(Mark
One)
|
|
[X]
|
ANNUAL REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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For the fiscal year ended December 31, 2009
|
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OR
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[ ]
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TRANSITION REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
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For the transition period from _____________ to ______________
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Commission file number 1-12626
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A. Full Title of the plan and the address of the plan, if different from that of the issuer named below:
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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:
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EASTMAN CHEMICAL COMPANY
|
200 S. Wilcox Drive
|
Kingsport, Tennessee 37662
|
1
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Basic Financial Statements:
|
|
2
|
|
3
|
|
4 – 18
|
|
19
|
|
35
|
|
36
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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,
|
||||||||||||
2009
|
2008
|
|||||||||||
Non-
|
Non-
|
|||||||||||
Participant
|
participant
|
Participant
|
participant
|
|||||||||
Directed
|
Directed
|
Total
|
Directed
|
Directed
|
Total
|
|||||||
Assets
|
||||||||||||
Investments at fair value
|
$
|
1,431,001
|
$
|
91,545
|
$
|
1,522,546
|
$
|
1,153,826
|
$
|
46,937
|
$
|
1,200,763
|
Receivables:
|
||||||||||||
Sponsor
|
27,375
|
4,538
|
31,913
|
30,425
|
4,787
|
35,212
|
||||||
Other
|
3,534
|
872
|
4,406
|
5,209
|
648
|
5,857
|
||||||
Total assets
|
1,461,910
|
96,955
|
1,558,865
|
1,189,460
|
52,372
|
1,241,832
|
||||||
Liabilities
|
||||||||||||
Accrued expenses
|
60
|
37
|
97
|
15
|
14
|
29
|
||||||
Other liabilities
|
1,357
|
683
|
2,040
|
3,910
|
684
|
4,594
|
||||||
Total liabilities
|
1,417
|
720
|
2,137
|
3,925
|
698
|
4,623
|
||||||
Adjustment from fair value to contract value for fully benefit-responsive investment contracts
|
(4,862)
|
--
|
(4,862)
|
10,728
|
--
|
10,728
|
||||||
Net assets available for plan benefits
|
$
|
1,455,631
|
$
|
96,235
|
$
|
1,551,866
|
$
|
1,196,263
|
$
|
51,674
|
$
|
1,247,937
|
December 31, 2008
|
||||||||||||
Non-
|
Non-
|
|||||||||||
Participant
|
participant
|
Participant
|
participant
|
|||||||||
Directed
|
Directed
|
Total
|
Directed
|
Directed
|
Total
|
|||||||
Additions to net assets:
|
||||||||||||
Investment income (loss)
|
||||||||||||
Interest
|
$
|
16,550
|
$
|
--
|
$
|
16,550
|
$
|
26,616
|
$
|
--
|
$
|
26,616
|
Dividends
|
17,643
|
2,776
|
20,419
|
27,171
|
2,658
|
29,829
|
||||||
Net appreciation (depreciation) in fair value of investments
|
231,178
|
39,609
|
270,787
|
(353,623)
|
(51,707)
|
(405,330)
|
||||||
Net investment gain (loss)
|
265,371
|
42,385
|
307,756
|
(299,836)
|
(49,049)
|
(348,885)
|
||||||
Participant contributions
|
66,061
|
--
|
66,061
|
70,138
|
--
|
70,138
|
||||||
Plan Sponsor contributions
|
28,754
|
4,537
|
33,291
|
31,574
|
4,776
|
36,350
|
||||||
Total additions
|
360,186
|
46,922
|
407,108
|
(198,124)
|
(44,273)
|
(242,397)
|
||||||
Deductions from net assets:
|
||||||||||||
Distributions to and withdrawals by participants
|
100,039
|
2,981
|
103,020
|
115,798
|
3,667
|
119,465
|
||||||
Administrative expenses
|
159
|
--
|
159
|
161
|
--
|
161
|
||||||
Total deductions
|
100,198
|
2,981
|
103,179
|
115,959
|
3,667
|
119,626
|
||||||
Interfund transfers, net
|
(620)
|
620
|
--
|
(755)
|
755
|
--
|
||||||
Net increase (decrease) in net assets
|
259,368
|
44,561
|
303,929
|
(314,838)
|
(47,185)
|
(362,023)
|
||||||
Net assets available for benefits at beginning of period
|
1,196,263
|
51,674
|
1,247,937
|
1,511,101
|
98,859
|
1,609,960
|
||||||
Net assets available for plan benefits at end of period
|
$
|
1,455,631
|
$
|
96,235
|
$
|
1,551,866
|
$
|
1,196,263
|
$
|
51,674
|
$
|
1,247,937
|
·
|
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 whose account value is less than or equal to $1,000. Separated participants with accounts in excess of $1,000 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.
|
·
|
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.
|
·
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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 IRC.
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·
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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.
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·
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The Company may contribute shares of Eastman common stock directly to the ESOP Fund.
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·
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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.
|
(Dollars in thousands)
|
December 31, 2009
|
December 31, 2008
|
||
Cash
|
$
|
660
|
$
|
949
|
Eastman Chemical Company Common Stock
|
189,704
|
135,332
|
||
Mutual Funds
|
643,459
|
472,396
|
||
Participant Loans | 32,779 | 31,254 | ||
Managed Income Fund
|
642,321
|
551,135
|
||
Self Directed Brokerage Account
|
13,623
|
9,697
|
||
Total
|
$
|
1,522,546
|
$
|
1,200,763
|
|
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 2009, the Trustee purchased 209,200 shares of Eastman stock for the fund at an average price of $23.95 per share, and sold 149,400 shares of Eastman stock for the fund at an average price of $43.44 per share. During 2008, the Trustee purchased 57,400 shares of Eastman stock for the fund at an average price of $66.69 per share, and sold 118,100 shares at an average price of $63.04 per share.
|
(in thousands)
|
December 31, 2009
|
||||
Shares
|
Fair value
|
||||
Eastman Chemical Company Common Stock, Participant Directed
|
7,149
|
$
|
98,819
|
||
Eastman Chemical Company Common Stock, Non Participant Directed
|
6,381
|
90,885
|
|||
Fidelity Contrafund
|
1,930
|
112,405
|
|||
US Treasury Note/Bond (USTN 1% 12/31/11)
|
110,876
|
110,567
|
|||
(in thousands)
|
December 31, 2008
|
||||
Shares
|
Fair value
|
||||
Eastman Chemical Company Common Stock, Participant Directed
|
11,721
|
$
|
88,856
|
||
Eastman Chemical Company Common Stock, Non Participant Directed
|
6,202
|
46,476
|
|||
Fidelity Contrafund
|
1,999
|
90,433
|
(Dollars in thousands)
|
Net Appreciation
|
Net Appreciation
|
||
(Depreciation)
|
(Depreciation)
|
|||
December 31, 2009
|
December 31, 2008
|
|||
Eastman Chemical Company Common Stock, Non Participant Directed
|
$
|
39,609
|
$
|
(51,707)
|
Eastman Chemical Company Common Stock, Participant Directed
|
89,858
|
(48,682)
|
||
Mutual Funds and Other
|
141,320
|
(304,941)
|
||
Total
|
$
|
270,787
|
$
|
(405,330)
|
·
|
The Plan's failure to qualify under Section 401(a) or Section 401(k) of the IRC.
|
·
|
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,
2009
|
December 31,
2008
|
||
Based on actual earnings
|
2.10 %
|
4.28 %
|
||
Based on interest rate credited to participants
|
2.10 %
|
4.06 %
|
(Dollars in thousands)
|
December 31,
2009
|
December 31,
2008
|
||
Security backed investments:
|
||||
Underlying assets at fair value
|
$
|
642,321
|
$
|
551,135
|
Wrap contracts
|
(4,862)
|
10,728
|
||
Total contract value
|
$
|
637,459
|
$
|
561,863
|
Level 1 –
|
Quoted prices (unadjusted) in active markets for identical assets or liabilities.
|
Level 2 –
|
Quoted prices for similar assets and liabilities in active markets or inputs that are observable for the asset or liability, either directly or indirectly through market corroboration, for substantially the full term of the financial instrument.
