TRANSACTION SYS ARCHITECTS INC DEFINED 2 35,400 TRANSAMERICA DEFINED 1 5,900 TRANSAMERICA CORP DEFINED 2 5,400 TRANSATLANTIC HLDGS INC DEFINED 2 26,300 TRANSATLANTIC HOLDINGS INC DEFINED 1 19,655,520 TRANSMONTAIGNE INC DEFINED 3 1,283,500 24,500 TRANSOCEAN OFFSHORE INC DEFINED 1 8,800 TRANSOCEAN OFFSHORE INC DEFINED 2 54,500 TRANSPORTADOR GAS SUR-SP ADR DEFINED 1 77,900 TRANSWITCH CORP DEFINED 3 367,300 7,700 TRAVEL SVCS INTL INC DEFINED 2 64,900 TRIAD HOSPITAL INC DEFINED 2 9 TRIAD HOSPITALS INC W/I DEFINED 1 1 TRIBUNE CO DEFINED 1 4,600 TRIBUNE CO NEW DEFINED 2 5,900 TRICON GLOBAL RESTAURANTS, INC. DEFINED 1 6,170 TRIGON HEALTHCARE DEFINED 3 812,100 20,100 TRIGON HEALTHCARE INC DEFINED 1 3,600 TRIMERIS INC DEFINED 1 68,153 TRINET CORP RLTY TR INC DEFINED 2 4,300 TRINITY INDUSTRIES DEFINED 1 3,600 TRIZEC HAHN CORP DEFINED 3 136,800 34,100 TRW INC DEFINED 1 5,000 TUBOS DE ACERO DE MEX-SP ADR DEFINED 1 35,300 TUPPERWARE CORP DEFINED 1 2,600 TV AZTECA S A DE C V DEFINED 2 2,100 TV AZTECA S.A. DE C.V. - ADR DEFINED 1 196,900 TV GUIDE INC DEFINED 2 20,600 TWENTIETH CENTURY IND. DEFINED 1 53,445,620 TWENTIETH CENTURY IND. DEFINED 2 4,900 Page 44 of 49

47 File Number 28-219 (Consolidated) As of 6/30/99 TYCO INTERNATIONAL LTD. COM 902124106 29,091 307,032 SH TYCO INTL LTD NEW COM 902124106 3,057 42,600 SH TYSON FOODS COM 902494103 448 19,900 SH U S FOODSERVICE COM 90331R101 698 15,000 SH U S RESTAURANT PPTYS COM 902971100 3,685 173,400 SH U.S VISION INC COM 90339M104 43 10,000 SH U.S. BANCORP COM 902973106 982 29,420 SH U.S. FOODSERVICE COM 90331R101 153 3,600 SH U.S. WEST INC COM 91273H1014 203 3,463 SH UAL CORP COM 902549500 635 8,165 SH UCAR INTERNATIONAL INC COM 90262K109 96 3,800 SH UGLY DUCKLING HLDGS INC COMMON COM 903512101 1 137,644 SH ULTRAMAR DIAMOND SHAMROCK COM 904000106 161 7,399 SH UMB FINL CORP COM 902788108 743 19,300 SH UNIBANCO UNIAO DE BARNCOS BRAS COM 90458E107 19 1,000 SH UNICOM CORP COM 904911104 1,002 27,400 SH UNICOM CORPORATION COM 904911104 320 8,300 SH UNIFI INC COM 904677101 117 5,500 SH UNIFIED ENERGY SYSTEMS GDR COM 9046882075 398 45,500 SH UNILEVER N V COM 904784709 1,600 22,946 SH UNION CAMP CORP COM 905530101 7 100 SH UNION CARBIDE COM 905581104 239 4,900 SH UNION PACIFIC CORP. COM 907818108 3,749 64,284 SH UNION PACIFIC RES GROUP INC COM 907834105 390 32,800 SH UNION PACIFIC RESOURCES GRP COM 907834105 916 56,178 SH UNION PLANTERS CORP COM 908068109 223 5,000 SH UNIPHASE CORP COM 909149106 2,639 23,000 