(Mark
One)
|
|
[
]
|
ANNUAL
REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF
1934
[NO FEE REQUIRED]
|
For
the fiscal year ended _______________
|
|
OR
|
|
[X]
|
TRANSITION
REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF
1934
[NO FEE REQUIRED]
|
For
the transition period from December 30, 2006 to December 31,
2006
|
Commission
file number 1-12626
|
A.
Full Title of the plan and the address of the plan, if different
from that
of the issuer named below:
|
EASTMAN
INVESTMENT AND EMPLOYEE STOCK OWNERSHIP PLAN
|
B.
Name of issuer of the securities held pursuant to the plan and the
address
of its principal executive office:
|
EASTMAN
CHEMICAL COMPANY
|
200
S. Wilcox Drive
|
Kingsport,
Tennessee 37660
|
Report
of Independent Registered Public Accounting Firm
|
3
|
Basic
Financial Statements:
|
|
Statements
of Net Assets Available for Benefits
|
4
|
Statements
of Changes in Net Assets Available for Benefits
|
5
|
Notes
to Financial Statements
|
6
–
18
|
Additional
Information (Note A):
|
19
|
Schedule
of Assets (Held at End of Year)
|
|
Signatures
|
42
|
Exhibits
|
43
|
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
30,
|
|||||||||||
2006
|
2006
|
|||||||||||
Non-
|
Non-
|
|||||||||||
Participant
|
participant
|
Participant
|
participant
|
|||||||||
Directed
|
Directed
|
Total
|
Directed
|
Directed
|
Total
|
|||||||
Assets
|
||||||||||||
Investments
at fair value
|
$
|
1,379,266
|
$
|
102,961
|
$
|
1,482,227
|
$
|
1,379,245
|
$
|
102,961
|
$
|
1,482,206
|
Receivables:
|
||||||||||||
Sponsor
|
31,009
|
3,382
|
34,391
|
31,009
|
3,382
|
34,391
|
||||||
Other
|
1,394
|
802
|
2,196
|
1,394
|
802
|
2,196
|
||||||
Total
assets
|
1,411,669
|
107,145
|
1,518,814
|
1,411,648
|
107,145
|
1,518,793
|
||||||
Liabilities
|
||||||||||||
Accrued
expenses
|
13
|
16
|
29
|
13
|
16
|
29
|
||||||
Other
liabilities
|
545
|
879
|
1,424
|
545
|
879
|
1,424
|
||||||
Total
liabilities
|
558
|
895
|
1,453
|
558
|
895
|
1,453
|
||||||
Adjustment
from fair value to contract value for fully benefit-responsive investment
contracts
|
7,789
|
--
|
7,789
|
5,554
|
--
|
5,554
|
||||||
Net
assets available
|
||||||||||||
for
plan benefits
|
$
|
1,418,900
|
$
|
106,250
|
$
|
1,525,150
|
$
|
1,416,644
|
$
|
106,250
|
$
|
1,522,894
|
December
31, 2006
|
December
30, 2006
|
|||||||||||
Non-
|
Non-
|
|||||||||||
Participant
|
participant
|
Participant
|
participant
|
|||||||||
Directed
|
Directed
|
Total
|
Directed
|
Directed
|
Total
|
|||||||
Additions
to net assets:
|
||||||||||||
Investment
income (loss)
|
||||||||||||
Interest
|
$
|
2,256
|
$
|
--
|
$
|
2,256
|
$
|
26,592
|
$
|
--
|
$
|
26,592
|
Dividends
|
--
|
--
|
--
|
58,845
|
3,324
|
62,169
|
||||||
Net
appreciation (depreciation) in fair value of
|
||||||||||||
investments
|
--
|
--
|
--
|
27,345
|
14,469
|
41,814
|
||||||
Net
investment gain (loss)
|
2,256
|
--
|
2,256
|
112,782
|
17,792
|
130,575
|
||||||
Participant
contributions
|
--
|
--
|
--
|
69,396
|
--
|
69,396
|
||||||
Plan
Sponsor contributions
|
--
|
--
|
--
|
31,009
|
3,382
|
34,391
|
||||||
Interfund
transfers
|
--
|
--
|
--
|
17,269
|
(17,269)
|
--
|
||||||
Total
additions
|
2,256
|
--
|
2,256
|
230,456
|
3,906
|
234,362
|
||||||
Deductions
from net assets:
|
||||||||||||
Distributions
to and withdrawals
|
||||||||||||
by
participants
|
--
|
--
|
--
|
187,168
|
5,213
|
192,381
|
||||||
Loan
transfers, net
|
--
|
--
|
--
|
556
|
(556)
|
--
|
||||||
Administrative
expenses
|
--
|
--
|
--
|
164
|
--
|
164
|
||||||
Total
deductions
|
--
|
--
|
--
|
187,888
|
4,657
|
192,545
|
||||||
Net
increase (decrease) in net assets
|
2,256
|
--
|
2,256
|
42,568
|
(751)
|
41,817
|
||||||
Net
assets available for plan
|
||||||||||||
benefits
at beginning of period
|
1,416,644
|
106,250
|
1,522,894
|
1,374,076
|
107,001
|
1,481,077
|
||||||
Net
assets available for plan
|
||||||||||||
benefits
at end of period
|
$
|
1,418,900
|
$
|
106,250
|
$
|
1,525,150
|
$
|
1,416,644
|
$
|
106,250
|
$
|
1,522,894
|
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 $5,000. 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. Hardship withdrawals may not exceed the value of
the participant’s accounts in the Plan on the date of
withdrawal.
|
·
|
The
Trustee is authorized to honor qualified domestic relation orders
issued
and served in accordance with Section 414(p) of the Internal Revenue
Code.
|
·
|
Effective
March 28, 2005 the Plan was amended to lower the involuntary cash
out
limit from $5,000 to $1,000 for the majority of plan
participants.
|
·
|
The
Company may make a direct contribution of cash to the ESOP Fund,
which
would then be used to purchase Eastman common stock or other
securities.
|
·
|
The
Company may contribute shares of Eastman common stock directly to
the ESOP
Fund.
|
·
|
The
Company may direct the Trustee to obtain a loan to purchase securities
(i.e., leveraged ESOP). Until the loan is repaid, securities
acquired with the respective loan process are not available to be
allocated to participants' accounts and are maintained in a "Loan
Suspense
Account". On the last day of each plan year, a proportionate
share of securities relating to loan amounts which have been repaid
will
be transferred out of the Loan Suspense Account and allocated to
the
accounts of ESOP Fund participants. The ESOP Fund currently is
not a leveraged ESOP.
|
·
|
Plan
Sponsor contributions made or invested in shares of Eastman common
stock.
|
·
|
Shares
of Eastman common stock purchased with assets transferred to the
ESOP Fund
pursuant to the spin-off from Eastman Kodak Company and/or acquired
with
the proceeds of a loan released from the Loan Suspense
Account.
|
·
|
An
allocable share of short-term interest and money market funds held
in the
ESOP Fund for purposes of payment of expenses and similar
purposes.
|
·
|
After-tax
contributions transferred to the ESOP Fund pursuant to the spin-off
from
Eastman Kodak Company (such after-tax contributions are no longer
permitted under the ESOP
provisions).
|
2.
|
SUMMARY
OF ACCOUNTING POLICIES
|
3.
|
CONTRIBUTIONS
|
4.
|
LOANS
TO PARTICIPANTS
|
5.
