--- title: Firms layout: appendix ---

Model risk of risk models

Firms

CusipName
00105510 A F L A C INC
00245110 A X A FINANCIAL INC
00621210 ADAMS EXPRESS CO
00792410 AEGON N V
00817Y10 AETNA INC NEW
00867710 AHMANSON H F & CO
01447610 ALEXANDER & ALEXANDER SVCS INC
01881G10 ALLIANCEBERNSTEIN HOLDING L P
01887010 ALLIED BANCSHARES INC
02000210 ALLSTATE CORP
02003910 ALLTEL CORP
02313910 AMBAC FINANCIAL GROUP INC
02316410 AMBASE CORP
02507820 AMERICAN CENTURY CORP
02550110 AMERICAN DUALVEST FD INC
02581610 AMERICAN EXPRESS CO
02606940 AMERICAN FINANCIAL SYSTEMS INC
02635110 AMERICAN GENERAL CORP
02687478 AMERICAN INTERNATIONAL GROUP INC
02859110 AMERICAN NATIONAL INS CO
02921310 AMERICAN RE INS CO
03076C10 AMERIPRISE FINANCIAL INC
03090010 AMERITRUST CORP
03090110 AMERIFIN CORP
03091810 AMERICUS TR BRISTOL MEYERS CO
03092010 AMERICUS TR FOR GENL ELECTRIC CO
03092330 AMERICUS TR FOR MERCK SHS
03093830 AMERICUS TR FOR IBM SHS
03095410 AMERICAN INFORMATION TECHS CORP
03215910 AMREP CORP
03216510 AMSOUTH BANCORPORATION
03571040 ANNALY CAPITAL MANAGEMENT INC
03958310 ARCHSTONE SMITH TRUST
04042010 ARISTAR INC
04600810 ASSOCIATES FIRST CAPITAL CORP
04621X10 ASSURANT INC
05348410 AVALONBAY COMMUNITIES INC
05493710 B B & T CORP
05534B76 B C E INC
05944210 BANCAL TRI ST CORP
06050510 BANK OF AMERICA CORP
06254010 BANK OF HAWAII CORP
06367110 BANK MONTREAL QUE
06384010 BANK NEW ENGLAND CORP
06405810 BANK OF NEW YORK MELLON CORP
06414910 BANK OF NOVA SCOTIA
06423A10 BANK ONE CORP
06605010 BANKAMERICA CORP
06605R10 BANKBOSTON CORP
06636510 BANKERS TRUST CORP
06805510 BARNETT BANKS INC
07390210 BEAR STEARNS COMPANIES INC
08172110 BENEFICIAL CORP
08442310 BERKLEY W R CORP
08467010 BERKSHIRE HATHAWAY INC DEL
08467070 BERKSHIRE HATHAWAY INC DEL
09247X10 BLACKROCK INC
09367110 BLOCK H & R INC
09665010 BOATMENS BANCSHARES INC
10112110 BOSTON PROPERTIES INC
10756510 BREWER C & CO LTD
11290010 BROOKFIELD OFFICE PROPERTIES INC
12201410 BURLINGTON RESOURCES INC
12480010 C B I INDUSTRIES INC
12504L10 C B R E GROUP INC
12550910 CIGNA CORP
12556910 C I T FINANCIAL CORP
12558180 C I T GROUP INC NEW
12572Q10 C M E GROUP INC
12611710 C N A FINANCIAL CORP
12640810 C S X CORP
13021710 CALIFORNIA FINANCIAL CORP
13606910 CANADIAN IMPERIAL BANK COMMERCE
13705110 CANAL RANDOLPH CORP
14040H10 CAPITAL ONE FINANCIAL CORP
14450110 CARRIERS & GENERAL CORP
14743R10 CASE CORP
15512310 CENTRAL SECURITIES CORP
16090310 CHARTER ONE FINANCIAL INC
16161010 CHASE MANHATTAN CORP
16161810 CHASE MANHATTAN MTG & RLTY TR
16706010 CHI CHIS INC
17081910 CHRISTIANA COMPANIES INC
17088010 CHRISTIANA SECURITIES CO
17123210 CHUBB CORP
17206210 CINCINNATI FINANCIAL CORP
17296742 CITIGROUP INC
17303410 CITICORP
