- TABLE B-10 COLLECTIVE INVESTMENT FUNDS 15 LARGEST MORTGAGE FUNDS BY ASSET SIZE DECEMBER 31, 1996 0 FUND TOTAL ASSETS TOTAL SEQ NAME OF INSTITUTION FUND NAME CLASSIFICATION (THOUS. OF $) ACCOUNT 0 1 Barclays Global Investors, National MTG-BACKED SECURITIED INDEX FD 02 EMPLOYEE BENEFIT 3,901,519 13 SAN FRANCISCO, CA 0 2 Morgan Guaranty Trust Company of New COMMINGLED FUND - FIXED INCOME PRIV. PLACEM 02 EMPLOYEE BENEFIT 2,122,303 212 NEW YORK CITY, NY 0 3 State Street Bank and Trust Company MORTGAGE INDEX FUND 02 EMPLOYEE BENEFIT 1,844,675 1 BOSTON, MA 0 4 State Street Bank and Trust Company DAILY MORTGAGE FUND 02 EMPLOYEE BENEFIT 812,865 9 BOSTON, MA 0 5 Mellon Bank, National Association EB MCM MORTGAGE BACKED BOND INDEX 010-941 02 EMPLOYEE BENEFIT 484,118 2 PITTSBURGH, PA 0 6 Bankers Trust Company BT GOV GUARANTEED MORTG PASS-THROUGH FUND 02 EMPLOYEE BENEFIT 382,808 13 NEW YORK CITY, NY 0 7 Bankers Trust Company BT PYRAMID MORTGAGE BACKED FUND 02 EMPLOYEE BENEFIT 198,091 2 NEW YORK CITY, NY 0 8 Wellington Trust Company, National A CTF - MORTGAGE RELATED PORTFOLIO 04 CHARITABLE TRUST 188,796 1 BOSTON, MA 0 9 Mellon Bank, National Association EB MBA MORTGAGED BACKED SECURITIES FUND 010-9 02 EMPLOYEE BENEFIT 181,139 8 PITTSBURGH, PA 0 10 Fidelity Management Trust Company FMTC MORTGAGE BACKED SECURITIES 02 EMPLOYEE BENEFIT 145,477 1 BOSTON, MA 0 11 Mellon Bank, National Association CF MBA MORTGAGE BACKED SECUR INDEX FUND 010-5 04 CHARITABLE TRUST 119,242 22 PITTSBURGH, PA 0 12 Wellington Trust Company, National A ENHANCED BOND PORTFOLIO 02 EMPLOYEE BENEFIT 84,165 12 BOSTON, MA 0 13 The Chase Manhattan Bank SECURITIZED MORTGAGE 02 EMPLOYEE BENEFIT 79,881 5 NEW YORK CITY, NY 0 14 Key Trust Company of Ohio, National GOVERNMENT MORTGAGE 01 PERSONAL TRUST 76,584 1,757 CLEVELAND, OH 0 15 Wellington Trust Company, National A CTF - INTERMEDIATE BOND PORTFOLIO 04 CHARITABLE TRUST 76,556 15 BOSTON, MA 1