(Mark
One)
|
|
[X]
|
ANNUAL
REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF
1934
|
For
the fiscal year ended December 31, 2008
|
|
OR
|
|
[ ]
|
TRANSITION
REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF
1934
|
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 37662
|
Report
of Independent Registered Public Accounting Firm
|
1
|
Basic
Financial Statements:
|
|
Statements
of Net Assets Available for Benefits
|
2
|
Statements
of Changes in Net Assets Available for Benefits
|
3
|
Notes
to Financial Statements
|
4 –
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.
|
December
31,
|
December
31,
|
|||||||||||
2008
|
2007
|
|||||||||||
Non-
|
Non-
|
|||||||||||
Participant
|
participant
|
Participant
|
participant
|
|||||||||
Directed
|
Directed
|
Total
|
Directed
|
Directed
|
Total
|
|||||||
Assets
|
||||||||||||
Investments
at fair value
|
$
|
1,153,826
|
$
|
46,937
|
$
|
1,200,763
|
$
|
1,485,704
|
$
|
95,025
|
$
|
1,580,729
|
Receivables:
|
||||||||||||
Sponsor
|
30,425
|
4,787
|
35,212
|
29,415
|
3,869
|
33,284
|
||||||
Other
|
5,209
|
648
|
5,857
|
1,435
|
1,352
|
2,787
|
||||||
Total
assets
|
1,189,460
|
52,372
|
1,241,832
|
1,516,554
|
100,246
|
1,616,800
|
||||||
Liabilities
|
||||||||||||
Accrued
expenses
|
15
|
14
|
29
|
12
|
17
|
29
|
||||||
Other
liabilities
|
3,910
|
684
|
4,594
|
2,339
|
1,370
|
3,709
|
||||||
Total
liabilities
|
3,925
|
698
|
4,623
|
2,351
|
1,387
|
3,738
|
||||||
Adjustment
from fair value to contract value for fully benefit-responsive investment
contracts
|
10,728
|
--
|
10,728
|
(3,102)
|
--
|
(3,102)
|
||||||
Net
assets available
|
||||||||||||
for
plan benefits
|
$
|
1,196,263
|
$
|
51,674
|
$
|
1,247,937
|
$
|
1,511,101
|
$
|
98,859
|
$
|
1,609,960
|
December
31, 2008
|
December
31, 2007
|
|||||||||||
Non-
|
Non-
|
|||||||||||
Participant
|
participant
|
Participant
|
participant
|
|||||||||
Directed
|
Directed
|
Total
|
Directed
|
Directed
|
Total
|
|||||||
Additions
to net assets:
|
||||||||||||
Investment
income (loss)
|
||||||||||||
Interest
|
$
|
26,616
|
$
|
-
|
$
|
26,616
|
$
|
27,555
|
$
|
-
|
$
|
27,555
|
Dividends
|
27,171
|
2,658
|
29,829
|
67,710
|
2,840
|
70,550
|
||||||
Net
appreciation (depreciation) in fair value of
|
||||||||||||
investments
|
(353,623)
|
(51,707)
|
(405,330)
|
34,503
|
4,074
|
38,577
|
||||||
Net
investment gain (loss)
|
(299,836)
|
(49,049)
|
(348,885)
|
129,768
|
6,914
|
136,682
|
||||||
Participant
contributions
|
70,138
|
--
|
70,138
|
80,729
|
-
|
80,729
|
||||||
Plan
Sponsor contributions
|
31,574
|
4,776
|
36,350
|
29,415
|
3,869
|
33,284
|
||||||
Total
additions
|
(198,124)
|
(44,273)
|
(242,397)
|
239,912
|
10,783
|
250,695
|
||||||
Deductions
from net assets:
|
||||||||||||
Distributions
to and withdrawals
|
||||||||||||
by
participants
|
115,798
|
3,667
|
119,465
|
159,653
|
6,052
|
165,705
|
||||||
Administrative
expenses
|
161
|
-
|
161
|
180
|
-
|
180
|
||||||
Total
deductions
|
115,959
|
3,667
|
119,626
|
159,833
|
6,052
|
165,885
|
||||||
Interfund
transfers, net
|
(755)
|
755
|
-
|
12,122
|
(12,122)
|
-
|
||||||
Net
increase (decrease) in net assets
|
(314,838)
|
(47,185)
|
(362,023)
|
92,201
|
(7,391)
|
84,810
|
||||||
Net
assets available for plan
|
||||||||||||
benefits at beginning of period
|
1,511,101
|
98,859
|
1,609,960
|
1,418,900
|
106,250
|
1,525,150
|
||||||
Net
assets available for plan
|
||||||||||||
benefits
at end of period
|
$
|
1,196,263
|
$
|
51,674
|
$
|
1,247,937
|
$
|
1,511,101
|
$
|
98,859
|
$
|
1,609,960
|
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 $1,000. Separated
participants with accounts in excess of $1,000 or who are
retirement-eligible may elect either (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, distributions 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 $1,000. If the
beneficiary is a surviving spouse and the participant account value
exceeds $5,000, payment will be made in either 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. They are also granted for payment of funeral
expenses for a deceased parent, spouse or child of the participant, or
payment of expenses for repair or damage to the participants' principal
residence. 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.
|
RISKS
AND UNCERTAINTIES
|
4.
|
CONTRIBUTIONS
|
5.
|
LOANS
TO PARTICIPANTS
|
6.
|
INVESTMENTS
|
(in
thousands)
|
December
31, 2008
|
December
31, 2007
|
||
Cash
|
$
|
949
|
$
|
2,901
|
Common
Stock
|
135,332
|
169,904
|
||
Mutual
Funds
|
503,650
|
806,027
|
||
Managed
Income Fund
|
551,135
|
588,884
|
||
Self
Directed Brokerage Account
|
9,697
|
13,013
|
||
Total
|
$
|
1,200,763
|
$
|
1,580,729
|
|
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 2008, the Trustee purchased 57,400
shares of Eastman stock for the fund at an average price of $66.69 per
share, and sold 118,100 shares of Eastman stock for the fund at an average
price of $63.04 per share. During 2007, the Trustee purchased
63,900 shares of Eastman stock for the fund at an average price of $59.76
per share, and sold 236,200 shares at an average price of $64.12 per
share.
