(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, 2005
|
|
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 and 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
|
200
S. Wilcox Drive
|
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
|
37
|
Exhibits
|
38
|
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.
|
2005
|
2004
|
|||||||||||
Non-
|
Non-
|
|||||||||||
Participant
|
participant
|
Participant
|
participant
|
|||||||||
Directed
|
Directed
|
Total
|
Directed
|
Directed
|
Total
|
|||||||
Assets
|
||||||||||||
Investments
at fair value
|
$
|
712,973
|
$
|
103,426
|
$
|
816,399
|
$
|
648,283
|
$
|
128,486
|
$
|
776,769
|
Investments
at contract value
|
630,200
|
--
|
630,200
|
614,657
|
--
|
614,657
|
||||||
Receivables:
|
||||||||||||
Employer
contributions
|
29,152
|
3,647
|
32,799
|
29,682
|
4,381
|
34,063
|
||||||
Other
|
1,791
|
897
|
2,688
|
1,764
|
1,280
|
3,044
|
||||||
Total
assets
|
1,374,116
|
107,970
|
1,482,086
|
1,294,386
|
134,147
|
1,428,533
|
||||||
Liabilities
|
||||||||||||
Accrued
expenses
|
14
|
15
|
29
|
12
|
16
|
28
|
||||||
Other
liabilities
|
26
|
954
|
980
|
384
|
1,146
|
1,530
|
||||||
Total
liabilities
|
40
|
969
|
1,009
|
396
|
1,162
|
1,558
|
||||||
Net
assets available
|
||||||||||||
for
plan benefits
|
$
|
1,374,076
|
$
|
107,001
|
$
|
1,481,077
|
$
|
1,293,990
|
$
|
132,985
|
$
|
1,426,975
|
2005
|
2004
|
|||||||||||
Non-
|
Non-
|
|||||||||||
Participant
|
participant
|
Participant
|
participant
|
|||||||||
Directed
|
Directed
|
Total
|
Directed
|
Directed
|
Total
|
|||||||
Additions
to net assets:
|
||||||||||||
Investment
income (loss)
|
||||||||||||
Interest
|
$
|
28,253
|
$ |
-
|
$ |
28,253
|
$
|
26,537
|
$
|
--
|
$
|
26,537
|
Dividends
|
20,766
|
3,781
|
24,547
|
13,702
|
4,395
|
18,097
|
||||||
Net
appreciation (depreciation) in fair value of
|
||||||||||||
investments
|
26,930
|
(12,407)
|
14,523
|
72,949
|
43,555
|
116,504
|
||||||
Net
investment gain (loss)
|
75,949
|
(8,626)
|
67,323
|
113,188
|
47,950
|
161,138
|
||||||
Participant
contributions
|
67,917
|
--
|
67,917
|
98,937
|
--
|
98,937
|
||||||
Plan
Sponsor contributions
|
29,152
|
3,647
|
32,799
|
29,552
|
4,381
|
33,933
|
||||||
Interfund
transfers
|
15,882
|
(15,882)
|
-
|
20,051
|
(20,051)
|
--
|
||||||
Total
additions
|
188,900
|
(20,861)
|
168,039
|
261,728
|
32,280
|
294,008
|
||||||
Deductions
from net assets:
|
||||||||||||
Distributions
to and withdrawals
|
||||||||||||
by
participants
|
108,313
|
5,487
|
113,800
|
133,815
|
6,971
|
140,786
|
||||||
Loan
transfers, net
|
364
|
(364)
|
--
|
154
|
(154)
|
-
|
||||||
Administrative
expenses
|
137
|
--
|
137
|
169
|
--
|
169
|
||||||
Total
deductions
|
108,814
|
5,123
|
113,937
|
134,138
|
6,817
|
140,955
|
||||||
Net
increase (decrease) in net assets
|
80,086
|
(25,984)
|
54,102
|
127,590
|
25,463
|
153,053
|
||||||
Net
assets available for plan
|
||||||||||||
benefits
at beginning of year
|
1,293,990
|
132,985
|
1,426,975
|
1,166,400
|
107,522
|
1,273,922
|
||||||
Net
assets available for plan
|
||||||||||||
benefits
at end of year
|
$
|
1,374,076
|
$ |
107,001
|
$ |
1,481,077
|
$
|
1,293,990
|
$
|
132,985
|
$
|
1,426,975
|
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.
|
· |
Effective
March 28, 2005 the Plan was amended to lower the involuntary cash
out
limit from $5,000 to $1,000 for the majority of plan
participants.
|
· |
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 2005, the Trustee purchased 74,000 shares of Eastman
stock for the fund at an average price of $56.48 per share, and sold
290,400 shares of Eastman stock for the fund at an average price
of $55.85
per share. 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 at an average price of $45.43 per share.
|
2005
|
|||||
Shares
|
Fair
value
|
||||
Eastman
Chemical Company Common Stock, Non Participant Directed
|
8,420
|
$
|
102,455
|
||
Eastman
Chemical Company Common Stock, Participant Directed
|
6,642
|
76,267
|
|||
Fidelity
Magellan® Fund
|
824
|
87,740
|
|||
Fidelity
Contrafund
|
1,881
|
121,797
|
|||
2004
|
|||||
Shares
|
Fair
value
|
||||
Eastman
Chemical Company Common Stock, Non Participant Directed
|
9,399
|
$
|
127,294
|
||
Eastman
Chemical Company Common Stock, Participant Directed
|
5,987
|
79,328
|
|||
Fidelity
Magellan® Fund
|
927
|
96,356
|
|||
Fidelity
Contrafund
|
1,672
|
94,996
|
Net
Appreciation
|
||||
(Depreciation)
|
||||
2005
|
2004
|
|||
Eastman
Chemical Company Common Stock, Non Participant Directed
|
$
|
(12,407)
|
$
|
43,555
|
Eastman
Chemical Company Common Stock, Participant Directed
|
(4,551)
|
30,349
|
||
Mutual
Funds
|
31,481
|
42,600
|
||
Total
|
$
|
14,523
|
$
|
116,504
|
6. |
INSURANCE
CONTRACTS
|
(in
thousands)
|
December
30,
2005
|
December
30,
2004
|
||
Security
backed investments:
|
||||
Underlying
assets at fair value
|
$
|
623,499
|
$
|
622,097
|
Wrapper
contracts
|
6,701
|
(7,440)
|
||
Total
contract value
|
$
|
630,200
|
$
|
614,657
|
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, 6,642 shares
|
**
|
76,267
|
*
|
Eastman
Chemical Company
|
Interest
Bearing Cash
|
**
|
2,485
|
*
|
Eastman
Chemical Company
|
Common
stock, Non Participant directed, 8,420 shares
|
103,681
|
102,455
|
*
|
Eastman
Chemical Company
|
Interest
Bearing Cash
|
**
|
971
|
*
|
Fidelity
Fund
|
Registered
Investment Company, 1,359 shares
|
**
|
43,273
|
*
|
Fidelity
Puritan Fund
|
Registered
Investment Company, 2,503 shares
|
**
|
46,873
|
*
|
Fidelity
Magellan Fund
|
Registered
Investment Company, 824 shares
|
**
|
87,740
|
*
|
Fidelity
Contrafund
|
Registered
Investment Company, 1,881 shares
|
**
|
121,797
|
*
|
Fidelity
Spartan U.S. Equity Index Portfolio
|
Registered
Investment Company, 795 shares
|
**
|
35,097
|
*
|
Fidelity
International Discovery Fund
|
Registered
Investment Company, 1,038 shares
|
**
|
32,866
|
*
|
PIMCO
Total Return Fund
|
Registered
Investment Company, 2,130 shares
|
**
|
22,365
|
*
|
Templeton
Foreign Fund
|
Registered
Investment Company, 744 shares
|
**
|
9,431
|
*
|
Neuberger
and Berman Genesis Trust Fund
|
Registered
Investment Company, 1,451 shares
|
**
|
70,458
|
*
|
Fidelity
Blue Chip Growth Fund
|
Registered