17312410 CITIZENS & SOUTHERN CORP GA
19584610 COLONIAL PENN GROUP INC
20016510 COMBINED INSURANCE CO AMER
20034010 COMERICA INC
20051910 COMMERCE BANCORP INC NJ
20757910 CONNECTICUT GENERAL CORP
20758620 CONNECTICUT GENL MG A RLTY INV
20846410 CONSECO INC
21111310 CONTINENTAL BANK CORP
21132710 CONTINENTAL CORP
21149110 CONTINENTAL ILLINOIS REALTY
21869510 CORESTATES FINANCIAL CORP
22029110 CORROON & BLACK CORP
22237210 COUNTRYWIDE FINANCIAL CORP
22286210 COVENTRY HEALTH CARE INC
22609110 CRESTAR FINANCIAL CORP
22682210 CROCKER NATIONAL CORP
22743010 CROSS & TRECKER CORP
22879510 CRUM & FORSTER
23585110 DANAHER CORP
24240V10 DEAN WITTER DISCOVER & CO
24783820 DELTEC INTERNATIONAL LTD ENG
24788310 DELTONA CORP
25246810 DIAL CORP
25386810 DIGITAL REALTY TRUST INC
25470910 DISCOVER FINANCIAL SERVICES
25766110 DONALDSON LUFKIN & JEN INC NEW
26156130 DRESDNER BANK A G
26188510 DREYFUS CORP
26882910 E R C CORP
26924640 E TRADE FINANCIAL CORP
28176010 EDWARDS A G INC
29454210 EQUITABLE LIFE MTG & RLTY INVS
29470070 EQUITY INC FD 1ST SER A T & T SH
29474110 EQUITY OFFICE PROPERTIES TRUST
29476L10 EQUITY RESIDENTIAL
29647010 ESMARK INC
30390110 FAIRFAX FINL HOLDINGS LTD
31340030 FEDERAL HOME LOAN MORTGAGE CORP
31358610 FEDERAL NATIONAL MORTGAGE ASSN
31632610 FIDELITY NATIONAL FINANCIAL INC
31643810 FIDELITY UNION BANCORPORATION
31677310 FIFTH THIRD BANCORP
31742110 FINANCIAL CORP AMER
31749510 FINANCIAL FEDERATION INC
31845710 FIRST ACCEPTANCE CORP
31890610 FIRST OF AMERICA BANK CORP
31933610 FIRST BOSTON INC
31944110 FIRST CHARTER FINL CORP
31945510 FIRST CHICAGO CORP
31945A10 FIRST CHICAGO N B D CORP
31959410 FIRST CITY BANCORPORATION TX
32013510 FIRST EXECUTIVE CORP DEL
32019510 FIRST FIDELITY BANCORP NEW
32051710 FIRST HORIZON NATIONAL CORP
32054810 FIRST INTERSTATE BANCORP
33607210 FIRST PENNSYLVANIA CORP
33616010 FIRST REPUBLICBANK CORP
33619810 FIRST SAVINGS & LOAN SHARES INC
33629410 FIRST SECURITY CORP DE
33743H10 FIRST USA INC
33761C10 FIRSTAR CORP NEW
33763V10 FIRSTAR CORP NEW WIS
33903010 FLEETBOSTON FINANCIAL CORP
34101810 FLORIDA NATIONAL BANKS FL INC
34747110 JAMES RIVER CORP VA
35461310 FRANKLIN RESOURCES INC
36158210 G E I C O CORP
36232010 G T E CORP
36865810 GEMINI FUND INC
36880210 GENERAL AMERICAN INVESTORS INC
36910010 GENERAL BANCSHARES CORP
37056310 GENERAL RE CORP
37247D10 GENWORTH FINANCIAL INC
37465810 GIBRALTAR FINANCIAL CORP
38131710 GOLDEN WEST FINANCIAL CORP
38141G10 GOLDMAN SACHS GROUP INC
39106410 GREAT NORTHERN IRON ORE PPTYS
39144210 GREAT WESTERN FINANCIAL CORP
39350510 GREEN TREE FINANCIAL CORP
39538410 GREENPOINT FINANCIAL CORP
40018110 GRUMMAN CORP
40257810 GULF UNITED CORP
40414L10 H C P INC
40428040 H S B C HOLDINGS PLC
