(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 31, 2007
|
|
OR
|
|
[
]
|
TRANSITION
REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
[NO FEE REQUIRED]
|
For
the transition period from _____________ to
______________
|
Commission
file number 1-12626
|
A.
Full Title of the plan and the address of the plan, if different from that
of the issuer named below:
|
EASTMAN
INVESTMENT AND EMPLOYEE STOCK OWNERSHIP PLAN
|
B.
Name of issuer of the securities held pursuant to the plan and the address
of its principal executive office:
|
EASTMAN
CHEMICAL COMPANY
|
200
S. Wilcox Drive
|
Kingsport,
Tennessee 37660
|
Report
of Independent Registered Public Accounting Firm
|
1
|
Basic
Financial Statements:
|
|
Statements
of Net Assets Available for Benefits
|
2
|
Statements
of Changes in Net Assets Available for Benefits
|
3
|
Notes
to Financial Statements
|
4 –
16
|
Additional
Information (Note A):
|
17
|
Schedule
of Assets (Held at End of Year)
|
|
Signatures
|
47
|
Exhibits
|
48
|
Note
A:
|
Other
supplemental schedules required by Section 2520.10310 of the Department of
Labor’s Rules and Regulations for Reporting and Disclosure under the
Employee Retirement Income Security Act of 1974 (“ERISA”) have been
omitted because they are not
applicable.
|
December
31,
|
December
31,
|
|||||||||||
2007
|
2006
|
|||||||||||
Non-
|
Non-
|
|||||||||||
Participant
|
participant
|
Participant
|
participant
|
|||||||||
Directed
|
Directed
|
Total
|
Directed
|
Directed
|
Total
|
|||||||
Assets
|
||||||||||||
Investments
at fair value
|
$
|
1,485,704
|
$
|
95,025
|
$
|
1,580,729
|
$
|
1,379,266
|
$
|
102,961
|
$
|
1,482,227
|
Receivables:
|
||||||||||||
Sponsor
|
29,415
|
3,869
|
33,284
|
31,009
|
3,382
|
34,391
|
||||||
Other
|
1,435
|
1,352
|
2,787
|
1,394
|
802
|
2,196
|
||||||
Total
assets
|
1,516,554
|
100,246
|
1,616,800
|
1,411,669
|
107,145
|
1,518,814
|
||||||
Liabilities
|
||||||||||||
Accrued
expenses
|
12
|
17
|
29
|
13
|
16
|
29
|
||||||
Other
liabilities
|
2,339
|
1,370
|
3,709
|
987
|
879
|
1,866
|
||||||
Total
liabilities
|
2,351
|
1,387
|
3,738
|
1,000
|
895
|
1,895
|
||||||
Adjustment
from fair value to contract value for fully benefit-responsive investment
contracts
|
(3,102)
|
--
|
(3,102)
|
8,231
|
--
|
8,231
|
||||||
Net
assets available
|
||||||||||||
for
plan benefits
|
$
|
1,511,101
|
$
|
98,859
|
$
|
1,609,960
|
$
|
1,418,900
|
$
|
106,250
|
$
|
1,525,150
|
December
31, 2007
|
December
31, 2006
|
|||||||||||
Non-
|
Non-
|
|||||||||||
Participant
|
participant
|
Participant
|
participant
|
|||||||||
Directed
|
Directed
|
Total
|
Directed
|
Directed
|
Total
|
|||||||
Additions
to net assets:
|
||||||||||||
Investment
income (loss)
|
||||||||||||
Interest
|
$
|
27,555
|
$ |
-
|
$ |
27,555
|
$
|
28,848
|
$
|
--
|
$
|
28,848
|
Dividends
|
67,710
|
2,840
|
70,550
|
58,845
|
3,324
|
62,169
|
||||||
Net
appreciation (depreciation) in fair value of
|
||||||||||||
investments
|
34,503
|
4,074
|
38,577
|
27,345
|
14,469
|
41,814
|
||||||
Net
investment gain (loss)
|
129,768
|
6,914
|
136,682
|
115,038
|
17,793
|
132,831
|
||||||
Participant
contributions
|
80,729
|
-
|
80,729
|
69,396
|
-
|
69,396
|
||||||
Plan
Sponsor contributions
|
29,415
|
3,869
|
33,284
|
31,009
|
3,382
|
34,391
|
||||||
Total
additions
|
239,912
|
10,783
|
250,695
|
215,443
|
21,175
|
236,618
|
||||||
Deductions
from net assets:
|
||||||||||||
Distributions
to and withdrawals
|
||||||||||||
by
participants
|
159,653
|
6,052
|
165,705
|
187,168
|
5,213
|
192,381
|
||||||
Administrative
expenses
|
180
|
-
|
180
|
164
|
-
|
164
|
||||||
Total
deductions
|
159,833
|
6,052
|
165,885
|
187,332
|
5,213
|
192,545
|
||||||
Interfund
transfers, net
|
12,122
|
(12,122)
|
-
|
16,713
|
(16,713)
|
-
|
||||||
Net
increase (decrease) in net assets
|
92,201
|
(7,391)
|
84,810
|
44,824
|
(751)
|
44,073
|
||||||
Net
assets available for plan
|
||||||||||||
benefits
at beginning of period
|
1,418,900
|
106,250
|
1,525,150
|
1,374,076
|
107,001
|
1,481,077
|
||||||
Net
assets available for plan
|
||||||||||||
benefits
at end of period
|
$
|
1,511,101
|
$
|
98,859
|
$
|
1,609,960
|
$
|
1,418,900
|
$
|
106,250
|
$
|
1,525,150
|
1.
|
DESCRIPTION
OF PLAN
|
·
|
Upon
attaining age 59½, a participant may elect to receive a lump sum cash
distribution of their total or partial account value while still actively
employed.
|
·
|
Upon
separation of service from Eastman for any reason except death, the full
value of a participant’s account is distributed in a lump sum payment for
those participants who are not retirement-eligible and the participant
account value is less than or equal to $1,000. Separated
participants with accounts in excess of $1,000 or who are
retirement-eligible may elect either (i) to defer distribution until a
later date but, in no event, later than April 1 of the calendar year
following the year a participant attains age 70½ or (ii) immediate
lump-sum distribution of the participant’s account or, at the election of
the participant, distributions in monthly or annual
installments. Participants in the Eastman Stock Fund or ESOP
Fund may elect a lump sum distribution in Eastman common
stock.
|
·
|
In
the event of death, the value of a participant’s account is paid in a lump
sum if the designated beneficiary is not the surviving spouse or if the
account value is less than or equal to $1,000. If the
beneficiary is a surviving spouse and the participant account value
exceeds $5,000, payment will be made in either a lump-sum amount or, at
the election of the surviving spouse, in monthly or annual
installments.
|
·
|
Distributions
to participants shall commence in the year following the year a
participant attains age 70½, unless the participant has terminated his or
her service with the Company.
|
·
|
Approval
of hardship withdrawals will only be granted in order to meet obligations
relating to the payment of substantial out-of-pocket medical expenses, the
purchase of a primary residence, the payment of tuition or other
post-secondary educational expenses, or payments to prevent eviction or
foreclosure. They are also granted for payment of funeral expenses for a
deceased parent, spouse or child of the participant, or payment of
expenses for repair or damage to the participants' principal residence.
