Principal
|
|
|
|
|
|
|
|
|
|
|
|
Amount (000)
|
|
Description (1)
|
|
Coupon
|
|
Maturity
|
|
Ratings (2)
|
|
Value
|
|
|
|
Mortgage-Backed Securities 117.0%
|
|
|
|
|
|
|
|
|
|
|
|
Residential 117.0%
|
|
|
|
|
|
|
|
|
|
$ 1,922
|
|
ACE Securities Corporation, Asset Backed Pass-Through Certificates Series 2007-HE2
|
|
0.324%
|
|
12/25/36
|
|
CCC
|
|
$ 992,581
|
|
835
|
|
American Credit Auto Receivables 12-3D, 144A
|
|
5.000%
|
|
12/16/19
|
|
BB
|
|
834,377
|
|
610
|
|
AmeriCredit Automobile Receivables Trust, Series 2010-2 Class E, 144A
|
|
8.660%
|
|
10/10/17
|
|
AA-
|
|
668,675
|
|
2,000
|
|
Argent Securities Inc., Asset-Backed Pass Through Certificates, Series 2005-W2
|
|
0.694%
|
|
10/25/35
|
|
B-
|
|
1,439,072
|
|
1,028
|
|
Banc of America Alternative Loan Trust, Mortgage Pass-Through Certificates, Series 2006-7
|
|
6.226%
|
|
10/25/36
|
|
CCC
|
|
835,585
|
|
294
|
|
Banc of America Alternative Loan Trust, Pass Through Certificates, Series 2005-9
|
|
5.500%
|
|
10/25/35
|
|
Caa2
|
|
269,265
|
|
1,199
|
|
Banc of America Alternative Loan Trust, Pass Through Certificates, Series 2006-6, (3)
|
|
6.000%
|
|
7/25/46
|
|
Caa2
|
|
987,070
|
|
1,370
|
|
Banc of America Commercial Mortgage Inc., Commercial Mortgage Pass-Through Certificates, Series 2006-6, (3)
|
|
5.390%
|
|
10/10/45
|
|
Ba1
|
|
1,496,365
|
|
1,205
|
|
Banc of America Commercial Mortgage Inc., Commercial Mortgage Pass-Through Certificates, Series 2007-4, (3)
|
|
5.821%
|
|
2/10/51
|
|
A
|
|
1,379,868
|
|
2,400
|
|
Banc of America Funding Corporation, Mortgage Pass-Through Certificates, Series 2006-G, (3)
|
|
0.493%
|
|
7/20/36
|
|
Caa1
|
|
2,093,654
|
|
1,936
|
|
Banc of America Mortgage Securities Inc, Mortgage Pass-Through Certificates, Series 2007-1, (3)
|
|
6.000%
|
|
3/25/37
|
|
Caa1
|
|
1,853,054
|
|
377
|
|
Bank of America Funding Corporation, Mortgage Pass-Through Certificates, Series 2007-C
|
|
2.757%
|
|
5/20/36
|
|
Caa2
|
|
333,394
|
|
2,762
|
|
Bank of America Funding Trust, 2007-A 2A1
|
|
0.363%
|
|
2/20/47
|
|
CCC
|
|
2,363,703
|
|
3,095
|
|
BCAP LLC Trust, Mortgage Pass-Through Certificates, Series 2006-AA2
|
|
0.374%
|
|
1/25/37
|
|
Caa3
|
|
2,299,307
|
|
2,415
|
|
BCAP LLC Trust, Mortgage Pass-Through Certificates, Series 2007 AA1 2A1
|
|
0.384%
|
|
3/25/37
|
|
Caa3
|
|
1,938,181
|
|
1,291
|
|
Bear Stearns Adjustable Rate Mortgage Trust 2005-3, (3)
|
|
2.973%
|
|
6/25/35
|
|
CCC
|
|
1,164,799
|
|
2,017
|
|
Bear Stearns Adjustable Rate Mortgage Trust 2007-5, (3)
|
|
5.233%
|
|
8/25/47
|
|
D
|
|
1,793,959
|
|
2,827
|
|
Bear Stearns Adjustable Rate Mortgage Trust, Mortgage Pass-Through Certificate Series 2005-10, (3)
|
|
2.671%
|
|
10/25/35
|
|
CCC
|
|
2,737,871
|
|
449
|
|
Bear Stearns Adjustable Rate Mortgage Trust, Mortgage Pass-Through Certificate Series 2006-2
|
|
5.385%
|
|
7/25/36
|
|
D
|
|
351,551
|
|
2,288
|
|
Bear Stearns Adjustable Rate Mortgage Trust, Mortgage Pass-Through Certificate Series 2006-4, (3)
|
|
2.796%
|
|
10/25/36
|
|
D
|
|
1,728,193
|
|
1,202
|
|
Bear Stearns Adjustable Rate Mortgage Trust, Mortgage Pass-Through Certificate Series 2007-4, (3)
|
|
5.353%
|
|
6/25/47
|
|
D
|
|
1,067,385
|
|
583
|
|
Bear Stearns Adjustable Rate Mortgage Trust, Pass Through Certificates Series 2005-12
|
|
2.353%
|
|
2/25/36
|
|
Caa3
|
|
387,582
|
|
2,160
|
|
Bear Stearns Adjustable Rate Mortgage Trust, Pass Through Certificates, Series 2007-1, (3)
|
|
5.089%
|
|
2/25/47
|
|
D
