UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
FORM 11-K
(Mark One)
[X] ANNUAL REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT OF
1934
For the fiscal year ended December 31, 2005
OR
[ ] TRANSITION REPORT PURSUANT TO SECTION 15(d) OF THE SECURITIES EXCHANGE ACT
OF 1934
For the transition period from to
-------------- ---------------
Commission file number 1-8712
A. Full title of the plan and the address of the plan, if different from that
of the issuer named below:
BOWATER INCORPORATED SAVINGS PLAN
B. Name of issuer of the securities held pursuant to the plan and the address
of its principal executive office:
BOWATER INCORPORATED
P. O. Box 1028
55 East Camperdown Way
Greenville, SC 29602
REQUIRED INFORMATION
1. Report of Independent Registered Public Accounting Firm
2. Statements of Net Assets Available for Benefits as of December 31,
2005 and 2004
3. Statements of Changes in Net Assets Available for Benefits for the
years ended December 31, 2005 and 2004
4. Notes to Financial Statements
5. Supplemental Schedule - Schedule H, Line 4i - Schedule of Assets (Held
at End of Year)
6. Exhibits:
a. Exhibit 23 - Consent of Independent Registered Public Accounting
Firm
SIGNATURES
The Plan. Pursuant to the requirements of the Securities Exchange Act of 1934,
the trustees (or other persons who administer the employee benefit plan) have
duly caused this annual report to be signed on its behalf by the undersigned
hereunto duly authorized.
BOWATER INCORPORATED SAVINGS PLAN
(Name of Plan)
/s/ Aaron B. Whitlock
----------------------------------
Date: June 29, 2006 Aaron B. Whitlock
Director, Compensation and Benefits
Bowater Incorporated
(Plan Administrator)
BOWATER INCORPORATED SAVINGS PLAN
Financial Statements and Supplemental Schedule
December 31, 2005 and 2004
(With Report of Independent Registered Public Accounting Firm Thereon)
BOWATER INCORPORATED SAVINGS PLAN
Index
Page
Report of Independent Registered Public Accounting Firm 1
Financial Statements:
Statements of Net Assets Available for Benefits as of
December 31, 2005 and 2004 2
Statements of Changes in Net Assets Available for Benefits
for the years ended December 31, 2005 and 2004 3
Notes to Financial Statements 4
Supplemental Schedule:
Schedule H, Line 4i - Schedule of Assets (Held at End of Year) - December 31, 2005 9
Exhibits
Consent of Independent Registered Public Accounting Firm Exhibit 23
Schedules not filed herewith are omitted because of the absence of conditions
under which they are required.
Report of Independent Registered Public Accounting Firm
The Board of Directors
Bowater Incorporated
We have audited the accompanying statements of net assets available for benefits
of the Bowater Incorporated Savings Plan (the Plan) as of December 31, 2005 and
2004, and the related statements of changes in net assets available for benefits
for the years then ended. These financial statements are the responsibility of
the Plan's management. Our responsibility is to express an opinion on these
financial statements based on our audits.
We conducted our audits in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements are free of material misstatement. An audit includes examining, on a
test basis, evidence supporting the amounts and disclosures in the financial
statements. An audit also includes assessing the accounting principles used and
significant estimates made by management, as well as evaluating the overall
financial statement presentation. We believe that our audits provide a
reasonable basis for our opinion.
In our opinion, the financial statements referred to above present fairly, in
all material respects, the net assets available for benefits of the Bowater
Incorporated Savings Plan as of December 31, 2005 and 2004, and the changes in
net assets available for benefits for the years then ended in conformity with
U.S. generally accepted accounting principles.
Our audits were performed for the purpose of forming an opinion on the basic
financial statements taken as a whole. The accompanying supplemental schedule of
assets (held at end of year) as of December 31, 2005 is presented for purposes
of additional analysis and is not a required part of the financial statements
but is supplementary information required by the Department of Labor's Rules and
Regulations for Reporting and Disclosure under the Employee Retirement Income
Security Act of 1974. This supplemental schedule is the responsibility of the
Plan's management. The supplemental schedule has been subjected to the auditing
procedures applied in our audits of the financial statements and, in our
opinion, is fairly stated in all material respects in relation to the financial
statements taken as a whole.
/s/ KPMG LLP
Greenville, South Carolina
June 28, 2006
BOWATER INCORPORATED SAVINGS PLAN
Statements of Net Assets Available for Benefits
December 31, 2005 and 2004
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2005 2004
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ASSETS
Investments:
At fair value
Mutual funds $ 152,886,272 $ 151,590,427
Bowater common stock 36,833,371 36,455,105
Participant notes receivable 8,203,758 7,765,540
Interest-bearing cash 2,111,167 6,585,743
-------------------------------------------------------------------------------------------------------
200,034,568 202,396,815
At contract value
Fixed income fund 167,391,152 175,019,728
-------------------------------------------------------------------------------------------------------
367,425,720 377,416,543
Receivables:
Employer's contribution 410,878 -
Other 453,611 1,278,612
-------------------------------------------------------------------------------------------------------
864,489 1,278,612
Cash 662,259 871,441
-------------------------------------------------------------------------------------------------------
Total assets 368,952,468 379,566,596
-------------------------------------------------------------------------------------------------------
LIABILITIES
Accounts payable 52,647 55,733
Other 275,902 639,776
-------------------------------------------------------------------------------------------------------
Total liabilities 328,549 695,509
-------------------------------------------------------------------------------------------------------
Net assets available for benefits $ 368,623,919 $ 378,871,087
-------------------------------------------------------------------------------------------------------
See accompanying notes to financial statements.
2
BOWATER INCORPORATED SAVINGS PLAN
Statements of Changes in Net Assets Available for Benefits
Years ended December 31, 2005 and 2004
-------------------------------------------------------------------------------------------------------
2005 2004
-------------------------------------------------------------------------------------------------------
Additions to net assets attributed to:
Investment income:
Net (depreciation) appreciation in fair value
of investments $ (7,181,782) $ 8,435,108
Interest and dividends 13,817,413 12,318,197
-------------------------------------------------------------------------------------------------------
Net investment income 6,635,631 20,753,305
Contributions:
Employer's 7,245,563 6,093,361
Participants' 16,227,628 16,693,415
Rollovers 622,312 358,526
-------------------------------------------------------------------------------------------------------
Total contributions 24,095,503 23,145,302
-------------------------------------------------------------------------------------------------------
Total additions 30,731,134 43,898,607
Deductions from net assets attributed to:
Benefits paid to participants 40,950,658 48,050,335
Administrative expenses 27,644 30,186
-------------------------------------------------------------------------------------------------------
Total deductions 40,978,302 48,080,521
-------------------------------------------------------------------------------------------------------
Net change in net assets available for benefits (10,247,168) (4,181,914)
Net assets available for benefits:
Beginning of year 378,871,087 383,053,001
-------------------------------------------------------------------------------------------------------
End of year $ 368,623,919 $ 378,871,087
-------------------------------------------------------------------------------------------------------
See accompanying notes to financial statements.
3
BOWATER INCORPORATED SAVINGS PLAN
Notes to Financial Statements
December 31, 2005 and 2004
(1) Description of the Plan
The following description of the Bowater Incorporated Savings Plan (Plan)
provides only general information. Participants should refer to the Plan
document for a more complete description of the Plan's provisions.
(a) General
The Plan was established by Bowater Incorporated (Company) as a
trusteed, defined contribution savings plan and a leveraged employee
stock ownership plan (ESOP). The ESOP had no debt outstanding at
December 31, 2005 or 2004. It covers all full-time employees of the
Company. It is subject to the provisions of the Employee Retirement
Income Security Act of 1974 (ERISA).
(b) Contributions
Active participants may elect to contribute to the Plan a percentage
of their earnings and certain other income items on a tax-deferred or
non-tax deferred basis, subject to regulated maximums. The maximum
allowable deferral percentage is 50% of the participant's earnings.
The Company contributes to the Plan in cash or shares of Company
common stock. Generally, the Company contributes an amount equal to a
percentage of each participant's contributed earnings. The Company
match is dependent upon each participant's predecessor plan design.
Generally, the Company will match between 40% and 60% of each
participant's contributed earnings up to 6%. Participants who direct
their contributions to the Bowater Stock Fund receive an additional
Company contribution equal to 5% of the purchase price of the stock.
The Company may authorize additional employer contributions.
(c) Participant Accounts
Each participant's account is credited with the participant's
contributions, the Company's contributions and investment earnings;
each participant's account is reduced proportionately for investment
losses. Allocations are based on participant contributions or account
balances, as defined. The benefit to which a participant is entitled
is the benefit that can be provided from the participant's vested
account.
(d) Vesting
Participants are immediately vested in their contributions plus
earnings thereon. Participants become fully vested in the Company
contributions after completing three years of service.
(e) Investment Options
Participants can direct their contributions to be invested in one or
more of many investment funds, including a Fixed Income Fund, a
Bowater Stock Fund, and certain mutual funds. Participants may make an
unlimited number of exchanges out of the Bowater Stock Fund, but only
one exchange transaction into the Bowater Stock Fund in a thirty-day
period.
4
BOWATER INCORPORATED SAVINGS PLAN
Notes to Financial Statements
December 31, 2005 and 2004
(f) Participant Notes Receivable
Participants may borrow from their fund accounts a minimum of $1,000
up to a maximum of $50,000 (less certain adjustments required by
statute) or 50% of their vested account balance, whichever is less.
Loan transactions are treated as deductions from participants'
accounts and accounted for separately. Loan terms range from 1-5 years
or up to 15 years for the purchase of a primary residence. The loans
are secured by the balance in the participant's account and bear
interest at the prime lending rate plus 1% as of the date of the loan.
Currently, interest rates range from 5.25% to 10.50% on participant
loans. Principal and interest are paid through payroll deductions.
(g) Benefits and Withdrawals
Participants are entitled to receive vested benefits upon termination
of employment. Active employees may withdraw vested funds subject to
certain withdrawal rules as defined in the Plan.