SH UNISOURCE WORLDWIDE INC COM 909208100 72 10,100 SH UNISYS CORP. COM 909214108 323 8,300 SH UNITED DOMINION IND. COM 909914103 2,318 84,765 SH UNITED DOMINION RLTY TR INC COM 910197102 19 1,900 SH UNITED HEALTHCARE CORP COM 910581107 772 14,025 SH UNITED HEALTHCARE CORP. COM 910581107 451 7,200 SH UNITED PARK CITY MINES COM 911315208 4,970 154,094 SH UNITED RENTALS INC COM 911363109 2,068 72,578 SH UNITED TECHNOLOGIES CORP COM 913017109 19,966 277,305 SH UNITED TECHNOLOGIES CORP COM 913017109 7,449 55,000 SH UNITRIN INC COM 913275103 117 3,800 SH UNIVERSAL CORP VA COM 913456109 85 3,000 SH UNIVERSAL CORP VA COM 913456109 281 11,000 SH UNIVERSAL FOODS COM 913538104 80 3,800 SH UNIVISION COMMUNICATIONS CL A COM 914906102 507 7,800 SH UNIVISION COMMUNICATIONS INC COM 914906102 10,325 206,500 SH UNOCAL CAP TR COM 91528T207 1,666 31,000 SH UNOCAL CORP COM 915289102 384 9,700 SH UNOCAL CORP COM 915289102 442 12,000 SH UNUM CORP COM 903192102 1,455 30,600 SH UNUMPROVIDENT COM 903192102 114,367 2,088,900 SH URBAN SHOPPING CTRS COM 917060105 4,202 133,400 SH US AIRWAYS GROUP, INC. COM 911905107 122 2,800 SH TYCO INTERNATIONAL LTD. DEFINED 1 307,032 TYCO INTL LTD NEW DEFINED 2 42,600 TYSON FOODS DEFINED 1 19,900 U S FOODSERVICE DEFINED 2 15,000 U S RESTAURANT PPTYS DEFINED 3 143,000 30,400 U.S VISION INC DEFINED 2 10,000 U.S. BANCORP DEFINED 1 29,420 U.S. FOODSERVICE DEFINED 1 3,600 U.S. WEST INC DEFINED 1 3,463 UAL CORP DEFINED 2 8,165 UCAR INTERNATIONAL INC DEFINED 1 3,800 UGLY DUCKLING HLDGS INC COMMON DEFINED 2 137,644 ULTRAMAR DIAMOND SHAMROCK DEFINED 1 7,399 UMB FINL CORP DEFINED 2 19,300 UNIBANCO UNIAO DE BARNCOS BRAS DEFINED 2 1,000 UNICOM CORP DEFINED 2 27,400 UNICOM CORPORATION DEFINED 1 8,300 UNIFI INC DEFINED 1 5,500 UNIFIED ENERGY SYSTEMS GDR DEFINED 1 45,500 UNILEVER N V DEFINED 1 22,946 UNION CAMP CORP DEFINED 2 100 UNION CARBIDE DEFINED 1 4,900 UNION PACIFIC CORP. DEFINED 1 64,284 UNION PACIFIC RES GROUP INC DEFINED 2 32,800 UNION PACIFIC RESOURCES GRP DEFINED 1 56,178 UNION PLANTERS CORP DEFINED 1 5,000 UNIPHASE CORP DEFINED 2 23,000 UNISOURCE WORLDWIDE INC DEFINED 2 10,100 UNISYS CORP. DEFINED 1 8,300 UNITED DOMINION IND. DEFINED 1 84,765 UNITED DOMINION RLTY TR INC DEFINED 2 1,900 UNITED HEALTHCARE CORP DEFINED 2 14,025 UNITED HEALTHCARE CORP. DEFINED 1 7,200 UNITED PARK CITY MINES DEFINED 1 154,094 UNITED RENTALS INC DEFINED 2 72,578 UNITED TECHNOLOGIES CORP DEFINED 1 277,305 UNITED TECHNOLOGIES CORP DEFINED 2 55,000 