|
|
1,808,942
|
|
1,035
|
|
Bear Stearns Adjustable Rate Mortgage Trust, Pass Through Certificates, Series 2007-1, (3)
|
|
2.801%
|
|
2/25/47
|
|
D
|
|
815,538
|
|
1,417
|
|
Bear Stearns Alt-A Trust II, Mortgage Pass-Through Certificates Series 2007-1
|
|
2.815%
|
|
9/25/47
|
|
D
|
|
825,894
|
|
1,326
|
|
Bear Stearns Alt-A Trust, Mortgage Pass-Through Certificates, Series 2006-8
|
|
0.364%
|
|
6/25/46
|
|
Ca
|
|
679,375
|
|
2,277
|
|
Bear Stearns Alt-A Trust, Mortgage Pass-Through Certificates, Series 2006-8
|
|
2.821%
|
|
8/25/46
|
|
Ca
|
|
1,372,957
|
|
975
|
|
Bear Stearns Commercial Mortgage Securities Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-T25, (3)
|
|
5.835%
|
|
9/11/42
|
|
AAA
|
|
1,147,074
|
|
906
|
|
CAI Funding II Limited, Series 2012-1A, 144A
|
|
3.470%
|
|
10/25/27
|
|
A
|
|
919,163
|
|
3,270
|
|
Carrington Mortgage Loan Trust, Asset Backed Pass Through Certificates, Series 2005-NC5, (3)
|
|
0.684%
|
|
10/25/35
|
|
BB-
|
|
2,623,544
|
|
648
|
|
Citicorp Mortgage Securities Inc., CitiMortgage Alternative Loan Trust, Senior and Subordinated REMIC Pass Through Certificates, Series 2007-A6
|
|
6.000%
|
|
6/25/37
|
|
Caa3
|
|
558,653
|
|
1,294
|
|
Citigroup Mortgage Loan Inc., Mortgage Pass Through Certificates, Series 2006- AR1 2A1
|
|
2.570%
|
|
3/25/36
|
|
B3
|
|
1,197,413
|
|
218
|
|
Citigroup Mortgage Loan Inc., Mortgage Pass Through Certificates, Series 2006- AR2
|
|
2.954%
|
|
3/25/36
|
|
Caa3
|
|
184,429
|
|
3,020
|
|
Citigroup Mortgage Loan Trust Inc., Mortgage Pass-Through Certificates, Series 2007-AR1
|
|
0.424%
|
|
1/25/37
|
|
CCC
|
|
2,170,894
|
|
504
|
|
Citigroup Mortgage Loan Trust Inc., Mortgage Pass-Through Certificates, Series 2005-3
|
|
2.860%
|
|
8/25/35
|
|
Caa2
|
|
437,936
|
|
727
|
|
Citigroup Mortgage Loan Trust, Mortgage Pass-Through Certificates Series 2007-AR8
|
|
2.865%
|
|
7/25/37
|
|
Caa3
|
|
604,583
|
|
1,180
|
|
Commercial Mortgage Pass Through Certificates Series 2012-CR4, 144A
|
|
4.579%
|
|
10/15/45
|
|
BBB-
|
|
1,115,133
|
|
970
|
|
Countrywide Alternative Loan Trust, Mortgage Pass-Through Certificates, Series 2005-63
|
|
5.411%
|
|
11/25/35
|
|
Ca
|
|
719,484
|
|
435
|
|
Countrywide Alternative Loan Trust, Mortgage Pass-Through Certificates, Series 2005-85CB
|
|
5.250%
|
|
2/25/21
|
|
Caa2
|
|
430,091
|
|
769
|
|
Countrywide Alternative Loan Trust, Mortgage Pass-Through Certificates, Series 2006-25CB
|
|
0.804%
|
|
10/25/36
|
|
Caa3
|
|
491,958
|
|
839
|
|
Countrywide Alternative Loan Trust, Mortgage Pass-Through Certificates, Series 2006-6CB
|
|
5.750%
|
|
5/25/36
|
|
Ca
|
|
626,353
|
|
788
|
|
Countrywide Alternative Loan Trust, Mortgage Pass-Through Certificates, Series 2006-6CB
|
|
5.500%
|
|
5/25/36
|
|
Ca
|
|
557,561
|
|
2,180
|
|
Countrywide Alternative Loan Trust, Mortgage Pass-Through Certificates, Series 2007-19, (3)
|
|
6.000%
|
|
8/25/37
|
|
D
|
|
1,797,003
|
|
862
|
|
Countrywide Alternative Loan Trust, Mortgage Pass-Through Certificates, Series 2007-3T1
|
|
6.000%
|
|
4/25/37
|
|
Caa3
|
|
680,186
|
|
2,515
|
|
Countrywide Alternative Loan Trust, Securitization Pass-Through Certificates Series 2007-HY7C A1
|
|
0.344%
|
|
8/25/37
|
|
Caa3
|
|
1,783,970
|
|
973
|
|
Countrywide Alternative Trust, Mortgage Pass-Through Certificates, Series 2007-18CB
|
|
0.674%
|
|
8/25/37
|
|
D
|
|
636,866
|
|
840
|
|
Countrywide Asset Backed Certificates Trust 2005-IM1
|
|
0.604%
|
|
11/25/35
|
|
BBB+
|
|