|
December
31, 2008
|
|||||
Shares
|
Fair
value
|
||||
Eastman
Chemical Company Common Stock, Participant
Directed
|
11,721
|
$
|
88,856
|
||
Eastman Chemical Company Common Stock, Non Participant Directed | 6,202 | 46,476 | |||
Fidelity
Magellan® Fund
|
930
|
42,616
|
|||
Fidelity
Contrafund
|
1,999
|
90,433
|
|||
December
31, 2007
|
|||||
Shares
|
Fair
value
|
||||
Eastman
Chemical Company Common Stock, Participant
Directed
|
5,425
|
$
|
75,794
|
||
Eastman Chemical Company Common Stock, Non Participant Directed | 6,560 | 94,110 | |||
Fidelity
Magellan® Fund
|
935
|
87,727
|
|||
Fidelity
Contrafund
|
2,064
|
150,903
|
Net
Appreciation
|
Net
Appreciation
|
|||
(Depreciation)
|
(Depreciation)
|
|||
December
31, 2008
|
December
31, 2007
|
|||
Eastman
Chemical Company Common Stock, Non
Participant Directed
|
$
|
(51,707)
|
$
|
4,074
|
Eastman
Chemical Company Common Stock, Participant
Directed
|
(48,682)
|
3,875
|
||
Mutual
Funds
|
(304,941)
|
30,628
|
||
Total
|
$
|
(405,330)
|
$
|
38,577
|
7.
|
INSURANCE
CONTRACTS
|
·
|
The
Plan’s failure to qualify under Section 401(a) or Section 401(k) of the
Internal Revenue Code.
|
·
|
The
establishment of a defined contribution plan that competes with the Plan
for employee contributions.
|
·
|
Any
substantive modification of the Plan or the administration of the Plan
that is not consented to by the wrap
issuer.
|
·
|
Complete
or partial termination of the Plan.
|
·
|
Any
change in law, regulation or administrative ruling applicable to the Plan
that could have a material adverse effect on the Fund's cash
flow.
|
·
|
Merger
or consolidation of the Plan with another plan, the transfer of Plan
assets to another plan, or the sale, spin-off or merger of a subsidiary or
division of the Plan Sponsor.
|
·
|
Any
communication given to participants by the Plan Sponsor or any other Plan
fiduciary that is designed to induce or influence participants not to
invest in the Fund or to transfer assets out of the
Fund.
|
·
|
Exclusion
of a group of previously eligible employees from eligibility in the
Plan.
|
·
|
Any
early retirement program, group termination, group layoff, facility
closing, or similar program.
|
·
|
Any
transfer of assets from the Fund directly to a competing
option.
|
Average
yields:
|
December
31,
2008
|
December
31,
2007
|
||
Based
on actual earnings
|
4.28
%
|
5.02
%
|
||
Based
on interest rate credited to participants
|
4.06
%
|
4.65
%
|
(in
thousands)
|
December
31,
2008
|
December
31,
2007
|
||
Security
backed investments:
|
||||
Underlying
assets at fair value
|
$
|
551,135
|
$
|
588,884
|
Wrap
contracts
|
10,728
|
(3,102)
|
||
Total
contract value
|
$
|
561,863
|
$
|
585,782
|
8.
|
FAIR
VALUE MEASUREMENT
|
Level
1 -
|
Quoted
prices (unadjusted) in active markets for identical assets or
liabilities.
|
Level
2 -
|
Quoted
prices for similar assets and liabilities in active markets or inputs that
are observable for the asset or liability, either directly or indirectly
through market corroboration, for substantially the full term of the
financial instrument.
|
Level 3 -
|
Unobservable
inputs based on the Plan’s assumptions used to measure assets and
liabilities at fair value.
|
(Dollars
in thousands)
|
Fair
Value Measurements at December 31, 2008
|
|||||||
Description
|
December
31, 2008
|
Quoted
Prices in Active Markets for Identical Assets (Level 1)
|
Significant
Other Observable Inputs (Level 2)
|
Significant
Unobservable Inputs (Level 3)
|
||||
Cash
|
$
|
949
|
$
|
949
|
$
|
--
|
$
|
--
|
Common
Stock
|
135,332
|
135,332
|
--
|
--
|
||||
Mutual
Funds
|
472,396
|
472,396
|
--
|
--
|
||||
Managed
Income Fund
|
551,135
|
--
|
551,135
|
--
|
||||
Self
Directed Brokerage Account
|
9,697
|
9,697
|
--
|
--
|
||||
Participant
Loans
|
31,254
|
--
|
--
|
31,254
|
||||
Total
|
$
|
1,200,763
|
$
|
618,374
|
$
|
551,135
|
$
|
31,254
|
(Dollars in
thousands)
|
Level
3 Assets
Year
Ended December 31, 2008
|
|
Description
|
Participant
Loans
|
|
Balance,
beginning of year
|
$
|
29,973
|
Issuances,
settlements and write-offs (net)
|
1,281
|
|
Balance,
end of year
|
$
|
31,254
|
9.
|
OTHER
RECEIVABLES AND OTHER LIABILITIES
|
10.
|
DIVERSIFICATION
FROM ESOP FUND
|
11.
|
PLAN
TERMINATION
|
12.
|
FEDERAL
INCOME TAX STATUS
|
13.
|
PLAN
EXPENSES
|
14.
|
RELATED
PARTIES
|
15.
|
RECONCILIATION
OF FINANCIAL STATEMENTS TO FORM
5500
|
(in
thousands)
|
December
31,
2008
|
December
31,
2007
|
||
Investments