UNITRIN INC DEFINED 2 3,800 UNIVERSAL CORP VA DEFINED 1 3,000 UNIVERSAL CORP VA DEFINED 2 11,000 UNIVERSAL FOODS DEFINED 1 3,800 UNIVISION COMMUNICATIONS CL A DEFINED 1 7,800 UNIVISION COMMUNICATIONS INC DEFINED 2 206,500 UNOCAL CAP TR DEFINED 2 31,000 UNOCAL CORP DEFINED 1 9,700 UNOCAL CORP DEFINED 2 12,000 UNUM CORP DEFINED 2 30,600 UNUMPROVIDENT DEFINED 1 2,088,900 URBAN SHOPPING CTRS DEFINED 3 109,200 24,200 US AIRWAYS GROUP, INC. DEFINED 1 2,800 Page 45 of 49

48 File Number 28-219 (Consolidated) As of 6/30/99 US BANCORP DEL COM 902973106 1,175 34,500 SH US WEST INC COM 91273H101 916 15,589 SH USA NETWORKS INC COM 902984103 8,621 214,864 SH USA NETWORKS INC COM 902984103 2,849 79,600 SH USG CORP COM 903293405 246 4,400 SH UST INC COM 902911106 202 6,900 SH UST INC COM 902911106 4,133 158,222 SH USWEB CORP COM 917327108 7,429 180,200 SH USWEB CORP COM COM 917327108 25,416 1,145,500 SH USX MARATHON GROUP COM 902905827 245 8,900 SH USX U S STL GROUP COM 90337T101 392 16,700 SH USX/MARATHON GROUP COM 902905827 368 11,300 SH USX-U.S. STEEL GROUP INC. COM 90337T101 86 3,200 SH UTILICORP UTD INC DEL COM 918005109 201 8,250 SH VALASSIS COMMUNICATIONS INC COM 918866104 378 7,300 SH VALERO ENERGY CORP COM 91913Y100 109 5,100 SH VALERO ENERGY CORP COM 91913Y100 480 19,300 SH VALLEY MEDIA INC COM 91972C106 1,138 50,000 SH VANGUARD CELLULAR SYS INC COM 922022108 84 3,100 SH VARCO INTL INC COM 922126107 58 5,400 SH VASTAR RES INC COM 922380100 478 10,000 SH VASTAR RES INC COM COM 922380100 7,776 148,300 SH VENTAS INC COM COM 92276F100 3,720 692,100 SH VERISIGN INC COM 92343E102 7,256 47,120 SH VERITAS SOFTWARE CORP COM 923436109 570 6,000 SH VERTICALNET INC COM 92532L107 1,265 12,200 SH VF CORP COM 918204108 205 4,800 SH VIACOM INC COM 925524308 583 6,945 SH VIACOM INC CL-B COMMON COM 925524308 1,245 28,300 SH VIAD CORP COM 92552R109 334 12,000 SH VIAD CORPORATION COM 92552R109 282 9,100 SH VIGNETTE CORP COM 926734104 3,173 42,300 SH VISHAY INTERTECHNOLOGY COM 928298108 154 7,315 SH VISTA INFO SOLUTIONS COM 928365204 935 80,900 SH VISTANA INC COM 92839P108 570 42,200 SH VISUAL NETWORKS INC COM 928444108 483 13,000 SH VISUAL NETWORKS INC COM 928444108 18,515 578,600 SH VISX INC DEL COM 92844S105 408 3,800 SH VISX INCORPORATED COM 92844S105 412 5,200 SH VITESSE SEMICONDUCTOR COM 928497106 2,893 42,900 SH VITESSE SEMICONDUCTOR CORP COM 928497106 405 6,000 SH VITESSE SEMICONDUCTOR CORP COM 928497106 718 14,200 SH VLASIC FOODS INTERNATIONAL