Investment Company, 346 shares
|
**
|
14,935
|
*
|
Fidelity
Freedom Income Fund
|
Registered
Investment Company, 124 shares
|
**
|
1,413
|
*
|
Fidelity
Freedom 2000 Fund
|
Registered
Investment Company, 110 shares
|
**
|
1,342
|
*
|
Fidelity
Freedom 2010 Fund
|
Registered
Investment Company, 511 shares
|
**
|
7,173
|
*
|
Fidelity
Freedom 2020 Fund
|
Registered
Investment Company, 705 shares
|
**
|
10,368
|
*
|
Fidelity
Freedom 2030 Fund
|
Registered
Investment Company, 443 shares
|
**
|
6,657
|
*
|
Fidelity
Freedom 2040 Fund
|
Registered
Investment Company, 263 shares
|
**
|
2,319
|
*
|
Fidelity
Spartan Extended Market Index Portfolio
|
Registered
Investment Company, 294 shares
|
**
|
10,201
|
*
|
Fidelity
Spartan International Index Fund
|
Registered
Investment Company, 163 shares
|
**
|
5,835
|
*
|
Participant
Loans
|
Participant
Loan Fund with terms ranging from 3-123 months and rates ranging
from 4%
to 10.5%
|
**
|
28,888
|
*
|
Fidelity
Retirement Money Market
|
Registered
Investment Company, 1 share
|
**
|
1
|
*
|
Clipper
Fund
|
Registered
Investment Company, 122 shares
|
**
|
10,798
|
*
|
Franklin
Small Mid Cap Growth Fund
|
Registered
Investment Company, 722 shares
|
**
|
27,240
|
*
|
TCW
Galileo Select Equities Fund
|
Registered
Investment Company, 182 shares
|
**
|
3,698
|
*
|
WFA
Small Cap Val Z
|
Registered
Investment Company, 970 shares
|
**
|
29,251
|
(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
|
*
|
Managed
Income Fund, consisting of the following:
|
**
|
||
Fidelity
short term cash fund
|
CASH
|
5,105
|
||
AXA
Financial Inc
|
Corporate
bond 7.75% 8/01/10
|
1,066
|
||
Accredited
Mortgage Loan Trust ACCR 03-2 A1
|
Mortgage
backed security 4.23% 10/33
|
492
|
||
Accredited
Mortgage Loan Trust ACCR 03-3 A1
|
Mortgage
backed security 4.46% 12/33
|
467
|
||
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
|
||
ACE
Securities Corp ACE 03-NC1 M1
|
Mortgage
backed security 1ML+78 7/33 M
|
171
|
||
ACE
Securities Corp ACE 03-HE1 M1
|
Mortgage
backed security 1ML+65 11/33
|
201
|
||
ACE
Securities Corp ACE 04-FM1 M1
|
Mortgage
backed security 1ML+60 9/33
|
152
|
||
ACE
Securities Corp ACE 02-HE1 M1
|
Mortgage
backed security 1ML+65 6/32
|
207
|
||
Aesop
Funding II LLC
AESOP
05-1A A1
|
Mortgage
backed security 3.95% 4/08
|
980
|
||
AIFUL
Corporation
|
Corporate
bond 4.45% 2/16/10 144A
|
2,509
|
||
AIFUL
Corporation
|
Corporate
bond 5% 8/10/10 144A
|
1,193
|
||
Alabama
Power Co
|
Corporate
bond 3.5% 11/15/07
|
553
|
||
Alliance
Capital Management LP
|
Corporate
bond 5.625% 8/15/06
|
2,717
|
||
Alltel
Corp
|
Corporate
bond 4.656% 5/17/07
|
2,788
|
||
America
Movil SA
|
Corporate
bond 4.125% 3/1/09
|
1,281
|
||
American
General Finance Corp
|
Corporate
bond 2.75% 6/15/08
|
498
|
||
American
General Finance Corp
|
Corporate
bond 4.625% 5/15/09
|
1,125
|
||
American
General Finance Corp
|
Corporate
bond 3.875% 10/1/09
|
431
|
||
American
General Finance Corp
|
Corporate
bond 4.875% 5/15/10
|
2,185
|
||
American
Honda Finance Corp
|
Corporate
bond 4.5% 5/26/09 144A
|
1,194
|
||
American
Honda Finance Corp
|
Corporate
bond 4.25% 3/11/08 144A
|
1,867
|
||
AmeriCredit
Automobile Receivables Trust AMCAR 03-CF A4
|
Mortgage
backed security 3.48% 5/10
|
842
|
||
AmeriCredit
Automobile Receivables Trust AMCAR 04-BM A3
|
Mortgage
backed security 2.07% 8/08
|
527
|
||
AmeriCredit
Automobile Receivables Trust AMCAR 04-1 A3
|
Mortgage
backed security 3.22% 7/08
|
432
|
||
AmeriCredit
Automobile Receivables Trust AMCAR 04-1 B
|
Mortgage
backed security 3.7% 1/09
|
74
|
||
AmeriCredit
Automobile Receivables Trust AMCAR 04-1 C
|
Mortgage
backed security 4.22% 7/09
|
79
|
||
AmeriCredit
Automobile Receivables Trust AMCAR 04-CA A4
|
Mortgage
backed security 3.61% 5/11
|
293
|
||
AmeriCredit
Automobile Receivables Trust AMCAR 04-DF A3
|
Mortgage
backed security 2.98% 7/09
|
576
|
||
AmeriCredit
Automobile Receivables Trust AMCAR 04-DF A4
|
Mortgage
backed security 3.43% 7/11
|
762
|
||
AmeriCredit
Automobile Receivables Trust
AMCAR
05/1 A3
|
Mortgage
backed security 4.26% 5/09
|
458
|
||
AmeriCredit
Automobile Receivables Trust
AMCAR
05-BM A3
|
Mortgage
backed security 4.05% 2/10
|
920
|
||
AmeriCredit
Automobile Receivables Trust
AMCAR
05-CF A4
|
Mortgage
backed security 4.63% 6/12
|
1,401
|
||
AmeriCredit
Automobile Receivables Trust
AMCAR
05-DA A3
|
Mortgage
backed security 4.87% 12/10
|
1,339
|
(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
|
Ameriprise
Finl Inc
|
Corporate
bond 5.35% 11/15/10
|
511
|
||
Ameriquest
Mortgage Securities Inc AMSI 03-3 M1
|
Mortgage
backed security 1ML+80 3/33
|
176
|
||
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
|
||
ANZ
Natl (Intl) Ltd
|
Corporate
bond 4.265 5/16/05 144
|
1,805
|
||
ARGF
Funding Corp
ARGF
05-1 A1
|
Mortgage
backed security 4.02% 4/09
|
1,618
|
||
ARGF
Funding Corp
ARGF
05-2 A1
|
Mortgage
backed security 4.54% 5/09
|
1,285
|
||
Asset
Backed Securities Corp Home Equity ABSHE 03-HE5 A2B
|
Mortgage
backed security 4 8/33
|
43
|
||
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 04-HE3 M1
|
Mortgage
backed security 1ML+54 6/34
|
151
|
||
Associates
Corp Of N. America
|
Corporate
bond 6.875% 11/15/08
|
127
|
||
Associates
Corp Of N. America
|
Corporate
bond 6.25% 11/01/08
|
821
|
||
AT&T
Wireless
|
Corporate
Bond 7.875% 3/01/11
|
1,648
|
||
BTM
Curacao Holding NV
|
Corporate
bond 4.76% 7/21/15 144A
|
416
|
||
Ball
Corp 05-ESHAX1
|
Interest
only strip CSTR 7/20
|
431
|
||
Banc
of America Commercial Mortgage Inc BACM 04-6 XP
|
Interest
only strip CSTR 12/42
|
162
|
||
Banc
of America Commercial Mortgage Inc BACM 04-2 A3
|
Mortgage
backed security 4.05% 11/38
|
2,145
|
||
Banc
of America Commercial Mortgage Inc BACM 04-4 A3
|
Mortgage
backed security 4.128% 7/42
|
668
|
||
Banc
of America Commercial Mortgage Inc BACM 04-5 XP
|
Interest
only strip CSTR 11/41
|
237
|
||
Banc
of America Commercial Mortgage Inc
BACM
05-5 A1
|
Mortgage
backed security 4.716% 8/10
|
1,145
|
||
Banc
of America Commercial Mortgage Inc
BACM
05-6 A1
|
Mortgage
backed security 5.001% 9/47
|
704
|
||
Banc
of America Commercial Mortgage Inc
BACM
05-1 A2
|
Mortgage
backed security 4.64% 11/42