755,243
|
|
2,247
|
|
Countrywide Asset-Backed Certificates Trust, Series 2006-17, (3)
|
|
0.354%
|
|
3/25/47
|
|
AAA
|
|
1,889,154
|
|
2,347
|
|
Countrywide CHL Mortgage Pass-Through Trust 2006-HYB1, (3)
|
|
2.691%
|
|
3/20/36
|
|
CCC
|
|
1,811,959
|
|
665
|
|
Countrywide CHL Mortgage Pass-Through Trust, Mortgage Pass-Through Certificates, Series 2006-19
|
|
6.000%
|
|
1/25/37
|
|
Caa2
|
|
599,560
|
|
2,072
|
|
Countrywide Home Loans Mortgage Pass Through Certificates, Series 2005-HYB7, (3)
|
|
5.138%
|
|
11/20/35
|
|
Caa3
|
|
1,747,485
|
|
368
|
|
Countrywide Home Loans Mortgage Pass Through Trust Certificates Series 2007-HY5
|
|
5.604%
|
|
9/25/37
|
|
CCC
|
|
332,608
|
|
334
|
|
Countrywide Home Loans Mortgage Pass- Through Trust Certificates, Series 2006-HYB3
|
|
2.826%
|
|
5/20/36
|
|
Caa3
|
|
277,066
|
|
2,410
|
|
Countrywide Home Loans Mortgage Pass- Through Trust, Series 2007-HY1 1A1, (3)
|
|
2.924%
|
|
4/25/37
|
|
D
|
|
1,944,829
|
|
495
|
|
Countrywide Home Loans, Asset-Backed Certificates Trust, Series 2005-13
|
|
0.454%
|
|
4/25/36
|
|
Ba3
|
|
481,013
|
|
1,608
|
|
Countrywide Home Loans, CHL Mortgage Pass-Through Certificates Trust 2007-21, (3)
|
|
6.250%
|
|
2/25/38
|
|
CC
|
|
1,441,492
|
|
556
|
|
Countrywide Home Loans, Mortgage Pass Through Trust Series 2007-HY04
|
|
3.082%
|
|
9/25/47
|
|
D
|
|
459,928
|
|
111
|
|
CPS Auto Trust, 144A
|
|
7.500%
|
|
4/16/18
|
|
A+
|
|
115,203
|
|
1,776
|
|
Credit Suisse Adjustable Rate Mortgage Trust 2005-9, (3)
|
|
0.474%
|
|
11/25/35
|
|
B+
|
|
1,603,154
|
|
2,010
|
|
Credit Suisse Adjustable Rate Mortgage Trust 2006-3, Pass Through Certificates
|
|
0.324%
|
|
8/25/36
|
|
CCC
|
|
1,307,787
|
|
417
|
|
Credit Suisse Adjustable Rate Mortgage Trust 2007-2
|
|
0.414%
|
|
6/25/37
|
|
CCC
|
|
300,876
|
|
2,021
|
|
Credit Suisse CSMC Mortgage-Backed Trust, Pass-Through Certificates Series 2007-3
|
|
5.746%
|
|
4/25/37
|
|
CCC
|
|
1,250,705
|
|
717
|
|
Credit Suisse First Boston Mortgage Acceptance Corporation, Adjustable Rate Mortgage-Backed Pass Through Certificates Series 2005-12
|
|
3.113%
|
|
3/25/36
|
|
Caa3
|
|
546,234
|
|
460
|
|
Credit Suisse First Boston Mortgage Securities Corporation, Adjustable Rate Mortgage-Backed Pass-Through Certificates, Series 2006-2
|
|
3.224%
|
|
5/25/36
|
|
D
|
|
419,211
|
|
1,500
|
|
Credit Suisse Mortgage Corporation, Series 2010 RR5, 144A
|
|
5.467%
|
|
9/18/39
|
|
AAA
|
|
1,676,220
|
|
5,586
|
|
Fannie Mae Guaranteed REMIC Pass Through Certificates Series 2011-15, (I/O)
|
|
6.856%
|
|
3/25/41
|
|
Aaa
|
|
1,155,600
|
|
2,268
|
|
Fannie Mae Real Estate Mortgage Investment Conduit, Pass Through Certificates, (I/O)
|
|
6.436%
|
|
12/25/36
|
|
Aaa
|
|
388,927
|
|
2,597
|
|
Fannie Mae Real Estate Mortgage Investment Conduit, Pass Through Certificates, (I/O)
|
|
6.196%
|
|
12/25/36
|
|
Aaa
|
|
411,896
|
|
4,392
|
|
Fannie Mae Real Estate Mortgage Investment Conduit, Pass Through Certificates, (I/O)
|
|
6.096%
|
|
8/25/37
|
|
Aaa
|
|
760,941
|
|
5,192
|
|
Fannie Mae Real Estate Mortgage Investment Conduit, Series, 2012-9 CS, (I/O)
|
|
6.346%
|
|
2/25/42
|
|
Aaa
|
|
947,494
|
|
1,056
|
|
Fannie Mae REMIC Pass-Through Certificates, (I/O)
|
|
6.376%
|
|
10/25/36
|
|
Aaa
|
|
188,275
|
|
2,364
|
|
Fannie Mae REMIC Pass-Through Certificates, (I/O)
|
|
6.296%
|
|
1/25/40
|
|
Aaa
|
|
416,146
|
|
3,830
|
|
Fannie Mae REMIC Pass-Through Certificates, (I/O)
|
|
6.046%
|
|
2/25/40
|
|
Aaa
|
|