at fair value
|
$
|
1,200,763
|
$
|
1,580,729
|
Adjustment
from fair value to contract value for full benefit-responsive investment
contracts
|
10,728
|
(3,102)
|
||
Total
investments per Form 5500
|
$
|
1,211,491
|
$
|
1,577,627
|
(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, 11,721 shares
|
** | 88,856 |
*
|
Fidelity
Management Trust Company
|
Interest
Bearing Cash, Participant directed
|
**
|
488
|
*
|
Eastman
Chemical Company
|
Common
stock, Non Participant directed, 6,202 shares
|
77,481
|
46,476
|
*
|
Fidelity
Management Trust Company
|
Interest
Bearing Cash, Non Participant directed
|
461
|
461
|
*
|
Fidelity
Fund K
|
Registered
Investment Company, 1,222 shares
|
**
|
27,807
|
*
|
Fidelity
Puritan Fund K
|
Registered
Investment Company, 2,821 shares
|
**
|
36,817
|
*
|
Fidelity
Magellan Fund K
|
Registered
Investment Company, 930 shares
|
**
|
42,616
|
*
|
Fidelity
Contrafund K
|
Registered
Investment Company, 1,999 shares
|
**
|
90,433
|
*
|
Fidelity
Spartan U.S. Equity Index Portfolio
|
Registered
Investment Company, 806 shares
|
**
|
25,712
|
*
|
Fidelity
International Discovery Fund K
|
Registered
Investment Company, 1,521 shares
|
**
|
35,850
|
*
|
Fidelity
Blue Chip Growth Fund K
|
Registered
Investment Company, 359 shares
|
**
|
9,444
|
*
|
Fidelity
Freedom Income Fund
|
Registered
Investment Company, 284 shares
|
**
|
2,714
|
*
|
Fidelity
Freedom 2000 Fund
|
Registered
Investment Company, 156 shares
|
**
|
1,569
|
*
|
Fidelity
Freedom 2010 Fund
|
Registered
Investment Company, 1,011 shares
|
**
|
10,472
|
*
|
Fidelity
Freedom 2020 Fund
|
Registered
Investment Company, 1,469 shares
|
**
|
14,763
|
*
|
Fidelity
Freedom 2030 Fund
|
Registered
Investment Company, 980 shares
|
**
|
9,566
|
*
|
Fidelity
Freedom 2040 Fund
|
Registered
Investment Company, 823 shares
|
**
|
4,603
|
*
|
Fidelity
Spartan Extended Market Index Portfolio
|
Registered
Investment Company, 383 shares
|
**
|
8,627
|
*
|
Fidelity
Spartan International Index Fund
|
Registered
Investment Company, 326 shares
|
**
|
8,706
|
*
|
Participant
Loans
|
Participant
Loan Fund with terms ranging from 4 - 119 months and rates ranging from
4.25% to 10.5%
|
**
|
31,254
|
*
|
Fidelity
Retirement Money Market
|
Registered
Investment Company, 148 shares
|
**
|
147
|
*
|
Clipper
Fund
|
Registered
Investment Company, 166 shares
|
**
|
6,649
|
*
|
PIMCO
Total Return Institutional Class
|
Registered
Investment Company, 3,897 shares
|
**
|
39,515
|
*
|
Franklin
Small Mid Cap Growth Fund
|
Registered
Investment Company, 683 shares
|
**
|
14,192
|
*
|
WFA
Small Cap Val Inst
|
Registered
Investment Company, 1,093 shares
|
**
|
19,842
|
*
|
TCW
Select Equity I
|
Registered
Investment Company, 108 shares
|
**
|
1,113
|
*
|
Neuberger
and Berman Genesis Instl Cl
|
Registered
Investment Company, 1,602 shares
|
**
|
47,794
|
*
|
Templeton
Foreign Fund
|
Registered
Investment Company, 1,801 shares
|
**
|
7,907
|
(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
|
Fidelity Freedom 2005
Fund
|
Registered
Investment Company, 16 shares
|
**
|
132
|
|
Fidelity Freedom 2015
Fund
|
Registered
Investment Company, 331 shares
|
**
|
2,836
|
|
Fidelity Freedom 2025
Fund
|
Registered
Investment Company, 122 shares
|
**
|
1,008
|
|
Fidelity Freedom 2035
Fund
|
Registered
Investment Company, 63 shares
|
**
|
504
|
|
Fidelity Freedom 2045
Fund
|
Registered
Investment Company, 56 shares
|
**
|
366
|
|
Fidelity Freedom 2050
Fund
|
Registered
Investment Company, 107 shares
|
**
|
692
|
(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
|
Fidelity
short term cash fund
|
Cash
|
**
|
306
|
|
ANZ
National
|
Corporate
Bond 6.2 7/19/13 144A
|
**
|
682
|
|
AT&T
Wireless
|
Corporate
Bond 7.875% 3/01/11
|
**
|
738
|
|
AXA
Financial
|
Corporate
Bond 7.75% 8/01/10
|
**
|
961
|
|
Ace
Securities
Corp. ACE
03-HS1 M1
|
Mortgage
backed security 1ML+75 6/33
|
**
|
1
|
|
Advanta
Business Card
Master ABCMT
07-A2 A2
|
Mortgage
backed security 5% 3/13
|
**
|
2,318
|
|
Advanta
Business Card
Master ABCMT
07-B2 B
|
Mortgage
backed security 5.5% 6/20/13
|
**
|
617
|
|
America
Movl
|
Corporate
Bond 4.125 3/1/09
|
**
|
1,324
|
|
American
Honda
|
Corporate
Bond 4.5 5/26/09 144A
|
**
|
1,214
|
|
Americredit
Automobile
Receivable AMCAR
04-DF A4
|
Mortgage
backed security 3.43 7/11
|
**
|
313
|
|
Americredit
Automobile
Receivable AMCAR
05-CF A4
|
Mortgage
backed security 4.63 6/12
|
**
|
794
|
|
Americredit