|
INVESTMENTS
|
|
This
non-participant directed fund consists primarily of Eastman Class
A common
stock. Purchases and sales of Eastman stock are generally made
on the open market, on behalf of its participants and as directed
by the
Plan’s guidelines. On December 31, 2006, the Trustee purchased 0 (zero)
shares of Eastman stock, and sold 0 (zero) shares of Eastman stock
for the
fund. During the year ended December 30, 2006, the Trustee
purchased 63,800 shares of Eastman stock for the fund at an average
price
of $50.90 per share, and sold 311,700 shares at an average price
of $55.52
per share.
|
December
31,2006
|
|||||
Shares
|
Fair
value
|
||||
Eastman
Chemical Company Common Stock,
|
7,316
|
$
|
102,961
|
||
Non
Participant Directed
|
|||||
Fidelity
Magellan® Fund
|
908
|
81,298
|
|||
Fidelity
Contrafund
|
2,005
|
130,694
|
|||
December
30, 2006
|
|||||
Shares
|
Fair
value
|
||||
Eastman
Chemical Company Common Stock,
|
7,316
|
$
|
102,961
|
||
Non
Participant Directed
|
|||||
Fidelity
Magellan® Fund
|
908
|
81,298
|
|||
Fidelity
Contrafund
|
2,005
|
130,694
|
Net
Appreciation
|
||||
(Depreciation)
|
||||
December
31, 2006
|
December
30, 2006
|
|||
Eastman
Chemical Company Common Stock, Non Participant
Directed
|
$
|
--
|
$
|
14,469
|
Eastman
Chemical Company Common Stock, Participant Directed
|
--
|
13,930
|
||
Mutual
Funds
|
--
|
13,415
|
||
Total
|
$
|
--
|
$
|
41,814
|
6.
|
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, 2006
|
December
30, 2006
|
||
Based
on actual earnings
|
4.96%
|
4.96%
|
||
Based
on interest rate credited to participants
|
4.37%
|
4.37%
|
(in
thousands)
|
December
31, 2006
|
December
30, 2006
|
||
Security
backed investments:
|
||||
Underlying
assets at fair value
|
$
|
601,745
|
$
|
601,724
|
Wrap
contracts
|
7,789
|
5,554
|
||
Total
contract value
|
$
|
609,534
|
$
|
607,278
|
7.
|
OTHER
RECEIVABLES
|
8.
|
DIVERSIFICATION
FROM ESOP FUND
|
9.
|
PLAN
TERMINATION
|
10.
|
FEDERAL
INCOME TAX STATUS
|
11.
|
PLAN
EXPENSES
|
12.
|
RELATED
PARTIES
|
13.
|
RECONCILIATION
OF FINANCIAL STATEMENTS TO FORM
5500
|
(in
thousands)
|
December
31, 2006
|
December
30, 2006
|
||
Investments
at fair value
|
$
|
1,482,227
|
$
|
1,482,206
|
Adjustment
from fair value to contract value for full benefit-responsive investment
contracts
|
7,789
|
5,554
|
||
Total
investments per Form 5500
|
$
|
1,490,016
|
$
|
1,487,760
|
(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,
4,515
shares
|
**
|
61,077
|
*
|
Fidelity
Management Trust Company
|
Interest
Bearing Cash, Participant directed
|
**
|
806
|
*
|
Eastman
Chemical Company
|
Common
stock, Non Participant directed, 7,316 shares
|
90,099
|
101,667
|
*
|
Fidelity
Management Trust Company
|
Interest
Bearing Cash, Non Participant directed
|
1,294
|
1,294
|
*
|
Fidelity
Fund
|
Registered
Investment Company, 1,264 shares
|
**
|
45,297
|
*
|
Fidelity
Puritan Fund
|
Registered
Investment Company, 2,841 shares
|
**
|
56,727
|
*
|
Fidelity
Magellan Fund
|
Registered
Investment Company, 908 shares
|
**
|
81,298
|
*
|
Fidelity
Contrafund
|
Registered
Investment Company, 2,005 shares
|
**
|
130,694
|
*
|
Fidelity
Spartan U.S. Equity Index Portfolio
|
Registered
Investment Company, 783 shares
|
**
|
39,286
|
*
|
Fidelity
International Discovery Fund
|
Registered
Investment Company, 1,592 shares
|
**
|
60,385
|
*
|
Fidelity
Blue Chip Growth Fund
|
Registered
Investment Company, 320 shares
|
**
|
14,195
|
*
|
Fidelity
Freedom Income Fund
|
Registered
Investment Company, 171 shares
|
**
|
1,969
|
*
|
Fidelity
Freedom 2000 Fund
|
Registered
Investment Company, 114 shares
|
**
|
1,418
|
*
|
Fidelity
Freedom 2010 Fund
|
Registered
Investment Company, 824 shares
|
**
|
12,053
|
*
|
Fidelity
Freedom 2020 Fund
|
Registered
Investment Company, 1,006 shares
|
**
|
15,631
|
*
|
Fidelity
Freedom 2030 Fund
|
Registered
Investment Company, 611 shares
|
**
|
9,802
|
*
|
Fidelity
Freedom 2040 Fund
|
Registered
Investment Company, 482 shares
|
**
|
4,573
|
*
|
Fidelity
Spartan Extended Market Index Portfolio
|
Registered
Investment Company, 389 shares
|
**
|
14,970
|
*
|
Fidelity
Spartan International Index Fund
|
Registered
Investment Company, 405 shares
|
**
|
17,891
|
*
|
Participant
Loans
|
Participant
Loan Fund with terms ranging from 3-122 months and rates ranging
from 4%
to 10.5%
|
**
|
29,467
|
*
|
PIMCO
Total Return Fund
|
Registered
Investment Company, 2,456 shares
|
**
|
25,493
|
*
|
Franklin
Small Mid Cap Growth Fund
|
Registered
Investment Company, 648 shares
|
**
|
24,844
|
*
|
Neuberger
and Berman Genesis Instl Cl
|
Registered
Investment Company, 1,239 shares
|
**
|
56,663
|
*
|
Templeton
Foreign Fund
|
Registered
Investment Company, 905 shares
|
**
|
12,294
|
*
|
Fidelity
Retirement Money Market
|
Registered
Investment Company, 71 share
|
**
|
71
|
*
|
Clipper
Fund
|
Registered
Investment Company, 145 shares
|
**
|
13,333
|
*
|
TCW
Galileo Select Equities Fund
|
Registered
Investment Company, 114 shares
|
**
|
2,184
|
*
|
WFA
Small Cap Val Z
|
Registered
Investment Company, 1,177 shares
|