(h) Forfeited Accounts
Forfeited nonvested accounts are used to reduce employer
contributions. In 2005 and 2004, approximately $40,975 and $15,475,
respectively, were forfeited and used to reduce employer
contributions.
(2) Summary of Significant Accounting Policies
(a) Basis of Accounting
The accompanying financial statements are prepared using the accrual
method of accounting in accordance with U.S. generally accepted
accounting principles.
(b) Investment Valuation and Income Recognition
The Plan investments include the Fixed Income Fund, Bowater common
stock, mutual funds, participant notes receivable and interest-bearing
cash.
Purchase and sales of securities are recorded on a trade date basis.
The Plan records interest income on an accrual basis and accrues
dividends on the ex-dividend date.
Investments in participant notes receivable and interest-bearing cash
are stated at cost which approximates fair value. Investments in
Bowater common stock and mutual funds are stated at fair value through
quoted market prices. The Fixed Income Fund's holding of synthetic
guaranteed investment contracts are stated at contract value plus any
accrued income because they are considered to be benefit responsive.
The Guaranteed Investment Contracts (GICs) held by the Fixed Income
Fund are synthetic. The Fixed Income Fund owns certain fixed-income
marketable securities and a liquidity agreement ("wrapper") is entered
into for a fee with a financially responsible third party that
guarantees a minimum rate of return and provides benefit
responsiveness. There are no reserves currently considered necessary
against contract value for credit risk of the contract issuer or
otherwise. The average yield was approximately 4.1% and 4.4% for 2005
and 2004, respectively. The crediting interest rate was approximately
4.0% and 4.1% at December 31, 2005 and 2004, respectively. The
crediting interest rate is based on a formula agreed upon with the
issuer and may not be less than 0%. Such interest rates are reviewed
on a quarterly basis for resetting. The fair value of the synthetic
GICs is equal to fair value of the underlying marketable securities
plus any accrued income. At December 31, 2005 and 2004, fair value was
$165,507,159 and $177,247,343, respectively, compared
5
BOWATER INCORPORATED SAVINGS PLAN
Notes to Financial Statements
December 31, 2005 and 2004
to the contract value (carrying value) at the same dates of
$167,391,152 and $175,019,728, respectively.
Financial Accounting Standards Board Staff Position Nos. AAG INV-1 and
SOP 94-4-1, "Reporting of Fully Benefit-Responsive Investment
Contracts Held by Certain Investment Companies Subject to the AICPA
Company Guide and Defined-Contribution Health and Welfare and Pension
Plans (FSP)," is effective for Plan years ending after December 15,
2006. The FSP describes the limited circumstances in which the net
assets of an investment company shall reflect the contract value of
certain investments that it holds, provides a definition of a fully
benefit-responsive investment contract and provides guidance with
respect to financial statement presentation and disclosure of fully
benefit-responsive investment contracts. The Company is currently
evaluating the impact of this FSP on the accounting, presentation and
disclosure of the Plan's synthetic GICs.
(c) Administrative Expenses
Net appreciation in fair value of investments is net of investment
management fees of $551,788 and $566,196, respectively, for the years
ended December 31, 2005 and 2004. Additional administrative expenses,
including additional expenses charged by the Trustee, are paid by the
participants or the Company.
(d) Payments of Benefits
Benefit payments to participants are recorded upon distribution.
(e) Use of Estimates
The preparation of financial statements in conformity with U.S.
generally accepted accounting principles requires management to make
estimates and assumptions. These estimates and assumptions affect the
reported amount of assets, liabilities and changes therein, and the
disclosure of contingent assets and liabilities. Actual results could
differ from these estimates and assumptions.
The Plan's investments include funds which invest in various types of
investment securities and in various companies within various markets.
Investment securities are exposed to several risks, such as interest
rate, market and credit risks. Due to the level of risk associated
with certain investment securities, it is possible that changes in the
values of investment securities will occur in the near term and such
changes could materially affect the amounts reported in the Plan's
financial statements and schedule.
(f) Reclassifications
Certain 2004 amounts in the financial statements and notes have been
reclassified to conform to the 2005 presentation. These
reclassifications had no impact on previously reported net change in
net assets available for benefits or net assets available for
benefits.
6
BOWATER INCORPORATED SAVINGS PLAN
Notes to Financial Statements
December 31, 2005 and 2004
(3) Investments
Investments, with items representing 5% or more of the Plan's net assets
separately stated, were as follows at December 31, 2005 and 2004:
-------------------------------------------------------------------------------------------------------
2005 2004
-------------------------------------------------------------------------------------------------------
Issuer
At fair value:
Fidelity Magellan Fund $ 36,776,264 $ 41,703,964
Fidelity Equity Income Fund 31,757,273 33,288,562
Fidelity OTC Portfolio Fund 26,164,244 31,690,942
Bowater Common Stock 36,833,371 36,455,105
Other (mutual funds, interest-bearing cash, and
participant notes receivable) 68,503,416 59,258,242
-------------------------------------------------------------------------------------------------------
200,034,568 202,396,815
At contract value:
Fixed income fund 167,391,152 175,019,728
-------------------------------------------------------------------------------------------------------
$ 367,425,720 $ 377,416,543
-------------------------------------------------------------------------------------------------------
During the years ended December 31, 2005 and 2004, the Plan's investments
(including gains and losses on investments bought and sold, as well as
held during the year) depreciated in value by $7,181,782 and appreciated
in value by $8,435,108, respectively, as follows:
-------------------------------------------------------------------------------------------------------
2005 2004
-------------------------------------------------------------------------------------------------------
Mutual Funds $ 4,632,767 $ 8,993,002
Bowater Common Stock (11,814,549) (557,894)
-------------------------------------------------------------------------------------------------------
$ (7,181,782) $ 8,435,108
-------------------------------------------------------------------------------------------------------
(4) Related Party Transactions
Certain Plan assets are shares of mutual funds managed by Fidelity
Management Trust Company (Fidelity). Fidelity is the trustee as defined by
the Plan and therefore, these investment transactions qualify as
party-in-interest transactions. The trustee receives investment and
administrative fees as a result of these activities. The Plan assets also
include shares of Bowater common stock. The Company is the Plan sponsor,
therefore, these investment transactions qualify as party-in-interest
transactions. Investment in company stock is participant directed.
(5) Plan Termination
Although it has not expressed any intent to do so, the Company has the
right under the Plan to terminate the Plan subject to the provisions of
ERISA. In the event of Plan termination, participants will become 100%
vested in all Company contributions.
7
BOWATER INCORPORATED SAVINGS PLAN
Notes to Financial Statements
December 31, 2005 and 2004
(6) Tax Status
The Internal Revenue Service has determined and informed the Company by a
letter dated April 24, 2003, that the Plan is designed in accordance with
the applicable sections of the Internal Revenue Code (IRC).
The Plan has been amended since receiving the determination letter,
however, the Company believes that the Plan is currently designed and being
operated in compliance with applicable requirements of the IRC and Plan
document.
(7) Subsequent Event
On May 9, 2006, the Company approved changes to the Plan. These changes
will be effective beginning January 1, 2007 and are as follows:
- The current company contribution will be replaced as follows: Eligible
employees shall receive a "safe harbor" matching contribution equal to
100% of the first 3% of compensation deferred and 50% of the next 2%
of compensation deferred.
- Additionally, in lieu of benefits received under the Company's defined
benefit pension plan, newly hired non-union employees and current
active participants whose age plus years of service are less than 70
and are younger than age 55, determined as of December 31, 2006 will
receive an additional annual Company contribution ranging from 2.5% to
6.5% based on the participant's age and years of service.
- Roth 401(k) accounts shall be provided.
