Eastman Investment and Stock Ownership Plan
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D. C. 20549

FORM 11-K


(Mark
One)
  
[X]
ANNUAL REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 [NO FEE REQUIRED]
 
For the fiscal year ended December 30, 2004
 
OR
[ ]
TRANSITION REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 [NO FEE REQUIRED]
 
For the transition period from ______________ to ______________

Commission file number 1-12626
 
A. Full Title of the plan the address of the plan, if different from that of the issuer named below:
EASTMAN INVESTMENT AND EMPLOYEE STOCK OWNERSHIP PLAN
 
B. Name of issuer of the securities held pursuant to the plan and the address of its principal executive office:
EASTMAN CHEMICAL COMPANY
100 N. Eastman Road
Kingsport, Tennessee 37660
 







 


Eastman Investment and Employee Stock Ownership Plan

Table of Contents

Report of Independent Registered Public Accounting Firm
3
   
Basic Financial Statements:
  
   
Statements of Net Assets Available for Benefits
4
Statements of Changes in Net Assets Available for Benefits
5
Notes to Financial Statements
6 - 16
   
Additional Information (Note A):
17
   
Schedule of Assets (Held at End of Year)
  
   
Signatures
33
   
Exhibits
34-35

Note A:
Other supplemental schedules required by Section 2520.10310 of the Department of Labor’s Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974 (“ERISA”) have been omitted because they are not applicable.


2

Report of Independent Registered Public Accounting Firm

To the Participants and Administrator of
Eastman Investment and Employee Stock Ownership Plan

In our opinion, the accompanying statements of net assets available for benefits and the related statements of changes in net assets available for benefits present fairly, in all material respects, the net assets available for benefits of Eastman Investment and Employee Stock Ownership Plan (the “Plan”) at December 30, 2004 and 2003, and the changes in net assets available for benefits for the years then ended in conformity with accounting principles generally accepted in the United States of America. These financial statements are the responsibility of the Plan’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits provide a reasonable basis for our opinion.

Our audits were conducted for the purpose of forming an opinion on the basic financial statements taken as a whole. The supplemental schedule of Assets (Held at End of Year) is presented for the purpose of additional analysis and is not a required part of the basic financial statements but is supplementary information required by the Department of Labor's Rules and Regulations for Reporting and Disclosure under the Employee Retirement Income Security Act of 1974. This supplemental schedule is the responsibility of the Plan's management. The supplemental schedule has been subjected to the auditing procedures applied in the audits of the basic financial statements and, in our opinion, is fairly stated in all material respects in relation to the basic financial statements taken as a whole.


PricewaterhouseCoopers, LLP

Philadelphia, Pennsylvania
July 11, 2005




3








Eastman Investment and Employee Stock Ownership Plan
Statements of Net Assets Available for Benefits
December 30, 2004 and 2003
(in thousands)

                         
                         
       
2004
          
2003
    
       
Non-
          
Non-
    
   
Participant
  
participant
      
Participant
  
participant
    
   
Directed
  
Directed
  
Total
  
Directed
  
Directed
  
Total
                         
Assets
                        
                         
                         
Investments at fair value
$
648,995
$
128,394
$
777,389
$
581,835
$
102,796
$
684,631
                         
Investments at contract value
  
614,657
  
--
  
614,657
  
555,025
  
--
  
555,025
                         
Receivables:
                        
                         
Employer contributions
  
29,682
  
4,381
  
34,063
  
28,226
  
5,927
  
34,153
                         
Other
  
1,052
  
1,280
  
2,332
  
2,506
  
1,375
  
3,881
                         
Total assets
  
1,294,386
  
134,055
  
1,428,441
  
1,167,592
  
110,098
  
1,277,690
                         
                         
Liabilities
                        
                         
                         
Accrued expenses
  
12
  
16
  
28
  
15
  
15
  
30
                         
Other liabilities
  
384
  
1,054
  
1,438
  
1,177
  
2,561
  
3,738
                         
Total liabilities
  
396
  
1,070
  
1,466
  
1,192
  
2,576
  
3,768
                         
                         
Net assets available
                        
for plan benefits
$
1,293,990
$
132,985
$
1,426,975
$
1,166,400
$
107,522
$
1,273,922


The accompanying notes are an integral part of these financial statements.

4

                                                                                                             Eastman Investment and Employee Stock Ownership Plan
Statements of Changes in Net Assets Available for Benefits
For the Years Ended December 30, 2004 and 2003
(in thousands)

       
2004
          
2003
    
       
Non-
          
Non-
    
   
Participant
  
participant
      
Participant
  
participant
    
   
Directed
  
Directed
  
Total
  
Directed
  
Directed
  
Total
                         
Additions to net assets:
                        
                         
Investment income (loss)
                        
Interest
$
26,537
$
--
$
26,537
$
27,505
$
--
$
27,505
Dividends
  
13,702
  
4,395
  
18,097
  
8,989
  
4,999
  
13,988
Net appreciation in fair value of
                        
investments
  
72,949
  
43,555
  
116,504
  
99,587
  
6,226
  
105,813
Net investment gain
 
113,188
  
47,950
  
161,138
  
136,081
  
11,225
  
147,306
Participant contributions
  
98,937
  
--
  
98,937
  
79,662
  
--
  
79,662
Plan Sponsor contributions
  
29,552
  
4,381
  
33,933
  
28,360
  
5,927
  
34,287
Interfund transfers
  
20,051
  
(20,051)
  
--
  
14,536
  
(14,536)
  
--
Total additions
  
261,728
  
32,280
  
294,008
  
258,639
  
2,616
  
261,255
                         
Deductions from net assets:
                        
                         
Distributions to and withdrawals
                        
by participants
  
133,815
  
6,971
  
140,786
  
60,630
  
2,977
  
63,607
Loan transfers, net
  
154
  
(154)
  
-
  
9
  
(9)
  
--
Administrative expenses
  
169
  
--
  
169
  
144
  
--
  
144
                         
Total deductions
  
134,138
  
6,817
  
140,955
  
60,783
  
2,968
  
63,751
                         
Net increase (decrease) in net assets
  
127,590
  
25,463
  
153,053
  
197,856
  
(352)
  
197,504
Net assets available for plan
                        
benefits at beginning of year
  
1,166,400
  
107,522
  
1,273,922
  
968,544
  
107,874
  
1,076,418
Net assets available for plan
                        
benefits at end of year
$
1,293,990
$
132,985
$
1,426,975
$
1,166,400
$
107,522
$
1,273,922

The accompanying notes are an integral part of these financial statements.

5

                                                                                                         Eastman Investment and Employee Stock Ownership Plan
Notes to Financial Statements

1.  
DESCRIPTION OF PLAN

The Eastman Investment and Employee Stock Ownership Plan (the “Plan”) is a defined contribution plan of a controlled group of corporations consisting of Eastman Chemical Company and certain of its wholly-owned subsidiaries operating in the United States (“Eastman”, the “Company” or the "Plan Sponsor”). The Plan is organized pursuant to Sections 401(a) and (k) and Section 4975(e) (7) of the Internal Revenue Code. All United States employees of Eastman, with the exception of certain limited service and special program employees, and employees covered by a collective bargaining agreement with the Company, unless the collective bargaining agreement or the Plan specifically provides for participation, are eligible to participate in the Plan on their first day of employment with Eastman. The Plan was adopted by Eastman, the Plan Sponsor, on January 1, 1994 and is subject to the Employee Retirement Income Security Act of 1974 (“ERISA”). The Plan is administered by the Investment Plan Committee (“IPCO”), which is the Plan Administrator and is comprised of Eastman employees. The Plan has trusts which are administered by the Fidelity Management Trust Company (the “Trustee”). The trusts include the Eastman Chemical Trust and the ESOP Trust. Since the inception of the Plan, money in the forfeiture account has been used both to offset future company contributions and for various administrative expenses of the Plan.The balance of the forfeiture account at December 30, 2004 was immaterial.

For additional information regarding the Plan, see the complete Plan documents.

Contributions and vesting

Contributions to the Plan are made through two separate provisions: (a) deferral of qualifying compensation including the Eastman Performance Plan payout, and (b) contributions by the Plan Sponsor of cash or its common stock to the ESOP Fund as determined by the Compensation and Management Development Committee of the Board of Directors of Eastman.


6


Eastman Investment and Employee Stock Ownership Plan
Notes to Financial Statements

The Plan includes a salary reduction provision allowing eligible employees to defer up to 40% of qualifying compensation, as defined in the Plan, for 2004 and 2003. For the catch-up salary deferral, an eligible employee who has attained age 50 before the close of the calendar year was allowed to defer up to 25% of qualifying compensation, as defined in the Plan, for 2004 and 2003 up to certain Internal Revenue Code limitations. In addition, participants may elect to defer a portion of their annual Eastman Performance Plan payout as a contribution to the Plan. The Eastman Performance Plan provides a lump-sum payment to participants based on the Company’s financial performance and is approved annually by the Company’s Board of Directors. For 2004, the maximum deferral for a Plan year is limited to 40% of the aggregate of Eastman Performance Plan payments and qualifying compensation, subject to certain Internal Revenue Code limitations. The final plan year for the Eastman Performance Plan ended on December 31, 2003. The final deferral from the Eastman Performance Plan occurred on March 12, 2004. Plan Sponsor contributions are also subject to certain other limitations. Participants’ salary deferrals are contributed to the Plan by Eastman on behalf of the participants. The Plan’s Trustee invests amounts contributed to the Plan, as designated by the participant, in common stock of Eastman, various growth and income mutual funds, and/or interest in a guaranteed investment contract fund (see Note 5). Generally, participants may transfer amounts among the funds on any business day. Additionally, participants may, if certain conditions are met, diversify amounts from their ESOP Fund account within the Plan (see Note 8). Each participant is at all times 100% vested in their account, with the exception of amounts transferred from other plans, which continue to be subject to the former plans’ vesting requirements. The Plan allows for the Retirement Savings Contribution (“RSC”), to be contributed either to the ESOP Fund for employees’ first five RSC contributions or into other Plan funds, as directed by the participant, for participants with more than five RSC contributions. For participants with more than five RSC contributions, the RSC is allocated to participant-directed funds in accordance with each participant’s investment elections at such time as the RSC is made.

Plan Sponsor contributions may be paid at any time during the plan year and subsequent to such plan year through the due date for filing the Company's federal income tax return, including any extensions. Contributions may be paid to the ESOP Fund in cash or shares of Eastman common stock and are deposited in the Company contribution account. Allocations to the participants' accounts from the Company contribution account will be made each plan year to participants who are eligible employees on the date designated by the Company. Participants are not permitted to make contributions to the ESOP Fund and are 100% vested in their account balance at all times.

Employees may elect to transfer, into any of the Plan's fund options, balances received from (1) lump sum payouts from the Eastman Retirement Assistance Plan, a qualified defined benefit plan also sponsored by Eastman Chemical Company, (2) a former employer’s 401(a) and 401(k) plan, or (3) an employee’s individual retirement account containing amounts received from a qualified defined contribution plan under Section 401(a) and 401(k) of the Internal Revenue Code. All rollover contributions into the Plan must meet the applicable Internal Revenue Service requirements.


7


Eastman Investment and Employee Stock Ownership Plan
Notes to Financial Statements

Loans

IPCO may grant a loan of at least $1,000 to a participant provided that the aggregate of the participants’ loans outstanding does not exceed the lesser of (i) $50,000 reduced by the excess, if any, of (a) the participant’s highest outstanding loan balance from the preceding 12 months over (b) the outstanding total loan balance of loans from the Plan on the date on which the loan was made, or (ii) 50% of the non-forfeitable portion of the participant’s account, excluding amounts in a participant’s ESOP Fund account. In accordance with the Plan provisions, the rate of interest on new participant loans approximates current market rates. The term of any loan is determined by IPCO and shall not exceed five years. Loans transferred to the Plan from the Hercules Incorporated Savings and Investment Plan, the ABCO Industries, Inc. 401(k) Profit Sharing Plan, and the Eastman Resins, Inc. Employees’ Growth Sharing Plan carry terms applicable under those Plans. At December 30, 2004, $26.8 million in loans were outstanding for terms of 3 to 123 months and interest rates ranging from 5% to 10.50%. At December 30, 2003, $23.9 million in loans were outstanding for terms from 4 to 179 months and interest rates ranging from 4.75% to 10.50%.

Distributions

Distributions from the Plan require the approval of IPCO or its designee and are made under the following circumstances:

·  
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.


8


Eastman Investment and Employee Stock Ownership Plan
Notes to Financial Statements


·  
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.