COM 928559103 29 3,900 SH VLASIC FOODS INTL INC COM 928559103 91 7,000 SH VLSI TECHNOLOGY 8.25% 10/1/05 CVT 918270AB5 508 5,000 SH VLSI TECHNOLOGY INC COM 918270109 179 9,200 SH VODAFONE COM 92857T1079 2,059 10,450 SH VODAFONE GROUP COM 071921001 621 33,472 SH VORNADO REALTY TR COM 929042208 15 300 SH VORNADO RLTY TR COM 929042109 476 13,800 SH US BANCORP DEL DEFINED 2 34,500 US WEST INC DEFINED 1 15,589 USA NETWORKS INC DEFINED 1 214,864 USA NETWORKS INC DEFINED 2 79,600 USG CORP DEFINED 1 4,400 UST INC DEFINED 1 6,900 UST INC DEFINED 2 158,222 USWEB CORP DEFINED 2 180,200 USWEB CORP COM DEFINED 3 1,120,200 25,300 USX MARATHON GROUP DEFINED 2 8,900 USX U S STL GROUP DEFINED 2 16,700 USX/MARATHON GROUP DEFINED 1 11,300 USX-U.S. STEEL GROUP INC. DEFINED 1 3,200 UTILICORP UTD INC DEL DEFINED 1 8,250 VALASSIS COMMUNICATIONS INC DEFINED 2 7,300 VALERO ENERGY CORP DEFINED 1 5,100 VALERO ENERGY CORP DEFINED 2 19,300 VALLEY MEDIA INC DEFINED 2 50,000 VANGUARD CELLULAR SYS INC DEFINED 2 3,100 VARCO INTL INC DEFINED 1 5,400 VASTAR RES INC DEFINED 2 10,000 VASTAR RES INC COM DEFINED 3 126,200 22,100 VENTAS INC COM DEFINED 3 569,200 122,900 VERISIGN INC DEFINED 2 47,120 VERITAS SOFTWARE CORP DEFINED 1 6,000 VERTICALNET INC DEFINED 2 12,200 VF CORP DEFINED 1 4,800 VIACOM INC DEFINED 2 6,945 VIACOM INC CL-B COMMON DEFINED 1 28,300 VIAD CORP DEFINED 2 12,000 VIAD CORPORATION DEFINED 1 9,100 VIGNETTE CORP DEFINED 2 42,300 VISHAY INTERTECHNOLOGY DEFINED 1 7,315 VISTA INFO SOLUTIONS DEFINED 3 80,900 VISTANA INC DEFINED 2 42,200 VISUAL NETWORKS INC DEFINED 2 13,000 VISUAL NETWORKS INC DEFINED 3 566,900 11,700 VISX INC DEL DEFINED 2 3,800 VISX INCORPORATED DEFINED 1 5,200 VITESSE SEMICONDUCTOR DEFINED 3 35,600 7,300 VITESSE SEMICONDUCTOR CORP DEFINED 1 6,000 VITESSE SEMICONDUCTOR CORP DEFINED 2 14,200 VLASIC FOODS INTERNATIONAL DEFINED 1 3,900 VLASIC FOODS INTL INC DEFINED 2 7,000 VLSI TECHNOLOGY 8.25% 10/1/05 DEFINED 1 5,000 VLSI TECHNOLOGY INC DEFINED 2 9,200 VODAFONE DEFINED 1 10,450 VODAFONE GROUP DEFINED 2 33,472 VORNADO REALTY TR DEFINED 2 300 VORNADO RLTY TR DEFINED 2 13,800 Page 46 of 49

