|
Face
|
|
|
|
|
|
|
|
Amount
|
|
Asset-Backed Securities**
|
|
|
Value
|
|
|
$ 233,792
|
|
Global Rated Eligible Asset Trust Series 1998-A Class 1, 7.45% due
|
|
|
|
|
|
|
|
9/15/2007 (d)(f)(h)
|
|
$
|
23
|
|
|
567,535
|
|
Structured Mortgage Asset Residential Trust Series 2, 8.24% due
|
|
|
|
|
|
|
|
11/07/2007 (f)(h)
|
|
|
57
|
|
|
|
|
Total Asset-Backed Securities (Cost - $41,827) - 0.0%
|
|
|
80
|
|
|
|
|
U.S. Government Agency Mortgage-Backed Securities
|
|
|
|
|
|
|
|
Fannie Mae Guaranteed Pass-Through Certificates:
|
|
|
|
|
|
299,370
|
|
5.50% due 1/01/2017 - 2/01/2017
|
|
|
307,503
|
|
|
14,218
|
|
6.50% due 7/01/2029
|
|
|
14,877
|
|
|
|
|
Total U.S. Government Agency Mortgage-Backed Securities
|
|
|
|
|
|
|
|
(Cost - $310,294) - 0.9%
|
|
|
322,380
|
|
|
|
|
U.S. Government Agency Mortgage-Backed Securities** -
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations
|
|
|
|
|
|
2,609,610
|
|
Fannie Mae Trust Series 1992-174 Class S, 0.098% due 9/25/2022 (a)
|
|
|
7,207
|
|
|
631,161
|
|
Fannie Mae Trust Series 1993-49 Class H, 7% due 4/25/2013
|
|
|
662,604
|
|
|
2,038,130
|
|
Fannie Mae Trust Series 1993-49 Class L, 0.445% due 4/25/2013
|
|
|
13,945
|
|
|
79,654
|
|
Fannie Mae Trust Series 1993-192 Class SC, 6.967% due 10/25/2008 (a)
|
|
|
78,501
|
|
|
26,607
|
|
Fannie Mae Trust Series 1993-214 Class SH, 9.539% due 12/25/2008 (a)
|
|
|
27,096
|
|
|
36,970
|
|
Fannie Mae Trust Series 1993-214 Class SK, 10% due 12/25/2008 (a)
|
|
|
37,641
|
|
|
4,179
|
|
Fannie Mae Trust Series 1994-13 Class SJ, 8.75% due 2/25/2009 (a)
|
|
|
4,228
|
|
|
21,828
|
|
Fannie Mae Trust Series 1996-20 Class SL, 10.475% due 9/25/2008 (a)
|
|
|
527
|
|
|
3,148,362
|
|
Fannie Mae Trust Series 2003-70 Class ID, 5% due 4/25/2022
|
|
|
35,335
|
|
|
780,570
|
|
Fannie Mae Trust Series 2004-13 Class IG, 5% due 10/25/2022
|
|
|
15,789
|
|
|
260,020
|
|
Fannie Mae Trust Series G-21 Class L, 0.95% due 7/25/2021
|
|
|
5,706
|
|
|
761,020
|
|
Freddie Mac Multiclass Certificates Series 65 Class I, 0.50% due 8/15/2020
|
|
|
1,057
|
|
|
150,630
|
|
Freddie Mac Multiclass Certificates Series 141 Class H, 1.06% due 5/15/2021
|
|
|
214
|
|
|
2,005
|
|
Freddie Mac Multiclass Certificates Series 1506 Class S, 10.578% due 5/15/2008 (a)
|
|
|
2,003
|
|
|
1,621,970
|
|
Freddie Mac Multiclass Certificates Series 1510 Class G, 7.05% due 5/15/2013
|
|
|
1,629,555
|
|
|
72,579
|
|
Freddie Mac Multiclass Certificates Series 1515 Class S, 9.793% due 5/15/2008 (a)
|
|
|
72,408
|
|
|
736,899
|
|
Freddie Mac Multiclass Certificates Series 1598 Class J, 6.50% due 10/15/2008 (j)
|
|
|
735,884
|
|
|
102,636
|
|
Freddie Mac Multiclass Certificates Series 1618 Class SA, 8.25% due
|
|
|
|
|
|
|
|
11/15/2008 (a)
|
|
|
102,968
|
|
|
4,647
|
|
Freddie Mac Multiclass Certificates Series 1661 Class SB, 9.841% due
|
|
|
|
|
|
|
|
1/15/2009 (a)
|
|
|
4,750
|
|
|
7,032
|
|
Freddie Mac Multiclass Certificates Series 1688 Class S, 11.023% due
|
|
|
|
|
|
|
|
12/15/2013 (a)
|
|
|
7,031
|
|
|
97,644
|
|
Freddie Mac Multiclass Certificates Series 2412 Class SE, 7.40% due 2/15/2009 (a)
|
|
|
101,573
|
|
|
262,746
|
|
Freddie Mac Multiclass Certificates Series 2517 Class SE, 5.659% due
|
|
|
|
|
|
|
|
10/15/2009 (a)
|
|
|
274,141
|
|
|
1,303,995
|
|
Freddie Mac Multiclass Certificates Series 2523 Class EH, 5.50% due 4/15/2020
|
|
|
55,424
|
|
|
80,687
|
|
Freddie Mac Multiclass Certificates Series 2564 Class NC, 5% due 2/15/2033
|
|
|
77,265
|
|
|
34,484
|
|
Freddie Mac Multiclass Certificates Series 2633 Class PI, 4.50% due 3/15/2012
|
|
|
69
|
|
|
2,998,025
|
|
Freddie Mac Multiclass Certificates Series 2739 Class PI, 5% due 3/15/2022
|
|
|
62,999
|
|
|
374,804
|
|
Freddie Mac Multiclass Certificates Series 2929 Class PA, 5% due 8/15/2018
|
|
|
374,379
|
|
|
1,343,528
|
|
Freddie Mac Multiclass Certificates Series 2976 Class KI, 5.50% due 11/15/2034
|
|
|
172,293
|
|
|
1,584,758
|
|
Freddie Mac Multiclass Certificates Series 3189 Class KI, 6% due 1/15/2035
|
|
|
111,821
|
|
|
2,507,625
|
|
Freddie Mac Multiclass Certificates Series 3207 Class QI, 6% due 2/15/2035
|
|
|
133,481
|
|
|
|
|
Total U.S. Government Agency Mortgage-Backed Securities - Collateralized
|
|
|
|
|
|
|
|
Mortgage Obligations (Cost - $5,198,380) - 12.1%
|
|
|
4,807,894
|
|
|
|
|
Non-Government Agency Mortgage-Backed Securities** -
|
|
|
|
|
|
|
|
Collateralized Mortgage Obligations
|
|
|
|
|
|
127,387
|
|
Citicorp Mortgage Securities, Inc. Series 1993-14 Class A-4, 13.58% due
|
|
|
|
|
|
|
|
11/25/2023 (a)
|
|
|
127,701
|
|
|
1,823,164
|
|
JPMorgan Mortgage Trust Series 2006-A7 Class 2A2, 5.829% due 1/25/2037 (a)
|
|
|
1,850,620
|
|
|
100,511
|
|
Nomura Asset Acceptance Corp. Series 2004-AR4 Class 2A3, 3.711% due
|
|
|
|
|
|
|
|
12/25/2034 (a)
|
|
|
100,052
|
|