8
BOWATER INCORPORATED SAVINGS PLAN
Schedule H, Line 4i - Schedule of Assets (Held at End of Year)
December 31, 2005
DESCRIPTION OF INVESTMENT
--------------------------------------------------------
Par Value
IDENTITY OF ISSUER Interest Maturity or Number Fair
Rate Date of Units Value
------------------------------------------------------------------ ---------- ---------------- ------------- -------------
* FIDELITY FIXED INCOME FUND
WRAP AGREEMENT
** CDC FINANCIAL PRODUCTS #1290-01 4.26% open-ended $ 468,997
** MONUMENTAL LIFE INSURANCE #MDA00182TR 4.26% open-ended 470,554
** MORGAN GUARANTY #ABOWATER03 4.25% open-ended 473,885
** UBS AG #3062 4.26% open-ended 470,557
-------------
TOTAL OF WRAP AGREEMENTS 1,883,993
UNDERLYING SECURITIES
ANZ NATL INTL4.265 5/16/08 144 4.27% 05/16/2008 490,000 485,673
AT&T WIRELESS 7.875% 3/01/11 7.88% 03/01/2011 385,000 442,098
AXA FINL INC 7.75% 8/01/10 7.75% 08/01/2010 290,000 330,481
ACCR 03-2 A1 4.23% 10/33 4.23% 10/25/2033 175,878 172,611
ACCR 03-3 A1 4.46% 12/33 4.46% 01/25/2034 165,233 159,619
ACE 03-HS1 M1 1ML+75 6/33 6.07% 06/25/2033 25,000 25,139
ACE 03-HS1 M2 1ML+175 6/33 7.07% 06/25/2033 25,000 25,397
ACE 03-NC1 M1 1ML+78 7/33 6.10% 07/25/2033 60,000 60,362
ACE 03-HE1 M1 1ML+65 11/33 5.97% 11/25/2033 70,000 70,267
ACE 04-FM1 M1 1ML+60 9/33 5.92% 08/25/2033 50,415 50,569
ACE 02-HE1 M1 1ML+65 6/32 5.97% 06/25/2032 69,876 70,594
AIFUL CORP 4.45 2/16/10 144A 4.45% 02/16/2010 400,000 394,420
AIFUL CORP 5% 8/10/10 144A 5.00% 08/10/2010 295,000 296,992
ALLIANCE CAPTL 5.625% 8/15/06 5.63% 08/15/2006 600,000 615,232
ALLTEL CORP 4.656% 5/17/07 4.66% 05/17/2007 727,000 727,840
AMERICA MOVIL 4.125 3/1/09 4.13% 03/01/2009 300,000 295,725
AMEX CREDIT MTN 5% 12/02/10 5.00% 12/02/2010 90,000 90,424
AGFC SR MTN 4.5% 11/15/07 4.50% 11/15/2007 100,000 99,923
AGFC SR MTN 4.625% 9/01/10 4.63% 09/01/2010 455,000 452,285
AGFC SR MTN 4.625% 5/15/09 4.63% 05/15/2009 345,000 343,576
AMER GENL FIN 3.875% 10/1/09 3.88% 10/01/2009 185,000 178,981
AGFC SR MTN 4.875% 5/15/10 4.88% 05/15/2010 295,000 294,304
AMCAR 03-CF A4 3.48% 5/10 3.48% 05/06/2010 295,000 292,322
AMCAR 04-1 B 3.7 1/09 3.70% 01/06/2009 25,000 24,729
AMCAR 04-1 C 4.22% 7/09 4.22% 07/06/2009 25,000 24,711
AMCAR 04-CA A4 3.61% 5/11 3.61% 05/06/2011 85,000 83,156
AMCAR 04-DF A4 3.43 7/11 3.43% 07/06/2011 220,000 213,685
AMCAR 05-1 A3 4.26% 5/09 4.26% 05/06/2009 130,000 129,363
AMCAR 05-1 B 4.48% 11/09 4.48% 11/06/2009 200,000 198,701
AMCAR 05-BM A3 4.05 2/10 4.05% 02/06/2010 250,000 247,338
AMCAR 05-CF A4 4.63 6/12 4.63% 06/06/2012 380,000 378,829
AMCAR 05-DA A3 4.87 12/10 4.87% 12/06/2010 355,000 356,183
AMSI 03-3 M1 1ML+80 3/33 6.12% 03/25/2033 60,000 60,343
AMSI 04-R2 M1 1ML+43 4/34 5.75% 04/25/2034 40,000 40,037
AMSI 04-R2 M2 1ML+48 4/34 5.80% 04/25/2034 25,000 25,023
AMERIPRISE FINL 5.35% 11/15/10 5.35% 11/15/2010 135,000 136,687
ARSI 03-W3 M2 1ML+180 9/33 7.12% 09/25/2033 435,000 447,550
ABSHE 03-HE6 M1 1ML+65 11/33 5.97% 11/25/2033 130,000 131,044
ABSHE 04-HE3 M1 1ML+54 6/34 5.86% 06/25/2034 50,000 50,300
ASSOCIATES CORP 6.875 11/15/08 6.88% 11/15/2008 120,000 127,381
ASSOC-NA GLBL 6.25% 11/01/08 6.25% 11/01/2008 210,000 219,722
ANZ 7.55% 9/15/06 7.55% 09/15/2006 125,000 130,081
BTM CURACAO 4.76% 7/21/15 144A 4.76% 07/21/2015 115,000 115,237
BACM 05-5 A1 4.716 8/10 4.72% 08/10/2010 309,217 308,241
BACM 05-5 XP CSTR 10/45 0.09% 10/10/2045 5,515,000 33,989
BACM 05-6 A1 5.001 9/47 5.00% 09/10/2047 185,000 186,177
BACM 00-2 A2 7.1975 9/32 7.20% 09/15/2032 120,000 129,610
BACM 05-1 A2 4.64% 11/42 4.64% 11/10/2042 405,000 403,899
BACM 2003-2 A2 4.342 3/41 4.34% 03/11/2041 355,000 347,180
BACM 05-3 A2 CSTR 7/43 4.50% 07/10/2043 395,000 386,904
BACM 04-2 A2 3.52% 11/38 3.52% 11/10/2038 275,000 264,834
BACM 04-2 A3 4.05% 11/38 4.05% 11/10/2038 560,000 537,449
BACM 05-3 XP CSTR 7/43 0.47% 07/10/2043 4,310,000 95,613
BACM 04-4 A3 4.128% 7/42 4.13% 07/10/2042 195,000 190,035
BACM 05-4 A1 4.432 7/45 4.43% 07/10/2045 233,568 231,231
BACM 05-4 XP CSTR 7/45 0.21% 07/10/2045 2,325,000 27,321
BANKAMER 7.8% 2/15/10 GLBL 7.80% 02/15/2010 360,000 408,152
BONY INC 3.4/3ML+148 3/15/13 3.40% 03/15/2013 485,000 473,920
BOIT 04-B2 B2 4.37% 4/12 4.37% 04/15/2012 525,000 515,683
BALL 05-ESHA X1 CSTR 7/20 0.89% 07/14/2020 8,545,000 115,995
BNK OF TOKYO MIT GL8.4 4/15/10 8.40% 04/15/2010 155,000 176,806
BANKAMER CORP 6.25% 4/01/08 6.25% 04/01/2008 45,000 46,967
BSCMS 04-ESA A3 4.741% 5/16 4.74% 05/14/2016 300,000 298,132
BSCMS 03-PWR2 A3 4.83% 5/39 4.83% 05/11/2039 150,000 148,680
BSABS 04-BO1 M2 1ML+75 9/34 6.07% 09/25/2034 110,000 111,012
BSABS 04-BO1 M3 1ML+105 9/34 6.37% 09/25/2034 75,000 75,688
BSABS 04-BO1 M4 1ML+120 9/34 6.52% 09/25/2034 65,000 65,910
BSABS 04-BO1 M5 1ML+140 9/34 6.72% 09/25/2034 60,000 60,182
BSARM 05-6 1A1 CSTR 8/35 5.12% 08/25/2035 431,554 432,559
BSCMS 05-PWR9 A1 4.498 9/42 4.50% 09/11/2042 364,171 361,122
BSCMS 05-PWR9 X2 CSTR 9/42 0.57% 09/11/2042 6,765,000 147,440
BSCMS 05-T20 A1 4.94% 10/42 4.94% 10/12/2042 294,767 295,640
BEAR STEARNS 2.875 7/2/08 2.88% 07/02/2008 260,000 251,212
BELLSOUTH GLBL 4.2% 9/15/09 DT 4.20% 09/15/2009 245,000 241,019
BERKSHIRE HATHAWAY 3.4% 7/2/07 3.40% 07/02/2007 315,000 313,609
BOEING CAP GLBL 5.75% 2/15/07 5.75% 02/15/2007 170,000 175,251
BRHEA 05-4 A5 4.91 12/40 4.91% 12/01/2040 100,000 100,218
BRITISH G 8.125/8.375 12/10 DT 8.38% 12/15/2010 545,000 622,435
CDCMC 03-HE3 M1 1ML+70 11/33 6.02% 11/25/2033 85,000 86,011
CITEC 05-VT1 A3 4.12% 8/08 4.12% 08/20/2008 305,000 302,661
CITEC 05-VT1 A4 4.36% 11/12 4.36% 11/20/2012 60,000 59,451
CIT GROUP INC 3.65% 11/23/07 3.65% 11/23/2007 475,000 466,169
CNH 05-A A3 4.02% 4/09 4.02% 04/15/2009 240,000 237,805
CNH 05-B A3 4.27 1/10 4.27% 01/15/2010 380,000 376,716
CNH 05-B B 4.57 7/12 4.57% 07/16/2012 110,000 108,374
COMM 05-C6 A2 CSTR 6/44 5.00% 06/10/2044 500,000 500,510
COMM 05-C6 XP CSTR 6/44 0.14% 06/10/2044 4,595,000 42,474
CWL 04-3 M1 1ML+50 6/34 5.82% 06/25/2034 50,000 50,147
CWHL 02-25 2A1 5.5 11/17 5.50% 11/27/2017 106,054 106,390
CWHL 02-32 2A3 5% 1/18 5.00% 01/25/2018 11,475 11,502
CIBC# Y$CD 4.375% 7/28/2008 4.38% 07/28/2008 200,000 203,719
CARAT 04-1 A4 2.64 11/08 2.64% 11/17/2008 180,000 174,939