**
|
36,655
|
(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
|
**
|
17,099
|
|
Accredited Mortgage
Loan Trust ACCR 03-2 A1
|
**
|
367
|
|
|
Accredited Mortgage
Loan Trust ACCR 03-3 A1
|
Mortgage
backed security 4.46% 12/33
|
**
|
348
|
|
ACE
Securities Corp. ACE 03-NC1 M1
|
Mortgage
backed security 1ML+78 7/33
|
**
|
171
|
|
ACE
Securities Corp. ACE 02-HE1 M1
|
Mortgage
backed security 1ML+65 6/32
|
**
|
200
|
|
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 6/3
|
**
|
101
|
|
ACE
Securities Corp. ACE 03-HE1 M1
|
Mortgage
backed security 1ML+65 11/32
|
**
|
189
|
|
ACE
Securities Corp. ACE 04-FM1 M1
|
Mortgage
backed security 1ML+60 9/33
|
**
|
152
|
AEGON
|
Synthetic
GIC Global Wrap – 4.45%
|
**
|
1,948
|
|
|
Aesop
Funding II LLC ESOP 05-1A A1
|
Mortgage
backed security 3.95% 4/08
|
**
|
985
|
|
AIFUL
Corporation
|
Corporate
Bond 4.45% 2/16/10 144A
|
**
|
3,264
|
|
AIFUL
Corporation
|
Corporate
Bond 5% 8/10/10 144A
|
**
|
381
|
|
AIFUL
Corporation
|
Corporate
Bond 6% 12/12/11 144A
|
**
|
20
|
|
Alabama
Power Co
|
Corporate
Bond 3.5% 11/15/07
|
**
|
559
|
|
Altria
Group Inc
|
Corporate
Bond 7.2% 2/01/07
|
**
|
928
|
|
America
Movil SAB DE CV
|
Corporate
Bond 4.125% 3/1/09
|
**
|
1,283
|
|
American
General Finance Corp
|
Corporate
Bond 2.75% 6/15/08
|
**
|
507
|
|
American
General Finance Corp
|
Corporate
Bond 4.625% 5/15/09
|
**
|
1,119
|
|
American
General Finance Corp
|
Corporate
Bond 3.875% 10/1/09
|
**
|
433
|
|
American
General Finance Corp
|
Corporate
Bond 4.875% 5/15/10
|
**
|
1,045
|
|
American
Honda Finance Corp
|
Corporate
Bond 4.5% 5/26/09 144A
|
**
|
1,185
|
|
American
Honda Finance Corp
|
Corporate
Bond 4.25% 3/11/08 144A
|
**
|
1,865
|
|
AmeriCredit
Automobile Receivables Trust AMCAR 04-CA A4
|
Mortgage
backed security 3.61% 5/11
|
**
|
295
|
|
AmeriCredit
Automobile Receivables Trust AMCAR 04-1 B
|
Mortgage
backed security 3.7% 1/09
|
**
|
42
|
|
AmeriCredit
Automobile Receivables Trust AMCAR 04-1 C
|
Mortgage
backed security 4.22% 7/09
|
**
|
80
|
|
AmeriCredit
Automobile Receivables Trust AMCAR 04-DF A4
|
Mortgage
backed security 3.43 7/11
|
**
|
767
|
|
AmeriCredit
Automobile Receivables Trust AMCAR 06-BG A4
|
Mortgage
backed security 5.21% 9/13
|
**
|
715
|
|
AmeriCredit
Automobile Receivables Trust AMCAR 06-1 B
|
Mortgage
backed security 5.2% 3/11
|
**
|
70
|
|
AmeriCredit
Automobile Receivables Trust AMCAR 06-BG A3
|
Mortgage
backed security 5.21% 10/11
|
**
|
356
|
|
AmeriCredit
Automobile Receivables Trust AMCAR 05-CF A4
|
Mortgage
backed security 4.63% 6/12
|
**
|
1,397
|
|
AmeriCredit
Automobile Receivables Trust AMCAR 06-1 A3
|
Mortgage
backed security 5.11% 10/10
|
**
|
561
|
|
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
|
|
Ameritech
Capital Funding
|
Corporate
Bond 6.25% 5/18/09
|
**
|
851
|
(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
|
|
Amortizing
Residential Collateral ARC 02-BC1 M2
|
Mortgage
backed security 1ML+110 1/3
|
**
|
43
|
|
ANZ
National London Inc
|
Corporate
Bond 4.265% 5/16/08 144A
|
**
|
1,802
|
|
ARG
Funding Corp ARGF 05/1A A1
|
Mortgage
Backed Security 4.02% 4/09
|
**
|
1,628
|
|
ARG
Funding Corp ARGF 05-2A A1
|
Mortgage
Backed Security 4.54% 5/09
|
**
|
1,270
|
|
Asset
Backed Securities Corp Home Equity ABSHE 03-HE6 M1
|
Mortgage
backed security 1ML+65 11/33
|
**
|
378
|
|
Asset
Backed Securities Corp Home Equity ABSHE 04-HE3 M1
|
Mortgage
backed security 1ML+54 6/34
|
**
|
151
|
|
Associates
Corp of North America
|
Corporate
Bond 6.875%11/15/08
|
**
|
124
|
|
Associates
Corp of North America
|
Corporate
Bond 6.25% 11/01/08
|
**
|
805
|
|
AT&T
Corp
|
Corporate
Bond 6% 3/15/09 DTC
|
**
|
196
|
|
AT&T
Inc/SBC Communications
|
Corporate
Bond 6.25% 3/15/11
|
**
|
426
|
|
AT&T
Inc/SBC Communications
|
Corporate
Bond 4.125% 9/15/09
|
**
|
2,331
|
|
Avon
Products Inc
|
Corporate
Bond 5.125% 1/15/11
|
**
|
193
|
|
AXA
Financial Inc
|
Corporate
Bond 7.75% 8/01/10
|
**
|
1,037
|
|
Banc
of America Commercial Mortgage Inc BACM 05-4 XP
|
Interest
only strip CSTR 7/45
|
**
|
82
|
|
Banc
of America Commercial Mortgage Inc BACM 2006-5 XP
|
Interest
only strip 0.832% 9/47
|
**
|
338
|
|
Banc
of America Commercial Mortgage Inc BACM 04-2 A2
|
Mortgage
backed security 3.52% 11/38
|
**
|
1,079
|
|
Banc
of America Commercial Mortgage Inc BACM 04-5 XP
|
Interest
only strip CSTR 11/41
|
**
|
183
|
|
Banc
of America Commercial Mortgage Inc BACM 05-3 A3B
|
Mortgage
backed security CSTR 7/43
|
**
|
945
|
|
Banc
of America Commercial Mortgage Inc BACM 05-4 A1
|
Mortgage
backed security 4.432 % 7/45
|
**
|
744
|
|
Banc
of America Commercial Mortgage Inc BACM 04-6 XP
|
Interest
only strip CSTR 12/42
|
**
|
123
|
|
Banc
of America Commercial Mortgage Inc BACM 05-3 XP
|
Interest
only strip CSTR 7/43
|
**
|
286
|
|
Banc
of America Commercial Mortgage Inc BACM 2003-2 A2
|
Mortgage
backed security 4.342% 3/41
|
**
|
1,310
|
|
Banc
of America Commercial Mortgage Inc BACM 06-5 A1
|
Mortgage
backed security 5.185% 7/11
|
**
|
332
|
|
Banc
of America Commercial Mortgage Inc BACM 05-5 A1
|