520,860
|
|
2,420
|
|
Federal Home Loan Mortgage Corporation, REMIC, (I/O)
|
|
6.447%
|
|
5/15/36
|
|
Aaa
|
|
362,287
|
|
2,000
|
|
First Franklin Mortgage Loan Trust, Collateralized Mortgage Obligation, Series 2005-FFH3, (3)
|
|
0.734%
|
|
9/25/35
|
|
B3
|
|
1,779,988
|
|
576
|
|
First Horizon Alternative Mortgage Securities Trust, Mortgage Pass-Through Certificates, Series 2007-FA2
|
|
5.500%
|
|
4/25/37
|
|
D
|
|
458,254
|
|
313
|
|
First Horizon Mortgage Pass-Through Certificates Trust, Series 2007-AR1
|
|
2.592%
|
|
5/25/37
|
|
D
|
|
249,306
|
|
172
|
|
First Horizon Mortgage Pass-Through Trust, Mortgage Pass-Through Certificate Series 2007-AR2
|
|
2.518%
|
|
8/25/37
|
|
D
|
|
142,639
|
|
2,768
|
|
Freddie Mac Collateralized Mortgage REMIC Series 3028, (I/O)
|
|
6.547%
|
|
9/15/35
|
|
Aaa
|
|
455,578
|
|
1,076
|
|
Freddie Mac Mortgage Loan, Series 3311 IB, (I/O)
|
|
6.207%
|
|
5/15/37
|
|
Aaa
|
|
192,661
|
|
1,474
|
|
Freddie Mac Multiclass Certificates Series 3502, (I/O)
|
|
5.947%
|
|
1/15/39
|
|
AAA
|
|
250,218
|
|
3,723
|
|
Freddie Mac Multiclass Certificates, Series 3157, (I/O)
|
|
6.947%
|
|
5/15/36
|
|
Aaa
|
|
762,326
|
|
3,181
|
|
Freddie Mac Multi-Class Certificates, (I/O)
|
|
6.097%
|
|
8/15/35
|
|
Aaa
|
|
444,126
|
|
1,858
|
|
Freddie Mac Multi-Class Certificates, (I/O)
|
|
6.797%
|
|
8/15/36
|
|
Aaa
|
|
283,337
|
|
3,454
|
|
Freddie Mac Multi-Class Certificates, (I/O)
|
|
6.497%
|
|
12/15/36
|
|
Aaa
|
|
559,739
|
|
3,238
|
|
Freddie Mac Multi-Class Certificates, (I/O)
|
|
6.467%
|
|
12/15/36
|
|
Aaa
|
|
346,688
|
|
2,372
|
|
Freddie Mac Multi-Class Certificates, (I/O)
|
|
6.197%
|
|
6/15/39
|
|
Aaa
|
|
283,508
|
|
4,890
|
|
Freddie Mac Multi-Class Certificates, (I/O)
|
|
6.017%
|
|
1/15/40
|
|
Aaa
|
|
650,105
|
|
835
|
|
Freddie Mac Multifamily Mortgage Trust, Structured Pass Through Certificates, Series 2010-K6, 144A
|
|
5.365%
|
|
12/25/46
|
|
Aaa
|
|
952,259
|
|
370
|
|
Freddie Mac MultiFamily Mortgage Trust, Structured Pass Through Certificates, Series 2012-K710, 144A
|
|
3.819%
|
|
6/25/47
|
|
A-
|
|
388,556
|
|
5,375
|
|
Freddie Mac Multifamily Structured Pass Through Certificates, Series K025, (I/O)
|
|
1.750%
|
|
11/25/40
|
|
N/R
|
|
696,498
|
|
1,912
|
|
Freddie Mac Multifamily Structured Pass-Through Certificates Series KF01, (I/O)
|
|
1.969%
|
|
7/25/40
|
|
N/R
|
|
273,071
|
|
1,300
|
|
Freddie Mac Multifamily Structured Pass-Through Certificates, Series K013, (I/O)
|
|
2.790%
|
|
1/25/43
|
|
Aaa
|
|
231,417
|
|
4,655
|
|
Freddie Mac Multifamily Structures Pass- Through Certificates, Series 2011-K012, (I/O)
|
|
2.288%
|
|
1/25/41
|
|
Aaa
|
|
675,149
|
|
1,157
|
|
Freddie Mac REMICS, (I/O)
|
|
6.367%
|
|
9/15/36
|
|
Aaa
|
|
212,913
|
|
4,885
|
|
Freddie Mac Structured Pass-Through Certificates, Series K711 X3, (I/O)
|
|
1.619%
|
|
8/25/40
|
|
Aaa
|
|
426,837
|
|
1,751
|
|
GMACM Mortgage Corporation, Mortgage Pass-Through Certificates, Series 2005-AF2, (3)
|
|
6.000%
|
|
12/25/35
|
|
D
|
|
1,457,337
|
|
1,290
|
|
GMACM Mortgage Corporation, Mortgage Pass-Through Certificates, Series 2006-AR1
|
|
3.873%
|
|
4/19/36
|
|
Caa3
|
|
1,120,391
|
|
2,066
|
|
Goldman Sachs GSAA Home Equity Trust, Series 2006-4 4A2, (3)
|
|
0.434%
|
|
3/25/36
|
|
Caa3
|
|
1,707,177
|
|
584
|
|
Goldman Sachs GSAA Home Equity Trust, Series 2007-8
|
|
0.654%
|
|
8/25/37
|
|
CCC
|
|
473,349
|
|
549
|
|
Goldman Sachs Mortgage Securities Corporation, GSR Mortgage Loan Trust, Mortgage Pass-Through Certificates Series 2007-AR1