Hardship withdrawals may not exceed the value of the participant’s
accounts in the Plan on the date of
withdrawal.
|
·
|
The
Trustee is authorized to honor qualified domestic relation orders issued
and served in accordance with Section 414(p) of the Internal Revenue
Code.
|
·
|
The
Company may make a direct contribution of cash to the ESOP Fund, which
would then be used to purchase Eastman common stock or other
securities.
|
·
|
The
Company may contribute shares of Eastman common stock directly to the ESOP
Fund.
|
·
|
The
Company may direct the Trustee to obtain a loan to purchase securities
(i.e., leveraged ESOP). Until the loan is repaid, securities
acquired with the respective loan process are not available to be
allocated to participants' accounts and are maintained in a “Loan Suspense
Account”. On the last day of each plan year, a proportionate
share of securities relating to loan amounts which have been repaid will
be transferred out of the Loan Suspense Account and allocated to the
accounts of ESOP Fund participants. The ESOP Fund currently is
not a leveraged ESOP.
|
·
|
Plan
Sponsor contributions made or invested in shares of Eastman common
stock.
|
·
|
Shares
of Eastman common stock purchased with assets transferred to the ESOP Fund
pursuant to the spin-off from Eastman Kodak Company and/or acquired with
the proceeds of a loan released from the Loan Suspense
Account.
|
·
|
An
allocable share of short-term interest and money market funds held in the
ESOP Fund for purposes of payment of expenses and similar
purposes.
|
·
|
After-tax
contributions transferred to the ESOP Fund pursuant to the spin-off from
Eastman Kodak Company (such after-tax contributions are no longer
permitted under the ESOP
provisions).
|
2.
|
SUMMARY
OF ACCOUNTING POLICIES
|
3.
|
RISKS
AND UNCERTAINTIES
|
4.
|
CONTRIBUTIONS
|
5.
|
LOANS
TO PARTICIPANTS
|
6.
|
INVESTMENTS
|
(in thousands) |
December
31, 2007
|
December
31, 2006
|
||
Cash
|
$
|
2,900
|
$
|
2,100
|
Common
Stock
|
169,904
|
162,744
|
||
Mutual
Funds
|
806,027
|
707,193
|
||
Synthetic
GIC
|
588,885
|
601,745
|
||
Self
Directed Brokerage Account
|
13,013
|
8,445
|
||
Investments,
at fair value
|
$
|
1,580,729
|
$
|
1,482,227
|
|
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 2007, the Trustee purchased 63,900 shares of
Eastman stock for the fund at an average price of $59.76 per share, and
sold 236,200 shares of Eastman stock for the fund at an average price of
$64.12 per share. During 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, 2007
|
|||||
Shares
|
Fair
value
|
||||
Eastman
Chemical Company Common Stock,
|
6,560
|
$
|
95,025
|
||
Non
Participant Directed
|
|||||
Fidelity
Magellan® Fund
|
935
|
87,727
|
|||
Fidelity
Contrafund
|
2,064
|
150,903
|
|||
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
|
Net
Appreciation
|
Net
Appreciation
|
|||
(Depreciation)
|
(Depreciation)
|
|||
December
31, 2007
|
December
31, 2006
|
|||
Eastman
Chemical Company Common Stock, Non Participant
Directed
|
$
|
4,074
|
$
|
14,469
|
Eastman
Chemical Company Common Stock, Participant Directed
|
3,875
|
13,930
|
||
Mutual Funds | 30,628 | 13,415 | ||
Total | $ | 38,577 | $ | 41,814 |
7.
|
INSURANCE
CONTRACTS
|
·
|
The
Plan’s failure to qualify under Section 401(a) or Section 401(k) of the
Internal Revenue Code.
|
·
|
The
establishment of a defined contribution plan that competes with the Plan
for employee contributions.
|
·
|
Any
substantive modification of the Plan or the administration of the Plan
that is not consented to by the wrap
issuer.
|
·
|
Complete
or partial termination of the Plan.
|
·
|
Any
change in law, regulation or administrative ruling applicable to the Plan
that could have a material adverse effect on the Fund's cash
flow.
|
·
|
Merger
or consolidation of the Plan with another plan, the transfer of Plan
assets to another plan, or the sale, spin-off or merger of a subsidiary or
division of the Plan Sponsor.
|
·
|
Any
communication given to participants by the Plan Sponsor or any other Plan
fiduciary that is designed to induce or influence participants not to
invest in the Fund or to transfer assets out of the
Fund.
|
·
|
Exclusion
of a group of previously eligible employees from eligibility in the
Plan.
|
·
|
Any
early retirement program, group termination, group layoff, facility
closing, or similar program.
|
·
|
Any
transfer of assets from the Fund directly to a competing
option.
|
Average
yields:
|
December
31,
2007
|
December
31,
2006
|
||
Based
on actual earnings
|
5.02%
|
4.96%
|
||
Based
on interest rate credited to participants
|
4.65%
|
4.37%
|
||
(in
thousands)
|
December
31,
2007
|
December
31,
2006
|
||
Security
backed investments:
|
||||
Underlying
assets at fair value
|
$
|
588,884
|
$
|
601,745
|
Wrap
contracts
|
(3,102)
|
8,231
|
||
Total
contract value
|
$
|
585,782
|
$
|
609,976
|
8.
|
OTHER
RECEIVABLES AND OTHER
LIABILITIES
|
9.
|
DIVERSIFICATION
FROM ESOP FUND
|
10.
|
PLAN
TERMINATION
|
11.
|
FEDERAL
INCOME TAX STATUS
|
12.
|
PLAN
EXPENSES
|
13.
|
RELATED
PARTIES
|
14.