Mortgage
backed security 4.716% 8/10
|
**
|
994
|
|
Banc
of America Commercial Mortgage Inc BACM 06-6 XP
|
Interest
only strip CSTR 10/45
|
**
|
394
|
|
Banc
of America Commercial Mortgage Inc BACM 05-6 A1
|
Mortgage
backed security 5.001% 9/47
|
**
|
611
|
|
Banc
of America Commercial Mortgage Inc BACM 04-4 A3
|
Mortgage
backed security 4.128% 7/42
|
**
|
668
|
(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
|
|
Banc
of America Commercial Mortgage Inc BACM 05-1 A2
|
Mortgage
backed security 4.64% 11/42
|
**
|
1,443
|
|
Banc
of America Large Loan BALL 05-ESHA X1
|
Interest
only strip CSTR 7/20
|
**
|
50
|
|
Banc
of America Mortgage Security Inc BOAMS 05-E 2A7
|
Mortgage
backed security CSTR 6/35
|
**
|
656
|
|
Banc
of America Mortgage Security Inc BOAMS 05-J 2A4
|
Mortgage
backed security 12ML 11/35
|
**
|
2,085
|
|
Bank
of America Corporation
|
Corporate
Bond 6.25% 4/01/08
|
**
|
241
|
|
Bank
of New York Inc
|
Corporate
Bond 4.25%/3ML 9/4/12
|
**
|
604
|
|
Bank
of New York Inc
|
Corporate
Bond 3.4/3ML+148 3/15/13
|
**
|
2,109
|
|
Bank
One Corporation
|
Corporate
Bond 6% 8/01/08 D
|
**
|
1,048
|
|
Bank
One Corporation
|
Corporate
Bond 2.625% 6/30/08
|
**
|
2,145
|
|
Bank
One Issuance Trust BOIT 04-B2 B2
|
Mortgage
backed security 4.37% 4/12
|
**
|
1,366
|
|
Bank
One Texas
|
Corporate
Bond 6.25% 2/15/08
|
**
|
620
|
|
Bayview
Commercial Asset Trust BAYC 04-3 M1
|
Mortgage
backed security 1ML+50 1/35
|
**
|
110
|
|
Bayview
Commercial Asset Trust BAYC 04-2 A
|
Mortgage
backed security 1ML+43 8/34
|
**
|
493
|
|
Bayview
Commercial Asset Trust BAYC 04-2 M1
|
Mortgage
backed security 1ML+58 8/34
|
**
|
158
|
|
Bayview
Commercial Asset Trust BAYC 04-3 M2
|
Mortgage
backed security 1ML+100 1/35
|
**
|
73
|
|
Bayview
Financial Acquisition Trust BAYV 04-C A1
|
Mortgage
backed security 1ML+42 5/44
|
**
|
459
|
|
BBVA
Bancomer SA
|
Corporate
Bond 5.3795% 7/22/15 144A
|
**
|
506
|
|
Bear
Stearns Asset Backed Securities BSARM 05-6 1A1
|
Mortgage
backed security CSTR 8/35
|
**
|
1,262
|
|
Bear
Stearns Asset Backed Securities BSABS 04-BO1 M4
|
Mortgage
backed security 1ML+120 9/34
|
**
|
225
|
|
Bear
Stearns Asset Backed Securities BSABS 04-BO1 M3
|
Mortgage
backed security 1ML+105 9/34
|
**
|
264
|
|
Bear
Stearns Commercial Mortgage Securities BSCMS 04-ESA
A3
|
Mortgage
backed security 4.741% 5/16
|
**
|
1,116
|
|
Bear
Stearns Commercial Mortgage Securities BSCMS 04-ESA D
|
Mortgage
backed security 4.986% 5/16
|
**
|
140
|
|
Bear
Stearns Commercial Mortgage Securities BSCMS 2006-T24
X2
|
Interest
only strip CSTR 10/41
|
**
|
225
|
|
Bear
Stearns Commercial Mortgage Securities BSCMS 04-ESA C
|
Mortgage
backed security 4.937% 5/16
|
**
|
388
|
|
Bear
Stearns Commercial Mortgage Securities BSCMS 04-ESA F
|
Mortgage
backed security 5.182% 5/16
|
**
|
105
|
|
Bear
Stearns Commercial Mortgage Securities BSCMS 04-PWR5
A2
|
Mortgage
backed security 4.254% 7/42
|
**
|
631
|
(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 Securities BSCMS 04-T16
A3
|
Mortgage
backed security 4.03% 2/46
|
**
|
1,514
|
|
Bear
Stearns Commercial Mortgage Securities BSCMS 03-PWR2
A3
|
Mortgage
backed security 4.83% 5/39
|
**
|
420
|
|
Bear
Stearns Commercial Mortgage Securities BSCMS 06-PW13
X2
|
Interest
only strip CSTR 9/41
|
**
|
223
|
|
Bear
Stearns Commercial Mortgage Securities BSCMS 03-T12
X2
|
Interest
only strip CSTR 8/39
|
**
|
49
|
|
Bear
Stearns Commercial Mortgage Securities BSCMS 04-PWR5
X2
|
Interest
only strip CSTR 7/42
|
**
|
163
|
|
Bear
Stearns Commercial Mortgage Securities BSCMS 05-PWR9
A1
|
Mortgage
backed security 4.498% 9/42
|
**
|
1,162
|
|
Bear
Stearns Commercial Mortgage Securities BSCMS 06-PW13
A1
|
Mortgage
backed security 5.294% 09/41
|
**
|
1,327
|
|
Bear
Stearns Commercial Mortgage Securities BSCMS 04-ESA B
|
Mortgage
backed security 4.888% 5/16
|
**
|
343
|
|
Bear
Stearns Commercial Mortgage Securities BSCMS 05-T20
A1
|
Mortgage
backed security 4.94% 10/4
|
**
|
1,073
|
|
Bear
Stearns Commercial Mortgage Securities BSCMS 04-ESA E
|
Mortgage
backed security 5.064% 5/16
|
**
|
439
|
|
Bear
Stearns Commercial Mortgage Securities BSCMS 04-PWR6
X2
|
Interest
only strip CSTR 11/41
|
**
|
104
|
|
BellSouth
Corp
|
Corporate
Bond 4.2% 9/15/09 DT
|
**
|
852
|
|
Bank
of Tokyo-Mitsubishi
|
Corporate
Bond 8.4% 4/15/10
|
**
|
1,183
|
|
Brazos
Higher Education Authority BRHEA 06-A A2R
|
Mortgage
backed security 5.03% 12/41
|
**
|
1,568
|
|
British
Telecommunications PLC
|
Corporate
Bond 12/10 DT
|
**
|
1,366
|
|
BTM
(Curacao) Holdings NV
|
Corporate
Bond 4.76% 7/21/15 144A
|
**
|
415
|
|
Canadian
Imperial Bank Comm. NY CIBC# YCD
|
Certificate
of Deposit 4.375% 7/28/2008
|
**
|
815
|
|
Capital
Auto Receivables Asset Trust CARAT 2006-SN1A C
|
Mortgage
backed security 5.77% 5/10
|
**
|
95
|
|
Capital
Auto Receivables Asset Trust CARAT 2006-SN1A A3
|
Mortgage
backed security 5.31% 10/09
|
**
|
947
|
|
Capital
Auto Receivables Asset Trust CARAT 2006-SN1A B
|
Mortgage
backed security 5.5% 4/10
|
**
|
100
|
|
Capital
Auto Receivables Asset Trust CARAT 06-1 A3
|