49 File Number 28-219 (Consolidated) As of 6/30/99 VORNADO RLTY TR COM 929042109 13,867 392,700 SH VULCAN MATERIALS INC COM 929160109 434 9,000 SH VULCAN MATLS CO COM 929160109 905 21,900 SH WACHOVIA CORP COM 929771103 607 7,100 SH WADDELL + REED FINL INC COM 930059100 361 17,600 SH WADDELL + REED FINL INC COM 930059209 173 8,700 SH WAL MART STORES INC COM 931142103 13,089 143,230 SH WALDEN RESIDENT COM 931210108 6,201 288,400 SH WALDEN RESIDENT PPTYS WT B EX 123107 WTS 931210124 443 443,020 SH WALGREEN CO COM 931422109 1,163 39,600 SH WALGREEN CO COM 931422109 1,222 43,260 SH WALLACE COMPUTER SER INC COM 932270101 361 18,200 SH WALLACE COMPUTER SYSTEMS COM 932270101 100 4,000 SH WAL-MART STORES COM 931142103 32,657 676,820 SH WALT DISNEY COMPANY COM 254687106 2,447 79,400 SH WALTER IND COMMON COM 93317Q105 0 807 SH WALTER INDS INC COM 93317Q105 98 8,700 SH WANG LABS INC NEW COM 93369N109 143 7,300 SH WARNACO COM 934390105 147 5,500 SH WARNACO GROUP INC COM 934390105 627 25,400 SH WARNER CHILCOTT ADR (NEW) COM 934435207 4,031 496,120 SH WARNER LAMBERT COM 934488107 8,431 121,965 SH WARNER LAMBERT CO COM 934488107 13,044 196,170 SH WASHINGTON GAS LT CO COM 938837101 99 3,800 SH WASHINGTON GAS LT CO COM 938837101 713 31,500 SH WASHINGTON MUT INC COM 939322103 6,370 169,900 SH WASHINGTON MUTUAL INC. COM 939322103 760 21,380 SH WASHINGTON POST CO COM 939640108 104 200 SH WASHINGTON POST CO. COM 939640108 484 900 SH WASTE CONNECTIONS COM 941053100 18,968 621,900 SH WASTE MANAGEMENT INC COM 94106L109 1,349 25,100 SH WASTE MGMT INC DEL COM 94106L109 1,237 27,872 SH WATERS CORP COM 941848103 147 1,400 SH WATERS CORP COM COM 941848103 58,374 1,098,800 SH WATSCO INC COM 942622200 79 5,400 SH WATSON PHARMACEUTICALS COM 942683103 140 4,000 SH WATSON PHARMACEUTICALS INC COM 942683103 441 10,000 SH WATTS INDS INC COM 942749102 400 29,500 SH WATTS INDUSTRIES CLASS A COM 942749102 38 2,000 SH WAUSAU MOSINEE PAPER CORP COM 943315101 101 7,200 SH WAUSAU-MOSINEE PAPER CORP COM 943315101 85 4,700 SH WD 40 CO COM 929236107 1,363 47,000 SH WEATHERFORD INTERNATIONAL COM 947074100 300 8,200 SH WEATHERFORD INTL INC NEW COM 947074100 3,041 116,400 SH WEEKS CORP COM 94856P102 3,935 129,000 SH WEINGARTEN RLTY INVS COM 948741103 24 600 SH WELLMAN INC COM 949702104 45 2,800 SH WELLPOINT HEALTH NETWORKS COM 94973H108 221 2,600 SH WELLPOINT HEALTH NETWORKS INC COM 94973H108 432 5,700 SH WELLPOINT HLT NETW COM 94973H108 4,702 55,400 SH VORNADO RLTY TR DEFINED 3 322,500 70,200 VULCAN MATERIALS INC DEFINED 1 9,000 VULCAN MATLS CO DEFINED 2 21,900 WACHOVIA CORP DEFINED 1 7,100 WADDELL + REED FINL INC DEFINED 2 17,600 WADDELL + REED FINL INC DEFINED 2 8,700 WAL MART STORES INC DEFINED 2 143,230 WALDEN RESIDENT DEFINED 3 236,500 51,900 WALDEN RESIDENT PPTYS WT B EX 123107 DEFINED 3 443,020 WALGREEN CO DEFINED 1 39,600 