(Mark
One)
|
|
[X]
|
ANNUAL REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934
|
For the fiscal year ended December 31, 2011
|
|
OR
|
|
[ ]
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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:
|
EASTMAN CHEMICAL COMPANY
|
200 S. Wilcox Drive
|
Kingsport, Tennessee 37662
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1
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|
Basic Financial Statements:
|
|
2
|
|
3
|
|
4 – 18
|
|
19
|
|
32
|
|
33
|
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 have been omitted because they are not applicable.
|
2011
|
2010
|
|||||||||||
Non-
|
Non-
|
|||||||||||
Participant
|
participant
|
Participant
|
participant
|
|||||||||
Directed
|
Directed
|
Total
|
Directed
|
Directed
|
Total
|
|||||||
Assets
|
||||||||||||
Investments at fair value
|
$
|
1,544,516
|
$
|
99,486
|
$
|
1,644,002
|
$
|
1,572,764
|
$
|
116,925
|
$
|
1,689,689
|
Receivables:
|
||||||||||||
Plan sponsor contributions
|
30,738
|
4,405
|
35,143
|
29,415
|
4,166
|
33,581
|
||||||
Notes receivable from participants
|
37,240
|
0
|
37,240
|
37,063
|
0
|
37,063
|
||||||
Other receivables
|
2,941
|
653
|
3,594
|
3,629
|
949
|
4,578
|
||||||
Total assets
|
1,615,435
|
104,544
|
1,719,979
|
1,642,871
|
122,040
|
1,764,911
|
||||||
Liabilities
|
||||||||||||
Accrued expenses
|
21
|
17
|
38
|
43
|
36
|
79
|
||||||
Other liabilities
|
3,380
|
1,093
|
4,473
|
3,211
|
659
|
3,870
|
||||||
Total liabilities
|
3,401
|
1,110
|
4,511
|
3,254
|
695
|
3,949
|
||||||
Adjustment from fair value to contract value for fully benefit-responsive investment contracts
|
(23,935)
|
0
|
(23,935)
|
(14,577)
|
0
|
(14,577)
|
||||||
Net assets available for plan benefits
|
$
|
1,588,099
|
$
|
103,434
|
$
|
1,691,533
|
$
|
1,625,040
|
$
|
121,345
|
$
|
1,746,385
|
2011
|
2010
|
|||||||||||
Non-
|
Non-
|
|||||||||||
Participant
|
participant
|
Participant
|
participant
|
|||||||||
Directed
|
Directed
|
Total
|
Directed
|
Directed
|
Total
|
|||||||
Additions to net assets:
|
||||||||||||
Investment income
|
||||||||||||
Interest
|
$
|
13,320
|
$
|
0
|
$
|
13,320
|
$
|
13,645
|
$
|
0
|
$
|
13,645
|
Dividends
|
22,384
|
2,560
|
24,944
|
19,283
|
2,653
|
21,936
|
||||||
Net appreciation (depreciation) in fair value of investments
|
(35,313)
|
(18,476)
|
(53,789)
|
131,312
|
22,245
|
153,557
|
||||||
Net investment gain (loss)
|
391
|
(15,916)
|
(15,525)
|
164,240
|
24,898
|
189,138
|
||||||
Interest income from notes receivable
|
1,597 | 0 | 1,597 | 1,756 | 0 | 1,756 | ||||||
Participant contributions
|
75,897
|
0
|
75,897
|
60,344
|
0
|
60,344
|
||||||
Plan sponsor contributions
|
33,315
|
4,405
|
37,720
|
31,115
|
4,166
|
35,281
|
||||||
Total additions
|
111,200
|
(11,511)
|
99,689
|
257,455
|
29,064
|
286,519
|
||||||
Deductions from net assets:
|
||||||||||||
Distributions to and withdrawals by participants
|
156,349
|
6,400
|
162,749
|
87,876
|
3,954
|
91,830
|
||||||
Administrative expenses
|
168
|
0
|
168
|
170
|
0
|
170
|
||||||
Total deductions
|
156,517
|
6,400
|
162,917
|
88,046
|
3,954
|
92,000
|
||||||
Net increase (decrease) in net assets
|
(45,317)
|
(17,911)
|
(63,228)
|
169,409
|
25,110
|
194,519
|
||||||
Plan transfer - Genovique | 8,376 |
0
|
8,376 |
0
|
0
|
0
|
||||||
Net assets available for benefits at beginning of year
|
1,625,040
|
121,345
|
1,746,385
|
1,455,631
|
96,235
|
1,551,866
|
||||||
Net assets available for plan benefits at end of year
|
$
|
1,588,099
|
$
|
103,434
|
$
|
1,691,533
|
$
|
1,625,040
|
$
|
121,345
|
$
|
1,746,385
|
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.
|
·
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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 (1) 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 (2) an 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.
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·
|
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 $1,000, payment will be made in either a lump-sum amount or, at the election of the surviving spouse, in monthly or annual installments.
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·
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Distributions to participants shall commence in the year following the year a participant attains age 70½, unless the participant is still actively employed with the Company.
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·
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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.
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·
|
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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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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·
|
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.
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·
|
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).
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2.
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SUMMARY OF ACCOUNTING POLICIES
|
3.
|
RISKS AND UNCERTAINTIES
|
4.
|
CONTRIBUTIONS
|
5.
|
NOTES RECEIVABLE FROM PARTICIPANTS
|
6.
|
(in thousands)
|
2011
|
2010
|
||
Cash
|
$
|
4,166
|
$
|
2,062
|
Eastman Chemical Company common stock
|
259,151
|
212,601
|
||
Mutual funds
|
690,435
|
755,106
|
||
Managed income fund
|
672,791
|
702,826
|
||
Self-directed brokerage account
|
17,459
|
17,094
|
||
Total
|
$
|
1,644,002
|
$
|
1,689,689
|
|
This non-participant directed fund consists primarily of Eastman Class A common stock. Purchases and sales of Eastman common stock are generally made on the open market, on behalf of its participants and as directed by the Plan's guidelines. During 2011, the Trustee purchased 93,800 shares of Eastman common stock for the fund at an average price of $45.86 per share, and sold 307,900 shares of Eastman common stock for the fund at an average price of $46.71 per share. During 2010, the Trustee purchased 148,600 shares of Eastman common stock for the fund at an average price of $29.41 per share, and sold 381,800 shares at an average price of $35.12 per share.
|
(in thousands)
|
December 31, 2011
|
||||
Shares
|
Fair value
|
||||
Eastman Chemical Company Common Stock, Participant Directed
|
4,110
|
$
|
160,520
|
||
Eastman Chemical Company Common Stock, Non Participant Directed
|
2,525
|
98,631
|
|||
Fidelity Contrafund
|
1,639
|
110,461
|
|||
PIMCO Total Return Institutional Class
|
8,135
|
88,426
|
|||
(in thousands)
|
December 31, 2010
|
||||
Shares1
|
Fair value
|
||||
Eastman Chemical Company Common Stock, Participant Directed
|
10,148
|
$
|
96,403
|
||
Eastman Chemical Company Common Stock, Non Participant Directed
|
11,730
|
116,198
|
|||
Fidelity Contrafund
|
1,858
|
125,766
|
|||
Fidelity Short-term MM fund
|
--
|
94,333
|
|||
PIMCO Total Return Institutional Class
|
8,388
|
91,010
|
(in thousands)
|
|
|||
2011
|
2010
|
|||
Eastman Chemical Company Common Stock, Non Participant Directed
|
$
|
(18,476)
|
$
|
22,245
|
Eastman Chemical Company Common Stock, Participant Directed
|
(7,717)
|
39,068
|
||
Mutual Funds and Other
|
(27,596)
|
92,244
|
||
Total
|
$
|
(53,789)
|
$
|
153,557
|
·
|
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:
|
2011
|
2010
|
||
Based on actual earnings
|
1.91 %
|
2.20 %
|
||
Based on interest rate credited to participants
|
2.13 %
|
1.94 %
|
(in thousands)
|
2011
|
2010
|
||
Security backed investments:
|
||||
Underlying assets at fair value
|
$
|
672,791
|
$
|
702,826
|
Wrap contracts
|
(23,935)
|
(14,577)
|
||
Total contract value
|
$
|
648,856
|
$
|
688,249
|
8.