|
Level 3 –
|
Unobservable inputs based on the Plan's assumptions used to measure assets and liabilities at fair value.
|
(Dollars in thousands)
|
Fair Value Measurements at December 31, 2009
|
|||||||
Description
|
December 31, 2009
|
Quoted Prices in Active Markets for Identical Assets (Level 1)
|
Significant Other Observable Inputs (Level 2)
|
Significant Unobservable Inputs (Level 3)
|
||||
Cash
|
$
|
660
|
$
|
660
|
$
|
--
|
$
|
--
|
Common Stock
|
189,704
|
189,704
|
--
|
--
|
||||
Mutual Funds:
|
||||||||
Balanced/hybrid
|
45,546
|
45,546
|
--
|
--
|
||||
Bond funds
|
66,849
|
66,849
|
--
|
--
|
||||
International
|
73,100
|
73,100
|
--
|
--
|
||||
Large blend
|
76,652
|
76,652
|
--
|
--
|
||||
Large growth
|
192,508
|
192,508
|
--
|
--
|
||||
Mid blend
|
12,097
|
12,097
|
--
|
--
|
||||
Mid growth
|
21,650
|
21,650
|
--
|
--
|
||||
Small blend
|
86,044
|
86,044
|
--
|
--
|
||||
Target date funds
|
69,013
|
69,013
|
--
|
--
|
||||
Managed Income Fund
|
642,321
|
--
|
642,321
|
--
|
||||
Self Directed Brokerage Account
|
13,623
|
13,623
|
--
|
--
|
||||
Participant Loans
|
32,779
|
--
|
--
|
32,779
|
||||
Total
|
$
|
1,522,546
|
$
|
847,446
|
$
|
642,321
|
$
|
32,779
|
(Dollars in thousands)
|
Fair Value Measurements at December 31, 2008
|
|||||||
Description
|
December 31, 2008
|
Quoted Prices in Active Markets for Identical Assets (Level 1)
|
Significant Other Observable Inputs (Level 2)
|
Significant Unobservable Inputs (Level 3)
|
||||
Cash
|
$
|
949
|
$
|
949
|
$
|
--
|
$
|
--
|
Common Stock
|
135,332
|
135,332
|
--
|
--
|
||||
Mutual Funds:
|
|
|
||||||
Balanced/hybrid
|
36,817
|
36,817
|
--
|
--
|
||||
Bond funds
|
39,515
|
39,515
|
--
|
--
|
||||
International
|
52,463
|
52,463
|
--
|
--
|
||||
Large blend
|
60,168
|
60,168
|
--
|
--
|
||||
Large growth
|
143,606
|
143,606
|
--
|
--
|
||||
Mid blend
|
8,627
|
8,627
|
--
|
--
|
||||
Mid growth
|
14,192
|
14,192
|
--
|
--
|
||||
Money market
|
147
|
147
|
--
|
--
|
||||
Small blend
|
67,636
|
67,636
|
--
|
--
|
||||
Target date funds
|
49,225
|
49,225
|
--
|
--
|
||||
Managed Income Fund
|
551,135
|
--
|
551,135
|
--
|
||||
Self Directed Brokerage Account
|
9,697
|
9,697
|
--
|
--
|
||||
Participant Loans
|
31,254
|
--
|
--
|
31,254
|
||||
Total
|
$
|
1,200,763
|
$
|
618,374
|
$
|
551,135
|
$
|
31,254
|
(Dollars in thousands)
|
Level 3 Assets
Year Ended
December 31, 2009
|
|
Description
|
Participant Loans
|
|
Balance, beginning of year
|
$
|
31,254
|
Issuances, settlements and write-offs (net)
|
1,525
|
|
Balance, end of year
|
$
|
32,779
|
9.
|
OTHER RECEIVABLES AND OTHER LIABILITIES
|
11.
|
PLAN TERMINATION
|
12.
|
FEDERAL INCOME TAX STATUS
|
13.
|
PLAN EXPENSES
|
14.
|
RELATED PARTIES
|
15.
|
RECONCILIATION OF FINANCIAL STATEMENTS TO FORM 5500
|
(Dollars in thousands)
|
December 31,
2009
|
December 31,
2008
|
||
Investments at fair value
|
$
|
1,522,546
|
$
|
1,200,763
|
Adjustment from fair value to contract value for full benefit-responsive investment contracts
|
(4,862)
|
10,728
|
||
Total investments per Form 5500
|
$
|
1,517,684
|
$
|
1,211,491
|
(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, 7,149 shares
|
**
|
98,819
|
*
|
Eastman Chemical Company
|
Common stock, Non Participant directed, 6,381 shares
|
75,108
|
90,885
|
Subtotal - Common Stock
|
189,704
|
|||
*
|
Fidelity Management Trust Company
|
Interest Bearing Cash, Non Participant directed
|
660
|
660
|
*
|
Participant Loans
|
Participant Loan Fund with terms ranging from 5 - 119 months and rates ranging from 4.25% to 10.5%
|
**
|
32,779
|
*
|
Fidelity Fund K
|
Registered Investment Company, 1,206 shares
|
**
|
34,158
|
*
|
Fidelity Puritan Fund K
|
Registered Investment Company, 2,836 shares
|
**
|
45,546
|
*
|
Fidelity Magellan® Fund K
|
Registered Investment Company, 962 shares
|
**
|
61,815
|
*
|
Fidelity Contrafund K
|
Registered Investment Company, 1,930 shares
|
**
|
112,405
|
*
|
Fidelity Spartan 500 Index Portfolio
|
Registered Investment Company, 824 shares
|
**
|
32,491
|
*
|
Fidelity International Discovery Fund K
|
Registered Investment Company, 1,494 shares
|
**
|
45,232
|
*
|
Fidelity Blue Chip Growth Fund K
|
Registered Investment Company, 401 shares
|
**
|
15,218
|
*
|
Fidelity Freedom Income Fund
|
Registered Investment Company, 225 shares
|
**
|
2,416
|
*
|
Fidelity Freedom 2000 Fund
|
Registered Investment Company, 162 shares
|
**
|
1,837
|
*
|
Fidelity Freedom 2010 Fund
|
Registered Investment Company, 875 shares
|
**
|
10,950
|
*
|
Fidelity Freedom 2020 Fund
|
Registered Investment Company, 1,694 shares
|
**
|
21,260
|
*
|
Fidelity Freedom 2030 Fund
|
Registered Investment Company, 1,082 shares
|
**
|
13,410
|
*
|
Fidelity Freedom 2040 Fund
|
Registered Investment Company, 1,012 shares
|
**
|
7,247
|
*
|
Fidelity Spartan Extended Market Index Portfolio
|
Registered Investment Company, 398 shares
|
**
|
12,097
|
*
|
Fidelity Spartan International Index Fund
|
Registered Investment Company, 343 shares
|
**
|
11,467
|
*
|
Clipper Fund
|
Registered Investment Company, 183 shares
|
**
|
10,003
|
*
|
PIMCO Total Return Institutional Class
|
Registered Investment Company, 6,190 shares
|
**
|
66,849
|
*
|
Franklin Small Mid Cap Growth Fund
|
Registered Investment Company, 726 shares
|
**
|
21,650
|
*
|
WFA Small Cap Val Inst
|
Registered Investment Company, 1,141 shares
|
**
|
31,355
|
*
|
TCW Select Equity I
|
Registered Investment Company, 207 shares
|
**
|
3,070
|
*
|
Neuberger and Berman Genesis Instl Cl