40428N10 H S B GROUP INC
40589110 HALL FRANK B & CO INC
41012310 HANCOCK JOHN INCOME SECS TR
41014210 HANCOCK JOHN INVS TR
41014S10 HANCOCK JOHN FINANCIAL SVCS INC
41134910 HANSON PLC
41384110 HARRIS BANKCORP INC
41651510 HARTFORD FINANCIAL SVCS GRP INC
42217K10 HEALTH CARE REIT INC
44181510 HOUSEHOLD INTERNATIONAL INC
44368310 HUDSON CITY BANCORP INC
44485910 HUMANA INC
44615010 HUNTINGTON BANCSHARES INC
44849910 HUTTON E F GROUP INC
44974410 I N A CORP
45069410 I U INTERNATIONAL CORP
45104G10 I C I C I BANK LTD
45110010 ICAHN ENTERPRISES L P
45272210 IMPERIAL CORP AMER
45843910 INTERCAPITAL INCOME SECS INC
45865V10 INTERCONTINENTALEXCHANGE INC
45891610 INTERFIRST CORP
45965010 INTERNATIONAL HOLDINGS CORP
46132L10 INVESCO BOND FUND
46148810 INVESTORS DIVERSIFIED SVCS INC
46148820 INVESTORS DIVERSIFIED SVCS INC
46371210 IRVING BANK CORP
46428780 ISHARES TRUST
46625H10 JPMORGAN CHASE & CO
47024510 JAMES FRED S & CO INC
47102X10 JANUS CAP GROUP INC
47107010 JAPAN FUND INC
47507010 JEFFERSON PILOT CORP
48602610 KATY INDUSTRIES INC
48633210 KAVANAU REAL EST TR
48839610 KEMPER CORP
48840110 KEMPER CORP DE
49326710 KEYCORP NEW
49446R10 KIMCO REALTY CORP
49900510 KNIGHT CAPITAL GROUP INC
50047210 KONINKLIJKE PHILIPS ELEC N V
50090210 DART & KRAFT INC
51506210 LANDMARK LAND INC
52490110 LEGG MASON INC
52490810 LEHMAN BROTHERS HOLDINGS INC
52605710 LENNAR CORP
52728810 LEUCADIA NATIONAL CORP
53037010 LIBERTY CORP SC
53418710 LINCOLN NATIONAL CORP IN
54042410 LOEWS CORP
55261F10 M & T BANK CORP
55262C10 M B I A INC
55262L10 M B N A CORP
55267M10 M CORP
55271210 M E I CORP
55273710 M F S MULTIMARKET INCOME TRUST
55273C10 M F S INTERMEDIATE INCOME TRUST
55284510 M G I C INVESTMENT CORP
55284810 M G I C INVESTMENT CORP WIS
55293910 M F S GOVERNMENT MARKETS INC TR
55310710 M N C FINANCIAL INC
55438210 MACERICH CO
55819610 MADISON RES INC
56480910 MANUFACTURERS HANOVER CORP
56500410 MANUFACTURERS NATIONAL CORP
56501R10 MANULIFE FINANCIAL CORP
56828710 MARINE MIDLAND BKS INC
57060U10 MARKET VECTORS E T F TRUST
57174810 MARSH & MCLENNAN COS INC
57183710 MARSHALL & ILSLEY CORP NEW
57542110 MASSMUTUAL MORTGAGE & RLTY INVS
57629710 MASSMUTUAL INCOME INVS INC
58551A10 MELLON FINANCIAL CORP
58734210 MERCANTILE BANCORPORATION INC
58939510 MERCURY FINANCE CO
58958010 MERIDIAN BANCORP INC
59018810 MERRILL LYNCH & CO INC
59066010 MESA ROYALTY TRUST
59067210 MESABI TRUST
59156R10 METLIFE INC
59456310 MICHIGAN NATIONAL CORP
59563910 MIDCON CORP
59780E10 MIDLANTIC CORP
60032R10 MILLEA HOLDINGS INC
60619110 MISSOURI PACIFIC CORP
61411510 MONTGOMERY STREET INCOME SECS IN
61531840 MONUMENTAL CORP
61533910 MONY REAL ESTATE INVESTORS
61688010 MORGAN J P & CO INC