|
FAIR VALUE MEASUREMENT
|
Level 1 –
|
Quoted prices (unadjusted) in active markets for identical assets or liabilities.
|
Level 2 –
|
Quoted prices for similar assets and liabilities in active markets or inputs that are observable for the asset or liability, either directly or indirectly through market corroboration, for substantially the full term of the financial instrument.
|
Level 3 –
|
Unobservable inputs based on the Plan's assumptions used to measure assets and liabilities at fair value.
|
(in thousands)
|
||||||
Description
|
December 31, 2011
|
Quoted Prices in Active Markets for Identical Assets (Level 1)
|
Significant Other Observable Inputs
(Level 2)
|
|||
Cash
|
$
|
4,166
|
$
|
4,166
|
$
|
--
|
Common stock
|
259,151
|
259,151
|
--
|
|||
Mutual funds:
|
||||||
Balanced/hybrid
|
46,865
|
46,865
|
--
|
|||
Bond funds
|
88,426
|
88,426
|
--
|
|||
International
|
56,057
|
56,057
|
--
|
|||
Large blend
|
77,096
|
77,096
|
--
|
|||
Large growth
|
184,650
|
184,650
|
--
|
|||
Mid blend
|
17,024
|
17,024
|
--
|
|||
Mid growth
|
26,213
|
26,213
|
--
|
|||
Small blend
|
88,656
|
88,656
|
--
|
|||
Target date funds
|
105,448
|
105,448
|
--
|
|||
Managed income fund
|
672,791
|
--
|
672,791
|
|||
Self-directed brokerage account
|
17,459
|
17,459
|
--
|
|||
Total
|
$
|
1,644,002
|
$
|
971,211
|
$
|
672,791
|
(in thousands)
|
||||||
Description
|
December 31, 2010
|
Quoted Prices in Active Markets for Identical Assets (Level 1)
|
Significant Other Observable Inputs
(Level 2)
|
|||
Cash
|
$
|
2,062
|
$
|
2,062
|
$
|
--
|
Common stock
|
212,601
|
212,601
|
--
|
|||
Mutual funds:
|
||||||
Balanced/hybrid
|
49,910
|
49,910
|
--
|
|||
Bond funds
|
91,010
|
91,010
|
--
|
|||
International
|
72,904
|
72,904
|
--
|
|||
Large blend
|
83,275
|
83,275
|
--
|
|||
Large growth
|
212,326
|
212,326
|
--
|
|||
Mid blend
|
19,113
|
19,113
|
--
|
|||
Mid growth
|
30,010
|
30,010
|
--
|
|||
Money market
|
19
|
19
|
---
|
|||
Small blend
|
102,231
|
102,231
|
--
|
|||
Target date funds
|
94,308
|
94,308
|
--
|
|||
Managed income fund
|
702,826
|
--
|
702,826
|
|||
Self-directed brokerage account
|
17,094
|
17,094
|
--
|
|||
Total
|
$
|
1,689,689
|
$
|
986,863
|
$
|
702,826
|
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
|
(in thousands)
|
December 31,
2011
|
December 31,
2010
|
||
Investments at fair value
|
$
|
1,644,002
|
$
|
1,689,689
|
Notes receivable from participants
|
37,240
|
37,063
|
||
Adjustment from fair value to contract value for full benefit-responsive investment contracts
|
(23,935)
|
(14,577)
|
||
Total investments per Form 5500
|
$
|
1,657,307
|
$
|
1,712,175
|
16.
|
SUBSEQUENT EVENTS
|
(a)
|
(b)
|
(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, 8,984 shares | ** | $160,520 |
*
|
Eastman Chemical Company
|
Common stock, Non Participant directed, 5,333 shares
|
$65,123
|
98,631
|
Subtotal - Common Stock
|
259,151
|
|||
*
|
Fidelity Management Trust Company
|
Interest Bearing Cash, Participant directed
|
3,311
|
3,311
|
*
|
Fidelity Management Trust Company
|
Interest Bearing Cash, Non Participant directed
|
855
|
855
|
Subtotal – Cash
|
4,166
|
|||
*
|
Fidelity Fund K
|
Registered Investment Company, 1,025 shares
|
**
|
31,911
|
*
|
Fidelity Puritan Fund K
|
Registered Investment Company, 2,651 shares
|
**
|
46,865
|
*
|
Fidelity Magellan® Fund K
|
Registered Investment Company, 770 shares
|
**
|
48,457
|
*
|
Fidelity Contrafund K
|
Registered Investment Company, 1,639 shares
|
**
|
110,461
|
*
|
Fidelity Spartan 500 Index Portfolio
|
Registered Investment Company, 776 shares
|
**
|
34,524
|
*
|
Fidelity International Discovery Fund K
|
Registered Investment Company, 1,192 shares
|
**
|
32,812
|
*
|
Fidelity Blue Chip Growth Fund K
|
Registered Investment Company, 474 shares
|
**
|
20,140
|
*
|
Fidelity Freedom Income Fund
|
Registered Investment Company, 325 shares
|
**
|
3,672
|
*
|
Fidelity Freedom K 2000 Fund
|
Registered Investment Company, 223 shares
|
**
|
2,550
|
*
|
Fidelity Freedom K 2005 Fund
|
Registered Investment Company, 78 shares
|
**
|
931
|
*
|
Fidelity Freedom K 2010 Fund
|
Registered Investment Company, 759 shares
|
**
|
9,186
|
*
|
Fidelity Freedom K 2015 Fund
|
Registered Investment Company, 802 shares
|
**
|
9,725
|
*
|
Fidelity Freedom K 2020 Fund
|
Registered Investment Company, 2,145 shares
|
**
|
26,667
|
*
|
Fidelity Freedom K 2025 Fund
|
Registered Investment Company, 833 shares
|
**
|
10,358
|
*
|
Fidelity Freedom K 2030 Fund
|
Registered Investment Company, 1544 shares
|
**
|
19,363
|
*
|
Fidelity Freedom K 2035 Fund
|
Registered Investment Company, 337 shares
|
**
|
4,223
|
*
|
Fidelity Freedom K 2040 Fund
|
Registered Investment Company, 797 shares
|
**
|
10,024
|
*
|
Fidelity Freedom K 2045 Fund
|
Registered Investment Company, 256 shares
|