CARAT 05-1 A4 4.05 7/09 4.05% 07/15/2009 300,000 297,239
CAPITAL ONE MTN 4.25% 12/1/08 4.25% 12/01/2008 100,000 98,036
COAFT 04-B A3 2.96% 4/09 2.96% 04/15/2009 205,000 202,971
COAFT 05-A A3 4.28 7/09 4.28% 07/15/2009 300,000 298,025
COAFT 05-BSS C 4.48 12/10 4.48% 12/15/2010 255,000 250,742
COAFT 05-C A3 4.61 7/10 4.61% 07/15/2010 200,000 199,519
COAFT 05-C A4A 4.71 6/12 4.71% 06/15/2012 400,000 398,367
COAFT 05-D A3 4.81 3/10 4.81% 03/15/2010 160,000 160,606
COMET 2003-B3 B3 4.5 6/11 4.50% 06/15/2011 495,000 490,665
COMET 04-B5 B5 3.7 5/10 3.70% 05/17/2010 800,000 786,816
COMET 04-B6 B6 4.155 7/12 4.15% 07/16/2012 325,000 316,692
COPAR 2003-2 A4 2.88 6/10 2.88% 06/15/2010 225,000 221,036
CFAT 05-A A3 3.9 2/09 3.90% 02/25/2009 185,000 182,873
CDTIM 05-1A A1 4.67 5/17 4.67% 05/20/2017 136,136 134,928
CHAIT 05-B2 B2 4.52 12/10 4.52% 12/15/2010 1,600,000 1,584,910
CHASE MANHATTAN 6.375% 4/01/08 6.38% 04/01/2008 50,000 52,258
CHUBB CORP 4.934% 11/16/07 4.93% 11/16/2007 610,000 613,362
CHUBB CORP 3.95% 4/01/08 3.95% 04/01/2008 45,000 44,485
CITIGROUP 3.5% 2/01/08 3.50% 02/01/2008 200,000 197,628
CCCIT 03-A6 A6 2.9% 5/10 2.90% 05/17/2010 155,000 148,965
CCCIT 04-A4 3.2% 8/09 3.20% 08/24/2009 480,000 473,047
CCCIT 05-B1 B1 4.4 9/10 4.40% 09/15/2010 715,000 713,683
CGCMT 05-EMG A2 4.2211 9/51 4.22% 09/20/2051 130,000 126,460
COMM 99-1 A2 6.455 5/32 6.46% 05/15/2032 1,200,000 1,245,422
COMM 05-LP5 A2 4.63 5/43 4.63% 05/10/2043 500,000 493,566
COMM 05-LP5 XP CSTR 5/43 0.39% 05/10/2043 2,540,000 41,855
CMAC 98-C2 B CSTR 9/30 6.09% 09/15/2030 470,000 485,995
CMAT 99-C1 A3 6.64 1/32 6.64% 01/17/2032 95,000 99,707
CONSTELATION EC 6.35% 4/01/07 6.35% 04/01/2007 320,000 330,138
CONSTELATION EN 6.125% 9/01/09 6.13% 09/01/2009 145,000 152,571
COSTCO WHL CRP 5.5% 3/15/07 5.50% 03/15/2007 85,000 86,876
CSFB 01-CK3 A3 6.4 6/34 6.40% 06/15/2034 156,442 161,848
CSFB 97-C2 A2 6.52 1/35 6.52% 01/17/2035 4,942 4,959
CSFB 99-C1 A2 7.29 9/41 7.29% 09/15/2041 725,000 774,340
CREDIT SUISSE 4.875% 8/15/10 4.88% 08/15/2010 285,000 287,985
CSFB 03-C5 A3 4.429% 12/36 4.43% 12/15/2036 335,000 326,569
CSFB 04-C1 A3 4.321 1/37 4.32% 01/15/2037 170,000 164,497
CSFB 04-FRE1 B1 1ML+180 4/34 7.12% 04/25/2034 180,000 180,214
CSFB 05-C4 ASP CSTR 8/38 0.26% 08/15/2038 7,415,000 111,032
CSFB 05-C2 ASP CSTR 4/37 0.59% 04/15/2037 2,125,000 60,683
CCI 05-1A B 4.878% 6/35 4.88% 06/15/2035 141,000 137,623
DLJCM 98-CF1 A1B 6.41 2/31 6.41% 02/18/2031 378,702 389,075
DLJCM 99-CG1 A1B 6.46% 3/32 6.46% 03/10/2032 360,000 376,596
DLJCM 1999-CG1 A3 6.77 3/32 6.77% 03/10/2032 365,000 385,441
DCX 6.4 5/15/06 6.40% 05/15/2006 510,000 516,700
DAIMLER CHRYSLR 4.75% 1/15/08 4.75% 01/15/2008 195,000 197,492
DCAT 05-B A3 4.04 9/09 4.04% 09/08/2009 215,000 213,154
DEERE JOHN CAP 3.9% 1/15/08 DT 3.90% 01/15/2008 175,000 174,720
JOHN DEERE MTN D 4.375 3/14/08 4.38% 03/14/2008 260,000 260,484
DONNELLEY RR 3.75% 4/1/09 3.75% 04/01/2009 715,000 684,276
DRIVE 05-3 A3 4.99 10/10 4.99% 10/15/2010 345,000 346,255
EXELON GEN GLBL 6.95% 6/15/11 6.95% 06/15/2011 335,000 362,244
FPL GROUP 3.25% 4/11/06 3.25% 04/11/2006 120,000 120,394
FPL GROUP 5.551% 2/16/08 5.55% 02/16/2008 195,000 198,044
FHLM ARM 4.889% 3/33 #847126 4.86% 03/01/2033 12,680 12,680
FHLM ARM 4.314% 12/34 #1B2670 4.30% 12/01/2034 42,309 41,701
FHLM ARM 4.106% 12/34 #1B2699 4.05% 12/01/2034 18,017 17,882
FHLM ARM 4.497% 6/35 #1B2907 4.46% 06/01/2035 88,606 87,740
FHLM ARM 4.307% 5/35 #847408 4.29% 05/01/2035 62,920 62,612
FHLM ARM 4.55% 2/35 #1G0068 4.55% 02/01/2035 65,051 64,447
FHLM ARM 4.37% 3/35 #1G0125 4.36% 03/01/2035 69,041 67,954
FHLM ARM 4.401% 2/35 #1G0103 4.38% 02/01/2035 86,602 86,107
FHLM ARM 4.444% 3/35 #1G0133 4.44% 03/01/2035 47,589 46,876
FHLM ARM 4.504% 3/35 #1G0145 4.47% 03/01/2035 45,205 44,592
FHLM ARM 4.498% 3/35 #1L0123 4.48% 03/01/2035 245,337 242,939
FHLM ARM 5.034% 4/35 #1N0002 5.01% 04/01/2035 200,958 201,522
FHLMC 4.48% 9/19/08 4.48% 09/19/2008 735,000 736,586
FHR 1539 PM 6.5 6/08 6.50% 06/15/2008 1,500,000 1,527,376
FHLM ARM 5.676% 4/32 #789284 5.55% 04/01/2032 7,345 7,479
FFCB 3.25% 6/15/07 3.25% 06/15/2007 80,000 78,449
FHLG 20YR 5.50% 4/24 # 5.50% 04/01/2024 258,916 259,924
FHLG 20YR 5.50% 7/23 # 5.50% 07/01/2023 355,933 357,850
FHLM ARM 4.819% 10/32 #1B0610 4.78% 10/01/2032 6,673 6,694
FHR 1608 J 6 6/22 6.00% 06/15/2022 173,510 174,207
FHR 1669 G 6.5 2/23 6.50% 02/15/2023 9,949 9,985
FHR 2292 QT 6.5% 5/30 6.50% 05/15/2030 17,218 17,291
FHLB 4.25% 4/16/07 4.25% 04/16/2007 900,000 903,588
FHLM ARM 4.441% 2/34 #781229 4.44% 02/01/2034 42,700 42,337
FHLM ARM 4.13% 12/34 #782916 4.10% 12/01/2034 37,029 36,646
FHLM ARM 4.985% 8/33 #782926 5.43% 08/01/2033 16,721 16,997
FHLM ARM 4.232% 1/35 #782988 4.14% 01/01/2035 138,544 137,211
FHLM ARM 4.434% 2/35 #783032 4.34% 02/01/2035 92,486 92,285
FHLM ARM 4.307% 3/35 #783067 4.27% 03/01/2035 40,159 39,979
FHLMC 4 8/17/07 4.00% 08/17/2007 3,006,000 3,015,598
FNR 92-48 HB 7 4/07 7.00% 04/25/2007 131,236 132,968
FNR 96-28 PK 6.5 7/25 6.50% 07/25/2025 140,000 147,130
FNMA 3.875% 5/15/07 3.88% 05/15/2007 315,000 312,878
FNMA 6% 5/15/08 6.00% 05/15/2008 13,000 13,464
FNMA 4.75% 1/02/07 SUBS 4.75% 01/02/2007 760,000 777,146
FNMA 3.25% 8/15/08 3.25% 08/15/2008 12,000 11,717
FNMA 4% 9/02/08 SUBS 4.00% 09/02/2008 480,000 476,480
FNMA 3.125% 12/15/07 3.13% 12/15/2007 20,000 19,432
FNR 99-10 MZ 6.5 9/38 6.50% 09/17/2038 406,964 422,150
FNMA 20YR 5.50% 11/22 5.50% 11/01/2022 35,722 35,904
FNMA ARM 4.25% 2/35 #255658 4.25% 02/01/2035 22,292 21,908
FNMA 20YR 5.50% 4/25 5.50% 04/01/2025 167,326 167,744
FNMA 20YR 5.50% 6/25 5.50% 06/01/2025 435,024 436,112
FNMA 15YR 7.00% 10/11 #351943 7.00% 10/01/2011 30,253 31,569
FNMA 15YR 7.00% 7/14 #522561 7.00% 07/01/2014 77,850 81,236
FNMA 15YR 7.00% 12/17 #555532 7.00% 12/01/2017 212,107 221,671
FNMA ARM 4.305% 8/33 #555696 4.27% 08/01/2033 52,859 52,443
FNMA 15YR 7.00% 1/17 #626726 7.00% 01/01/2017 199,251 208,199
FNMA ARM 4.710% 10/32 #648938 4.70% 10/01/2032 7,498 7,522
FNMA ARM 4.986% 11/32 #668236 4.99% 11/01/2032 18,808 19,011
FNMA ARM 4.732% 10/32 #668509 4.73% 10/01/2032 8,649 8,677
FNMA ARM 4.925% 12/32 #677026 4.99% 12/01/2032 3,548 3,573
FNR 03-83 TH 4.5% 11/16 4.50% 11/25/2016 400,000 391,437