|
RECONCILIATION
OF FINANCIAL STATEMENTS TO FORM
5500
|
(in
thousands)
|
December
31,
2007
|
|||
Investments
at fair value
|
$
|
1,580,729
|
|
|
Adjustment
from fair value to contract value for full benefit-responsive investment
contracts
|
(3,102)
|
|
||
Total
investments per Form 5500
|
$
|
1,577,627
|
|
(a)
|
(b)
Identity
of issue, borrower, lessor, or similar party
|
(c)
Description
of investment, including maturity date, rate of interest, collateral, par
or maturity value
|
(d)
Historical
cost
|
(e)
Current
Value
|
* | Eastman Chemical Company | Common stock, Participant directed, 5,425 shares | ** | 75,794 |
*
|
Fidelity
Management Trust Company
|
Interest
Bearing Cash, Participant directed
|
**
|
1,985
|
*
|
Eastman
Chemical Company
|
Common
stock, Non Participant directed, 6,560 shares
|
81,215
|
94,110
|
*
|
Fidelity
Management Trust Company
|
Interest
Bearing Cash, Non Participant directed
|
915
|
915
|
*
|
Fidelity
Fund
|
Registered
Investment Company, 1,252 shares
|
**
|
49,899
|
*
|
Fidelity
Puritan Fund
|
Registered
Investment Company, 3,098 shares
|
**
|
58,959
|
*
|
Fidelity
Magellan Fund
|
Registered
Investment Company, 935 shares
|
**
|
87,727
|
*
|
Fidelity
Contrafund
|
Registered
Investment Company, 2,064 shares
|
**
|
150,903
|
*
|
Fidelity
Spartan U.S. Equity Index Portfolio
|
Registered
Investment Company, 764 shares
|
**
|
39,670
|
*
|
Fidelity
International Discovery Fund
|
Registered
Investment Company, 1,767 shares
|
**
|
76,122
|
*
|
Fidelity
Blue Chip Growth Fund
|
Registered
Investment Company, 344 shares
|
**
|
15,137
|
*
|
Fidelity
Freedom Income Fund
|
Registered
Investment Company, 185 shares
|
**
|
2,118
|
*
|
Fidelity
Freedom 2000 Fund
|
Registered
Investment Company, 182 shares
|
**
|
2,246
|
*
|
Fidelity
Freedom 2010 Fund
|
Registered
Investment Company, 1,212 shares
|
**
|
17,969
|
*
|
Fidelity
Freedom 2020 Fund
|
Registered
Investment Company, 1,420 shares
|
**
|
22,449
|
*
|
Fidelity
Freedom 2030 Fund
|
Registered
Investment Company, 877 shares
|
**
|
14,482
|
*
|
Fidelity
Freedom 2040 Fund
|
Registered
Investment Company, 683 shares
|
**
|
6,650
|
*
|
Fidelity
Spartan Extended Market Index Portfolio
|
Registered
Investment Company, 419 shares
|
**
|
16,073
|
*
|
Fidelity
Spartan International Index Fund
|
Registered
Investment Company, 429 shares
|
**
|
20,291
|
*
|
Participant
Loans
|
Participant
Loan Fund with terms ranging from 6-121 months and rates ranging from 4%
to 10.5%
|
**
|
29,973
|
*
|
Fidelity
Retirement Money Market
|
Registered
Investment Company, 124 shares
|
**
|
124
|
*
|
Clipper
Fund
|
Registered
Investment Company, 174 shares
|
**
|
14,077
|
*
|
PIMCO
Total Return
|
Registered
Investment Company, 3,187 shares
|
**
|
34,071
|
*
|
Franklin
Small Mid Cap Growth Fund
|
Registered
Investment Company, 750 shares
|
**
|
27,122
|
*
|
WFA
Small Cap Val Z
|
Registered
Investment Company, 1,293 shares
|
**
|
38,036
|
*
|
TCW
Select Equity I
|
Registered
Investment Company, 103 shares
|
**
|
2,031
|
*
|
Neuberger
and Berman Genesis Instl Cl
|
Registered
Investment Company, 1,375 shares
|
**
|
64,842
|
*
|
Templeton
Foreign Fund
|
Registered
Investment Company, 1,208 shares
|
**
|
15,056
|
(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
|
**
|
296
|
|
Ace
Securities Corp.
ACE
03-NC1 M1
|
Mortgage
backed security 1ML+78 7/33
|
**
|
156
|
|
Ace
Securities
Corp.
ACE
02-HE1 M1
|
Mortgage
backed security 1ML+65 6/32
|
**
|
66
|
|
Ace
Securities
Corp.
ACE
03-HS1 M1
|
Mortgage
backed security 1ML+75 6/33
|
**
|
26
|
|
Ace
Securities
Corp.
ACE
03-HS1 M2
|
Mortgage
backed security 1ML+175 6/33
|
**
|
97
|
|
Ace
Securities
Corp.
ACE
03-HE1 M1
|
Mortgage
backed security 1ML+65 11/33
|
**
|
166
|
|
Ace
Securities
Corp.
ACE
04-FM1 M1
|
Mortgage
backed security 1ML+60 9/33
|
**
|
118
|
|
Advanta
Business Card
Master
ABCMT
07-A2 A2
|
Mortgage
backed security 5% 3/13
|
**
|
2,995
|
|
Advanta
Business Card
Master
ABCMT
07-B2 B
|
Mortgage
backed security 5.5% 6/32
|
**
|
1,246
|
|
Aesop
Funding Ii
Llc
AESOP
05-1A A1
|
Mortgage
backed security 3.95% 4/08
|
**
|
666
|
|
America
Movil Sab De Cv
|
Corporate
Bond 4.125 3/1/09
|
**
|
1,310
|
|
American
Express
Centurion
AMEX
CENTURION
|
Corporate
Bond 5.55% 10/17/12
|
**
|
576
|
|
American
Express
Centurion
AMEX
CEMTN
|
Corporate
Bond 5.2% 11/26/10
|
**
|
1,202
|
|
American
General Finance
|
Corporate
Bond 4.625% 9/01/10
|
**
|
324
|
|
American
General Finance
|
Corporate
Bond 4.625 5/15/09
|
**
|
186
|
|
American
General Finance
|
Corporate
Bond 4.875 5/15/10
|
**
|
2,142
|
|
American
Honda Finance
|
Corporate
Bond 4.5 5/ 144A
|
**
|
1,189
|
|
Americredit
Automobile
Receiva
AMCAR