**
|
3,242
|
*
|
Fidelity Freedom K 2050 Fund
|
Registered Investment Company, 435 shares
|
**
|
5,508
|
*
|
Fidelity Retirement Money Market
|
Registered Investment Company, 20 shares
|
**
|
0
|
*
|
Fidelity Spartan Extended Market Index Portfolio
|
Registered Investment Company, 480 shares
|
**
|
17,024
|
*
|
Fidelity Spartan International Index Fund
|
Registered Investment Company, 280 shares
|
**
|
8,332
|
*
|
Clipper Fund
|
Registered Investment Company, 171 shares
|
**
|
10,660
|
*
|
PIMCO Total Return Institutional Class
|
Registered Investment Company, 8,135 shares
|
**
|
88,426
|
*
|
Franklin Small Mid Cap Growth Fund
|
Registered Investment Company, 750 shares
|
**
|
26,213
|
*
|
WFA Small Cap Val Inst
|
Registered Investment Company, 816 shares
|
**
|
24,370
|
*
|
TCW Select Equity I
|
Registered Investment Company, 315 shares
|
**
|
5,592
|
*
|
Neuberger and Berman Genesis Instl Cl
|
Registered Investment Company, 1,385 shares
|
**
|
64,286
|
*
|
Templeton Foreign Fund
|
Registered Investment Company, 2,549 shares
|
**
|
14,913
|
Sub-total Mutual Funds
|
690,435
|
(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
|
**
|
2,689
|
|
AT&T Inc
|
Corporate Bond 2.5% 8/15/15
|
**
|
1,913
|
|
AT&T Inc
|
Corporate Bond 2.95% 5/15/16
|
**
|
727
|
|
AT&T Inc
|
Corporate Bond 2.4% 8/15/16
|
**
|
686
|
|
Abbey National
|
Corporate Bond 3.875% 11/10/14 144A
|
**
|
1,445
|
|
ALABAMA POWER
|
Corporate Bond 4.85% 12/15/12
|
**
|
642
|
|
ALLYA2010-1 A3
|
Mortgage backed security 1.45% 5/14
|
**
|
550
|
|
ALLYA 2011-3 A3
|
Mortgage backed security 0.97% 8/15
|
**
|
868
|
|
ALLYA 10-4 A3 ABS
|
Mortgage backed security .91% 11/17/14
|
**
|
950
|
|
ALLYA 2010-5 A3
|
Mortgage backed security 1.11 1/15
|
**
|
842
|
|
ALLYA 2011-1 A3
|
Mortgage backed security 1.45 1/15
|
**
|
794
|
|
ALLYA 2011-2 A3
|
Mortgage backed security 1.18% 4/15
|
**
|
692
|
|
ALLYA 2011-5 A2
|
Mortgage backed security 0.8% 6/14
|
**
|
600
|
|
ALLYA 2011-4 A2
|
Mortgage backed security .65% 3/14
|
**
|
250
|
|
American Express CC
|
Corporate Bond 2.75% 9/15/15
|
**
|
1,318
|
|
American Honda
|
Corporate Bond 2.375% 3/13 144A
|
**
|
306
|
|
American Honda
|
Corporate Bond 2.5% 9/21/15 144A
|
**
|
667
|
|
AIG INTL
|
Corporate Bond 4.25% 9/15/14
|
**
|
984
|
|
Americredit Prime Automobile Receivable APART 2007-1 C
|
Mortgage backed security 5.43% 2/14
|
**
|
141
|
|
ANHEUSER BUSCH
|
Corporate Bond 1.5% 7/14/14
|
**
|
644
|
|
BB&T CORP MTN B/E
|
Corporate Bond 3.2% 3/15/16
|
**
|
705
|
|
BG ENERGY
|
Corporate Bond 2.875% 10/16 144A
|
**
|
668
|
|
BHP BILLITON FIN
|
Corporate Bond 1.125% 11/14
|
**
|
1,004
|
|
BP CAPITAL MARKET
|
Corporate Bond 3.2% 3/11/16
|
**
|
730
|
|
BMWLT 2010-1 A3
|
Mortgage backed security 1.18% 4/13
|
**
|
920
|
|
BNP Paribas
|
Corporate Bond 2.125% 12/21/12
|
**
|
409
|
|
BMWLT 2011-1 A3
|
Mortgage backed security 1.06% 2/14
|
**
|
1,011
|
|
BMWOT 2011-A A2
|
Mortgage backed security .63% 2/14
|
**
|
839
|
|
BALTIMORE G&E
|
Corporate Bond 6.125% 7/01/13
|
**
|
536
|
|
Bank of America Commercial Mortgage BACM 2005-3 XP
|
Interest Only Strip CSTR 7/43
|
**
|
18
|
|
Bank of America Commercial Mortgage BACM 2004-4 A5
|
Mortgage backed security 4.576% 7/42
|
**
|
226
|
|
Bank America
|
Corporate Bond 4.5% 4/1/15
|
**
|
1,782
|
|
Bank America FDG
|
Corporate Bond 3.7% 9/1/15
|
**
|
1,843
|
|
BAAT 2010-2 A3
|
Mortgage backed security 2.4% 7/14
|
**
|
796
|
|
Bank of New York MTN
|
Corporate Bond 4.3% 5/15/14
|
**
|
330
|
|
BONY MELLON MTN
|
Corporate Bond 1.7% 11/24/14
|
**
|
669
|
(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 NY MTN
|
Corporate Bond 2.4% 1/17/17
|
**
|
1,001
|
|
Bank of NOVA SC
|
Corporate Bond 2.05% 10/07/15
|
**
|
3,168
|
|
BANK TOKYO
|
Corporate Bond 2.6% 1/22/13 144A
|
**
|
256
|
|
BARCLAYS BANK
|
Corporate Bond 2.375% 1/13/14
|
**
|
1,564
|
|
Bayview Commercial Asset Trust BAYC 2004-2 A
|
Mortgage backed security 1ML+43 8/34
|
**
|
94
|
|
Bayview Commercial Asset Trust BAYC 2004-3 M1
|
Mortgage backed security 1ML+50 1/35
|
**
|
27
|
|
BSCMS 06-PW11 AAB
|
Mortgage backed security CSTR 3/39
|
**
|
544
|
|
BSCMS 2007-PW17 A2
|
Mortgage backed security 5.574 6/50
|
**
|
174
|
|
BERK HATH INC
|
Corporate Bond 2.2% 8/15/16
|
**
|
716
|
|
Commercial Mortgage Pass-Through COMM 2005-C6 XP
|
Interest Only Strip CSTR 6/44
|
**
|
14
|
|
CIBC
|
Corporate Bond 1.45% 9/13/13
|
**
|
577
|
|
Capital Auto Receivables Asset CARAT 2007-1 B
|
Mortgage backed security 5.15% 9/12
|
**
|
139
|
|
CAPITAL ONE FIN
|
Corporate Bond 2.125% 7/15/14
|
**
|
1,512
|
|
Capital One Multi-Asset Execution Trust COMET 2008-A3 A3
|
Mortgage backed security 5.05% 2/16
|
**
|
422
|
|
Caterpillar FIN 2.75% 6/24/15
|
Corporate Bond 2.75% 6/24/15
|
**
|
349
|
|
CATERPILR FIN MTN
|
Corporate Bond 1.375% 5/14
|
**
|
700
|