Dividends attributable to the ESOP Fund

IPCO may direct that Eastman common stock dividends attributable to the non-participant directed ESOP Fund be (a) allocated to the accounts of participants, (b) paid in cash to the participants on a nondiscriminatory basis, or (c) paid by the Company directly to participants. Alternatively, dividends received from Eastman common stock maintained in the Loan Suspense Account may be applied to reduce the related loan balance.

Investment of ESOP Fund Assets

ESOP Fund assets are invested primarily in Eastman common stock. However, at IPCO's discretion, funds may also be invested in other securities or held in cash.

Investment assets can be acquired by the ESOP Fund in three ways:

·  
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.

Allocations to participants' ESOP Fund accounts

Separate participant accounts are established to reflect each participant's interest in the ESOP Fund and are maintained under the unit value method of accounting. The ESOP Fund account maintained for each participant consists of:

·  
Plan Sponsor contributions made or invested in shares of Eastman common stock.
 

9
 
Eastman Investment and Employee Stock Ownership Plan
Notes to Financial Statements

 
·  
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).
 
The number of units allocated to a participant's account in any year is based on the ratio of the participant's compensation to the total compensation of all eligible employees entitled to share in the allocation for that plan year. In any year in which a Company contribution is made, a participant's allocation will not be less than one share of stock.
 
Federal law limits the total annual contributions that may be made on a participant's behalf to all defined contribution and defined benefit plans offered by the Company. Participants will be notified if their total annual contribution is limited by this legal maximum.
 
Actions taken in connection with the completion of certain corporate transactions
 
On or about August 1, 2004, the Company completed the sale of certain businesses and product lines in its coatings, adhesives, specialty polymers and inks (CAPSI) segment, including ABCO Industries, Inc. (ABCO) and Eastman Resins, Inc. (Resins) to Apollo Management, L.P. (Apollo), a private investment firm. In connection with this sale, on August 1, 2004, the Company fully vested each participant employed by (i) ABCO in his ABCO Employer Contribution Account, and (ii) Resins in his Resins Profit Sharing Account. The ABCO Employer Contribution Account and the Resins Profit Sharing Accounts held assets transferred to the Plan in connection with prior plan mergers. In February 2005, the Company made a contribution to the account of each participant, whose employment was terminated in connection with the sale of certain portions of the CAPSI segment to Apollo, equal to 5% of the compensation paid to each participant for the period January 1, 2004 through July 31, 2004.
 
2.  
SUMMARY OF ACCOUNTING POLICIES

The following accounting policies, which conform to accounting principles generally accepted in the United States of America, have been used consistently in the preparation of the Plan’s financial statements.

Basis of accounting

The Plan’s financial statements are prepared on the accrual basis of accounting.
 
 
10



Eastman Investment and Employee Stock Ownership Plan
Notes to Financial Statements


Use of estimates

The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and changes therein, and disclosures of contingent assets and liabilities. Actual results could differ from those estimates.

Investment policy and valuation

The Trustee may keep any portion of participant and Plan Sponsor contributions temporarily in cash or liquid investments as it may deem advisable. All dividends, interest or gains derived from investment in each fund are reinvested in the respective fund by the Trustee.

The Trustee has determined the market values of each fund as of December 30, 2004 and 2003. Such market values equal the aggregate of the closing prices of the securities held in each fund on December 30, 2004 and 2003 as reported by national exchanges, if available, or otherwise in good faith by the Trustee, plus cash, interest, dividends and such other sums received and accrued but not yet invested. The Managed Income Fund is reported at contract value as determined by the contract issuers. The Managed Income Fund is comprised of synthetic guaranteed investment contracts that include interests in commingled trusts or individual fixed income securities that are held in trust for the Plan. The Plan then enters into a benefit responsive wrapper contract with a third party such as a financial institution or an insurance company which guarantees the Plan a specific value and rate of return. The underlying securities are valued at quoted market prices. The wrapper contracts are valued as the difference between the contract value and the value of the underlying securities.

The Plan presents in the statement of changes in net assets available for benefits the net appreciation (depreciation) in the fair value of its investments which consists of the realized gains or losses and the unrealized appreciation (depreciation) on those investments.

Purchases and sales of investments are recorded on a trade-date basis. Interest income is accrued when earned. Dividend income is recorded at the ex-dividend date.

Risks and Uncertainties

Investment securities are exposed to various risks, such as interest rate risk, market risk, and credit risk. Due to the level of risk associated with certain investment securities, it is at least reasonably possible that changes in the values of investment securities will occur in the near term and that such changes could materially affect participant account balances and the amounts reported in the financial statements.

Payments to participants

Benefits are recorded when paid.
 

 
11
 

Eastman Investment and Employee Stock Ownership Plan
Notes to Financial Statements
 
Reclassifications

The Company has reclassified certain 2003 amounts to conform to the 2004 presentation.


3.  
CONTRIBUTIONS

Participant contributions represent qualifying compensation and other qualifying employee bonuses withheld from participating employees by Eastman and contributed to the Plan. Such contributions are invested in the Plan’s funds as directed by the participants, with the exception of the ESOP Fund, subject to ERISA funding limitations. The Plan has accrued contributions for participant-directed funds of $29.7 million and $28.2 million, and for the non-participant-directed ESOP Fund of $4.4 million and $5.9 million at December 30, 2004 and 2003, respectively.

4.  
LOANS TO PARTICIPANTS

The Plan Trustee makes loans to participants in accordance with Plan provisions. Loans made are accounted for as a transfer from the fund directed by the participant to the Loan Fund. The principal portion of loan repayments reduces the Loan Fund receivable. The principal and interest repaid are directed to funds to which the participant’s current contributions are directed; the principal is accounted for as a transfer and the interest accounted for as income in the fund to which the participant’s current contributions are directed. The Loan Fund’s net assets and
changes in net assets are included in the participant-directed funds in the Statements of Net Assets and Changes in Net Assets Available for Benefits, respectively.

Unless otherwise specified by the participant, loan proceeds will be withdrawn from the investment funds on a pro-rata basis. Outstanding loans at December 30, 2004 and 2003 were approximately $26.8 million and $23.9 million, respectively. Interest income earned on loans to participants in 2004 and 2003 was approximately $1.4 million for each year and is credited directly to the participants’ accounts.

5.  
INVESTMENTS

At December 30, 2004 and 2003, the Plan's assets were invested in investment contract funds (see Note 6), mutual funds, and in Eastman Chemical Company common stock. Subject to certain limitations, participants are provided the option of directing their contributions among these investment options. The Plan also holds an interest in the non-participant directed Eastman ESOP Fund, which invests in Eastman Chemical Company common stock and short-term interest funds. The Trustee manages investments in all funds. The following investment options, which invest primarily in common stock of the Plan sponsor, were available to participants in both 2004 and 2003:


12


Eastman Investment and Employee Stock Ownership Plan
Notes to Financial Statements

Eastman Stock Fund

This 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 and as elected by Plan participants. During 2004, the Trustee purchased 1,143,200 shares of Eastman stock for the fund at an average price of $45.22 per share, and sold 1,698,901 shares of Eastman stock for the fund at an average price of $45.55 per share. During 2003, the Trustee purchased 1,321,600 shares of Eastman stock for the fund at an average price of $32.61 per share and sold 1,540,077 shares at an average price of $34.24 per share. Dividends paid from the Eastman Stock Fund totaled $2.8 million and $4.1 million in 2004 and 2003, respectively.


Eastman ESOP Fund
 
This non-participant directed fund consists primarily of Eastman Class A common stock. Purchases and sales of Eastman stock are generally made on the open market, on behalf of its participants and as directed by the Plan’s guidelines. During 2004, the Trustee purchased 117,000 shares of Eastman stock for the fund at an average price of $42.94 per share, and sold 477,800 shares of Eastman stock for the fund at an average price of $45.43 per share. During 2003, the Trustee purchased 166,200 shares of Eastman stock for the fund at an average price of $32.00 per share, and sold 358,647 shares at an average price of $34.12 per share.


At December 30, 2004 and 2003, the following investments represented 5% or greater of ending net assets, (in thousands):

     
2004
     
Shares
  
Fair value
           
Eastman Chemical Company Common Stock
    
15,386
$
209,454
Fidelity Magellan® Fund
    
927
  
96,356
Fidelity Contrafund
    
1,672
  
94,996
           
           
     
2003
     
Shares
  
Fair value
           
Eastman Chemical Company Common Stock
    
19,250
$
178,668
Fidelity Magellan® Fund
    
1,066
  
104,006
Fidelity Contrafund
    
1,628
  
80,328



13


Eastman Investment and Employee Stock Ownership Plan
Notes to Financial Statements


During 2004 and 2003, the Plan’s investments (including investments bought, sold and held during the year) appreciated (depreciated) in value by $116.5 million and $105.8 million, respectively, as follows (in thousands):

   
Net Appreciation
   
(Depreciation)
   
2004
  
2003
         
ESOP Fund
$
43,579
$
6,226
Eastman Stock Fund
  
30,349
  
6,803
Hercules Stock Fund
  
--
  
181
Fidelity Fund
  
2,914
  
9,819
Fidelity Puritan® Fund
  
1,208
  
5,870
Fidelity Magellan® Fund
  
6,021
  
20,453
Fidelity Contrafund
  
11,951
  
17,468
Fidelity Spartan® U.S. Equity Index Portfolio
  
3,081
  
7,046
Fidelity International Growth and Income Fund
  
2,837
  
3,825
PIMCO Total Return Fund
  
(125)
  
(47)
Franklin Small Cap Growth Fund
  
3,493
  
9,729
Templeton Foreign Fund
  
972
  
1,127
Neuberger & Berman Genesis Trust Fund
  
4,907
  
6,508
Fidelity Blue Chip Growth Fund
  
968
  
3,810
Fidelity Freedom Income Fund
  
18
  
47
Fidelity Freedom 2000 Fund
  
45
  
129
Fidelity Freedom 2010 Fund
  
313
  
683
Fidelity Freedom 2020 Fund
  
628
  
1,396
Fidelity Freedom 2030 Fund
  
421
  
941
Fidelity Freedom 2040 Fund
  
151
  
295
Fidelity Spartan® Extended Market Index Fund
  
1,147
  
1,750
Fidelity Spartan® International Index Fund
  
520
  
569
WFA Small Cap Val Z
  
171
  
--
Clipper Fund
  
247
  
250
Strong Advisor Small Cap Value Fund
  
--
  
687
TCW Galileo Select Equities Fund
  
356
  
222
Self Directed Brokerage Account
  
150
  
28
Other Funds
  
182
  
(2)
Total
$
116,504
$
105,813



14


 
Eastman Investment and Employee Stock Ownership Plan
Notes to Financial Statements

6.  
INSURANCE CONTRACTS

The Plan holds an interest in the Managed Income Fund, which invests in guaranteed investment contracts (“GICs), which are contracts between an insurance company and the fund that provide for guaranteed returns on principal amounts invested over various periods of time. This participant-directed fund also invests in synthetic GICs. The term “synthetic” investment contract is used to describe a variety of investment contracts under which a Plan retains ownership of the invested assets, or owns units of an account or trust which holds the invested assets. A “synthetic” investment contract, also referred to as a “wrap” contract, is negotiated with an independent financial institution. Under the terms of these investment contracts, the contract issuer ensures the Plan’s ability to pay eligible employee benefits at book value. The investment performance of a synthetic investment contract may be a function of the investment performance of the invested assets.

To meet daily liquidity needs, the Managed Income Fund invests in short-term interest funds similar to money markets. The average yield for the Managed Income Fund was 4.22% and 5.02% for 2004 and 2003, respectively. The weighted average crediting interest rate for the fund was 4.02% and 4.56% at December 30, 2004 and 2003, respectively. In accordance with ERISA regulations, investment contracts held by the fund are reported at values determined by the contract issuer in accordance with the terms of the contracts themselves. The fair value in accordance with Statement of Financial Accounting Standards No. 107 of investments contracts and short-term interest investments held by the fund was $622.1 million and $573.9 million at December 30, 2004 and 2003, respectively. Crediting interest rate resets occur quarterly and/or annually under the provisions of each individual contract in the fund. There are no minimum crediting interest rates for any of the investment contracts in the fund at December 30, 2004 and 2003.