WALGREEN CO DEFINED 2 43,260 WALLACE COMPUTER SER INC DEFINED 2 18,200 WALLACE COMPUTER SYSTEMS DEFINED 1 4,000 WAL-MART STORES DEFINED 1 676,820 WALT DISNEY COMPANY DEFINED 1 79,400 WALTER IND COMMON DEFINED 2 807 WALTER INDS INC DEFINED 2 8,700 WANG LABS INC NEW DEFINED 2 7,300 WARNACO DEFINED 1 5,500 WARNACO GROUP INC DEFINED 2 25,400 WARNER CHILCOTT ADR (NEW) DEFINED 1 496,120 WARNER LAMBERT DEFINED 1 121,965 WARNER LAMBERT CO DEFINED 2 196,170 WASHINGTON GAS LT CO DEFINED 1 3,800 WASHINGTON GAS LT CO DEFINED 2 31,500 WASHINGTON MUT INC DEFINED 2 169,900 WASHINGTON MUTUAL INC. DEFINED 1 21,380 WASHINGTON POST CO DEFINED 2 200 WASHINGTON POST CO. DEFINED 1 900 WASTE CONNECTIONS DEFINED 3 613,000 8,900 WASTE MANAGEMENT INC DEFINED 1 25,100 WASTE MGMT INC DEL DEFINED 2 27,872 WATERS CORP DEFINED 2 1,400 WATERS CORP COM DEFINED 3 1,048,200 50,600 WATSCO INC DEFINED 2 5,400 WATSON PHARMACEUTICALS DEFINED 1 4,000 WATSON PHARMACEUTICALS INC DEFINED 2 10,000 WATTS INDS INC DEFINED 2 29,500 WATTS INDUSTRIES CLASS A DEFINED 1 2,000 WAUSAU MOSINEE PAPER CORP DEFINED 2 7,200 WAUSAU-MOSINEE PAPER CORP DEFINED 1 4,700 WD 40 CO DEFINED 2 47,000 WEATHERFORD INTERNATIONAL DEFINED 1 8,200 WEATHERFORD INTL INC NEW DEFINED 2 116,400 WEEKS CORP DEFINED 3 107,900 21,100 WEINGARTEN RLTY INVS DEFINED 2 600 WELLMAN INC DEFINED 1 2,800 WELLPOINT HEALTH NETWORKS DEFINED 1 2,600 WELLPOINT HEALTH NETWORKS INC DEFINED 2 5,700 WELLPOINT HLT NETW DEFINED 3 44,500 10,900 Page 47 of 49

50 File Number 28-219 (Consolidated) As of 6/30/99 WELLS FARGO COM 9497461015 2,685 62,800 SH WELLS FARGO + CO NEW COM 949746101 6,094 173,800 SH WENDY'S COM 950590109 131 4,600 SH WERNER ENTERPRISES INC COM 950755108 484 30,750 SH WESLEY JESSEN VISIONCARE INC COM 951018100 159 5,800 SH WEST PHARMACEUTICAL SVCS INC COM 955306105 60 1,882 SH WESTAMERICA BANCORPORATION COM 957090103 128 3,500 SH WESTAMERICA BANCORPORATION COM 957090103 538 17,000 SH WESTCOAST ENERGY COM 95751D102 1,736 78,800 SH WESTERN BANCORP COM 957683105 276 9,000 SH WESTERN WIRELESS CORP COM 95988E204 2,503 69,300 SH WESTFIELD AMER INC COM 959910100 8,128 539,600 SH WESTPOINT STEVENS COM 961238102 17,732 594,800 SH WESTPOINT STEVENS INC. COM 961238102 1,505 50,480 SH WESTVACO CORP COM 961548104 273 13,000 SH WESTVACO CORP. COM 961548104 116 4,000 SH WESTWOOD ONE COM 961815107 20,249 567,400 SH WET SEAL INC COM 961840105 103 2,800 SH WEYERHAEUSER CO COM 962166104 422 7,600 SH WEYERHAEUSER CO. COM 962166104 