|
|
|
|
|
|
|
Principal
|
|
|
|
|
|
Amount
|
|
|
|
|
|
(000)
|
|
Description
|
|
Value
|
|
|
|
|
LONG-TERM INVESTMENTS29.0%
|
|
|
|
|
|
|
Mortgage Pass-Through Securities0.9%
|
|
|
|
|
|
|
Federal National Mortgage Assoc.,
|
|
|
|
$
|
331
|
|
5.50%, 1/01/17-2/01/17
|
$
|
328,172
|
|
|
14
|
|
6.50%, 7/01/29
|
|
14,722
|
|
|
|
|
Total Mortgage Pass-Through Securities
|
|
342,894
|
|
|
|
|
Agency Multiple Class Mortgage Pass-Through Securities10.5%
|
|
|
|
|
|
|
Federal Home Loan Mortgage Corp.,
|
|
|
|
|
1,839
|
|
Ser. 1510, Class G, 7.05%, 5/15/13
|
|
1,839,641
|
|
|
1,527
|
|
Ser. 1598, Class J, 6.50%, 10/15/08
|
|
1,523,437
|
|
|
81
|
|
Ser. 2564, Class NC, 5.00%, 2/15/33
|
|
78,017
|
|
|
746
|
|
Federal National Mortgage Assoc., Ser. 49, Class H, 7.00%, 4/25/13
|
|
763,106
|
|
|
11
|
1
|
Government National Mortgage Assoc., REMIC Trust 2000, Ser. 16, Class FD, 5.97%, 12/16/27
|
|
11,242
|
|
|
|
|
Total Agency Multiple Class Mortgage Pass-Through Securities
|
|
4,215,443
|
|
|
|
|
Inverse Floating Rate Mortgage Securities3.0%
|
|
|
|
|
140
|
1
|
Citicorp Mortgage Securities, Inc., Ser. 14, Class A-4, 4.19%, 11/25/23
|
|
139,749
|
|
|
|
|
Federal Home Loan Mortgage Corp.,
|
|
|
|
|
22
|
1
|
Ser. 1425, Class SB, 8.299%, 12/15/07
|
|
22,323
|
|
|
8
|
1
|
Ser. 1506, Class S, 9.988%, 5/15/08
|
|
7,511
|
|
|
42
|
1
|
Ser. 1515, Class S, 9.087%, 5/15/08
|
|
41,422
|
|
|
26
|
1
|
Ser. 1600, Class SC, 8.60%, 10/15/08
|
|
25,786
|
|
|
181
|
1
|
Ser. 1618, Class SA, 8.25%, 11/15/08
|
|
180,068
|
|
|
10
|
1
|
Ser. 1661, Class SB, 9.155%, 1/15/09
|
|
9,933
|
|
|
35
|
1
|
Ser. 1688, Class S, 8.777%, 12/15/13
|
|
35,349
|
|
|
112
|
1
|
Ser. 2412, Class SE, 5.016%, 2/15/09
|
|
111,539
|
|
|
289
|
1
|
Ser. 2517, Class SE, 2.95%, 10/15/09
|
|
277,586
|
|
|
|
|
Federal National Mortgage Assoc.,
|
|
|
|
|
11
|
1
|
Ser. 13, Class SJ, 8.75%, 2/25/09
|
|
10,896
|
|
|
3
|
1
|
Ser. 174, Class S, 99.123%, 9/25/22
|
|
10,070
|
|
|
40
|
1
|
Ser. 179, Class SB, 7.437%, 10/25/07
|
|
40,236
|
|
|
7
|
1
|
Ser. 187, Class SB, 12.118%, 10/25/07
|
|
7,400
|
|
|
160
|
1
|
Ser. 192, Class SC, 6.90%, 10/25/08
|
|
159,633
|
|
|
48
|
1
|
Ser. 214, Class SH, 4.359%, 12/25/08
|
|
47,611
|
|
|
67
|
1
|
Ser. 214, Class SK, 10.00%, 12/25/08
|
|
68,397
|
|
|
|
|
Total Inverse Floating Rate Mortgage Securities
|
|
1,195,509
|
|
|
|
|
Interest Only Mortgage-Backed Securities1.7%
|
|
|
|
|
|
|
Federal Home Loan Mortgage Corp.,
|
|
|
|
|
1
|
|
Ser. 65, Class I, 9.18%, 8/15/20
|
|
1,107
|
|
|
|