04-CA A4
|
Mortgage
backed security 3.61% 5/11
|
**
|
205
|
|
Americredit
Automobile
Receiva
AMCAR
04-1 C
|
Mortgage
backed security 4.22% 7/09
|
**
|
23
|
|
Americredit
Automobile
Receiva
AMCAR
04-DF A4
|
Mortgage
backed security 3.43 7/11
|
**
|
693
|
(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
|
Americredit
Automobile Receiva
AMCAR
06-1 B
|
Mortgage
backed security 5.2 3/11
|
**
|
70
|
|
Americredit
Automobile
Receiva
AMCAR
06-BG A3
|
Mortgage
backed security 5.21 10/11
|
**
|
356
|
|
Americredit
Automobile
Receiva
AMCAR
06-BG A4
|
Mortgage
backed security 5.21 9/13
|
**
|
716
|
|
Americredit
Automobile
Receiva
AMCAR
05-CF A4
|
Mortgage
backed security 4.63 6/12
|
**
|
1,404
|
|
Americredit
Automobile
Receiva
AMCAR
2007-CM A3A
|
Mortgage
backed security 5.42% 5/12
|
**
|
1,537
|
|
Americredit
Automobile
Receiva
AMCAR
07-DF A3A
|
Mortgage
backed security 5.49% 7/12
|
**
|
1,096
|
|
Americredit
Prime Automobile
Receiva
APART
07-1 B
|
Mortgage
backed security 5.35% 03/11
|
**
|
262
|
|
Americredit
Prime Automobile
Receiva
APART
07-1C
|
Mortgage
backed security 5.43% 07/11
|
**
|
158
|
|
Americredit
Prime Automobile
Receiva
APART
07-2M A3A
|
Mortgage
backed security 5.22% 4/10
|
**
|
532
|
|
Ameriquest
Mortgage
Securities
AMSI
04-R2 M1
|
Mortgage
backed security 1ML+43 4/34
|
**
|
118
|
|
Ameriquest
Mortgage
Securities
AMSI
04-R2 M2
|
Mortgage
backed security 1ML+48 4/34
|
**
|
95
|
|
Ameritech
Capital Funding
|
Corporate
Bond 6.25 5/18/09
|
**
|
865
|
|
Amortizing
Residential
Collate
ARC
02-BC1 M2
|
Mortgage
backed security 1ML+110 1/3
|
**
|
28
|
|
Arg
Funding
Corp
ARGF
05-2A A1
|
Mortgage
Backed Security 4.54% 5/09
|
**
|
1,067
|
|
Asset
Backed Securities Corp
H
ABSHE
03-HE6 M1
|
Mortgage
backed security 1ML+65 11/33
|
**
|
343
|
|
Asset
Backed Securities Corp
H
ABSHE
04-HE3 M1
|
Mortgage
backed security 1ML+54 6/34
|
**
|
127
|
|
AT&T
Inc / Sbc Communications
|
Corporate
Bond 6.25 3/15/11
|
**
|
429
|
|
AT&T
Inc / Sbc Communications
|
Corporate
Bond 4.125 9/15/09
|
**
|
614
|
|
Augusta
Ga Wtr & Swr Rev
|
Corporate
Bond 5.25 10/1/22PRE
|
**
|
3,237
|
|
Axa
Financial Inc
|
Corporate
Bond 7.75 8/01/10
|
**
|
1,034
|
|
Bhp
Billiton Finance
|
Corporate
Bond 5.125% 3/29/12
|
**
|
1,297
|
|
Banc
Of America Commercial
Mor
BACM
05-4 XP
|
Interest
Only Strip CSTR 7/45
|
**
|
63
|
|
Banc
Of America Commercial
Mor
BACM
07-2 A1
|
Interest
Only Strip 5.421% 1/12
|
**
|
467
|
(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 Mor
BACM
2006-5 XP
|
Interest
Only Strip .832% 9/47
|
**
|
278
|
|
Banc
Of America Commercial Mor
BACM
04-5 XP
|
Interest
Only Strip CSTR 11/41
|
**
|
129
|
|
Banc
Of America Commercial Mor
BACM
05-4 A1
|
Mortgage
backed security 4.432 7/45
|
**
|
524
|
|
Banc
Of America Commercial Mor
BACM
04-6 XP
|
Interest
Only Strip CSTR 12/42
|
**
|
90
|
|
Banc
Of America Commercial Mor
BACM
05-3 XP
|
Interest
Only Strip CSTR 7/43
|
**
|
216
|
|
Banc
Of America Commercial Mor
BACM
2003-2 A2
|
Mortgage
backed security 4.342 3/41
|
**
|
1,333
|
|
Banc
Of America Commercial Mor
BACM
06-5 A1
|
Mortgage
backed security 5.185% 7/11
|
**
|
303
|
|
Banc
Of America Commercial Mor
BACM
05-5 A1
|
Mortgage
backed security 4.716 8/10
|
**
|
831
|
|
Banc
Of America Commercial Mor
BACM
06-6 XP
|
Interest
Only Strip CSTR 10/45
|
**
|
326
|
|
Banc
Of America Commercial Mor
BACM
05-6 A1
|
Mortgage
backed security 5.001 9/47
|
**
|
515
|
|
Banc
Of America Commercial Mor
BACM
04-4 A3
|
Mortgage
backed security 4.128% 7/42
|
**
|
682
|
|
Banc
Of America Commercial Mor
BACM
05-1 A2
|
Mortgage
backed security 4.64% 11/42
|
**
|
908
|
|
Banc
Of America Mortgage Secur
BOAMS
04-J 2A1
|
Mortgage
backed security CSTR 11/34
|
**
|
340
|
|
Banc
Of America Mortgage Secur
BOAMS
05-E 2A7
|
Mortgage
backed security CSTR 6/35
|
**
|
652
|
|
Banc
Of America Mortgage Secur
BOAMS
05-J 2A4
|
Mortgage
backed security 12ML 11/35
|
**
|
2,069
|
|
Bank
Of New York Co Inc
|
Corporate
Bond 4.95% 1/14/11
|
**
|
644
|
|
Bank
Of New York Co Inc
|
Corporate
Bond 4.95% 11/12
|
**
|
903
|
|
Bank
Of New York Co Inc
|
Corporate
Bond 3.4/3ML+148 3/15/13
|
**
|
2,144
|
|
Bank
One Corp
|
Corporate
Bond 7.875% 8/01/10
|
**
|
1,095
|
|
Bank
One Issuance Trust
BOIT
04-B2 B2
|
Mortgage
backed security 4.37% 4/12
|
**
|
1,372
|
|
Bayview
Commercial Asset Trust
BAYC
04-3 M1
|
Mortgage
backed security 1ML+50 1/35
|
**
|
71
|
|
Bayview
Commercial Asset Trust
BAYC
04-2 A
|
Mortgage
backed security 1ML+43 8/34
|
**
|
300
|
|
Bayview
Commercial Asset
Trust
BAYC
04-2 M1
|
Mortgage
backed security 1ML+58 8/34
|
**
|
95
|
(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
|
**
|
46
|
|
Bayview
Financial Acquisition