|
CATERPILR FIN MTN
|
Corporate Bond 1.125% 12/14
|
**
|
494
|
|
Chase Issuance Trust CHAIT 2007-A17 A
|
Mortgage backed security 5.12% 10/14
|
**
|
2,396
|
|
Chase Issuance Trust CHAIT 2008-A4 A4
|
Mortgage backed security 4.65% 3/15
|
**
|
1,700
|
|
Chase Issuance Trust CHAIT 2011-A2 A2
|
Mortgage backed security 1ML+9 5/15
|
**
|
2,589
|
|
CFAST 2010-A A3
|
Mortgage backed security .91% 8/13
|
**
|
671
|
|
Citigroup Inc
|
Corporate Bond 5.5% 4/11/13
|
**
|
1,963
|
|
Citigroup Inc
|
Corporate Bond 6.5% 8/13 SNR DT
|
**
|
2,077
|
|
Citigroup Inc
|
Corporate Bond 4.75% 5/19/15
|
**
|
1,031
|
|
Citigroup Inc
|
Corporate Bond 3.953% 6/15/16
|
**
|
339
|
|
CCCIT 2009-A5 A5
|
Mortgage backed security 2.25% 12/14
|
**
|
812
|
|
Citigroup Funding Inc FDIC
|
Corporate Bond 1.875% 11/15/12
|
**
|
2,054
|
|
Coca-Cola Ent
|
Corporate Bond 1.125% 11/12/13
|
**
|
727
|
|
Comerica Inc
|
Corporate Bond 3% 9/16/15
|
**
|
77
|
|
Greenwich Capital Commercial Funding Corp GCCFC 2006-GG7 A1 CSTR
|
Mortgage backed security CSTR 7/38
|
**
|
6
|
|
CMMNWLTH BK
|
Corporate Bond 2.125% 3/17/14 144
|
**
|
692
|
(a)
|
(b)
Identity of issue, borrower, lessor, or similar party
|
(c)
Description of investment, including maturity date, rate of interest, collateral, par or maturity value
|
(d)
Historical Cost
|
(e)
Current Value
|
Commonwealth Bank of Australia MTN
|
Corporate Bond 2.9 9/17/14 144A
|
**
|
3,043
|
|
COMWLTH EDISON
|
Corporate Bond 1.625% 1/15/14
|
**
|
1,094
|
|
CON Edison NY
|
Corporate Bond 5.55 4/1/14
|
**
|
712
|
|
RABOBANK NL UTREC MTN
|
Corporate Bond 1.85 1/14
|
**
|
2,743
|
|
Covidien Intl
|
Corporate Bond 1.875% 6/15/13
|
**
|
626
|
|
CS First Boston Mortgage Security CSFB 2003-C4 A3
|
Mortgage backed security CSTR 8/36
|
**
|
20
|
|
CS First Boston Mortgage Security CSFB 2003-C4 A4
|
Mortgage backed security 5.137 8/36
|
**
|
679
|
|
CS First Boston Mortgage Security CSFB 2004-C1 A3
|
Mortgage backed security 4.321% 1/37
|
**
|
69
|
|
Credit Suisse Mortgage Capital CSMC 2007-C3 A2
|
Mortgage backed security CSTR 6/39
|
**
|
330
|
|
CS First Boston Mortgage Security CSFB 2005-C4 ASP
|
Interest Only Strip CSTR 8/38
|
**
|
32
|
|
Credit Suisse NY MTN
|
Corporate Bond 3.5% 3/23/15
|
**
|
600
|
|
CREDIT SUISSE NY
|
Corporate Bond 2.2% 1/14/14
|
**
|
3,080
|
|
DBS Bank Ltd
|
Corporate Bond 5.125/VAR 5/17 144A
|
**
|
1,697
|
|
DBUBS 2011-LC3A A1
|
Mortgage backed security 2.238 8/44
|
**
|
235
|
|
Daimler Chrysler
|
Corporate Bond 6.5% 11/15/13
|
**
|
928
|
|
DAIMLER FIN
|
Corporate Bond 1.875% 9/15/14144A
|
**
|
660
|
|
DANSKE BANK
|
Corporate Bond 3.875% 4/14/16 144
|
**
|
974
|
|
Deere J Cap Mtn
|
Corporate Bond 1.875% 6/17/13
|
**
|
632
|
|
John Deere Cap
|
Corporate Bond 2.95% 3/9/15
|
**
|
316
|
|
Deutsche BK AG 2.375% 1/11/13
|
Corporate Bond 2.375% 1/11/13
|
**
|
954
|
|
Diageo Capital GLB
|
Corporate Bond 5.2 1/30/13
|
**
|
679
|
|
Dominion Resources
|
Corporate Bond 2.25% 9/1/15
|
**
|
434
|
|
DOMINION RESOURCE
|
Corporate Bond 1.8% 3/15/14
|
**
|
258
|
|
DUKE ENERGY CAR
|
Corporate Bond 1.75% 12/15/16
|
**
|
224
|
|
EDP Finance BV
|
Corporate Bond 5.375 11/12 144A
|
**
|
748
|
|
ERP Operating LP
|
ERP OPERAT LP 5.5% 10/1/12
|
**
|
342
|
|
Enel Finance International
|
Corporate Bond 5.7% 1/15/13 144A
|
**
|
697
|
|
EXPORT DEV CANADA
|
Corporate Bond 1.5% 5/15/14
|
**
|
471
|
|
Fidelity
|
FID INST CASH PORT: MM FUND CLASS I SHS F/N/A
|
**
|
40,159
|
|
Freddie Mac
|
FHLG 15YR 5.00% 5/14 #E76434
|
**
|
7
|
|
Freddie Mac
|
FHLG 15YR 5.00% 6/14 #E77224
|
**
|
18
|
|
Freddie Mac
|
FHLM ARM 4.889% 3/33 #847126
|
**
|
5
|
|
Freddie Mac
|
FHLG 15YR 4.50% 8/18 #E98688
|
**
|
702
|
|
Freddie Mac
|
FHLG 15YR 4.50% 9/18 #E99205
|
**
|
220
|
|
Freddie Mac
|
FHLG 15YR 4.50% 10/18 #E99833
|
**
|
318
|
|
Freddie Mac
|
FHLM ARM 3.53% 4/40 #1B4657
|
**
|
348
|
|
Freddie Mac
|
FHLM ARM 3.58% 4/40 #1B4702
|
**
|
305
|
(a)
|
(b)
Identity of issue, borrower, lessor, or similar party
|
(c)
Description of investment, including maturity date, rate of interest, collateral, par or maturity value
|
(d)
Historical Cost
|
(e)
Current Value
|
Freddie Mac
|
FHLM ARM 4.68% 1/36 #847584
|
**
|
65
|
|
Freddie Mac
|
FHLM ARM 3.88% 1/35 #848084
|
**
|
51
|
|
Freddie Mac
|
FHLM ARM 5.084% 8/35 #1J0005
|
**
|
60
|
|
Freddie Mac
|
FHLG 15YR 5.00% 6/24 #G13598
|
**
|
1,102
|
|
Freddie Mac
|
FHLM ARM 4.941% 11/35 #1J1228
|
**
|
192
|
|
Freddie Mac
|
FHLG 10YR 3.00% 8/21 #J16393
|
**
|
788
|
|
Freddie Mac
|
FHLG 10YR 3.00% 8/21 #J16442
|
**
|
854
|
|
Freddie Mac
|
FHLM ARM 5.78% 10/35 #1N0063
|
**
|
28
|
|
Freddie Mac
|
FHLM ARM 3.21% 7/41 #1B8477
|
**
|
436
|
|
Freddie Mac
|
FHLM ARM 2.98% 8/41 #1B8533
|
**
|
549
|
|
Freddie Mac
|
FHLM ARM 2.99% 8/41 #1B8556
|
**
|
262
|
|
Freddie Mac
|
FHLM ARM 3.07% 9/41 #1B8608
|
**
|
339
|
|