|
Registered Investment Company, 1,448 shares
|
**
|
54,689
|
*
|
Templeton Foreign Fund
|
Registered Investment Company, 2,531 shares
|
**
|
16,401
|
*
|
Fidelity Freedom 2005 Fund
|
Registered Investment Company, 15 shares
|
**
|
155
|
*
|
Fidelity Freedom 2015 Fund
|
Registered Investment Company, 409 shares
|
**
|
4,262
|
*
|
Fidelity Freedom 2025 Fund
|
Registered Investment Company, 260 shares
|
**
|
2,698
|
*
|
Fidelity Freedom 2035 Fund
|
Registered Investment Company, 130 shares
|
**
|
1,335
|
*
|
Fidelity Freedom 2045 Fund
|
Registered Investment Company, 142 shares
|
**
|
1,206
|
*
|
Fidelity Freedom 2050 Fund
|
Registered Investment Company, 268 shares
|
**
|
2,237
|
Sub-total Mutual Funds
|
643,459
|
(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
|
**
|
3,742
|
|
ANZ National
|
Corporate Bond 6.2 7/19/13 144A
|
**
|
757
|
|
AT&T Wireless
|
Corporate Bond 7.875% 3/01/11
|
**
|
765
|
|
AXA Financial
|
Corporate Bond 7.75% 8/01/10
|
**
|
1,001
|
|
Abbey National
|
Corporate Bond 3.875 11/10/14 144A
|
**
|
1,544
|
|
American Express FDIC
|
Corporate Bond 3.15% 12/09/11
|
**
|
518
|
|
Americredit Automobile Receivable AMCAR 04-DF A4
|
Mortgage backed security 3.43 7/11
|
**
|
122
|
|
Americredit Prime Automobile Receivable APART 07-1 B
|
Mortgage backed security 5.35% 3/11
|
**
|
268
|
|
Americredit Prime Automobile Receivable APART 07-1 C
|
Mortgage backed security 5.43 7/11
|
**
|
163
|
|
Americredit Prime Automobile Receivable APART 07-2M A3A
|
Mortgage backed security 5.22% 4/10
|
**
|
243
|
|
Americredit Automobile Receivable AMCAR 06-BG A4
|
Mortgage backed security 5.21% 9/13
|
**
|
655
|
|
Avon Products
|
Corporate Bond 4.8% 3/01/13
|
**
|
574
|
|
Bank of America Credit Card Trust BACCT 2006-A16 A16
|
Mortgage backed security 4.72 5/13
|
**
|
485
|
|
BBVA Banc
|
Corporate Bond 5.3795 7/22/15 144A
|
**
|
504
|
|
BHP Billiton
|
Corporate Bond 5.125% 3/29/12
|
**
|
1,368
|
|
BP Capital Markets
|
Corporate Bond 3.125% 3/12
|
**
|
1,476
|
|
BP Capital Markets
|
Corporate Bond 1.55% 8/11/11
|
**
|
349
|
|
BNP Paribas
|
Corporate Bond 2.125% 12/21/12
|
**
|
1,015
|
|
BTM Curacao
|
Corporate Bond 4.76% 7/21/15 144A
|
**
|
430
|
|
Baltimore G&E
|
Corporate Bond 6.125% 7/01/13
|
**
|
539
|
|
Bank of America Commercial Mortgage BACM 04-6 XP
|
Interest Only Strip CSTR 12/42
|
**
|
39
|
|
Bank of America Commercial Mortgage BACM 2003-2 A2
|
Mortgage backed security 4.342 3/41
|
**
|
525
|
|
Bank of America Commercial Mortgage BACM 05-3 XP
|
Interest Only Strip CSTR 7/43
|
**
|
97
|
|
Bank of America Commercial Mortgage BACM 04-4 A3
|
Mortgage backed security 4.128% 7/42
|
**
|
170
|
|
Bank of America Commercial Mortgage BACM 05-4 A1
|
Mortgage backed security 4.432 7/45
|
**
|
99
|
|
Bank of America Commercial Mortgage BACM 04-5 XP
|
Interest Only Strip CSTR 11/41
|
**
|
48
|
|
Bank of America Commercial Mortgage BACM 05-4 XP
|
Interest Only Strip CSTR 7/45
|
**
|
33
|
(a)
|
(b)
Identity of issue, borrower, lessor, or similar party
|
(c)
Description of investment, including maturity date, rate of interest, collateral, par or maturity value
|
(d)
Historical cost
|
(e)
Current Value
|
Bank of America Commercial Mortgage BACM 05-6 A1
|
Mortgage backed security 5.001 9/47
|
**
|
245
|
|
Bank of America Commercial Mortgage BACM 06-5 A1
|
Mortgage backed security 5.185% 9/47
|
**
|
186
|
|
Bank of America FDIC GTD MTN
|
Corporate Bond 2.1% 4/30/12
|
**
|
1,030
|
|
Bank America
|
Corporate Bond 7.8% 2/15/10 GLBL
|
**
|
222
|
|
Bank America
|
Corporate Bond 5.375% 8/15/11
|
**
|
899
|
|
Bank America
|
Corporate Bond 4.9% 5/01/13
|
**
|
410
|
|
Bank of America GMTN
|
Corporate Bond 7.375 5/15/14
|
**
|
1,280
|
|
Bank of New York
|
Corporate Bond 4.95 1/14/11
|
**
|
170
|
|
Bank NY Mellon
|
Corporate Bond 4.95 11/12
|
**
|
429
|
|
Bank of New York MTN
|
Corporate Bond 4.3% 5/15/14
|
**
|
608
|
|
Bank One Corporation
|
Corporate Bond 7.875% 8/01/10
|
**
|
1,199
|
|
Bank of Tokyo Mit
|
Corporate Bond 8.4 4/15/10
|
**
|
1,106
|
|
Barclays MTN
|
Corporate Bond 2.5% 1/23/13
|
**
|
1,582
|
|
Bayview Commercial Asset Trust BAYC 04-2 A
|
Mortgage backed security 1ML+43 8/34
|
**
|
116
|
|
Bayview Commercial Asset Trust BAYC 04-2 M1
|
Mortgage backed security 1ML+58 8/34
|
**
|
36
|
|
Bayview Commercial Asset Trust BAYC 04-3 M1
|
Mortgage backed security 1ML+50 1/35
|
**
|
27
|
|
Bayview Commercial Asset Trust BAYC 04-3 M2
|
Mortgage backed security 1ML+100 1/35
|
**
|
15
|
|
Bear Stearns Commercial Mortgage BSCMS 04-PWR5 A2
|
Mortgage backed security 4.254 7/42
|
**
|
343
|
|
Bear Stearns Commercial Mortgage BSCMS 04-PWR5 X2
|
Interest Only Strip CSTR 7/42
|
**
|
67
|
|
Bear Stearns Commercial Mortgage BSCMS 04-T16 A3
|
Mortgage backed security 4.03 2/46
|
**
|
182
|
|
Bear Stearns Commercial Mortgage BSCMS 03-T12 X2
|
Interest Only Strip CSTR 8/39
|
**
|
15
|
|
Bear Stearns Commercial Mortgage BSCMS 04-PWR6 X2
|
Interest Only Strip CSTR 11/41
|
**
|
45
|
|
Bear Stearns Commercial Mortgage BSCMS 05-PWR9 A1
|
Mortgage backed security 4.498 9/42
|
**
|
242
|
|
Bear Stearns Commercial Mortgage BSCMS 05-T20 A1
|
Mortgage backed security 4.94% 10/42
|
**
|
161
|
|
Bear Stearns Commercial Mortgage BSCMS 2006-T24 X2
|
Interest Only Strip CSTR 10/41
|
**
|
109
|
|
Bear Stearns Commercial Mortgage BSCMS 07-PW15 A1
|
Mortgage backed security 5.016% 2/44
|
**
|
42
|
|
Bear Stearns
|
Corporate Bond 4.245% 1/7/10
|
**
|
903
|
|
Brazos Higher Education Authority BRHEA 06-A A2R
