(Mark
One)
|
|
[X]
|
ANNUAL
REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF
1934
[NO FEE REQUIRED]
|
For
the fiscal year ended December 30, 2004
|
|
OR
|
|
[
]
|
TRANSITION
REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF
1934
[NO FEE REQUIRED]
|
For
the transition period from ______________ to
______________
|
Commission
file number 1-12626
|
A.
Full Title of the plan the address of the plan, if different from
that of
the issuer named below:
|
EASTMAN
INVESTMENT AND EMPLOYEE STOCK OWNERSHIP PLAN
|
B.
Name of issuer of the securities held pursuant to the plan and the
address
of its principal executive office:
|
EASTMAN
CHEMICAL COMPANY
|
100
N. Eastman Road
|
Kingsport,
Tennessee 37660
|
Report
of Independent Registered Public Accounting Firm
|
3
|
Basic
Financial Statements:
|
|
Statements
of Net Assets Available for Benefits
|
4
|
Statements
of Changes in Net Assets Available for Benefits
|
5
|
Notes
to Financial Statements
|
6
-
16
|
Additional
Information (Note A):
|
17
|
Schedule
of Assets (Held at End of Year)
|
|
Signatures
|
33
|
Exhibits
|
34-35
|
Note
A:
|
Other
supplemental schedules required by Section 2520.10310 of the Department
of
Labor’s Rules and Regulations for Reporting and Disclosure under the
Employee Retirement Income Security Act of 1974 (“ERISA”) have been
omitted because they are not
applicable.
|
2004
|
2003
|
|||||||||||
Non-
|
Non-
|
|||||||||||
Participant
|
participant
|
Participant
|
participant
|
|||||||||
Directed
|
Directed
|
Total
|
Directed
|
Directed
|
Total
|
|||||||
Assets
|
||||||||||||
Investments
at fair value
|
$
|
648,995
|
$
|
128,394
|
$
|
777,389
|
$
|
581,835
|
$
|
102,796
|
$
|
684,631
|
Investments
at contract value
|
614,657
|
--
|
614,657
|
555,025
|
--
|
555,025
|
||||||
Receivables:
|
||||||||||||
Employer
contributions
|
29,682
|
4,381
|
34,063
|
28,226
|
5,927
|
34,153
|
||||||
Other
|
1,052
|
1,280
|
2,332
|
2,506
|
1,375
|
3,881
|
||||||
Total
assets
|
1,294,386
|
134,055
|
1,428,441
|
1,167,592
|
110,098
|
1,277,690
|
||||||
Liabilities
|
||||||||||||
Accrued
expenses
|
12
|
16
|
28
|
15
|
15
|
30
|
||||||
Other
liabilities
|
384
|
1,054
|
1,438
|
1,177
|
2,561
|
3,738
|
||||||
Total
liabilities
|
396
|
1,070
|
1,466
|
1,192
|
2,576
|
3,768
|
||||||
Net
assets available
|
||||||||||||
for
plan benefits
|
$
|
1,293,990
|
$
|
132,985
|
$
|
1,426,975
|
$
|
1,166,400
|
$
|
107,522
|
$
|
1,273,922
|
2004
|
2003
|
|||||||||||
Non-
|
Non-
|
|||||||||||
Participant
|
participant
|
Participant
|
participant
|
|||||||||
Directed
|
Directed
|
Total
|
Directed
|
Directed
|
Total
|
|||||||
Additions
to net assets:
|
||||||||||||
Investment
income (loss)
|
||||||||||||
Interest
|
$
|
26,537
|
$
|
--
|
$
|
26,537
|
$
|
27,505
|
$
|
--
|
$
|
27,505
|
Dividends
|
13,702
|
4,395
|
18,097
|
8,989
|
4,999
|
13,988
|
||||||
Net
appreciation in fair value of
|
||||||||||||
investments
|
72,949
|
43,555
|
116,504
|
99,587
|
6,226
|
105,813
|
||||||
Net
investment gain
|
113,188
|
47,950
|
161,138
|
136,081
|
11,225
|
147,306
|
||||||
Participant
contributions
|
98,937
|
--
|
98,937
|
79,662
|
--
|
79,662
|
||||||
Plan
Sponsor contributions
|
29,552
|
4,381
|
33,933
|
28,360
|
5,927
|
34,287
|
||||||
Interfund
transfers
|
20,051
|
(20,051)
|
--
|
14,536
|
(14,536)
|
--
|
||||||
Total
additions
|
261,728
|
32,280
|
294,008
|
258,639
|
2,616
|
261,255
|
||||||
Deductions
from net assets:
|
||||||||||||
Distributions
to and withdrawals
|
||||||||||||
by
participants
|
133,815
|
6,971
|
140,786
|
60,630
|
2,977
|
63,607
|
||||||
Loan
transfers, net
|
154
|
(154)
|
-
|
9
|
(9)
|
--
|
||||||
Administrative
expenses
|
169
|
--
|
169
|
144
|
--
|
144
|
||||||
Total
deductions
|
134,138
|
6,817
|
140,955
|
60,783
|
2,968
|
63,751
|
||||||
Net
increase (decrease) in net assets
|
127,590
|
25,463
|
153,053
|
197,856
|
(352)
|
197,504
|
||||||
Net
assets available for plan
|
||||||||||||
benefits
at beginning of year
|
1,166,400
|
107,522
|
1,273,922
|
968,544
|
107,874
|
1,076,418
|
||||||
Net
assets available for plan
|
||||||||||||
benefits
at end of year
|
$
|
1,293,990
|
$
|
132,985
|
$
|
1,426,975
|
$
|
1,166,400
|
$
|
107,522
|
$
|
1,273,922
|
1. |
DESCRIPTION
OF PLAN
|
· |
Upon
attaining age 59½, a participant may elect to receive a lump sum cash
distribution of their total or partial account value while still
actively
employed.
|
· |
Upon
separation of service from Eastman for any reason except death, the
full
value of a participant’s account is distributed in a lump sum payment for
those participants who are not retirement-eligible and the participant
account value is less than or equal to $5,000. Separated participants
with
accounts in excess of $5,000 or are retirement-eligible may elect
(i) to
defer distribution until a later date but, in no event, later than
April 1
of the calendar year following the year a participant attains age
70½ or
(ii) immediate lump-sum distribution of the participant’s account or, at
the election of the participant, in monthly or annual installments.
Participants in the Eastman Stock Fund or ESOP Fund may elect a lump
sum
distribution in Eastman common
stock.
|
· |
In
the event of death, the value of a participant’s account is paid in a lump
sum if the designated beneficiary is not the surviving spouse or
if the
account value is less than or equal to $5,000. If the beneficiary
is a
surviving spouse and the participant account value exceeds $5,000,
payment
will be made in a lump-sum amount or, at the election of the surviving
spouse, in monthly or annual
installments.
|
· |
Distributions
to participants shall commence in the year following the year a
participant attains age 70½, unless the participant has terminated his or
her service with the Company.
|
· |
Approval
of hardship withdrawals will only be granted in order to meet obligations
relating to the payment of substantial out-of-pocket medical expenses,
the
purchase of a primary residence, the payment of tuition or other
post-secondary educational expenses, or payments to prevent eviction
or
foreclosure. Hardship withdrawals may not exceed the value of the
participant’s accounts in the Plan on the date of
withdrawal.
|
· |
The
Trustee is authorized to honor qualified domestic relation orders
issued
and served in accordance with Section 414(p) of the Internal Revenue
Code.
|
· |
The
Company may make a direct contribution of cash to the ESOP Fund,
which
would then be used to purchase Eastman common stock or other
securities.
|
· |
The
Company may contribute shares of Eastman common stock directly to
the ESOP
Fund.
|
· |
The
Company may direct the Trustee to obtain a loan to purchase securities
(i.e., leveraged ESOP). Until the loan is repaid, securities acquired
with
the respective loan process are not available to be allocated to
participants' accounts and are maintained in a "Loan Suspense Account".
On
the last day of each plan year, a proportionate share of securities
relating to loan amounts which have been repaid will be transferred
out of
the Loan Suspense Account and allocated to the accounts of ESOP Fund
participants. The ESOP Fund currently is not a leveraged
ESOP.
|
· |
Plan
Sponsor contributions made or invested in shares of Eastman common
stock.
|
· |
Shares
of Eastman common stock purchased with assets transferred to the
ESOP Fund
pursuant to the spin-off from Eastman Kodak Company and/or acquired
with
the proceeds of a loan released from the Loan Suspense
Account.
|
· |
An
allocable share of short-term interest and money market funds held
in the
ESOP Fund for purposes of payment of expenses and similar
purposes.
|
· |
After-tax
contributions transferred to the ESOP Fund pursuant to the spin-off
from
Eastman Kodak Company (such after-tax contributions are no longer
permitted under the ESOP
provisions).
|
2. |
SUMMARY
OF ACCOUNTING POLICIES
|
3. |
CONTRIBUTIONS
|
4. |
LOANS
TO PARTICIPANTS
|
5. |
INVESTMENTS
|
This
non-participant directed fund consists primarily of Eastman Class
A common
stock. Purchases and sales of Eastman stock are generally made on
the open
market, on behalf of its participants and as directed by the Plan’s
guidelines. During 2004, the Trustee purchased 117,000 shares of
Eastman
stock for the fund at an average price of $42.94 per share, and sold
477,800 shares of Eastman stock for the fund at an average price
of $45.43
per share. During 2003, the Trustee purchased 166,200 shares of Eastman
stock for the fund at an average price of $32.00 per share, and sold
358,647 shares at an average price of $34.12 per share.
