Principal | ||||||||||||||||
Interest | Amount | Value | ||||||||||||||
Rate | Maturity | (000s) | (Note 2) | |||||||||||||
U.S. GOVERNMENT & AGENCY OBLIGATIONS - 72.3% |
||||||||||||||||
U.S. Government Agency Pass-Through Certificates - 54.3% |
||||||||||||||||
Federal Home Loan Mortgage Corporation |
||||||||||||||||
Pool A14559 |
6.50 | % | 09/01/33 | $ | 1,803 | $ | 1,835,905 | |||||||||
Pool C68878 |
7.00 | 06/01/32 | 424 | 436,521 | ||||||||||||
Pool C69047 |
7.00 | 06/01/32 | 989 | 1,017,670 | ||||||||||||
Pool G01466 |
9.50 | 12/01/22 | 1,110 | 1,205,094 | ||||||||||||
Pool 555559 |
10.00 | 03/01/21 | 1,187 | 1,314,770 | ||||||||||||
5,809,960 | ||||||||||||||||
Federal National Mortgage Association |
||||||||||||||||
TBA |
5.50 | 07/01/33 | 5,000 | 4,903,125 | ||||||||||||
TBA |
6.00 | 07/01/26 | 5,000 | 5,000,000 | ||||||||||||
Pool 694391 |
5.50 | 03/01/33 | 3,348 | 3,296,012 | ||||||||||||
Pool 753914 |
5.50 | 12/01/33 | 7,667 | @ | 7,548,927 | |||||||||||
Pool 754355 |
6.00 | 12/01/33 | 3,731 | 3,743,912 | ||||||||||||
Pool 761836 |
6.00 | 06/01/33 | 3,015 | 3,027,295 | ||||||||||||
Pool 763643 |
6.00 | 01/01/34 | 6,727 | @ | 6,745,098 | |||||||||||
Pool 255413 |
6.50 | 10/01/34 | 7,439 | @ | 7,558,967 | |||||||||||
Pool 323982 |
6.50 | 10/01/06 | 35 | 34,973 | ||||||||||||
Pool 795367 |
6.50 | 09/01/34 | 3,175 | 3,226,102 | ||||||||||||
Pool 809989 |
6.50 | 03/01/35 | 3,335 | 3,386,234 | ||||||||||||
Pool 626299 |
7.00 | 06/01/32 | 357 | 366,904 | ||||||||||||
Pool 635095 |
7.00 | 06/01/32 | 767 | 789,105 | ||||||||||||
Pool 641575 |
7.00 | 04/01/32 | 231 | 237,760 | ||||||||||||
Pool 645399 |
7.00 | 05/01/32 | 2,164 | 2,225,596 | ||||||||||||
Pool 645466 |
7.00 | 05/01/32 | 2,376 | 2,444,045 | ||||||||||||
Pool 650131 |
7.00 | 07/01/32 | 1,370 | 1,409,684 | ||||||||||||
Pool 819251 |
7.50 | 05/01/35 | 3,194 | 3,299,528 | ||||||||||||
Pool 887431 |
7.50 | 08/01/36 | 2,080 | @ | 2,143,996 | |||||||||||
Pool 398800 |
8.00 | 06/01/12 | 556 | 575,445 | ||||||||||||
Pool 827854 |
8.00 | 10/01/29 | 2,211 | 2,346,270 | ||||||||||||
Pool 636449 |
8.50 | 04/01/32 | 1,875 | 2,017,989 | ||||||||||||
Pool 823757 |
8.50 | 10/01/29 | 3,121 | 3,357,794 | ||||||||||||
Pool 458132 |
9.45 | 03/15/31 | 1,527 | 1,673,477 | ||||||||||||
71,358,238 | ||||||||||||||||
Total U.S. Government Agency Pass-Through Certificates (Cost $78,702,770) |
77,168,198 | |||||||||||||||
U.S. Treasury Obligations - 18.0% |
||||||||||||||||
United States Treasury Notes
(Cost $25,706,749) |
4.50 | 02/15/16 | 26,100 | @ | 25,613,679 | |||||||||||