|
Mortgage backed security 3ML+75 12/41
|
**
|
1,010
|
(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
|
British G Step
|
Corporate Bond 12/10 DT
|
**
|
1,312
|
|
Commercial Mortgage Pass-Through COMM 05-C6 XP
|
Interest Only Strip CSTR 6/44
|
**
|
54
|
|
CPS Auto Trust CPS 07-B A3
|
Mortgage backed security 5.47% 11/11
|
**
|
234
|
|
CPS Auto Trust CPS 2007-C A3
|
Mortgage backed security 5.43% 5/12 144A
|
**
|
254
|
|
Canada Govt
|
Foreign Bond 2.375% 9/10/14
|
**
|
841
|
|
Capital Auto Receivables Asset CARAT 07-1 B
|
Mortgage backed security 5.15% 9/12
|
**
|
492
|
|
Capital Auto Receivables Asset CARAT 07-SN1 B
|
Mortgage backed security 5.52% 3/15/11
|
**
|
237
|
|
Capital Auto Receivables Asset CARAT 07-SN1 C
|
Mortgage backed security 5.73% 3/15/11
|
**
|
135
|
|
Capital One Auto Finance Trust COAFT 05-C A4A
|
Mortgage backed security 4.71 6/12
|
**
|
1,287
|
|
Capital One Multi-Asset Executive COMET 07-B3 B3
|
Mortgage backed security 5.05% 3/13
|
**
|
3,125
|
|
Capital One Multi-Asset Executive COMET 07-B5 B5
|
Mortgage backed security 5.4% 5/13
|
**
|
1,505
|
|
Capital One Multi-Asset Executive COMET 09-A2 A2
|
Mortgage backed security 3.2% 4/14
|
**
|
1,844
|
|
Capital One Prime Auto Receivable COPAR 06-2 A4
|
Mortgage backed security 4.94% 7/12
|
**
|
316
|
|
Capital One Prime Auto Receivable COPAR 2007-1 B1
|
Mortgage backed security 5.76% 12/13
|
**
|
461
|
|
CARGILL INC
|
Corporate Bond 6.375% 6/12 144A
|
**
|
2,343
|
|
CarMax Auto Owner Trust CARMX 2009-2 A3
|
Mortgage backed security 1.74% 4/14
|
**
|
349
|
|
Cendant Timeshare Receivables CDTIM 05-1A A1
|
Mortgage backed security 4.67 5/17
|
**
|
72
|
|
Chase Issuance Trust CHAIT 2008-A9 A9
|
Mortgage backed security 4.3% 5/13
|
**
|
698
|
|
Chase Issuance Trust CHAIT 2009-A3 A3
|
Mortgage backed security 2.4% 6/13
|
**
|
2,032
|
|
CHASE MANHATTAN
|
Corporate Bond 7.875% 6/15/10
|
**
|
1,030
|
|
Citigroup Inc
|
Corporate Bond 3ML +9 5/18/11
|
**
|
492
|
|
Citibank Credit Card Issuance CCCIT 06-A4 A4
|
Mortgage backed security 5.45% 5/13
|
**
|
636
|
|
Citibank Credit Card Issuance CCCIT 07-B2 B2
|
Mortgage backed security 5% 4/12
|
**
|
2,003
|
|
Citibank Credit Card Issuance CCCIT 07-B6 B6
|
Mortgage backed security 5% 11/12
|
**
|
1,447
|
(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
|
Citibank Credit Card Issuance CCCIT 2009-A3 A3
|
Mortgage backed security 2.7 6/13
|
**
|
1,498
|
|
Citibank Credit Card Issuance CCCIT 2009-A5 A5
|
Mortgage backed security 2.25% 12/14
|
**
|
593
|
|
Citigroup Commercial Mortgage CGCMT 04-C2 XP
|
Interest Only Strip CSTR 10/41
|
**
|
58
|
|
Citigroup Commercial Mortgage CGCMT 05-EMG A2
|
Mortgage backed security 4.2211 9/51
|
**
|
1
|
|
Citigroup Funding Inc FDIC
|
Corporate Bond 1.875% 10/22/12
|
**
|
2,383
|
|
Citigroup Funding Inc FDIC
|
Corporate Bond 1.875 11/15/12
|
**
|
2,024
|
|
CITIBANK FDIC MTN
|
Corporate Bond 1.875 6/4/12
|
**
|
1,229
|
|
CITIBANK NA FDIC
|
Corporate Bond 1.5% 7/12/11
|
**
|
1,785
|
|
CW Capital Colbalt CWCI 07-C2 A1
|
Mortgage backed security CSTR 4/15/47
|
**
|
248
|
|
Commercial Mortgage Pass-Through COMM 06-C8 XP
|
Interest Only Strip CSTR 12/46
|
**
|
496
|
|
Commercial Mortgage Pass-Through COMM 04-LB4A XP
|
Interest Only Strip CSTR 10/37
|
**
|
97
|
|
Commercial Mortgage Pass-Through COMM 05-LP5 XP
|
Interest Only Strip CSTR 5/43
|
**
|
33
|
|
Greenwich Capital Commercial F GCCFC 07-GG11 XP
|
Interest Only Strip .48% 12/49
|
**
|
451
|
|
Commonwealth Bank of Australia
|
Corporate Bond 3.75 10/14 144A
|
**
|
1,546
|
|
Commonwealth Bank of Australia MTN
|
Corporate Bond 2.9 9/17/14 144A
|
**
|
2,866
|
|
Continental Airlines Inc CONTL AIR 991A
|
Mortgage backed security 6.545% 2/02/19
|
**
|
681
|
|
Countrywide MTN
|
Corporate Bond 4% 3/22/11
|
**
|
316
|
|
Countrywide MTN
|
Corporate Bond 5.8% 6/7/12
|
**
|
70
|
|
Covidien Int
|
Corporate Bond 5.15% 10/15/10
|
**
|
1,688
|
|
Covidien Int GLB
|
Corporate Bond 5.45% 10/12
|
**
|
426
|
|
Credit Suisse NY
|
Corporate Bond 5% 5/15/13
|
**
|
2,253
|
|
CS First Boston Mortgage Security CSFB 03-C4 A3
|
Mortgage backed security CSTR 8/36
|
**
|
430
|
|
CS First Boston Mortgage Security CSFB 04-C1 A3
|
Mortgage backed security 4.321 1/37
|
**
|
334
|
|
CS First Boston Mortgage Security CSFB 04-C4 ASP
|
Interest Only Strip CSTR 10/39
|
**
|
50
|
|
Credit Suisse Mortgage Capital CSMC 07-C3 A1
|
Mortgage backed security CSTR 6/39
|
**
|
151
|
|
Credit Suisse Mortgage Capital CSMC 06-C5 ASP
|
Interest Only Strip CSTR 12/39
|
**
|
439
|
|
Credit Suisse Mortgage Capital CSMC 07-C1 A1
|
Mortgage backed security 5.227 2/40
|
**
|
177
|
|
Credit Suisse Mortgage Capital CSMC 07-C1 ASP
|
Interest Only Strip CSTR 2/40
|
**
|
495
|
(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
|
Credit Suisse Mortgage Capital CSMC 07-C2 A1
|
Mortgage backed security 5.237 1/49
|
**
|
144
|
|
CS First Boston Mortgage Security CSFB 05-C1 ASP
|
Interest Only Strip CSTR 2/38
|
**
|
48
|
|
CS First Boston Mortgage Security CSFB 05-C4 ASP
|
Interest Only Strip CSTR 8/38
|
**
|
135
|
|
CS First Boston Mortgage Security CSFB 05-C2 ASP
|
Interest Only Strip CSTR 4/37
|
**
|
70
|
|
Credit Suisse Medium Term Note
|
Corporate Bond 3.45% 7/2/12
|
**
|
1,527
|
|
DBS Bank Ltd
|
Corporate Bond 5.125/VAR 5/17 144A
|
**
|
1,726
|
|
DLJ Commercial Mortgage Corp DLJCM 00-CF1 A1B
|
Mortgage backed security 7.62 6/33
|
**
|
179
|
|
Daimler Chrysler Auto Trust DCAT 2006-C B