Automobile
Receivable AMCAR
06-1 B
|
Mortgage
backed security 5.2 3/11
|
**
|
69
|
|
Americredit
Prime Automobile
Receivable APART
07-1 B
|
Mortgage
backed security 5.35% 3/11
|
**
|
196
|
|
Americredit
Prime Automobile
Receivable APART
07-1 C
|
Mortgage
backed security 5.43 7/11
|
**
|
115
|
|
Americredit
Prime Automobile
Receivable APART
07-2M A3A
|
Mortgage
backed security 5.22% 4/10
|
**
|
452
|
|
Americredit
Automobile
Receivable AMCAR
06-BG A4
|
Mortgage
backed security 5.21% 9/13
|
**
|
553
|
|
Avon
Products
|
Corporate
Bond 4.8% 3/01/13
|
**
|
519
|
|
BBVA
Banc
|
Corporate
Bond 5.3795 7/22/15 144A
|
**
|
463
|
|
BHP
Billiton
|
Corporate
Bond 5.125% 3/29/12
|
**
|
1,211
|
|
BTM
Curacao
|
Corporate
Bond 4.76% 7/21/15 144A
|
**
|
412
|
|
Baltimore
G&E
|
Corporate
Bond 6.125% 7/01/13
|
**
|
464
|
|
Bank
of America Commercial
Mortgage BACM
04-6 XP
|
Interest
Only Strip CSTR 12/42
|
**
|
54
|
|
Bank
of America Commercial
Mortgage BACM
2003-2 A2
|
Mortgage
backed security 4.342 3/41
|
**
|
706
|
|
Bank
of America Commercial
Mortgage BACM
05-3 XP
|
Interest
Only Strip CSTR 7/43
|
**
|
135
|
|
Bank
of America Commercial
Mortgage BACM
04-4 A3
|
Mortgage
backed security 4.128% 7/42
|
**
|
675
|
|
Bank
of America Commercial
Mortgage BACM
05-4 A1
|
Mortgage
backed security 4.432 7/45
|
**
|
271
|
|
Bank
of America Commercial Mortgage
BACM
04-5 XP
|
Interest
Only Strip CSTR 11/41
|
**
|
74
|
|
Bank
of America Commercial
Mortgage BACM
05-4 XP
|
Interest
Only Strip CSTR 7/45
|
**
|
41
|
|
Bank
of America Commercial
Mortgage BACM
05-5 A1
|
Mortgage
backed security 4.716 8/10
|
**
|
604
|
(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
of America Commercial
Mortgage BACM
05-6 A1
|
Mortgage
backed security 5.001 9/47
|
**
|
377
|
|
Bank
of America Mortgage
Security BOAMS
04-J 2A1
|
Mortgage
backed security CSTR 11/34
|
**
|
240
|
|
Bank
of America Mortgage Security
BOAMS
05-E 2A7
|
Mortgage
backed security CSTR 6/35
|
**
|
374
|
|
Bank
of America Mortgage
Security BOAMS
05-J 2A4
|
Mortgage
backed security 12ML 11/35
|
**
|
1,594
|
|
Bank
of America Commercial
Mortgage BACM
06-6 XP
|
Interest
Only Strip CSTR 10/45
|
**
|
217
|
|
Bank
of America Commercial
Mortgage BACM
06-5 A1
|
Mortgage
backed security 5.185% 7/11
|
**
|
249
|
|
Bank
of America Commercial
Mortgage BACM
2006-5 XP
|
Interest
Only Strip .832% 9/47
|
**
|
183
|
|
Bank
America
|
Corporate
Bond 7.8% 2/15/10 GLBL
|
**
|
226
|
|
Bank
America
|
Corporate
Bond 4.9% 5/01/13
|
**
|
392
|
|
Bank
of New York
|
Corporate
Bond 4.95 1/14/11
|
**
|
166
|
|
Bank
NY Mellon
|
Corporate
Bond 4.95 11/12
|
**
|
753
|
|
Bank
One Corporation
|
Corporate
Bond 7.875% 8/01/10
|
**
|
1,205
|
|
Bank
One Issuance
Trust BOIT
04-B2 B2
|
Mortgage
backed security 4.37% 4/12
|
**
|
1,229
|
|
Bank
of Tokyo Mit
|
Corporate
Bond 8.4 4/15/10
|
**
|
1,129
|
|
Bayview
Commercial Asset
Trust BAYC
04-2 A
|
Mortgage
backed security 1ML+43 8/34
|
**
|
173
|
|
Bayview
Commercial Asset
Trust BAYC
04-2 M1
|
Mortgage
backed security 1ML+58 8/34
|
**
|
48
|
|
Bayview
Commercial Asset
Trust BAYC
04-3 M1
|
Mortgage
backed security 1ML+50 1/35
|
**
|
36
|
|
Bayview
Commercial Asset
Trust BAYC
04-3 M2
|
Mortgage
backed security 1ML+100 1/35
|
**
|
21
|
|
Bear
Stearns Commercial
Mortgage BSCMS
04-ESA A3
|
Mortgage
backed security 4.741% 5/16
|
**
|
1,128
|
|
Bear
Stearns Commercial
Mortgage BSCMS
04-ESA B
|
Mortgage
backed security 4.888% 5/16
|
**
|
346
|
|
Bear
Stearns Commercial
Mortgage BSCMS
04-ESA C
|
Mortgage
backed security 4.937% 5/16
|
**
|
391
|
|
Bear
Stearns Commercial
Mortgage BSCMS
04-ESA D
|
Mortgage
backed security 4.986% 5/16
|
**
|
140
|
|
Bear
Stearns Commercial
Mortgage BSCMS
04-ESA E
|
Mortgage
backed security 5.064% 5/16
|
**
|
442
|
|
Bear
Stearns Commercial
Mortgage BSCMS
04-ESA F
|
Mortgage
backed security 5.182% 5/16
|
**
|
105
|
|
Bear
Stearns Commercial
Mortgage BSCMS
04-PWR5 A2
|
Mortgage
backed security 4.254 7/42
|
**
|
551
|
|
Bear
Stearns Commercial
Mortgage BSCMS
04-PWR5 X2
|
Interest
Only Strip CSTR 7/42
|
**
|
80
|
|
Bear
Stearns Commercial
Mortgage BSCMS
04-T16 A3
|
Mortgage
backed security 4.03 2/46
|
**
|
1,289
|
(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
|
Bear
Stearns Commercial
Mortgage BSCMS
03-T12 X2
|
Interest
Only Strip CSTR 8/39
|
**
|
21
|
|
Bear
Stearns Commercial
Mortgage BSCMS
04-PWR6 X2
|
Interest
Only Strip CSTR 11/41
|
**
|
53
|
|
Bear
Stearns Commercial