|
|
2.849%
|
|
3/25/47
|
|
D
|
|
463,700
|
|
1,000
|
|
Goldman Sachs Mortgage Securities Corporation, Home Equity Asset-Backed Certificates Trust 2007-1
|
|
0.284%
|
|
2/25/37
|
|
CCC
|
|
522,448
|
|
2,335
|
|
Goldman Sachs Mortgage Securities Corporation, Mortgage Pass-Through Certificates, Series 2006-AR1 2A4
|
|
2.776%
|
|
1/25/36
|
|
CC
|
|
1,975,403
|
|
566
|
|
Government National Mortgage Association Pool, (I/O)
|
|
4.500%
|
|
10/20/39
|
|
Aaa
|
|
129,261
|
|
1,500
|
|
Greenwich Capital Commercial Funding Corporation, Commercial Mortgage Pass Through Certificates Series 2007-GG9
|
|
5.475%
|
|
3/10/39
|
|
BBB
|
|
1,654,482
|
|
741
|
|
GSAA Home Equity Trust Series 2007-5
|
|
0.304%
|
|
3/25/47
|
|
CCC
|
|
380,162
|
|
1,012
|
|
GSAA Home Equity Trust Series 2007-5
|
|
5.788%
|
|
3/25/47
|
|
CCC
|
|
724,903
|
|
1,978
|
|
GSR Mortgage Loan Trust, Mortgage Pass- Through Certificates, Series 2006-AR2, (3)
|
|
2.771%
|
|
4/25/36
|
|
D
|
|
1,685,629
|
|
185
|
|
IndyMac INDA Mortgage Loan Trust, Series 2006-AR1
|
|
5.363%
|
|
8/25/36
|
|
B2
|
|
184,262
|
|
1,766
|
|
IndyMac INDA Mortgage Loan Trust, Series 2007-AR3, (3)
|
|
5.712%
|
|
7/25/37
|
|
Caa2
|
|
1,619,301
|
|
2,546
|
|
IndyMac INDX Mortgage Loan Trust, Series 2005-AR23
|
|
2.551%
|
|
11/25/35
|
|
Caa3
|
|
2,004,680
|
|
725
|
|
IndyMac INDX Mortgage Loan Trust, Series 2006-AR15
|
|
0.324%
|
|
7/25/36
|
|
C
|
|
519,559
|
|
1,153
|
|
IndyMac INDX Mortgage Loan Trust, Series 2006-AR27
|
|
0.394%
|
|
10/25/36
|
|
CCC
|
|
725,699
|
|
877
|
|
IndyMac INDX Mortgage Loan Trust, Series 2006-AR3
|
|
2.920%
|
|
3/25/36
|
|
Ca
|
|
603,642
|
|
2,643
|
|
IndyMac INDX Mortgage Loan Trust, Series 2007-AR7 2A1
|
|
2.443%
|
|
6/25/37
|
|
Ca
|
|
1,845,991
|
|
1,575
|
|
JP Morgan Chase Commercial Mortgage Securities Corporation, Commercial Mortgage Pass-Through Certificates, Series 2005-LDP3, (3)
|
|
4.997%
|
|
8/15/42
|
|
A
|
|
1,693,582
|
|
870
|
|
JP Morgan Chase Commercial Mortgage Securities Corporation, Commercial Mortgage Pass-Through Certificates, Series 2006-CB16
|
|
5.593%
|
|
5/12/45
|
|
A
|
|
974,835
|
|
489
|
|
JP Morgan Chase Commercial Mortgage Securities Corporation, Commercial Mortgage Pass-Through Certificates, Series 2006-S4 A5
|
|
6.000%
|
|
1/25/37
|
|
Caa3
|
|
433,837
|
|
2,236
|
|
JP Morgan Chase Commercial Mortgage Securities Corporation, Commercial Mortgage Pass-Through Certificates, Series 2006-S4 A8, (3)
|
|
0.584%
|
|
1/25/37
|
|
Caa3
|
|
1,419,016
|
|
1,300
|
|
JP Morgan Chase Commercial Mortgage Securities Trust, Pass Through Certificates Series 2006-LDP9, (3)
|
|
5.337%
|
|
5/15/47
|
|
Baa3
|
|
1,349,316
|
|
700
|
|
JP Morgan Chase Commercial Mortgage Trust, Commercial Mortgage Pass Through Certificates, Series 2006-CB17 AM
|
|
5.464%
|
|
12/12/43
|
|
Ba1
|
|
732,911
|
|
2,400
|
|
JP Morgan Mortgage Acquisition Corporation, Asset-Backed Pass-Through Certificates, Series 2007-CH5, (3)
|
|
0.464%
|
|
5/25/37
|
|
Caa1
|
|
1,593,269
|
|
535
|
|
JP Morgan Mortgage Acquisition Trust, Asset-Backed Pass Through Certificates, Series 2007-CH3
|
|
0.354%
|
|
3/25/37
|
|
Caa1
|
|
485,137
|
|
170
|
|
JP Morgan Mortgage Acquisition Trust, Asset-Backed Pass-Through Certificates. Series 2006-WMC2
|
|
0.289%
|
|
7/25/36
|
|
CCC
|
|
79,410
|
|
236
|
|
JP Morgan Mortgage Trust, Mortgage Pass-Through Certificates, Series 2007-S3
|
|
6.000%
|
|
8/25/37
|
|
D