FHR 2590 NT 5% 4/16 5.00% 04/15/2016 155,000 155,503
FHR 2625 QX 2.25% 3/22 2.25% 03/15/2022 49,522 48,247
FHR 2626 NA 5 6/23 5.00% 06/15/2023 265,000 266,074
FHR 2640 QG 2% 4/22 2.00% 04/15/2022 65,801 63,851
FHR 2667 PC 3.8% 1/18 3.80% 01/15/2018 220,000 211,635
FHR 2677 LC 4.5 6/15 4.50% 06/15/2015 185,000 182,700
FHR 2763 PD 4.5 12/17 4.50% 12/15/2017 410,000 398,496
FHR 2763 TX 4% 3/11 4.00% 03/15/2011 90,000 87,298
FHR 2780 QD 4.5 3/18 4.50% 03/15/2018 630,000 612,773
FNMA ARM 3.828% 4/33 #688969 3.84% 04/01/2033 81,540 80,375
FNMA ARM 4.646% 1/33 #689554 4.64% 01/01/2033 19,335 19,240
FNMA ARM 4.708% 2/33 #693344 4.73% 02/01/2033 5,587 5,602
FNMA ARM 4.318% 3/33 #694530 4.32% 03/01/2033 14,621 14,400
FNMA ARM 4.292% 3/33 #701296 4.29% 03/01/2033 30,702 30,596
FNMA ARM 3.984% 5/33 #703915 3.96% 05/01/2033 14,935 14,785
FNMA ARM 4.079% 4/33 #708221 4.07% 04/01/2033 8,463 8,431
FNMA ARM 4.351% 6/33 #720921 4.33% 06/01/2033 10,601 10,506
FNMA ARM 3.878% 6/33 #723633 3.88% 06/01/2033 114,492 113,056
FNMA ARM 3.836% 6/33 #723760 3.82% 06/01/2033 27,513 27,117
FNMA ARM 4.479% 4/34 #725361 4.43% 04/01/2034 39,806 39,767
FNMA ARM 3.765% 7/34 #725834 3.76% 07/01/2034 103,226 102,981
FNMA ARM 4.862% 9/34 #725855 4.84% 09/01/2034 36,159 36,149
FNMA ARM 4.832% 8/34 #725858 4.81% 08/01/2034 26,103 25,995
FNMA ARM 4.409% 10/34 #725968 4.40% 10/01/2034 149,107 147,589
FNMA 15YR 4.00% 8/18 #727438 4.00% 08/01/2018 409,194 392,840
FNMA ARM 4.115% 2/35 #735343 4.09% 02/01/2035 19,752 19,646
FNMA ARM 4.162% 2/35 #735345 4.15% 02/01/2035 40,036 39,811
FNMA ARM 4.587% 2/35 #735355 4.59% 02/01/2035 268,407 266,275
FNMA ARM 4.493% 8/34 #735360 4.46% 08/01/2034 94,102 93,371
FNMA ARM 4.357% 1/35 #735364 4.21% 01/01/2035 20,544 20,372
FNMA ARM 5.229% 8/33 #735030 5.18% 08/01/2033 36,502 36,542
FNMA ARM 4.20% 1/35 #735162 4.16% 01/01/2035 88,582 88,212
FNMA ARM 4.53% 3/35 #735448 4.52% 03/01/2035 91,857 90,884
FNMA ARM 3.463% 4/34 #735478 3.48% 04/01/2034 56,422 56,233
FNMA ARM 4.319% 5/35 #735538 4.31% 05/01/2035 37,008 36,717
FNMA ARM 4.177% 3/35 #735545 4.17% 03/01/2035 120,532 121,617
FNMA ARM 4.815% 12/32 #735602 4.79% 12/01/2032 38,216 38,357
FNMA 6.50% 3/35 #735723 6.50% 03/01/2035 401,964 415,367
FNMA ARM 4.423% 5/35 #745049 4.49% 05/01/2035 241,373 240,497
FNMA ARM 3.753% 10/33 #746320 3.76% 10/01/2033 17,589 17,237
FNMA ARM 4.055% 10/18 #749296 4.03% 10/01/2018 26,050 25,654
FNMA ARM 3.752% 10/33 #755148 3.75% 10/01/2033 29,873 29,189
FNMA ARM 4.358% 10/33 #754672 4.31% 10/01/2033 12,701 12,707
FNMA ARM 4.294% 1/34 #759264 4.30% 01/01/2034 29,417 29,088
FNMA ARM 3.750% 1/34 #761058 3.75% 01/01/2034 32,250 31,468
FNMA ARM 3.826% 10/33 #763199 3.82% 10/01/2033 287,772 283,027
FNMA ARM 4.250% 1/34 #765659 4.25% 01/01/2034 38,026 37,518
FNMA ARM 4.25% 2/34 #765660 4.25% 02/01/2034 24,923 24,591
FNMA ARM 4.232% 3/34 #766457 4.22% 03/01/2034 16,647 16,465
FNMA ARM 4.057% 5/34 #768224 3.98% 05/01/2034 10,777 10,974
FNMA ARM 4.368% 2/34 #769940 4.36% 02/01/2034 68,457 67,681
FNMA ARM 4.00% 1/35 #773225 4.00% 01/01/2035 18,777 18,705
FNMA ARM 4.021% 12/34 #773212 3.96% 12/01/2034 19,352 19,300
FNMA ARM 3.83% 1/35 #773220 3.83% 01/01/2035 19,131 18,952
FNMA ARM 3.98% 1/35 #773221 3.95% 01/01/2035 37,728 37,517
FNMA ARM 4.12% 2/35 #773243 4.08% 02/01/2035 38,802 38,590
FNMA ARM 4.128% 2/35 #773255 4.11% 02/01/2035 95,351 94,939
FNMA ARM 4.455% 3/35 #773281 4.44% 03/01/2035 45,340 44,790
FNMA ARM 4.305% 7/34 #776389 4.29% 07/01/2034 14,903 15,009
FNMA ARM 3.939% 10/34 #781549 3.90% 10/01/2034 35,632 35,350
FNMA ARM 3.987% 12/34 #781575 3.98% 12/01/2034 40,536 40,431
FNMA ARM 3.786% 12/34 #781576 3.75% 12/01/2034 37,793 37,386
FNMA ARM 3.975% 11/34 #781809 3.94% 11/01/2034 53,927 53,628
FNMA ARM 4.025% 1/35 #781871 4.01% 01/01/2035 56,135 55,948
FNMA ARM 3.791% 6/34 #783545 3.79% 06/01/2034 125,687 121,533
FNMA ARM 4.351 1/35 #783580 4.36% 01/01/2035 22,457 22,145
FNMA ARM 4.499% 3/35 #783587 4.49% 03/01/2035 91,449 90,311
FNMA ARM 4.4% 2/35 #783588 4.40% 02/01/2035 42,720 42,111
FNMA ARM 4.544% 7/34 #786380 4.54% 07/01/2034 29,702 29,610
FNMA ARM 4.607% 8/34 #790203 4.59% 08/01/2034 34,181 34,094
FNMA ARM 5.019% 9/34 #790458 5.02% 09/01/2034 32,172 32,244
FNMA ARM 4.658% 9/34 #790618 4.68% 09/01/2034 18,794 18,743
FNMA ARM 4.748% 7/34 #793028 4.73% 07/01/2034 84,372 84,104
FNMA ARM 4.339% 9/34 #794241 4.34% 09/01/2034 31,179 31,027
FNMA ARM 4.364% 9/34 #794242 4.35% 09/01/2034 91,413 91,042
FNMA ARM 3.737% 1/35 #797416 3.73% 01/01/2035 41,035 40,569
FNMA ARM 4.202% 1/35 #797418 4.17% 01/01/2035 64,781 63,789
FNMA ARM 4.549% 8/34 #796985 4.50% 08/01/2034 182,126 183,954
FNMA ARM 4.67% 11/34 #799727 4.62% 11/01/2034 90,735 90,454
FNMA ARM 4.825% 12/34 #800297 4.78% 12/01/2034 59,788 59,864
FNMA ARM 4.845% 12/34 #800335 4.80% 12/01/2034 19,283 19,310
FNMA ARM 4.571% 9/34 #801337 4.55% 09/01/2034 100,031 99,602
FNMA ARM 5.05% 7/34 #801635 5.04% 07/01/2034 14,411 14,512
FNMA ARM 4.037% 12/34 #802854 4.00% 12/01/2034 18,407 18,328
FNMA ARM 4.324% 12/34 #802660 4.29% 12/01/2034 21,297 21,340
FNMA ARM 4.23% 11/34 #803591 4.18% 11/01/2034 14,998 14,938
FNMA ARM 4.484% 10/34 #803592 4.43% 10/01/2034 144,517 145,107
FNMA ARM 4.029% 1/35 #806167 4.05% 01/01/2035 20,509 20,447
FNMA ARM 4.127% 1/35 #806519 4.12% 01/01/2035 55,613 55,634
FNMA ARM 4.105% 1/35 #806520 4.07% 01/01/2035 54,151 53,931
FNMA ARM 4.072% 12/34 #806640 4.04% 12/01/2034 40,965 40,890
FNMA ARM 4.17% 11/34 #806720 4.11% 11/01/2034 34,661 34,501
FNMA ARM 4.048% 1/35 #806711 4.05% 01/01/2035 19,132 18,976
FNMA ARM 4.118% 1/35 #807221 4.11% 01/01/2035 50,815 50,480
FNMA ARM 3.913% 12/34 #809113 3.92% 12/01/2034 20,109 20,151
FNMA ARM 5.029% 2/35 #809463 5.00% 02/01/2035 13,720 13,829
FNMA ARM 4.742% 3/35 #809822 4.70% 03/01/2035 41,918 41,722
FNMA ARM 4.625% 2/35 #809931 4.58% 02/01/2035 85,935 85,335
FNMA ARM 4.145% 2/35 #810415 4.12% 02/01/2035 58,286 58,330
FNMA ARM 4.57% 2/35 #811803 4.54% 02/01/2035 18,378 18,292
FNMA ARM 4.052% 2/35 #812091 4.03% 02/01/2035 19,807 19,675
FNMA ARM 4.144% 1/35 #813569 4.14% 01/01/2035 63,394 63,673
FNMA ARM 4.118% 2/35 #813114 4.09% 02/01/2035 19,626 19,556