|
2004
|
|||||
Shares
|
Fair
value
|
||||
Eastman
Chemical Company Common Stock
|
15,386
|
$
|
209,454
|
||
Fidelity
Magellan® Fund
|
927
|
96,356
|
|||
Fidelity
Contrafund
|
1,672
|
94,996
|
|||
2003
|
|||||
Shares
|
Fair
value
|
||||
Eastman
Chemical Company Common Stock
|
19,250
|
$
|
178,668
|
||
Fidelity
Magellan® Fund
|
1,066
|
104,006
|
|||
Fidelity
Contrafund
|
1,628
|
80,328
|
Net
Appreciation
|
||||
(Depreciation)
|
||||
2004
|
2003
|
|||
ESOP
Fund
|
$
|
43,579
|
$
|
6,226
|
Eastman
Stock Fund
|
30,349
|
6,803
|
||
Hercules
Stock Fund
|
--
|
181
|
||
Fidelity
Fund
|
2,914
|
9,819
|
||
Fidelity
Puritan® Fund
|
1,208
|
5,870
|
||
Fidelity
Magellan® Fund
|
6,021
|
20,453
|
||
Fidelity
Contrafund
|
11,951
|
17,468
|
||
Fidelity
Spartan® U.S. Equity Index Portfolio
|
3,081
|
7,046
|
||
Fidelity
International Growth and Income Fund
|
2,837
|
3,825
|
||
PIMCO
Total Return Fund
|
(125)
|
(47)
|
||
Franklin
Small Cap Growth Fund
|
3,493
|
9,729
|
||
Templeton
Foreign Fund
|
972
|
1,127
|
||
Neuberger
& Berman Genesis Trust Fund
|
4,907
|
6,508
|
||
Fidelity
Blue Chip Growth Fund
|
968
|
3,810
|
||
Fidelity
Freedom Income Fund
|
18
|
47
|
||
Fidelity
Freedom 2000 Fund
|
45
|
129
|
||
Fidelity
Freedom 2010 Fund
|
313
|
683
|
||
Fidelity
Freedom 2020 Fund
|
628
|
1,396
|
||
Fidelity
Freedom 2030 Fund
|
421
|
941
|
||
Fidelity
Freedom 2040 Fund
|
151
|
295
|
||
Fidelity
Spartan® Extended Market Index Fund
|
1,147
|
1,750
|
||
Fidelity
Spartan® International Index Fund
|
520
|
569
|
||
WFA
Small Cap Val Z
|
171
|
--
|
||
Clipper
Fund
|
247
|
250
|
||
Strong
Advisor Small Cap Value Fund
|
--
|
687
|
||
TCW
Galileo Select Equities Fund
|
356
|
222
|
||
Self
Directed Brokerage Account
|
150
|
28
|
||
Other
Funds
|
182
|
(2)
|
||
Total
|
$
|
116,504
|
$
|
105,813
|
6. |
INSURANCE
CONTRACTS
|
(in
thousands)
|
December
30,
2004
|
December
30,
2003
|
||
Security
backed investments:
|
||||
Underlying
assets at fair value
|
$
|
622,097
|
$
|
573,949
|
Wrapper
contracts
|
(7,440)
|
(18,924)
|
||
Total
contract value
|
$
|
614,657
|
$
|
555,025
|
7. |
OTHER
RECEIVABLES
|
8. |
DIVERSIFICATION
FROM ESOP FUND
|
9. |
PLAN
TERMINATION
|
10. |
FEDERAL
INCOME TAX STATUS
|
11. |
PLAN
EXPENSES
|
12. |
RELATED
PARTIES
|
(a)
|
(b)
Identity
of issue, borrower, lessor, or similar party
|
(c)
Description
of investment, including maturity date, rate of interest, collateral,
par
or maturity value
|
(d)
Historical
cost
|
(e)
Current
value
|
*
|
Eastman
Chemical Company
|
Common
stock, Participant directed
|
**
|
81,060
|
*
|
Eastman
Chemical Company
|
Common
stock, Non Participant directed
|
115,034
|
128,394
|
*
|
Fidelity
Fund
|
Registered
Investment Company
|
**
|
45,313
|
*
|
Fidelity
Puritan Fund
|
Registered
Investment Company
|
**
|
44,821
|
*
|
Fidelity
Magellan Fund
|
Registered
Investment Company
|
**
|
96,355
|
*
|
Fidelity
Contrafund
|
Registered
Investment Company
|
**
|
94,996
|
*
|
Fidelity
Spartan U.S. Equity Index Portfolio
|
Registered
Investment Company
|
**
|
37,271
|
*
|
Fidelity
International Discovery Fund
|
Registered
Investment Company
|
**
|
20,238
|
*
|
PIMCO
Total Return Fund
|
Registered
Investment Company
|
**
|
20,577
|
*
|
Franklin
Small Cap Growth
|
Registered
Investment Company
|
**
|
31,422
|
*
|
Templeton
Foreign Fund
|
Registered
Investment Company
|
**
|
7,516
|
*
|
Neuberger
and Berman Genesis Trust Fund
|
Registered
Investment Company
|
**
|
45,948
|
*
|
Fidelity
Blue Chip Growth Fund
|
Registered
Investment Company
|
**
|
18,208
|
*
|
Fidelity
Freedom Income Fund
|
Registered
Investment Company
|
**
|
1,142
|
*
|
Fidelity
Freedom 2000 Fund
|
Registered
Investment Company
|
**
|
1,524
|
*
|
Fidelity
Freedom 2010 Fund
|
Registered
Investment Company
|
**
|
7,063
|
*
|
Fidelity
Freedom 2020 Fund
|
Registered
Investment Company
|
**
|
8,969
|
*
|
Fidelity
Freedom 2030 Fund
|
Registered
Investment Company
|
**
|
5,125
|
*
|
Fidelity
Freedom 2040 Fund
|
Registered
Investment Company
|
**
|
1,772
|
*
|
Fidelity
Spartan Extended Market Index Portfolio
|
Registered
Investment Company
|
**
|
8,984
|
*
|
Fidelity
Spartan International Index Fund
|
Registered
Investment Company
|
**
|
4,161
|
*
|
Participant
Loans
|
Participant
Loan Fund with terms ranging from 3-123 months and rates ranging
from
4.75% to 10.5%
|
**
|
26,807
|
*
|
Fidelity
Retirement Money Market
|
Registered
Investment Company
|
**
|
3
|
*
|
Clipper
Fund
|
Registered
Investment Company
|
**
|
11,392
|
*
|
TCW
Galileo Select Equities Fund
|
Registered
Investment Company
|
**
|
4,802
|
*
|
WFA
Small Cap Val Z
|
Registered
Investment Company
|
**
|
21,330
|
*
|
Managed
Income Fund, consisting of the following:
|
**
|
||
Fidelity
short term cash fund
|
CASH
|
14,947
|
||
AXA
Financial Inc
|
Corporate
bond 7.75% 8/01/10
|
1,119
|
||
Accredited
Mortgage Loan Trust ACCR 03-2 A1
|
Mortgage
backed security 4.23% 10/33
|
753
|
||
Accredited
Mortgage Loan Trust ACCR 03-3 A1
|
Mortgage
backed security 4.46% 12/33
|
738
|
||
Accredited
Mortgage Loan Trust ACCR 04-2 A2
|
Mortgage
backed security 1ML+30 7/34
|
1,053
|
||
Accredited
Mortgage Loan Trust ACCR 04-4 A2D
|
Mortgage
backed security 1ML+35 1/35
|
501
|
||
Accredited
Mortgage Loan Trust ACCR 04-4 M2
|
Mortgage
backed security 1ML+105 1/35
|
175
|
||
Accredited
Mortgage Loan Trust ACCR 04-4 M3
|
Mortgage
backed security 1ML+125 1/35
|
75
|
||
ACE
Securities Corp ACE 02-HE2 M1
|
Mortgage
backed security 1ML+85 8/32
|
151
|
||
ACE
Securities Corp ACE 03-HS1 M1
|
Mortgage
backed security 1ML+75 6/33
|
75
|
||
ACE
Securities Corp ACE 03-HS1 M2
|
Mortgage
backed security 1ML+175 6/33
|
102
|
||
(a)
|
(b)
Identity
of issue, borrower, lessor, or similar party
|
(c)
Description
of investment, including maturity date, rate of interest, collateral,
par
or maturity value
|
(d)
Historical
cost
|
(e)
Current
value
|
ACE
Securities Corp ACE 03-NC1 M1
|
Mortgage
backed security 1ML+78 7/33 M
|
172
|
||
ACE
Securities Corp ACE 03-HE1 M1
|
Mortgage
backed security 1ML+65 11/33
|
201
|
||
ACE
Securities Corp ACE 03-HE1 M2
|
Mortgage
backed security 1ML+170 11/33
|
128
|
||
ACE
Securities Corp ACE 04-FM1 M1
|
Mortgage
backed security 1ML+60 9/33
|
165
|
||
ACE
Securities Corp ACE 04-OP1 M1
|
Mortgage
backed security 1ML+52 4/34
|
446
|
||
ACE
Securities Corp ACE 04-OP1 M2
|
Mortgage
backed security 1ML+105 4/34
|
632
|
||
ACE
Securities Corp ACE 02-HE1 M1
|
Mortgage
backed security 1ML+65 6/32
|
236
|
||
Adjustable
Rate Mortgage Trust ARMT 04-1 9A2
|
Mortgage
backed security 1ML+40 1/34
|
757
|
||
Adjustable
Rate Mortgage Trust ARMT 04-4 5A2
|
Mortgage
backed security 1ML+40 3/35
|
582
|
||
Vodafone
Americas Asia Inc
|
Corporate
bond 6.65% 5/01/08
|
220
|
||
Alabama
Power Co
|
Corporate
bond 3.5% 11/15/07
|
565
|
||
Alliance
Capital Management LP
|
Corporate
bond 5.625% 8/15/06
|
2,795
|
||
American
General Finance Corp
|
Corporate
bond 2.75% 6/15/08
|
505
|
||
American
General Finance Corp
|
Corporate
bond 4.625% 5/15/09
|
1,155
|
||
American
General Finance Corp
|
Corporate
bond 3.875% 10/1/09
|
853
|
||
American
Honda Finance Corp
|
Corporate
bond 4.5% 5/26/09 144A
|
1,519
|
||
AmeriCredit
Automobile Receivables Trust AMCAR 01-B A4
|
Asset backed
security 5.37% 6/08
|
70
|
||
AmeriCredit
Automobile Receivables Trust AMCAR 02-EM A4A
|
Asset backed
security 3.32% 6/09
|
403
|
||
AmeriCredit
Automobile Receivables Trust AMCAR 03-CF A4
|
Asset backed
security 3.48% 5/10
|
852
|
||
AmeriCredit
Automobile Receivables Trust AMCAR 04-BM A3
|
Asset backed
security 2.07% 8/08
|
546
|
||
AmeriCredit
Automobile Receivables Trust AMCAR 04-1 A3
|
Asset backed
security 3.22% 7/08
|
440
|
||
AmeriCredit
Automobile Receivables Trust AMCAR 04-1 B
|
Asset backed
security 3.7% 1/09
|
75
|
||
AmeriCredit
Automobile Receivables Trust AMCAR 04-1 C
|
Asset backed
security 4.22% 7/09
|
81
|
||
AmeriCredit
Automobile Receivables Trust AMCAR 04-CA A4
|
Asset backed
security 3.61% 5/11
|
300
|
||
AmeriCredit