61744644 MORGAN STANLEY DEAN WITTER & CO
62916110 N L T CORP
62949110 N Y S E EURONEXT
63110010 NASDAQ 100 TRUST SERIES I
63110310 NASDAQ O M X GROUP INC
63256710 NATIONAL AVIATION & TECHNOLGY CP
63540510 NATIONAL CITY CORP
63545P10 NATIONAL COMMERCE FINANCIAL CORP
64944510 NEW YORK COMMUNITY BANCORP INC
65142610 NEWHALL LAND & FARMING CO CAL
65248770 NEWS CORP LTD
65355610 NIAGARA SHARE CORP
65584410 NORFOLK SOUTHERN CORP
65653810 NORSTAR BANCORP INC
65703910 NORTH AMERICAN MORTGAGE INVS
65942410 NORTH FORK BANCORPORATION NY INC
66585910 NORTHERN TRUST CORP
66813710 NORTHWESTERN MUT LF MG A RLTY IN
67092810 NUVEEN MUNICIPAL VALUE FUND
67724010 OHIO CASUALTY CORP
67983310 OLD KENT FINANCIAL CORP
69147110 OXFORD HEALTH PLANS INC
69347510 P N C FINANCIAL SERVICES GRP INC
69440210 PACIFIC HOLDING CORP
69562910 PAINE WEBBER GROUP INC
70788710 PENN WEST ENERGY TRUST
71270410 PEOPLES UNITED FINANCIAL INC
71423610 PERMIAN BASIN RTY TR
71654910 PETROLEUM & RESOURCES CORP
71765610 PHILADELPHIA LIFE INS CO
72579010 PITTWAY CORP DEL
72925110 PLUM CREEK TIMBER CO INC
73317470 POPULAR INC
73933H10 POWER REIT
73935A10 POWERSHARES QQQ TRUST
74144T10 T ROWE PRICE GROUP INC
74251V10 PRINCIPAL FINANCIAL GROUP INC
74331510 PROGRESSIVE CORP OH
74340W10 PROLOGIS INC
74341010 PROLOGIS
74386210 PROVIDENT COMPANIES INC
74406110 PROVIDIAN CORP
74406A10 PROVIDIAN FINANCIAL CORP
74432010 PRUDENTIAL FINANCIAL INC
74460D10 PUBLIC STORAGE
74586710 PULTE CORP
75589310 REAL ESTATE INVESMTENT TR AMER
7591EP10 REGIONS FINANCIAL CORP NEW
75946610 RELIANCE GROUP INC
76071910 REPUBLIC NEW YORK CORP
76453010 RICHMOND CORP
76710010 RIO GRANDE INDS INC
77927310 ROUSE COMPANY
78008710 ROYAL BANK CANADA MONTREAL QUE
78025780 ROYAL DUTCH PETROLEUM CO
78354910 RYDER SYSTEMS INC
78411710 S E I INVESTMENTS COMPANY
78442P10 S L M CORP
78462F10 SPDR S & P 500 E T F TRUST
78463V10 SPDR GOLD TRUST
78464A41 SPDR SERIES TRUST
78464A76 SPDR SERIES TRUST
78467X10 SPDR DOW JONES IND AVG ETF TRUST
78467Y10 SPDR S & P MIDCAP 400 ETF TRUST
78531610 SABINE CORP
78642910 SAFECO CORP
79547710 SALOMON BROTHERS FUND INC
79824110 SAN JUAN BASIN RTY TR
80202010 SANTA FE INDS INC
80218310 SANTA FE SOUTHN PAC CORP
80851310 SCHWAB CHARLES CORP NEW
81114810 SCUDDER DUO VEST INC
81151710 SEABOARD COAST LINE INDS INC
81173710 SEAFIRST CORP
81369Y50 SECTOR SPDR TRUST
81369Y60 SECTOR SPDR TRUST
81369Y80 SECTOR SPDR TRUST
81369Y88 SECTOR SPDR TRUST
81413110 SECURITY MORTGAGE INVESTORS NEW
81482310 SECURITY PACIFIC CORP
81947010 SHAPELL INDUSTRIES INC
82048410 SHAWMUT NATIONAL CORP
82086810 SHEARSON LOEB RHOADES INC
82270360 SHELL TRANSPORT & TRADING CO PLC
82668110 SIGNET BANKING CORP
82880610 SIMON PROPERTY GROUP INC NEW