FNMA ARM 4.694% 11/34 #813184 4.67% 11/01/2034 102,424 102,064
FNMA ARM 4.151% 1/35 #813170 4.13% 01/01/2035 89,084 88,584
FNMA ARM 4.197% 1/35 #813200 4.18% 01/01/2035 38,235 38,051
FNMA ARM 4.269% 10/34 #813564 4.18% 10/01/2034 74,838 75,076
FNMA ARM 4.017% 12/34 #813565 3.96% 12/01/2034 173,268 173,258
FNMA ARM 3.87% 1/35 #813713 3.87% 01/01/2035 41,802 41,852
FNMA ARM 3.84% 1/35 #813714 3.84% 01/01/2035 82,139 81,349
FNMA ARM 4.023% 2/35 #813737 4.01% 02/01/2035 20,345 20,228
FNMA ARM 4.559% 1/35 #813842 4.56% 01/01/2035 60,307 60,305
FNMA ARM 4.508% 1/35 #813848 4.49% 01/01/2035 34,924 34,897
FNMA ARM 4.790% 1/35 #815323 4.78% 01/01/2035 81,578 81,886
FNMA ARM 4.653% 3/35 #816322 4.63% 03/01/2035 13,174 13,219
FNMA ARM 4.293% 3/35 #815586 4.28% 03/01/2035 21,153 21,066
FNMA ARM 4.573% 2/35 #816591 4.54% 02/01/2035 175,702 175,484
FNMA ARM 4.639% 2/35 #816599 4.55% 02/01/2035 16,198 16,176
FNMA ARM 4.349% 2/35 #818857 4.25% 02/01/2035 17,995 17,884
FNMA ARM 4.372% 4/35 #820407 4.36% 04/01/2035 20,258 20,050
FNMA ARM 4.725% 3/35 #820598 4.68% 03/01/2035 227,952 228,021
FNMA ARM 4.302% 1/35 #827592 4.42% 01/01/2035 37,673 37,284
FNMA ARM 5.8170% 5/35 #827781 5.10% 05/01/2035 171,469 173,133
FNMA ARM 5.208% 5/35 #827783 5.20% 05/01/2035 596,300 602,783
FNMA ARM 4.409% 5/35 #829985 4.40% 05/01/2035 75,324 74,770
FNMA ARM 5.203% 6/35 #830605 5.20% 06/01/2035 132,937 134,082
FNMA ARM 4.555% 7/35 #832099 4.54% 07/01/2035 89,357 89,034
FNMA ARM 5.344% 7/35 #834917 5.30% 07/01/2035 17,886 18,000
FNMA ARM 5.101% 7/35 #841837 5.15% 07/01/2035 95,881 96,584
FMIC 04-1 M2 1ML+110 1/35 6.06% 01/25/2035 100,000 100,902
FIFTH THIRD MED 3.375 8/15/08 3.38% 08/15/2008 179,000 174,778
FUNCM 99-C2 A2 6.645 6/31 6.65% 06/15/2031 446,705 467,524
FULB 97-C2 A3 6.65 11/29 6.65% 11/18/2029 287,034 295,105
FLEET FINANCIAL 6.375% 5/15/08 6.38% 05/15/2008 45,000 46,829
FORDO 03-B B1 2.85% 10/07 2.85% 10/15/2007 230,000 227,590
FORDO 2005-A B 3.88 1/10 3.88% 01/15/2010 75,000 73,160
FORDO 05-C A3 4.3 8/09 4.30% 08/15/2009 355,000 352,073
FORDO 05-C A4 4.36 6/10 4.36% 06/15/2010 195,000 192,677
FRNK 05-1 A3 4.91% 4/10 4.91% 04/20/2010 183,000 184,089
FRANKLIN RESOUR 3.7% 4/15/08 3.70% 04/15/2008 585,000 574,764
FHLT 04-1 M4 1ML+95 2/34 6.27% 02/25/2034 50,000 50,343
FHLT 04-1 M5 1ML+110 2/34 6.42% 02/25/2034 50,000 50,409
FUJI FIN 8.625% 4/15/10 144A 8.63% 04/15/2010 295,000 350,529
GECMC 02-2A A2 4.97% 8/36 4.97% 08/11/2036 425,000 425,561
GMACC 97-C1 A3 6.869 7/29 6.87% 07/15/2029 95,712 98,380
GMACC 97-C2 A3 6.566 4/29 6.57% 04/15/2029 131,275 135,034
GMACC 99-C1 A2 6.175 5/33 6.18% 05/15/2033 650,000 671,097
GMACC 04-C2 A2 CSTR 8/38 4.76% 08/10/2038 125,000 123,790
GMACC 2004-C3 A3 CSTR 12/41 4.21% 12/10/2041 340,000 330,807
GMACC 05-C1 A2 CSTR 5/43 4.47% 05/10/2043 195,000 191,279
GMACC 05-C1 X2 CSTR 5/43 0.77% 05/10/2043 2,295,000 70,106
GMACC 2002-C1 A1 5.785 11/39 5.79% 11/15/2039 421,834 430,688
GSMS 03-C1 A2A 3.59% 1/40 3.59% 01/10/2040 275,000 269,223
GSMS 04-C1 A1 3.659% 10/28 3.66% 10/10/2028 402,716 391,258
GSMS 05-GG4 XP CSTR 7/39 0.73% 07/10/2039 5,605,000 198,155
GSALT 05-1 A3 4.45 5/10 4.45% 05/17/2010 260,000 258,617
GSALT 05-1 B 4.62 11/13 4.62% 11/15/2013 40,000 39,869
GECMC 04-C3 A2 4.433 7/39 4.43% 07/10/2039 290,000 285,985
GE CAP CP MTN 7.5% 6/15/09 7.50% 06/15/2009 300,000 324,475
GECAP 3.5% 5/01/08 3.50% 05/01/2008 130,000 127,034
GE CAP GLBL 3.5% 8/15/07 3.50% 08/15/2007 280,000 278,060
GEN ELEC CAP CRP 4.125% 3/4/08 4.13% 03/04/2008 1,177,000 1,174,841
GECAPMTN 5% 6/15/07 5.00% 06/15/2007 310,000 311,276
GOLDMAN SACHS 4.5% 6/15/10 4.50% 06/15/2010 710,000 695,270
GNR 02-35 C CSTR 10/23 5.88% 10/16/2023 55,000 56,828
GNR 03-87 CSTR 8/32 5.25% 08/16/2032 570,000 576,406
GNR 03-36 C 4.2545 2/31 4.25% 02/16/2031 225,000 217,903
GNR 03-64 B 4.528% 4/32 4.53% 04/16/2032 390,000 384,200
GNR 05-58 NJ 4.5 8/35 4.50% 08/20/2035 339,000 333,947
GPMH 01-1 IA 1ML+34 4/32 5.61% 04/20/2032 119,455 119,366
GREENPOINT FINL 3.2% 6/06/08 3.20% 06/06/2008 470,000 453,278
GCCFC 03-C1 A2 3.285% 7/35 3.29% 07/05/2035 325,000 309,049
GCCFC 04-GG1 A4 4.755 6/36 4.76% 06/10/2036 300,000 297,053
GCCFC 05-GG5 CSTR 4/37 0.13% 04/10/2037 28,165,000 209,956
HBOS PLC MTN 3.75 9/30/08 144A 3.75% 09/30/2008 80,000 78,630
HBOS PLC 3.625% 7/23/07 144A 3.63% 07/23/2007 125,000 124,759
HSBC FIN CORP MTN4.125 3/11/08 4.13% 03/11/2008 630,000 626,889
JOHN HANCOCK 6.5% 3/01/11 6.50% 03/01/2011 215,000 236,516
HEINZ CO 6.428 12/01/08 144A 6.43% 12/01/2008 195,000 201,362
HFCMC 00-PH1 A1 7.715 1/34 7.72% 01/17/2034 248,621 253,490
HAROT 05-2 A3 3.93 1/09 3.93% 01/15/2009 160,000 158,412
HAT 04-1 A4 3.93 7/11 3.93% 07/18/2011 165,000 161,605
HOUSEHOLD FIN 4.625% 1/15/08 4.63% 01/15/2008 89,000 90,311
HOUSEHOLD FIN C 4.125 12/15/08 4.13% 12/15/2008 430,000 420,664
HOUSEHOLD FIN CO 4.75% 5/15/09 4.75% 05/15/2009 225,000 223,911
HOUSEHOLD MTN 4.125% 11/16/09 4.13% 11/16/2009 109,000 105,800
HOUSEHOLD INTL 5.836% 2/15/08 5.84% 02/15/2008 870,000 890,902
HPLCC 02-1 A 5.5 1/11 5.50% 01/18/2011 1,800,000 1,815,743
HFCHC 03-1 M 1ML+63 10/32 5.41% 10/20/2032 21,890 21,943
HFCHC 03-2 M 1ML+58 9/33 5.85% 09/20/2033 34,810 34,930
HMLHC 03-HC1 M 1ML+65 2/33 5.14% 02/20/2033 40,340 40,418
HLHMC 03-HC2 1ML+60 6/20/2103 2.20% 06/20/2033 53,776 53,872
HAT 05-2 A3 4.37 5/10 4.37% 05/17/2010 385,000 382,080
HAT 05-2 A4 4.55 7/12 4.55% 07/17/2012 300,000 296,767
HAT 05-3 A3 4.8% 10/10 4.80% 10/18/2010 160,000 160,287
HART 05-A C 4.22 2/12 4.22% 02/15/2012 25,000 24,628
IMM 05-1 M4 1ML+75 4/35 6.07% 04/25/2035 19,083 19,104
IMM 05-1 M5 1ML+77 4/35 6.09% 04/25/2035 19,083 19,087
IMM 05-1 M6 1ML+82 4/35 6.14% 04/25/2035 34,349 34,356
INTL LEASE FIN 4.5% 5/01/08 4.50% 05/01/2008 345,000 343,623
INTL LEASE FIN CORP 5% 4/15/10 5.00% 04/15/2010 225,000 226,170
INTL LEASE FIN 4.625% 6/02/08 4.63% 06/02/2008 80,000 79,504
JPMCC 04-CB9 A2 CSTR 6/41 5.11% 06/12/2041 535,000 536,554
JPMCC 2001-C1 A2 5.464 10/35 5.46% 10/12/2035 439,556 444,170
JPMCC 05-LDP2 A2 4.575% 7/42 4.58% 07/15/2042 195,000 191,747
JPMCC 05-LDP4 A1 CSTR 10/42 4.61% 10/15/2042 289,241 287,843
JPMCC 05-LDP4 X2 CSTR 10/42 0.22% 10/15/2042 15,105,000 163,598