Mortgage
backed security 5.03% 10/09
|
**
|
240
|
|
Capital
Auto Receivables Asset Trust CARAT 2006-SN1A A4A
|
Mortgage
backed security 5.32% 3/10
|
**
|
1,078
|
|
Capital
Auto Receivables Asset Trust CARAT 06-1 B
|
Mortgage
backed security 5.26% 10/10
|
**
|
230
|
|
Capital
One Auto Finance Trust COAFT 2006-CA
|
Mortgage
backed security 5.07% 7/11
|
**
|
892
|
|
Capital
One Auto Finance Trust COAFT 05-BSS C
|
Mortgage
backed security 4.48% 12/10
|
**
|
956
|
|
Capital
One Auto Finance Trust COAFT 05-C A4A
|
Mortgage
backed security 4.71% 6/12
|
**
|
2,916
|
|
Capital
One Bank
|
Corporate
Bond 4.875% 5/15/08
|
**
|
800
|
(a)
|
(b) Identity
of issue, borrower, lessor, or similar party
|
(c) Description
of investment, including maturity date, rate of interest, collateral,
par
or maturity value
|
(d)
Historical cost
|
(e) Current
Value
|
|
Capital
One Bank
|
Corporate
Bond 4.25% 12/01/08
|
**
|
492
|
|
Capital
One Bank
|
Corporate
Bond 5% 6/15/09
|
**
|
324
|
|
Capital
One Multi-Asset Execution Trust COMET 2003-B3
B3
|
Mortgage
backed security 4.5% 6/11
|
**
|
1,847
|
|
Capital
One Multi-Asset Execution Trust COMET 04-B6 B6
|
Mortgage
backed security 4.155% 7/12
|
**
|
1,128
|
|
Capital
One Prime Auto Receivables Trust COPAR 2006-2 B
|
Mortgage
backed security 5.05% 6/13
|
**
|
334
|
|
Capital
One Prime Auto Receivables Trust COPAR 06-2 A4
|
Mortgage
backed security 4.94% 7/12
|
**
|
778
|
|
Capital
Trust Re CDO Ltd CTCDO 04-1A C
|
Mortgage
backed security 1ML+110 7/39
|
**
|
207
|
|
Capital
Trust Re CDO Ltd CTCDO 04-1A A2
|
Mortgage
backed security 1ML+45 7/39
|
**
|
301
|
|
Capital
Trust Re CDO Ltd CTCDO 04-1A B
|
Mortgage
backed security 1ML+75 7/39
|
**
|
162
|
|
CDC
Mortgage Capital Trust CDCMC 03-HE3 M1
|
Mortgage
backed security 1ML+70 11/33
|
**
|
215
|
|
Cendant
Timeshares Receivables Funding CDTIM 05-1A A1
|
Mortgage
backed security 4.67% 5/17
|
**
|
290
|
|
Chase
Commercial Mortgage Securities Corp CCMSC 99-2 A1
|
Mortgage
backed security 7.032% 1/32
|
**
|
5
|
|
Chase
Issuance Trust CHAIT 05-B2 B2
|
Mortgage
backed security 4.52 12/10
|
**
|
6,308
|
|
Chubb
Corporation
|
Corporate
Bond 5.472% 8/16/08
|
**
|
611
|
|
CIT
Equipment Collateral CITEC 05-VT1
A4
|
Mortgage
backed security 4.36 11/12
|
**
|
213
|
|
CIT
Group Inc
|
Corporate
Bond 3.375% 4/01/09
|
**
|
504
|
|
CIT
Group Inc
|
Corporate
Bond 5% 11/24/08
|
**
|
1,010
|
|
Citibank
Credit Card Issuance Trust CCCIT 05-B1 B1
|
Mortgage
backed security 4.4% 9/10
|
**
|
3,469
|
|
Citibank
Credit Card Issuance Trust CCCIT 06-B2 B2
|
Mortgage
backed security 5.15% 3/11
|
**
|
1,364
|
|
Citigroup
Commercial Mortgage Trust CGCMT 05-EMG A2
|
Mortgage
backed security 4.2211% 9/51
|
**
|
475
|
|
Citigroup
Commercial Mortgage Trust CGCMT 04-C2 XP
|
Interest
only strip CSTR 10/41
|
**
|
167
|
|
Citigroup Inc.
|
Corporate
Bond 3.625% 2/09/09
|
**
|
1,841
|
|
Citigroup/Deutschebank
Comm. CD 06-CD3 XP
|
Interest
only strip CSTR 10/48
|
**
|
776
|
|
CNH
Equipment Trust CNH 05-B B
|
Mortgage
backed security 4.57% 7/12
|
**
|
395
|
|
CNH
Equipment Trust CNH 05-B A3
|
Mortgage
backed security 4.27% 1/10
|
**
|
1,407
|
|
Commercial
Mortgage Acceptance Corp CMAC 98-C2
B
|
Mortgage
backed security CSTR 9/30
|
**
|
1,713
|
|
Commercial
Mortgage Asset Trust CMAT 99-C1 A3
|
Mortgage
backed security 6.64% 1/32
|
**
|
345
|
|
Commercial
Mortgage Pass Through COMM 99-1 A2
|
Mortgage
backed security 6.455% 5/32
|
**
|
1,089
|
|
Commercial
Mortgage Pass Through COMM 06-C8 A1
|
Mortgage
backed security 5.11% 12/46
|
**
|
707
|
|
Commercial
Mortgage Pass Through COMM 04-HTL1 D
|
Mortgage
backed security 1ML+55 7/16
|
**
|
6
|
|
Commercial
Mortgage Pass Through COMM 06-CN2A D
|
Mortgage
backed security 5.52861% 2/19
|
**
|
187
|
|
Commercial
Mortgage Pass Through COMM 04-HTL1 E
|
Mortgage
backed security 1ML+75 7/16
|
**
|
4
|
|
Commercial
Mortgage Pass Through COMM 04-HTL1 F
|
Mortgage
backed security 1ML+80 7/16
|
**
|
24
|
(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 E
|
Mortgage
backed security CSTR 2/19
|
**
|
355
|
|
Commercial
Mortgage Pass Through COMM 04-HTL1 B
|
Mortgage
backed security 1ML+45 7/16
|
**
|
3
|
|
Commercial
Mortgage Pass Through COMM 06-CN2A CFX
|
Mortgage
backed security 5.47945% 2/19
|
**
|
117
|
|
Commercial
Mortgage Pass Through COMM 06-CN2A F
|
Mortgage
backed security CSTR 2/19
|
**
|
81
|
|
Commercial
Mortgage Pass Through COMM 04-LB4A XP
|
Interest
only strip CSTR 10/37
|
**
|
305
|
|
Commercial
Mortgage Pass Through COMM 05-LP5 A2
|
Mortgage
backed security 4.63% 5/43
|
**
|
1,307
|
|
Commercial
Mortgage Pass Through COMM 05-LP5 XP
|
Interest
only strip CSTR 5/43
|
**
|
121
|
|
Commercial
Mortgage Pass Through COMM 06-C8 XP
|
Interest
only strip CSTR 12/46
|
**
|
1,044
|
|
Commercial
Mortgage Pass Through COMM 06-CN2A BFX
|
Mortgage
backed security 5.537% 2/19
|
**
|
274
|
|
Commercial
Mortgage Pass Through COMM 05-C6 XP
|
Interest
only strip CSTR 6/44
|
**
|
129
|
|
Constellation
Energy Grp.
|
Corporate
Bond 6.35% 4/01/07
|
**
|
1,221
|
|
Constellation
Energy Grp.