|
Ser. 141, Class H, 10.60%, 5/15/21
|
|
226
|
|
|
1,610
|
|
Ser. 2523, Class EH, 5.50%, 4/15/20
|
|
102,999
|
|
|
261
|
|
Ser. 2633, Class PI, 4.50%, 3/15/12
|
|
2,529
|
|
|
4,177
|
|
Ser. 2739, Class PI, 5.00%, 3/15/22
|
|
138,167
|
|
|
272
|
|
Ser. 2775, Class UB, 5.00%, 12/15/17
|
|
899
|
|
|
1,674
|
|
Ser. 2976, Class KI, 5.50%, 11/15/34
|
|
203,485
|
|
|
|
|
Federal National Mortgage Assoc.,
|
|
|
|
|
|
|
Ser. 8, Class HA, 1,199.999%, 1/25/08
|
|
555
|
|
|
1,029
|
|
Ser. 13, Class IG, 5.00%, 10/25/22
|
|
32,408
|
|
|
50
|
1
|
Ser. 20, Class SL, 10.455%, 9/25/08
|
|
2,220
|
|
|
2
|
|
Ser. 49, Class L, 444.917%, 4/25/13
|
|
19,790
|
|
|
5,674
|
|
Ser. 70, Class ID, 5.00%, 4/25/22
|
|
116,964
|
|
|
|
|
Ser. G-21, Class L, 949.50%, 7/25/21
|
|
7,235
|
|
|
12,391
|
1
|
Vendee Mortgage Trust, Ser. 1, 0.043%, 10/15/31
|
|
27,504
|
|
|
|
|
Total Interest Only Mortgage-Backed Securities
|
|
656,088
|
|
|
|
|
Principal Only Mortgage-Backed Security0.0%
|
|
|
|
|
16
|
2
|
Salomon Brothers Mortgage Securities, Inc. VI, Ser. 3, Class A, 12.50%, 10/23/17
|
|
14,618
|
|
|
|
|
Asset-Backed Securities0.0%
|
|
|
|
|
234
|
1,3,4,5
|
Global Rated Eligible Asset Trust, Ser. A, Class 1, 7.33%, 9/15/07
|
|
23
|
|
|
568
|
1,3,5
|
Structured Mortgage Asset Residential Trust, Ser. 2, 8.24%, 12/15/07
|
|
57
|
|
|
|
|
Total Asset-Backed Securities
|
|
80
|
|
|
|
|
Corporate Bond2.6%
|
|
|
|
|
1,000
|
|
Morgan Stanley Group, Inc., 10.00%, 6/15/08
|
|
1,036,633
|
|
|
|
|
U.S. Government and Agency Security5.1%
|
|
|
|
|
2,000
|
|
U.S. Treasury Notes, 6.00%, 8/15/09
|
|
2,054,688
|
|
|
|
|
Taxable Municipal Bonds5.2%
|
|
|
|
|
500
|
|
Fresno California Pension Oblig., 7.80%, 6/01/14
|
|
542,460
|
|
|
|
|
|
|
|
|
|
500
|
|
Kern County California Pension Oblig., 6.98%, 8/15/09
|
|
519,590
|
|
|
500
|
|
Los Angeles County California Pension Oblig., Ser. D, 6.97%, 6/30/08
|
|
508,700
|
|
|
500
|
|
Orleans Parish Louisiana School Board, Ser. A, 6.60%, 2/01/08
|
|
503,785
|
|
|
|
|
Total Taxable Municipal Bonds
|
|
2,074,535
|
|
|
|
|
Total Long-Term Investments
|
|
|
|
|
|
|
(cost $11,829,759)
|
|
11,590,488
|
|
|
|
|
SHORT-TERM INVESTMENT70.3%
|
|
|
|
|
|
|
U.S. Government and Agency Discount Notes70.3%
|
|
|
|
|
28,100
|
6
|
Federal Home Loan Bank Disc. Notes, 5.091%, 8/01/07 (cost $28,100,000)
|
|
28,100,000
|
|
|
Total Investments99.3%
(cost $39,929,759
7
)
|
$
|
39,690,488
|
|
|
Other assets in excess of liabilities0.7%
|
|
296,263
|
|
|
Net
Assets100%
|
$
|
39,986,751
|
|