Freddie Mac
|
FHLG 15YR 4.50% 11/18 #B10931
|
**
|
186
|
|
Freddie Mac
|
FHLM ARM 4.199% 8/36 #848185
|
**
|
245
|
|
Freddie Mac
|
FHLB .375% 11/27/13
|
**
|
13,217
|
|
Fannie Mae
|
FNMA 0.875% 8/28/14
|
**
|
3,845
|
|
Fannie Mae
|
FNMA .625% 10/30/14
|
**
|
5,682
|
|
Fannie Mae
|
FNMA 0.75% 12/19/14
|
**
|
1,796
|
|
Fannie Mae
|
FNMA 4.625% 10/15/13
|
**
|
729
|
|
FHR 3943 EF 1ML+25 2/26
|
FHR 3943 EF 1ML+25 2/26
|
**
|
853
|
|
Freddie Mac
|
FHLMC 1.75% 9/10/15
|
**
|
666
|
|
Freddie Mac
|
FHLMC 1% 7/30/14
|
**
|
6,189
|
|
Freddie Mac
|
FHLMC 1% 8/27/14
|
**
|
28,283
|
|
Freddie Mac
|
FHLMC 0.375% 10/30/13
|
**
|
22,963
|
|
Freddie Mac
|
FHLMC 0.75% 11/25/14
|
**
|
4,725
|
|
Freddie Mac
|
FHLMC .625% 12/29/14
|
**
|
2,116
|
|
Fannie Mae
|
FNMA 15YR 7.00% 1/13 #251428
|
**
|
0
|
|
Fannie Mae
|
FNMA 15YR 6.50% 11/13 #323755
|
**
|
32
|
|
Fannie Mae
|
FNMA 15YR 7.00% 8/14 #323877
|
**
|
10
|
|
Fannie Mae
|
FNMA ARM 3.01% 8/41 #AI4358
|
**
|
283
|
|
Fannie Mae
|
FNMA ARM 3.37% 9/41 #AI8935
|
**
|
282
|
|
Fannie Mae
|
FNMA ARM 2.74% 8/41 #AH5259
|
**
|
897
|
|
Fannie Mae
|
FNMA 10YR 3% 9/21 #AL0576
|
**
|
1,847
|
|
Fannie Mae
|
FNMA 10YR 3% 9/21 #AL0579
|
**
|
2,170
|
|
Fannie Mae
|
FNMA 15YR 6.50% 9/14 #514373
|
**
|
0
|
|
Fannie Mae
|
FNMA 15YR 6.50% 10/13 #535234
|
**
|
54
|
|
Fannie Mae
|
FNMA 15YR 7.00% 6/16 #545122
|
**
|
5
|
|
Fannie Mae
|
FNMA 15YR 7.00% 2/16 #569915
|
**
|
14
|
|
Fannie Mae
|
FNMA 15YR 6.00% 10/16 #589129
|
**
|
13
|
|
Fannie Mae
|
FNMA 15YR 7.00% 8/16 #599602
|
**
|
51
|
|
Fannie Mae
|
FNMA 15YR 7.00% 4/17 #636135
|
**
|
90
|
|
Fannie Mae
|
FNMA 15YR 6.50% 4/17 #637244
|
**
|
67
|
|
Fannie Mae
|
FNMA 15YR 6.00% 11/17 #671380
|
**
|
50
|
|
Fannie Mae
|
FNMA 15YR 6.00% 11/17 #672789
|
**
|
17
|
|
Fannie Mae
|
FNMA 15YR 6.00% 12/17 #673965
|
**
|
34
|
|
Fannie Mae
|
FNR 2004-3 HA 4% 7/17
|
**
|
86
|
|
Fannie Mae
|
FNR 2004-15 AB 4% 9/17
|
**
|
56
|
|
Fannie Mae
|
FHR 2866 XE 4 12/18
|
**
|
597
|
|
Fannie Mae
|
FHR 2915 DC 4.5% 3/19
|
**
|
307
|
(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
|
FNR 2008-95 AD 4.5% 12/23
|
**
|
1,136
|
|
Fannie Mae
|
FHR 3540 CD 2% 6/14
|
**
|
1,388
|
|
Fannie Mae
|
FHR 3560 LA 2% 8/14
|
**
|
322
|
|
Fannie Mae
|
FHR 3573 LC 1.85% 8/14
|
**
|
585
|
|
Fannie Mae
|
FNR 2010-123 DL 3.5% 11/25
|
**
|
482
|
|
Fannie Mae
|
FNR 2010-135 DE 2.25% 4/24
|
**
|
921
|
|
Fannie Mae
|
FNR 2010-143 B 3.5% 12/25
|
**
|
760
|
|
Fannie Mae
|
FHR 3659 EJ 3% 6/18
|
**
|
1,254
|
|
Fannie Mae
|
FNMA 15YR 6.00% 2/18 #684153
|
**
|
7
|
|
Fannie Mae
|
FNMA 15YR 7.00% 2/18 #693327
|
**
|
156
|
|
Fannie Mae
|
FNMA ARM 4.801% 2/33 #695019
|
**
|
28
|
|
Fannie Mae
|
FNMA ARM 3.984% 5/33 #703915
|
**
|
7
|
|
Fannie Mae
|
FNMA 15YR 4.50% 11/18 #725857
|
**
|
146
|
|
Fannie Mae
|
FNMA 15YR 4.00% 8/18 #727438
|
**
|
397
|
|
Fannie Mae
|
FNMA 15YR 4.50% 8/18 #730721
|
**
|
99
|
|
Fannie Mae
|
FNMA ARM 4.68% 11/34 #735011
|
**
|
165
|
|
Fannie Mae
|
FNMA 15YR 4.50% 6/19 #745278
|
**
|
363
|
|
Fannie Mae
|
FNMA 15YR 4.50% 7/20 #745874
|
**
|
192
|
|
Fannie Mae
|
FNMA ARM 3.753% 10/33 #746320
|
**
|
37
|
|
Fannie Mae
|
FNMA ARM 4.358% 10/33 #754672
|
**
|
13
|
|
Fannie Mae
|
FNMA ARM 3.752% 10/33 #755148
|
**
|
25
|
|
Fannie Mae
|
FNMA ARM 5.05% 7/34 #801635
|
**
|
16
|
|
Fannie Mae
|
FNMA ARM 4.53% 12/34 #802852
|
**
|
189
|
|
Fannie Mae
|
FNMA ARM 4.293% 3/35 #815586
|
**
|
15
|
|
Fannie Mae
|
FNMA ARM 5.12% 6/35 #823810
|
**
|
58
|
|
Fannie Mae
|
FNMA ARM 4.58% 7/35 #826362
|
**
|
335
|
|
Fannie Mae
|
FNMA ARM 5.344% 7/35 #834917
|
**
|
12
|
|
Fannie Mae
|
FNMA ARM 4.198% 11/34 #841068
|
**
|
1,091
|
|
Fannie Mae
|
FNMA ARM 5.349% 12/34 #843013
|
**
|
26
|
|
Fannie Mae
|
FNMA ARM 5.280% 3/35 #843014
|
**
|
17
|
|
Fannie Mae
|
FNMA ARM 4.893% 10/35 #847787
|
**
|
43
|
|
Fannie Mae
|
FNMA ARM 6.25% 6/36 #886983
|
**
|
19
|
|
Fannie Mae
|
FNMA 15YR 4.50% 7/20 #888653
|
**
|
169
|
|
Fannie Mae
|
FNMA ARM 4.21% 5/35 #889946
|
**
|
292
|
|
Fannie Mae
|
FNMA ARM 4.30% 2/35 #995017
|
**
|
345
|
|
Fannie Mae
|
FNMA ARM 4.898% 5/35 #995272
|
**
|
29
|
|
Fannie Mae
|
FNMA ARM 4.58% 7/35 #995273
|
**
|
126
|
|
Fannie Mae
|
FNMA ARM 4.53% 10/35 #995414
|
**
|
279
|
|
Fannie Mae
|
FNMA ARM 4.55% 10/35 #995415
|
**
|
831
|
|
Fannie Mae
|
FNMA ARM 4.512% 12/36 #995606
|
**
|
285
|
|
Fannie Mae
|
FNMA ARM 5.075% 7/34 #995609
|
**
|
129
|
|
Fannie Mae
|
FNMA ARM 3.20% 1/40 #AC0599
|
**
|
525
|
|
Fannie Mae
|
FNMA 10YR 3.00% 7/21 #MA0803
|
**
|
1,043
|
|
Fannie Mae
|
FNMA 10YR 3.00% #MA0833
|
**
|
1,571
|
|
Fannie Mae
|
FNMA 10YR 3.00% #MA0865
|
**
|
2,255
|
(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 10YR 3.00% 10/21 #MA0909
|
**
|
1,233
|
|
Fannie Mae
|
FNMA 10YR 3.00% #MA3892
|
**
|
1,680
|
|
Fannie Mae
|
FNMA ARM 4.285% 7/33#AD0066
|
**
|
500
|
|
Fannie Mae
|
FNMA 15YR 4.50% 8/24 #AD0117