Mortgage BSCMS
05-PWR9 A1
|
Mortgage
backed security 4.498 9/42
|
**
|
549
|
|
Bear
Stearns Commercial
Mortgage BSCMS
05-T20 A1 4.94% 10/42
|
Mortgage
backed security 4.94% 10/42
|
**
|
435
|
|
Bear
Stearns Commercial
Mortgage BSCMS
06-PW13 X2
|
Interest
Only Strip CSTR 9/41
|
**
|
121
|
|
Bear
Stearns Commercial
Mortgage BSCMS
2006-T24 X2
|
Interest
Only Strip CSTR 10/41
|
**
|
122
|
|
Bear
Stearns Commercial
Mortgage BSCMS
07-PW15 A1
|
Mortgage
backed security 5.016% 2/44
|
**
|
45
|
|
Bear
Stearns Commercial
Mortgage BSCMS
2007-PW15 X2
|
Interest
Only Strip CSTR 2/44
|
**
|
354
|
|
Bear
Stearns Commercial
Mortgage BSCMS
07-T26 X2
|
Interest
Only Strip CSTR 1/12/45
|
**
|
142
|
|
Bear
Stearns
|
Corporate
Bond 4.245% 1/7/10
|
**
|
876
|
|
Bear
Stearns
|
Corporate
Bond 5.85% 7/19/10
|
**
|
187
|
|
Bellsouth
|
Corporate
Bond 4.2% 9/15/09 DT
|
**
|
879
|
|
Brazos
Higher Education
Authority BRHEA
06-A A2R
|
Mortgage
backed security 5.03% 12/41
|
**
|
1,477
|
|
British
G Step
|
Corporate
Bond 12/10 DT
|
**
|
1,260
|
|
CDC
Financial Products
|
Synthetic
GIC – 4.194%
|
**
|
153
|
|
CNH
Equipment
Trust CNH
05-B B
|
Mortgage
backed security 4.57 7/12
|
**
|
353
|
|
Commercial
Mortgage
Pass-Through COMM
05-C6 XP
|
Interest
Only Strip CSTR 6/44
|
**
|
66
|
|
CPS
Auto
Trust CPS
06-C A3 5.14% 1/11
|
Mortgage
backed security 5.47% 11/11
|
**
|
149
|
|
CPS
Auto
Trust CPS
07-B A3
|
Mortgage
backed security 5.14% 1/11
|
**
|
422
|
|
CPS
Auto
Trust
CPS
2007-C A3
|
Mortgage
backed security 5.45 5/12 144A
|
**
|
335
|
|
Countrywide
Asset-Backed
Certificate CWL
04-4 A
|
Mortgage
backed security 1ML+37.5 8/34
|
**
|
15
|
|
Countrywide
Home
Loans CWHL
05-HYB3 2A6B
|
Mortgage
backed security CSTR 6/35
|
**
|
150
|
|
Capital
Auto Receivables
Asset
CARAT
07-1 B
|
Mortgage
backed security 5.15% 9/12
|
**
|
338
|
|
Capital
Auto Receivables
Asset CARAT
07-SN1 B
|
Mortgage
backed security 5.52% 3/15/11
|
**
|
153
|
|
Capital
Auto Receivables
Asset CARAT
07-SN1 C
|
Mortgage
backed security 5.73% 3/15/11
|
**
|
95
|
|
Capital
Auto Receivables
Asset CARAT
06-1 B
|
Mortgage
backed security 5.26 10/10
|
**
|
221
|
(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
Auto Receivables
Asset CARAT
2006-SN1A A4A
|
Mortgage
backed security 5.32% 3/10
|
**
|
714
|
|
Capital
One Auto Finance
Trust COAFT
05-BSS C
|
Mortgage
backed security 4.48 12/10
|
**
|
578
|
|
Capital
One Auto Finance
Trust
COAFT 05-C A4A
|
Mortgage
backed security 4.71 6/12
|
**
|
2,056
|
|
Capital
One Multi-Asset
Executive COMET
04-B6 B6
|
Mortgage
backed security 4.155 7/12
|
**
|
1,021
|
|
Capital
One Multi-Asset
Executive COMET
07-B3 B3
|
Mortgage
backed security 5.05% 3/13
|
**
|
2,380
|
|
Capital
One Multi-Asset
Executive COMET
07-B5 B5
|
Mortgage
backed security 5.4% 5/13
|
**
|
1,113
|
|
Capital
One Prime Auto Receivable
COPAR
06-2 A4
|
Mortgage
backed security 4.94% 7/12
|
**
|
474
|
|
Capital
One Prime Auto
Receivable COPAR
2007-1 B1
|
Mortgage
backed security 5.76% 12/13
|
**
|
385
|
|
Capital
Trust Re Cdo
Ltd CTCDO
04-1A A2
|
Mortgage
backed security 1ML+45 7/39
|
**
|
81
|
|
Capital
Trust Re Cdo
Ltd CTCDO
04-1A B
|
Mortgage
backed security 1ML+75 7/39
|
**
|
24
|
|
Capital
Trust Rd Cdo
Ltd
CTCDO
04-1A C
|
Mortgage
backed security 1ML+110 7/39
|
**
|
21
|
|
CARGILL
INC
|
Corporate
Bond 6.375% 6/12 144A
|
**
|
2,095
|
|
Citigroup/Deutsche
Bank
Commercial CD
06-CD3 XP
|
Interest
Only Strip CSTR 10/48
|
**
|
431
|
|
Cendant
Timeshare
Receivables CDTIM
05-1A A1
|
Mortgage
backed security 4.67 5/17
|
**
|
106
|
|
CHASE
MANHATTAN
|
Corporate
Bond 7.875% 6/15/10
|
**
|
1,029
|
|
Chase
Mortgage Finance Corporation
CHASE
07-A2 2A1
|
Mortgage
backed security CSTR 7/37
|
**
|
54
|
|
Chile
Rep Global
|
Foreign
Bond 6.875 4/28/09 DT
|
**
|
41
|
|
Citibank
Credit Card
Issuance CCCIT
06-B2 B2
|
Mortgage
backed security 5.15% 3/11
|
**
|
1,333
|
|
Citibank
Credit Card
Issuance CCCIT
07-B2 B2
|
Mortgage
backed security 5% 4/12
|
**
|
1,647
|
|
Citibank
Credit Card
Issuance CCCIT
07-B6 B6
|
Mortgage
backed security 5% 11/12
|
**
|
1,069
|
|
Citigroup
Commercial
Mortgage CGCMT
04-C2 XP
|
Interest
Only Strip CSTR 10/41
|
**
|
80
|
|
Citigroup
Commercial
Mortgage CGCMT
05-EMG A2
|
Mortgage
backed security 4.2211 9/51
|
**
|
333
|
|
CW
Capital
Colbalt CWCI
07-C2 A1
|
Mortgage
backed security CSTR 9/11
|
**
|
289
|
|
Commercial
Mortgage
Pass-Through COMM
06-C8 A1
|
Mortgage
backed security 5.11% 12/46
|
**
|