JPMCC 05-LDP5 A1 5.035 12/44 5.04% 12/15/2044 295,000 297,252
KOREA DEV BANK 3.875% 3/02/09 3.88% 03/02/2009 275,000 269,596
KRAFT FOODS GLBL 5.25% 6/1/07 5.25% 06/01/2007 175,000 176,476
LBCMT 98-C4 A1B 6.21 10/35 6.21% 10/15/2035 375,000 387,621
LBCMT 99-C1 A2 6.78 6/31 6.78% 06/15/2031 350,000 369,427
LBUBS 05-C5 XCP CSTR 9/40 0.37% 09/15/2040 10,070,000 204,606
LBUBS 00-C3 A1 7.95 7/09 7.95% 07/15/2009 539,577 555,447
LBUBS 00-C3 A2 7.95 1/10 7.95% 01/15/2010 285,000 314,753
LBUBS 00-C5 A2 6.51 12/26 6.51% 12/15/2026 140,000 148,790
LBUBS 04-C6 A2 4.187% 8/29 4.19% 08/15/2029 200,000 195,002
LBUBS 03-C3 A2 3.086 5/27 3.09% 05/15/2027 240,000 230,808
LBUBS 03-C5 A2 3.478 7/27 3.48% 07/15/2027 405,000 391,616
LBUBS 03-C7 A3 CSTR 9/27 4.56% 09/15/2027 290,000 283,920
LBUBS 05-C7 XCP CSTR 11/40 0.22% 11/15/2040 10,720,000 128,567
LEGG MASON INC 6.75% 7/02/08 6.75% 07/02/2008 120,000 128,954
LEHMAN BROS HLDGS 4% 1/22/08 4.00% 01/22/2008 165,000 165,182
LEHMAN GLBL MED 3.6% 3/13/09 3.60% 03/13/2009 90,000 87,577
LBMLT 03-3 M1 1ML+75 7/33 6.07% 07/25/2033 320,000 321,864
LOUIS DREYFUS 6.875% 12/01/07 6.88% 12/01/2007 110,000 114,166
MILT 05-1 A3 4.83 9/09 4.83% 09/21/2009 365,000 365,471
MARSHALL &ILSLEY 3.8 2/8/08 3.80% 02/08/2008 450,000 448,298
MARSHALL&ILSLEY 4.4% 3/15/10 4.40% 03/15/2010 98,000 97,331
MBNAS 05-B4 B4 4.9% 3/11 4.90% 03/15/2011 370,000 370,658
MSSTR 04-1 1A1 CSTR 8/17 6.24% 08/25/2017 174,878 178,848
MANUFTRS & TRDR 3.85% 4/01/13 3.85% 04/01/2013 680,000 670,878
MARSHALL & ISLY 4.375% 8/01/09 4.38% 08/01/2009 235,000 235,069
MALT 04-3 3A1 6 4/34 6.00% 04/25/2034 50,780 50,954
MMLT 04-1 M1 1ML+50 7/34 5.82% 07/25/2034 75,000 75,070
MERRILL LYN MTN 4.125% 1/15/09 4.13% 01/15/2009 235,000 234,778
MERRILL LYNCH 4.25% 9/14/07 4.25% 09/14/2007 402,000 402,936
MERRILL LYN MTN 4.831 10/27/08 4.83% 10/27/2008 420,000 422,755
MLMT 04-MKB1 A2 4.353% 2/42 4.35% 02/12/2042 1,275,000 1,253,739
MLMT 05-MKB2 XP CSTR 9/42 0.29% 09/12/2042 1,096,269 15,701
MLMT 05-MCP1 A2 4.556 6/43 4.56% 06/12/2043 305,000 299,747
MLMT 05-MCP1 XP CSTR 6/43 0.59% 06/12/2043 2,072,887 64,848
MLMT 05-CIP1 A2 4.96 6/10 4.96% 07/12/2038 400,000 399,369
MLMT 05-LC1 A1 5.017 1/44 5.02% 01/12/2044 150,000 151,000
MET LIFE GBL 4.25 7/30/09 144A 4.25% 07/30/2009 500,000 499,307
MORGAN JP & CO 6.25% 1/15/09 6.25% 01/15/2009 225,000 239,281
MORGAN JP MTN A 6% 1/15/09 6.00% 01/15/2009 110,000 115,967
JPMC 99-C8 A2 7.4% 7/31 7.40% 07/15/2031 300,000 320,683
MSC 05-HQ5 X2 CSTR 1/42 0.35% 01/14/2042 2,500,000 37,995
MSC 98-WF2 A2 6.54 7/30 6.54% 07/15/2030 140,626 145,503
MSC 98-XL2 A2 6.17 10/34 6.17% 10/03/2034 155,000 160,593
MSC 98-HF2 A2 6.48 11/30 6.48% 11/15/2030 600,464 621,312
MSC 99-WF1 A2 6.21 11/31 6.21% 11/15/2031 320,865 330,677
MSC 03-IQ5 A2 4.09 4/38 4.09% 04/15/2038 140,000 136,862
MSC 05-TOP17 X2 CSTR 12/41 0.62% 12/13/2041 1,655,000 51,401
MSC 04-HQ3 A2 4.05 1/41 4.05% 01/13/2041 170,000 164,417
MSAC 03-NC6 M1 1ML+80 6/33 6.12% 06/25/2033 115,000 116,014
MSAC 03-NC7 M1 1ML+70 6/33 6.02% 06/25/2033 70,000 70,266
MSAC 03-NC8 M1 1ML+70 9/33 6.02% 09/25/2033 90,000 91,225
MORGAN STANLEY 4% 1/15/10 4.00% 01/15/2010 100,000 98,038
MORGAN STANLEY 5.05% 1/21/11 5.05% 01/21/2011 315,000 318,186
MSDWC 00-PRIN A2 7.18 2/34 7.18% 02/23/2034 349,988 362,488
MSDWC 01-PPM A2 6.4 2/31 6.40% 02/15/2031 710,569 736,213
MCFI 98-MC2 A2 6.423 6/30 6.42% 06/18/2030 446,719 460,730
NATL CTY BK 3.3% 5/15/07 3.30% 05/15/2007 310,000 304,754
NCSLT 05-1 AIO 6.75% 12/09 6.75% 12/25/2009 150,000 35,946
NCSLT 05-2 AIO 7.73 3/12 7.73% 03/25/2012 165,000 48,681
NCSLT 05-3W AIO1 4.8 7/12 4.80% 07/25/2012 535,000 107,094
NAT-RURAL GLBL 5.75% 8/28/09 5.75% 08/28/2009 145,000 151,731
NATL RURAL MTN 3.24% 7/22/07 3.24% 07/23/2007 265,000 262,234
NATIONS BANKCORP 6.375 2/15/08 6.38% 02/15/2008 335,000 353,027
NLFC 99-1 A2 6.316 1/31 6.32% 01/20/2031 336,817 348,676
NLFC 99-1 C 6.571 1/31 6.57% 01/20/2031 140,000 146,691
NAVOT 05-A A4 4.43 1/14 4.43% 01/15/2014 150,000 148,020
NALT 04-A A3 2.9 8/07 2.90% 08/15/2007 330,000 327,401
NALT 04-A A4B 3.18 6/10 3.18% 06/15/2010 80,000 78,436
NALT 05-A A3 4.70% 10/08 4.70% 10/15/2008 400,000 400,098
NEF 05-1 A5 4.74 10/45 4.74% 10/30/2045 220,000 221,970
NHEL 04-1 M1 1ML+45 6/34 5.77% 06/25/2034 50,000 50,087
NHEL 04-1 M4 1ML+97.5 6/34 6.30% 06/25/2034 80,000 80,394
ONYX 03-C A4 2.66 5/10 2.66% 05/17/2010 384,957 379,015
ONYX 05-A A3 3.69% 5/09 3.69% 05/15/2009 125,000 123,573
ONYX 05-B A4 4.34% 5/12 4.34% 05/15/2012 125,000 123,248
PECO ENERGY 3.5% 5/01/08 3.50% 05/01/2008 405,000 394,204
PNCFUND 6.875% 7/15/07 6.88% 07/15/2007 130,000 137,806
PNCFUND 5.75% 8/1/06 5.75% 08/01/2006 265,000 272,637
PNC FUNDING CORP 4.2 3/10/08 4.20% 03/10/2008 125,000 124,764
PSI ENERGY INC 6.65% 6/15/06 6.65% 06/15/2006 115,000 116,277
PPSI 04-WWF1 M4 1ML+110 1/35 6.42% 01/25/2035 255,000 259,835
PETRO EXP 4.623% 6/15/10 144A 4.62% 06/15/2010 200,000 198,441
PETRO EXP 4.633% 6/15/10 144A 4.63% 06/15/2010 120,000 119,065
MORRIS 6.375% 2/01/06 6.38% 02/01/2006 550,000 565,141
POPULAR NA MTN 4.25% 4/01/08 4.25% 04/01/2008 160,000 158,629
POPULAR NA 3.875% 10/01/08 3.88% 10/01/2008 605,000 590,540
PRUDENTIAL FIN 4.104% 11/15/06 4.10% 11/15/2006 185,000 184,755
PMNT 05-2 B2 5.1 11/12 5.10% 11/15/2012 275,000 276,061
REED ELSEVIER C 6.125% 8/01/06 6.13% 08/01/2006 315,000 324,891
RAMP 04-SL2 A1I 6.5 10/16 6.50% 10/25/2016 33,939 34,727
RAMP 03-SL1 A31 7.125% 4/31 7.13% 04/25/2031 139,151 141,403
RAMP 03-RZ2 A1 3.6% 4/33 3.60% 04/25/2033 82,326 80,156
GMACM 05-AR5 1A1 CSTR 9/35 4.84% 09/19/2035 122,706 122,644
ROYAL KPN NV YANK 8% 10/01/10 8.00% 10/01/2010 385,000 430,526
SBC COMM GLBL 6.25 3/15/11 6.25% 03/15/2011 95,000 101,067
SBC COMM GLBL 4.125 9/15/09 4.13% 09/15/2009 585,000 571,995
SLM CORP 4% 1/15/09 4.00% 01/15/2009 310,000 307,389
SLM CORP 3.5% 9/30/06 3.50% 09/30/2006 470,000 468,666
SLMA 05-7 A3 4.41 7/25 4.41% 07/25/2025 325,000 325,050
SLMA 04-A B 3ML+58 6/33 5.91% 06/15/2033 100,000 101,757
SVOVM 05-A A 5.25 2/21 5.25% 02/20/2021 149,425 150,032
SAFECO CORP 6.875% 7/15/07 6.88% 07/15/2007 305,000 321,824
SAFECO CORP 4.2% 2/01/08 4.20% 02/01/2008 185,000 185,228
ST PAUL COS 5.75% 3/15/07 5.75% 03/15/2007 535,000 546,874