Automobile Receivables Trust AMCAR 04-DF A3
|
Asset backed
security 2.98% 7/09
|
580
|
||
AmeriCredit
Automobile Receivables Trust AMCAR 04-DF A4
|
Asset backed
security 3.43% 7/11
|
774
|
||
Ameriquest
Mortgage Securities Inc AMSI 02-AR1 M2
|
Mortgage
backed security 1ML+130 9/32
|
186
|
||
Ameriquest
Mortgage Securities Inc AMSI 02-4 M1
|
Mortgage
backed security 1ML+100 2/33
|
247
|
||
Ameriquest
Mortgage Securities Inc AMSI 03-3 M1
|
Mortgage
backed security 1ML+80 3/33
|
176
|
||
Ameriquest
Mortgage Securities Inc AMSI 03-6 M1
|
Mortgage
backed security 1ML+76 8/33
|
781
|
||
Ameriquest
Mortgage Securities Inc AMSI 03-AR2 M1
|
Mortgage
backed security 1ML+85 5/33
|
156
|
||
Ameriquest
Mortgage Securities Inc AMSI 03-7 M1
|
Mortgage
backed security 1ML+85 8/33
|
298
|
||
Ameriquest
Mortgage Securities Inc AMSI 04-R2 M1
|
Mortgage
backed security 1ML+43 4/34
|
125
|
||
Ameriquest
Mortgage Securities Inc AMSI 04-R2 M2
|
Mortgage
backed security 1ML+48 4/34
|
100
|
||
Argent
Securities Inc ARSI 03-W3 AV1B
|
Mortgage
backed security 1ML+45 9/33
|
87
|
||
Argent
Securities Inc ARSI 03-W3 AV2
|
Mortgage
backed security 1ML+40 9/33
|
82
|
||
Argent
Securities Inc ARSI 04-W5 M1
|
Mortgage
backed security 1ML+60 4/34
|
401
|
||
Argent
Securities Inc ARSI 04-W7 M1
|
Mortgage
backed security 1ML+55 5/34
|
415
|
||
(a)
|
(b)
Identity
of issue, borrower, lessor, or similar party
|
(c)
Description
of investment, including maturity date, rate of interest, collateral,
par
or maturity value
|
(d)
Historical
cost
|
(e)
Current
value
|
Argent
Securities Inc ARSI 04-W7 M2
|
Mortgage
backed security 1ML+60 5/34
|
335
|
||
Asset
Backed Securities Corp Home Equity ABSHE 02-HE2 M2
|
Mortgage
backed security 1ML+113 8/32
|
101
|
||
Asset
Backed Securities Corp Home Equity ABSHE 02-HE3 2A
|
Mortgage
backed security 1ML+40 10/32
|
19
|
||
Asset
Backed Securities Corp Home Equity ABSHE 03-HE3 A2
|
Mortgage
backed security 1ML+35 6/33
|
75
|
||
Asset
Backed Securities Corp Home Equity ABSHE 03-HE3 M1
|
Mortgage
backed security 1ML+83 6/33
|
263
|
||
Asset
Backed Securities Corp Home Equity ABSHE 03-HE4 M2
|
Mortgage
backed security 1ML+200 8/33
|
639
|
||
Asset
Backed Securities Corp Home Equity ABSHE 03-HE5 A2B
|
Mortgage
backed security 4 8/33
|
182
|
||
Asset
Backed Securities Corp Home Equity ABSHE 03-HE6 M1
|
Mortgage
backed security 1ML+65 11/33
|
378
|
||
Asset
Backed Securities Corp Home Equity ABSHE 03-HE7 A3
|
Mortgage
backed security 1ML+36 12/33
|
514
|
||
Asset
Backed Securities Corp Home Equity ABSHE 04-HE3 M1
|
Mortgage
backed security 1ML+54 6/34
|
150
|
||
Asset
Backed Securities Corp Home Equity ABSHE 04-HE3 M2
|
Mortgage
backed security 1ML+112 6/34
|
325
|
||
Asset
Backed Securities Corp Home Equity ABSHE 04-HE6 A2
|
Mortgage
backed security 1ML+36 6/34
|
984
|
||
Asset
Backed Funding Certificates ABFC 04-HE1 M2
|
Mortgage
backed security 1ML+115 1/34
|
235
|
||
Associates
Corp Of N. America
|
Corporate
bond 6.875% 11/15/08
|
133
|
||
Associates
Corp Of N. America
|
Corporate
bond 6.25% 11/01/08
|
858
|
||
BMW
Vehicle Owner Trust BMWOT 04-A A3
|
Asset backed
security 2.67% 3/08
|
1,018
|
||
Banc
of America Commercial Mortgage Inc BACM 04-6 XP
|
Interest
only strip CSTR 12/42
|
206
|
||
Banc
of America Commercial Mortgage Inc BACM 04-2 A3
|
Mortgage
backed security 4.05% 11/38
|
2,206
|
||
Banc
of America Commercial Mortgage Inc BACM 04-4 A3
|
Mortgage
backed security 4.128% 7/42
|
686
|
||
Banc
of America Commercial Mortgage Inc BACM 04-5 XP
|
Interest
only strip CSTR 11/41
|
298
|
||
Bank
of America Corp
|
Corporate
bond 7.8% 2/15/10 GLBL
|
274
|
||
Bank
of America Corp
|
Corporate
bond 7.4% 1/15/11 DT
|
1,911
|
||
Bank
of New York Co Inc/The
|
Corporate
bond 4.25%/3ML 9/4/12
|
610
|
||
Bank
of New York Co Inc/The
|
Corporate
bond 3.4/3ML+148 3/15/13
|
983
|
||
Bank
One Corp
|
Corporate
bond 6% 8/01/08 DT
|
202
|
||
Bank
One NA/Chicago IL
|
Corporate
bond 3.7% 1/15/08
|
752
|
||
Bank
One Issuance Trust BOIT 02-B1 B1
|
Mortgage
backed security 1ML+38 12/09
|
573
|
||
Bank
One Issuance Trust BOIT 04-B2 B2
|
Mortgage
backed security 4.37% 4/12
|
1,405
|
||
Bank
One Issuance Trust BOIT 04-A6
|
Mortgage
backed security 3.94% 4/16/12
|
1,205
|
||
BankAmerica
Corp/Old
|
Corporate
bond 6.25% 4/01/08
|
256
|
||
Bayview
Financial Acquisition Trust BAYV 04-C A1
|
Mortgage
backed security 1ML+42 5/44
|
1,127
|
||
Bayview
Financial Acquisition Trust BAYV 04-A A
|
Mortgage
backed security 1ML+45 2/44
|
761
|
||
Bayview
Financial Acquisition Trust BAYV 03-F A
|
Mortgage
backed security 1ML+50 9/43
|
1,000
|
||
Bayview
Commercial Asset Trust BAYC 04-2 A1
|
Mortgage
backed security 1ML+43 8/34
|
698
|
||
Bayview
Commercial Asset Trust BAYC 04-2 M1
|
Mortgage
backed security 1ML+58 8/34
|
223
|
||
Bayview
Commercial Asset Trust BAYC 04-3 M1
|
Mortgage
backed security 1ML+50 1/35
|
150
|
||
(a)
|
(b)
Identity
of issue, borrower, lessor, or similar party
|
(c)
Description
of investment, including maturity date, rate of interest, collateral,
par
or maturity value
|
(d)
Historical
cost
|
(e)
Current
value
|
Bayview
Commercial Asset Trust BAYC 04-3 M2
|
Mortgage
backed security 1ML+100 1/35
|
100
|
||
Bear
Stearns Commercial Mortgage Securities BSCMS 04-ESA A2
|
Mortgage
backed security 1ML+34 5/16
|
667
|
||
Bear
Stearns Commercial Mortgage Securities BSCMS 04-ESA B
|
Mortgage
backed security 4.888% 5/16
|
353
|
||
Bear
Stearns Commercial Mortgage Securities BSCMS 04-ESA C
|
Mortgage
backed security 4.937% 5/16
|
399
|
||
Bear
Stearns Commercial Mortgage Securities BSCMS 04-ESA D
|
Mortgage
backed security 4.986% 5/16
|
143
|
||
Bear
Stearns Commercial Mortgage Securities BSCMS 04-ESA E
|
Mortgage
backed security 5.064% 5/16
|
450
|
||
Bear
Stearns Commercial Mortgage Securities BSCMS 04-ESA F
|
Mortgage
backed security 5.182% 5/16
|
107
|
||
Bear
Stearns Commercial Mortgage Securities BSCMS 04-PWR5 A2
|
Mortgage
backed security 4.254% 7/42
|
648
|
||
Bear
Stearns Commercial Mortgage Securities BSCMS 04-PWR5 X2
|
Interest
only strip CSTR 7/42
|
254
|
||
Bear
Stearns Commercial Mortgage Securities BSCMS 04-T16 A3
|
Mortgage
backed security 4.03% 2/46
|
1,552
|
||
Bear
Stearns Commercial Mortgage Securities BSCMS 04-PWR6 X2
|
Interest
only strip CSTR 11/41
|
159
|
||
Bear
Stearns Commercial Mortgage Securities BSCMS 03-PWR2 A3
|
Mortgage
backed security 4.83% 5/39
|
436
|
||
Bear
Stearns Asset Backed Securities Inc BSABS 04-HE8 A
|
Mortgage
backed security 1ML+38 9/34
|
922
|
||
Bear
Stearns Asset Backed Securities Inc BSABS 04-BO1 M3
|
Mortgage
backed security 1ML+105 9/34
|
262
|
||
Bear
Stearns Asset Backed Securities Inc BSABS 04-BO1 M4
|
Mortgage
backed security 1ML+120 9/34
|
222
|
||
Bear
Stearns Asset Backed Securities Inc BSABS 04-BO1 M5
|
Mortgage
backed security 1ML+140 9/34
|
212
|
||
Bear
Stearns Cos Inc/The
|
Corporate
bond 4% 1/31/08
|
615
|
||
Bear
Stearns Cos Inc/The
|
Corporate
bond 3.25% 3/25/09
|
882
|
||
BellSouth
Corp
|
Corporate
bond 4.2% 9/15/09 DT
|
878
|
||
British
Telecommunications PLC
|
Corporate
bond 7.875% 12/15/05 DT
|
765
|
||
British
Telecommunications PLC
|
Corporate
bond 8.12% 5/8.375 12/10
|
2,287
|
||
CDC
Mortgage Capital Trust CDCMC 02-HE3 M1
|
Mortgage
backed security 1ML+110 3/33
|
210
|
||
CDC
Mortgage Capital Trust CDCMC 03-HE1 M1
|
Mortgage
backed security 1ML+90 8/33
|
232
|
||
CDC
Mortgage Capital Trust CDCMC 03-HE3 M1
|
Mortgage
backed security 1ML+70 11/33
|
247
|
||
CDC
Mortgage Capital Trust CDCMC 03-HE3 M2
|
Mortgage
backed security 1ML+175 11/33
|
189
|
||
CDC
Mortgage Capital Trust CDC 04-HE2 M2
|
Mortgage
backed security 1ML+120 7/34
|
235
|
||
CIT
Group Inc CIT GROUP INC
|
Corporate
bond 3.875% 11/03/08
|
1,007
|
||
CIT
Group Inc CIT GROUP INC
|
Corporate
bond 3.375% 4/01/09
|
636
|
||
CIT
Group Inc CIT GROUP INC
|
Corporate
bond 3.65% 11/23/07
|
1,054
|
||
Countrywide
Asset-Backed Certificates CWL 04-2 M1
|
Mortgage
backed security 1ML+50 5/34