|
Mortgage backed security 5.11% 4/13
|
**
|
837
|
|
Deutsche Telekom Int Fin
|
Corporate Bond 5.375% 3/23/11
|
**
|
285
|
|
Diageo Capital GLB
|
Corporate Bond 5.2 1/30/13
|
**
|
694
|
|
Diageo Fin GLBL
|
Corporate Bond 3.875% 4/01/11
|
**
|
615
|
|
EDP Finance BV
|
Corporate Bond 5.375 11/12 144A
|
**
|
1,248
|
|
ERP Operating LP
|
Corporate Bond 5.5% 10/1/12
|
**
|
348
|
|
Enel Finance International
|
Corporate Bond 5.7% 1/15/13144A
|
**
|
1,658
|
|
Freddie Mac
|
FHLG 15YR 5.00% 5/14 #E76434
|
**
|
12
|
|
Freddie Mac
|
FHLG 15YR 5.00% 6/14 #E77224
|
**
|
48
|
|
Freddie Mac
|
FHLM ARM 4.889% 3/33 #847126
|
**
|
8
|
|
Freddie Mac
|
FHLM ARM 4.69% 11/35 #1B2428
|
**
|
429
|
|
Freddie Mac
|
FHLM ARM 4.68% 1/36 #847584
|
**
|
91
|
|
Freddie Mac
|
FHLM ARM 4.305 6/35 #848083
|
**
|
63
|
|
Freddie Mac
|
FHLM ARM 3.88% 1/35 #848084
|
**
|
89
|
|
Freddie Mac
|
FHLM ARM 4.542% 4/35 #848085
|
**
|
238
|
|
Freddie Mac
|
FHLM ARM 3.479% 3/35 #848086
|
**
|
135
|
|
Freddie Mac
|
FHLM ARM 4.482% 4/35 #848088
|
**
|
1,822
|
|
Freddie Mac
|
FHLM ARM 4.485% 1/35 #848089
|
**
|
47
|
|
Freddie Mac
|
FHLM ARM 4.277% 2/35 #848090
|
**
|
329
|
|
Freddie Mac
|
FHLM ARM 5.084% 8/35 #1J0005
|
**
|
92
|
|
Freddie Mac
|
FHLG 15YR 5.00% 6/24 #G13598
|
**
|
2,098
|
|
Freddie Mac
|
FHLM ARM 4.941% 11/35 #1J1228
|
**
|
272
|
|
Freddie Mac
|
FHLM ARM 5.26% 1/36 #1J1274
|
**
|
210
|
|
Freddie Mac
|
FHLM ARM 4.93% 9/35 #1K1215
|
**
|
308
|
|
Freddie Mac
|
FHLM ARM 5.78% 10/35 #1N0063
|
**
|
74
|
|
Freddie Mac
|
FHLM ARM 5.62% 12/35 #1N0117
|
**
|
356
|
|
Freddie Mac
|
FHLM ARM 5.34% 6/35 #1L0097
|
**
|
149
|
|
Freddie Mac
|
FHLM ARM 4.486% 5/35 #1Q0758
|
**
|
407
|
|
Freddie Mac
|
FHLM ARM 4.199% 8/36 #848185
|
**
|
356
|
|
Freddie Mac
|
FHLM ARM 4.571% 3/35 #848186
|
**
|
346
|
|
Freddie Mac
|
FHLB 1.75% 8/22/12
|
**
|
1,160
|
|
Freddie Mac
|
FHLB 1.625% 11/21/12
|
**
|
7,972
|
|
Freddie Mac
|
FHLB 1% 12/28/11
|
**
|
4,213
|
|
Freddie Mac
|
FHLB 1.5% 1/16/13
|
**
|
5,541
|
(a)
|
(b)
Identity of issue, borrower, lessor, or similar party
|
(c)
Description of investment, including maturity date, rate of interest, collateral, par or maturity value
|
(d)
Historical cost
|
(e)
Current Value
|
Freddie Mac
|
FHLMC 2.125% 3/23/12
|
**
|
4,074
|
|
Freddie Mac
|
FHLMC 1.125% 12/15/11
|
**
|
6,794
|
|
Fannie Mae
|
FNMA 15YR 7.00% 1/13 #251428
|
**
|
2
|
|
Fannie Mae
|
FNMA 15YR 6.50% 11/13 #323755
|
**
|
119
|
|
Fannie Mae
|
FNMA 15YR 7.00% 8/14 #323877
|
**
|
24
|
|
Fannie Mae
|
FNMA 15YR 6.50% 9/14 #514373
|
**
|
1
|
|
Fannie Mae
|
FNMA 15YR 7.00% 11/14 #522277
|
**
|
9
|
|
Fannie Mae
|
FNMA 15YR 6.50% 10/13 #535234
|
**
|
206
|
|
Fannie Mae
|
FNMA 15YR 7.00% 6/16 #545122
|
**
|
10
|
|
Fannie Mae
|
FNMA 15YR 7.00% 2/16 #569915
|
**
|
27
|
|
Fannie Mae
|
FNMA 15YR 6.00% 10/16 #589129
|
**
|
17
|
|
Fannie Mae
|
FNMA 15YR 7.00% 8/16 #599602
|
**
|
67
|
|
Fannie Mae
|
FNMA 15YR 7.00% 4/17 #636135
|
**
|
140
|
|
Fannie Mae
|
FNMA 15YR 6.50% 4/17 #637244
|
**
|
97
|
|
Fannie Mae
|
FNMA 15YR 6.00% 11/17 #671380
|
**
|
93
|
|
Fannie Mae
|
FNMA 15YR 6.00% 11/17 #672789
|
**
|
34
|
|
Fannie Mae
|
FNMA 15YR 6.00% 12/17 #673965
|
**
|
43
|
|
Fannie Mae
|
FNR 04-3 HA 4 7/17
|
**
|
318
|
|
Fannie Mae
|
FNR 2004-15 AB 4% 9/17
|
**
|
207
|
|
Fannie Mae
|
FHR 2867 EA 4.5% 11/18
|
**
|
328
|
|
Fannie Mae
|
FNR 2008-29 CA 4.5% 9/35
|
**
|
2,170
|
|
Fannie Mae
|
FNR 2008-95 AD 4.5% 12/23
|
**
|
2,180
|
|
Fannie Mae
|
FNMA 2% 1/9/12
|
**
|
5,192
|
|
Fannie Mae
|
FNMA 2.75% 3/13/14
|
**
|
2,054
|
|
Fannie Mae
|
FNMA 2.5% 5/15/14
|
**
|
1,422
|
|
Fannie Mae
|
FHR 3555 CM 4% 12/14
|
**
|
4,621
|
|
Fannie Mae
|
FHR 3555 KH 4% 12/14
|
**
|
4,695
|
|
Fannie Mae
|
FNMA 15YR 6.00% 2/18 #684153
|
**
|
11
|
|
Fannie Mae
|
FNMA 15YR 7.00% 2/18 #693327
|
**
|
191
|
|
Fannie Mae
|
FNMA ARM 4.318% 3/33 #694530
|
**
|
15
|
|
Fannie Mae
|
FNMA ARM 4.801% 2/33 #695019
|
**
|
39
|
|
Fannie Mae
|
FNMA ARM 3.984% 5/33 #703915
|
**
|
8
|
|
Fannie Mae
|
FNMA ARM 4.57% 6/33 #712321
|
**
|
343
|
|
Fannie Mae
|
FNMA 15YR 4.00% 8/18 #727438
|
**
|
879
|
|
Fannie Mae
|
FNMA ARM 4.68% 11/34 #735011
|
**
|
260
|
|
Fannie Mae
|
FNMA 15YR 4.50% 7/20 #745874
|
**
|
345
|
|
Fannie Mae
|
FNMA ARM 5.541% 11/36 #745972
|
**
|
285
|
|
Fannie Mae
|
FNMA ARM 3.753% 10/33 #746320
|
**
|
49
|
|
Fannie Mae
|
FNMA ARM 4.358% 10/33 #754672
|
**
|
15
|
|
Fannie Mae
|
FNMA ARM 3.752% 10/33 #755148
|
**
|
35
|
|
Fannie Mae
|
FNMA ARM 4.455% 3/35 #773281
|
**
|
68
|
|
Fannie Mae
|
FNMA ARM 4.499% 3/35 #783587
|
**
|
154
|
|
Fannie Mae
|
FNMA ARM 5.05% 7/34 #801635
|
**
|
21
|
|
Fannie Mae
|
FNMA ARM 4.53% 12/34 #802852
|
**
|
269
|
|
Fannie Mae
|
FNMA ARM 4.293% 3/35 #815586
|
**
|
22
|
|
Fannie Mae
|
FNMA ARM 4.75% 5/35 #815626
|
**
|
76
|
|
Fannie Mae
|
FNMA ARM 5.12% 6/35 #823810
|
**
|
89
|
(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 4.58% 7/35 #826362
|
**
|
657
|
|
Fannie Mae
|
FNMA ARM 4.520% 8/35 #829603
|
**
|
88
|
|
Fannie Mae
|
FNMA ARM 4.555% 7/35 #832099
|
**
|
156
|
|
Fannie Mae
|
FNMA ARM 5.344% 7/35 #834917
|
**
|
17
|
|
Fannie Mae
|
FNMA ARM 5.349% 12/34 #843013
|
**
|
55
|
|
Fannie Mae
|
FNMA ARM 5.280% 3/35 #843014
|
**
|
19
|
|
Fannie Mae
|
FNMA ARM 4.893% 10/35 #847787
|
**
|
88
|
|
Fannie Mae
|
FNMA ARM 6.25% 6/36 #886983
|
**
|
43
|
|
Fannie Mae
|
FNMA ARM 4.86% 7/35 #888382
|
**
|
473
|
|
Fannie Mae
|
FNMA ARM 5.07% 9/36 #888398
|
**
|
1,044
|
|
Fannie Mae
|
FNMA 15YR 4.50% 12/18 #888889
|
**
|
1,558
|
|
Fannie Mae
|