BAYV
04-C A1
|
Mortgage
backed security 1ML+42 5/44
|
**
|
266
|
|
Bbva
Bancomer Sa
|
Corporate
Bond 5.3795 7/21/15 144A
|
**
|
522
|
|
Bear
Stearns Adjustable Rate M
BSARM
05-6 1A1
|
Mortgage
backed security CSTR 8/35
|
**
|
956
|
|
Bear
Stearns Asset Backed Secu
BSABS
04-BO1 M4
|
Mortgage
backed security 1ML+120 9/34
|
**
|
121
|
|
Bear
Stearns Asset Backed Secu
BSABS
04-BO1 M3
|
Mortgage
backed security 1ML+105 9/34
|
**
|
221
|
|
Bear
Stearns Commercial Mortga
BSCMS
04-ESA A3
|
Mortgage
backed security 4.741 5/16
|
**
|
1,140
|
|
Bear
Stearns Commercial Mortga
BSCMS
04-ESA D
|
Mortgage
backed security 4.986 5/16
|
**
|
142
|
|
Bear
Stearns Commercial Mortga
BSCMS
2007-PW15 X2
|
Interest
Only Strip CSTR 2/44
|
**
|
543
|
|
Bear
Stearns Commercial Mortga
BSCMS
07-T26 X2
|
Interest
Only Strip CSTR 1/12/45
|
**
|
220
|
|
Bear
Stearns Commercial Mortga
BSCMS
2006-T24 X2
|
Interest
Only Strip CSTR 10/41
|
**
|
183
|
|
Bear
Stearns Commercial Mortga
BSCMS
04-ESA C
|
Mortgage
backed security 4.937 5/16
|
**
|
396
|
|
Bear
Stearns Commercial Mortga
BSCMS
04-ESA F
|
Mortgage
backed security 5.182 5/16
|
**
|
107
|
|
Bear
Stearns Commercial Mortga
BSCMS
04-PWR5 A2
|
Mortgage
backed security 4.254 7/42
|
**
|
644
|
|
Bear
Stearns Commercial Mortga
BSCMS
04-T16 A3
|
Mortgage
backed security 4.03 2/46
|
**
|
1,550
|
|
Bear
Stearns Commercial Mortga
BSCMS
07-T26 A1
|
Mortgage
backed security CSTR 1/45
|
**
|
870
|
|
Bear
Stearns Commercial Mortga
BSCMS
07-PW16 A1
|
Mortgage
backed security 5.593% 6/40
|
**
|
949
|
|
Bear
Stearns Commercial Mortga
SCMS
07-PW15 A1
|
Mortgage
backed security 5.016% 2/44
|
**
|
56
|
|
Bear
Stearns Commercial Mortga
BSCMS
06-PW13 X2
|
Interest
Only Strip CSTR 9/41
|
**
|
183
|
|
Bear
Stearns Commercial Mortga
BSCMS
03-T12 X2
|
Interest
Only Strip CSTR 8/39
|
**
|
35
|
|
Bear
Stearns Commercial Mortga
BSCMS
04-PWR5 X2
|
Interest
Only Strip CSTR 7/42
|
**
|
127
|
|
Bear
Stearns Commercial Mortga
BSCMS
05-PWR9 A1
|
Mortgage
backed security 4.498 9/42
|
**
|
839
|
|
Bear
Stearns Commercial
Mortga
BSCMS
06-PW13 A1
|
Mortgage
backed security 5.294 09/41
|
**
|
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
|
Bear
Stearns Commercial Mortga
BSCMS
04-ESA B
|
Mortgage
backed security 4.888 5/16
|
**
|
350
|
|
Bear
Stearns Commercial Mortga
BSCMS
05-T20 A1
|
Mortgage
backed security 4.94 10/42
|
**
|
863
|
|
Bear
Stearns Commercial Mortga
BSCMS
04-ESA E
|
Mortgage
backed security 5.064 5/16
|
**
|
448
|
|
Bear
Stearns Commercial Mortga
BSCMS
04-PWR6 X2
|
Interest
Only Strip CSTR 11/41
|
**
|
82
|
|
Bear
Stearns Co Inc
|
Corporate
Bond 4.245% 1/7/10
|
**
|
875
|
|
Bear
Stearns Co Inc
|
Corporate
Bond 5.85% 7/19/10
|
**
|
2,402
|
|
Bear
Stearns Co Inc
|
Corporate
Bond 6.95% 8/10/12
|
**
|
1,409
|
|
Bellsouth
Corp
|
Corporate
Bond 4.2 9/15/09 DT
|
**
|
871
|
|
Bk
Tokyo-Mitsubishi Ufj
|
Corporate
Bond 8.4 4/15/10
|
**
|
1,166
|
|
Brazos
Higher Education Author
BRHEA
06-A A2R
|
Mortgage
backed security 5.03 12/41
|
**
|
1,575
|
|
British
Telecom Plc
|
Corporate
Bond 12/10 DT
|
**
|
1,343
|
|
Btm
(Curacao) Hldg Nv
|
Corporate
Bond 4.76 7/21/15 144A
|
**
|
422
|
|
Capital
Auto Receivables Asset
CARAT
2006-SN1A C
|
Mortgage
backed security 5.77 5/10
|
**
|
95
|
|
Capital
Auto Receivables Asset
CARAT
07-1 B
|
Mortgage
backed security 5.15% 9/12
|
**
|
471
|
|
Capital
Auto Receivables Asset
CARAT
2006-SN1A B
|
Mortgage
backed security 5.5 4/10
|
**
|
101
|
|
Capital
Auto Receivables Asset
CARAT
07-SN1 B
|
Mortgage
backed security 5.52% 3/15/11
|
**
|
234
|
|
Capital
Auto Receivables Asset
CARAT
2006-SN1A A4A
|
Mortgage
backed security 5.32 3/10
|
**
|
1,083
|
|
Capital
Auto Receivables Asset
CARAT
06-1 B
|
Mortgage
backed security 5.26 10/10
|
**
|
233
|
|
Capital
Auto Receivables Asset
CARAT
07-SN1 C
|
Mortgage
backed security 5.73% 3/15/11
|
**
|
136
|
|
Capital
One Auto Finance Trust
COAFT
05-BSS C
|
Mortgage
backed security 4.48 12/10
|
**
|
966
|
|
Capital
One Auto Finance Trust
COAFT
05-C A4A
|
Mortgage
backed security 4.71 6/12
|
**
|
2,929
|
|
Capital
One Multi-Asset Execut
COMET
2003-B3 B3
|
Mortgage
backed security 4.5 6/11
|
**
|
1,866
|
|
Capital
One Multi-Asset Execut
COMET
2006-A6 A6
|
Mortgage
backed security 5.3 2/14
|
**
|
774
|
|
Capital
One Multi-Asset Execut
COMET
07-B3 B3
|
Mortgage
backed security 5.05% 3/13
|
**
|
3,045
|
(a)
|
(b)
Identity
of issue, borrower, lessor, or similar party
|
(c)
Description
of investment, including maturity date, rate of interest, collateral, par
or maturity value
|
(d)
Historical
Cost
|
(e)
Current
Value
|
Capital
One Multi-Asset Execut
COMET
07-B5 B5
|
Mortgage
backed security 5.4% 5/13
|
**
|
1,475
|
|