The value of the Managed Income Fund reflected in these financial statements is based upon the principal invested and the interest credited. The fair value of the Managed Income Fund, by investment type, as of December 30, 2004 and 2003 was as follows:

(in thousands)
  
December 30,
2004
  
December 30,
2003
         
Security backed investments:
        
Underlying assets at fair value
$
622,097
$
573,949
Wrapper contracts
  
(7,440)
  
(18,924)
Total contract value
$
614,657
$
555,025

7.  
OTHER RECEIVABLES

Other receivables in the amount of $2.3 million and $3.9 million at December 30, 2004 and 2003, respectively represent interest and dividends receivable, as well as receivables from the sale of stock.



15


Eastman Investment and Employee Stock Ownership Plan
Notes to Financial Statements

8.  
DIVERSIFICATION FROM ESOP FUND

Active or retired employees of the Company are eligible to diversify funds held in their ESOP Fund account. Effective July 2003, a participant may direct that all or any portion of his ESOP Fund account be transferred to other funds in the Plan without restrictions. This diversification is elected by employee notification to the IPCO who then transfers a portion of their account within the Plan for investment as directed by the participant. During 2004 and 2003, $15.7 million and $9.5 million, respectively, were transferred from the ESOP Fund within the Plan in connection with this program.

9.  
PLAN TERMINATION

Although it has not expressed any intent to do so, the Company has the right under the Plan to discontinue its contributions at any time and to terminate the Plan subject to the provisions of ERISA. In the event of termination, participant accounts will be distributed to individual participants in accordance with the Plan document and ERISA provisions.

10.  
FEDERAL INCOME TAX STATUS

The Plan obtained its latest determination letter in May 2003, in which the Internal Revenue Service stated that the Plan is in compliance with the applicable requirements of the Internal Revenue Code. The Plan Administrator believes the Plan qualifies and operates in compliance with the applicable requirements of the Internal Revenue Code. Therefore, no provision for income taxes has been included in the Plan’s financial statements.

11.  
PLAN EXPENSES

Reasonable expenses of administering the Plan, unless paid by the Company, shall be paid by the Plan. For both 2004 and 2003, trustee fees associated with the Eastman Stock Fund and the Eastman ESOP Fund were paid with assets of those individual funds. Brokerage fees, transfer taxes, investment fees and other expenses incident to the purchase and sale of securities and investments shall be included in the cost of such securities or investments or deducted from the sales proceeds, as the case may be. Loan administration fees are deducted quarterly from the accounts of participants with outstanding loan balances. Loan origination fees are deducted from the participants account at the inception of the loan. For 2004 and 2003, the Company paid all other expenses of the Plan related to plan oversight and administration, including auditing fees.

12.  
RELATED PARTIES

Certain plan investments are shares of mutual funds managed by Fidelity Management Trust Company, (“FMTC”). FMTC is the trustee as defined by the Plan and, therefore, these transactions qualify as party-in-interest transactions, which are exempt from prohibited transaction rules. The Plan also invests in the common stock of the Plan Sponsor as well as loans to Plan participants, both of which qualify as parties-in-interest to the Plan and are exempt from prohibited transaction rules.



16


Eastman Investment and Employee Stock Ownership Plan
Schedule H, Line 4 (i) - Schedule of Assets (Held at End of Year)
December 30, 2004
(in thousands)

         
(a)
(b)
Identity of issue, borrower, lessor, or similar party
(c)
Description of investment, including maturity date, rate of interest, collateral, par or maturity value
(d)
Historical cost
(e)
Current value
*
Eastman Chemical Company
Common stock, Participant directed
**
81,060
*
Eastman Chemical Company
Common stock, Non Participant directed
115,034
128,394
*
Fidelity Fund
Registered Investment Company
**
45,313
*
Fidelity Puritan Fund
Registered Investment Company
**
44,821
*
Fidelity Magellan Fund
Registered Investment Company
**
96,355
*
Fidelity Contrafund
Registered Investment Company
**
94,996
*
Fidelity Spartan U.S. Equity Index Portfolio
Registered Investment Company
**
37,271
*
Fidelity International Discovery Fund
Registered Investment Company
**
20,238
*
PIMCO Total Return Fund
Registered Investment Company
**
20,577
*
Franklin Small Cap Growth
Registered Investment Company
**
31,422
*
Templeton Foreign Fund
Registered Investment Company
**
7,516
*
Neuberger and Berman Genesis Trust Fund
Registered Investment Company
**
45,948
*
Fidelity Blue Chip Growth Fund
Registered Investment Company
**
18,208
*
Fidelity Freedom Income Fund
Registered Investment Company
**
1,142
*
Fidelity Freedom 2000 Fund
Registered Investment Company
**
1,524
*
Fidelity Freedom 2010 Fund
Registered Investment Company
**
7,063
*
Fidelity Freedom 2020 Fund
Registered Investment Company
**
8,969
*
Fidelity Freedom 2030 Fund
Registered Investment Company
**
5,125
*
Fidelity Freedom 2040 Fund
Registered Investment Company
**
1,772
*
Fidelity Spartan Extended Market Index Portfolio
Registered Investment Company
**
8,984
*
Fidelity Spartan International Index Fund
Registered Investment Company
**
4,161
*
Participant Loans
Participant Loan Fund with terms ranging from 3-123 months and rates ranging from 4.75% to 10.5%
**
26,807
*
Fidelity Retirement Money Market
Registered Investment Company
**
3
*
Clipper Fund
Registered Investment Company
**
11,392
*
TCW Galileo Select Equities Fund
Registered Investment Company
**
4,802
*
WFA Small Cap Val Z
Registered Investment Company
**
21,330
         
*
Managed Income Fund, consisting of the following:
  
**
  
 
Fidelity short term cash fund
CASH
  
14,947
 
AXA Financial Inc
Corporate bond 7.75% 8/01/10
 
1,119
 
Accredited Mortgage Loan Trust ACCR 03-2 A1
Mortgage backed security 4.23% 10/33
 
753
 
Accredited Mortgage Loan Trust ACCR 03-3 A1
Mortgage backed security 4.46% 12/33
 
738
 
Accredited Mortgage Loan Trust ACCR 04-2 A2
Mortgage backed security 1ML+30 7/34
 
1,053
 
Accredited Mortgage Loan Trust ACCR 04-4 A2D
Mortgage backed security 1ML+35 1/35
 
501
 
Accredited Mortgage Loan Trust ACCR 04-4 M2
Mortgage backed security 1ML+105 1/35
 
175
 
Accredited Mortgage Loan Trust ACCR 04-4 M3
Mortgage backed security 1ML+125 1/35
 
75
 
ACE Securities Corp ACE 02-HE2 M1
Mortgage backed security 1ML+85 8/32
 
151
 
ACE Securities Corp ACE 03-HS1 M1
Mortgage backed security 1ML+75 6/33
 
75
 
ACE Securities Corp ACE 03-HS1 M2
Mortgage backed security 1ML+175 6/33
 
102
         
(a)
(b)
Identity of issue, borrower, lessor, or similar party
(c)
Description of investment, including maturity date, rate of interest, collateral, par or maturity value
(d)
Historical cost
(e)
Current value
 
ACE Securities Corp ACE 03-NC1 M1
Mortgage backed security 1ML+78 7/33 M
  
172
 
ACE Securities Corp ACE 03-HE1 M1
Mortgage backed security 1ML+65 11/33
 
201
 
ACE Securities Corp ACE 03-HE1 M2
Mortgage backed security 1ML+170 11/33
 
128
 
ACE Securities Corp ACE 04-FM1 M1
Mortgage backed security 1ML+60 9/33
  
165
 
ACE Securities Corp ACE 04-OP1 M1
Mortgage backed security 1ML+52 4/34
 
446
 
ACE Securities Corp ACE 04-OP1 M2
Mortgage backed security 1ML+105 4/34
 
632
 
ACE Securities Corp ACE 02-HE1 M1
Mortgage backed security 1ML+65 6/32
 
236
 
Adjustable Rate Mortgage Trust ARMT 04-1 9A2
Mortgage backed security 1ML+40 1/34
 
757
 
Adjustable Rate Mortgage Trust ARMT 04-4 5A2
Mortgage backed security 1ML+40 3/35
 
582
 
Vodafone Americas Asia Inc
Corporate bond 6.65% 5/01/08
 
220
 
Alabama Power Co
Corporate bond 3.5% 11/15/07
 
565
 
Alliance Capital Management LP
Corporate bond 5.625% 8/15/06
 
2,795
 
American General Finance Corp
Corporate bond 2.75% 6/15/08
 
505
 
American General Finance Corp
Corporate bond 4.625% 5/15/09
 
1,155
 
American General Finance Corp
Corporate bond 3.875% 10/1/09
 
853
 
American Honda Finance Corp
Corporate bond 4.5% 5/26/09 144A
 
1,519
 
AmeriCredit Automobile Receivables Trust AMCAR 01-B A4
Asset backed security 5.37% 6/08
 
70
 
AmeriCredit Automobile Receivables Trust AMCAR 02-EM A4A
Asset backed security 3.32% 6/09
 
403
 
AmeriCredit Automobile Receivables Trust AMCAR 03-CF A4
Asset backed security 3.48% 5/10
 
852
 
AmeriCredit Automobile Receivables Trust AMCAR 04-BM A3
Asset backed security 2.07% 8/08
 
546
 
AmeriCredit Automobile Receivables Trust AMCAR 04-1 A3
Asset backed security 3.22% 7/08
 
440
 
AmeriCredit Automobile Receivables Trust AMCAR 04-1 B
Asset backed security 3.7% 1/09
 
75
 
AmeriCredit Automobile Receivables Trust AMCAR 04-1 C
Asset backed security 4.22% 7/09
 
81
 
AmeriCredit Automobile Receivables Trust AMCAR 04-CA A4
Asset backed security 3.61% 5/11
 
300
 
AmeriCredit Automobile Receivables Trust AMCAR 04-DF A3
Asset backed security 2.98% 7/09
 
580
 
AmeriCredit Automobile Receivables Trust AMCAR 04-DF A4
Asset backed security 3.43% 7/11
 
774
 
Ameriquest Mortgage Securities Inc AMSI 02-AR1 M2
Mortgage backed security 1ML+130 9/32
 
186
 
Ameriquest Mortgage Securities Inc AMSI 02-4 M1
Mortgage backed security 1ML+100 2/33
 
247
 
Ameriquest Mortgage Securities Inc AMSI 03-3 M1
Mortgage backed security 1ML+80 3/33
 
176
 
Ameriquest Mortgage Securities Inc AMSI 03-6 M1
Mortgage backed security 1ML+76 8/33
 
781
 
Ameriquest Mortgage Securities Inc AMSI 03-AR2 M1
Mortgage backed security 1ML+85 5/33
 
156
 
Ameriquest Mortgage Securities Inc AMSI 03-7 M1
Mortgage backed security 1ML+85 8/33
 
298
 
Ameriquest Mortgage Securities Inc AMSI 04-R2 M1
Mortgage backed security 1ML+43 4/34
 
125
 
Ameriquest Mortgage Securities Inc AMSI 04-R2 M2
Mortgage backed security 1ML+48 4/34
 
100
 
Argent Securities Inc ARSI 03-W3 AV1B
Mortgage backed security 1ML+45 9/33
 
87
 
Argent Securities Inc ARSI 03-W3 AV2
Mortgage backed security 1ML+40 9/33
 
82
 
Argent Securities Inc ARSI 04-W5 M1
Mortgage backed security 1ML+60 4/34
 
401
 
Argent Securities Inc ARSI 04-W7 M1
 Mortgage backed security 1ML+55 5/34
  
415
(a)
(b)
Identity of issue, borrower, lessor, or similar party
(c)
Description of investment, including maturity date, rate of interest, collateral, par or maturity value
(d)
Historical cost
(e)
Current value
 
Argent Securities Inc ARSI 04-W7 M2
Mortgage backed security 1ML+60 5/34
 
335
 
Asset Backed Securities Corp Home Equity ABSHE 02-HE2 M2
Mortgage backed security 1ML+113 8/32
 
101
 
Asset Backed Securities Corp Home Equity ABSHE 02-HE3 2A
Mortgage backed security 1ML+40 10/32
 
19
 
Asset Backed Securities Corp Home Equity ABSHE 03-HE3 A2
Mortgage backed security 1ML+35 6/33
 
75
 
Asset Backed Securities Corp Home Equity ABSHE 03-HE3 M1
Mortgage backed security 1ML+83 6/33
 
263
 
Asset Backed Securities Corp Home Equity ABSHE 03-HE4 M2
Mortgage backed security 1ML+200 8/33
 
639
 
Asset Backed Securities Corp Home Equity ABSHE 03-HE5 A2B
Mortgage backed security 4 8/33
 