|
1,446
|
||
Banc
of America Commercial Mortgage Inc
BACM
2003-2 A2
|
Mortgage
backed security 4.342% 3/41
|
1,306
|
||
Banc
of America Commercial Mortgage Inc
BACM
05-3 A3B
|
Interest
only strip CSTR 7/43
|
946
|
||
Banc
of America Commercial Mortgage Inc
BACM
05-3 XP
|
Interest
only strip CSTR 7/43
|
357
|
||
Banc
of America Commercial Mortgage Inc
BACM
05-4 A1
|
Mortgage
backed security 4.432 7/45
|
848
|
||
Banc
of America Commercial Mortgage Inc
BACM
05-4 XP
|
Interest
only strip CSTR 7/45
|
101
|
||
Bank
of New York Co Inc/The
|
Corporate
bond 4.25%/3ML 9/4/12
|
602
|
||
Bank
of New York Co Inc/The
|
Corporate
bond 3.4/3ML+148 3/15/13
|
2,086
|
||
Bank
of Tokyo MIT GL
|
Corporate
bond 8.4% 4/15/10
|
1,221
|
||
Bank
One Corp
|
Corporate
bond 6% 8/01/08 DT
|
1,062
|
||
Bank
One Texas
|
Corporate
bond 6.25% 2/15/08
|
630
|
(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
|
Bank
One
|
Corporate
bond 2.625% 6/30/08
|
2,113
|
||
Bank
One Issuance Trust BOIT 04-B2 B2
|
Mortgage
backed security 4.37% 4/12
|
1,365
|
||
BankAmerica
Corp/Old
|
Corporate
bond 6.25% 4/01/08
|
245
|
||
Bank
UTD Cop
|
Corporate
bond 8.875% 5/01/07
|
1,281
|
||
Bayview
Financial Acquisition Trust BAYV 04-C A1
|
Mortgage
backed security 1ML+42 5/44
|
708
|
||
Bayview
Commercial Asset Trust BAYC 04-2 A1
|
Mortgage
backed security 1ML+43 8/34
|
610
|
||
Bayview
Commercial Asset Trust BAYC 04-2 M1
|
Mortgage
backed security 1ML+58 8/34
|
195
|
||
Bayview
Commercial Asset Trust BAYC 04-3 M1
|
Mortgage
backed security 1ML+50 1/35
|
136
|
||
Bayview
Commercial Asset Trust BAYC 04-3 M2
|
Mortgage
backed security 1ML+100 1/35
|
91
|
||
Bear
Stearns Commercial Mortgage Securities BSCMS 04-ESA B
|
Mortgage
backed security 4.888% 5/16
|
344
|
||
Bear
Stearns Commercial Mortgage Securities BSCMS 04-ESA C
|
Mortgage
backed security 4.937% 5/16
|
390
|
||
Bear
Stearns Commercial Mortgage Securities BSCMS 04-ESA D
|
Mortgage
backed security 4.986% 5/16
|
140
|
||
Bear
Stearns Commercial Mortgage Securities BSCMS 04-ESA E
|
Mortgage
backed security 5.064% 5/16
|
442
|
||
Bear
Stearns Commercial Mortgage Securities BSCMS 04-ESA F
|
Mortgage
backed security 5.182% 5/16
|
105
|
||
Bear
Stearns Commercial Mortgage Securities BSCMS 04-PWR5 A2
|
Mortgage
backed security 4.254% 7/42
|
629
|
||
Bear
Stearns Commercial Mortgage Securities BSCMS 04-PWR5 X2
|
Interest
only strip CSTR 7/42
|
205
|
||
Bear
Stearns Commercial Mortgage Securities BSCMS 04-T16 A3
|
Mortgage
backed security 4.03% 2/46
|
1,508
|
||
Bear
Stearns Commercial Mortgage Securities BSCMS 04-PWR6 X2
|
Interest
only strip CSTR 11/41
|
128
|
||
Bear
Stearns Commercial Mortgage Securities BSCMS 03-PWR2 A3
|
Mortgage
backed security 4.83% 5/39
|
421
|
||
Bear
Stearns Commercial Mortgage
Securities
BSCMS 04-ESA A3
|
Mortgage
backed security 4.741% 5/16
|
1,118
|
||
Bear
Stearns Commercial Mortgage
Securities
BSCMS 03-T12 X2
|
Interest
only strip CSTR 8/39
|
67
|
||
Bear
Stearns Commercial Mortgage
Securities
BSCMS 05-PER9 A1
|
Mortgage
backed security 4.498% 9/42
|
1,334
|
||
Bear
Stearns Commercial Mortgage
Securities
BSCMS 05-T20 A1
|
Mortgage
backed security 4.94% 10/42
|
1,232
|
||
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
|
223
|
||
Bear
Stearns Asset Backed Securities Inc BSABS 04-BO1 M5
|
Mortgage
backed security 1ML+140 9/34
|
211
|
||
Bear
Stearns Assest Backed Securities Inc
ARM
05-3 1A1
|
Interest
only strip CSTR 8/35
|
1,619
|
||
BellSouth
Corp
|
Corporate
bond 4.2% 9/15/09 DT
|
851
|
||
Berkshire
Hathaway
|
Corporate
bond 3.4% 7/2/07
|
1,185
|
||
Boeing
Cap Glbl
|
Corporate
bond 5.75% 2/15/07
|
655
|
||
British
Telecommunications PLC
|
Corporate
bond 8.12% 5/8.375 12/10
|
1,393
|
(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
|
CDC
Mortgage Capital Trust CDCMC 03-HE3 M1
|
Mortgage
backed security 1ML+70 11/33
|
248
|
||
Cendant
Timeshare Receivables Funding
CDTIM
05-1 A1
|
Mortgage
backed security 4.67% 5/17
|
512
|
||
CIT
Equipment Collateral
CITEC
05-VT1A3
|
Mortgage
backed security 4.12% 8/08
|
1,037
|
||
CIT
Equipment Collateral
CITEC
05-VT1A4
|
Mortgage
backed security 4.36% 11/12
|
213
|
||
CIT
Group Inc
|
Corporate
bond 3.375% 4/01/09
|
499
|
||
CIT
Group Inc
|
Corporate
bond 3.65% 11/23/07
|
1,030
|
||
CIT
Group Inc
|
Corporate
bond 5% 11/24/08
|
1,015
|
||
CNH
Equipment Trust
CNH
05-A A3
|
Mortgage
backed security 4.02% 4/09
|
822
|
||
CNH
Equipment Trust
CNH
05-B A3
|
Mortgage
backed security 4.27% 1/10
|
1,408
|
||
CNH
Equipment Trust
CNH
05-B B
|
Mortgage
backed security 4.57% 7/12
|
399
|
||
Commercial
Mortgage Pass-Through Certificate COMM 05-C6 XP
|
Interest
only strip CSTR 6/44
|
157
|
||
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
|
171
|
||
Countrywide
Asset-Backed Certificates CWL 04-4 M1
|
Mortgage
backed security 1ML+48 7/34
|
376
|
||
Countrywide
Asset-Backed Certificates CWL 03-SD3 A1
|
Mortgage
backed security 1ML+42 12/32
|
59
|
||
Countrywide
Home Loan Mortgage Pass CWHL 02-25 2A1 Through Trust
|
Mortgage
backed security 5.5% 11/17
|
298
|
||
Canadian
IMP Bk Comm NY
CIBC
# Y$CD
|
Certificate
of Deposit 4.375% 7/28/2008
|
815
|
||
Capital
Auto Receivables Asset Trust CARAT 04-2 A2
|
Mortgage
backed security 3.35% 2/08
|
880
|
||
Capital
Auto Receivables Asset Trust
CARAT
04/1 A4
|
Mortgage
backed security 2.64% 11/08
|
651
|
||
Capital
Auto Receivables Asset Trust
CARAT
05/1 A4
|
Mortgage
backed security 4.05% 7/09
|
1,293
|
||
Capital
One Mtn
|
Corporate
bond 4.875% 5/15/08
|
301
|
||
Capital
One Mtn
|
Corporate
bond 4.25% 12/01/08
|
294
|
||
Capital
One Auto Finance Trust COAFT 04-B A3
|
Mortgage
backed security 2.96% 4/09
|
718
|
||
Capital
One Auto Finance Trust
COAFT
05-A A3
|
Mortgage
backed security 4.28% 7/09
|
1,068
|
||
Capital
One Auto Finance Trust
COAFT
05-BSSC
|
Mortgage
backed security 4.48% 12/10
|
949
|
||
Capital
One Auto Finance Trust
COAFT
05-C A4
|
Mortgage
backed security 4.71% 6/12
|
2,923
|
||
Capital
One Auto Finance Trust
COAFT
05-D A3
|
Mortgage
backed security 4.81% 3/10
|
602
|
||
Capital
One Multi-Asset Execution Trust COMET 03-2B
|
Mortgage
backed security 3.5% 2/09
|
683
|
||
Capital