564 8,200 SH WHIRLPOOL CORP COM 963320106 222 3,000 SH WHIRLPOOL CORP COM 963320106 435 8,000 SH WHITMAN CORP COM 96647R107 155 8,600 SH WHITTMAN HART INC COM 966834103 323 15,000 SH WHOLE FOODS MKT INC COM 966837106 947 27,600 SH WILD OATS MARKETS COM 96808B107 26,815 883,700 SH WILEY JOHN + SON COM 968223206 567 13,500 SH WILLAMETTE INDS INC COM 969133107 483 12,800 SH WILLAMETTE INDS. INC. COM 969133107 198 4,300 SH WILLIAMS COMPANIES COM 969457100 694 16,300 SH WILLIAMS COS INC COM 969457100 1,067 27,000 SH WILLIAMS SONOMA COM 969904101 6,963 200,000 SH WILLIAMS SONOMA INC COM 969904101 520 18,400 SH WILMINGTON TR CORP COM 971807102 857 15,000 SH WILMINGTON TRUST CORP COM 971807102 172 3,000 SH WINN DIXIE STORES INC COM 974280109 4,119 110,195 SH WINN-DIXIE STORES INC. COM 974280109 214 5,800 SH WISCONSIN CENTRAL TRANSPORT COM 976592105 79 4,200 SH WISCONSIN ENERGY CORP. COM 976657106 266 10,600 SH WITCO CORP COM 977385103 97 4,900 SH WM. WRIGLEY CO COM 982526105 410 4,600 SH WOLVERINE WORLD WIDE INC COM 978097103 523 55,000 SH WORLD COLOR PRESS INC DEL COM 981443104 83 3,900 SH WORTHINGTON INDUSTRIES COM 981811102 58 3,500 SH WPP GROUP PLC COM 929309300 51 600 SH WYNDAHAM INTERNATIONAL CLASS A COM 983101106 2,033 451,748 SH XEROX CORP COM 984121103 2,256 38,200 SH XEROX CORP COM 984121103 1,692 31,700 SH XILINX INC COM 983919101 1,053 26,000 SH XILINX INC. COM 983919101 721 12,600 SH WELLS FARGO DEFINED 1 62,800 WELLS FARGO + CO NEW DEFINED 2 173,800 WENDY'S DEFINED 1 4,600 WERNER ENTERPRISES INC DEFINED 2 30,750 WESLEY JESSEN VISIONCARE INC DEFINED 2 5,800 WEST PHARMACEUTICAL SVCS INC DEFINED 2 1,882 WESTAMERICA BANCORPORATION DEFINED 1 3,500 WESTAMERICA BANCORPORATION DEFINED 2 17,000 WESTCOAST ENERGY DEFINED 1 78,800 WESTERN BANCORP DEFINED 2 9,000 WESTERN WIRELESS CORP DEFINED 2 69,300 WESTFIELD AMER INC DEFINED 3 443,700 95,900 WESTPOINT STEVENS DEFINED 3 562,800 32,000 WESTPOINT STEVENS INC. DEFINED 1 50,480 WESTVACO CORP DEFINED 2 13,000 WESTVACO CORP. DEFINED 1 4,000 WESTWOOD ONE DEFINED 3 555,900 11,500 WET SEAL INC DEFINED 2 2,800 WEYERHAEUSER CO DEFINED 2 7,600 WEYERHAEUSER CO. DEFINED 1 8,200 WHIRLPOOL CORP DEFINED 1 3,000 WHIRLPOOL CORP DEFINED 2 8,000 WHITMAN CORP DEFINED 1 8,600 WHITTMAN HART INC DEFINED 2 15,000 WHOLE FOODS MKT INC DEFINED 2 27,600 WILD OATS MARKETS DEFINED 3 865,700 18,000 WILEY JOHN + SON DEFINED 2 13,500 WILLAMETTE INDS INC DEFINED 2 12,800 WILLAMETTE INDS. INC. DEFINED 1 4,300 WILLIAMS