|
525
|
||
Countrywide
Asset-Backed Certificates CWL 04-3 M1
|
Mortgage
backed security 1ML+50 6/34
|
150
|
||
Countrywide
Asset-Backed Certificates CWL 04-4 A
|
Mortgage
backed security 1ML+37.5 8/34
|
425
|
||
Countrywide
Asset-Backed Certificates CWL 04-4 M1
|
Mortgage
backed security 1ML+48 7/34
|
376
|
||
(a)
|
(b)
Identity
of issue, borrower, lessor, or similar party
|
(c)
Description
of investment, including maturity date, rate of interest, collateral,
par
or maturity value
|
(d)
Historical
cost
|
(e)
Current
value
|
Countrywide
Asset-Backed Certificates CWL 04-4 M2
|
Mortgage
backed security 1ML+53 6/34
|
441
|
||
Countrywide
Asset-Backed Certificates CWL 00-2 MV2
|
Mortgage
backed security 1ML+90 6/31
|
187
|
||
Countrywide
Asset-Backed Certificates CWL 03-SD3 A1
|
Mortgage
backed security 1ML+42 12/32
|
183
|
||
Countrywide
Asset-Backed Certificates CWL 02-5 MV1
|
Mortgage
backed security 1ML+100 3/33
|
66
|
||
Countrywide
Home Loan Mortgage Pass CWHL 02-25 2A1 Through Trust
|
Mortgage
backed security 5.5% 11/17
|
416
|
||
Capital
Auto Receivables Asset Trust CARAT 04-2 A2
|
Asset backed
security 3.35% 2/08
|
888
|
||
Capital
One Master Trust COMT 01-3A A
|
Asset
backed security 5.45% 3/09
|
1,295
|
||
Capital
One Auto Finance Trust COAFT 01-B A4
|
Asset backed
security 4.88% 9/08
|
553
|
||
Capital
One Auto Finance Trust COAFT 04-A A3
|
Asset backed
security 3.07% 7/08
|
1,080
|
||
Capital
One Auto Finance Trust COAFT 04-B A3
|
Asset backed
security 2.96% 4/09
|
720
|
||
Capital
One Multi-Asset Execution Trust COMET 02-B1 B1
|
Asset backed
security 1ML+68 7/08
|
1,300
|
||
Capital
One Multi-Asset Execution Trust COMET 03-2B
|
Asset backed
security 3.5% 2/09
|
686
|
||
Capital
One Multi-Asset Execution Trust COMET 03-B4 B4
|
Asset backed
security 1ML 7/11
|
688
|
||
Capital
One Multi-Asset Execution Trust COMET 04-B5 B5
|
Asset backed
security 3.7% 5/10
|
1,611
|
||
Capital
One Multi-Asset Execution Trust COMET 04-B6 B6
|
Asset backed
security 4.155% 7/12
|
1,155
|
||
Capital
One Prime Auto Receivables Trust COPAR 04-2 A3
|
Asset backed
security 3.06% 3/08
|
619
|
||
Capital
One Prime Auto Receivables Trust COPAR 04-3 A3
|
Asset backed
security 3.39% 1/09
|
876
|
||
Capital
Trust Re CDO Ltd CTCDO 04-1A A2
|
Mortgage
backed security 1ML+45 7/39
|
300
|
||
Capital
Trust Re CDO Ltd CTCDO 04-1A B
|
Mortgage
backed security 1ML+75 7/39
|
160
|
||
Capital
Trust Re CDO Ltd CTCDO 04-1A C
|
Mortgage
backed security 1ML+110 7/39
|
205
|
||
Chase
Commercial Mortgage Securities Corp CCMSC 99-2 A1
|
Mortgage
backed security 7.032% 1/32
|
511
|
||
Chase
Credit Card Master Trust CHAMT 03-6 B
|
Asset backed
security 1ML+35 2/11
|
1,009
|
||
Chase
Credit Card Master Trust CHAMT 04-1 B
|
Asset backed
security 1ML+20 5/09
|
436
|
||
JPMorgan
Chase & Co
|
Corporate
bond 6.375% 4/01/08
|
170
|
||
Chile
Government International Bond CHILE REP GLB
|
Corporate
bond 6.875% 4/28/09 DT
|
45
|
||
Chile
Government International Bond CHILE REP GLB
|
Corporate
bond 5.625% 7/23/07 DT
|
1,088
|
||
Chubb
Corp CHUBB CORP
|
Corporate
bond 3.95% 4/01/08
|
167
|
||
Citigroup
Inc CITIGROUP
|
Corporate
bond 5.75% 5/10/06
|
203
|
||
Citibank
Credit Card Issuance Trust CCCIT 01-A6 A6
|
Asset backed
security 5.65% 6/08
|
575
|
||
Citibank
Credit Card Issuance Trust CCCIT 03-A6 A6
|
Asset backed
security 2.9% 5/10
|
474
|
||
Citibank
Credit Card Issuance Trust CCCIT 04-A4
|
Asset backed
security 3.2% 8/09
|
1,687
|
||
Citigroup
Commercial Mortgage Trust CGCMT 04-C2 XP
|
Interest
only strip CSTR 10/41
|
256
|
||
(a)
|
(b)
Identity
of issue, borrower, lessor, or similar party
|
(c)
Description
of investment, including maturity date, rate of interest, collateral,
par
or maturity value
|
(d)
Historical
cost
|
(e)
Current
value
|
Commercial
Mortgage Pass Through Certificates COMM 99-1 A2
|
Mortgage
backed security 6.455% 5/32
|
1,194
|
||
Commercial
Mortgage Pass Through Certificates COMM 04-CNL X1
|
Interest
only strip CSTR 9/14
|
311
|
||
Commercial
Mortgage Pass Through Certificates COMM 04-CNL B
|
Mortgage
backed security 1ML+40 9/14
|
200
|
||
Commercial
Mortgage Pass Through Certificates COMM 04-CNL D
|
Mortgage
backed security 1ML+64 9/14
|
60
|
||
Commercial
Mortgage Pass Through Certificates COMM 04-CNL E
|
Mortgage
backed security 1ML+70 9/14
|
85
|
||
Commercial
Mortgage Pass Through Certificates COMM 04-CNL F
|
Mortgage
backed security 1ML+80 9/14
|
65
|
||
Commercial
Mortgage Pass Through Certificates COMM 04-HTL1 B
|
Mortgage
backed security 1ML+45 7/16
|
60
|
||
Commercial
Mortgage Pass Through Certificates security COMM 04-HTL1 D
|
Mortgage
backed 1ML+55 7/16
|
140
|
||
Commercial
Mortgage Pass Through Certificates COMM 04-HTL1 E
|
Mortgage
backed security 1ML+75 7/16
|
100
|
||
Commercial
Mortgage Pass Through Certificates COMM 04-HTL1 F
|
Mortgage
backed security 1ML+80 7/16
|
105
|
||
Commercial
Mortgage Pass Through Certificates COMM 04-LNB4 XP
|
Interest
only strip CSTR 10/37
|
472
|
||
Computer
Sciences Corp
|
Corporate
bond 6.75% 6/15/06
|
1,260
|
||
Computer
Sciences Corp
|
Corporate
bond 7.375% 6/15/11
|
542
|
||
Computer
Sciences Corp
|
Corporate
bond 3.5% 4/15/08
|
1,008
|
||
Consolidated
Natural Gas Co
|
Corporate
bond 5.375% 11/01/06
|
729
|
||
Costco
Wholesale Corp
|
Corporate
bond 5.5% 3/15/07
|
485
|
||
Countrywide
Home Loans Inc
|
Corporate
bond 4% 3/22/11
|
393
|
||
Countrywide
Home Loans Inc
|
Corporate
bond 4.125% 9/15/09
|
1,338
|
||
CS
First Boston Mortgage Securities Corp CSFB 97-C2 A2
|
Mortgage
backed security 6.52% 1/35
|
88
|
||
CS
First Boston Mortgage Securities Corp CSFB 97-C2 A3
|
Mortgage
backed security 6.55% 1/35
|
670
|
||
CS
First Boston Mortgage Securities Corp CFSB 99-C1 A2
|
Mortgage
backed security 7.29% 9/41
|
3,085
|
||
CS
First Boston Mortgage Securities Corp CSFB 02-HE16 M2
|
Mortgage
backed security 1ML+150 10/32
|
102
|
||
Home
Equity Asset Trust HEAT 03-3 A2
|
Mortgage
backed security1ML+36 8/33
|
232
|
||
Home
Equity Asset Trust HEAT 02-4 M2
|
Mortgage
backed security 1ML+205 3/33
|
178
|
||
Home
Equity Asset Trust HEAT 03-4 M1
|
Mortgage
backed security 1ML+80 10/33
|
379
|
||
CS
First Boston Mortgage Securities Corp CSFB 03-C5 A3
|
Mortgage
backed security 4.429% 12/36
|
980
|
||
Home
Equity Asset Trust HEAT 03-5 M1
|
Mortgage
backed security 1ML+70 12/33
|
353
|
||
Home
Equity Asset Trust HEAT 03-5 M2
|
Mortgage
backed security 1ML+173 12/33
|
154
|
||
CS
First Boston Mortgage Securities Corp CSFB 03-C4 A3
|
Interest
only strip CSTR 8/36
|
580
|
||
CS
First Boston Mortgage Securities Corp CSFB 04-C1 A3
|
Mortgage
backed security 4.321% 1/37
|
523
|
||
CS
First Boston Mortgage Securities Corp CSFB 04-AR3 6A2
|
Mortgage
backed security 1ML+37 4/34
|
381
|
||
CS
First Boston Mortgage Securities Corp CSFB 04-AR4 5A2
|
Mortgage
backed security 1ML+37 5/34
|
336
|
||
CS
First Boston Mortgage Securities Corp CSFB 04-AR5 11A2
|
Mortgage
backed security 1ML+37 6/34
|
481
|
||
CS
First Boston Mortgage Securities Corp CSFB 04-C4 ASP
|
Interest
only strip CSTR 10/39
|
264
|
||
CS
First Boston Mortgage Securities Corp CSFB 04-AR6 9A2
|
Mortgage
backed security 1ML+37 10/34
|
619
|
||
(a)
|
(b)
Identity
of issue, borrower, lessor, or similar party
|
(c)
Description
of investment, including maturity date, rate of interest, collateral,
par
or maturity value
|
(d)
Historical
cost
|
(e)
Current
value
|
CS
First Boston Mortgage Securities Corp CSFB 04-AR7 6A2
|
Mortgage
backed security 1ML+38 8/34
|
998
|
||
CS
First Boston Mortgage Securities Corp CSFB 04-HC1 A2
|
Mortgage
backed security 1ML+50 12/21
|
170
|
||
CS
First Boston Mortgage Securities Corp CSFB 04-FRE1 A2
|
Mortgage
backed security 1ML+35 4/34
|
637
|
||
CS
First Boston Mortgage Securities Corp CSFB 04-HC1 B
|
Mortgage
backed security 1ML+75 12/21
|
441
|
||
CS
First Boston Mortgage Securities Corp CSFB 04-AR8 8A2
|
Mortgage
backed security 1ML+38 9/34
|
792
|
||
DLJ