One Multi-Asset Execution Trust COMET 04-B5 B5
|
Mortgage
backed security 3.7% 5/10
|
1,583
|
||
Capital
One Multi-Asset Execution Trust COMET 04-B6 B6
|
Mortgage
backed security 4.155% 7/12
|
1,125
|
(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
|
Capital
One Multi-Asset Execution Trust
COMET
2003-B3 B3
|
Mortgage
backed security 4.5% 6/11
|
1,849
|
||
Capital
One Multi-Asset Execution Trust
COMET
05-A2A2
|
Mortgage
backed security 4.05% 2/11
|
1,859
|
||
Capital
One Prime Auto Receivables Trust COPAR 04-3 A3
|
Mortgage
backed security 3.39% 1/09
|
869
|
||
Capital
One Prime Auto Receivables Trust
COPAR
2003-2 A4
|
Mortgage
backed security 2.88% 6/10
|
825
|
||
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
|
283
|
||
Chase
Insurance Trust
CCMSC
99-2 A1
|
Mortgage
backed security 4.52% 12/10
|
6,315
|
||
Chile
Government International Bond CHILE REP GLB
|
Corporate
bond 6.875% 4/28/09 DT
|
43
|
||
Chile
Government International Bond CHILE REP GLB
|
Corporate
bond 5.625% 7/23/07 DT
|
1,052
|
||
Chubb
Corp CHUBB CORP
|
Corporate
bond 3.95% 4/01/08
|
163
|
||
Chubb
Corp
|
Corporate
bond 4.934% 11/16/07
|
2,283
|
||
Citigroup
Inc
|
Corporate
bond 3.5% 2/01/08
|
721
|
||
Citibank
Credit Card Issuance Trust CCCIT 03-A6 A6
|
Mortgage
backed security 2.9% 5/10
|
466
|
||
Citibank
Credit Card Issuance Trust CCCIT 04-A4
|
Mortgage
backed security 3.2% 8/09
|
1,661
|
||
Citibank
Credit Card Issuance Trust
CCCIT
05-B1 B1
|
Mortgage
backed security 4.4% 9/10
|
3,468
|
||
Citigroup
Commercial Mortgage Trust CGCMT 04-C2 XP
|
Interest
only strip CSTR 10/41
|
209
|
||
Citigroup
Commercial Mortgage Trust
CGCMT
05-EMG A2
|
Mortgage
backed security 4.2211% 9/51
|
472
|
||
Commercial
Mortgage Pass Through Certificates COMM 99-1 A2
|
Mortgage
backed security 6.455% 5/32
|
1,142
|
||
Commercial
Mortgage Pass Through Certificates COMM 04-CNL X1
|
Interest
only strip CSTR 9/14
|
76
|
||
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
|
27
|
||
Commercial
Mortgage Pass Through Certificates security COMM 04-HTL1 D
|
Mortgage
backed 1ML+55 7/16
|
64
|
||
Commercial
Mortgage Pass Through Certificates COMM 04-HTL1 E
|
Mortgage
backed security 1ML+75 7/16
|
45
|
||
Commercial
Mortgage Pass Through Certificates COMM 04-HTL1 F
|
Mortgage
backed security 1ML+80 7/16
|
48
|
(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 04-LNB4 XP
|
Interest
only strip CSTR 10/37
|
377
|
||
Commercial
Mortgage Pass Through
Certificates
COMM 05-LP5 A2
|
Mortgage
backed security 4.63% 5/43
|
1,308
|
||
Commercial
Mortgage Pass Through
Certificates
COMM 05-LP5 XP
|
Interest
only strip CSTR 5/43
|
153
|
||
Commercial
Mortgage Acceptance Corp
CMAC
98-C2 B
|
Mortgage
backed security CSTR 9/30
|
1,742
|
||
Commercial
Mortgage Asset Trust
CMAT
99-C1 A3
|
Mortgage
backed security 6.64% 1/32
|
352
|
||
Consolidated
Natural Gas Co
|
Corporate
bond 5.375% 11/01/06
|
708
|
||
Constellation
Energy GRP
|
Corporate
bond 6.35% 4/01/07
|
1,238
|
||
Constellation
Energy GRP
|
Corporate
bond 6.125% 9/01/09
|
568
|
||
Costco
Wholesale Corp
|
Corporate
bond 5.5% 3/15/07
|
470
|
||
CS
First Boston Mortgage Securities Corp CSFB 97-C2 A2
|
Mortgage
backed security 6.52% 1/35
|
18
|
||
CS
First Boston Mortgage Securities Corp CSFB 97-C2 A3
|
Mortgage
backed security 6.55% 1/35
|
642
|
||
CS
First Boston Mortgage Securities Corp CFSB 99-C1 A2
|
Mortgage
backed security 7.29% 9/41
|
2,926
|
||
CS
First Boston Mortgage Securities Corp
CFSB
01-CK3 A3
|
Mortgage
backed security 6.4% 6/34
|
593
|
||
CS
First Boston Mortgage Securities Corp CSFB 03-C5 A3
|
Mortgage
backed security 4.429% 12/36
|
950
|
||
CS
First Boston Mortgage Securities Corp CSFB 03-C4 A3
|
Interest
only strip CSTR 8/36
|
562
|
||
CS
First Boston Mortgage Securities Corp CSFB 04-C1 A3
|
Mortgage
backed security 4.321% 1/37
|
508
|
||
CS
First Boston Mortgage Securities Corp CSFB 04-C4 ASP
|
Interest
only strip CSTR 10/39
|
211
|
||
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-HC1 B
|
Mortgage
backed security 1ML+75 12/21
|
441
|
||
CS
First Boston Mortgage Securities Corp
CSFB
05-C1 ASP
|
Interest
only strip 2/38
|
175
|
||
CS
First Boston Mortgage Securities Corp
CSFB
05-C4 ASP
|
Interest
only strip 8/38
|
411
|
||
CS
First Boston Mortgage Securities Corp
CSFB
05-C2 ASP
|
Interest
only strip 4/37
|
229
|
||
Crown
Castle International
CCI05-1A
B
|
Mortgage
backed security 4.878% 6/35
|
518
|
||
Crown
Castle International
CCI05-1A
B
|
Mortgage
backed security 5.074% 6/35
|
472
|
||
DLJ
Commercial Mortgage Corp DLJCM 99-CG1 A1B
|
Mortgage
backed security 6.46% 3/32
|
1,036
|
||
DLJ
Commercial Mortgage Corp
DLJCM
1999-CG10A3
|
Mortgage
backed security 6.77% 3/32
|
1,426
|
||
DLJ
Commercial Mortgage Corp
DLJCM
00-CF1A1B
|
Mortgage
backed security 7.62% 6/33
|
928
|
||
DaimlerChrysler
NA Holding Corp
|
Corporate
bond 4.75% 1/15/08
|
1,919
|
||
DaimlerChrysler
NA Holding Corp
|
Corporate
bond 9/10/07 SER D #36
|
632
|
||
Daimler
Chrysler Auto Trust DCAT 04-C A3
|
Mortgage
backed security 2.98% 8/08
|
1,461
|
||
Daimler
Chrysler Auto Trust DCAT 05-B A3
|
Mortgage
backed security 4.04% 9/09
|
803
|
(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
|
John
Deere Capital Corp
|
Corporate
bond 3.9% 1/15/08 DT
|
799
|
||
John
Deere Capital Corp
|
Corporate
bond 3.375% 10/1/07
|
1,091
|
||
John
Deere Mtn
|
Corporate
bond 4.375% 3/14/08
|
972
|
||
Diversified
Reit Trust DRT00-1A A2
|
Mortgage
backed security 6.971% 3/10
|
734
|
||
RR
Donnelley & Sons Co
|
Corporate
bond 3.75% 4/1/09
|
1,842
|
||
Drive
Insurance 05-1 A3
|
Mortgage
backed security 3.75% 4/09
|
484
|
||
Drive
Insurance 05-3 A3
|
Mortgage
backed security 4.99% 10/10
|
1,305
|
||
Exelon
General Global
|
Corporate
bond 6.95% 6/15/11
|
1,368
|
||
Federal
Farm Credit Bank
|
Government
bond 3.25% 6/15/07
|
5,114
|
||
Federal
Home Loan Bank
|
Government
bond 4.25% 4/16/07
|
3,514
|
||
FPL
Group Capital Inc
|
Corporate
bond 3.25% 4/11/06
|
331
|
||
FPL
Group Capital Inc
|
Corporate
bond 5.551% 2/16/08
|
741
|
||
Freddie
Mac
|
FHLMC
3.875% 1/12/09-1/06
|
1,728
|
||
Freddie
Mac
|
FHLMC
4.48% 9/19/08
|
2,756
|
||
Freddie
Mac FHR 1608 J
|
Mortgage
backed security 6% 6/22