386
|
|
Commercial
Mortgage
Pass-Through COMM
06-C8 XP
|
Interest
Only Strip CSTR 12/46
|
**
|
538
|
(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 COMM
06-CN2A BFX
|
Mortgage
backed security 5.537 2/19
|
**
|
167
|
|
Commercial
Mortgage
Pass-Through COMM
06-CN2A CFX
|
Mortgage
backed security 5.47945 2/19
|
**
|
69
|
|
Commercial
Mortgage
Pass-Through COMM
06-CN2A D
|
Mortgage
backed security 5.52861 2/19
|
**
|
107
|
|
Commercial
Mortgage
Pass-Through COMM
06-CN2A E
|
Mortgage
backed security CSTR 2/19
|
**
|
163
|
|
Commercial
Mortgage
Pass-Through COMM
06-CN2A F
|
Mortgage
backed security CSTR 2/19
|
**
|
37
|
|
Commercial
Mortgage
Pass-Through COMM
04-LB4A XP
|
Interest
Only Strip CSTR 10/37
|
**
|
132
|
|
Commercial
Mortgage Pass-Through
COMM
05-LP5 XP
|
Interest
Only Strip CSTR 5/43
|
**
|
51
|
|
Greenwich
Capital Commercial
F
GCCFC
07-GG11 XP
|
Interest
Only Strip .48% 12/49
|
**
|
583
|
|
Constelation
GN
|
Corporate
Bond 6.125% 9/01/09
|
**
|
545
|
|
Continental
Airlines
Inc CONTL
AIR 991A
|
Mortgage
backed security 6.545% 2/02/19
|
**
|
696
|
|
Countrywide
MTN
|
Corporate
Bond 4.125% 9/15/09
|
**
|
26
|
|
Covidien
Int
|
Corporate
Bond 5.15% 10/15/10
|
**
|
1,633
|
|
Covidien
Int
|
Corporate
Bond 5.45% 10/12
|
**
|
386
|
|
Credit
Suisse
|
Corporate
Bond 5% 5/15/13
|
**
|
2,035
|
|
CS
First Boston Mortgage
Security CSFB
03-C4 A3
|
Mortgage
backed security CSTR 8/36
|
**
|
496
|
|
CS
First Boston Mortgage Security
CSFB
04-C1 A3
|
Mortgage
backed security 4.321 1/37
|
**
|
452
|
|
CS
First Boston Mortgage Security
CSFB
04-C4 ASP
|
Interest
Only Strip CSTR 10/39
|
**
|
71
|
|
Credit
Suisse Mortgage
Capital CSMC
07-C3 A1
|
Mortgage
backed security CSTR 6/39
|
**
|
219
|
|
Credit
Suisse Mortgage
Capital CSMC
06-C5 ASP
|
Interest
Only Strip CSTR 12/39
|
**
|
480
|
|
Credit
Suisse Mortgage
Capital CSMC
06-C4 ASP
|
Interest
Only Strip CSTR 9/39
|
**
|
829
|
|
Credit
Suisse Mortgage
Capital CSMC
07-C1 A1
|
Mortgage
backed security 5.227 2/40
|
**
|
227
|
|
Credit
Suisse Mortgage
Capital CSMC
07-C1 ASP
|
Interest
Only Strip CSTR 2/40
|
**
|
540
|
|
Credit
Suisse Mortgage
Capital CSMC
07-C2 A1
|
Mortgage
backed security 5.237 1/49
|
**
|
185
|
|
CS
First Boston Mortgage
Security CSFB
05-C1 ASP
|
Interest
Only Strip CSTR 2/38
|
**
|
64
|
|
CS
First Boston Mortgage
Security CSFB
05-C4 ASP
|
Interest
Only Strip CSTR 8/38
|
**
|
170
|
|
CS
First Boston Mortgage
Security CSFB
05-C2 ASP
|
Interest
Only Strip CSTR 4/37
|
**
|
92
|
|
DBS
Bank Ltd
|
Corporate
Bond 5.125/VAR 5/17 144A
|
**
|
1,530
|
(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
|
DLJ
Commercial Mortgage
Corp DLJCM
00-CF1 A1B
|
Mortgage
backed security 7.62 6/33
|
**
|
813
|
|
Daimler
Chrysler
|
Corporate
Bond 5.75% 8/10/09
|
**
|
2,853
|
|
Daimler
Chrysler Auto
Trust DCAT
2006-C B
|
Mortgage
backed security 5.11% 4/13
|
**
|
682
|
|
John
Deere Capital
|
Corporate
Bond 4.875% 3/16/09
|
**
|
290
|
|
Deutsche
Telekom Int Fin
|
Corporate
Bond 5.375% 3/23/11
|
**
|
271
|
|
Diageo
Capital
|
Corporate
Bond 5.2 1/30/13
|
**
|
639
|
|
DRT
00-1A A2
|
Mortgage
backed security 6.971% 3/10
|
**
|
40
|
|
Donnelley
RR
|
Corporate
Bond 3.75% 4/1/09
|
**
|
1,907
|
|
Drive
Auto Receivables
Trust DRIVE
06-2 A-2
|
Mortgage
backed security 5.3% 7/11
|
**
|
114
|
|
Drivetime
Auto Owner
Trust DRVT
2006-A A3
|
Mortgage
backed security 5.501% 11/11
|
**
|
375
|
|
DuPont
|
Corporate
Bond 5% 1/15/13
|
**
|
289
|
|
DuPont
|
Corporate
Bond 5% 7/15/13
|
**
|
709
|
|
EDP
Finance BV
|
Corporate
Bond 5.375 11/12 144A
|
**
|
1,068
|
|
ERP
Operating LP
|
Corporate
Bond 5.5% 10/1/12
|
**
|
261
|
|
Encana
Corp
|
Corporate
Bond 4.75% 10/15/13
|
**
|
126
|
|
Enel
Finance International
|
Corporate
Bond 5.7% 1/15/13144A
|
**
|
1,420
|
|
Exelon
Generation Co LLC
|
Corporate
Bond 6.95% 6/15/11
|
**
|
1,232
|
|
Freddie
Mac
|
FHLG
15YR 5.00% 5/14 #E76434
|
**
|
14
|
|
Freddie
Mac
|
FHLG
15YR 5.00% 6/14 #E77224
|
**
|
58
|
|
Freddie
Mac
|
FHLM
ARM 4.889% 3/33 #847126
|
**
|
13
|
|
Freddie
Mac
|
FHLM
ARM 4.69% 11/35 #1B2428
|
**
|
586
|
|
Freddie
Mac
|
FHLM
ARM 4.314% 12/34 #1B2670
|
**
|
64
|
|
Freddie
Mac
|
FHLM
ARM 4.22% 2/35 #1B2747
|
**
|
469
|
|
Freddie
Mac
|
FHLM
ARM 4.63% 3/35 #1B2811
|
**
|
298
|
|
Freddie
Mac
|
FHLM
ARM 4.49% 4/35 #1B2869
|
**
|
330
|
|
Freddie
Mac
|
FHLM
ARM 4.497% 6/35 #1B2907
|
**
|
73
|
|
Freddie
Mac
|
FHLM
ARM 4.68% 1/36 #847584
|
**
|
119
|
|
Freddie
Mac
|
FHLM