|
Corporate
Bond 6.125% 9/01/09
|
**
|
561
|
|
Continental
Airlines Inc CONTL AIR 98-3A2
|
Mortgage
backed security 6.32% 11/1/08
|
**
|
194
|
|
Continental
Airlines Inc CONTL AIR 991A
|
Mortgage
backed security 6.545% 2/02
|
**
|
962
|
|
Countrywide
Asset Backed Certificates CWL 03-SD3 A1
|
Mortgage
backed security 1ML+42 12/32
|
**
|
15
|
|
Countrywide
Asset Backed Certificates CWL 04-3 M1
|
Mortgage
backed security 1ML+50 6/34
|
**
|
151
|
|
Countrywide
Asset Backed Certificates CWL 04-4 A
|
Mortgage
backed security 1ML+37.5 8/34
|
**
|
56
|
|
Countrywide
Home Loans CWHL 02-25 2A1
|
Mortgage
backed security 5.5% 11/17
|
**
|
240
|
|
CPS
Auto Trust CPS 06-C A3
|
Mortgage
backed security 5.14% 1/11
|
**
|
336
|
|
Credit
Suisse Mortgage Capital CSMC 06-C4 ASP
|
Interest
only strip CSTR 9/39
|
**
|
1,493
|
|
Credit
Suisse Mortgage Capital CSMC 06-C5 ASP
|
Interest
only strip CSTR 12/39
|
**
|
849
|
|
Crown
Castle Towers LLC CCI 05-1A B
|
Mortgage
backed security 4.878% 6/35
|
**
|
524
|
|
Crown
Castle Towers LLC CCI 05-1A C
|
Mortgage
backed security 5.074% 6/35
|
**
|
477
|
|
CS
First Boston Mortgage Securities Corp CSFB 97-C2 A3
|
Mortgage
backed security 6.55% 1/35
|
**
|
566
|
|
CS
First Boston Mortgage Securities Corp CSFB 04-C4 ASP
|
Interest
only strip CSTR 10/39
|
**
|
165
|
|
CS
First Boston Mortgage Securities Corp CSFB 05-C1 ASP
|
Interest
only strip CSTR 2/38
|
**
|
138
|
|
CS
First Boston Mortgage Securities Corp CSFB 99-C1 A2
|
Mortgage
backed security 7.29% 9/41
|
**
|
2,744
|
|
CS
First Boston Mortgage Securities Corp CSFB 01-CK3 A3
|
Mortgage
backed security 6.4% 6/34
|
**
|
431
|
|
CS
First Boston Mortgage Securities Corp CSFB 03-C4
A3
|
Mortgage
backed security CSTR 8/36
|
**
|
561
|
|
CS
First Boston Mortgage Securities Corp CSFB 03-C5
A3
|
Mortgage
backed security 4.429% 12/36
|
**
|
952
|
|
CS
First Boston Mortgage Securities Corp CSFB 04-C1
A3
|
Mortgage
backed security 4.321% 1/37
|
**
|
509
|
|
CS
First Boston Mortgage Securities Corp CSFB 05-C4
ASP
|
Interest
only strip CSTR 8/38
|
**
|
337
|
|
CS
First Boston Mortgage Securities Corp CSFB 2004-C1
A2
|
Mortgage
backed security 3.516 % 1/37
|
**
|
1,437
|
(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 05-C2 ASP
|
Interest
only strip CSTR 4/37
|
**
|
186
|
|
CW
Capital Cobalt CWCI 06-C1 A2
|
Mortgage
backed security 5.122% 8/15/48
|
**
|
1,045
|
|
Daimler
Chrysler Auto Trust DCAT 2006-C A4
|
Mortgage
backed security 4.98% 11/11
|
**
|
1,011
|
|
Daimler
Chrysler Auto Trust DCAT 2006-C B
|
Mortgage
backed security 5.11% 4/13
|
**
|
847
|
|
Daimler
Chrysler NA Holding Corp
|
Corporate
Bond 5.75% 8/10/09
|
**
|
2,995
|
|
Deutsche
Telekom Int. Fin.
|
Corporate
Bond 5.375% 3/23/11
|
**
|
1,866
|
|
Diversified
Reit Trust DRT 00-1A A2
|
Mortgage
backed security 6.971% 3/10
|
**
|
521
|
|
DLJ
Commercial Mortgage Corp DLJCM 00-CF1 A1B
|
Mortgage
backed security 7.62% 6/33
|
**
|
904
|
|
DLJ
Commercial Mortgage Corp DLJCM 99-CG1 A1B
|
Mortgage
backed security 6.46% 3/32
|
**
|
1,015
|
|
DLJ
Commercial Mortgage Corp DLJCM 1999-CG1 A3
|
Mortgage
backed security 6.77% 3/32
|
**
|
1,396
|
|
RR
Donnelley & Sons Co.
|
Corporate
Bond 3.75% 4/1/09
|
**
|
1,871
|
|
Drive
Auto Receivables Trust DRIVE 05-3 A3
|
Mortgage
backed security 4.99% 10/10
|
**
|
1,297
|
|
Drive
Auto Receivables Trust DRIVE 06-2 A-2
|
Mortgage
backed security 5.3% 7/11
|
**
|
882
|
|
Drive
Auto Receivables Trust DRIVE 06-2 A-3
|
Mortgage
backed security 5.33% 4/14
|
**
|
1,130
|
|
DriveTime
Auto Owner Trust DRVT 2006-A A3
|
Mortgage
backed security 5.501% 11/11
|
**
|
801
|
|
DriveTime
Auto Owner Trust DRVT 2006-B A2
|
Mortgage
backed security 5.32% 3/10
|
**
|
1,398
|
|
DriveTime
Auto Owner Trust DRVT 2006-B A3
|
Mortgage
backed security 5.23% 8/12
|
**
|
792
|
|
Exelon
Generation Co.Inc
|
Corporate
Bond 6.95% 6/15/11
|
**
|
1,337
|
|
Fannie
Mae
|
FNMA 7.00% 6/08
#050751
|
**
|
202
|
|
Fannie
Mae
|
FNMA 7.00% 1/13
#251428
|
**
|
8
|
|
Fannie
Mae
|
FNMA 7.00% 8/08
#252068
|
**
|
26
|
|
Fannie
Mae
|
FNMA
ARM 4.25% 2/35 255658
|
**
|
92
|
|
Fannie
Mae
|
FNMA 6.50% 11/13
#323755
|
**
|
342
|
|
Fannie
Mae
|
FNMA 7.00% 8/14
#323877
|
**
|
62
|
|
Fannie
Mae
|
FNMA 6.00%
3/14 #487614
|
**
|
40
|
|
Fannie
Mae
|
FNMA 6.50% 9/14
#514373
|
**
|
2
|
|
Fannie
Mae
|
FNMA 7.00% 11/14
#522277
|
**
|