FNMA 15YR 4.50% 6/18 #889335
|
**
|
1,291
|
|
Fannie Mae
|
FNMA 15YR 4.50% 12/18 #889336
|
**
|
1,495
|
|
Fannie Mae
|
FNMA ARM 4.36% 10/37 #889704
|
**
|
217
|
|
Fannie Mae
|
FNMA ARM 4.21% 5/35 #889946
|
**
|
418
|
|
Fannie Mae
|
FNMA ARM 4.90% 2/36 #995015
|
**
|
4,227
|
|
Fannie Mae
|
FNMA ARM 4.59% 7/35 #995016
|
**
|
312
|
|
Fannie Mae
|
FNMA ARM 4.30% 2/35 #995017
|
**
|
484
|
|
Fannie Mae
|
FNMA ARM 4.987% #995269
|
**
|
3,038
|
|
Fannie Mae
|
FNMA ARM 4.785% 2/36 #995271
|
**
|
726
|
|
Fannie Mae
|
FNMA ARM 4.898% 5/35 #995272
|
**
|
49
|
|
Fannie Mae
|
FNMA ARM 4.58% 7/35 #995273
|
**
|
171
|
|
Fannie Mae
|
FNMA ARM 4.765% 1/34 #995274
|
**
|
11
|
|
Fannie Mae
|
FNMA ARM 4.53% 10/35 #995414
|
**
|
378
|
|
Fannie Mae
|
FNMA ARM 4.55% 10/35 #995415
|
**
|
1,215
|
|
Fannie Mae
|
FNMA ARM 4.715% 11/35 #995604
|
**
|
525
|
|
Fannie Mae
|
FNMA ARM 4.647% 4/35 #995605
|
**
|
451
|
|
Fannie Mae
|
FNMA ARM 4.512% 12/36 #995606
|
**
|
446
|
|
Fannie Mae
|
FNMA ARM 4.545% 12/36 #995607
|
**
|
284
|
|
Fannie Mae
|
FNMA ARM 5.075% 7/34 #995609
|
**
|
183
|
|
Fannie Mae
|
FNMA 15YR 5.00% 12/18 #995756
|
**
|
636
|
|
Fannie Mae
|
FNMA 15YR 5.00% #995836
|
**
|
2,277
|
|
Fannie Mae
|
FNMA 15YR 5.00% 1/21 #995861
|
**
|
1,011
|
|
Fannie Mae
|
FNMA 15YR 5.00% 6/24 #995902
|
**
|
933
|
|
Fannie Mae
|
FNMA ARM 3.92% 2/39 #AC0036
|
**
|
1,647
|
|
Fannie Mae
|
FNMA ARM 4.807% 1/35#AD0064
|
**
|
1,723
|
|
Fannie Mae
|
FNMA ARM 5.129% 9/35#AD0065
|
**
|
1,403
|
|
Fannie Mae
|
FNMA ARM 4.285% 7/33#AD0066
|
**
|
758
|
|
Fannie Mae
|
FNMA ARM 3.206% 4/36#AD0068
|
**
|
174
|
|
Fannie Mae
|
FNMA 15YR 4.50% 8/24 #AD0116
|
**
|
3,316
|
|
Fannie Mae
|
FNMA 15YR 4.50% 8/24 #AD0117
|
**
|
5,591
|
|
Fannie Mae
|
FNMA 15YR 4.50% 7/18 #AD0118
|
**
|
2,935
|
|
Fannie Mae
|
FNMA ARM 4.82% 2/36 #AD0175
|
**
|
118
|
|
Fannie Mae
|
FNMA ARM 4.49% 4/35 #AD0176
|
**
|
1,039
|
|
Fannie Mae
|
FNMA ARM 3.32% 9/34 #AD0177
|
**
|
109
|
|
Fannie Mae
|
FNMA ARM 3.334% 4/36 #AD0178
|
**
|
110
|
(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
|
FID INST CASH PORT: MM FUND CLASS I SHS F/N/A
|
**
|
54,374
|
|
Ford Credit Auto Owner Trust FORDO 2006-B B
|
Mortgage backed security 5.43% 2/12
|
**
|
814
|
|
Ford Credit Auto Owner Trust FORDO 2006-C B
|
Mortgage backed security 5.3% 6/12
|
**
|
378
|
|
Ford Credit Auto Owner Trust FORDO 07-A B
|
Mortgage backed security 5.6% 10/12
|
**
|
223
|
|
Ford Credit Auto Owner Trust FORDO 2009-B A2
|
Mortgage backed security 2.46 11/11TALF
|
**
|
252
|
|
Ford Credit Auto Owner Trust FORDO 2009-B A3
|
Mortgage backed security 2.79 8/13TALF
|
**
|
510
|
|
Ford Credit Auto Owner Trust FORDO 09-D A3
|
Mortgage backed security 2.17% 10/15/13
|
**
|
303
|
|
Ford Credit Auto Owner Trust FORDO 2009-E A3
|
Mortgage backed security 1.51% 1/14
|
**
|
697
|
|
France Tele MTN
|
Corporate Bond 4.375% 7/14 DT
|
**
|
776
|
|
Franklin Auto Trust FRNK 06-1 A4
|
Mortgage backed security 5.03% 7/14
|
**
|
1,353
|
|
Franklin Auto Trust FRNK 06-1 B1
|
Mortgage backed security 5.14% 7/14
|
**
|
136
|
|
Franklin Auto Trust FRNK 07-1 B
|
Mortgage backed security 5.13 2/15
|
**
|
499
|
|
Fuji Fin
|
Corporate Bond 8.625% 4/15/10 144A
|
**
|
1,194
|
|
GE Capital Credit Card Master GEMNT 07-1 B
|
Mortgage backed security 4.95% 3/13
|
**
|
1,350
|
|
GE Capital Credit Card Master GEMNT 2007-3 B
|
Mortgage backed security 5.49% 6/13
|
**
|
1,482
|
|
GE Capital Credit Card Master GEMNT 2009-3 A
|
Mortgage backed security 2.54% 9/14
|
**
|
1,543
|
|
GE Capital Credit Card Master GECMC 07-C1 XP
|
Interest Only Strip CSTR 12/49
|
**
|
159
|
|
GE Commercial Mortgage Security GMACC 04-C2 A2
|
Mortgage backed Security CSTR 8/38
|
**
|
1,095
|
|
GE Commercial Mortgage Security GMACC 04-C3 X2
|
Interest Only Strip CSTR 12/41
|
**
|
38
|
|
GE Capital Credit Card Master GMACC 05-C1 X2
|
Interest Only Strip CSTR 5/43
|
**
|
55
|
|
General Motors Acceptance Corporation INC FDIC
|
Corporate Bond 1.75% 10/30/12
|
**
|
1,525
|
|
GS Mortgage Securities Corporation GSMS 05-GG4 XP
|
Interest Only Strip CSTR 7/39
|
**
|
240
|
|
GE Capital Commercial Mortgage GECMC 04-C2 A2
|
Mortgage backed security 4.119% 3/40
|
**
|
239
|
|
GCO Slims Trust GCOSL 06-1A
|
Mortgage backed security NOTE 5.72 3/22
|
**
|
297
|
|
General Electric Capital Corp
|
Corporate Bond 5.2% 2/01/11
|
**
|
2,007
|
(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
|
General Electric Capital Corp MTN
|
Corporate Bond 5.9% 5/13/14
|
**
|
904
|
|
General Electric Capital Corp
|
Corporate Bond 3.5% 8/12
|
**
|
4,664
|
|
General Electric Capital Corp FDIC
|
Corporate Bond 3% 12/09/11
|
**
|
1,786
|
|
General Electric Capital Corp FDIC
|
Corporate Bond 1.8% 3/11/11
|
**
|
2,176
|
|
General Electric Capital Corp FDIC MTN
|
Corporate Bond 2.625 12/28/12
|
**
|
1,783
|
|
General Electric Capital Corp FDIC GMTN
|
Corporate Bond 2% 9/28/12
|
**
|
876
|
|
Glaxosmith Kline
|
Corporate Bond 4.85% 5/15/13
|
**
|
392
|
|
Goldman SA FDIC
|
Corporate Bond 2.15% 3/12
|
**
|
511
|
|
Greenwich Capital Commercial Funding Corp GCCFC 05-GG3 XP
|
Interest Only Strip CSTR 8/42
|
**
|
222
|
|
Greenwich Capital Commercial Funding Corp GCCFC 05-GG5
|
Interest Only Strip CSTR 4/37
|
**
|
177
|
|
GS Auto Loan Trust GSALT 07-1 B
|
Mortgage backed security 5.53% 12/14
|
**
|
109
|
|
HSBC USA FDIC
|
Corporate Bond 3.125% 12/16/11
|
**
|
492
|
|
Household Automotive Trust HAT 2006-3 A3
|
Mortgage backed security 5.38% 9/11
|
**
|
192
|
|
Honda Auto Receivables Owner Trust HAROT 2009-3 A3