182
 
Asset Backed Securities Corp Home Equity ABSHE 03-HE6 M1
Mortgage backed security 1ML+65 11/33
 
378
 
Asset Backed Securities Corp Home Equity ABSHE 03-HE7 A3
Mortgage backed security 1ML+36 12/33
 
514
 
Asset Backed Securities Corp Home Equity ABSHE 04-HE3 M1
Mortgage backed security 1ML+54 6/34
 
150
 
Asset Backed Securities Corp Home Equity ABSHE 04-HE3 M2
Mortgage backed security 1ML+112 6/34
 
325
 
Asset Backed Securities Corp Home Equity ABSHE 04-HE6 A2
Mortgage backed security 1ML+36 6/34
 
984
 
Asset Backed Funding Certificates ABFC 04-HE1 M2
Mortgage backed security 1ML+115 1/34
 
235
 
Associates Corp Of N. America
Corporate bond 6.875% 11/15/08
 
133
 
Associates Corp Of N. America
Corporate bond 6.25% 11/01/08
  
858
 
BMW Vehicle Owner Trust BMWOT 04-A A3
Asset backed security 2.67% 3/08
  
1,018
 
Banc of America Commercial Mortgage Inc BACM 04-6 XP
Interest only strip CSTR 12/42
  
206
 
Banc of America Commercial Mortgage Inc BACM 04-2 A3
Mortgage backed security 4.05% 11/38
  
2,206
 
Banc of America Commercial Mortgage Inc BACM 04-4 A3
Mortgage backed security 4.128% 7/42
  
686
 
Banc of America Commercial Mortgage Inc BACM 04-5 XP
Interest only strip CSTR 11/41
  
298
 
Bank of America Corp
Corporate bond 7.8% 2/15/10 GLBL
  
274
 
Bank of America Corp
Corporate bond 7.4% 1/15/11 DT
  
1,911
 
Bank of New York Co Inc/The
Corporate bond 4.25%/3ML 9/4/12
  
610
 
Bank of New York Co Inc/The
Corporate bond 3.4/3ML+148 3/15/13
  
983
 
Bank One Corp
Corporate bond 6% 8/01/08 DT
  
202
 
Bank One NA/Chicago IL
Corporate bond 3.7% 1/15/08
  
752
 
Bank One Issuance Trust BOIT 02-B1 B1
Mortgage backed security 1ML+38 12/09
  
573
 
Bank One Issuance Trust BOIT 04-B2 B2
Mortgage backed security 4.37% 4/12
  
1,405
 
Bank One Issuance Trust BOIT 04-A6
Mortgage backed security 3.94% 4/16/12
  
1,205
 
BankAmerica Corp/Old
Corporate bond 6.25% 4/01/08
  
256
 
Bayview Financial Acquisition Trust BAYV 04-C A1
Mortgage backed security 1ML+42 5/44
  
1,127
 
Bayview Financial Acquisition Trust BAYV 04-A A
Mortgage backed security 1ML+45 2/44
  
761
 
Bayview Financial Acquisition Trust BAYV 03-F A
Mortgage backed security 1ML+50 9/43
  
1,000
 
Bayview Commercial Asset Trust BAYC 04-2 A1
Mortgage backed security 1ML+43 8/34
  
698
 
Bayview Commercial Asset Trust BAYC 04-2 M1
Mortgage backed security 1ML+58 8/34
  
223
 
Bayview Commercial Asset Trust BAYC 04-3 M1
Mortgage backed security 1ML+50 1/35
  
150
(a)
(b)
Identity of issue, borrower, lessor, or similar party
(c)
Description of investment, including maturity date, rate of interest, collateral, par or maturity value
(d)
Historical cost
(e)
Current value
 
Bayview Commercial Asset Trust BAYC 04-3 M2
Mortgage backed security 1ML+100 1/35
  
100
 
Bear Stearns Commercial Mortgage Securities BSCMS 04-ESA A2
Mortgage backed security 1ML+34 5/16
  
667
 
Bear Stearns Commercial Mortgage Securities BSCMS 04-ESA B
Mortgage backed security 4.888% 5/16
  
353
 
Bear Stearns Commercial Mortgage Securities BSCMS 04-ESA C
Mortgage backed security 4.937% 5/16
  
399
 
Bear Stearns Commercial Mortgage Securities BSCMS 04-ESA D
Mortgage backed security 4.986% 5/16
  
143
 
Bear Stearns Commercial Mortgage Securities BSCMS 04-ESA E
Mortgage backed security 5.064% 5/16
  
450
 
Bear Stearns Commercial Mortgage Securities BSCMS 04-ESA F
Mortgage backed security 5.182% 5/16
  
107
 
Bear Stearns Commercial Mortgage Securities BSCMS 04-PWR5 A2
Mortgage backed security 4.254% 7/42
  
648
 
Bear Stearns Commercial Mortgage Securities BSCMS 04-PWR5 X2
Interest only strip CSTR 7/42
  
254
 
Bear Stearns Commercial Mortgage Securities BSCMS 04-T16 A3
Mortgage backed security 4.03% 2/46
  
1,552
 
Bear Stearns Commercial Mortgage Securities BSCMS 04-PWR6 X2
Interest only strip CSTR 11/41
  
159
 
Bear Stearns Commercial Mortgage Securities BSCMS 03-PWR2 A3
Mortgage backed security 4.83% 5/39
  
436
 
Bear Stearns Asset Backed Securities Inc BSABS 04-HE8 A
Mortgage backed security 1ML+38 9/34
  
922
 
Bear Stearns Asset Backed Securities Inc BSABS 04-BO1 M3
Mortgage backed security 1ML+105 9/34
  
262
 
Bear Stearns Asset Backed Securities Inc BSABS 04-BO1 M4
Mortgage backed security 1ML+120 9/34
  
222
 
Bear Stearns Asset Backed Securities Inc BSABS 04-BO1 M5
Mortgage backed security 1ML+140 9/34
  
212
 
Bear Stearns Cos Inc/The
Corporate bond 4% 1/31/08
  
615
 
Bear Stearns Cos Inc/The
Corporate bond 3.25% 3/25/09
  
882
 
BellSouth Corp
Corporate bond 4.2% 9/15/09 DT
  
878
 
British Telecommunications PLC
Corporate bond 7.875% 12/15/05 DT
  
765
 
British Telecommunications PLC
Corporate bond 8.12% 5/8.375 12/10
  
2,287
 
CDC Mortgage Capital Trust CDCMC 02-HE3 M1
Mortgage backed security 1ML+110 3/33
  
210
 
CDC Mortgage Capital Trust CDCMC 03-HE1 M1
Mortgage backed security 1ML+90 8/33
  
232
 
CDC Mortgage Capital Trust CDCMC 03-HE3 M1
Mortgage backed security 1ML+70 11/33
  
247
 
CDC Mortgage Capital Trust CDCMC 03-HE3 M2
Mortgage backed security 1ML+175 11/33
  
189
 
CDC Mortgage Capital Trust CDC 04-HE2 M2
Mortgage backed security 1ML+120 7/34
  
235
 
CIT Group Inc CIT GROUP INC
Corporate bond 3.875% 11/03/08
  
1,007
 
CIT Group Inc CIT GROUP INC
Corporate bond 3.375% 4/01/09
  
636
 
CIT Group Inc CIT GROUP INC
Corporate bond 3.65% 11/23/07
  
1,054
 
Countrywide Asset-Backed Certificates CWL 04-2 M1
Mortgage backed security 1ML+50 5/34
  
525
 
Countrywide Asset-Backed Certificates CWL 04-3 M1
Mortgage backed security 1ML+50 6/34
  
150
 
Countrywide Asset-Backed Certificates CWL 04-4 A
Mortgage backed security 1ML+37.5 8/34
  
425
 
Countrywide Asset-Backed Certificates CWL 04-4 M1
Mortgage backed security 1ML+48 7/34
  
376
         
(a)
(b)
Identity of issue, borrower, lessor, or similar party
(c)
Description of investment, including maturity date, rate of interest, collateral, par or maturity value
(d)
Historical cost
(e)
Current value
 
Countrywide Asset-Backed Certificates CWL 04-4 M2
Mortgage backed security 1ML+53 6/34
  
441
 
Countrywide Asset-Backed Certificates CWL 00-2 MV2
Mortgage backed security 1ML+90 6/31
  
187
 
Countrywide Asset-Backed Certificates CWL 03-SD3 A1
Mortgage backed security 1ML+42 12/32
  
183
 
Countrywide Asset-Backed Certificates CWL 02-5 MV1
Mortgage backed security 1ML+100 3/33
  
66
 
Countrywide Home Loan Mortgage Pass CWHL 02-25 2A1 Through Trust
Mortgage backed security 5.5% 11/17
  
416
 
Capital Auto Receivables Asset Trust CARAT 04-2 A2
Asset backed security 3.35% 2/08
  
888
 
Capital One Master Trust COMT 01-3A A
Asset backed security 5.45% 3/09
  
1,295
 
Capital One Auto Finance Trust COAFT 01-B A4
Asset backed security 4.88% 9/08
  
553
 
Capital One Auto Finance Trust COAFT 04-A A3
Asset backed security 3.07% 7/08
  
1,080
 
Capital One Auto Finance Trust COAFT 04-B A3
Asset backed security 2.96% 4/09
  
720
 
Capital One Multi-Asset Execution Trust COMET 02-B1 B1
Asset backed security 1ML+68 7/08
  
1,300
 
Capital One Multi-Asset Execution Trust COMET 03-2B
Asset backed security 3.5% 2/09
  
686
 
Capital One Multi-Asset Execution Trust COMET 03-B4 B4
Asset backed security 1ML 7/11
  
688
 
Capital One Multi-Asset Execution Trust COMET 04-B5 B5
Asset backed security 3.7% 5/10
  
1,611
 
Capital One Multi-Asset Execution Trust COMET 04-B6 B6
Asset backed security 4.155% 7/12
  
1,155
 
Capital One Prime Auto Receivables Trust COPAR 04-2 A3
Asset backed security 3.06% 3/08
  
619
 
Capital One Prime Auto Receivables Trust COPAR 04-3 A3
Asset backed security 3.39% 1/09
  
876
 
Capital Trust Re CDO Ltd CTCDO 04-1A A2
Mortgage backed security 1ML+45 7/39
  
300
 
Capital Trust Re CDO Ltd CTCDO 04-1A B
Mortgage backed security 1ML+75 7/39
  
160
 
Capital Trust Re CDO Ltd CTCDO 04-1A C
Mortgage backed security 1ML+110 7/39
  
205
 
Chase Commercial Mortgage Securities Corp CCMSC 99-2 A1
Mortgage backed security 7.032% 1/32
  
511
 
Chase Credit Card Master Trust CHAMT 03-6 B
Asset backed security 1ML+35 2/11
  
1,009
 
Chase Credit Card Master Trust CHAMT 04-1 B
Asset backed security 1ML+20 5/09
  
436
 
JPMorgan Chase & Co
Corporate bond 6.375% 4/01/08
  
170
 
Chile Government International Bond CHILE REP GLB
Corporate bond 6.875% 4/28/09 DT
  
45
 
Chile Government International Bond CHILE REP GLB
Corporate bond 5.625% 7/23/07 DT
  
1,088
 
Chubb Corp CHUBB CORP
Corporate bond 3.95% 4/01/08
  
167
 
Citigroup Inc CITIGROUP
Corporate bond 5.75% 5/10/06
  
203
 
Citibank Credit Card Issuance Trust CCCIT 01-A6 A6
Asset backed security 5.65% 6/08
  
575
 
Citibank Credit Card Issuance Trust CCCIT 03-A6 A6
Asset backed security 2.9% 5/10
  
474
 
Citibank Credit Card Issuance Trust CCCIT 04-A4
Asset backed security 3.2% 8/09
  
1,687
 
Citigroup Commercial Mortgage Trust CGCMT 04-C2 XP
Interest only strip CSTR 10/41
  
256
         
(a)
(b)
Identity of issue, borrower, lessor, or similar party
(c)
Description of investment, including maturity date, rate of interest, collateral, par or maturity value
(d)
Historical cost
(e)
Current value
 
Commercial Mortgage Pass Through Certificates COMM 99-1 A2
Mortgage backed security 6.455% 5/32
  
1,194
 
Commercial Mortgage Pass Through Certificates COMM 04-CNL X1
Interest only strip CSTR 9/14
  
311
 
Commercial Mortgage Pass Through Certificates COMM 04-CNL B
Mortgage backed security 1ML+40 9/14
  
200
 
Commercial Mortgage Pass Through Certificates COMM 04-CNL D
Mortgage backed security 1ML+64 9/14
  