|
**
|
2,953
|
|
Fannie Mae
|
FNMA ARM 2.94% 8/35 #AD0710
|
**
|
56
|
|
Fannie Mae
|
FNMA ARM 3.47% 3/40 #AD0820
|
**
|
479
|
|
Fannie Mae
|
FNMA ARM 3.60% 3/40 #AD1555
|
**
|
574
|
|
Fannie Mae
|
FNMA ARM 3.69% 5/40 #AE0064
|
**
|
1
|
|
Fannie Mae
|
FNMA ARM 3.79% 6/40 #AE0065
|
**
|
301
|
|
Fannie Mae
|
FNMA 15YR 3.50% 12/25 #AE0368
|
**
|
10,863
|
|
FIFTH THIRD BAN
|
Corporate Bond 3.625% 1/25/16
|
**
|
398
|
|
Ford Credit Auto Owner Trust FORDO 2009-B A3
|
Mortgage backed security 2.79 8/13 TALF
|
**
|
186
|
|
Ford Credit Auto Owner Trust FORDO 2009-C A4
|
Mortgage backed security 4.43% 11/14
|
**
|
520
|
|
Ford Credit Auto Owner Trust FORDO 2009-D A3
|
Mortgage backed security 2.17% 10/13
|
**
|
111
|
|
Ford Credit Auto Owner Trust FORDO 2009-E A3
|
Mortgage backed security 1.51% 1/14
|
**
|
352
|
|
Ford Credit Auto Owner Trust FORDO 2010-B A3
|
Mortgage backed security 0.98% 10/14
|
**
|
540
|
|
FORDL 2011-A A3
|
Mortgage backed security 1% 7/14
|
**
|
1,210
|
|
FORDO 2011-B A3
|
Mortgage backed security .84% 6/15
|
**
|
570
|
|
France Tele MTN
|
Corporate Bond 4.375% 7/14 DT
|
**
|
784
|
|
FRANCE TELECOM
|
Corporate Bond 2.125% 9/16/15
|
**
|
214
|
|
Franklin Auto Trust FRNK 2007-1 B
|
Mortgage backed security 5.13% 2/15
|
**
|
359
|
|
GECMC 2007-C1 XP
|
Interest Only Strip CSTR 12/49
|
**
|
70
|
|
GMACC 2004-C2 A2
|
Mortgage backed security CSTR 8/38
|
**
|
140
|
|
GMACC 2004-C2 A4
|
Mortgage backed security 5.301% 8/38
|
**
|
674
|
|
GE Capital Credit Card Master GMACC 2005-C1 X2
|
Interest Only Strip CSTR CSTR 5/43
|
**
|
10
|
|
GMACC 2003-C2 A2
|
Mortgage backed security CSTR 5/40
|
**
|
360
|
|
General Motors Acceptance Corporation INC FDIC
|
Corporate Bond 1.75% 10/30/12
|
**
|
1,554
|
|
GSMS 2011-GC5 A1
|
Mortgage backed security CSTR 8/44
|
**
|
569
|
|
GSMS 04-GG2 A6
|
Mortgage backed security CSTR 8/38
|
**
|
753
|
|
GS Mortgage Securities Corporation GSMS 2005-GG4 A3
|
Mortgage backed security 4.607 7/39
|
**
|
413
|
|
GS Mortgage Securities Corporation GSMS 2006-GG6 A2
|
Mortgage backed security 5.506% 4/38
|
**
|
204
|
|
GS Mortgage Securities Corporation GSMS 2006-GG8 A2
|
Mortgage backed security 5.479 11/39
|
**
|
706
|
|
GCO Slims Trust GCOSL 2006-1A NOTE
|
Mortgage backed security 5.72% 3/22
|
**
|
192
|
|
GEN ELEC CAP MTN
|
Corporate Bond 5.4 9/20/13
|
**
|
2,526
|
|
General Electric Capital Corp MTN
|
Corporate Bond 3.5% 6/29/15
|
**
|
511
|
|
General Electric MTN
|
Corporate Bond 1.875% 9/13
|
**
|
1,821
|
|
General Electric Capital Corp
|
Corporate Bond 2.25% 11/9/15
|
**
|
522
|
|
GE ELEC CAP CORP
|
Corporate Bond 2.1% 1/07/14
|
**
|
1,903
|
(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 ELEC
|
Corporate Bond 2.95% 5/09/16
|
**
|
158
|
|
GENERAL ELEC MTN
|
Corporate Bond 3.35% 10/17/16
|
**
|
671
|
|
General Electric Capital Corp FDIC MTN
|
Corporate Bond 2.625 12/28/12
|
**
|
1,792
|
|
General Electric Capital Corp FDIC GMTN
|
Corporate Bond 2% 9/28/12
|
**
|
886
|
|
Goldman Sachs MTN
|
Corporate Bond 3.7% 8/1/15
|
**
|
963
|
|
GOLDMAN SAC GRP
|
Corporate Bond 3.625% 2/07/16
|
**
|
1,344
|
|
GCCFC 2005-GG3 A2
|
Mortgage backed security CSTR 8/42
|
**
|
282
|
|
HEWLETT-PACKARD
|
Corporate Bond 2.625% 12/9/14
|
**
|
667
|
|
HAROT 2011-3 A2
|
Mortgage backed security 1 4/14
|
**
|
770
|
|
Honda Auto Receivables Owner Trust HAROT 2010-1 A4
|
Mortgage backed security 1.98% 5/23/16
|
**
|
253
|
|
Honda Auto Receivables Owner Trust HAROT 2010-2 A3
|
Mortgage backed security 1.34% 3/14
|
**
|
552
|
|
Honda Auto Receivables Owner Trust HAROT 2009-3 A3
|
Mortgage backed security 2.31% 5/13
|
**
|
120
|
|
Honda Auto Receivables Owner Trust HAROT 2010-3 A3
|
Mortgage backed security .7% 4/14
|
**
|
1,340
|
|
HAROT 2011-1 A4
|
Mortgage backed security 1.8% 4/17
|
**
|
366
|
|
HAROT 2011-2 A3
|
Mortgage backed security 0.94% 3/15
|
**
|
892
|
|
HSBC BANK
|
Corporate Bond 3.1% 5/24/16 144A
|
**
|
1,395
|
|
HART 2011-A A3
|
Mortgage backed security 1.44 4/15
|
**
|
462
|
|
HYUNDAI 2 11-C ABS
|
Mortgage backed security .57% 7/15/1
|
**
|
779
|
|
Hyundai Auto Receivables Trust HART 2009-A A3
|
Mortgage backed security 2.03% 8/13
|
**
|
137
|
|
HART 09-A A4
|
Mortgage backed security 3.15% 3/16
|
**
|
124
|
|
ING BANK MTN
|
Corporate Bond 2.65% 1/13 144A
|
**
|
959
|
|
IBM CORP
|
Corporate Bond 1.95% 7/22/16
|
**
|
964
|
|
JP Morgan Chase
|
Synthetic GIC – 2.411%
|
**
|
249
|
|
JPMorgan Chase Company MTN
|
Corporate Bond 4.65% 6/14
|
**
|
2,725
|
|
JPMC CO MTN
|
Corporate Bond 3.7% 1/20/15
|
**
|
495
|
|
JPMorgan Chase Company
|
Corporate Bond 3.4% 6/24/15
|
**
|
1,010
|
|
JPMORGAN CHASE
|
Corporate Bond 3.15% 7/05/16
|
**
|
933
|
|
JPMCC 03-CB7 A4
|
Mortgage backed security CSTR 1/38
|
**
|
282
|
|
JPMCC 2003-C1 A2
|
Mortgage backed security 4.985 1/37
|