Commercial Mortgage Corp DLJCM 98-CF1 A1B
|
Mortgage
backed security 6.41% 2/31
|
1,180
|
||
DLJ
Commercial Mortgage Corp DLJCM 98-CG1 A1B
|
Mortgage
backed security 6.41% 6/31
|
1,735
|
||
DLJ
Commercial Mortgage Corp DLJCM 99-CG1 A1B
|
Mortgage
backed security 6.46% 3/32
|
1,078
|
||
DaimlerChrysler
NA Holding Corp
|
Corporate
bond 6.4% 5/15/06
|
996
|
||
DaimlerChrysler
NA Holding Corp
|
Corporate
bond 4.75% 1/15/08
|
672
|
||
DaimlerChrysler
NA Holding Corp
|
Corporate
bond 9/10/07 SER D #36
|
631
|
||
Daimler
Chrysler Auto Trust DCAT 04-C A3
|
Mortgage
backed security 2.98% 8/08
|
1,472
|
||
John
Deere Capital Corp
|
Corporate
bond 3.9% 1/15/08 DT
|
819
|
||
John
Deere Capital Corp
|
Corporate
bond 3.375% 10/1/07
|
1,108
|
||
Deutsche
Telekom International Finance BV
|
Corporate
bond 8.25% 6/15/05DT
|
473
|
||
Deutsche
Telekom International Finance BV
|
Corporate
bond 8% 6/15/10
|
1,474
|
||
Discover
Card Master Trust I DCMT 01-6 A
|
Mortgage
backed security 5.75% 12/08
|
4,556
|
||
RR
Donnelley & Sons Co
|
Corporate
bond 3.75% 4/1/09
|
1,557
|
||
Export
Development Canada
|
Corporate
bond 4% 8/01/07
|
1,066
|
||
FPL
Group Capital Inc
|
Corporate
bond 3.25% 4/11/06
|
332
|
||
Freddie
Mac Gold Pool
|
FHLMC
15YR 5.00% 5/14 #E76434
|
32
|
||
Freddie
Mac Gold Pool
|
FHLMC
15YR 5.00% 6/14 #E77224
|
142
|
||
Freddie
Mac
|
FHLMC
3.875% 1/12/09-1/06
|
1,763
|
||
Federal
Farm Credit Bank
|
Government
bond 3.25% 6/15/07
|
5,207
|
||
Freddie
Mac FHR 2435 GD
|
Mortgage
backed security 6.5% 2/30
|
202
|
||
Freddie
Mac FHR 1608 J
|
Mortgage
backed security 6% 6/22
|
1,643
|
||
Freddie
Mac FHR 1644 IA
|
Mortgage
backed security 6.75% 8/23
|
319
|
||
Freddie
Mac FHR 1650 H
|
Mortgage
backed security 6.25% 10/22
|
26
|
||
Freddie
Mac FHR 1680 PH
|
Mortgage
backed security 6.25% 1/23
|
204
|
||
Freddie
Mac FHR 1703 GA
|
Mortgage
backed security 6.5% 10/08
|
155
|
||
Freddie
Mac FHR 1708 D
|
Mortgage
backed security 6 7/08
|
277
|
||
Freddie
Mac FHR 1697 PJ
|
Mortgage
backed security 6 7/08
|
416
|
||
Freddie
Mac FHR 2292 QT
|
Mortgage
backed security 6.5% 5/30
|
139
|
||
Federal
Home Loan Bank System
|
Government
bonds 2.875% 8/15/06
|
30,785
|
||
Federal
Home Loan Bank System
|
Government
bonds 2.5% 4/11/06
|
6,411
|
||
Freddie
Mac
|
FHLMC
GLBL 2.875% 12/15/06
|
28,925
|
||
Freddie
Mac
|
FHLMC
2.375% 2/15/07
|
27,386
|
||
Freddie
Mac
|
FHLMC
2.875% 5/15/07
|
18,541
|
||
Fannie
Mae FNR 93-225 OH
|
Mortgage
backed security 6.3% 10/22
|
78
|
||
Fannie
Mae FNR 94-36 H
|
Mortgage
backed security 6.375% 1/23
|
211
|
||
Fannie
Mae FNR 94-50 PH
|
Mortgage
backed security 5.5% 1/23
|
248
|
||
Fannie
Mae
|
FNMA
3.25% 8/15/08
|
24,160
|
||
Fannie
Mae
|
FNMA
2.375% 2/15/07
|
29,415
|
||
Fannie
Mae
|
FNMA
2.15% 4/13/06-05
|
9,725
|
||
Fannie
Mae
|
FNMA
2.5% 6/15/06
|
13,951
|
||
Fannie
Mae
|
FNMA
3.125% 7/15/06
|
3,290
|
||
Fannie
Mae
|
FNMA
3.125% 12/15/07
|
18,268
|
||
Fannie
Mae Pool
|
FNMA
15YR 7.00% 8/08 #252068
|
106
|
||
Fannie
Mae Pool
|
FNMA
15YR 7.00% 1/13 #251428
|
17
|
||
(a)
|
(b)
Identity
of issue, borrower, lessor, or similar party
|
(c)
Description
of investment, including maturity date, rate of interest, collateral,
par
or maturity value
|
(d)
Historical
cost
|
(e)
Current
value
|
Fannie
Mae Pool
|
FNMA
15YR 6.50% 4/09 #277813
|
145
|
||
Fannie
Mae Pool
|
FNMA
15YR 7.00% 7/10 #303403
|
453
|
||
Fannie
Mae Pool
|
FNMA
15YR 6.00% 3/11 #303779
|
58
|
||
Fannie
Mae Pool
|
FNMA
15YR 7.00% 12/09 #303836
|
2
|
||
Fannie
Mae Pool
|
FNMA
15YR 6.50% 11/13 #323755
|
668
|
||
Fannie
Mae Pool
|
FNMA
15YR 7.00% 8/14 #323877
|
138
|
||
Fannie
Mae Pool
|
FNMA
15YR 7.00% 5/11 #346783
|
22
|
||
Fannie
Mae Pool
|
FNMA
15YR 6.00% 3/14 #487614
|
57
|
||
Fannie
Mae Pool
|
FNMA
15YR 6.50% 9/14 #514373
|
5
|
||
Fannie
Mae Pool
|
FNMA
15YR 6.00% 11/14 #520642
|
36
|
||
Fannie
Mae Pool
|
FNMA
15YR 7.00% 11/14 #522277
|
43
|
||
Fannie
Mae Pool
|
FNMA
15YR 6.50% 10/13 #535234
|
1,279
|
||
Fannie
Mae Pool
|
FNMA
15YR 7.00% 3/08 #535395
|
848
|
||
Fannie
Mae Pool
|
FNMA
15YR 7.00% 6/16 #545122
|
42
|
||
Fannie
Mae Pool
|
FNMA
15YR 7.00% 2/16 #569915
|
116
|
||
Fannie
Mae Pool
|
FNMA
15YR 6.00% 10/16 #589129
|
66
|
||
Fannie
Mae Pool
|
FNMA
15YR 7.00% 8/16 #599602
|
142
|
||
Fannie
Mae Pool
|
FNMA
15YR 7.00% 10/19 #TBA
|
0
|
||
Fannie
Mae Pool
|
FNMA
15YR 6.50% 1/20 #TBA
|
734
|
||
Fannie
Mae Pool
|
FNMA
15YR 7.00% 4/17 #636135
|
489
|
||
Fannie
Mae Pool
|
FNMA
15YR 6.50% 4/17 #637244
|
386
|
||
Fannie
Mae Pool
|
FNMA
15YR 6.00% 11/17 #671380
|
338
|
||
Fannie
Mae Pool
|
FNMA
15YR 6.00% 11/17 #672789
|
78
|
||
Fannie
Mae Pool
|
FNMA
15YR 6.00% 12/17 #673965
|
172
|
||
Fannie
Mae FNR 02-18 PE
|
Mortgage
backed security 5.5% 6/16
|
2,052
|
||
Fannie
Mae FNR 02-52 PA
|
Mortgage
backed security 6% 4/31
|
120
|
||
Freddie
Mac FHR 2473 JB
|
Mortgage
backed security 5.5% 2/29
|
95
|
||
Freddie
Mac FHR 2498 PD
|
Mortgage
backed security 5.5% 2/16
|
433
|
||
Fannie
Mae Pool
|
FNMA
15YR 6.00% 2/18 #684153
|
36
|
||
Fannie
Mae Pool
|
FNMA
15YR 7.00% 2/18 #693327
|
507
|
||
Fannie
Mae Pool
|
FNMA
ARM 3.878% 6/33 #723633
|
549
|
||
Fannie
Mae Pool
|
FNMA
ARM 3.975% 11/34 #781809
|
232
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.025% 1/35 #781871
|
227
|
||
Fieldstone
Mortgage Investment Corp FMIC 03-1 M1
|
Mortgage
backed security 1ML+68 11/33
|
101
|
||
Fieldstone
Mortgage Investment Corp FMIC 03-1 M2
|
Mortgage
backed security 1ML+175 11/33
|
103
|
||
Fifth
Third Auto Trust FITAT 04-A A3
|
Mortgage
backed security 3.19% 2/08
|
554
|
||
First
Franklin Mtg Loan Asset Backed Certificates FFML 04-FF2 M3
|
Mortgage
backed security 1ML+55 3/34
|
50
|
||
First
Franklin Mtg Loan Asset Backed Certificates FFML 04-FF2 M4
|
Mortgage
backed security 1ML+90 3/34
|
25
|
||
First
Franklin Mtg Loan Asset Backed Certificates FFML 04-FF2 M6
|
Mortgage
backed security 1ML+125 3/34
|
50
|
||
First
Union Commercial Mortgage Securities Inc FULB 97-C2 A3
|
Mortgage
backed security 6.65% 11/29
|
537
|
||
Wachovia
Bank NA/Charlotte
|
Corporate
bond 7.8% 8/18/10
|
433
|
||
FleetBoston
Financial Corp
|
Corporate
bond 3.85% 2/15/08
|
407
|
||
Ford
Credit Auto Owner Trust FORDO 03-B B1
|
Mortgage
backed security 2.85% 10/07
|
623
|
||
Ford
Motor Credit Co
|
Corporate
bond 6.875% 2/1/06 DT
|
534
|
||
Ford
Motor Credit Co
|
Corporate
bond 6.5% 1/25/07 DT
|
3,155
|
||
Franklin
Resources Inc
|
Corporate
bond 3.7% 4/15/08
|
1,537
|
||
Fremont
Home Loan Trust FHLT 04-A M1
|
Mortgage
backed security 1ML+55 1/34
|
450
|
||
Fremont
Home Loan Trust FHLT 04-A M2
|
Mortgage
backed security 1ML+115 1/34
|
525
|
||
Fremont
Home Loan Trust FHLT 04-1 M1
|
Mortgage
backed security 1ML+45 2/34
|
50
|
||
Fremont
Home Loan Trust FHLT 04-1 M2
|
Mortgage
backed security 1ML+50 2/34
|
100
|
||
(a)
|
(b)
Identity
of issue, borrower, lessor, or similar party
|
(c)
Description
of investment, including maturity date, rate of interest, collateral,
par
or maturity value
|
(d)
Historical
cost
|
(e)
Current
value
|
Fremont
Home Loan Trust FHLT 04-1 M3
|
Mortgage
backed security 1ML+55 2/34
|
100
|
||
Fremont
Home Loan Trust FHLT 04-1 M4
|
Mortgage
backed security 1ML+95 2/34
|
250
|
||
Fremont
Home Loan Trust FHLT 04-1 M5
|
Mortgage
backed security 1ML+110 2/34
|
100
|
||
Fremont
Home Loan Trust FHLT 04-1 M6
|
Mortgage
backed security 1ML+130 2/34
|
250
|
||
GGP
Mall Properties Trust GGPMP 01-C1A A2
|
Mortgage
backed security 5.007% 11/11
|
629
|
||
GMAC
Commercial Mortgage Securities Inc GMACC 97-C2 A3
|
Mortgage
backed security 6.566% 4/29
|
644
|
||
GMAC
Commercial Mortgage Securities Inc GMACC 04-C2 A2
|
Interest
only strip CSTR 8/38
|
1,500
|
||
GMAC
Commercial Mortgage Securities Inc GMACC 04-C3 X2
|
Interest
only strip CSTR 12/41
|
226
|
||
GMACC
Commercial Mortgage Securities Inc GMACC 00-C1 A2
|
Mortgage
backed security 7.724% 3/33
|
1,195
|
||
GS
Mortgage Securities Corp 03-C1 A2A
|
Mortgage
backed security 3.59% 1/40
|
768
|
||
GS
Mortgage Securities Corp 04-C1 A1
|
Mortgage