60
 
Commercial Mortgage Pass Through Certificates COMM 04-CNL E
Mortgage backed security 1ML+70 9/14
  
85
 
Commercial Mortgage Pass Through Certificates COMM 04-CNL F
Mortgage backed security 1ML+80 9/14
  
65
 
Commercial Mortgage Pass Through Certificates COMM 04-HTL1 B
Mortgage backed security 1ML+45 7/16
  
60
 
Commercial Mortgage Pass Through Certificates security COMM 04-HTL1 D
Mortgage backed 1ML+55 7/16
  
140
 
Commercial Mortgage Pass Through Certificates COMM 04-HTL1 E
Mortgage backed security 1ML+75 7/16
  
100
 
Commercial Mortgage Pass Through Certificates COMM 04-HTL1 F
Mortgage backed security 1ML+80 7/16
  
105
 
Commercial Mortgage Pass Through Certificates COMM 04-LNB4 XP
Interest only strip CSTR 10/37
  
472
 
Computer Sciences Corp
Corporate bond 6.75% 6/15/06
  
1,260
 
Computer Sciences Corp
Corporate bond 7.375% 6/15/11
  
542
 
Computer Sciences Corp
Corporate bond 3.5% 4/15/08
  
1,008
 
Consolidated Natural Gas Co
Corporate bond 5.375% 11/01/06
  
729
 
Costco Wholesale Corp
Corporate bond 5.5% 3/15/07
  
485
 
Countrywide Home Loans Inc
Corporate bond 4% 3/22/11
  
393
 
Countrywide Home Loans Inc
Corporate bond 4.125% 9/15/09
  
1,338
 
CS First Boston Mortgage Securities Corp CSFB 97-C2 A2
Mortgage backed security 6.52% 1/35
  
88
 
CS First Boston Mortgage Securities Corp CSFB 97-C2 A3
Mortgage backed security 6.55% 1/35
  
670
 
CS First Boston Mortgage Securities Corp CFSB 99-C1 A2
Mortgage backed security 7.29% 9/41
  
3,085
 
CS First Boston Mortgage Securities Corp CSFB 02-HE16 M2
Mortgage backed security 1ML+150 10/32
  
102
 
Home Equity Asset Trust HEAT 03-3 A2
Mortgage backed security1ML+36 8/33
  
232
 
Home Equity Asset Trust HEAT 02-4 M2
Mortgage backed security 1ML+205 3/33
  
178
 
Home Equity Asset Trust HEAT 03-4 M1
Mortgage backed security 1ML+80 10/33
  
379
 
CS First Boston Mortgage Securities Corp CSFB 03-C5 A3
Mortgage backed security 4.429% 12/36
  
980
 
Home Equity Asset Trust HEAT 03-5 M1
Mortgage backed security 1ML+70 12/33
  
353
 
Home Equity Asset Trust HEAT 03-5 M2
Mortgage backed security 1ML+173 12/33
  
154
 
CS First Boston Mortgage Securities Corp CSFB 03-C4 A3
Interest only strip CSTR 8/36
  
580
 
CS First Boston Mortgage Securities Corp CSFB 04-C1 A3
Mortgage backed security 4.321% 1/37
  
523
 
CS First Boston Mortgage Securities Corp CSFB 04-AR3 6A2
Mortgage backed security 1ML+37 4/34
  
381
 
CS First Boston Mortgage Securities Corp CSFB 04-AR4 5A2
Mortgage backed security 1ML+37 5/34
  
336
 
CS First Boston Mortgage Securities Corp CSFB 04-AR5 11A2
Mortgage backed security 1ML+37 6/34
  
481
 
CS First Boston Mortgage Securities Corp CSFB 04-C4 ASP
Interest only strip CSTR 10/39
  
264
 
CS First Boston Mortgage Securities Corp CSFB 04-AR6 9A2
Mortgage backed security 1ML+37 10/34
  
619
(a)
(b)
Identity of issue, borrower, lessor, or similar party
(c)
Description of investment, including maturity date, rate of interest, collateral, par or maturity value
(d)
Historical cost
(e)
Current value
 
CS First Boston Mortgage Securities Corp CSFB 04-AR7 6A2
Mortgage backed security 1ML+38 8/34
  
998
 
CS First Boston Mortgage Securities Corp CSFB 04-HC1 A2
Mortgage backed security 1ML+50 12/21
  
170
 
CS First Boston Mortgage Securities Corp CSFB 04-FRE1 A2
Mortgage backed security 1ML+35 4/34
  
637
 
CS First Boston Mortgage Securities Corp CSFB 04-HC1 B
Mortgage backed security 1ML+75 12/21
  
441
 
CS First Boston Mortgage Securities Corp CSFB 04-AR8 8A2
Mortgage backed security 1ML+38 9/34
  
792
 
DLJ Commercial Mortgage Corp DLJCM 98-CF1 A1B
Mortgage backed security 6.41% 2/31
  
1,180
 
DLJ Commercial Mortgage Corp DLJCM 98-CG1 A1B
Mortgage backed security 6.41% 6/31
  
1,735
 
DLJ Commercial Mortgage Corp DLJCM 99-CG1 A1B
Mortgage backed security 6.46% 3/32
  
1,078
 
DaimlerChrysler NA Holding Corp
Corporate bond 6.4% 5/15/06
  
996
 
DaimlerChrysler NA Holding Corp
Corporate bond 4.75% 1/15/08
  
672
 
DaimlerChrysler NA Holding Corp
Corporate bond 9/10/07 SER D #36
  
631
 
Daimler Chrysler Auto Trust DCAT 04-C A3
Mortgage backed security 2.98% 8/08
  
1,472
 
John Deere Capital Corp
Corporate bond 3.9% 1/15/08 DT
  
819
 
John Deere Capital Corp
Corporate bond 3.375% 10/1/07
  
1,108
 
Deutsche Telekom International Finance BV
Corporate bond 8.25% 6/15/05DT
  
473
 
Deutsche Telekom International Finance BV
Corporate bond 8% 6/15/10
  
1,474
 
Discover Card Master Trust I DCMT 01-6 A
Mortgage backed security 5.75% 12/08
  
4,556
 
RR Donnelley & Sons Co
Corporate bond 3.75% 4/1/09
  
1,557
 
Export Development Canada
Corporate bond 4% 8/01/07
  
1,066
 
FPL Group Capital Inc
Corporate bond 3.25% 4/11/06
  
332
 
Freddie Mac Gold Pool
FHLMC 15YR 5.00% 5/14 #E76434
  
32
 
Freddie Mac Gold Pool
FHLMC 15YR 5.00% 6/14 #E77224
  
142
 
Freddie Mac
FHLMC 3.875% 1/12/09-1/06
  
1,763
 
Federal Farm Credit Bank
Government bond 3.25% 6/15/07
  
5,207
 
Freddie Mac FHR 2435 GD
Mortgage backed security 6.5% 2/30
  
202
 
Freddie Mac FHR 1608 J
Mortgage backed security 6% 6/22
  
1,643
 
Freddie Mac FHR 1644 IA
Mortgage backed security 6.75% 8/23
  
319
 
Freddie Mac FHR 1650 H
Mortgage backed security 6.25% 10/22
  
26
 
Freddie Mac FHR 1680 PH
Mortgage backed security 6.25% 1/23
  
204
 
Freddie Mac FHR 1703 GA
Mortgage backed security 6.5% 10/08
  
155
 
Freddie Mac FHR 1708 D
Mortgage backed security 6 7/08
  
277
 
Freddie Mac FHR 1697 PJ
Mortgage backed security 6 7/08
  
416
 
Freddie Mac FHR 2292 QT
Mortgage backed security 6.5% 5/30
  
139
 
Federal Home Loan Bank System
Government bonds 2.875% 8/15/06
  
30,785
 
Federal Home Loan Bank System
Government bonds 2.5% 4/11/06
  
6,411
 
Freddie Mac
FHLMC GLBL 2.875% 12/15/06
  
28,925
 
Freddie Mac
FHLMC 2.375% 2/15/07
  
27,386
 
Freddie Mac
FHLMC 2.875% 5/15/07
  
18,541
 
Fannie Mae FNR 93-225 OH
Mortgage backed security 6.3% 10/22
  
78
 
Fannie Mae FNR 94-36 H
Mortgage backed security 6.375% 1/23
  
211
 
Fannie Mae FNR 94-50 PH
Mortgage backed security 5.5% 1/23
  
248
 
Fannie Mae
FNMA 3.25% 8/15/08
  
24,160
 
Fannie Mae
FNMA 2.375% 2/15/07
  
29,415
 
Fannie Mae
FNMA 2.15% 4/13/06-05
  
9,725
 
Fannie Mae
FNMA 2.5% 6/15/06
  
13,951
 
Fannie Mae
FNMA 3.125% 7/15/06
  
3,290
 
Fannie Mae
FNMA 3.125% 12/15/07
  
18,268
 
Fannie Mae Pool
FNMA 15YR 7.00% 8/08 #252068
  
106
 
Fannie Mae Pool
FNMA 15YR 7.00% 1/13 #251428
  
17
         
(a)
(b)
Identity of issue, borrower, lessor, or similar party
(c)
Description of investment, including maturity date, rate of interest, collateral, par or maturity value
(d)
Historical cost
(e)
Current value
 
Fannie Mae Pool
FNMA 15YR 6.50% 4/09 #277813
  
145
 
Fannie Mae Pool
FNMA 15YR 7.00% 7/10 #303403
  
453
 
Fannie Mae Pool
FNMA 15YR 6.00% 3/11 #303779
  
58
 
Fannie Mae Pool
FNMA 15YR 7.00% 12/09 #303836
  
2
 
Fannie Mae Pool
FNMA 15YR 6.50% 11/13 #323755
  
668
 
Fannie Mae Pool
FNMA 15YR 7.00% 8/14 #323877
  
138
 
Fannie Mae Pool
FNMA 15YR 7.00% 5/11 #346783
  
22
 
Fannie Mae Pool
FNMA 15YR 6.00% 3/14 #487614
  
57
 
Fannie Mae Pool
FNMA 15YR 6.50% 9/14 #514373
  
5
 
Fannie Mae Pool
FNMA 15YR 6.00% 11/14 #520642
  
36
 
Fannie Mae Pool
FNMA 15YR 7.00% 11/14 #522277
  
43
 
Fannie Mae Pool
FNMA 15YR 6.50% 10/13 #535234
  
1,279
 
Fannie Mae Pool
FNMA 15YR 7.00% 3/08 #535395
  
848
 
Fannie Mae Pool
FNMA 15YR 7.00% 6/16 #545122
  
42
 
Fannie Mae Pool
FNMA 15YR 7.00% 2/16 #569915
  
116
 
Fannie Mae Pool
FNMA 15YR 6.00% 10/16 #589129
  
66
 
Fannie Mae Pool
FNMA 15YR 7.00% 8/16 #599602
  
142
 
Fannie Mae Pool
FNMA 15YR 7.00% 10/19 #TBA
  
0
 
Fannie Mae Pool
FNMA 15YR 6.50% 1/20 #TBA
  
734
 
Fannie Mae Pool
FNMA 15YR 7.00% 4/17 #636135
  
489
 
Fannie Mae Pool
FNMA 15YR 6.50% 4/17 #637244
  
386
 
Fannie Mae Pool
FNMA 15YR 6.00% 11/17 #671380
  
338
 
Fannie Mae Pool
FNMA 15YR 6.00% 11/17 #672789
  
78
 
Fannie Mae Pool
FNMA 15YR 6.00% 12/17 #673965
  
172
 
Fannie Mae FNR 02-18 PE
Mortgage backed security 5.5% 6/16
  
2,052
 
Fannie Mae FNR 02-52 PA
Mortgage backed security 6% 4/31
  
120
 
Freddie Mac FHR 2473 JB
Mortgage backed security 5.5% 2/29
  
95
 
Freddie Mac FHR 2498 PD
Mortgage backed security 5.5% 2/16
  
433
 
Fannie Mae Pool
FNMA 15YR 6.00% 2/18 #684153
  
36
 
Fannie Mae Pool
FNMA 15YR 7.00% 2/18 #693327
  
507
 
Fannie Mae Pool
FNMA ARM 3.878% 6/33 #723633
  
549
 
Fannie Mae Pool
FNMA ARM 3.975% 11/34 #781809
  
232
 
Fannie Mae Pool
FNMA ARM 4.025% 1/35 #781871
  
227
 
Fieldstone Mortgage Investment Corp FMIC 03-1 M1
Mortgage backed security 1ML+68 11/33
  