**
|
557
|
|
JP Morgan Chase Commercial Mortgage JPMCC 2005-LDP2 A3
|
Mortgage backed security 4.697 7/42
|
**
|
604
|
|
JPMCC 2005-LDP5 A2
|
Mortgage backed security 5.198 12/44
|
**
|
627
|
|
JP Morgan Chase Commercial Mortgage JPMCC 2006-LDP7 A2
|
Mortgage backed security CSTR 4/45
|
**
|
17
|
|
JPMCC 2007-LDPX A2S
|
Mortgage backed security 5.305 1/49
|
**
|
245
|
|
JPMCC 2007-LD11 A2
|
Mortgage backed security CSTR 6/49
|
**
|
637
|
|
LBUBS 2003-C3 A4
|
Mortgage backed security 4.166 5/32
|
**
|
216
|
|
LBUBS 2004-C8
|
Mortgage backed security 4.799% 12/29
|
**
|
692
|
|
LB-UBS Commercial Mortgage Trust LBUBS 2004-C2 A3
|
Mortgage backed security 3.973% 3/29
|
**
|
309
|
|
LB-UBS Commercial Mortgage Trust LBUBS 2005-C1 AAB
|
Mortgage backed security CSTR 2/30
|
**
|
367
|
(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
|
LB-UBS Commercial Mortgage Trust LBUBS 2005-C5 XCP
|
Interest Only Strip CSTR 9/40
|
**
|
86
|
|
LB-UBS Commercial Mortgage Trust LBUBS 2005-C7 XCP
|
Interest Only Strip CSTR 11/40
|
**
|
44
|
|
LBUBS 2007-C6 A2
|
Mortgage backed security 5.845 7/40
|
**
|
390
|
|
Manufacturers & Traders Trust Co
|
Corporate Bond 3.85/VAR 4/1/13
|
**
|
1,492
|
|
Marriott Vacation Club Owner Trust MVCOT 2005-2 A
|
Mortgage backed security 4.6% 10/27
|
**
|
99
|
|
Marriott Vacation Club Owner Trust MVCOT 2006-2A A
|
Mortgage backed security 5.417% 10/28
|
**
|
83
|
|
Marriott Vacation Club Owner Trust MVCOT 2006-2A B
|
Mortgage backed security 5.467% 10/28
|
**
|
25
|
|
Marriott Vacation Club Owner Trust MVCOT 2006-2A C
|
Mortgage backed security 5.766% 10/28
|
**
|
11
|
|
MASSMUTUAL GL
|
Corporate Bond 3.625% 7/12 144A
|
**
|
413
|
|
MASSMUTUAL GLBL FRN
|
Corporate Bond 1/14 144A
|
**
|
1,010
|
|
MBART 2011-1 A3
|
Mortgage backed security 0.85% 3/15
|
**
|
841
|
|
Mercedes-Benz Auto Receivables Trust MBART 2009-1 A3
|
Mortgage backed security 1% 1/15/14
|
**
|
245
|
|
Merrill Lynch & Co
|
Corporate Bond 5.45% 7/15/14
|
**
|
1,193
|
|
Merrill Lynch Mortgage Trust MLMT 2004-KEY2 A2
|
Mortgage backed security 4.166% 8/39
|
**
|
258
|
|
Merrill Lynch Mortgage Trust MLMT 2005-MKB2 XP
|
Interest Only Strip CSTR 9/42
|
**
|
6
|
|
METROPOLITAN MTN
|
Corporate Bond 2.5 1/13 144A
|
**
|
1,165
|
|
MET LIFE GLBL
|
Corporate Bond 2.5 9/29/15 144A
|
**
|
1,903
|
|
Monumental Life Insurance Co
|
Synthetic GIC – 2.351%
|
**
|
249
|
|
Monumental Global
|
Corporate Bond 5.5% 4/13 144A
|
**
|
230
|
|
MSC 03-IQ4 A2
|
Mortgage backed security 4.07 5/40
|
**
|
240
|
|
Morgan Stanley Capital MSC 2004-HQ4 X2
|
Interest Only Strip CSTR 4/40
|
**
|
12
|
|
MSC 03-T11 A4
|
Mortgage backed security 5.15 6/41
|
**
|
303
|
|
MORGAN STANLEY
|
Corporate Bond 2.875% 1/25/14
|
**
|
1,504
|
|
MORGAN STANLEY
|
Corporate Bond 2.875% 7/28/14
|
**
|
767
|
|
MORGAN STANLEY
|
Corporate Bond 6% 5/13/14
|
**
|
1,272
|
|
MORGAN STANLEY
|
Corporate Bond 4.1% 1/26/15
|
**
|
740
|
|
MORGAN STANLEY
|
Corporate Bond 3.45% 11/2/15
|
**
|
170
|
|
MORGAN STANLEY
|
Corporate Bond 3.8% 4/29/16
|
**
|
603
|
|
NCUA GTD NTS MA 1.4% 6/12/15
|
NCUA GTD NTS MA 1.4% 6/12/15
|
**
|
943
|
|
National Australia Bank
|
Corporate Bond 2.35 11/16/12 144A
|
**
|
1,476
|
|
NY Life
|
Corporate Bond 2.25% 12/14/12 144A
|
**
|
933
|
(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
|
NY Life Global
|
Corporate Bond 4.65% 5/9/13 144A
|
**
|
1,076
|
|
Nissan Auto Lease Trust NALT 2010-B A3
|
Mortgage backed security 1% 12/15/13
|
**
|
792
|
|
NALT 2010-B A4
|
Mortgage backed security 1.27% 10/16
|
**
|
322
|
|
NALT 2 11-A ABS
|
Mortgage backed security 1.04% 8/15/14
|
**
|
1,061
|
|
NALT 2011-B A3
|
Mortgage backed security 0.92% 2/15
|
**
|
487
|
|
NAROT 2010-A A4
|
Mortgage backed security 1.31% 9/16
|
**
|
453
|
|
NAROT 2011-A A3
|
Mortgage backed security 1.18% 2/15
|
**
|
583
|
|
Natixis
|
Synthetic GIC – 2.371%
|
**
|
249
|
|
Nordea Bank AG
|
Corporate Bond 1.75 10/4/13 144A
|
**
|
991
|
|
Northstar Education Finance NEF 2005-1 A5
|
Mortgage backed security 4.74% 10/45
|
**
|
490
|
|
Peco Energy
|
Corporate Bond 5.6% 10/15/13
|
**
|
678
|
|
PG&E CORP
|
Corporate Bond 5.75% 4/01/14
|
**
|
364
|
|
PNC Funding MTN
|
Corporate Bond 3.625% 2/8/15
|
**
|
737
|
|
PNC Funding Corp MTN
|
Corporate Bond 3% 5/19/14
|
**
|
897
|
|
Pacific Gas & Electric
|
Corporate Bond 6.25% 12/13
|
**
|
937
|
|
PEPSICO INC
|
Corporate Bond 7.9% 11/01/18
|
**
|
889
|
|
Philip Morris
|
Corporate Bond 4.875% 5/16/13
|
**
|
276
|
|
Proctor & Gamble
|
Corporate Bond 1.8% 11/15/15
|
**
|
694
|
|
Public Service Electric & Gas Co
|
Corporate Bond 2.7% 5/01/15
|
**
|
535
|
|
Royal Bank of Canada
|
Corporate Bond 1.125 1/15/14
|
**
|
928
|
|
ROYAL BK CANADA
|
Corporate Bond 2.3% 7/20/16
|
**
|
354
|
|
ROYAL BK CANADA
|
Corporate Bond 1.45% 10/30/14
|
**
|
629
|
|
ROYAL BK SCOT
|