31
|
|
Fannie
Mae
|
FNMA 6.50% 10/13
#535234
|
**
|
615
|
|
Fannie
Mae
|
FNMA 7.00% 6/16
#545122
|
**
|
21
|
|
Fannie
Mae
|
FNMA
ARM 4.305% 8/33 555696
|
**
|
153
|
|
Fannie
Mae
|
FNMA 7.00% 2/16
#569915
|
**
|
58
|
|
Fannie
Mae
|
FNMA 6.00% 10/16
#589129
|
**
|
40
|
|
Fannie
Mae
|
FNMA 7.00% 8/16
#599602
|
**
|
84
|
|
Fannie
Mae
|
FNMA 7.00% 4/17
#636135
|
**
|
295
|
|
Fannie
Mae
|
FNMA 6.50% 4/17
#637244
|
**
|
203
|
|
Fannie
Mae
|
FNMA
ARM 4.710% 10/32 648938
|
**
|
11
|
|
Fannie
Mae
|
FNMA
ARM 4.732% 10/32 668509
|
**
|
22
|
|
Fannie
Mae
|
FNMA 6.00% 11/17
#671380
|
**
|
190
|
|
Fannie
Mae
|
FNMA 6.00% 11/17
#672789
|
**
|
58
|
|
Fannie
Mae
|
FNMA 6.00% 12/17
#673965
|
**
|
70
|
|
Fannie
Mae
|
FNMA
ARM 4.925% 12/32 677026
|
**
|
8
|
|
Fannie
Mae
|
FNMA 6.00% 2/18
#684153
|
**
|
18
|
(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 3.828% 4/33 688969
|
**
|
234
|
|
Fannie
Mae
|
FNMA
ARM 4.646% 1/33 689554
|
**
|
51
|
|
Fannie
Mae
|
FNMA 7.00%
2/18 #693327
|
**
|
223
|
|
Fannie
Mae
|
FNMA
ARM 4.708% 2/33 693344
|
**
|
15
|
|
Fannie
Mae
|
FNMA
ARM 4.318% 3/33 694530
|
**
|
37
|
|
Fannie
Mae
|
FNMA
ARM 4.801% 2/33 695019
|
**
|
112
|
|
Fannie
Mae
|
FNMA
ARM 4.292% 3/33 701296
|
**
|
88
|
|
Fannie
Mae
|
FNMA
ARM 3.984% 5/33 703915
|
**
|
23
|
|
Fannie
Mae
|
FNMA
ARM 4.079% 4/33 708221
|
**
|
27
|
|
Fannie
Mae
|
FNMA
ARM 4.351% 6/33 720921
|
**
|
42
|
|
Fannie
Mae
|
FNMA
ARM 3.878% 6/33 723633
|
**
|
303
|
|
Fannie
Mae
|
FNMA
ARM 3.836% 6/33 723760
|
**
|
59
|
|
Fannie
Mae
|
FNMA
ARM 5.12% 1/34 725109
|
**
|
62
|
|
Fannie
Mae
|
FNMA
ARM 4.862% 9/34 725855
|
**
|
135
|
|
Fannie
Mae
|
FNMA
ARM 4.832% 8/34 725858
|
**
|
74
|
|
Fannie
Mae
|
FNMA
ARM 4.409% 10/34 725968
|
**
|
419
|
|
Fannie
Mae
|
FNMA 4.00% 8/18
#727438
|
**
|
1,272
|
|
Fannie
Mae
|
FNMA
ARM 5.229% 8/33 735030
|
**
|
105
|
|
Fannie
Mae
|
FNMA
ARM 4.115% 2/35 735343
|
**
|
44
|
|
Fannie
Mae
|
FNMA
ARM 4.162% 2/35 735345
|
**
|
116
|
|
Fannie
Mae
|
FNMA
ARM 4.587% 2/35 735355
|
**
|
1,132
|
|
Fannie
Mae
|
FNMA
ARM 4.493% 8/34 735360
|
**
|
231
|
|
Fannie
Mae
|
FNMA
ARM 4.62% 2/35 735433
|
**
|
309
|
|
Fannie
Mae
|
FNMA
ARM 4.53% 3/35 735448
|
**
|
260
|
|
Fannie
Mae
|
FNMA
ARM 4.319% 5/35 735538
|
**
|
95
|
|
Fannie
Mae
|
FNMA
ARM 4.177% 3/35 735545
|
**
|
335
|
|
Fannie
Mae
|
FNMA
ARM 4.763% 6/35 735689
|
**
|
658
|
|
Fannie
Mae
|
FNMA
ARM 4.402% 10/34 735934
|
**
|
750
|
|
Fannie
Mae
|
FNMA
ARM 4.898% 10/35 745060
|
**
|
210
|
|
Fannie
Mae
|
FNMA
ARM 4.99% 11/35 745064
|
**
|
4,413
|
|
Fannie
Mae
|
FNMA
ARM 4.858% 10/35 745231
|
**
|
303
|
|
Fannie
Mae
|
FNMA
ARM 3.941% 6/34 745335
|
**
|
508
|
|
Fannie
Mae
|
FNMA
ARM 5.541% 11/36 745972
|
**
|
582
|
|
Fannie
Mae
|
FNMA
ARM 3.753% 10/33 746320
|
**
|
71
|
|
Fannie
Mae
|
FNMA
ARM 4.155% 7/34 747270
|
**
|
336
|
|
Fannie
Mae
|
FNMA
ARM 4.055% 10/18 749296
|
**
|
60
|
|
Fannie
Mae
|
FNMA
ARM 4.358% 10/33 754672
|
**
|
32
|
|
Fannie
Mae
|
FNMA
ARM 3.752% 10/33 755148
|
**
|
70
|
|
Fannie
Mae
|
FNMA
ARM 4.294% 1/34 759264
|
**
|
95
|
|
Fannie
Mae
|
FNMA
ARM 3.750% 1/34 761058
|
**
|
76
|
|
Fannie
Mae
|
FNMA
ARM 3.826% 10/33 763199
|
**
|
897
|
|
Fannie
Mae
|
FNMA
ARM 4.250% 1/34 765659
|
**
|
116
|
|
Fannie
Mae
|
FNMA
ARM 4.25% 2/34 765660
|
**
|
90
|
|
Fannie
Mae
|
FNMA
ARM 4.30% 1/34 766886
|
**
|
512
|
(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 4.057% 5/34 768224
|
**
|
30
|
|
Fannie
Mae
|
FNMA
ARM 4.368% 2/34 769940
|
**
|
175
|
|
Fannie
Mae
|
FNMA
ARM 3.83% 1/35 773220
|
**
|
65
|
|
Fannie
Mae
|
FNMA
ARM 3.98% 1/35 773221
|
**
|
79
|
|
Fannie
Mae
|
FNMA
ARM 4.12% 2/35 773243
|
**
|
120
|
|
Fannie
Mae
|
FNMA
ARM 4.455% 3/35 773281
|
**
|
115
|
|
Fannie
Mae
|
FNMA
15YR 6.00% 1/22 #TBA
|
**
|
28
|
|
Fannie
Mae
|
FNMA
ARM 3.939% 10/34 781549
|
**
|
88
|
|
Fannie
Mae
|
FNMA
ARM 3.786% 12/34 781576
|
**
|
86
|
|
Fannie
Mae
|
FNMA
ARM 3.827% 12/34 781580
|
**
|
12
|
|
Fannie
Mae
|
FNMA
ARM 3.791% 6/34 783545
|
**
|
376
|
|
Fannie
Mae
|
FNMA
ARM 4.351% 1/35 783580
|
**
|
97
|
|
Fannie
Mae
|
FNMA
ARM 4.499% 3/35 783587
|
**
|
264
|
|
Fannie
Mae
|
FNMA
ARM 4.4% 2/35 #783588
|
**
|
126
|
|
Fannie
Mae
|
FNMA
ARM 4.876% 7/34 785318
|
**
|
335
|
|
Fannie
Mae
|
FNMA
ARM 5.019% 9/34 790458
|
**
|
115
|
|
Fannie
Mae
|
FNMA
ARM 4.658% 9/34 790618
|
**
|
28
|
|
Fannie
Mae
|
FNMA
ARM 5.106% 9/34 790762
|
**
|