backed security 3.659% 10/28
|
1,624
|
||
GSAMP
Trust GSAMP 02-HE M1
|
Mortgage
backed securities 1ML+125 11/32
|
334
|
||
GSAMP
Trust GSAMP 04-FM2 M1
|
Mortgage
backed securities 1ML+50 1/34
|
250
|
||
GSAMP
Trust GSAMP 04-FM2 M2
|
Mortgage
backed securities 1ML+110 1/34
|
200
|
||
GSAMP
Trust GSAMP 04-FM2 M3
|
Mortgage
backed securities 1ML+130 1/34
|
200
|
||
GSAMP
Trust GSAMP 04-HE1 M1
|
Mortgage
backed securities 1ML+55 5/34
|
410
|
||
GSAMP
Trust GSAMP 04-HE1 M2
|
Mortgage
backed securities 1ML+115 5/34
|
149
|
||
GSAMP
Trust GSAMP 04-HE1 M3
|
Mortgage
backed securities 1ML+140 5/34
|
149
|
||
First
Franklin Mtg Loan Asset Backed Certificates FFML 04-FF3 M2
|
Mortgage
backed securities 1ML+114 5/34
|
475
|
||
GSAMP
Trust GSAMP 04-FM1 M1
|
Mortgage
backed securities 1ML+65 11/33
|
300
|
||
GSAMP
Trust GSAMP 04-FM1 M2
|
Mortgage
backed securities 1ML+140 11/33
|
207
|
||
GSAMP
Trust GSAMP 04-AHL M2
|
Mortgage
backed securities 1ML+115 8/34
|
250
|
||
Ge
Capital Commercial Mortgage Corp GECMC 04-C2 A2
|
Mortgage
backed securities 4.119% 3/40
|
518
|
||
Ge
Capital Commercial Mortgage Corp GECMC 04-C3 A2
|
Mortgage
backed securities 4.433% 7/39
|
893
|
||
GE
Commercial Equipment Financing LLC GECEF 04-A A3
|
Mortgage
backed securities 3.36% 6/08
|
1,162
|
||
General
Electric Capital Corp
|
Corporate
bond 7.5% 6/15/09
|
1,257
|
||
General
Electric Capital Corp
|
Corporate
bond 3.5% 5/01/08
|
464
|
||
General
Electric Capital Corp
|
Corporate
bond 3.5% 8/15/07
|
540
|
||
General
Electric Capital Corp
|
Corporate
bond 3.75% 12/15/09
|
1,113
|
||
General
Electric Capital Corp
|
Corporate
bond 5.875% 2/15/12A
|
1,293
|
||
General
Electric Capital Corp
|
Corporate
bond 5% 6/15/07
|
1,097
|
||
General
Motors Acceptance Corp
|
Corporate
bond 7.75% 1/19/10
|
1,566
|
||
General
Motors Acceptance Corp
|
Corporate
bond 6.75% 1/15/06
|
1,189
|
||
General
Motors Acceptance Corp
|
Corporate
bond 6.125% 9/15/06 GLBL
|
918
|
||
Goldman
Sachs Group Inc
|
Corporate
bond 6.6% 1/15/12
|
1,228
|
||
Gracechurch
Card Funding PLC BCARD 5 B
|
Asset backed
securities 1ML+23 8/08
|
165
|
||
Gracechurch
Card Funding PLC BCARD 5 A2
|
Asset
backed securities 2.7% 8/08
|
2,185
|
||
Gracechurch
Card Funding PLC BCARD 6 B
|
Asset backed
securities 1ML+19 2/09
|
105
|
||
Granite
Mortgages PLC GRAN 04-3 1B
|
Mortgage
backed securities 3ML+16 9/44
|
200
|
||
Granite
Mortgages PLC GRAN 04-3 1M
|
Mortgage
backed securities 3ML+27 9/44
|
100
|
||
Granite
Mortgages PLC GRAN 04-1 1B
|
Mortgage
backed securities 3ML+21 3/44
|
145
|
||
Granite
Mortgages PLC GRAN 04-1 1M
|
Mortgage
backed securities 3ML+41 3/44 DT
|
196
|
||
Granite
Mortgages PLC GRAN 04-2 1B
|
Mortgage
backed securities 3ML+17 6/44
|
125
|
||
Granite
Mortgages PLC GRAN 04-2 1M
|
Mortgage
backed securities 3ML+28 6/44
|
230
|
||
Greenwich
Capital Commercial Funding Corp GCCFC 03-C1 A2
|
Mortgage
backed securities 3.285% 7/35
|
878
|
||
(a)
|
(b)
Identity
of issue, borrower, lessor, or similar party
|
(c)
Description
of investment, including maturity date, rate of interest, collateral,
par
or maturity value
|
(d)
Historical
cost
|
(e)
Current
value
|
Greenwich
Capital Commercial Funding Corp GCCFC 04-GG1 A4
|
Mortgage
backed securities 4.755% 6/36
|
963
|
||
John
Hancock Global Funding II
|
Corporate
bond 3.75% 9/30/08
|
810
|
||
John
Hancock Global Funding II
|
Corporate
bond 3.5% 1/30/09
|
961
|
||
Hartford
Financial Services Group Inc
|
Corporate
bond 2.375% 6/01/06
|
261
|
||
Heller
Financial Commercial Mortgage Asset HFCMC 00-PH1 A1
|
Mortgage
backed securities 7.715% 1/34
|
546
|
||
Hewlett-Packard
Co
|
Corporate
bond 6.5% 7/01/12
|
839
|
||
Holmes
Financing PLC HFP 8 1B
|
Mortgage
backed securities 3ML+13 7/40
|
206
|
||
Holmes
Financing PLC HFP 8 2B
|
Mortgage
backed securities 3ML+17 7/40 DT
|
272
|
||
Home
Equity Asset Trust HEAT 04-1 M1
|
Mortgage
backed securities 1ML+63 6/34
|
317
|
||
Home
Equity Asset Trust HEAT 04-3 M1
|
Mortgage
backed securities 1ML+57 8/34
|
205
|
||
Home
Equity Asset Trust HEAT 04-3 M2
|
Mortgage
backed securities 1ML+120 8/34
|
225
|
||
Home
Equity Asset Trust HEAT 04-3 M3
|
Mortgage
backed securities 1ML+145 8/34
|
100
|
||
Home
Equity Asset Trust HEAT 04-4 A2
|
Mortgage
backed securities 1ML+32 10/34
|
215
|
||
Home
Equity Asset Trust HEAT 04-6 A2
|
Mortgage
backed securities 1ML+35 12/34
|
1,236
|
||
Home
Equity Asset Trust HEAT 04-7 A3
|
Mortgage
backed securities 1ML+39 1/35
|
424
|
||
Holmes
Financing PLC HFP 7 2M
|
Mortgage
backed securities 3ML+80 7/40
|
264
|
||
Host
Marriot Pool Trust HMPT 99-HMTA D
|
Mortgage
backed securities 7.97% 8/15
|
228
|
||
Household
Automotive Trust HAT 04-1 A3
|
Asset backed
securities 3.3% 5/09
|
943
|
||
Household
Automotive Trust HAT 04-1 A4
|
Asset backed
securities 3.93% 7/11
|
570
|
||
HSBC
Finance Corp
|
Corporate
bond 5.875% 2/1/09 DT
|
328
|
||
HSBC
Finance Corp
|
Corporate
bond 4.125% 12/15/08
|
1,839
|
||
HSBC
Finance Corp
|
Corporate
bond 4.125% 11/16/09
|
2,394
|
||
HSBC
Finance Corp
|
Corporate
bond 8.875% 2/15/08
|
1,097
|
||
Household
Private Label Credit Card Master Note Trust I HPLCC 02-1 A
|
Asset
backed securities 5.5% 1/11
|
1,772
|
||
Household
Private Label Credit Card Master Note Trust I HPLCC 02-3 B
|
Asset backed
securities 1ML 9/09
|
121
|
||
HFC
Home Equity Loan Asset Backed Certificates HFCHC 03-1 M
|
Mortgage
backed securities 1ML+63 10/32
|
128
|
||
HFC
Home Equity Loan Asset Backed Certificates HFCHC 03-2 M
|
Mortgage
backed securities 1ML+58 9/33
|
208
|
||
HFC
Home Equity Loan Asset Backed Certificates HFCHC 04-1 M
|
Mortgage
backed securities 1ML+52 9/33
|
425
|
||
Household
Mortgage Loan Trust HMLHC 02-HC1 M
|
Mortgage
backed securities 1ML+65 5/32
|
117
|
||
Household
Mortgage Loan Trust HMLHC 03-HC1
|
Mortgage
backed securities 1ML+65 2/33
|
292
|
||
Household
Mortgage Loan Trust HLHMC 03-HC2
|
Mortgage
backed securities 1ML+60 6/20/2103
|
436
|
||
Household
Mortgage Loan Trust HMLHC 04-HC1 A
|
Mortgage
backed securities 1ML+35 2/34
|
1,118
|
||
Hutchison
Whampoa International 01/11 Ltd
|
Corporate
bond 7% 2/16/11 144A
|
456
|
||
Hutchison
Whampoa International 03/33 Ltd
|
Corporate
bond 5.45% 11/24/10 144
|
936
|
||
Impac
CMB Trust IMM 04-6 1A2
|
Mortgage
backed securities 7/26/04
|
494
|
||
JPMorgan
Chase & Co
|
Corporate
bond 5.625% 8/15/06
|
3,002
|
||
JPMorgan
Chase & Co
|
Corporate
bond 4% 2/1/08
|
1,493
|
||
JP
Morgan Chase Commercial Mortgage Securities Corp JPMCC 04-CB9 A2
|
Interest
only strip CSTR 6/41
|
1,568
|
||
JP
Morgan Chase Commercial Mortgage Securities Corp JPMCC 03-PM1A
A2
|
Interest
only strip CSTR 8/40
|
1,812
|
||
JP
Morgan Chase Commercial Mortgage Securities Corp JPMCC 04-CB8
A2
|
Mortgage
backed securities 3.837% 1/39
|
1,246
|
||
JP
Morgan Chase Commercial Mortgage Securities Corp JPMCC 04-CBX
X2
|
Interest
only strip CSTR 1/37
|
679
|
||
JP
Morgan Chase Commercial Mortgage Securities Corp JPMCC 04-C3
A2
|
Mortgage
backed securities 4.223% 1/42
|
832
|
||
(a)
|
(b)
Identity
of issue, borrower, lessor, or similar party
|
(c)
Description
of investment, including maturity date, rate of interest, collateral,
par
or maturity value
|
(d)
Historical
cost
|
(e)
Current
value
|
KeySpan
Corp
|
Corporate
bond 7.625% 11/15/10
|
875
|
||
Korea
Development Bank
|
Corporate
bond 3.875% 3/02/09
|
749
|
||
Korea
Development Bank
|
Corporate
bond 4.75% 7/20/09
|
618
|
||
Kraft
Foods Inc
|
Corporate
bond 5.25% 6/1/07
|
551
|
||
LB-UBS
Commercial Mortgage Trust LBUBS 00-C3 A1
|
Mortgage
backed securities 7.95% 7/09
|
1,687
|
||
LB-UBS
Commercial Mortgage Trust LBUBS 00-C3 A2
|
Mortgage
backed securities 7.95% 1/10
|
1,089
|
||
LB-UBS
Commercial Mortgage Trust LBUBS 00-C5 A1
|
Mortgage
backed securities 6.41% 12/19
|
1,041
|
||
LB-UBS
Commercial Mortgage Trust LBUBS 00-C5 A2
|
Mortgage
backed securities 6.51% 12/26
|
510
|
||
LB-UBS
Commercial Mortgage Trust LBUBS 04-C6 A2
|
Mortgage
backed securities 4.187% 8/29
|
704
|
||