Corporate Bond 4.875 8/14 144A
|
**
|
996
|
|
Royal Bank of Scotland
|
Corporate Bond 1.5% 3/30/12 144A
|
**
|
1,585
|
|
SBC Communications Glbl
|
Corporate Bond 5.1 9/15/14
|
**
|
345
|
|
SLM Student Loan Trust SLMA 2004-A B
|
Mortgage backed security 3ML+58 6/33
|
**
|
110
|
|
SVO VOI Mortgage Corp SVOVM 2005-A A
|
Mortgage backed security A 5.25% 2/21
|
**
|
109
|
|
SANOFI
|
Corporate Bond 1.2% 9/30/14
|
**
|
450
|
|
SANTANDER US
|
Corporate Bond 2.485% 1/13 144A
|
**
|
886
|
|
SCHLUMBERGER
|
Corporate Bond 1.95 9/14/16 144A
|
**
|
672
|
|
SEMPRA ENERGY
|
Corporate Bond 2% 3/15/14
|
**
|
693
|
|
SHELL INTL MTN
|
Corporate Bond 1.875 3/25/13
|
**
|
1,321
|
|
Simon Property Group LP
|
Corporate Bond 5.3% 5/30/13
|
**
|
547
|
|
SIMON PROPERTY
|
Corporate Bond 2.8% 1/30/17
|
**
|
154
|
|
SOUTHERN CO
|
Corporate Bond 4.15% 5/14
|
**
|
222
|
|
State Street Bank & Trading Co. Boston
|
Synthetic GIC – 2.361%
|
**
|
249
|
|
STATE STREET
|
Corporate Bond 2.875% 3/07/16
|
**
|
1,184
|
|
Lahman Large Loan LLL 1997-LLI D
|
Mortgage backed security 7.15 10/34
|
**
|
120
|
|
SUMITOMO BK
|
Corporate Bond 1.95% 1/14/14 144A
|
**
|
1,399
|
|
SVENSKA MTN
|
Corporate Bond 2.875 9/14/12 144A
|
**
|
2,199
|
|
TARGET CORP
|
Corporate Bond 1.125% 7/18/14
|
**
|
337
|
|
Telefonica Emisiones
|
Corporate Bond 3.729% 4/27/15
|
**
|
908
|
|
TORONTO DOM BK
|
Corporate Bond 2.5% 7/14/16
|
**
|
1,443
|
|
TORONTO DOMINI
|
Corporate Bond 2.375% 10/19/16
|
**
|
665
|
(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
|
TOTAL CAP CDA
|
Corporate Bond 1.625% 1/28/14
|
**
|
686
|
|
TAOT 2010-A A3
|
Mortgage backed security 1.27% 12/13
|
**
|
216
|
|
TAOT 2010-B A3
|
Mortgage backed security 1.04% 2/14
|
**
|
330
|
|
Transcapit
|
Corporate Bond 5.67% 3/5/14 144A
|
**
|
1,109
|
|
USAA CAPITAL
|
Corporate Bond 1.05% 9/14 144A
|
**
|
761
|
|
USAA CAP CO
|
Corporate Bond 2.25% 12/13/16 144
|
**
|
664
|
|
USAA Auto Owner Trust USAOT 2009-1 A4
|
Mortgage backed security 4.77 9/14
|
**
|
429
|
|
USAA Auto Owner Trust USAOT 2009-2 A3
|
Mortgage backed security 1.54% 02/14
|
**
|
259
|
|
UNCREDIT LUX
|
Corporate Bond 5.584/VAR 1/13/17
|
**
|
1,130
|
|
UNION BK NA
|
Corporate Bond 3% 6/6/16
|
**
|
1,030
|
|
US BANCORP
|
Corporate Bond 3.15% 3/4/15
|
**
|
322
|
|
US BANK CORP MTN
|
Corporate Bond 2.2% 11/15/16
|
**
|
902
|
|
US Treasury Note/Bond
|
USTN 4.25% 8/15/15
|
**
|
6,793
|
|
US Treasury Note/Bond
|
USTN 2.375% 9/30/14
|
**
|
585
|
|
US Treasury Note/Bond
|
USTN 2.5% 3/31/15
|
**
|
57,127
|
|
US Treasury Note/Bond
|
USTN 2.5% 4/30/15
|
**
|
53,311
|
|
US Treasury Note/Bond
|
USTN 2.125% 5/31/15
|
**
|
1,991
|
|
US Treasury Note/Bond
|
USTN 1.875% 6/30/15
|
**
|
30,616
|
|
US Treasury Note/Bond
|
USTN .5% 5/31/13
|
**
|
2
|
|
US Treasury Note/Bond
|
USTN .375% 6/30/13
|
**
|
25,774
|
|
US Treasury Note/Bond
|
USTN 1% 9/30/16
|
**
|
43,381
|
|
US Treasury Note/Bond
|
USTN .375% 11/15/14
|
**
|
10,058
|
|
US Treasury Note/Bond
|
USTN .875% 11/30/16
|
**
|
49,066
|
|
US Treasury Note/Bond
|
USTN .875% 12/31/16
|
**
|
5,030
|
|
UNITEDHEALTH GRP
|
Corporate Bond 1.875% 11/16
|
**
|
501
|
|
VF CORP FRN
|
Corporate Bond 3ML+75 8/23/13
|
**
|
409
|
|
Verizon Communications Inc
|
Corporate Bond 5.25% 4/15/13
|
**
|
784
|
|
VERIZON COM
|
Corporate Bond 1.95% 3/28/14 144A
|
**
|
1,057
|
|
VERIZON COM
|
Corporate Bond 2% 11/1/16
|
**
|
1,348
|
|
VERIZON WIRELESS
|
Corporate Bond 5.25% 2/1/12
|
**
|
589
|
|
VERIZON WIRELESS
|
Corporate Bond 5.55% 2/1/14
|
**
|
1,487
|
|
Vodafone Group PLC
|
Corporate Bond 4.15% 6/10/14
|
**
|
359
|
|
VALET 2011-1 A3
|
Mortgage backed security 1.22% 6/15
|
**
|
1,498
|
|
Volkswagen Auto Lease Trust VWALT 2010-A A3
|
Mortgage backed security 0.99% 11/13
|
**
|
1,352
|
|
VWALT 2010-A A4
|
Mortgage backed security 1.18 10/15
|
**
|
201
|
|
VWALT 2011-A A2
|
Mortgage backed security 1% 2/14
|
**
|
470
|
|
VOLKSWAGEN
|
Corporate Bond 1.875% 4/1/14 144A
|
**
|
530
|
|
WFRBS 2011-C5 A1
|
Mortgage backed security 1.456 11/44
|
**
|
226
|
|
WBCMT 2003-C9 A4
|
Mortgage backed security 5.012 12/35
|
**
|
878
|
|
Wachovia Bank Commercial Mortgage Trust WBCMT 2004-C11 A3
|
Mortgage backed security 4.719 1/41
|
**
|
47
|
|
Wachovia Bank Commercial Mortgage Trust WBCMT 2005-C18 XP
|
Interest Only Strip CSTR 4/42
|
**
|
9
|
|
Wachovia Bank Commercial Mortgage WBCMT 2007-C30 XP
|
Interest Only Strip CSTR 12/43
|
**
|
179
|
|
Wachovia Bank Commercial Mortgage WBCMT 2007-C31A A2
|
Mortgage backed security 5.421% 4/47
|
**
|
679
|
|
Wal-Mart Stores MTN
|
Corporate Bond 3.2% 5/14
|
**
|
788
|
(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
|
Wal-Mart Stores
|
Corporate Bond 2.25% 7/08/15
|
**
|
804
|
|
WAL MART STORES
|
Corporate Bond 2.8% 4/15/16
|
**
|
1,118
|
|
Wells Fargo
|
Corporate Bond 3.75% 10/1/14
|
**
|
408
|
|