82
|
|
Fannie
Mae
|
FNMA
ARM 4.748% 7/34 793028
|
**
|
228
|
|
Fannie
Mae
|
FNMA
ARM 4.82% 8/34 793420
|
**
|
348
|
|
Fannie
Mae
|
FNMA
ARM 4.74% 10/34 794794
|
**
|
281
|
|
Fannie
Mae
|
FNMA
ARM 4.96% 8/34 796987
|
**
|
708
|
|
Fannie
Mae
|
FNMA
ARM 3.737% 1/35 797416
|
**
|
108
|
|
Fannie
Mae
|
FNMA
ARM 4.202% 1/35 797418
|
**
|
163
|
|
Fannie
Mae
|
FNMA
ARM 4.67% 11/34 799727
|
**
|
242
|
|
Fannie
Mae
|
FNMA
ARM 4.85% 11/34 799812
|
**
|
207
|
|
Fannie
Mae
|
FNMA
ARM 5.064% 11/34 800067
|
**
|
22
|
|
Fannie
Mae
|
FNMA
ARM 4.825% 12/34 800297
|
**
|
191
|
|
Fannie
Mae
|
FNMA
ARM 4.845% 12/34 800335
|
**
|
68
|
|
Fannie
Mae
|
FNMA
ARM 5.00% 9/34 801341
|
**
|
982
|
|
Fannie
Mae
|
FNMA
ARM 5.05% 7/34 801635
|
**
|
37
|
|
Fannie
Mae
|
FNMA
ARM 4.23% 11/34 803591
|
**
|
29
|
|
Fannie
Mae
|
FNMA
ARM 4.029% 1/35 806167
|
**
|
31
|
|
Fannie
Mae
|
FNMA
ARM 4.127% 1/35 806519
|
**
|
126
|
|
Fannie
Mae
|
FNMA
ARM 4.048% 1/35 806711
|
**
|
49
|
|
Fannie
Mae
|
FNMA
ARM 4.118% 1/35 807221
|
**
|
131
|
|
Fannie
Mae
|
FNMA
ARM 3.913% 12/34 809113
|
**
|
60
|
|
Fannie
Mae
|
FNMA
ARM 4.5% 2/35 #809429
|
**
|
827
|
|
Fannie
Mae
|
FNMA
ARM 5.029% 2/35 809463
|
**
|
27
|
|
Fannie
Mae
|
FNMA
ARM 4.625% 2/35 809931
|
**
|
230
|
|
Fannie
Mae
|
FNMA
ARM 4.145% 2/35 810415
|
**
|
157
|
|
Fannie
Mae
|
FNMA
ARM 4.872% 1/35 810896
|
**
|
1,366
|
|
Fannie
Mae
|
FNMA
ARM 4.57% 2/35 811803
|
**
|
74
|
|
Fannie
Mae
|
FNMA
ARM 4.052% 2/35 812091
|
**
|
60
|
(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 4.118% 2/35 813114
|
**
|
44
|
|
Fannie
Mae
|
FNMA
ARM 4.151% 1/35 813170
|
**
|
217
|
|
Fannie
Mae
|
FNMA
ARM 4.694% 11/34 813184
|
**
|
281
|
|
Fannie
Mae
|
FNMA
ARM 3.87% 1/35 813713
|
**
|
131
|
|
Fannie
Mae
|
FNMA
ARM 3.84% 1/35 813714
|
**
|
212
|
|
Fannie
Mae
|
FNMA
ARM 4.023% 2/35 813737
|
**
|
67
|
|
Fannie
Mae
|
FNMA
ARM 5.01% 4/35 814954
|
**
|
204
|
|
Fannie
Mae
|
FNMA
ARM 4.790% 1/35 815323
|
**
|
282
|
|
Fannie
Mae
|
FNMA
ARM 4.293% 3/35 815586
|
**
|
67
|
|
Fannie
Mae
|
FNMA
ARM 4.653% 3/35 816322
|
**
|
34
|
|
Fannie
Mae
|
FNMA
ARM 4.857% 1/35 816356
|
**
|
11
|
|
Fannie
Mae
|
FNMA
ARM 4.573% 2/35 816591
|
**
|
475
|
|
Fannie
Mae
|
FNMA
ARM 4.639% 2/35 816599
|
**
|
46
|
|
Fannie
Mae
|
FNMA
ARM 4.934% 3/35 819648
|
**
|
171
|
|
Fannie
Mae
|
FNMA
ARM 4.928% 2/35 820356
|
**
|
740
|
|
Fannie
Mae
|
FNMA
ARM 4.372% 4/35 820407
|
**
|
44
|
|
Fannie
Mae
|
FNMA
ARM 4.725% 3/35 820598
|
**
|
587
|
|
Fannie
Mae
|
FNMA
ARM 4.5% 5/35 #820996
|
**
|
62
|
|
Fannie
Mae
|
FNMA
ARM 4.597% 6/35 821487
|
**
|
224
|
|
Fannie
Mae
|
FNMA
ARM 4.575% 7/35 822002
|
**
|
208
|
|
Fannie
Mae
|
FNMA
ARM 4.302% 1/35 827592
|
**
|
97
|
|
Fannie
Mae
|
FNMA
ARM 5.8170% 5/35 827781
|
**
|
471
|
|
Fannie
Mae
|
FNMA
ARM 5.10% 5/35 827782
|
**
|
209
|
|
Fannie
Mae
|
FNMA
ARM 5.208% 5/35 827783
|
**
|
1,781
|
|
Fannie
Mae
|
FNMA
ARM 5.180% 5/35 827785
|
**
|
269
|
|
Fannie
Mae
|
FNMA
ARM 4.520% 8/35 829603
|
**
|
186
|
|
Fannie
Mae
|
FNMA
ARM 4.409% 5/35 829985
|
**
|
223
|
|
Fannie
Mae
|
FNMA
ARM 5.203% 6/35 830605
|
**
|
334
|
|
Fannie
Mae
|
FNMA
ARM 4.555% 7/35 832099
|
**
|
271
|
|
Fannie
Mae
|
FNMA
ARM 5.344% 7/35 834917
|
**
|
40
|
|
Fannie
Mae
|
FNMA
ARM 5.101% 7/35 841837
|
**
|
347
|
|
Fannie
Mae
|
FNMA
ARM 5.349% 12/34 843013
|
**
|
105
|
|
Fannie
Mae
|
FNMA
ARM 5.280% 3/35 843014
|
**
|
31
|
|
Fannie
Mae
|
FNMA
ARM 5.43% 11/35 844168
|
**
|
131
|
|
Fannie
Mae
|
FNMA
ARM 4.893% 10/35 847787
|
**
|
156
|
|
Fannie
Mae
|
FNMA
ARM 5.32% 1/36 850852
|
**
|
652
|
|
Fannie
Mae
|
FNMA
ARM 5.409% 2/36 865319
|
**
|
105
|
|
Fannie
Mae
|
FNMA
ARM 5.84% 3/36 865958
|
**
|
888
|
|
Fannie
Mae
|
FNMA
ARM 5.98% 4/36 868793
|
**
|
486
|
|
Fannie
Mae
|
FNMA
ARM 5.839% 1/36 879146
|
**
|
598
|
|
Fannie
Mae
|
FNMA
ARM 3.854% 10/33 879906
|
**
|
1,793
|
|
Fannie
Mae
|
FNMA
ARM 6.21% 4/36 891332
|
**
|
328
|
|
Fannie
Mae
|
FNMA
ARM 6.08% 4/36 895834
|
**
|
145
|
|
Fannie
Mae
|
FNMA
ARM 5.50% 5/36 896475
|
**
|
442
|
(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 6.63% 9/36 898175
|
**
|
1,309
|
|
Fannie
Mae
|
FNMA
ARM 6.60% 9/36 898177
|
**
|
732
|
|
Fannie
Mae
|
FNMA
ARM 6.62% 9/36 898178
|
**
|
702
|
|
Fannie
Mae
|
FNMA
ARM 6.65% 9/36 898179
|
**
|
704
|
|
Fannie
Mae
|
FNMA
ARM 6.62% 9/36 898180
|
**
|
693
|
|
Fannie
Mae
|
FNMA
ARM 5.26% 11/36 901494
|
**
|
276
|