|
395
|
||
Freddie
Mac FHR 1644 IA
|
Mortgage
backed security 6.75% 8/23
|
157
|
||
Freddie
Mac FHR 2292 QT
|
Mortgage
backed security 6.5% 5/30
|
49
|
||
Freddie
Mac
|
FHLMC
4.25% 7/15/09
|
8,031
|
||
Freddie
Mac
|
FHLMC
4.00% 8/17/07
|
6,610
|
||
Freddie
Mac
|
FHLMC
5.00% 5/14 #E76434
|
27
|
||
Freddie
Mac
|
FHLMC
5.00% 6/14 #E77224
|
105
|
||
Freddie
Mac
|
FHLMC
4.889% 3/33 #847126
|
50
|
||
Freddie
Mac
|
FHLMC
4.314% 12/34 #1B2670
|
125
|
||
Freddie
Mac
|
FHLMC
4.106% 12/34 #1B2699
|
107
|
||
Freddie
Mac
|
FHLMC
4.497% 6/35 #1B2907
|
175
|
||
Freddie
Mac
|
FHLMC
4.307% 5/35 #847408
|
230
|
||
Freddie
Mac
|
FHLMC
4.00% 2/35 #1G0068
|
215
|
||
Freddie
Mac
|
FHLMC
4.37% 3/35 #1G0125
|
204
|
||
Freddie
Mac
|
FHLMC
4.401% 2/35 #1G0103
|
280
|
||
Freddie
Mac
|
FHLMC
4.444% 3/35 #1G0133
|
141
|
||
Freddie
Mac
|
FHLMC
4.504% 3/35 #1G0145
|
156
|
||
Freddie
Mac
|
FHLMC
4.498% 3/35 #1L0123
|
914
|
||
Freddie
Mac
|
FHLMC
5.034% 4/35 #1N0002
|
766
|
||
Freddie
Mac
|
FHLMC
5.676% 4/32 #789284
|
32
|
||
Freddie
Mac
|
FHLMC
4.819% 10/32 #1B0610
|
20
|
||
Freddie
Mac
|
FHLMC
4.441% 2/34 #781229
|
155
|
||
Freddie
Mac
|
FHLMC
4.13% 12/34 #782916
|
147
|
||
Freddie
Mac
|
FHLMC
4.985% 8/33 #782926
|
68
|
||
Freddie
Mac
|
FHLMC
4.232% 1/35 #782988
|
460
|
||
Freddie
Mac
|
FHLMC
4.434% 2/35 #783032
|
295
|
||
Freddie
Mac
|
FHLMC
4.307% 3/35 #783067
|
140
|
||
Fannie
Mae
|
FNMA
6.00% 5/15/08
|
9,737
|
||
Fannie
Mae
|
FNMA
5.25% 1/15/09
|
9,963
|
||
Fannie
Mae
|
FNMA
6.625% 9/15/09
|
6,295
|
||
Fannie
Mae
|
FNMA
4.75% 1/02/07 SUBS
|
8,584
|
||
Fannie
Mae
|
FNMA
4.00% 9/02/08 SUBS
|
2,353
|
||
Fannie
Mae
|
FNMA
3.375% 12/15/2008
|
6,081
|
||
Fannie
Mae
|
FNMA
3.25% 2/15/09
|
422
|
||
Fannie
Mae
|
FNMA
4.50% 10/15/08
|
31,375
|
||
Fannie
Mae Pool
|
FNMA
15YR 7.00% 8/08 #252068
|
55
|
||
Fannie
Mae Pool
|
FNMA
15YR 7.00% 1/13 #251428
|
11
|
||
Fannie
Mae Pool
|
FNMA
15YR 6.50% 11/13 #323755
|
459
|
||
Fannie
Mae Pool
|
FNMA
15YR 7.00% 8/14 #323877
|
90
|
||
Fannie
Mae Pool
|
FNMA
15YR 6.00% 3/14 #487614
|
45
|
(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% 9/14 #514373
|
3
|
||
Fannie
Mae Pool
|
FNMA
15YR 6.00% 11/14 #520642
|
32
|
||
Fannie
Mae Pool
|
FNMA
15YR 7.00% 11/14 #522277
|
34
|
||
Fannie
Mae Pool
|
FNMA
15YR 6.50% 10/13 #535234
|
866
|
||
Fannie
Mae Pool
|
FNMA
15YR 7.00% 6/16 #545122
|
28
|
||
Fannie
Mae Pool
|
FNMA
15YR 7.00% 2/16 #569915
|
86
|
||
Fannie
Mae Pool
|
FNMA
15YR 6.00% 10/16 #589129
|
43
|
||
Fannie
Mae Pool
|
FNMA
15YR 7.00% 8/16 #599602
|
91
|
||
Fannie
Mae Pool
|
FNMA
15YR 7.00% 1/21 #TBA
|
1,135
|
||
Fannie
Mae Pool
|
FNMA
15YR 7.00% 4/17 #636135
|
343
|
||
Fannie
Mae Pool
|
FNMA
15YR 6.50% 4/17 #637244
|
261
|
||
Fannie
Mae Pool
|
FNMA
15YR 6.00% 11/17 #671380
|
228
|
||
Fannie
Mae Pool
|
FNMA
15YR 6.00% 11/17 #672789
|
72
|
||
Fannie
Mae Pool
|
FNMA
15YR 6.00% 12/17 #673965
|
110
|
||
Fannie
Mae FNR 02-18 PE
|
Mortgage
backed security 5.5% 6/16
|
2,001
|
||
Fannie
Mae Pool
|
FNMA
15YR 6.00% 2/18 #684153
|
23
|
||
Fannie
Mae Pool
|
FNMA
15YR 7.00% 2/18 #693327
|
334
|
||
Fannie
Mae Pool
|
FNMA
15YR 4.00% 8/18 #727438
|
1,464
|
||
Fannie
Mae Pool
|
FNMA
ARM 3.878% 6/33 #723633
|
387
|
||
Fannie
Mae Pool
|
FNMA
ARM 3.975% 11/34 #781809
|
180
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.025% 1/35 #781871
|
168
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.25% 2/35 #255658
|
110
|
||
Fannie
Mae Pool
|
FNAM
ARM 4.35% 8/33 #555696
|
199
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.710% 10/32 #648938
|
23
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.986% 11/32 #668236
|
71
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.732% 10/32 #668509
|
26
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.925% 12/32 #677026
|
11
|
||
Fannie
Mae Pool
|
FNMA
ARM 3.828% 4/33 #688969
|
295
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.646% 1/33 #689554
|
64
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.708% 2/33 #693344
|
20
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.318% 3/33 #694530
|
43
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.292% 3/33 #701296
|
113
|
||
Fannie
Mae Pool
|
FNMA
ARM 3.984% 5/33 #703915
|
30
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.079% 4/33 #708221
|
34
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.351% 6/33 #720921
|
53
|
||
Fannie
Mae Pool
|
FNMA
ARM 3.836% 6/33 #723760
|
68
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.479% 4/34 #725361
|
146
|
||
Fannie
Mae Pool
|
FNMA
ARM 3.765% 7/34 #725834
|
412
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.862% 9/34 #725855
|
181
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.832% 8/34 #725858
|
104
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.409% 10/34 #725968
|
517
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.115% 2/35 #735343
|
59
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.162% 2/35 #735345
|
159
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.587% 2/35 #735355
|
927
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.49% 8/34 #735360
|
299
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.357% 1/35 #735364
|
102
|
||
Fannie
Mae Pool
|
FNMA
ARM 5.229% 8/33 #735030
|
140
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.20% 1/35 #735162
|
318
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.53% 3/35 #735448
|
295
|
||
Fannie
Mae Pool
|
FNMA
ARM 3.463% 4/34 #735478
|
206
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.319% 5/35 #735538
|
135
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.177$ 3/35 #735545
|
446
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.815% 12/32 #735602
|
134
|
(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
ARM 4.423% 5/35 #745049
|
914
|
||
Fannie
Mae Pool
|
FNMA
ARM 3.753% 10/33 #746320
|
86
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.055% 10/18 #749296
|
90
|
||
Fannie
Mae Pool
|
FNMA
ARM 3.752% 10/33 #755148
|
88
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.358% 10/33 #754672
|
43
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.294% 1/34 #759264
|
131
|
||
Fannie
Mae Pool
|
FNMA
ARM 3.750% 1/34 #761058
|
94
|
||