Capital
One Multi-Asset Execut
COMET
04-B6 B6
|
Mortgage
backed security 4.155 7/12
|
**
|
1,144
|
|
Capital
One Prime Auto Receiva
COPAR
2007-1 B1
|
Mortgage
backed security 5.76% 12/13
|
**
|
458
|
|
Capital
One Prime Auto Receiva
COPAR
06-2 A4
|
Mortgage
backed security 4.94% 7/12
|
**
|
787
|
|
Capital
Trust Re Cdo Ltd
CTCDO
04-1A C
|
Mortgage
backed security 1ML+110 7/39
|
**
|
123
|
|
Capital
Trust Re Cdo Ltd
CTCDO
04-1A A2
|
Mortgage
backed security 1ML+45 7/39
|
**
|
241
|
|
Capital
Trust Re Cdo Ltd
CTCDO
04-1A B
|
Mortgage
backed security 1ML+75 7/39
|
**
|
120
|
|
Cargill
Inc
|
Corporate
Bond 6.375% 6/12 144A
|
**
|
2,259
|
|
Cdc
Financial Products
|
Synthetic
GIC - Global Wrap - 4.85%
|
**
|
(775)
|
|
Cdc
Mortgage Capital Trust
CDCMC
03-HE3 M1
|
Mortgage
backed security 1ML+70 11/33
|
**
|
154
|
|
Cendant
Timeshare Receivables
CDTIM
05-1A A1
|
Mortgage
backed security 4.67 5/17
|
**
|
185
|
|
Chase
Issuance Trust
CHAIT
07-A15 A
|
Mortgage
backed security 4.96% 9/12
|
**
|
2,801
|
|
Chase
Issuance Trust
CHAIT
05-B2 B2
|
Mortgage
backed security 4.52 12/10
|
**
|
6,350
|
|
Chase
Mortgage Finance Corporation
CHASE
07-A2 3A1
|
Mortgage
backed security CSTR 7/37
|
**
|
1,581
|
|
Cit
Equipment Collateral
CITEC
05-VT1 A4
|
Mortgage
backed security 4.36 11/12
|
**
|
202
|
|
Citibank
Credit Card Issuance
CCCIT
05-B1 B1
|
Mortgage
backed security 4.4 9/10
|
**
|
3,508
|
|
Citibank
Credit Card Issuance
CCCIT
07-B2 B2
|
Mortgage
backed security 5% 4/12
|
**
|
1,989
|
|
Citibank
Credit Card Issuance
CCCIT
07-A5 A5
|
Mortgage
backed security 5.5% 6/12
|
**
|
3,499
|
|
Citibank
Credit Card Issuance
CCCIT
07-B6 B6
|
Mortgage
backed security 5% 11/12
|
**
|
1,425
|
|
Citibank
Credit Card Issuance
CCCIT
06-B2 B2
|
Mortgage
backed security 5.15% 3/11
|
**
|
1,369
|
|
Citigroup
Commercial Mortgage
CGCMT
05-EMG A2
|
Mortgage
backed security 4.2211 9/51
|
**
|
480
|
|
Citigroup
Commercial Mortgage
CGCMT
04-C2 XP
|
Interest
Only Strip CSTR 10/41
|
**
|
127
|
|
Citigroup
Commercial Mortgage
CGCMT
2007-C6 A1
|
Mortgage
backed security CSTR 12/49
|
**
|
356
|
(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
|
Citigroup/Deutsche
Bank Commer
CD
2007-CD4 A1
|
Mortgage
backed security 4.977% 12/49
|
**
|
659
|
|
Citigroup/Deutsche
Bank Commer
CD
06-CD3 XP
|
Interest
Only Strip CSTR 10/48
|
**
|
646
|
|
Cnh
Equipment Trust
CNH
05-B B
|
Mortgage
backed security 4.57 7/12
|
**
|
383
|
|
Commercial
Mortgage Asset Trus
CMAT
99-C1 A3
|
Mortgage
backed security 6.64 1/32
|
**
|
326
|
|
Commercial
Mortgage Pass-Throu
COMM
06-C8 A1
|
Mortgage
backed security 5.11% 12/46
|
**
|
656
|
|
Commercial
Mortgage Pass-Throu
COMM
06-CN2A D
|
Mortgage
backed security 5.52861 2/19
|
**
|
191
|
|
Commercial
Mortgage Pass-Throu
COMM
06-CN2A E
|
Mortgage
backed security CSTR 2/19
|
**
|
360
|
|
Commercial
Mortgage Pass-Throu
COMM
06-CN2A CFX
|
Mortgage
backed security 5.47945 2/19
|
**
|
117
|
|
Commercial
Mortgage Pass-Throu
COMM
06-CN2A F
|
Mortgage
backed security CSTR 2/19
|
**
|
82
|
|
Commercial
Mortgage Pass-Throu
COMM
04-LB4A XP
|
Interest
Only Strip CSTR 10/37
|
**
|
216
|
|
Commercial
Mortgage Pass-Throu
COMM
05-LP5 A2
|
Mortgage
backed security 4.63 5/43
|
**
|
1,310
|
|
Commercial
Mortgage Pass-Throu
COMM
05-LP5 XP
|
Interest
Only Strip CSTR 5/43
|
**
|
87
|
|
Commercial
Mortgage Pass-Throu
COMM
06-C8 XP
|
Interest
Only Strip CSTR 12/46
|
**
|
825
|
|
Commercial
Mortgage Pass-Throu
COMM
06-CN2A BFX
|
Mortgage
backed security 5.537 2/19
|
**
|
275
|
|
Commercial
Mortgage Pass-Throu
COMM
05-C6 XP
|
Interest
Only Strip CSTR 6/44
|
**
|
99
|
|
Constellation
Energy Grp
|
Corporate
Bond 6.125 9/01/09
|
**
|
562
|
|
Continental
Airlines Inc
CONTL
AIR 98-3A2
|
Mortgage
backed security 6.32 11/1/08
|
**
|
191
|
|
Continental
Airlines Inc
CONTL
AIR 991A
|
Mortgage
backed security 6.545 2/02/19
|
**
|
900
|
|
Countrywide
Asset-Backed Certi
CWL
04-3 M1
|
Mortgage
backed security 1ML+50 6/34
|
**
|
133
|
|
Countrywide
Asset-Backed Certi
CWL
04-4 A
|
Mortgage
backed security 1ML+37.5 8/34
|
**
|
28
|
|
Countrywide
Home Loans
CWHL
05-HYB3 2A6B
|
Mortgage
backed security CSTR 6/35
|
**
|
362
|
|
Countrywide
Home Loans
CWHL
02-25 2A1
|
Mortgage
backed security 5.5 11/17
|
**
|
198
|
|
Covidien
International F
|
Corporate
Bond 5.45 10/15/12 144A
|
**
|
406
|
|
Covidien
International F
|
Corporate
Bond 5.15% 10/10 144A
|
**
|
1,673
|
(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
|
Cps
Auto Trust
CPS
06-C A3
|
Mortgage
backed security 5.14% 1/11
|
**
|
336
|
|
Cps
Auto Trust
CPS
07-B A3
|
Mortgage
backed security 5.47% 11/11
|
**
|
562
|
|
Cps
Auto Trust
CPS
2007-C A3
|
Mortgage
backed security 5.45% 5/12 144A