101
 
Fieldstone Mortgage Investment Corp FMIC 03-1 M2
Mortgage backed security 1ML+175 11/33
  
103
 
Fifth Third Auto Trust FITAT 04-A A3
Mortgage backed security 3.19% 2/08
  
554
 
First Franklin Mtg Loan Asset Backed Certificates FFML 04-FF2 M3
Mortgage backed security 1ML+55 3/34
  
50
 
First Franklin Mtg Loan Asset Backed Certificates FFML 04-FF2 M4
Mortgage backed security 1ML+90 3/34
  
25
 
First Franklin Mtg Loan Asset Backed Certificates FFML 04-FF2 M6
Mortgage backed security 1ML+125 3/34
  
50
 
First Union Commercial Mortgage Securities Inc FULB 97-C2 A3
Mortgage backed security 6.65% 11/29
  
537
 
Wachovia Bank NA/Charlotte
Corporate bond 7.8% 8/18/10
  
433
 
FleetBoston Financial Corp
Corporate bond 3.85% 2/15/08
  
407
 
Ford Credit Auto Owner Trust FORDO 03-B B1
Mortgage backed security 2.85% 10/07
  
623
 
Ford Motor Credit Co
Corporate bond 6.875% 2/1/06 DT
  
534
 
Ford Motor Credit Co
Corporate bond 6.5% 1/25/07 DT
  
3,155
 
Franklin Resources Inc
Corporate bond 3.7% 4/15/08
  
1,537
 
Fremont Home Loan Trust FHLT 04-A M1
Mortgage backed security 1ML+55 1/34
  
450
 
Fremont Home Loan Trust FHLT 04-A M2
Mortgage backed security 1ML+115 1/34
  
525
 
Fremont Home Loan Trust FHLT 04-1 M1
Mortgage backed security 1ML+45 2/34
  
50
 
Fremont Home Loan Trust FHLT 04-1 M2
Mortgage backed security 1ML+50 2/34
  
100
         
(a)
(b)
Identity of issue, borrower, lessor, or similar party
(c)
Description of investment, including maturity date, rate of interest, collateral, par or maturity value
(d)
Historical cost
(e)
Current value
 
Fremont Home Loan Trust FHLT 04-1 M3
Mortgage backed security 1ML+55 2/34
  
100
 
Fremont Home Loan Trust FHLT 04-1 M4
Mortgage backed security 1ML+95 2/34
  
250
 
Fremont Home Loan Trust FHLT 04-1 M5
Mortgage backed security 1ML+110 2/34
  
100
 
Fremont Home Loan Trust FHLT 04-1 M6
Mortgage backed security 1ML+130 2/34
  
250
 
GGP Mall Properties Trust GGPMP 01-C1A A2
Mortgage backed security 5.007% 11/11
  
629
 
GMAC Commercial Mortgage Securities Inc GMACC 97-C2 A3
Mortgage backed security 6.566% 4/29
  
644
 
GMAC Commercial Mortgage Securities Inc GMACC 04-C2 A2
Interest only strip CSTR 8/38
  
1,500
 
GMAC Commercial Mortgage Securities Inc GMACC 04-C3 X2
Interest only strip CSTR 12/41
  
226
 
GMACC Commercial Mortgage Securities Inc GMACC 00-C1 A2
Mortgage backed security 7.724% 3/33
  
1,195
 
GS Mortgage Securities Corp 03-C1 A2A
Mortgage backed security 3.59% 1/40
  
768
 
GS Mortgage Securities Corp 04-C1 A1
Mortgage backed security 3.659% 10/28
  
1,624
 
GSAMP Trust GSAMP 02-HE M1
Mortgage backed securities 1ML+125 11/32
  
334
 
GSAMP Trust GSAMP 04-FM2 M1
Mortgage backed securities 1ML+50 1/34
  
250
 
GSAMP Trust GSAMP 04-FM2 M2
Mortgage backed securities 1ML+110 1/34
  
200
 
GSAMP Trust GSAMP 04-FM2 M3
Mortgage backed securities 1ML+130 1/34
  
200
 
GSAMP Trust GSAMP 04-HE1 M1
Mortgage backed securities 1ML+55 5/34
  
410
 
GSAMP Trust GSAMP 04-HE1 M2
Mortgage backed securities 1ML+115 5/34
  
149
 
GSAMP Trust GSAMP 04-HE1 M3
Mortgage backed securities 1ML+140 5/34
  
149
 
First Franklin Mtg Loan Asset Backed Certificates FFML 04-FF3 M2
Mortgage backed securities 1ML+114 5/34
  
475
 
GSAMP Trust GSAMP 04-FM1 M1
Mortgage backed securities 1ML+65 11/33
  
300
 
GSAMP Trust GSAMP 04-FM1 M2
Mortgage backed securities 1ML+140 11/33
  
207
 
GSAMP Trust GSAMP 04-AHL M2
Mortgage backed securities 1ML+115 8/34
  
250
 
Ge Capital Commercial Mortgage Corp GECMC 04-C2 A2
Mortgage backed securities 4.119% 3/40
  
518
 
Ge Capital Commercial Mortgage Corp GECMC 04-C3 A2
Mortgage backed securities 4.433% 7/39
  
893
 
GE Commercial Equipment Financing LLC GECEF 04-A A3
Mortgage backed securities 3.36% 6/08
  
1,162
 
General Electric Capital Corp
Corporate bond 7.5% 6/15/09
  
1,257
 
General Electric Capital Corp
Corporate bond 3.5% 5/01/08
  
464
 
General Electric Capital Corp
Corporate bond 3.5% 8/15/07
  
540
 
General Electric Capital Corp
Corporate bond 3.75% 12/15/09
  
1,113
 
General Electric Capital Corp
Corporate bond 5.875% 2/15/12A
  
1,293
 
General Electric Capital Corp
Corporate bond 5% 6/15/07
  
1,097
 
General Motors Acceptance Corp
Corporate bond 7.75% 1/19/10
  
1,566
 
General Motors Acceptance Corp
Corporate bond 6.75% 1/15/06
  
1,189
 
General Motors Acceptance Corp
Corporate bond 6.125% 9/15/06 GLBL
  
918
 
Goldman Sachs Group Inc
Corporate bond 6.6% 1/15/12
  
1,228
 
Gracechurch Card Funding PLC BCARD 5 B
Asset backed securities 1ML+23 8/08
  
165
 
Gracechurch Card Funding PLC BCARD 5 A2
Asset backed securities 2.7% 8/08
  
2,185
 
Gracechurch Card Funding PLC BCARD 6 B
Asset backed securities 1ML+19 2/09
  
105
 
Granite Mortgages PLC GRAN 04-3 1B
Mortgage backed securities 3ML+16 9/44
  
200
 
Granite Mortgages PLC GRAN 04-3 1M
Mortgage backed securities 3ML+27 9/44
  
100
 
Granite Mortgages PLC GRAN 04-1 1B
Mortgage backed securities 3ML+21 3/44
  
145
 
Granite Mortgages PLC GRAN 04-1 1M
Mortgage backed securities 3ML+41 3/44 DT
  
196
 
Granite Mortgages PLC GRAN 04-2 1B
Mortgage backed securities 3ML+17 6/44
  
125
 
Granite Mortgages PLC GRAN 04-2 1M
Mortgage backed securities 3ML+28 6/44
  
230
 
Greenwich Capital Commercial Funding Corp GCCFC 03-C1 A2
Mortgage backed securities 3.285% 7/35
  
878
         
(a)
(b)
Identity of issue, borrower, lessor, or similar party
(c)
Description of investment, including maturity date, rate of interest, collateral, par or maturity value
(d)
Historical cost
(e)
Current value
 
Greenwich Capital Commercial Funding Corp GCCFC 04-GG1 A4
Mortgage backed securities 4.755% 6/36
  
963
 
John Hancock Global Funding II
Corporate bond 3.75% 9/30/08
  
810
 
John Hancock Global Funding II
Corporate bond 3.5% 1/30/09
  
961
 
Hartford Financial Services Group Inc
Corporate bond 2.375% 6/01/06
  
261
 
Heller Financial Commercial Mortgage Asset HFCMC 00-PH1 A1
Mortgage backed securities 7.715% 1/34
  
546
 
Hewlett-Packard Co
Corporate bond 6.5% 7/01/12
  
839
 
Holmes Financing PLC HFP 8 1B
Mortgage backed securities 3ML+13 7/40
  
206
 
Holmes Financing PLC HFP 8 2B
Mortgage backed securities 3ML+17 7/40 DT
  
272
 
Home Equity Asset Trust HEAT 04-1 M1
Mortgage backed securities 1ML+63 6/34
  
317
 
Home Equity Asset Trust HEAT 04-3 M1
Mortgage backed securities 1ML+57 8/34
  
205
 
Home Equity Asset Trust HEAT 04-3 M2
Mortgage backed securities 1ML+120 8/34
  
225
 
Home Equity Asset Trust HEAT 04-3 M3
Mortgage backed securities 1ML+145 8/34
  
100
 
Home Equity Asset Trust HEAT 04-4 A2
Mortgage backed securities 1ML+32 10/34
  
215
 
Home Equity Asset Trust HEAT 04-6 A2
Mortgage backed securities 1ML+35 12/34
  
1,236
 
Home Equity Asset Trust HEAT 04-7 A3
Mortgage backed securities 1ML+39 1/35
  
424
 
Holmes Financing PLC HFP 7 2M
Mortgage backed securities 3ML+80 7/40
  
264
 
Host Marriot Pool Trust HMPT 99-HMTA D
Mortgage backed securities 7.97% 8/15
  
228
 
Household Automotive Trust HAT 04-1 A3
Asset backed securities 3.3% 5/09
  
943
 
Household Automotive Trust HAT 04-1 A4
Asset backed securities 3.93% 7/11
  
570
 
HSBC Finance Corp
Corporate bond 5.875% 2/1/09 DT
  
328
 
HSBC Finance Corp
Corporate bond 4.125% 12/15/08
  
1,839
 
HSBC Finance Corp
Corporate bond 4.125% 11/16/09
  
2,394
 
HSBC Finance Corp
Corporate bond 8.875% 2/15/08
  
1,097
 
Household Private Label Credit Card Master Note Trust I HPLCC 02-1 A
Asset backed securities 5.5% 1/11
  
1,772
 
Household Private Label Credit Card Master Note Trust I HPLCC 02-3 B
Asset backed securities 1ML 9/09
  
121
 
HFC Home Equity Loan Asset Backed Certificates HFCHC 03-1 M
Mortgage backed securities 1ML+63 10/32
  
128
 
HFC Home Equity Loan Asset Backed Certificates HFCHC 03-2 M
Mortgage backed securities 1ML+58 9/33
  
208
 
HFC Home Equity Loan Asset Backed Certificates HFCHC 04-1 M
Mortgage backed securities 1ML+52 9/33
  
425
 
Household Mortgage Loan Trust HMLHC 02-HC1 M
Mortgage backed securities 1ML+65 5/32
  
117
 
Household Mortgage Loan Trust HMLHC 03-HC1
Mortgage backed securities 1ML+65 2/33
  
292
 
Household Mortgage Loan Trust HLHMC 03-HC2
Mortgage backed securities 1ML+60 6/20/2103
  
436
 
Household Mortgage Loan Trust HMLHC 04-HC1 A
Mortgage backed securities 1ML+35 2/34
  
1,118
 
Hutchison Whampoa International 01/11 Ltd
Corporate bond 7% 2/16/11 144A
  
456
 
Hutchison Whampoa International 03/33 Ltd
Corporate bond 5.45% 11/24/10 144
  
936
 
Impac CMB Trust IMM 04-6 1A2
Mortgage backed securities 7/26/04
  
494
 
JPMorgan Chase & Co
Corporate bond 5.625% 8/15/06
  
3,002
 
JPMorgan Chase & Co
Corporate bond 4% 2/1/08
  
1,493
 
JP Morgan Chase Commercial Mortgage Securities Corp JPMCC 04-CB9 A2
Interest only strip CSTR 6/41
  
1,568
 
JP Morgan Chase Commercial Mortgage Securities Corp JPMCC 03-PM1A A2
Interest only strip CSTR 8/40
  
1,812
 
JP Morgan Chase Commercial Mortgage Securities Corp JPMCC 04-CB8 A2
Mortgage backed securities 3.837% 1/39
  
1,246
 
JP Morgan Chase Commercial Mortgage Securities Corp JPMCC 04-CBX X2
Interest only strip CSTR 1/37
  