Fannie
Mae Pool
|
FNMA
ARM 3.826% 10/33 #763199
|
1,067
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.250% 1/34 #765659
|
150
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.25% 2/34 #765660
|
111
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.23% 3/34 #766457
|
82
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.057% 5/34 #768224
|
44
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.368% 2/34 #769940
|
232
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.021% 12/34 #773212
|
97
|
||
Fannie
Mae Pool
|
FNMA
ARM 3.83% 1/35 #773220
|
95
|
||
Fannie
Mae Pool
|
FNMA
ARM 3.98% 1/35 #773221
|
113
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.0% 1/35 #773225
|
75
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.12% 2/35 #773243
|
154
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.128% 2/35 #773255
|
304
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.455% 3/35 #773281
|
134
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.305% 7/34 #776389
|
75
|
||
Fannie
Mae Pool
|
FNMA
ARM 3.939% 10/34 #781549
|
124
|
||
Fannie
Mae Pool
|
FNMA
ARM 3.987% 12/34 #781575
|
121
|
||
Fannie
Mae Pool
|
FNMA
ARM 3.786% 12/34 #781576
|
112
|
||
Fannie
Mae Pool
|
FNMA
ARM 3.827% 12/34 #781580
|
17
|
||
Fannie
Mae Pool
|
FNMA
ARM 3.791% 6/34 #783545
|
425
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.351% 1/35 #783580
|
111
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.499% 3/35 #783587
|
316
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.4% 2/35 #783588
|
147
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.544% 7/34 #786380
|
148
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.607% 8/34 #790203
|
133
|
||
Fannie
Mae Pool
|
FNMA
ARM 5.019% 9/34 #790458
|
161
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.658% 9/34 #790618
|
37
|
||
Fannie
Mae Pool
|
FNMA
ARM 5.106% 9/34 #790762
|
117
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.748% 7/34 #793028
|
286
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.339% 9/34 #794241
|
124
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.364% 9/34 #794242
|
303
|
||
Fannie
Mae Pool
|
FNMA
ARM 3.737% 1/35 #797416
|
142
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.202% 1/35 #797418
|
191
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.549% 8/34 #796985
|
623
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.67% 11/34 #799727
|
322
|
||
Fannie
Mae Pool
|
FNMA
ARM 5.064% 11/34 #800067
|
29
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.825% 12/34 #800297
|
259
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.845% 12/34 #800335
|
97
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.571% 9/34 #801337
|
378
|
||
Fannie
Mae Pool
|
FNMA
ARM 5.05% 7/34 #801635
|
58
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.037% 12/34 #802854
|
55
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.324% 12/34 #802660
|
64
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.23% 11/34 #803591
|
45
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.484% 10/34 #803592
|
491
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.029% 1/35 #806167
|
41
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.127% 1/35 #806519
|
167
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.105% 1/35 #806520
|
162
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.072% 12/34 #806640
|
164
|
(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
ARM 4.17% 11/34 #806720
|
138
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.048% 1/35 #806711
|
76
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.118% 1/35 #807221
|
166
|
||
Fannie
Mae Pool
|
FNMA
ARM 3.913% 12/34 #809113
|
81
|
||
Fannie
Mae Pool
|
FNMA
ARM 5.029% 2/35 #809463
|
52
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.742% 3/35 #809822
|
167
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.625% 2/35 #809931
|
299
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.145% 2/35 #810415
|
194
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.57% 2/35 #811803
|
110
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.052% 2/35 #812091
|
79
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.144% 1/35 #813569
|
255
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.118% 2/35 #813114
|
59
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.694% 11/34 #813184
|
347
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.151% 1/35 #813170
|
298
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.197% 1/35 #813200
|
133
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.269% 10/34 #813564
|
244
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.017% 12/34 #813565
|
616
|
||
Fannie
Mae Pool
|
FNMA
ARM 3.87% 1/35 #813713
|
167
|
||
Fannie
Mae Pool
|
FNMA
ARM 3.84% 1/35 #813714
|
264
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.023% 2/35 #813737
|
81
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.559% 1/35 #813842
|
201
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.508% 1/35 #813848
|
140
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.790% 1/35 #815323
|
368
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.653% 3/35 #816322
|
50
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.857% 1/35 #816356
|
17
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.293% 3/35 #815586
|
84
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.573% 2/35 #816591
|
663
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.639% 2/35 #816599
|
65
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.349% 2/35 #818857
|
54
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.372% 4/35 #820407
|
60
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.725% 3/35 #820598
|
823
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.5% 5/35 #820996
|
83
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.302% 1/35 #827592
|
112
|
||
Fannie
Mae Pool
|
FNMA
ARM 5.8170% 5/35 #827781
|
671
|
||
Fannie
Mae Pool
|
FNMA
ARM 5.208% 5/35 #827783
|
2,266
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.409% 5/35 #829985
|
277
|
||
Fannie
Mae Pool
|
FNMA
ARM 5.203% 6/35 #830605
|
492
|