|
**
|
396
|
|
Credit
Suisse Mortgage Capital
CSMC
06-C4 ASP
|
Interest
Only Strip CSTR 9/39
|
**
|
1,237
|
|
Credit
Suisse Mortgage Capital
CSMC
07-C3 A1
|
Mortgage
backed security CSTR 6/39
|
**
|
277
|
|
Credit
Suisse Mortgage Capital
CSMC
07-C1 A1
|
Mortgage
backed security 5.227 2/40
|
**
|
296
|
|
Credit
Suisse Mortgage Capital
CSMC
07-C1 ASP
|
Interest
Only Strip CSTR 2/40
|
**
|
809
|
|
Credit
Suisse Mortgage Capital
CSMC
07-C2 A1
|
Mortgage
backed security 5.237 1/49
|
**
|
240
|
|
Credit
Suisse Mortgage Capital
CSMC
06-C5 ASP
|
Interest
Only Strip CSTR 12/39
|
**
|
719
|
|
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
|
**
|
472
|
|
Cs
First Boston Mortgage Secur
CSFB
04-C4 ASP
|
Interest
Only Strip CSTR 10/39
|
**
|
121
|
|
Cs
First Boston Mortgage Secur
CSFB
05-C1 ASP
|
Interest
Only Strip CSTR 2/38
|
**
|
103
|
|
Cs
First Boston Mortgage Secur
CSFB
03-C4 A3
|
Mortgage
backed security CSTR 8/36
|
**
|
572
|
|
Cs
First Boston Mortgage Secur
CSFB
03-C5 A3
|
Mortgage
backed security 4.429 12/36
|
**
|
974
|
|
Cs
First Boston Mortgage Secur
CSFB
04-C1 A3
|
Mortgage
backed security 4.321 1/37
|
**
|
523
|
|
Cs
First Boston Mortgage Secur
CSFB
05-C4 ASP
|
Interest
Only Strip CSTR 8/38
|
**
|
261
|
|
Cs
First Boston Mortgage Secur
CSFB
05-C2 ASP
|
Interest
Only Strip CSTR 4/37
|
**
|
144
|
|
Cwcapital
Cobalt
CWCI
07-C2 A1
|
Mortgage
backed security CSTR 9/11
|
**
|
370
|
|
Daimler
Chrysler Na Hldg
|
Corporate
Bond 5.75 8/10/09
|
**
|
3,018
|
|
Daimler
Chrysler Auto Trust
DCAT
2006-C A4
|
Mortgage
backed security 4.98% 11/11
|
**
|
1,022
|
|
Daimler
Chrysler Auto Trust
DCAT
2006-C B
|
Mortgage
backed security 5.11% 4/13
|
**
|
840
|
|
Dbs
Back Ltd/Singapore
|
Corporate
Bond 5.125/VAR 5/17 144A
|
**
|
1,673
|
|
Deutsche
Bank Ag London
|
Corporate
Bond 5% 10/12/10
|
**
|
4,640
|
(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
|
Deutsche
Telekom Int Fin
|
Corporate
Bond 5.375 3/23/11
|
**
|
276
|
|
Diageo
Capital Plc
|
Corporate
Bond 5.2 1/30/13
|
**
|
644
|
|
Diversified
Reit Trust
DRT
00-1A A2
|
Mortgage
backed security 6.971% 3/10
|
**
|
289
|
|
Dlj
Commercial Mortgage Corp
DLJCM
00-CF1 A1B
|
Mortgage
backed security 7.62 6/33
|
**
|
874
|
|
Dlj
Commercial Mortgage Corp
DLJCM
1999-CG1 A3
|
Mortgage
backed security 6.77 3/32
|
**
|
1,385
|
|
Donnelley
(R.R.) & Sons
|
Corporate
Bond 3.75% 4/1/09
|
**
|
1,909
|
|
Drive
Auto Receivables Trust
DRIVE
06-2 A-2
|
Mortgage
backed security 5.3% 7/11
|
**
|
828
|
|
Drive
Auto Receivables Trust
DRIVE
06-2 A-3
|
Mortgage
backed security 5.33% 4/14
|
**
|
1,134
|
|
Drivetime
Auto Owner Trust
DRVT
2006-A A3
|
Mortgage
backed security 5.501 11/11
|
**
|
788
|
|
Drivetime
Auto Owner Trust
DRVT
2006-B A2
|
Mortgage
backed security 5.32% 3/10
|
**
|
651
|
|
Drivetime
Auto Owner Trust
DRVT
2006-B A3
|
Mortgage
backed security 5.23% 8/12
|
**
|
779
|
|
Dt
Auto Owner Trust
STAOT
07-A A3 XCLA
|
Mortgage
backed security 5.60% 3/13
|
**
|
1,047
|
|
E.I.
Du Pont De Nemours
|
Corporate
Bond 5% 1/15/13
|
**
|
283
|
|
Edp
Finance Bv
|
Corporate
Bond 5.375 11/12 144A
|
**
|
1,161
|
|
Erp
Operating Lp
|
Corporate
Bond 5.5% 10/1/12
|
**
|
332
|
|
Enel
Finance International
|
Corporate
Bond 5.7% 1/15/13 144A
|
**
|
1,547
|
|
Exelon
Generation Co Llc
|
Corporate
Bond 6.95 6/15
|
**
|
1,324
|
|
Fannie
Mae
|
FNMA 7.00
6/08 #050751
|
**
|
43
|
|
Fannie
Mae
|
FNMA 7.00
1/13 #251428
|
**
|
6
|
|
Fannie
Mae
|
FNMA 7.00
8/08 #252068
|
**
|
7
|
|
Fannie
Mae
|
FNMA
ARM 5.04% 7/35 #834931
|
**
|
780
|
|
Fannie
Mae
|
FNMA
ARM 4.99% 11/35 #745064
|
**
|
3,823
|
|
Fannie
Mae
|
FNMA
ARM 4.25 2/35 255658
|
**
|
78
|
|
Fannie
Mae
|
FNMA 6.50
11/13 #323755
|
**
|
251
|
|
Fannie
Mae
|
FNMA 7.00
8/14 #323877
|
**
|
46
|
|
Fannie
Mae
|
FNMA 6.00
3/14 #487614
|
**
|
35
|
(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 6.50
9/14 #514373
|
**
|
2
|
|
Fannie
Mae
|
FNMA 7.00
11/14 #522277
|
**
|
25
|
|
Fannie
Mae
|
FNMA 6.50
10/13 #535234
|
**
|
452
|
|
Fannie
Mae
|
FNMA 7.00
6/16 #545122
|
**
|
17
|
|
Fannie
Mae
|
FNMA
ARM 4.305 8/3 555696
|
**
|
118
|
|
Fannie
Mae
|
FNMA
ARM 4.38% 7/33 #555702
|
**
|
351
|
|
Fannie
Mae
|
FNMA 7.00
2/16 #569915
|
**
|
48
|
|
Fannie
Mae
|
FNMA 6.00
10/16 #589129
|
**
|
37
|
|
Fannie
Mae
|
FNMA 7.00
8/16 #599602
|
**
|
80
|
|
Fannie
Mae
|
FNMA 7.00
4/17 #636135
|
**
|
176
|
|
Fannie
Mae
|
FNMA 6.50
4/17 #637244
|
**
|
153
|
|
Fannie
Mae
|
FNMA 6.00
11/17 #671380
|
**
|
172
|
|
Fannie
Mae
|
FNMA 6.00
11/17 #672789
|
**
|
48
|
|
Fannie
Mae
|
FNMA 6.00
12/17 #673965
|
**
|
48
|
|
Fannie
Mae
|
FNMA 6.00
2/18 #684153
|
**
|
15
|
|
Fannie
Mae
|
FNMA
ARM 3.828 4/3 688969
|
**
|
180
|
|
Fannie
Mae
|
FNMA 7.00