|
Mortgage backed security 2.31% 5/13
|
**
|
507
|
|
Household Automotive Trust HAT 07-1 A3
|
Mortgage backed security 5.3% 11/11/11
|
**
|
184
|
|
Household Automotive Trust HAT 07-1 A4
|
Mortgage backed security 5.33% 11/18/13
|
**
|
892
|
|
Hutchinson Wham
|
Corporate Bond 5.45 11/24/10 144
|
**
|
699
|
|
Hyundai Auto Receivables Trust HART 06-1 B
|
Mortgage backed security 5.29 11/12
|
**
|
20
|
|
Hyundai Auto Receivables Trust HART 06-1 C
|
Mortgage backed security 5.34 11/12
|
**
|
27
|
|
Hyundai Auto Receivables Trust HART 2007-A A3A
|
Mortgage backed security 5.04 1/12
|
**
|
378
|
|
Hyundai Auto Receivables Trust HART 2009-A A3
|
Mortgage backed security 2.03% 8/13
|
**
|
343
|
|
JPMorgan Chase
|
Synthetic GIC – 2.393%
|
**
|
209
|
|
JPMorgan Chase and Company
|
Corporate Bond 6.75 2/1/11 DT
|
**
|
265
|
|
JPMorgan Chase and Company
|
Corporate Bond 4.891/VAR 9/15
|
**
|
524
|
|
JPMorgan Chase and Company
|
Corporate Bond 4.75% 5/1/13
|
**
|
1,490
|
|
JPMorgan Chase and Company MTN
|
Corporate Bond 4.65% 6/14
|
**
|
1,237
|
|
JP Morgan Chase Commercial Mortgage JPMCC 2001-C1 A2
|
Mortgage backed security 5.464 10/35
|
**
|
107
|
|
JP Morgan Chase Commercial Mortgage JPMCC 03-CB7 X2 CSTR 1/38
|
Interest Only Strip CSTR 1/38
|
**
|
9
|
|
JP Morgan Chase Commercial Mortgage JPMCC 04-CBX X2
|
Interest Only Strip CSTR 1/37
|
**
|
121
|
|
JP Morgan Chase Commercial Mortgage JPMCC 04-C3 A2
|
Mortgage backed security 4.223% 1/42
|
**
|
655
|
|
JP Morgan Chase Commercial Mortgage JPMCC 05-LDP4 X2
|
Interest Only Strip CSTR 10/42
|
**
|
185
|
|
JP Morgan Chase Commercial Mortgage JPMCC 2006-LDP9 A1
|
Mortgage backed security CSTR 5/47
|
**
|
359
|
(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
|
JP Morgan Chase Commercial Mortgage JPMCC 07-LDP10 A-1
|
Mortgage backed security 5.122% 1/49
|
**
|
168
|
|
Jackson National
|
Corporate Bond 5.375% 5/8/13 144
|
**
|
485
|
|
JP Morgan Auto Receivables Trust JPMRT 2006-A A4
|
Mortgage backed security 5.14% 12/14
|
**
|
651
|
|
JP Morgan Auto Receivables Trust JPMART 2006-A B
|
Mortgage backed security 5.36% 12/14
|
**
|
56
|
|
JPMorgan FDIC
|
Corporate Bond 3.125 12/1/11 DT
|
**
|
920
|
|
Keyspan Corp
|
Corporate Bond 7.625% 11/15/10
|
**
|
362
|
|
Kraft Foods Inc.
|
Corporate Bond 5.625% 8/11/10
|
**
|
1,245
|
|
KFW GLB
|
Corporate Bond 4.75 5/15/12
|
**
|
1,358
|
|
KFW GLB
|
Corporate Bond 3.5 5/16/13
|
**
|
1,612
|
|
LB-UBS Commercial Mortgage Trust LBUBS 07-C1 A1
|
Mortgage backed security CSTR 2/15/40
|
**
|
148
|
|
LB-UBS Commercial Mortgage Trust LBUBS 07-C2 A1
|
Mortgage backed security 5.226 2/40
|
**
|
118
|
|
LB-UBS Commercial Mortgage Trust LBUBS 00-C3 A2
|
Mortgage backed security 7.95 5/25
|
**
|
125
|
|
LB-UBS Commercial Mortgage Trust LBUBS 00-C5 A2
|
Mortgage backed security 6.51 12/26
|
**
|
442
|
|
LB-UBS Commercial Mortgage Trust LBUBS 04-C6 A2
|
Mortgage backed security 4.187% 8/29
|
**
|
134
|
|
LB-UBS Commercial Mortgage Trust LBUBS 04-C8 XCP
|
Interest Only Strip CSTR 12/39
|
**
|
22
|
|
LB-UBS Commercial Mortgage Trust LBUBS 04-C2 A3
|
Mortgage backed security 3.973% 3/29
|
**
|
700
|
|
LB-UBS Commercial Mortgage Trust LBUBS 05-C1 AAB
|
Mortgage backed security CSTR 2/30
|
**
|
574
|
|
LB-UBS Commercial Mortgage Trust LBUBS 05-C5 XCP
|
Interest Only Strip CSTR 9/40
|
**
|
334
|
|
LB-UBS Commercial Mortgage Trust LBUBS 05-C7 XCP
|
Interest Only Strip CSTR 11/40
|
**
|
144
|
|
LB-UBS Commercial Mortgage Trust LBUBS 2006-C3 A1
|
Mortgage backed security 5.478 3/39
|
**
|
125
|
|
Long Beach Auto Receivables Trust LBART 2006-B A4
|
Mortgage backed security 5.18% 9/13
|
**
|
561
|
|
Merrill Lynch/Countrywide Commercial MLCFC 07-6 A1
|
Mortgage backed security 5.175% 3/12/51
|
**
|
146
|
|
Manufacturers & Traders Trust Co
|
Corporate Bond 3.85/VAR 4/1/13
|
**
|
1,386
|
|
Marriott Vacation Club Owner Trust MVCOT 05-2 A
|
Mortgage backed security 4.6% 10/27
|
**
|
190
|
|
Marriott Vacation Club Owner Trust MVCOT 06-2A A
|
Mortgage backed security 5.417% 10/28
|
**
|
150
|
|
Marriott Vacation Club Owner Trust MVCOT 06-2A B
|
Mortgage backed security 5.467% 10/28
|
**
|
32
|
|
Marriott Vacation Club Owner Trust MVCOT 06-2A C
|
Mortgage backed security 5.766% 10/28
|
**
|
13
|
|
MassMutual GL
|
Corporate Bond 3.625% 7/12 144A
|
**
|
418
|
|
Master Adjustable Rate Mortgage MARM 04-11 1A4
|
Mortgage backed security 1ML+49 11/34
|
**
|
1
|
|
Mercedes-Benz Auto Receivables Trust MBART 2009-1 A3
|
Mortgage backed security 1% 1/15/14
|
**
|
480
|
|
Merrill Lynch & Co
|
Corporate Bond 6.05% 8/15/12
|
**
|
514
|
(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
|
Merrill Lynch & Co
|
Corporate Bond 5.45% 2/05/13
|
**
|
170
|
|
Merrill Lynch & Co
|
Corporate Bond 6.15% 4/25/13
|
**
|
414
|
|
Merrill Lynch Mortgage Trust MLMT 04-MKB1 A2
|
Mortgage backed security 4.353% 2/42
|
**
|
1,241
|
|
Merrill Lynch Mortgage Trust MLMT 04-KEY2 A2
|
Mortgage backed security 4.166% 8/39
|
**
|
812
|
|
Merrill Lynch Mortgage Trust MLMT 04-BPC1 XP
|
Interest Only Strip CSTR 9/41
|
**
|
156
|
|
Merrill Lynch Mortgage Trust MLMT 05-MKB2 XP
|
Interest Only Strip CSTR 9/42
|
**
|
17
|
|
Merrill Lynch Mortgage Trust MLMT 05-MCP1 XP
|
Interest Only Strip CSTR 6/43
|
**
|
95
|
|
Met Life GLBL
|
Corporate Bond 5.75 7/25/11 144
|
**
|
710
|
|
Met Life MTN
|
Corporate Bond 5.125 6/14 144A
|
**
|
547
|
|
Met Life GBL
|
Corporate Bond 2.875 9/17/12 144
|
**
|
1,156
|
|
Midamerican Energy Co.