||
Fannie
Mae Pool
|
FNMA
ARM 4.555% 7/35 #832099
|
334
|
||
Fannie
Mae Pool
|
FNMA
ARM 5.344% 7/35 #834917
|
63
|
||
Fannie
Mae Pool
|
FNMA
ARM 5.101% 7/35 #841837
|
435
|
||
Fieldstone
Mortgage Investment Corp FMIC 03-1 M1
|
Mortgage
backed security 1ML+68 11/33
|
91
|
||
Fifth
Third Auto Trust FITAT 04-A A3
|
Mortgage
backed security 3.19% 2/08
|
550
|
||
Fifth
Third MED
|
Corporate
Bond 3.375% 8/15/08
|
1,101
|
||
First
Union Commercial Mortgage Securities Inc FULB 97-C2 A3
|
Mortgage
backed security 6.65% 11/29
|
392
|
||
First
Union
|
Corporate
bond 6.375% 1/15/09
|
638
|
||
FleetBoston
Financial Corp
|
Corporate
bond 3.85% 2/15/08
|
398
|
||
Fleet
Financial
|
Corporate
bond 6.375% 5/15/08
|
177
|
||
Ford
Credit Auto Owner Trust FORDO 03-B B1
|
Mortgage
backed security 2.85% 10/07
|
623
|
||
Ford
Credit Auto Owner Trust
FORDO
05-A A3
|
Mortgage
backed security 3.48% 11/08
|
1,108
|
(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
|
Ford
Credit Auto Owner Trust
FORDO
05-A A4
|
Mortgage
backed security 3.72% 10/09
|
294
|
||
Ford
Credit Auto Owner Trust
FORDO
2005-AB
|
Mortgage
backed security 3.88% 1/10
|
288
|
||
Ford
Credit Auto Owner Trust
FORDO
05-C A3
|
Mortgage
backed security 4.3% 8/09
|
1,299
|
||
Ford
Credit Auto Owner Trust
FORDO
05-C A4
|
Mortgage
backed security 4.36% 6/10
|
716
|
||
Franklin
Resources Inc
|
Corporate
bond 3.7% 4/15/08
|
1,503
|
||
Franklin
Templeton FRNK 05-1 A3
|
Mortgage
backed security 4391% 4/10
|
901
|
||
Fremont
Home Loan Trust FHLT 04-A M1
|
Mortgage
backed security 1ML+55 1/34
|
452
|
||
Fremont
Home Loan Trust FHLT 04-A M2
|
Mortgage
backed security 1ML+115 1/34
|
532
|
||
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
|
||
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
|
252
|
||
Fremont
Home Loan Trust FHLT 04-1 M5
|
Mortgage
backed security 1ML+110 2/34
|
101
|
||
FUJI
Financial
|
Corporate
Bond 8.625% 4/15/10 144A
|
1,313
|
||
GE
Capital Commercial Mortgage Corp
GECMC
02-2A A2
|
Mortgage
backed security 4.97% 8/36
|
1,577
|
||
GGP
Mall Properties Trust GGPMP 01-C1A A2
|
Mortgage
backed security 5.007% 11/11
|
607
|
||
GMAC
Commercial Mortgage Securities Inc GMACC 97-C2 A3
|
Mortgage
backed security 6.566% 4/29
|
441
|
||
GMAC
Commercial Mortgage Securities Inc GMACC 04-C2 A2
|
Interest
only strip CSTR 8/38
|
1,451
|
||
GMAC
Commercial Mortgage Securities Inc GMACC 04-C3 X2
|
Interest
only strip CSTR 12/41
|
178
|
||
GMACC
Commercial Mortgage Securities
GMACC
97-C1 A3
|
Mortgage
backed security 6.869% 7/29
|
350
|
||
GMACC
Commercial Mortgage Securities
GMACC
2002-C1 A1
|
Mortgage
backed security 5.785% 11/39
|
1,596
|
||
GMACC
Commercial Mortgage Securities
GMACC
2004-C3 A3
|
Interest
only strip CSTR 12/41
|
1,233
|
||
GMACC
Commercial Mortgage Securities
GMACC
05-C1 A2
|
Interest
only strip CSTR 5/43
|
731
|
||
GMACC
Commercial Mortgage Securities
GMACC
05-C1 X2
|
Interest
only strip CSTR 5/43
|
265
|
||
GS
Auto Loan Trust GSALT 05-1 A3
|
Mortgage
backed security 4.45% 5/10
|
965
|
||
GS
Auto Loan Trust GSLAT 05-1 B
|
Mortgage
backed security 4.62% 11/13
|
145
|
||
GS
Mortgage Securities Corp 03-C1 A2A
|
Mortgage
backed security 3.59% 1/40
|
754
|
||
GS
Mortgage Securities Corp 04-C1 A1
|
Mortgage
backed security 3.659% 10/28
|
1,575
|
||
GS
Mortgage Securities Corp 98-GLII A2
|
Mortgage
backed Security 6.562% 4/31
|
777
|
||
GS
Mortgage Securities Corp 05-GG4 XP
|
Interest
only strip CSTR 7/39
|
748
|
||
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
|
||
Ge
Capital Commercial Mortgage Corp GECMC 04-C2 A2
|
Mortgage
backed securities 4.119% 3/40
|
504
|
||
Ge
Capital Commercial Mortgage Corp GECMC 04-C3 A2
|
Mortgage
backed securities 4.433% 7/39
|
1,933
|
(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
|
GE
Commercial Equipment Financing LLC GECEF 04-A A3
|
Mortgage
backed securities 3.36% 6/08
|
1,148
|
||
General
Electric Capital Corp
|
Corporate
bond 7.5% 6/15/09
|
1,190
|
||
General
Electric Capital Corp
|
Corporate
bond 3.5% 5/01/08
|
454
|
||
General
Electric Capital Corp
|
Corporate
bond 3.5% 8/15/07
|
531
|
||
General
Electric Capital Corp
|
Corporate
bond 4.125% ¾/08
|
4,192
|
||
General
Electric Cap Corp
|
Corporate
bond 4.00% 6/15/2009
|
1,152
|
||
General
Electric Cap Corp
|
Corporate
bond 5.00% 6/15/07
|
1,064
|
||
Goldman
Sachs Group Inc
|
Corporate
bond 4.5% 6/15/10
|
1,425
|
||
Greenpoint
Financial
|
Corporate
bond 3.2% 6/06/08
|
1,644
|
||
Greenwich
Capital Commercial Funding Corp GCCFC 03-C1 A2
|
Mortgage
backed securities 3.285% 7/35
|
861
|
||
Greenwich
Capital Commercial Funding Corp GCCFC 04-GG1 A4
|
Mortgage
backed securities 4.755% 6/36
|
931
|
||
Greenwich
Capital Commercial Funding
Corp
GCCFC 05-GG3 A2
|
Interest
only strip CSTR 8/42
|
669
|
||
Greenwich
Capital Commercial Funding
Corp
GCCFC 05-GG3 XP
|
Interest
only strip CSTR 8/42
|
939
|
||
Greenwich
Capital Commercial Funding
Corp
GCCFC 05-GG5
|
Interest
only strip CSTR 4/37
|
779
|
||
John
Hancock Global Funding II
|
Corporate
bond 3.75% 9/30/08
|
794
|
||
Halifax
and Bank of Scotland PLC MTN
|
Corporate
bond 3.75% 9/30/08 144A
|
914
|
||
Halifax
and Bank of Scotland PLC
|
Corporate
bond 3.625% 7/23/07 144A
|
1,442
|
||
Heinz
Co
|
Corporate
bond 6.428% 12/01/08 144A
|
764
|
||
Holmes
Financing PLC HFP 7 2M
|
Mortgage
backed security 3M:+80 7/40
|
263
|
||
Heller
Financial Commercial Mortgage Asset HFCMC 00-PH1 A1
|
Mortgage
backed securities 7.715% 1/34
|
279
|
||
Honda
Auto Receivables Trust
HAROT
05-4 A4
|
Mortgage
backed securities 4.6% 11/10
|
1,204
|
||
Honda
Auto Receivables Trust
HAROT
05-2 A3
|
Mortgage
backed securities 3.93% 1/09
|
584
|
||
Honda
Auto Receivables Trust
HAROT
05-3 A3
|
Mortgage
backed securities 3.87% 4/09
|
1,333
|
||
Host
Marriot Pool Trust HMPT 99-HMTA D
|
Mortgage
backed securities 7.97% 8/15
|
215
|
||
Host
Marriot Pool Trust HMPT 99-HMTA B
|
Mortgage
backed security 7.3% 8/15
|
258
|
||
Household
Automotive Trust HAT 04-1 A3
|
Mortgage
backed securities 3.3% 5/09
|
937
|
||
Household
Automotive Trust HAT 04-1 A4
|
Mortgage
backed securities 3.93% 7/11
|
558
|
||
Household
Automotive Trust HAT 05-1 A4
|
Mortgage