83366330 SOCIETY CORP
83541510 SONAT INC
84133810 SOUTHEAST BANKING CORP
84444710 SOUTHLAND FINANCIAL CORP
84452110 SOUTHLAND ROYALTY CO
84473010 SOUTHTRUST CORP
84476810 SOUTHWEST BANCSHARES INC
84590510 SOVEREIGN BANCORP INC
84610410 SOVRAN FINANCIAL CORP
84754110 SPECTOR INDUSTRIES INC
84780710 CHARTER COMPANY
85206110 UNITED TELECOMMUNICATIONS INC
85747710 STATE STREET CORP
85915810 STERLING BANCORP
86600510 SUMMIT BANCORP
86679610 SUN LIFE FINANCIAL INC
86693010 SUNAMERICA INC
86791410 SUNTRUST BANKS INC
87161C10 SYNOVUS FINANCIAL CORP
87236Y10 T D AMERITRADE HOLDING CORP
87943382 TELEPHONE & DATA SYSTEMS INC
88019810 TEMPLETON GLOBAL INCOME FUND
88231510 TEXAS COMMERCE BANCSHARES INC
88238710 TEXAS EASTERN CORP
88261010 TEXAS PACIFIC LAND TRUST
88634810 TICOR
88824210 TISHMAN REALTY & CNSTRUCTION INC
89102710 TORCHMARK CORP
89116050 TORONTO DOMINION BANK ONT
89190610 TOTAL SYSTEM SERVICES INC
89233510 TOYS R US INC
89336610 TRANS WORLD FINL CO
89348510 TRANSAMERICA CORP
89350610 TRANSAMERICA INCOME SHS INC
89352110 TRANSATLANTIC HOLDINGS INC
89353210 TRANSCO ENERGY CO
89417E10 TRAVELERS COMPANIES INC
89418010 TRAVELERS CORP
89543610 TRI CONTINENTAL CORP
89826910 TRUST COMPANY GA ATLANTA
90130N10 21ST CENTURY INSURANCE GROUP
90275010 U I P CORP
90297330 U S BANCORP DEL
90329010 U S F & G CORP
90781810 UNION PACIFIC CORP
90806810 UNION PLANTERS CORP
90890610 UNIONBANCAL CORP
91011010 UNITED CORP
91031410 UNITED FINANCIAL CORP CA
91153610 UNITED STATES & FGN SECS CORP
91159610 UNITED STATES BANCORP
91324P10 UNITEDHEALTH GROUP INC
91529Y10 UNUM GROUP
91728610 URSTADT BIDDLE PROPERTIES INC
91731810 USLIFE CORP
91890510 LLC CORP
91979410 VALLEY NATIONAL BANCORP
92000310 VALLEY NATIONAL CORP AZ
92190884 VANGUARD SPECIALIZED FUND
92193782 VANGUARD BOND INDEX FUNDS
92193783 VANGUARD BOND INDEX FUNDS
92204285 VANGUARD INTL EQUITY INDEX FUNDS
92276F10 VENTAS INC
92290855 VANGUARD INDEX TRUST
92290876 VANGUARD INDEX TRUST
92343V10 BELL ATLANTIC CORP
92904210 VORNADO REALTY TRUST
92977110 WACHOVIA CORP NEW
92977310 WACHOVIA REALTY INVESTMENTS
92990310 WACHOVIA CORP 2ND NEW
93932210 WASHINGTON MUTUAL INC
94973H10 WELLPOINT HEALTH NETWRKS INC NEW
94973V10 WELLPOINT INC
94974610 WELLS FARGO & CO NEW
95980210 WESTERN UNION CO
96083510 WESTMOR CORP
98970110 ZIONS BANCORP
D1819089 DEUTSCHE BANK A G
FF
Fin100
G0408V10 AON PLC
G0692U10 AXIS CAPITAL HOLDINGS LTD
G2519Y10 CREDICORP LTD
G3156P10 A S A GOLD & PRECIOUS METALS LTD
G3223R10 EVEREST RE GROUP LTD
G3242A10 E X E L LTD
G491BT10 INVESCO LTD
G6852T10 PARTNERRE LTD
G9618E10 WHITE MOUNTAINS INS GROUP INC
G9666610 WILLIS GROUP HOLDINGS PUB LTD CO
G9829010 X L GROUP PLC
H0023R10 ACE LTD NEW
H8923133 U B S AG
SP500