|
Corporate Bond 5.65% 7/15/12
|
**
|
1,222
|
|
Merrill Lynch/Countrywide Commercial MLCFC 06-3 XP
|
Interest Only Strip CSTR 7/46
|
**
|
298
|
|
Monumental Global
|
Corporate Bond 5.5% 4/13 144A
|
**
|
228
|
|
MSTDW Global
|
Corporate Bond 6.75% 4/15/11
|
**
|
408
|
|
Morgan Stanley
|
Corporate Bond 5.25% 11/02/12
|
**
|
676
|
|
Morgan Stanley Capital MSC 04-HQ4 X2
|
Interest Only Strip CSTR 4/40
|
**
|
43
|
|
Morgan Stanley Capital MSC 04-HQ3 A2
|
Mortgage backed security 4.05 1/41
|
**
|
298
|
|
Morgan Stanley Capital MSC 05-TOP17 X2
|
Interest Only Strip CSTR 12/41
|
**
|
64
|
|
Morgan Stanley Capital MSC 05-IQ9 X2
|
Interest Only Strip CSTR 7/56
|
**
|
108
|
|
Morgan Stanley Capital MSC 05-HQ5 X2
|
Interest Only Strip CSTR 1/42
|
**
|
36
|
|
Morgan Stanley Capital MSC 06-T21 A1
|
Mortgage backed security 4.925 10/52
|
**
|
464
|
|
Morgan Stanley
|
Corporate Bond 6% 5/13/14
|
**
|
672
|
|
Morgan Stanley Capital MSC 2006-HQ10 X2
|
Interest Only Strip CSTR 11/41
|
**
|
253
|
|
Morgan Stanley Capital MSC 2007-HQ11 A1
|
Mortgage backed security 5.246% 2/44
|
**
|
266
|
|
Morgan Stanley FDIC
|
Corporate Bond 3.25% 12/1/11
|
**
|
1,279
|
|
National Australia Bank
|
Corporate Bond 5.35% 6/12/13 144
|
**
|
270
|
|
National Australia Bank
|
Corporate Bond 2.35 11/16/12 144A
|
**
|
1,495
|
|
National Collegiate Student Loan NCSLT 2007-2 AIO
|
Interest Only Strip 6.7% 7/12
|
**
|
235
|
|
National Collegiate Student Loan NCSLT 2006-2 AIO
|
Interest Only Strip 6% 8/11
|
**
|
23
|
(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
|
National Collegiate Student Loan NCSLT 04-2 AIO
|
Interest Only Strip 9.75% 10/14
|
**
|
135
|
|
National Collegiate Student Loan NCSLT 05-2 AIO
|
Interest Only Strip 7.73 3/12
|
**
|
11
|
|
National Collegiate Student Loan NCSLT 06-1 A-IO
|
Interest Only Strip 5.5 4/11
|
**
|
72
|
|
National Collegiate Student Loan NCSLT 2006-3 AIO
|
Interest Only Strip 7.1% 1/12
|
**
|
301
|
|
National Collegiate Student Loan NCSLT 06-4 AIO
|
Interest Only Strip 6.35% 02/12
|
**
|
215
|
|
National Collegiate Student Loan NCSLT 2007-1 AIO
|
Interest Only Strip 7.27% 4/12
|
**
|
317
|
|
NATIXIS
|
Synthetic GIC – 2.344%
|
**
|
154
|
|
NY Life
|
Corporate Bond 2.25% 12/14/12 144A
|
**
|
919
|
|
NYLife Global
|
Corporate Bond 4.65% 5/9/13 144A
|
**
|
1,078
|
|
Nissan Auto Lease Trust NALT 2009-B A3
|
Mortgage backed security 1 1/15
|
**
|
544
|
|
NALT 2009-A A2
|
Mortgage backed security 2.01% 4/11
|
**
|
362
|
|
Nissan Auto Lease Trust NALT 2009-A A3
|
Mortgage backed security 2.92% 12/11
|
**
|
663
|
|
Nordstrom Private Label Credit NORD 07-1A A
|
Mortgage backed security 4.92 5/13 144A
|
**
|
2,269
|
|
Northern Trust Co
|
Corporate Bond 5.5% 8/15/13
|
**
|
195
|
|
Northern Trust Co
|
Corporate Bond 4.625% 5/1/14
|
**
|
150
|
|
Northstar Education Finance NEF 05-1 A5
|
Mortgage backed security 4.74 10/45
|
**
|
623
|
|
Orix Corp
|
Corporate Bond 5.48% 11/22/11
|
**
|
146
|
|
Peco Energy
|
Corporate Bond 5.6% 10/15/13
|
**
|
681
|
|
PNC Funding MTN
|
Corporate Bond 5.4% 6/10/14
|
**
|
922
|
|
Pacific Gas & Electric
|
Corporate Bond 6.25% 12/13
|
**
|
548
|
|
Petroleum Export
|
Corporate Bond 4.623% 6/15/10 144A
|
**
|
82
|
|
Petroleum Export
|
Corporate Bond 4.633% 6/15/10 144A
|
**
|
49
|
|
Pfizer
|
Corporate Bond 4.45% 3/15/12
|
**
|
1,072
|
|
Philip Morris
|
Corporate Bond 4.875% 5/16/13
|
**
|
276
|
|
Prime Property Funding
|
Corporate Bond 5.6% 6/15/11
|
**
|
505
|
|
Proctor & Gamble Intl
|
Corporate Bond 1.35% 8/11
|
**
|
1,119
|
|
Rabobank Nederland
|
Synthetic GIC – 2.4645%
|
**
|
99
|
|
Rabobank Nederland
|
Corporate Bond 2.65% 8/12 144A
|
**
|
4,045
|
|
Ras Laffan
|
Mortgage backed security 8.294 3/15/14 144A
|
**
|
563
|
|
Rio Tinto Fin
|
Corporate Bond 5.875% 7/15/13
|
**
|
1,571
|
|
Royal Bank of Canada NY$CD
|
Certificate of Deposit 2.25% 3/15/13
|
**
|
2,027
|
|
Royal Bank of Scotland
|
Corporate Bond 1.5% 3/30/12 144A
|
**
|
1,567
|
|