COMPANIES DEFINED 1 16,300 WILLIAMS COS INC DEFINED 2 27,000 WILLIAMS SONOMA DEFINED 3 190,600 9,400 WILLIAMS SONOMA INC DEFINED 2 18,400 WILMINGTON TR CORP DEFINED 2 15,000 WILMINGTON TRUST CORP DEFINED 1 3,000 WINN DIXIE STORES INC DEFINED 2 110,195 WINN-DIXIE STORES INC. DEFINED 1 5,800 WISCONSIN CENTRAL TRANSPORT DEFINED 1 4,200 WISCONSIN ENERGY CORP. DEFINED 1 10,600 WITCO CORP DEFINED 1 4,900 WM. WRIGLEY CO DEFINED 1 4,600 WOLVERINE WORLD WIDE INC DEFINED 2 55,000 WORLD COLOR PRESS INC DEL DEFINED 2 3,900 WORTHINGTON INDUSTRIES DEFINED 1 3,500 WPP GROUP PLC DEFINED 2 600 WYNDAHAM INTERNATIONAL CLASS A DEFINED 1 451,748 XEROX CORP DEFINED 1 38,200 XEROX CORP DEFINED 2 31,700 XILINX INC DEFINED 2 26,000 XILINX INC. DEFINED 1 12,600 Page 48 of 49

51 File Number 28-219 (Consolidated) As of 6/30/99 XIRCOM INC COM 983922105 75 3,000 SH XL CAPITAL LTD COM G98255105 5,650 100,000 SH XL CAPITAL LTD COM G98255105 547 9,000 SH XTRA CORP COM 984138107 1,222 31,900 SH YAHOO INC COM 984332106 10,000 59,400 SH YORK INTERNATIONAL CORP COM 986670107 163 3,800 SH YOUNG + RUBICAM INC COM 987425105 660 16,200 SH YPF S.A.- ADR COM 9842451000 265 9,000 SH YPF SOCIEDAD ANONIMA COM 984245100 399 12,626 SH ZANY BRAINY COM 98906Q101 484 50,000 SH ZIFF DAVIS INC COM 989511100 7,226 318,900 SH ZIONS BANCORP COM 989701107 325 4,900 SH ZIONS BANCORPORATION COM 989701107 457 7,200 SH ZONAGEN INC COM 98975L108 215 10,000 SH - -------------------------------------------------------------------------------------------------------------------------------- TOTAL 13,832,010 344,883,596 - ------------------------------------------------------------------------------------------------------------------------------------ XIRCOM INC DEFINED 2 3,000 XL CAPITAL LTD DEFINED 1 100,000 XL CAPITAL LTD DEFINED 2 9,000 XTRA CORP DEFINED 2 31,900 YAHOO INC DEFINED 2 59,400 YORK INTERNATIONAL CORP DEFINED 1 3,800 YOUNG + RUBICAM INC DEFINED 2 16,200 YPF S.A.- ADR DEFINED 1 9,000 YPF SOCIEDAD ANONIMA DEFINED 2 12,626 ZANY BRAINY DEFINED 3 50,000 ZIFF DAVIS INC DEFINED 2 318,900 ZIONS BANCORP DEFINED 2 4,900 ZIONS BANCORPORATION DEFINED 1 7,200 ZONAGEN INC DEFINED 2 10,000 - ------------------------------------------------------------------------------------------------------------------------------------ TOTAL 336,106,277 8,777,319 - ------------------------------------------------------------------------------------------------------------------------------------ Page 49 of 49