ARM 5.084% 8/35 #1J0005
|
**
|
109
|
|
Freddie
Mac
|
FHLM
ARM 4.401% 2/35 #1G0103
|
**
|
238
|
|
Freddie
Mac
|
FHLM
ARM 4.37% 3/35 #1G0125
|
**
|
116
|
|
Freddie
Mac
|
FHLM
ARM 4.444% 3/35 #1G0133
|
**
|
94
|
|
Freddie
Mac
|
FHLM
ARM 4.504% 3/35 #1G0145
|
**
|
80
|
|
Freddie
Mac
|
FHLM
ARM 4.941% 11/35 #1J1228
|
**
|
303
|
|
Freddie
Mac
|
FHLM
ARM 5.26% 1/36 #1J1274
|
**
|
283
|
|
Freddie
Mac
|
FHLM
ARM 5.88% 4/36 #1J1279
|
**
|
532
|
|
Freddie
Mac
|
FHLM
ARM 4.93% 9/35 #1K1215
|
**
|
340
|
|
Freddie
Mac
|
FHLM
ARM 5.78% 10/35 #1N0063
|
**
|
91
|
|
Freddie
Mac
|
FHLM
ARM 5.62% 12/35 #1N0117
|
**
|
402
|
|
Freddie
Mac
|
FHLM
ARM 5.775% 1/37 #1N1446
|
**
|
422
|
|
Freddie
Mac
|
FHLM
ARM 5.15% 8/36 #1B7241
|
**
|
208
|
|
Freddie
Mac
|
FHLM
ARM 5.85% 1/36 #1G1803
|
**
|
721
|
|
Freddie
Mac
|
FHLM
ARM 5.34% 6/35 #1L0097
|
**
|
195
|
(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
|
Freddie
Mac
|
FHLM
ARM 4.441% 2/34 #781229
|
**
|
55
|
|
Freddie
Mac
|
FHLM
ARM 4.30% 11/34 #782877
|
**
|
267
|
|
Freddie
Mac
|
FHLM
ARM 4.232% 1/35 #782988
|
**
|
100
|
|
Freddie
Mac
|
FHLM
ARM 4.60% 2/35 #783028
|
**
|
253
|
|
Freddie
Mac
|
FHLM
ARM 4.434% 2/35 #783032
|
**
|
98
|
|
Freddie
Mac
|
FHLM
ARM 4.307% 3/35 #783067
|
**
|
53
|
|
Freddie
Mac
|
FHLM
ARM 4.42% 4/35 #783096
|
**
|
390
|
|
Freddie
Mac
|
FHLM
ARM 4.74% 4/35 #783104
|
**
|
464
|
|
Fannie
Mae
|
FNMA
DN DN 0% 3/25/09
|
**
|
8,899
|
|
Fannie
Mae
|
FNMA
DN 0% 9/25/09
|
**
|
5,876
|
|
Fannie
Mae
|
FNMA
5 10/15/11
|
**
|
19,241
|
|
Fannie
Mae
|
FNMA
15YR 7.00% 1/13 #251428
|
**
|
4
|
|
Fannie
Mae
|
FNMA
15YR 6.50% 11/13 #323755
|
**
|
179
|
|
Fannie
Mae
|
FNMA
15YR 7.00% 8/14 #323877
|
**
|
32
|
|
Fannie
Mae
|
FNMA
15YR 6.00% 3/14 #487614
|
**
|
30
|
|
Fannie
Mae
|
FNMA
15YR 6.50% 9/14 #514373
|
**
|
1
|
|
Fannie
Mae
|
FNMA
15YR 7.00% 11/14 #522277
|
**
|
21
|
|
Fannie
Mae
|
FNMA
15YR 6.50% 10/13 #535234
|
**
|
321
|
|
Fannie
Mae
|
FNMA
15YR 7.00% 6/16 #545122
|
**
|
13
|
|
Fannie
Mae
|
FNMA
ARM 4.305% 8/33 #555696
|
**
|
70
|
|
Fannie
Mae
|
FNMA
ARM 4.38% 7/33 #555702
|
**
|
287
|
|
Fannie
Mae
|
FNMA
15YR 7.00% 2/16 #569915
|
**
|
37
|
|
Fannie
Mae
|
FNMA
15YR 6.00% 10/16 #589129
|
**
|
19
|
|
Fannie
Mae
|
FNMA
15YR 7.00% 8/16 #599602
|
**
|
72
|
|
Fannie
Mae
|
FNMA
15YR 7.00% 4/17 #636135
|
**
|
149
|
|
Fannie
Mae
|
FNMA
15YR 6.50% 4/17 #637244
|
**
|
120
|
|
Fannie
Mae
|
FNMA
15YR 6.00% 11/17 #671380
|
**
|
161
|
|
Fannie
Mae
|
FNMA
15YR 6.00% 11/17 #672789
|
**
|
38
|
|
Fannie
Mae
|
FNMA
15YR 6.00% 12/17 #673965
|
**
|
46
|
|
Fannie
Mae
|
FNMA
3.625% 8/15/11
|
**
|
21,033
|
|
Fannie
Mae
|
FNMA
2.875% 12/11/13
|
**
|
195
|
|
Fannie
Mae
|
FNMA
15YR 6.00% 2/18 #684153
|
**
|
14
|
|
Fannie
Mae
|
FNMA
ARM 4.14% 4/33 #688960
|
**
|
822
|
|
Fannie
Mae
|
FNMA
15YR 7.00% 2/18 #693327
|
**
|
199
|
|
Fannie
Mae
|
FNMA
ARM 4.318% 3/33 #694530
|
**
|
25
|
|
Fannie
Mae
|
FNMA
ARM 4.801% 2/33 #695019
|
**
|
47
|
|
Fannie
Mae
|
FNMA
ARM 4.292% 3/33 #701296
|
**
|
19
|
|
Fannie
Mae
|
FNMA
ARM 3.984% 5/33 #703915
|
**
|
11
|
|
Fannie
Mae
|
FNMA
ARM 4.079% 4/33 #708221
|
**
|
7
|
|
Fannie
Mae
|
FNMA
ARM 4.57% 6/33 #712321
|
**
|
523
|
|
Fannie
Mae
|
FNMA
ARM 5.12% 1/34 #725109
|
**
|
31
|
|
Fannie
Mae
|
FNMA
ARM 4.862% 9/34 #725855
|
**
|
74
|
|
Fannie
Mae
|
FNMA
ARM 4.832% 8/34 #725858
|
**
|
34
|
|
Fannie
Mae
|
FNMA
ARM 4.409% 10/34 #725968
|
**
|
274
|
|
Fannie
Mae
|
FNMA
15YR 4.00% 8/18 #727438
|
**
|
1,034
|
|
Fannie
Mae
|
FNMA
ARM 4.115% 2/35 #735343
|
**
|
12
|
|
Fannie
Mae
|
FNMA
ARM 4.319% 5/35 #735538
|
**
|
38
|
(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
|
FNMA
ARM 4.66% 7/35 #735942
|
**
|
257
|
|
Fannie
Mae
|
FNMA
ARM 5.01% 11/35 #745124
|
**
|
248
|
|
Fannie
Mae
|
FNMA
ARM 5.45% 5/36 #745676
|
**
|
335
|
|
Fannie
Mae
|
FNMA
ARM 5.541% 11/36 #745972
|
**
|
343
|
|
Fannie
Mae
|
FNMA
ARM 3.753% 10/33 #746320
|
**
|
39
|
|
Fannie
Mae
|
FNMA
ARM 4.055% 10/18 #749296
|
**
|
24
|
|
Fannie
Mae
|
FNMA
ARM 4.358% 10/33 #754672
|
**
|
18
|
|
Fannie
Mae
|
FNMA
ARM 3.752% 10/33 #755148
|
**
|
45
|
|
Fannie
Mae
|
FNMA
ARM 4.321% 2/35 #773246
|
**
|
337
|
|
Fannie
Mae
|
FNMA
ARM 4.38% 3/35 #773264
|
**
|
186
|
|
Fannie
Mae
|
FNMA
ARM 4.455% 3/35 #773281
|
**
|
92
|
|
Fannie
Mae
|
FNMA
ARM 4.351 1/35 #783580
|
**
|
73
|
|
Fannie
Mae
|
FNMA
ARM 4.499% 3/35 #783587
|
**
|
208
|
|
Fannie
Mae
|
FNMA
ARM 4.876% 7/34 #785318
|
**
|
203
|
|
Fannie
Mae
|
FNMA
ARM 5.106% 9/34 #790762
|
**
|
57
|
|
Fannie