backed securities 4.35% 6/12
|
1,522
|
||
Household
Automotive Trust HAT 05-2 A3
|
Mortgage
backed securities 4.37% 5/10
|
1,434
|
||
Household
Automotive Trust HAT 05-3 A3
|
Mortgage
backed securities 4.8% 10/10
|
596
|
||
Household
GBL
|
Corporate
bond 5.875% 2/1/09 DT
|
314
|
||
Household
FIN
|
Corporate
bond 4.625% 1/15/08
|
875
|
||
Household
FINC
|
Corporate
bond 4.125% 12/15/08
|
1,267
|
||
Household
MTN
|
Corporate
bond 4.125% 11/16/09
|
989
|
||
Household
INTL
|
Corporate
bond 5.836% 2/15/08
|
2,319
|
||
HSBC
Finance Corp
|
Corporate
bond 5.25% 1/14/11
|
377
|
||
HSBC
Finance Corp
|
Corporate
bond 4.125% 3/11/08
|
1,488
|
||
Household
Private Label Credit Card Master Note Trust I HPLCC 02-1 A
|
Mortgage
backed securities 5.5% 1/11
|
1,715
|
||
HFC
Home Equity Loan Asset Backed Certificates HFCHC 03-1 M
|
Mortgage
backed securities 1ML+63 10/32
|
63
|
||
HFC
Home Equity Loan Asset Backed Certificates HFCHC 03-2 M
|
Mortgage
backed securities 1ML+58 9/33
|
101
|
(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
|
Household
Mortgage Loan Trust HMLHC 03-HC1
|
Mortgage
backed securities 1ML+65 2/33
|
114
|
||
Household
Mortgage Loan Trust HLHMC 03-HC2
|
Mortgage
backed securities 1ML+60 6/20/2103
|
154
|
||
Hutchison
Whampoa International 01/11 Ltd
|
Corporate
bond 7% 2/16/11 144A
|
662
|
||
Hutchison
Whampoa International 03/33 Ltd
|
Corporate
bond 5.45% 11/24/10 144
|
1,217
|
||
Hyundai
Auto Receivables Trust
HART
05-A C
|
Mortgage
backed securities 4.22% 2/12
|
94
|
||
Impac
CMB Trust IMM 05-1 M4
|
Mortgage
backed securities 1ML+75 4/35
|
76
|
||
Impac
CMB Trust IMM05-1 M5
|
Mortgage
backed securities 1ML+77 4/35
|
76
|
||
Impac
CMB Trust IMM05-1 M6
|
Mortgage
backed securities 1ML+82 4/35
|
115
|
||
International
Lease Finance Corp
|
Corporate
bond 3.75% 8/01/07
|
1,511
|
||
International
Lease Finance Corp
|
Corporate
bond 5.00% 4/15/10
|
578
|
||
International
Lease Finance Corp
|
Corporate
bond 4.625% 6/02/08
|
298
|
||
JPMorgan
Chase & Co
|
Corporate
bond 3.625% 5/1/08
|
391
|
||
JP
Morgan Chase Commercial Mortgage Securities Corp JPMCC 04-CB9 A2
|
Interest
only strip CSTR 6/41
|
1,514
|
||
JP
Morgan Chase Commercial Mortgage Securities Corp JPMCC 03-PM1A
A2
|
Interest
only strip CSTR 8/40
|
1,761
|
||
JP
Morgan Chase Commercial Mortgage Securities Corp JPMCC 03-CB7
X2
|
Interest
only strip CSTR 1/38
|
62
|
||
JP
Morgan Chase Commercial Mortgage Securities Corp JPMCC 05-LDP4
X2
|
Interest
only strip CSTR 10/42
|
607
|
||
JP
Morgan Chase Commercial Mortgage Securities Corp JPMCC 05-LDP4
A1
|
Interest
only strip CSTR 10/42
|
1,199
|
||
JP
Morgan Chase Commercial Mortgage Securities Corp JPMCC 04-CB8
A2
|
Mortgage
backed securities 3.837% 1/39
|
1,214
|
||
JP
Morgan Chase Commercial Mortgage Securities Corp JPMCC 2001-C1
A2
|
Mortgage
backed securities 5.464% 10/35
|
1,652
|
||
JP
Morgan Chase Commercial Mortgage Securities Corp JPMCC 05-LDP2
A2
|
Mortgage
backed securities 4.575% 7/42
|
733
|
||
JP
Morgan Chase Commercial Mortgage Securities Corp JPMCC 05-LDP5
A1
|
Mortgage
backed securities 5.035% 12/44
|
1,124
|
||
JP
Morgan Chase Commercial Mortgage Securities Corp JPMCC 04-CBX
X2
|
Interest
only strip CSTR 1/37
|
535
|
||
JP
Morgan Chase Commercial Mortgage Securities Corp JPMCC 04-C3
A2
|
Mortgage
backed securities 4.223% 1/42
|
809
|
||
Korea
Development Bank
|
Corporate
bond 3.875% 3/02/09
|
735
|
||
Korea
Development Bank
|
Corporate
bond 4.75% 7/20/09
|
603
|
||
Kraft
Foods Inc
|
Corporate
bond 5.25% 6/1/07
|
534
|
||
LB
Commercial Conduit Mortgage Trust
LBCMT
98-C4 A1B
|
Mortgage
backed security 6.21% 10/35
|
1,390
|
||
LB
Commercial Conduit Mortgage Trust
LBCMT
33-C1 A2
|
Mortgage
backed securities 6.78% 6/31
|
1,362
|
||
LB-UBS
Commercial Mortgage Trust LBUBS 00-C3 A1
|
Mortgage
backed securities 7.95% 7/09
|
1,389
|
||
LB-UBS
Commercial Mortgage Trust LBUBS 00-C3 A2
|
Mortgage
backed securities 7.95% 1/10
|
1,033
|
||
LB-UBS
Commercial Mortgage Trust LBUBS 00-C5 A1
|
Mortgage
backed securities 6.41% 12/19
|
886
|
||
LB-UBS
Commercial Mortgage Trust LBUBS 00-C5 A2
|
Mortgage
backed securities 6.51% 12/26
|
489
|
||
LB-UBS
Commercial Mortgage Trust LBUBS 04-C6 A2
|
Mortgage
backed securities 4.187% 8/29
|
683
|
(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
|
LB-UBS
Commercial Mortgage Trust LBUBS 03-C3 A2
|
Mortgage
backed securities 3.086% 5/27
|
640
|
||
LB-UBS
Commercial Mortgage Trust LBUBS 03-C7 A3
|
Interest
only strip CSTR 9/27
|
803
|
||
LB-UBS
Commercial Mortgage Trust LBUBS 04-C2 A3
|
Mortgage
backed securities 3.973% 3/29
|
676
|
||
LB-UBS
Commercial Mortgage Trust LBUBS 05-C1 AAB
|
Interest
only strip CSTR 2/30
|
549
|
||
LB-UBS
Commercial Mortgage Trust LBUBS 05-C5 XCP
|
Interest
only strip CSTR 9/40
|
760
|
||
LB-UBS
Commercial Mortgage Trust LBUBS 01-C20A2
|
Mortgage
backed securities 6.653% 11/27
|
349
|
||
LB-UBS
Commercial Mortgage Trust LBUBS 03-C5 A2
|
Mortgage
backed securities 3.478% 7/27
|
1,446
|
||
LB-UBS
Commercial Mortgage Trust LBUBS 04-C8 XCP
|
Interest
only strip CSTR 12/39
|
127
|
||
LB-UBS
Commercial Mortgage Trust LBUBS 05-C7 XCP
|
Interest
only strip CSTR 11/40
|
476
|
||
Legg
Mason Inc
|
Corporate
bond 6.75% 7/02/08
|
344
|
||
Lehman
Brothers Holdings Inc
|
Corporate
bond 7% 2/1/08
|
2,247
|
||
Lehman
Brothers Holdings Inc
|
Corporate
bond 4% 1/22/08
|
576
|
||
Lehman
Brothers Holdings Inc
|
Corporate
bond 3.95% 11/10/09
|
363
|
||
Lehman
Brothers Global
|
Corporate
bond 3.6% 3/13/09
|
297
|
||
Long
Beach Mortgage Loan Trust -MLT 03-3 M1
|
Mortgage
backed securities 1ML+75 7/33
|
895
|
||
Louis
Dreyfus
|
Corporate
Bond 6.875% 12/01/07
|
420
|
||
M&I
Auto Loan Trust
MILT
05-1 A3
|
Mortgage
backed securities 4.83% 9/09
|
1,377
|
||
M&I
Auto Loan Trust
MILT
05-1 B
|
Mortgage
backed securities 5.02% 7/12
|
1,082
|
||
MBNA
Credit Card Master Note Trust MBNAS 02-1B
|
Mortgage
backed securities 5.15% 7/09
|
1,506
|
||
MBNA
Credit Card Master Note Trust MBNAS 05-B4 B4
|
Mortgage
backed securities 4.9% 3/11
|
1,377
|
||
Master
Seasoned Securities Trust MSSTR 04-1 1A1
|
Interest
only strip CSTR 8/17
|
631
|
||
Marshall
& Ilsley Corp
|
Corporate
bond 3.8% 2/08/08
|
1,584
|
||
|