LB-UBS
Commercial Mortgage Trust LBUBS 03-C3 A2
|
Mortgage
backed securities 3.086% 5/27
|
649
|
||
LB-UBS
Commercial Mortgage Trust LBUBS 03-C7 A3
|
Interest
only strip CSTR 9/27
|
828
|
||
LB-UBS
Commercial Mortgage Trust LBUBS 04-C2 A3
|
Mortgage
backed securities 3.973% 3/29
|
693
|
||
Legg
Mason Inc
|
Corporate
bond 6.75% 7/02/08
|
359
|
||
Lehman
Brothers Holdings Inc
|
Corporate
bond 7% 2/1/08
|
2,354
|
||
Lehman
Brothers Holdings Inc
|
Corporate
bond 4% 1/22/08
|
901
|
||
Lehman
Brothers Holdings Inc
|
Corporate
bond 3.95% 11/10/09
|
373
|
||
Long
Beach Mortgage Loan Trust LBMLT 03-3 M1
|
Mortgage
backed securities 1ML+75 7/33
|
897
|
||
Long
Beach Mortgage Loan Trust LBMLT 04-2 M1
|
Mortgage
backed securities 1ML+53 6/34
|
425
|
||
Long
Beach Mortgage Loan Trust LBMLT 04-2 M2
|
Mortgage
backed securities 1ML+108 6/34
|
277
|
||
M&I
Marshall & Ilsley Bank
|
Corporate
bond 3.95% 8/14/09
|
813
|
||
MBNA
Credit Card Master Note Trust MBNAS 01-A1 A1
|
Asset backed
securities 5.75% 10/08
|
471
|
||
MBNA
Credit Card Master Note Trust MBNAS 02-1B
|
Asset
backed securities 5.15% 7/09
|
1,545
|
||
MBNA
Credit Card Master Note Trust MBNAS 03-B2 B2
|
Asset backed
securities 1ML+39 10/10
|
156
|
||
MBNA
Credit Card Master Note Trust MBNAS 03-B3 B3
|
Asset backed
securities 1ML+37.5 1/11
|
704
|
||
MBNA
Credit Card Master Note Trust MBNAS 03-B5 B5
|
Asset backed
securities 1ML+37 2/11
|
1,034
|
||
Mastr
Seasoned Securities Trust MSSTR 04-1 1A1
|
Interest
only strip CSTR 8/17
|
943
|
||
M&T
Bank Corp
|
Corporate
bond 3.85% 4/01/13
|
499
|
||
Marsh
& McLennan Cos Inc
|
Corporate
bond 5.375% 3/15/07
|
366
|
||
Marshall
& Ilsley Corp
|
Corporate
bond 4.375% 8/01/09
|
841
|
||
Mastr
Adjustable Rate Mortgages Trust MARM 04-11 1A4
|
Mortgage
backed securities 1ML+49 11/34
|
247
|
||
Mastr
Adjustable Rate Mortgages Trust MARM 04-11 2A2
|
Mortgage
backed securities 1ML+44 11/34
|
287
|
||
Mellon
Bank NA
|
Corporate
bond 7% 3/15/06
|
1,595
|
||
MLCC
Mortgage Investors Inc MLCC 03-F A2
|
Mortgage
backed securities 6ML+34 9/29
|
1,074
|
||
MLCC
Mortgage Investors Inc MLCC 03-A 2A2
|
Mortgage
backed securities 6ML+41 3/28
|
256
|
||
Meritage
Mortgage Loan Trust MMLT 04-1 M1
|
Mortgage
backed securities 1ML+50 7/34
|
225
|
||
Meritage
Mortgage Loan Trust MMLT 04-1 M2
|
Mortgage
backed securities 1ML+55 7/34
|
25
|
||
Meritage
Mortgage Loan Trust MMLT 04-1 M3
|
Mortgage
backed securities 1ML+95 7/34
|
75
|
||
(a)
|
(b)
Identity
of issue, borrower, lessor, or similar party
|
(c)
Description
of investment, including maturity date, rate of interest, collateral,
par
or maturity value
|
(d)
Historical
cost
|
(e)
Current
value
|
Meritage
Mortgage Loan Trust MMLT 04-1 M4
|
Mortgage
backed securities 1ML+110 7/34
|
50
|
||
Merrill
Lynch & Co Inc
|
Corporate
bond 6.56% 12/16/07
|
1,354
|
||
Merrill
Lynch & Co Inc
|
Corporate
bond 4.125% 1/15/09
|
1,689
|
||
Merrill
Lynch Mortgage Investors Inc MLMI 04-FM1 M2
|
Mortgage
backed securities 1ML+115 1/35
|
152
|
||
MLCC
Mortgage Investors Inc MLCC 04-D A2
|
Mortgage
backed securities 6ML+36 9/29
|
1,166
|
||
Merrill
Lynch Mortgage Trust MLMT 04-MKB1 A2
|
Mortgage
backed securities 4.353% 2/42
|
1,700
|
||
Merrill
Lynch Mortgage Trust MLMT 04-KEY2 A2
|
Mortgage
backed securities 4.166% 8/39
|
1,223
|
||
Merrill
Lynch Mortgage Trust MLMT 04-BPC1 XP
|
Interest
only strip CSTR 9/41
|
704
|
||
Metlife
Inc
|
Corporate
bond 6.125% 12/01/11
|
833
|
||
Metlife
Inc
|
Corporate
bond 5.375% 12/15/12
|
430
|
||
Metlife
Inc
|
Corporate
bond 5.5% 6/15/14
|
725
|
||
Metropolitan
Life Global Funding I
|
Corporate
bond 2.6% 6/19/08 144A
|
96
|
||
Metropolitan
Life Global Funding I
|
Corporate
bond 4.25% 7/30/09 144A
|
1,244
|
||
Morgan
Guaranty
|
SYNTHETIC
GIC GLOBAL WRAP AGREEMENT CONTRACT - 4.22%
|
(1860)
|
||
Monumental
Global Funding II
|
Corporate
bond 4.375% 7/09 144A
|
1,636
|
||
Monumental
Life Insurance
|
SYNTHETIC
GIC GLOBAL WRAP AGREEMENT CONTRACT - 4.21%
|
(1860)
|
||
JP
Morgan & Co Inc/Old
|
Corporate
bond 6.25% 1/15/09
|
1,709
|
||
JP
Morgan Commercial Mortgage Finance Corp JPMC 99-C8 A2
|
Mortgage
backed securities 7.4% 7/31
|
944
|
||
JP
Morgan Commercial Mortgage Finance Corp JPMC 00-C9 A2
|
Mortgage
backed securities 7.77% 10/32
|
1,060
|
||
Morgan
Stanley
|
Corporate
bond 6.1% 4/15/06
|
178
|
||
Morgan
Stanley
|
Corporate
bond 5.8% 4/01/07
|
1,030
|
||
Morgan
Stanley
|
Corporate
bond 3.625% 4/01/08
|
276
|
||
Morgan
Stanley ABS Capital I MSAC 04-NC6 A2
|
Mortgage
backed securities 1ML+34 7/34
|
555
|
||
Morgan
Stanley ABS Capital I MSAC 04-HE6 A2
|
Mortgage
backed securities 1ML+34 8/34
|
1,118
|
||
Morgan
Stanley Capital I MSC 98-WF2 A2
|
Mortgage
backed securities 6.54% 7/30
|
869
|
||
Morgan
Stanley Capital I MSC 98-HF2 A1
|
Mortgage
backed securities 6.01% 11/30
|
315
|
||
Morgan
Stanley Capital I MSC 98-HF2 A2
|
Mortgage
backed securities 6.48% 11/30
|
1,660
|
||
Morgan
Stanley Capital I MSC 99-WF1 A1
|
Mortgage
backed securities 5.91% 11/31
|
354
|
||
Morgan
Stanley Capital I MSC 99-CAM1 A4
|
Mortgage
backed securities 7.02% 3/32
|
582
|
||
Morgan
Stanley Capital I MSC 03-IQ5 A3
|
Mortgage
backed securities 4.71% 4/38
|
631
|
||
Morgan
Stanley Capital I MSC 04-HQ4 X2
|
Interest
only strip CSTR 4/40
|
176
|
||
Morgan
Stanley Capital I MSC 04-HQ3 A2
|
Mortgage
backed securities 4.05% 1/41
|
537
|
||
Morgan
Stanley ABS Capital I MSAC 02-HE3 M1
|
Mortgage
backed securities 1ML+110 12/32
|
198
|
||
Morgan
Stanley ABS Capital I MSAC 02-NC6 M2
|
Mortgage
backed securities 1ML+210 11/32
|
263
|
||
Morgan
Stanley ABS Capital I MSAC 03-NC5 M2
|
Mortgage
backed securities 1ML+200 4/33
|
280
|
||
Morgan
Stanley ABS Capital I MSAC 03-NC6 M1
|
Mortgage
backed securities 1ML+80 6/33
|
324
|
||
Morgan
Stanley ABS Capital I MSAC 03-HE1 M1
|
Mortgage
backed securities 1ML+80 6/33
|
445
|
||
Morgan
Stanley ABS Capital I MSAC 03-HE1 M2
|
Mortgage
backed securities 1ML 6/33
|
152
|
||
Morgan
Stanley ABS Capital I MSAC 03-NC7 M1
|
Mortgage
backed securities 1 ML+70 6/33
|
191
|
||
Morgan
Stanley ABS Capital I MSAC 03-NC7 M2
|
Mortgage
backed securities 1ML+185 6/33
|
107
|
||
(a)
|
(b)
Identity
of issue, borrower, lessor, or similar party
|
(c)
Description
of investment, including maturity date, rate of interest, collateral,
par
or maturity value
|
(d)
Historical
cost
|
(e)
Current
value
|
Morgan
Stanley ABS Capital I MSAC 03-NC8 M1
|
Mortgage
backed securities 1ML+70 9/33
|
262
|
||
Morgan
Stanley ABS Capital I MSAC 03-NC10 M1
|
Mortgage
backed securities 1ML+68 10/33
|
575
|
||
Morgan
Stanley
|
Corporate
bond 4% 1/15/10
|
1,861
|
||
Morgan
Stanley Dean Witter Capital I MSDWC 03-NC2 M2
|
Mortgage
backed securities 1ML+200 2/33
|
292
|
||
Morgan
Stanley Dean Witter Capital I MSDWC 01-NC1 M2
|
Mortgage
backed securities 1 ML+107 10/31
|
100
|
||
Morgan
Stanley Dean Witter Capital I MSDWC 01-NC3 M2
|
Mortgage
backed securities 1ML+150 10/31
|
469
|
||
Morgan
Stanley Dean Witter Capital I MSDWC 01-NC4 M2
|
Mortgage
backed securities 1ML+165 1/32
|
183
|
||
Morgan
Stanley Dean Witter Capital I MSDWC 02-HE1 M1
|
Mortgage
backed securities 1ML+60 7/32
|
292
|
||
Morgan
Stanley Dean Witter Capital I MSDWC 02-HE2 M2
|
Mortgage
backed securities 1ML+125 8/32
|
151
|
||
Morgan
Stanley Dean Witter Capital I MSDWC 02-NC3 M1
|
Mortgage
backed securities 1ML+72 8/32
|
162
|
||
Morgan
Stanley Dean Witter Capital I MSDWC 02-OP1 M1
|
Mortgage
backed securities 1ML+75 9/32
|
166
|
||
Morgan
Stanley Dean Witter Capital I MSDWC 02-NC4 M2
|
Mortgage
backed securities 1ML+160 9/32
|
126
|
||
Morgan
Stanley Dean Witter Capital I MSDWC 02-NC5 M3
|
Mortgage
backed securities 1ML+180 10/32
|
102
|
||
Morgan
Stanley Dean Witter Capital I MSDWC 03-NC1 M1
|
Mortgage
backed securities 1ML+105 11/32
|
263
|
||
Morgan
Stanley Dean Witter Capital I MSDWC 03-NC1 M2
|
Mortgage
backed securities 1ML+205 11/32
|
198
|
||
Mortgage
Capital Funding Inc MCFI 98-MC2 A2
|
Mortgage
backed securities 6.423% 6/30