|
|
206,644
|
|
666
|
|
JP Morgan Mortgage Trust, Mortgage Pass-Through Certificates, Series 2006-A4
|
|
2.986%
|
|
6/25/36
|
|
Caa2
|
|
577,339
|
|
261
|
|
JP Morgan Mortgage Trust, Mortgage Pass-Through Certificates, Series 2007-A4
|
|
2.961%
|
|
6/25/37
|
|
D
|
|
213,605
|
|
1,791
|
|
Merrill Lynch Mortgage Backed Securities Trust, Mortgage Loan Asset Backed Notes, Series 2007-2, (3)
|
|
2.575%
|
|
8/25/36
|
|
Caa2
|
|
1,586,322
|
|
2,495
|
|
Merrill Lynch Mortgage Backed Securities Trust, Mortgage Loan Asset Backed Notes, Series 2007-3
|
|
3.388%
|
|
6/25/37
|
|
D
|
|
1,936,714
|
|
325
|
|
Merrill Lynch Mortgage Investors Trust, Mortgage Loan Asset-Backed Certificates, 2005-A9
|
|
2.685%
|
|
12/25/35
|
|
CCC
|
|
296,686
|
|
265
|
|
Merrill Lynch Mortgage Investors Trust, Mortgage Loan Asset-Backed Certificates, Series 2005-A6
|
|
0.484%
|
|
8/25/35
|
|
BB+
|
|
262,399
|
|
1,200
|
|
Merrill Lynch Mortgage Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-C1 AM
|
|
5.850%
|
|
6/12/50
|
|
B-
|
|
1,231,999
|
|
2,000
|
|
Morgan Stanley Capital I Trust, Commercial Mortgage Pass-Through Certificates, Series 2007-IQ14, (3)
|
|
5.663%
|
|
4/15/49
|
|
Ba2
|
|
2,106,218
|
|
285
|
|
Morgan Stanley Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2006-3AR
|
|
2.812%
|
|
3/25/36
|
|
Ca
|
|
215,602
|
|
2,216
|
|
Morgan Stanley Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2007-13
|
|
6.000%
|
|
10/25/37
|
|
D
|
|
1,764,027
|
|
1,433
|
|
Mortgage Asset Securitization Transactions Inc., Adjustable Rate Mortgage Pass-Through Certificates, Series 2007-HF2
|
|
0.514%
|
|
9/25/37
|
|
CCC
|
|
1,198,476
|
|
1,990
|
|
Mortgage IT Trust, Mortgage-Backed Notes, Series 2005-5, (3)
|
|
0.464%
|
|
12/25/35
|
|
BB+
|
|
1,787,636
|
|
525
|
|
Nomura Asset Acceptance Corporation, Alternative Loan Trust, Mortgage Pass-Through Certificates, Series 2005-AP3
|
|
5.607%
|
|
8/25/35
|
|
CCC
|
|
422,059
|
|
350
|
|
Oaktree Real Estate Investment Vehicle 2012 LVI-A, 144A
|
|
4.000%
|
|
9/25/44
|
|
Baa3
|
|
349,934
|
|
190
|
|
Popular Asset Backed Securities Mortgage Pass-Through Trust 2005-2 M1
|
|
5.338%
|
|
4/25/35
|
|
B-
|
|
152,794
|
|
1,472
|
|
Renaissance Home Equity Loan Trust 2005-3, (3)
|
|
4.934%
|
|
8/25/35
|
|
Ba3
|
|
1,433,234
|
|
2,204
|
|
Renaissance Home Equity Loan Trust Asset Backed Certificates, Series 2007-3
|
|
7.238%
|
|
9/25/37
|
|
CCC
|
|
1,291,648
|
|
603
|
|
Residential Accredit Loans Inc., Mortgage Asset-Backed Pass Through Certificates, Series 1006-QS10
|
|
0.504%
|
|
8/25/36
|
|
Caa3
|
|
376,741
|
|
677
|
|
Residential Accredit Loans Inc., Mortgage Asset-Backed Pass Through Certificates, Series 2007-QS8
|
|
6.000%
|
|
6/25/37
|
|
Caa3
|
|
553,704
|
|
2,517
|
|
Residential Accredit Loans Inc., Mortgage Asset-Backed Pass-Through Certificates, Series 2005-QA10 A31
|
|
3.768%
|
|
9/25/35
|
|
Caa3
|
|
2,031,683
|
|
1,585
|
|
Residential Accredit Loans Inc., Mortgage Asset-Backed Pass-Through Certificates, Series 2006-QS1, (3)
|
|
5.750%
|
|
1/25/36
|
|
Caa3
|
|
1,399,369
|
|
340
|
|
Residential Accredit Loans Inc., RALI Mortgage Asset-Backed Pass Through Certificates, Series 2007-QS2
|
|
6.250%
|
|
1/25/37
|
|
Caa3
|
|
268,805
|
|
1,130
|
|
Residential Accredit Loans Inc., RALI Mortgage Asset-Backed Pass-Through Certificates, Series 2006-QA1
|
|
3.850%
|
|
1/25/36
|
|
Caa3
|
|
866,162
|
|
405
|
|
Residential Accredit Loans, Inc., Mortgage Asset-Backed Pass-Through Certificates, Series 2006-QS15