679
 
JP Morgan Chase Commercial Mortgage Securities Corp JPMCC 04-C3 A2
Mortgage backed securities 4.223% 1/42
  
832
(a)
(b)
Identity of issue, borrower, lessor, or similar party
(c)
Description of investment, including maturity date, rate of interest, collateral, par or maturity value
(d)
Historical cost
(e)
Current value
 
KeySpan Corp
Corporate bond 7.625% 11/15/10
  
875
 
Korea Development Bank
Corporate bond 3.875% 3/02/09
  
749
 
Korea Development Bank
Corporate bond 4.75% 7/20/09
  
618
 
Kraft Foods Inc
Corporate bond 5.25% 6/1/07
  
551
 
LB-UBS Commercial Mortgage Trust LBUBS 00-C3 A1
Mortgage backed securities 7.95% 7/09
  
1,687
 
LB-UBS Commercial Mortgage Trust LBUBS 00-C3 A2
Mortgage backed securities 7.95% 1/10
  
1,089
 
LB-UBS Commercial Mortgage Trust LBUBS 00-C5 A1
Mortgage backed securities 6.41% 12/19
  
1,041
 
LB-UBS Commercial Mortgage Trust LBUBS 00-C5 A2
Mortgage backed securities 6.51% 12/26
  
510
 
LB-UBS Commercial Mortgage Trust LBUBS 04-C6 A2
Mortgage backed securities 4.187% 8/29
  
704
 
LB-UBS Commercial Mortgage Trust LBUBS 03-C3 A2
Mortgage backed securities 3.086% 5/27
  
649
 
LB-UBS Commercial Mortgage Trust LBUBS 03-C7 A3
Interest only strip CSTR 9/27
  
828
 
LB-UBS Commercial Mortgage Trust LBUBS 04-C2 A3
Mortgage backed securities 3.973% 3/29
  
693
 
Legg Mason Inc
Corporate bond 6.75% 7/02/08
  
359
 
Lehman Brothers Holdings Inc
Corporate bond 7% 2/1/08
  
2,354
 
Lehman Brothers Holdings Inc
Corporate bond 4% 1/22/08
  
901
 
Lehman Brothers Holdings Inc
Corporate bond 3.95% 11/10/09
  
373
 
Long Beach Mortgage Loan Trust LBMLT 03-3 M1
Mortgage backed securities 1ML+75 7/33
  
897
 
Long Beach Mortgage Loan Trust LBMLT 04-2 M1
Mortgage backed securities 1ML+53 6/34
  
425
 
Long Beach Mortgage Loan Trust LBMLT 04-2 M2
Mortgage backed securities 1ML+108 6/34
  
277
 
M&I Marshall & Ilsley Bank
Corporate bond 3.95% 8/14/09
  
813
 
MBNA Credit Card Master Note Trust MBNAS 01-A1 A1
Asset backed securities 5.75% 10/08
  
471
 
MBNA Credit Card Master Note Trust MBNAS 02-1B
Asset backed securities 5.15% 7/09
  
1,545
 
MBNA Credit Card Master Note Trust MBNAS 03-B2 B2
Asset backed securities 1ML+39 10/10
  
156
 
MBNA Credit Card Master Note Trust MBNAS 03-B3 B3
Asset backed securities 1ML+37.5 1/11
  
704
 
MBNA Credit Card Master Note Trust MBNAS 03-B5 B5
Asset backed securities 1ML+37 2/11
  
1,034
 
Mastr Seasoned Securities Trust MSSTR 04-1 1A1
Interest only strip CSTR 8/17
  
943
 
M&T Bank Corp
Corporate bond 3.85% 4/01/13
  
499
 
Marsh & McLennan Cos Inc
Corporate bond 5.375% 3/15/07
  
366
 
Marshall & Ilsley Corp
Corporate bond 4.375% 8/01/09
  
841
 
Mastr Adjustable Rate Mortgages Trust MARM 04-11 1A4
Mortgage backed securities 1ML+49 11/34
  
247
 
Mastr Adjustable Rate Mortgages Trust MARM 04-11 2A2
Mortgage backed securities 1ML+44 11/34
  
287
 
Mellon Bank NA
Corporate bond 7% 3/15/06
  
1,595
 
MLCC Mortgage Investors Inc MLCC 03-F A2
Mortgage backed securities 6ML+34 9/29
  
1,074
 
MLCC Mortgage Investors Inc MLCC 03-A 2A2
Mortgage backed securities 6ML+41 3/28
  
256
 
Meritage Mortgage Loan Trust MMLT 04-1 M1
Mortgage backed securities 1ML+50 7/34
  
225
 
Meritage Mortgage Loan Trust MMLT 04-1 M2
Mortgage backed securities 1ML+55 7/34
  
25
 
Meritage Mortgage Loan Trust MMLT 04-1 M3
Mortgage backed securities 1ML+95 7/34
  
75
(a)
(b)
Identity of issue, borrower, lessor, or similar party
(c)
Description of investment, including maturity date, rate of interest, collateral, par or maturity value
(d)
Historical cost
(e)
Current value
 
Meritage Mortgage Loan Trust MMLT 04-1 M4
Mortgage backed securities 1ML+110 7/34
  
50
 
Merrill Lynch & Co Inc
Corporate bond 6.56% 12/16/07
  
1,354
 
Merrill Lynch & Co Inc
Corporate bond 4.125% 1/15/09
  
1,689
 
Merrill Lynch Mortgage Investors Inc MLMI 04-FM1 M2
Mortgage backed securities 1ML+115 1/35
  
152
 
MLCC Mortgage Investors Inc MLCC 04-D A2
Mortgage backed securities 6ML+36 9/29
  
1,166
 
Merrill Lynch Mortgage Trust MLMT 04-MKB1 A2
Mortgage backed securities 4.353% 2/42
  
1,700
 
Merrill Lynch Mortgage Trust MLMT 04-KEY2 A2
Mortgage backed securities 4.166% 8/39
  
1,223
 
Merrill Lynch Mortgage Trust MLMT 04-BPC1 XP
Interest only strip CSTR 9/41
  
704
 
Metlife Inc
Corporate bond 6.125% 12/01/11
  
833
 
Metlife Inc
Corporate bond 5.375% 12/15/12
  
430
 
Metlife Inc
Corporate bond 5.5% 6/15/14
  
725
 
Metropolitan Life Global Funding I
Corporate bond 2.6% 6/19/08 144A
  
96
 
Metropolitan Life Global Funding I
Corporate bond 4.25% 7/30/09 144A
  
1,244
 
Morgan Guaranty
SYNTHETIC GIC GLOBAL WRAP AGREEMENT CONTRACT - 4.22%
  
(1860)
 
Monumental Global Funding II
Corporate bond 4.375% 7/09 144A
  
1,636
 
Monumental Life Insurance
SYNTHETIC GIC GLOBAL WRAP AGREEMENT CONTRACT - 4.21%
  
(1860)
 
JP Morgan & Co Inc/Old
Corporate bond 6.25% 1/15/09
  
1,709
 
JP Morgan Commercial Mortgage Finance Corp JPMC 99-C8 A2
Mortgage backed securities 7.4% 7/31
  
944
 
JP Morgan Commercial Mortgage Finance Corp JPMC 00-C9 A2
Mortgage backed securities 7.77% 10/32
  
1,060
 
Morgan Stanley
Corporate bond 6.1% 4/15/06
  
178
 
Morgan Stanley
Corporate bond 5.8% 4/01/07
  
1,030
 
Morgan Stanley
Corporate bond 3.625% 4/01/08
  
276
 
Morgan Stanley ABS Capital I MSAC 04-NC6 A2
Mortgage backed securities 1ML+34 7/34
  
555
 
Morgan Stanley ABS Capital I MSAC 04-HE6 A2
Mortgage backed securities 1ML+34 8/34
  
1,118
 
Morgan Stanley Capital I MSC 98-WF2 A2
Mortgage backed securities 6.54% 7/30
  
869
 
Morgan Stanley Capital I MSC 98-HF2 A1
Mortgage backed securities 6.01% 11/30
  
315
 
Morgan Stanley Capital I MSC 98-HF2 A2
Mortgage backed securities 6.48% 11/30
  
1,660
 
Morgan Stanley Capital I MSC 99-WF1 A1
Mortgage backed securities 5.91% 11/31
  
354
 
Morgan Stanley Capital I MSC 99-CAM1 A4
Mortgage backed securities 7.02% 3/32
  
582
 
Morgan Stanley Capital I MSC 03-IQ5 A3
Mortgage backed securities 4.71% 4/38
  
631
 
Morgan Stanley Capital I MSC 04-HQ4 X2
Interest only strip CSTR 4/40
  
176
 
Morgan Stanley Capital I MSC 04-HQ3 A2
Mortgage backed securities 4.05% 1/41
  
537
 
Morgan Stanley ABS Capital I MSAC 02-HE3 M1
Mortgage backed securities 1ML+110 12/32
  
198
 
Morgan Stanley ABS Capital I MSAC 02-NC6 M2
Mortgage backed securities 1ML+210 11/32
  
263
 
Morgan Stanley ABS Capital I MSAC 03-NC5 M2
Mortgage backed securities 1ML+200 4/33
  
280
 
Morgan Stanley ABS Capital I MSAC 03-NC6 M1
Mortgage backed securities 1ML+80 6/33
  
324
 
Morgan Stanley ABS Capital I MSAC 03-HE1 M1
Mortgage backed securities 1ML+80 6/33
  
445
 
Morgan Stanley ABS Capital I MSAC 03-HE1 M2
Mortgage backed securities 1ML 6/33
  
152
 
Morgan Stanley ABS Capital I MSAC 03-NC7 M1
Mortgage backed securities 1 ML+70 6/33
  
191
 
Morgan Stanley ABS Capital I MSAC 03-NC7 M2
Mortgage backed securities 1ML+185 6/33
  
107
(a)
(b)
Identity of issue, borrower, lessor, or similar party
(c)
Description of investment, including maturity date, rate of interest, collateral, par or maturity value
(d)
Historical cost
(e)
Current value
 
Morgan Stanley ABS Capital I MSAC 03-NC8 M1
Mortgage backed securities 1ML+70 9/33
  
262
 
Morgan Stanley ABS Capital I MSAC 03-NC10 M1
Mortgage backed securities 1ML+68 10/33
  
575
 
Morgan Stanley
Corporate bond 4% 1/15/10
  
1,861
 
Morgan Stanley Dean Witter Capital I MSDWC 03-NC2 M2
Mortgage backed securities 1ML+200 2/33
  
292
 
Morgan Stanley Dean Witter Capital I MSDWC 01-NC1 M2
Mortgage backed securities 1 ML+107 10/31
  
100
 
Morgan Stanley Dean Witter Capital I MSDWC 01-NC3 M2
Mortgage backed securities 1ML+150 10/31
  
469
 
Morgan Stanley Dean Witter Capital I MSDWC 01-NC4 M2
Mortgage backed securities 1ML+165 1/32
  
183
 
Morgan Stanley Dean Witter Capital I MSDWC 02-HE1 M1
Mortgage backed securities 1ML+60 7/32
  
292
 
Morgan Stanley Dean Witter Capital I MSDWC 02-HE2 M2
Mortgage backed securities 1ML+125 8/32
  
151
 
Morgan Stanley Dean Witter Capital I MSDWC 02-NC3 M1
Mortgage backed securities 1ML+72 8/32
  
162
 
Morgan Stanley Dean Witter Capital I MSDWC 02-OP1 M1
Mortgage backed securities 1ML+75 9/32
  
166
 
Morgan Stanley Dean Witter Capital I MSDWC 02-NC4 M2
Mortgage backed securities 1ML+160 9/32
  
126
 
Morgan Stanley Dean Witter Capital I MSDWC 02-NC5 M3
Mortgage backed securities 1ML+180 10/32
  
102
 
Morgan Stanley Dean Witter Capital I MSDWC 03-NC1 M1
Mortgage backed securities 1ML+105 11/32
  
263
 
Morgan Stanley Dean Witter Capital I MSDWC 03-NC1 M2
Mortgage backed securities 1ML+205 11/32
  
198
 
Mortgage Capital Funding Inc MCFI 98-MC2 A2
Mortgage backed securities 6.423% 6/30
  
1,901
 
National Collegiate Student Loan Trust NCSLT 04-2 AIO
Mortgage backed securities 9.75% 10/14
  
498
 
National Rural Utilities Cooperative Finance Corp
Corporate bond 5.75% 8/28/09
  
446
 
National Rural Utilities Cooperative Finance Corp
Corporate bond 3.24% 7/22/07
  
750
 
Navistar Financial Corp Owner Trust NAVOT 04-B A3
Mortgage backed securities 3.13% 5/09
  