|
1,901
|
||
National
Collegiate Student Loan Trust NCSLT 04-2 AIO
|
Mortgage
backed securities 9.75% 10/14
|
498
|
||
National
Rural Utilities Cooperative Finance Corp
|
Corporate
bond 5.75% 8/28/09
|
446
|
||
National
Rural Utilities Cooperative Finance Corp
|
Corporate
bond 3.24% 7/22/07
|
750
|
||
Navistar
Financial Corp Owner Trust NAVOT 04-B A3
|
Mortgage
backed securities 3.13% 5/09
|
542
|
||
New
Century Home Equity Loan Trust NCHET 03-6 M1
|
Mortgage
backed securities 1ML+72 1/34
|
544
|
||
New
York Life Global Funding
|
Corporate
bond 3.875% 1/15/09
|
283
|
||
Nissan
Auto Lease Trust NALT 03-A A3B
|
Asset backed
securities 2.57% 6/09
|
925
|
||
Nissan
Auto Lease Trust NALT 04-A A3
|
Asset backed
securities 2.9% 8/07
|
1,182
|
||
Nissan
Auto Lease Trust NALT 04-A A4B
|
Asset backed
securities 3.18% 6/10
|
292
|
||
Nissan
Auto Receivables Owner Trust NAROT 04-C A3
|
Asset backed
securities 2.85% 10/07
|
248
|
||
Novastar
Home Equity Loan NHEL 03-2 M-1
|
Mortgage
backed securities 1ML+75 9/33
|
207
|
||
Novastar
Home Equity Loan NHEL 04-1 M1
|
Mortgage
backed securities 1ML+45 6/34
|
150
|
||
Onyx
Acceptance Grantor Trust ONYX 04-C A3
|
Mortgage
backed securities 2.94% 11/08
|
383
|
||
PNC
Funding Corp
|
Corporate
bond 5.75% 8/1/06
|
2,159
|
||
Park
Place Securities Inc PPSI 04-WCW1 M1
|
Mortgage
backed securities 1ML+63 9/34
|
315
|
||
Park
Place Securities Inc PPSI 04-WCW1 M2
|
Mortgage
backed securities 1ML+68 9/34
|
185
|
||
Park
Place Securities Inc PPSI 04-WCW1 M3
|
Mortgage
backed securities 1ML+125 9/34
|
355
|
||
Park
Place Securities NIM Trust PPSIN 04-MHQ1 A
|
Mortgage
backed securities 2.487% 12/34
|
401
|
||
(a)
|
(b)
Identity
of issue, borrower, lessor, or similar party
|
(c)
Description
of investment, including maturity date, rate of interest, collateral,
par
or maturity value
|
(d)
Historical
cost
|
(e)
Current
value
|
Park
Place Securities NIM Trust PPSIN 04-MHQ1 B
|
Mortgage
backed securities 3.474% 12/34
|
210
|
||
Permanent
Financing PLC PERMA 5 1B
|
Mortgage
backed securities 3ML+14 6/42
|
396
|
||
Permanent
Financing PLC PERMA 5 2A
|
Mortgage
backed securities 3ML+11 6/11
|
230
|
||
Permanent
Financing PLC PERMA 5 2B
|
Mortgage
backed securities 3ML+18 6/42
|
446
|
||
Permanent
Financing PLC PERMA 4 1B
|
Mortgage
backed securities 3ML+14 6/42
|
205
|
||
Permanent
Financing PLC PERMA 4 1M
|
Mortgage
backed securities 3ML+23 6/42
|
160
|
||
Permanent
Financing PLC PERMA 4 2M
|
Mortgage
backed securities 3ML+33 6/42
|
171
|
||
Altria
Group Inc
|
Corporate
bond 7.2% 2/01/07
|
977
|
||
Altria
Group Inc
|
Corporate
bond 7% 7/15/05
|
1,572
|
||
ConocoPhillips
|
Corporate
bond 8.75% 5/25/10
|
1,442
|
||
Pricoa
Global Funding I
|
Corporate
bond 3.9% 12/15/08
|
1,168
|
||
Pricoa
Global Funding I
|
Corporate
bond 4.35% 6/15/08
|
1,443
|
||
Prime
Credit Card Master Trust PCCMT 00-1 A
|
Mortgage
backed securities 6.7% 10/09
|
5
|
||
Prime
Property Funding II Inc
|
Corporate
bond 5.6% 6/15/11
|
550
|
||
Principal
Life Global Funding I
|
Corporate
bond 3.625% 4/30/08
|
1,502
|
||
Prudential
Financial Inc
|
Corporate
bond 4.104% 11/15/06
|
655
|
||
Prudential
Financial Inc
|
Corporate
bond 3.75% 5/01/08
|
605
|
||
Prudential
Securities Secured Financing Corp PSSF 98-C1 A1B
|
Mortgage
backed securities 6.506% 7/08
|
970
|
||
Rabobank
Capital Funding II
|
Corporate
bond 5.26%/VR PERP 144A
|
2,997
|
||
Rabobank
Nederland
|
SYNTHETIC
GIC GLOBAL WRAP AGREEMENT CONTRACT - 4.22%
|
(1,860)
|
||
Reed
Elsevier Capital Inc
|
Corporate
bond 6.125% 8/01/06
|
770
|
||
Residential
Asset Mortgage Products Inc RAMP 04-RS6 MII2
|
Mortgage
backed securities 1ML+130 6/34
|
250
|
||
Residential
Asset Mortgage Products Inc RAMP 03-SL1 3A1
|
Mortgage
backed securities 7.125% 4/31
|
707
|
||
Residential
Asset Mortgage Products Inc RAMP 04-SL2 A1I
|
Mortgage
backed securities 6.5% 10/16
|
216
|
||
Residential
Asset Mortgage Products Inc RAMP 03-RZ2 A1
|
Mortgage
backed securities 3.6% 4/33
|
460
|
||
Royal
KPN NV
|
Corporate
bond 8% 10/01/10
|
1,013
|
||
SBC
Communications Inc
|
Corporate
bond 6.25% 3/15/11
|
451
|
||
SBC
Communications Inc
|
Corporate
bond 4.125% 9/15/09
|
2,379
|
||
SLM
Corp
|
Corporate
bond 4% 1/15/09
|
681
|
||
SLM
Corp
|
Corporate
bond 3.5% 9/30/06
|
1,565
|
||
SLM
Student Loan Trust SLMA 04-A B
|
Mortgage
backed securities 3ML+58 6/33
|
203
|
||
SP
PowerAssets Ltd
|
Corporate
bond 3.8% 10/22/08 144
|
1,308
|
||
Salomon
Brothers Mortgage Securities VII SBM7 00-C3 A2
|
Mortgage
backed securities 6.592% 12/33
|
943
|
||
Salomon
Brothers Mortgage Securities VII SBM7 00-C1 A2
|
Mortgage
backed securities 7.52% 12/09
|
1,050
|
||
Salomon
Brothers Mortgage Securities VII SBM7 03-HE1 A
|
Mortgage
backed securities 1ML+40 4/33
|
225
|
||
Citigroup
Global Markets Holdings Inc
|
Corporate
bond 6.5% 2/15/08
|
288
|
||
Citigroup
Global Markets Holdings Inc
|
Corporate
bond 5.875% 3/15/06 DT
|
2,568
|
||
Securitized
Asset Backed Receivables LLC Trust SABR 04-NC1 M1
|
Mortgage
backed securities 1ML+52 2/34
|
290
|
||
Sequoia
Mortgage Trust SEMT 03-6 A2
|
Mortgage
backed securities 6ML+33 11/33
|
984
|
||
Sequoia
Mortgage Trust SEMT 04-1 A
|
Mortgage
backed securities 6ML+30 2/34
|
870
|
||
Sequoia
Mortgage Trust SEMT 04-2 A
|
Mortgage
backed securities 6ML+27 3/34
|
599
|
||
SouthTrust
Corp
|
Corporate
bond 5.8% 6/15/14
|
576
|
||
Southwestern
Public Service Co
|
Corporate
bond 5.125% 11/06
|
756
|
||
Amortizing
Residential Collateral Trust ARC 02-BC1 M2
|
Mortgage
backed securities 1ML+110 1/32
|
256
|
||
Structured
Asset Securities Corp SASC 04-GEL1 A
|
Mortgage
backed securities 1ML+36 2/34
|
143
|
||
(a)
|
(b)
Identity
of issue, borrower, lessor, or similar party
|
(c)
Description
of investment, including maturity date, rate of interest, collateral,
par
or maturity value
|
(d)
Historical
cost
|
(e)
Current
value
|
Structured
Asset Securities Corp SASC 04-NP1 A
|
Mortgage
backed securities 1ML+40 9/33
|
402
|
||
Target
Corp
|
Corporate
bond 5.375% 6/15/09
|
821
|
||
Telecom
Italia Capital SA
|
Corporate
bond 4% 11/15/08
|
1,801
|
||
Telecom
Italia Capital SA
|
Corporate
bond 4% 1/15/10 144A
|
915
|
||
Telefonica
Europe BV
|
Corporate
bond 7.75% 9/15/10
|
597
|
||
Terwin
Mortgage Trust TMTS 04-1HE A
|
Mortgage
backed securities 1ML+51 2/35
|
411
|
||
Textron
Financial Corp
|
Corporate
bond 2.75% 6/01/06
|
451
|
||
Textron
Inc
|
Corporate
bond 4.5% 8/01/10
|
391
|
||
Thornburg
Mortgage Securities Trust TMST 04-3 A
|
Mortgage
backed securities 1ML+37 9/34
|
645
|
||
Travelers
Property Casualty Corp
|
Corporate
bond 3.75% 3/15/08
|
330
|
||
US
Bank NA
|
Corporate
bond 3.9% 8/15/08
|
1,068
|
||
US
Bank NA
|
Corporate
bond 6.375% 8/01/11
|
567
|
||
SLM
Corp
|
Corporate
bond 5.625% 4/10/07
|
1,176
|
||
UBS
AG
|
SYNTHETIC
GIC GLOBAL WRAP AGREEMENT CONTRACT - 4.22%
|
(1,860)
|
||
Union
Planters Bank NA
|
Corporate
bond 5.125% 6/15/07
|
521
|
||
US
Bancorp
|
Corporate
bond 5.1% 7/15/07
|
317
|
||
United
States Treasury Note/Bond
|
USTB
10.375% 11/15/12 C07
|
6,899
|
||
United
States Treasury Note/Bond
|
USTN
3.125% 5/15/07
|
7,662
|
||
United
States Treasury Note/Bond
|
USTN
4% 6/15/09
|
29,738
|
||
Verizon
Global Funding Corp
|
Corporate
bond 7.25% 12/1/10
|
1,697
|
||
Verizon
New York Inc
|
Corporate
bond 6.875% 4/01/12
|
421
|
||
Virginia
Electric and Power Co
|
Corporate
bond 5.75% 3/31/06
|
1,253
|
||
Volkswagen
Auto Lease Trust VWALT 04-A A3
|
Asset backed
securities 2.84% 7/07
|
1,256
|
||
WFS
Financial Owner Trust WESTO 04-3 A3
|
Mortgage
backed securities 3.3% 3/09
|
828
|
||
WFS
Financial Owner Trust WESTO 04-3 A4
|
Mortgage
backed securities 3.93% 2/12
|
673
|
||
WFS
Financial Owner Trust WESTO 04-4 A4
|
Mortgage
backed securities 3.44% 5/12
|
1,231
|
||
Wachovia
Bank Commercial Mortgage Trust WBCMT 03-C6 A2
|
Mortgage
backed securities 4.498% 8/35
|
890
|
||
Wachovia
Bank Commercial Mortgage Trust WBCMT 03-C8 A3
|
Mortgage
backed securities 4.445% 11/35
|
1,852
|
||