|
|
6.500%
|
|
10/25/36
|
|
Ca
|
|
331,400
|
|
208
|
|
Residential Accredit Loans, Inc., Mortgage Asset-Backed Pass-Through Certificates, Series 2006-QS8
|
|
0.654%
|
|
8/25/36
|
|
Ca
|
|
125,935
|
|
290
|
|
Residential Funding Mortgage Securities I Inc., Mortgage Pass-Through Certificates, Series 2005-SA4
|
|
3.194%
|
|
9/25/35
|
|
Caa1
|
|
266,858
|
|
726
|
|
Residential Funding Mortgage Securities I, Mortgage Pass-Through Securities Series 2006-S1
|
|
3.396%
|
|
2/25/36
|
|
Caa2
|
|
628,654
|
|
2,307
|
|
Residential Funding Mortgage Securities I, Mortgage Pass Through Certificates, Series 2007-SA2, (3)
|
|
3.225%
|
|
4/25/37
|
|
Caa2
|
|
1,982,925
|
|
238
|
|
Sequoia Mortgage Trust, Mortgage Pass Through Certificates, Series 2007-3
|
|
4.980%
|
|
7/20/37
|
|
D
|
|
196,821
|
|
2,129
|
|
Sequoia Mortgage Trust, Mortgage Pass-Through Certificates, Series 2007-1, (3)
|
|
2.619%
|
|
2/20/47
|
|
CCC
|
|
1,846,857
|
|
455
|
|
Sierra Receivables Funding Company, Series 2011-1A, 144A
|
|
6.190%
|
|
4/20/26
|
|
BB
|
|
475,180
|
|
95
|
|
Sierra Receivables Funding Company, 144A
|
|
5.310%
|
|
11/20/25
|
|
BBB
|
|
97,019
|
|
335
|
|
SMA Issuer LLC 2012-LV1, 144A
|
|
3.500%
|
|
8/20/25
|
|
Baa3
|
|
336,031
|
|
291
|
|
Soundview Home Equity Loan Trust 2004-WMC1 M1
|
|
0.954%
|
|
1/25/35
|
|
BBB+
|
|
257,724
|
|
1,981
|
|
Structured Adjustable Rate Mortgage Loan Pass Through Trust, Series 2007-6 2A1, (3)
|
|
0.394%
|
|
7/25/37
|
|
CCC
|
|
1,474,921
|
|
91
|
|
SunTrust Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificate Series 2007-4
|
|
5.693%
|
|
10/25/37
|
|
Caa1
|
|
84,535
|
|
2,172
|
|
SunTrust Adjustable Rate Mortgage Loan Trust, Mortgage Pass-Through Certificates, Series 2007-1, (3)
|
|
2.959%
|
|
2/25/37
|
|
D
|
|
1,830,997
|
|
1,235
|
|
TAL Advantage LLC, Series 2013-1A A, 144A
|
|
2.830%
|
|
2/22/38
|
|
A
|
|
1,238,573
|
|
1,384
|
|
Thornburg Mortgage Securities Trust, Mortgage Loan Pass-Through Certificates, Series 2005-1, (3)
|
|
2.440%
|
|
4/25/45
|
|
A+
|
|
1,402,255
|
|
311
|
|
Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY4
|
|
4.201%
|
|
11/25/36
|
|
D
|
|
265,272
|
|
710
|
|
Washington Mutual Mortgage Pass-Through Certificates Trust 2006-AR14
|
|
2.392%
|
|
11/25/36
|
|
D
|
|
600,755
|
|
602
|
|
Washington Mutual Mortgage Pass-Through Certificates, Series 2006-AR
|
|
2.115%
|
|
1/25/37
|
|
D
|
|
486,284
|
|
602
|
|
Washington Mutual Mortgage Pass-Through Certificates, Series 2007-HY6
|
|
4.725%
|
|
6/25/37
|
|
D
|
|
519,943
|
|
2,058
|
|
Washington Mutual Mortgage Securities Corporation, Pass Through Certificates, Series 2006-AR, (3)
|
|
2.406%
|
|
12/25/36
|
|
D
|
|
1,741,257
|
|
1,075
|
|
Wells Fargo Alternative Loan Trust, Mortgage Asset-Backed Pass-Through Certificates Series 2007-PA6
|
|
2.891%
|
|
12/28/37
|
|
D
|
|
834,869
|
|
304
|
|
Wells Fargo Mortgage Backed Securities Trust, Mortgage Pass-Through Certificate Series 2006-AR14
|
|
2.636%
|
|
10/25/36
|
|
Caa2
|
|
269,642
|
|
117
|
|
Wells Fargo Mortgage Backed Securities Trust, Mortgage Pass-Through Certificates Series 2006-AR16
|
|
3.098%
|
|
10/25/36
|
|
CCC
|
|
108,003
|
|
323
|
|
Wells Fargo Mortgage Backed Securities Trust, Mortgage Pass-Through Certificates, Series 2007-AR8
|
|
5.992%
|
|
11/25/37
|
|
Caa2
|
|
292,161
|
|
2,210
|
|
Wells Fargo Mortgage Backed Securities, Collateralized Mortgage Obligation, Series 2007-AR7 A1, (3)
|
|
2.913%