542
 
New Century Home Equity Loan Trust NCHET 03-6 M1
Mortgage backed securities 1ML+72 1/34
  
544
 
New York Life Global Funding
Corporate bond 3.875% 1/15/09
  
283
 
Nissan Auto Lease Trust NALT 03-A A3B
Asset backed securities 2.57% 6/09
  
925
 
Nissan Auto Lease Trust NALT 04-A A3
Asset backed securities 2.9% 8/07
  
1,182
 
Nissan Auto Lease Trust NALT 04-A A4B
Asset backed securities 3.18% 6/10
  
292
 
Nissan Auto Receivables Owner Trust NAROT 04-C A3
Asset backed securities 2.85% 10/07
  
248
 
Novastar Home Equity Loan NHEL 03-2 M-1
Mortgage backed securities 1ML+75 9/33
  
207
 
Novastar Home Equity Loan NHEL 04-1 M1
Mortgage backed securities 1ML+45 6/34
  
150
 
Onyx Acceptance Grantor Trust ONYX 04-C A3
Mortgage backed securities 2.94% 11/08
  
383
 
PNC Funding Corp
Corporate bond 5.75% 8/1/06
  
2,159
 
Park Place Securities Inc PPSI 04-WCW1 M1
Mortgage backed securities 1ML+63 9/34
  
315
 
Park Place Securities Inc PPSI 04-WCW1 M2
Mortgage backed securities 1ML+68 9/34
  
185
 
Park Place Securities Inc PPSI 04-WCW1 M3
Mortgage backed securities 1ML+125 9/34
  
355
 
Park Place Securities NIM Trust PPSIN 04-MHQ1 A
Mortgage backed securities 2.487% 12/34
  
401
         
(a)
(b)
Identity of issue, borrower, lessor, or similar party
(c)
Description of investment, including maturity date, rate of interest, collateral, par or maturity value
(d)
Historical cost
(e)
Current value
 
Park Place Securities NIM Trust PPSIN 04-MHQ1 B
Mortgage backed securities 3.474% 12/34
  
210
 
Permanent Financing PLC PERMA 5 1B
Mortgage backed securities 3ML+14 6/42
  
396
 
Permanent Financing PLC PERMA 5 2A
Mortgage backed securities 3ML+11 6/11
  
230
 
Permanent Financing PLC PERMA 5 2B
Mortgage backed securities 3ML+18 6/42
  
446
 
Permanent Financing PLC PERMA 4 1B
Mortgage backed securities 3ML+14 6/42
  
205
 
Permanent Financing PLC PERMA 4 1M
Mortgage backed securities 3ML+23 6/42
  
160
 
Permanent Financing PLC PERMA 4 2M
Mortgage backed securities 3ML+33 6/42
  
171
 
Altria Group Inc
Corporate bond 7.2% 2/01/07
  
977
 
Altria Group Inc
Corporate bond 7% 7/15/05
  
1,572
 
ConocoPhillips
Corporate bond 8.75% 5/25/10
  
1,442
 
Pricoa Global Funding I
Corporate bond 3.9% 12/15/08
  
1,168
 
Pricoa Global Funding I
Corporate bond 4.35% 6/15/08
  
1,443
 
Prime Credit Card Master Trust PCCMT 00-1 A
Mortgage backed securities 6.7% 10/09
  
5
 
Prime Property Funding II Inc
Corporate bond 5.6% 6/15/11
  
550
 
Principal Life Global Funding I
Corporate bond 3.625% 4/30/08
  
1,502
 
Prudential Financial Inc
Corporate bond 4.104% 11/15/06
  
655
 
Prudential Financial Inc
Corporate bond 3.75% 5/01/08
  
605
 
Prudential Securities Secured Financing Corp PSSF 98-C1 A1B
Mortgage backed securities 6.506% 7/08
  
970
 
Rabobank Capital Funding II
Corporate bond 5.26%/VR PERP 144A
  
2,997
 
Rabobank Nederland
SYNTHETIC GIC GLOBAL WRAP AGREEMENT CONTRACT - 4.22%
  
(1,860)
 
Reed Elsevier Capital Inc
Corporate bond 6.125% 8/01/06
  
770
 
Residential Asset Mortgage Products Inc RAMP 04-RS6 MII2
Mortgage backed securities 1ML+130 6/34
  
250
 
Residential Asset Mortgage Products Inc RAMP 03-SL1 3A1
Mortgage backed securities 7.125% 4/31
  
707
 
Residential Asset Mortgage Products Inc RAMP 04-SL2 A1I
Mortgage backed securities 6.5% 10/16
  
216
 
Residential Asset Mortgage Products Inc RAMP 03-RZ2 A1
Mortgage backed securities 3.6% 4/33
  
460
 
Royal KPN NV
Corporate bond 8% 10/01/10
  
1,013
 
SBC Communications Inc
Corporate bond 6.25% 3/15/11
  
451
 
SBC Communications Inc
Corporate bond 4.125% 9/15/09
  
2,379
 
SLM Corp
Corporate bond 4% 1/15/09
  
681
 
SLM Corp
Corporate bond 3.5% 9/30/06
  
1,565
 
SLM Student Loan Trust SLMA 04-A B
Mortgage backed securities 3ML+58 6/33
  
203
 
SP PowerAssets Ltd
Corporate bond 3.8% 10/22/08 144
  
1,308
 
Salomon Brothers Mortgage Securities VII SBM7 00-C3 A2
Mortgage backed securities 6.592% 12/33
  
943
 
Salomon Brothers Mortgage Securities VII SBM7 00-C1 A2
Mortgage backed securities 7.52% 12/09
  
1,050
 
Salomon Brothers Mortgage Securities VII SBM7 03-HE1 A
Mortgage backed securities 1ML+40 4/33
  
225
 
Citigroup Global Markets Holdings Inc
Corporate bond 6.5% 2/15/08
  
288
 
Citigroup Global Markets Holdings Inc
Corporate bond 5.875% 3/15/06 DT
  
2,568
 
Securitized Asset Backed Receivables LLC Trust SABR 04-NC1 M1
Mortgage backed securities 1ML+52 2/34
  
290
 
Sequoia Mortgage Trust SEMT 03-6 A2
Mortgage backed securities 6ML+33 11/33
  
984
 
Sequoia Mortgage Trust SEMT 04-1 A
Mortgage backed securities 6ML+30 2/34
  
870
 
Sequoia Mortgage Trust SEMT 04-2 A
Mortgage backed securities 6ML+27 3/34
  
599
 
SouthTrust Corp
Corporate bond 5.8% 6/15/14
  
576
 
Southwestern Public Service Co
Corporate bond 5.125% 11/06
  
756
 
Amortizing Residential Collateral Trust ARC 02-BC1 M2
Mortgage backed securities 1ML+110 1/32
  
256
 
Structured Asset Securities Corp SASC 04-GEL1 A
Mortgage backed securities 1ML+36 2/34
  
143
(a)
(b)
Identity of issue, borrower, lessor, or similar party
(c)
Description of investment, including maturity date, rate of interest, collateral, par or maturity value
(d)
Historical cost
(e)
Current value
 
Structured Asset Securities Corp SASC 04-NP1 A
Mortgage backed securities 1ML+40 9/33
  
402
 
Target Corp
Corporate bond 5.375% 6/15/09
  
821
 
Telecom Italia Capital SA
Corporate bond 4% 11/15/08
  
1,801
 
Telecom Italia Capital SA
Corporate bond 4% 1/15/10 144A
  
915
 
Telefonica Europe BV
Corporate bond 7.75% 9/15/10
  
597
 
Terwin Mortgage Trust TMTS 04-1HE A
Mortgage backed securities 1ML+51 2/35
  
411
 
Textron Financial Corp
Corporate bond 2.75% 6/01/06
  
451
 
Textron Inc
Corporate bond 4.5% 8/01/10
  
391
 
Thornburg Mortgage Securities Trust TMST 04-3 A
Mortgage backed securities 1ML+37 9/34
  
645
 
Travelers Property Casualty Corp
Corporate bond 3.75% 3/15/08
  
330
 
US Bank NA
Corporate bond 3.9% 8/15/08
  
1,068
 
US Bank NA
Corporate bond 6.375% 8/01/11
  
567
 
SLM Corp
Corporate bond 5.625% 4/10/07
  
1,176
 
UBS AG
SYNTHETIC GIC GLOBAL WRAP AGREEMENT CONTRACT - 4.22%
  
(1,860)
 
Union Planters Bank NA
Corporate bond 5.125% 6/15/07
  
521
 
US Bancorp
Corporate bond 5.1% 7/15/07
  
317
 
United States Treasury Note/Bond
USTB 10.375% 11/15/12 C07
  
6,899
 
United States Treasury Note/Bond
USTN 3.125% 5/15/07
  
7,662
 
United States Treasury Note/Bond
USTN 4% 6/15/09
  
29,738
 
Verizon Global Funding Corp
Corporate bond 7.25% 12/1/10
  
1,697
 
Verizon New York Inc
Corporate bond 6.875% 4/01/12
  
421
 
Virginia Electric and Power Co
Corporate bond 5.75% 3/31/06
  
1,253
 
Volkswagen Auto Lease Trust VWALT 04-A A3
Asset backed securities 2.84% 7/07
  
1,256
 
WFS Financial Owner Trust WESTO 04-3 A3
Mortgage backed securities 3.3% 3/09
  
828
 
WFS Financial Owner Trust WESTO 04-3 A4
Mortgage backed securities 3.93% 2/12
  
673
 
WFS Financial Owner Trust WESTO 04-4 A4
Mortgage backed securities 3.44% 5/12
  
1,231
 
Wachovia Bank Commercial Mortgage Trust WBCMT 03-C6 A2
Mortgage backed securities 4.498% 8/35
  
890
 
Wachovia Bank Commercial Mortgage Trust WBCMT 03-C8 A3
Mortgage backed securities 4.445% 11/35
  
1,852
 
Wachovia Bank Commercial Mortgage Trust WBCMT 04-C14 A2
Mortgage backed securities 4.368% 8/41
  
1,566
 
Wachovia Bank Commercial Mortgage Trust WBCMT 04-C15 XP
Interest only strip CSTR 10/41
  
1,047
 
Wachovia Corp/Old
Corporate bond 6.15% 3/15/09
  
332
 
Wachovia Corp
Corporate bond 4.875% 2/15/14
  
319
 
Wachovia Corp
Corporate bond 5.25% 8/14 LT2
  
506
 
Washington Mutual Inc
Corporate bond 4% 1/15/09
  
776
 
Washington Mutual MSC Mortgage Pass-Through CTFS WAMMS 03-MS9 2A1
Mortgage backed securities 7.5% 12/33
  
172
 
Wells Fargo & Co
Corporate bond 5.25% 12/01/07
  
362
 
Wells Fargo & Co
Corporate bond 4% 9/10/12
  
476
 
Wells Fargo & Co
Corporate bond 4.2% 1/15/10
  
1,709
 
Westfield Capital Corp Ltd/WT Finance Aust Pty Ltd/WEA Finance LLC
Corporate bond 4.375% 11/15/10 144A
  
895
 
Whole Auto Loan Trust WALT 04-1 A3
Mortgage backed securities 2.96% 6/08
  
1,663
 
World Omni Auto Receivables Trust WOART 04-A A4
Asset backed securities 3.96% 7/11
  
1,042
 
XL Capital Ltd
Corporate bond 5.25% 9/15/14
  
758
 
Wisconsin Energy Corp
Corporate bond 5.875% 4/01/06
  
429
 
Sub-total Managed Income Fund
    
614,657
 
Self Directed Brokerage Account
Various registered investment companies
**
2,196
 
Total Assets
    
$1,392,046
         
* Represents a party-in-interest to the Plan.
** Historical cost is omitted because the investment is participant-directed.

 


SIGNATURES

The Plan. Pursuant to the requirements of the Securities Exchange Act of 1934, the trustees (or other persons who administer the employee benefit plan) have duly caused this annual report to be signed by the undersigned thereunto duly authorized.

Eastman Investment and Employee
Stock Ownership Plan

Date: July 13, 2005
By: /s/ Curtis E. Espeland_ _
 
Curtis E. Espeland
 
Vice President and Controller


33


Eastman Investment and Employee Stock Ownership Plan
Exhibit Index

Exhibit
Number
Description
Sequential
Page Number
     
23.01
Consent of Independent Registered Public Accounting Firm
35
     
 
34