2/18 #693327
|
**
|
210
|
|
Fannie
Mae
|
FNMA
ARM 4.318 3/3 694530
|
**
|
31
|
|
Fannie
Mae
|
FNMA
ARM 4.801 2/3 695019
|
**
|
91
|
|
Fannie
Mae
|
FNMA
ARM 4.292 3/3 701296
|
**
|
58
|
|
Fannie
Mae
|
FNMA
ARM 3.984 5/3 703915
|
**
|
17
|
|
Fannie
Mae
|
FNMA
ARM 4.079 4/3 708221
|
**
|
14
|
|
Fannie
Mae
|
FNMA
ARM 4.57% 6/33 712321
|
**
|
123
|
|
Fannie
Mae
|
FNMA
ARM 4.351 6/3 720921
|
**
|
31
|
|
Fannie
Mae
|
FNMA
ARM 3.878 6/3 723633
|
**
|
252
|
|
Fannie
Mae
|
FNMA
ARM 3.836 6/3 723760
|
**
|
51
|
(a)
|
(b)
Identity
of issue, borrower, lessor, or similar party
|
(c)
Description
of investment, including maturity date, rate of interest, collateral, par
or maturity value
|
(d)
Historical
Cost
|
(e)
Current
Value
|
Fannie
Mae
|
FNMA
ARM 5.12 1/34 725109
|
**
|
36
|
|
Fannie
Mae
|
FNMA
ARM 4.862 9/3 725855
|
**
|
98
|
|
Fannie
Mae
|
FNMA
ARM 4.832 8/3 725858
|
**
|
48
|
|
Fannie
Mae
|
FNMA
ARM 4.30% 11/34 725966
|
**
|
437
|
|
Fannie
Mae
|
FNMA
ARM 4.409 10/ 725968
|
**
|
345
|
|
Fannie
Mae
|
FNMA 4.00
8/18 #727438
|
**
|
1,153
|
|
Fannie
Mae
|
FNMA
ARM 5.229 8/3 735030
|
**
|
83
|
|
Fannie
Mae
|
FNMA
ARM 4.115 2/3 735343
|
**
|
30
|
|
Fannie
Mae
|
FNMA
ARM 4.493 8/3 735360
|
**
|
188
|
|
Fannie
Mae
|
FNMA
ARM 4.62 2/35 735433
|
**
|
255
|
|
Fannie
Mae
|
FNMA
ARM 4.53 3/35 735448
|
**
|
236
|
|
Fannie
Mae
|
FNMA
ARM 4.319 5/3 735538
|
**
|
64
|
|
Fannie
Mae
|
FNMA
ARM 4.66 7/35 #735942
|
**
|
322
|
|
Fannie
Mae
|
FNMA
ARM 4.78% 10/35 745030
|
**
|
313
|
|
Fannie
Mae
|
FNMA
ARM 4.898 10/ 745060
|
**
|
160
|
|
Fannie
Mae
|
FNMA
ARM 5.01 11/35 745124
|
**
|
292
|
|
Fannie
Mae
|
FNMA
ARM 3.941 6/3 745335
|
**
|
429
|
|
Fannie
Mae
|
FNMA
ARM 5.33 2/36 745391
|
**
|
238
|
|
Fannie
Mae
|
FNMA
ARM 5.45 5/36 745676
|
**
|
385
|
|
Fannie
Mae
|
FNMA
ARM 5.541 11/ 745972
|
**
|
474
|
|
Fannie
Mae
|
FNMA
ARM 3.753 10/ 746320
|
**
|
60
|
|
Fannie
Mae
|
FNMA
ARM 4.155 7/3 747270
|
**
|
280
|
|
Fannie
Mae
|
FNMA
ARM 4.055 10/ 749296
|
**
|
44
|
|
Fannie
Mae
|
FNMA
ARM 4.358 10/ 754672
|
**
|
27
|
|
Fannie
Mae
|
FNMA
ARM 3.752 10/ 755148
|
**
|
59
|
|
Fannie
Mae
|
FNMA
ARM 4.294 1/3 759264
|
**
|
68
|
(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 3.750 1/3 761058
|
**
|
61
|
|
Fannie
Mae
|
FNMA
ARM 4.250 1/3 765659
|
**
|
91
|
|
Fannie
Mae
|
FNMA
ARM 4.25 2/34 765660
|
**
|
71
|
|
Fannie
Mae
|
FNMA
ARM 4.30 1/34 766886
|
**
|
421
|
|
Fannie
Mae
|
FNMA
ARM 4.368 2/3 769940
|
**
|
138
|
|
Fannie
Mae
|
FNMA
ARM 4.321 2/35 773246
|
**
|
421
|
|
Fannie
Mae
|
FNMA
ARM 4.38 3/35 773264
|
**
|
223
|
|
Fannie
Mae
|
FNMA
ARM 4.455 3/3 773281
|
**
|
108
|
|
Fannie
Mae
|
FNMA
ARM 3.791 6/3 783545
|
**
|
337
|
|
Fannie
Mae
|
FNMA
ARM 4.351 1/3 783580
|
**
|
87
|
|
Fannie
Mae
|
FNMA
ARM 4.499 3/3 783587
|
**
|
242
|
|
Fannie
Mae
|
FNMA
ARM 4.4 2/35 #783588
|
**
|
116
|
|
Fannie
Mae
|
FNMA
ARM 4.876 7/3 785318
|
**
|
278
|
|
Fannie
Mae
|
FNMA
ARM 5.019 9/3 790458
|
**
|
86
|
|
Fannie
Mae
|
FNMA
ARM 5.106 9/3 790762
|
**
|
71
|
|
Fannie
Mae
|
FNMA
ARM 4.748 7/3 793028
|
**
|
188
|
|
Fannie
Mae
|
FNMA
ARM 4.82 8/34 793420
|
**
|
294
|
|
Fannie
Mae
|
FNMA
ARM 4.96 8/34 796987
|
**
|
561
|
|
Fannie
Mae
|
FNMA
ARM 4.96 8/34 796988
|
**
|
198
|
|
Fannie
Mae
|
FNMA
ARM 4.202 1/3 797418
|
**
|
146
|
|
Fannie
Mae
|
FNMA
ARM 4.67 11/3 799727
|
**
|
193
|
|
Fannie
Mae
|
FNMA
ARM 4.85 11/3 799812
|
**
|
166
|
|
Fannie
Mae
|
FNMA
ARM 4.825 12/ 800297
|
**
|
149
|
|
Fannie
Mae
|
FNMA
ARM 4.845 12/ 800335
|
**
|
55
|
|
Fannie
Mae
|
FNMA
ARM 5.00 9/34 801341
|
**
|
825
|
|
Fannie
Mae
|
FNMA
ARM 5.05 7/34 801635
|
**
|
31
|
|
(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 1/3 807221
|
**
|
98
|
|
Fannie
Mae
|
FNMA
ARM 4.79 1/35 809271
|
**
|
271
|
|
Fannie
Mae
|
FNMA
ARM 4.5 2/35 #809429
|
**
|
650
|
|
Fannie
Mae
|
FNMA
ARM 4.38 2/35 809593
|
**
|
461
|
|
Fannie
Mae
|
FNMA
ARM 4.80 3/35 809925
|
**
|
254
|
|
Fannie
Mae
|
FNMA
ARM 4.625 2/3 809931
|
**
|
189
|
|
Fannie
Mae
|
FNMA
ARM 4.80 3/35 810061
|
**
|
209
|
|
Fannie
Mae
|
FNMA
ARM 4.872 1/3 810896
|
**
|
1,173
|
|
Fannie
Mae
|
FNMA
ARM 4.57 2/35 811803
|
**
|
56
|
|
Fannie
Mae
|
FNMA
ARM 4.694 11/ 813184
|
**
|
233
|
|
Fannie
Mae
|
FNMA
ARM 5.01 4/35 814954
|
**
|
141
|
|
Fannie
Mae
|
FNMA
ARM 4.76 1/35 815321
|
**
|
383
|
|
Fannie
Mae
|
FNMA
ARM 4.790 1/3 815323
|
**
|
238
|
|
Fannie
Mae
|
FNMA
ARM 4.293 3/3 815586
|
**
|
53
|
|
Fannie
Mae
|
FNMA
ARM 4.75 5/35 815626
|
**
|
130
|
|
Fannie
Mae
|
FNMA
ARM 4.653 3/3 816322
|
**
|
18
|
|
Fannie
Mae
|
FNMA
ARM 4.639 2/3 816599
|
**
|
26
|
|
Fannie
Mae
|
FNMA
ARM 4.934 3/3 819648
|
**
|
128
|
|
Fannie
Mae
|
FNMA
ARM 4.928 2/3 820356
|
**
|
607
|
|
Fannie
Mae
|
FNMA
ARM 4.372 4/3 820407
|
**
|
|