|
|
12/28/37
|
|
Caa3
|
|
1,966,977
|
|
842
|
|
Wells Fargo Mortgage Securities Trust, Mortgage Pass Through Certificates, Series 2006-AR8
|
|
2.712%
|
|
4/25/36
|
|
CC
|
|
789,674
|
|
255,430
|
|
Total Residential
|
|
|
|
|
|
|
|
159,567,828
|
|
$ 255,430
|
|
Total Mortgage-Backed Securities (cost $147,684,410)
|
|
|
|
|
|
|
|
159,567,828
|
|
|
|
PPIP Limited Partnership 0.2%
|
|
|
|
|
|
|
|
|
|
$
|
|
JMT Wellington Management Legacy Securities PPIP, LP, (4)
|
N/A
|
|
N/A
|
|
N/A
|
|
$ 282,908
|
|
$
|
|
Total PPIP Limited Partnership (cost $-)
|
|
|
|
|
|
|
|
282,908
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
|
|
|
|
|
|
Amount (000)
|
|
Description (1)
|
|
Coupon
|
|
Maturity
|
|
|
|
Value
|
|
|
|
Short-Term Investments 17.2%
|
|
|
|
|
|
|
|
|
|
$ 23,389
|
|
Repurchase Agreement with State Street Bank, dated 3/28/13, repurchase price $23,388,968, collateralized by $23,845,000 U.S. Treasury Notes, 0.250%, due 8/31/14, value $23,861,644
|
|
0.010%
|
|
4/01/13
|
|
|
|
$ 23,388,942
|
|
|
|
Total Short-Term Investments (cost $23,388,942)
|
|
|
|
|
|
|
|
23,388,942
|
|
|
|
Total Investments (cost $171,073,352) 134.4%
|
|
|
|
|
|
|
|
183,239,678
|
|
|
|
Reverse Repurchase Agreements (34.0)%
|
|
|
|
|
|
|
|
(46,420,926
|
)
|
|
|
Other Assets Less Liabilities (0.4)% (5)
|
|
|
|
|
|
|
|
(440,752
|
)
|
|
|
Net Assets 100%
|
|
|
|
|
|
|
|
$ 136,378,000
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Investments in Derivatives as of March 31, 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Futures Contracts outstanding:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
National
|
|
Unrealized
|
|
|
|
Contract
|
|
Number of
|
|
Contract
|
|
Amount
|
|
Appreciation
|
|
Type
|
|
Position
|
|
Contracts
|
|
Expiration
|
|
at Value
|
|
(Depreciation)
|
|
U.S. 5-Year Treasury Note
|
|
Short
|
|
(30
|
)
|
6/13
|
|
$ (3,721,641
|
)
|
$ (4,510
|
)
|
|
|
|
|
|
|
Fair Value Measurements
|
|
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Fair value is defined as the price that the Fund would receive upon selling an investment or transferring a liability in an orderly transaction to an independent buyer in the principal or most advantageous market for the investment. A three-tier hierarchy is used to maximize the use of observable market data and minimize the use of unobservable inputs and to establish classification of fair value measurements for disclosure purposes. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability. Observable inputs are based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entitys own assumptions about the assumptions market participants would use in pricing the asset or liability. Unobservable inputs are based on the best information available in the circumstances. The following is a summary of the three-tiered hierarchy of valuation input levels.
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Level 1 - Inputs are unadjusted and prices are determined using quoted prices in active markets for identical securities.
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Level 2 - Prices are determined using other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
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Level 3 - Prices are determined using significant unobservable inputs (including managements assumptions in determining the fair value of investments).
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