Mae
|
FNMA
ARM 4.82% 8/34 #793420
|
**
|
240
|
|
Fannie
Mae
|
FNMA
ARM 4.96% 8/34 #796988
|
**
|
176
|
|
Fannie
Mae
|
FNMA
ARM 4.202% 1/35 #797418
|
**
|
111
|
|
Fannie
Mae
|
FNMA
ARM 4.67% 11/34 #799727
|
**
|
166
|
|
Fannie
Mae
|
FNMA
ARM 4.85% 11/34 #799812
|
**
|
135
|
|
Fannie
Mae
|
FNMA
ARM 4.825% 12/34 #800297
|
**
|
121
|
|
Fannie
Mae
|
FNMA
ARM 4.845% 12/34 #800335
|
**
|
46
|
|
Fannie
Mae
|
FNMA
ARM 5.00% 9/34 #801341
|
**
|
681
|
|
Fannie
Mae
|
FNMA
ARM 5.05% 7/34 #801635
|
**
|
22
|
|
Fannie
Mae
|
FNMA
ARM 4.118% 1/35 #807221
|
**
|
40
|
|
Fannie
Mae
|
FNMA
ARM 4.5% 2/35 #809429
|
**
|
534
|
|
Fannie
Mae
|
FNMA
ARM 4.38% 2/35 #809593
|
**
|
385
|
|
Fannie
Mae
|
FNMA
ARM 4.625% 2/35 #809931
|
**
|
155
|
|
Fannie
Mae
|
FNMA
ARM 4.57% 2/35 #811803
|
**
|
35
|
|
Fannie
Mae
|
FNMA
ARM 4.85% 1/35 #813844
|
**
|
321
|
|
Fannie
Mae
|
FNMA
ARM 4.293% 3/35 #815586
|
**
|
29
|
|
Fannie
Mae
|
FNMA
ARM 4.75% 5/35 #815626
|
**
|
104
|
|
Fannie
Mae
|
FNMA
ARM 4.372% 4/35 #820407
|
**
|
20
|
|
Fannie
Mae
|
FNMA
ARM 4.5% 5/35 #820996
|
**
|
34
|
|
Fannie
Mae
|
FNMA
ARM 4.575% 7/35 #822002
|
**
|
109
|
|
Fannie
Mae
|
FNMA
ARM 5.12% 6/35 #823810
|
**
|
115
|
|
Fannie
Mae
|
FNMA
ARM 4.796% 8/35 #825485
|
**
|
142
|
|
Fannie
Mae
|
FNMA
ARM 4.58% 7/35 #826362
|
**
|
864
|
|
Fannie
Mae
|
FNMA
ARM 4.302% 1/35 #827592
|
**
|
55
|
|
Fannie
Mae
|
FNMA
ARM 5.10% 5/35 #827782
|
**
|
141
|
|
Fannie
Mae
|
FNMA
ARM 4.520% 8/35 #829603
|
**
|
95
|
|
Fannie
Mae
|
FNMA
ARM 5.203% 6/35 #830605
|
**
|
201
|
|
Fannie
Mae
|
FNMA
ARM 4.555% 7/35 #832099
|
**
|
169
|
|
Fannie
Mae
|
FNMA
ARM 5.344% 7/35 #834917
|
**
|
21
|
|
Fannie
Mae
|
FNMA
ARM 5.04% 7/35 #834931
|
**
|
704
|
|
Fannie
Mae
|
FNMA
ARM 5.101% 7/35 #841837
|
**
|
255
|
|
Fannie
Mae
|
FNMA
ARM 5.349% 12/34 #843013
|
**
|
61
|
|
Fannie
Mae
|
FNMA
ARM 5.280% 3/35 #843014
|
**
|
21
|
(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
|
FNMA
ARM 5.16% 9/35 #843021
|
**
|
989
|
|
Fannie
Mae
|
FNMA
ARM 4.69% 11/35 #844061
|
**
|
327
|
|
Fannie
Mae
|
FNMA
ARM 4.893% 10/35 #847787
|
**
|
116
|
|
Fannie
Mae
|
FNMA
ARM 5.32% 1/36 #850852
|
**
|
446
|
|
Fannie
Mae
|
FNMA
ARM 5.409% 2/36 #865319
|
**
|
59
|
|
Fannie
Mae
|
FNMA
ARM 5.839% 1/36 #879146
|
**
|
371
|
|
Fannie
Mae
|
FNMA
ARM 5.40% 11/35 #879153
|
**
|
270
|
|
Fannie
Mae
|
FNMA
ARM 5.80% 3/36 #881670
|
**
|
170
|
|
Fannie
Mae
|
FNMA
ARM 6.25% 6/36 #886983
|
**
|
50
|
|
Fannie
Mae
|
FNMA
ARM 4.56% 5/35 #888115
|
**
|
870
|
|
Fannie
Mae
|
FNMA
ARM 4.86% 7/35 #888382
|
**
|
597
|
|
Fannie
Mae
|
FNMA
ARM 5.07% 9/36 #888398
|
**
|
1,260
|
|
Fannie
Mae
|
FNMA
15YR 4.50% 12/18 #888889
|
**
|
1,955
|
|
Fannie
Mae
|
FNMA
ARM 4.36% 10/37 #889704
|
**
|
319
|
|
Fannie
Mae
|
FNMA
ARM 5.08% 9/36 #889945
|
**
|
66
|
|
Fannie
Mae
|
FNMA
ARM 4.21% 5/35 #889946
|
**
|
526
|
|
Fannie
Mae
|
FNMA
ARM 5.57% 5/36 #891228
|
**
|
737
|
|
Fannie
Mae
|
FNMA
ARM 5.50% 5/36 #896475
|
**
|
298
|
|
Fannie
Mae
|
FNMA
ARM 4.90% 2/36 #995015
|
**
|
4,885
|
|
Fannie
Mae
|
FNMA
ARM 4.59% 7/35 #995016
|
**
|
388
|
|
Fannie
Mae
|
FNMA
ARM 4.30% 2/35 #995017
|
**
|
636
|
|
Fannie
Mae
|
FNMA
ARM 4.987% #995269
|
**
|
3,462
|
|
Fannie
Mae
|
FNMA
ARM 4.785% 2/36 #995271
|
**
|
846
|
|
Fannie
Mae
|
FNMA
ARM 4.898% 5/35 #995272
|
**
|
63
|
|
Fannie
Mae
|
FNMA
ARM 4.58% 7/35 #995273
|
**
|
209
|
|
Fannie
Mae
|
FNMA
ARM 4.765% 1/34 #995274
|
**
|
15
|
|
Fidelity
|
FID
INST CASH PORT: MM FUND CLASS I SHS F/N/A
|
**
|
24,041
|
|
First
Investors Auto Owner
Trust FIAOT
06A A3
|
Mortgage
backed security 4.93 2/15/11
|
**
|
96
|
|
Fleetboston
Fin
|
Corporate
Bond 7.375% 12/1/09
|
**
|
887
|
|
Ford
Credit Auto Owner
Trust FORDO
2006-B B
|
Mortgage
backed security 5.43% 2/12
|
**
|
548
|
|
Ford
Credit Auto Owner
Trust FORDO
2006-C B
|
Mortgage
backed security 5.3% 6/12
|
**
|
255
|
|
Ford
Credit Auto Owner
Trust FORDO
07-A B
|
Mortgage
backed security 5.6% 10/12
|
**
|
148
|
|
Franklin
Auto
Trust FRNK
06-1 A4
|
Mortgage
backed security 5.03% 7/14
|
**
|
1,959
|
|
Franklin
Auto
Trust FRNK
06-1 B1
|
Mortgage
backed security 5.14% 7/14
|
**
|
110
|
|
Franklin
Auto
Trust FRNK
07-1 B
|
Mortgage
backed security 5.13 2/15
|
**
|
376
|
|
Fremont
Home Loan
Trust FHLT
04-A M1
|
Mortgage
backed security 1ML+55 1/34
|
**
|
200
|
|
Fremont
Home Loan
Trust FHLT
04-1 M1
|
Mortgage
backed security 1ML+45 2/34
|
**
|
17
|
|
Fremont
Home Loan
Trust FHLT
04-1 M2
|
Mortgage
backed security 1ML+50 2/34
|
**
|
71
|