SBM7 00-C3 A2 6.592 12/33 6.59% 12/18/2033 310,000 328,837
SBM7 02-KEY2 A2 4.467% 3/36 4.47% 03/18/2036 640,000 630,632
SBM7 00-C1 A2 7.52 12/09 7.52% 12/18/2009 345,000 374,535
SANTANDER 4.75% 10/21/08 144A 4.75% 10/21/2008 600,000 602,635
SEMPRA ENERGY 7.95% 3/01/10 7.95% 03/01/2010 120,000 134,997
SEMPRA ENERGY 4.621% 5/17/07 4.62% 05/17/2007 430,000 429,381
SEMPRA ENERGY 4.75 5/15/09 4.75% 05/15/2009 70,000 69,446
SOUTHER CO CAP 5.3% 2/01/07 5.30% 02/01/2007 155,000 158,373
SOUTHWEST 01-1A2 5.496 11/1/06 5.50% 11/01/2006 365,000 369,853
SWESTERN PUB SVCS 5.125 11/06 5.13% 11/01/2006 180,000 181,689
SPRINT CAP GLBL 7.625% 1/30/11 7.63% 01/30/2011 215,000 243,963
ARC 02-BC1 M2 1ML+110 1/32 6.42% 01/25/2032 22,553 22,668
SASC 04-GEL1 A 1ML+36 2/34 5.68% 02/25/2034 23,553 23,574
SWIFT 05-A12 B 1ML+48 6/10 5.68% 06/15/2010 305,000 304,605
TARGET CORP 3.375% 3/01/08 3.38% 03/01/2008 450,000 442,268
TELECOM ITALIA 4% 11/15/08 4.00% 11/15/2008 280,000 272,973
TELECOM ITALIA 4% 1/15/10 4.00% 01/15/2010 255,000 247,578
TELECOM ITALIA 4.875% 10/01/10 4.88% 10/01/2010 125,000 124,123
TEXAS EAST 5.25% 7/15/07 5.25% 07/15/2007 50,000 51,313
TEXTRON FINL MTN 4.125% 3/3/08 4.13% 03/03/2008 225,000 224,272
TIME WARNER COS INC 8.18% 8/07 8.18% 08/15/2007 210,000 226,156
TRAVELERS PPTY 3.75% 3/15/08 3.75% 03/15/2008 95,000 93,704
TAROT 05-A A3 4.05 3/10 4.05% 03/12/2010 350,000 346,494
TAROT 05-B A3 4.28% 6/10 4.28% 06/14/2010 415,000 411,843
US BANK NA MTN 4.125% 3/17/08 4.13% 03/17/2008 873,000 873,166
USA ED INC MTN 5.625% 4/10/07 5.63% 04/10/2007 450,000 458,389
UNION PLANTERS 5.125% 6/15/07 5.13% 06/15/2007 155,000 155,762
USTN 3.375% 9/15/09 3.38% 09/15/2009 6,785,000 6,626,713
USTN 3.625% 4/30/07 3.63% 04/30/2007 3,729,000 3,713,113
USTN 3.75% 5/15/08 3.75% 05/15/2008 19,806,000 19,589,922
USTN 3.875% 7/31/07 3.88% 07/31/2007 4,161,000 4,194,667
USTN 4% 8/31/07 4.00% 08/31/2007 3,102,000 3,122,872
VERIZON GLBL 7.25% 12/1/10 7.25% 12/01/2010 440,000 480,115
VERIZON WRLSS 5.375% 12/15/06 5.38% 12/15/2006 440,000 442,500
VERIZON NEW YOR 6.875% 4/01/12 6.88% 04/01/2012 505,000 535,107
VAELEC 5.75% 3/31/06 5.75% 03/31/2006 400,000 406,719
VWALT 04-A A3 2.84 7/07 2.84% 07/20/2007 355,000 352,006
VWALT 05-A A3 3.82% 5/08 3.82% 05/20/2008 450,000 446,003
VWALT 05-A A4 3.94% 10/10 3.94% 10/20/2010 450,000 443,613
WESTO 04-3 A4 3.93% 2/12 3.93% 02/17/2012 490,000 480,314
WESTO 04-4 A4 3.44% 5/12 3.44% 05/17/2012 345,000 336,125
WESTO 05-1 A3 3.59% 10/09 3.59% 10/19/2009 490,000 483,679
WESTO 05-2 A3 4.17% 12/07 4.17% 12/17/2007 250,000 248,593
WESTO 05-2 A4 4.39% 11/12 4.39% 11/17/2012 250,000 248,499
WBCMT 05-C16 APB 4.692% 10/41 4.71% 10/15/2041 150,000 147,035
WBCMT 03-C6 A2 4.498 8/35 4.50% 08/15/2035 275,000 271,081
WBCMT 03-C7 A1 4.241 10/35 4.24% 10/15/2035 315,986 308,875
WBCMT 03-C8 A3 4.445% 11/35 4.45% 11/15/2035 680,000 663,705
WBCMT 05-C18 XP CSTR 4/42 0.53% 04/15/2042 3,097,116 56,949
WBCMT 2004-C15 A2 4.039 10/41 4.04% 10/15/2041 370,000 358,550
WBCMT 05-C16 A2 4.38% 10/41 4.38% 10/15/2041 465,000 455,542
WBCMT 05-C22 A1 4.98 12/44 4.98% 12/15/2044 210,000 210,869
WACHOVIA CORP 6.15% 3/15/09 6.15% 03/15/2009 575,000 606,580
WACHOVIA CORP 3.5% 8/15/08 3.50% 08/15/2008 260,000 254,670
WASH MUTUAL INC 4.375% 1/15/08 4.38% 01/15/2008 650,000 655,351
WAMMS 03-MS9 2A1 7.5% 12/33 7.50% 12/25/2033 34,250 35,237
WAMMS 04-RA2 2A 7% 7/33 7.00% 07/25/2033 57,692 59,238
WASHINGTON MUTUAL 4.5% 8/25/08 4.50% 08/25/2008 310,000 311,309
WELLS FARGO & CO 6.25% 4/15/08 6.25% 04/15/2008 400,000 417,616
WELLS FARGO & CO 4% 9/10/12 4.00% 09/10/2012 150,000 149,103
WELLS FARGO 3.125 4/1/09 3.13% 04/01/2009 180,000 171,911
WELLS FARGO GLBL 4.125 3/10/08 4.13% 03/10/2008 1,270,000 1,267,081
WFMBS 05-AR4 2A2 CSTR 4/35 4.53% 04/25/2035 787,979 775,305
WFMBS 05-AR2 2A2 4.57% 3/35 4.57% 03/25/2035 400,019 394,406
WFMBS 5-AR9 2A1 CSTR 5/35 4.36% 05/25/2035 434,563 430,474
WFMBS 05-AR10 2A2 CSTR 6/35 4.11% 06/25/2035 156,572 154,240
WFMBS 05-AR12 2A6 CSTR 7/35 4.32% 07/25/2035 90,376 88,773
WESTO 05-3 A4 4.39 5/13 4.39% 05/17/2013 220,000 217,462
WESTO 05-3 B 4.50 5/13 4.50% 05/17/2013 85,000 83,811
WESTO 05-3 C 4.54 5/13 4.54% 05/17/2013 110,000 108,861
WALT 04-1 A3 2.96% 6/08 2.96% 06/15/2008 475,000 467,851
WOART 04-A A4 3.96% 7/11 3.96% 07/12/2011 315,000 309,728
UNSETTLED SECURITIES (2,926,389)
-------------
TOTAL OF UNDERLYING SECURITIES 165,507,159
-------------
TOTAL OF FIXED INCOME FUND 167,391,152
-------------
STOCK
-------------
* BOWATER COMMON STOCK 1,199,003 36,833,371
-------------
MUTUAL FUNDS
* FIDELITY MAGELLAN 345,512 36,776,264
* FIDELITY EQUITY INCOME 601,691 31,757,273
* FIDELITY OTC PORTFOLIO 692,359 26,164,244
* FIDELITY INTERNATIONAL DISCOVERY 393,277 12,451,143
SPARTAN US EQUITY INDEX 268,018 11,835,668
LORD ABBETT SMCPVAL Y 314,310 9,246,996
* FIDELITY ASSET MANAGER 431,600 6,927,187
* FIDELITY ASSET MANAGER GROWTH 336,504 5,074,484
* FIDELITY SHORT TERM BOND 301,212 2,668,734
* FIDELITY ASSET MANAGER INCOME 155,946 2,000,791
RS SMALLER COMPANY GROWTH 93,799 1,980,088
* FIDELITY FREEDOM 2020 99,102 1,457,792
* FIDELITY FREEDOM 2015 108,861 1,257,346
LM VALUE TRUST FI CL 13,751 1,024,057
* FIDELITY FREEDOM 2010 44,946 631,485
GS GROWTH OPPS INST 27,543 610,071
* FIDELITY FREEDOM 2025 35,735 427,392
* FIDELITY FREEDOM 2035 17,402 212,830
* FIDELITY FREEDOM 2030 10,065 151,175
* FIDELITY FREEDOM 2005 9,561 106,318
* FIDELITY FREEDOM 2040 11,651 102,875
* FIDELITY FREEDOM INCOME 1,940 22,059
-------------
TOTAL OF MUTUAL FUNDS 152,886,272
-------------
-------------
* PARTICIPANT LOANS (5.25% to 10.50%) 8,203,758
-------------
-------------
* INTEREST-BEARING CASH 2,111,167
4.10% -------------
------------------------------------------------------------------ ---------- ---------------- ------------- -------------
TOTAL ASSETS IN SAVINGS PLAN $ 367,425,720
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* Denotes a party-in-interest.
** Investment with periodic credit interest-rate reset.
See accompanying report of independent registered public accounting firm.
INDEX TO EXHIBITS
Exhibit No. Description
23 Consent of Independent Registered Public Accounting Firm