Total U.S. Government & Agency Obligations
(Cost $104,409,519) |
102,781,877 | |||||||||||||||
ASSET-BACKED SECURITIES - 14.8% |
||||||||||||||||
Housing Related Asset-Backed Securities - 13.2% |
||||||||||||||||
Asset Backed Funding Certificates |
||||||||||||||||
Series 2005-AQ1, Class B1* (b) |
5.75 | 06/25/35 | 993 | 846,841 | ||||||||||||
Series 2005-AQ1, Class B2* (b) |
5.75 | 06/25/35 | 1,050 | 882,817 | ||||||||||||
1,729,658 | ||||||||||||||||
First Franklin Mortgage Loan Asset Backed Certificates |
||||||||||||||||
Series 2004-FF8, Class B4* (a) |
8.82 | | 10/25/34 | 1,250 | 1,204,819 | |||||||||||
Series 2004-FFH2C, Class B1* (a) |
8.82 | | 06/25/34 | 1,250 | 1,218,037 | |||||||||||
2,422,856 | ||||||||||||||||
Green Tree Financial Corp. |
||||||||||||||||
Series 1997-3, Class M1 |
7.53 | 03/15/28 | 2,000 | 1,440,000 | ||||||||||||
Series 1995-6, Class M1 |
8.10 | 09/15/26 | 4,325 | 4,521,268 | ||||||||||||
5,961,268 | ||||||||||||||||
1
Principal | ||||||||||||||||
Interest | Amount | Value | ||||||||||||||
Rate | Maturity | (000s) | (Note 2) | |||||||||||||
ASSET-BACKED SECURITIES (continued) |
||||||||||||||||
Mid-State Trust |
||||||||||||||||
Series 2004-1, Class M2 |
8.11 | % | 08/15/37 | $ | 1,404 | $ | 1,471,991 | |||||||||
Option One Mortgage Loan Trust |
||||||||||||||||
Series 2006-1, Class M7 |
6.47 | | 01/25/36 | 3,000 | 3,014,199 | |||||||||||
Structured Asset Investment Loan Trust |
||||||||||||||||
Series 2004-11, Class M9(b) |
5.00 | 01/25/35 | 1,900 | 1,799,621 | ||||||||||||
Series 2004-4, Class B* (b) |
5.00 | 04/25/34 | 1,500 | 1,368,150 | ||||||||||||
Series 2004-8, Class B1(a) |
7.82 | | 09/25/34 | 1,000 | 965,260 | |||||||||||
4,133,031 | ||||||||||||||||
Total Housing Related Asset-Backed Securities
(Cost $18,744,306) |
18,733,003 | |||||||||||||||
Non-Housing Related Asset-Backed Securities - 1.6% |
||||||||||||||||
Airplanes Pass Through Trust |
||||||||||||||||
Series 1R, Class A8 |
||||||||||||||||
(Cost $1,991,944) |
5.71 | | 03/15/19 | 2,404 | 2,307,907 | |||||||||||
Total ASSET-BACKED SECURITIES
(Cost $20,736,250) |
21,040,910 | |||||||||||||||
COMMERCIAL MORTGAGE BACKED SECURITIES - 23.1% |
||||||||||||||||
Banc America Comercial Mortgage, Inc. |
||||||||||||||||
Series 2006-1, Class J* |
5.78 | 09/10/45 | 1,000 | 957,610 | ||||||||||||
Bear Stearns Commercial Mortgage Securities |
||||||||||||||||
Series 2006-PWR11, Class H* |
5.63 | 03/11/39 | 1,100 | 1,040,336 | ||||||||||||
Series 1999-C1, Class D |
6.53 | 02/14/31 | 2,500 | 2,647,125 | ||||||||||||
Series 2000-WF1, Class E |
8.14 | | 02/15/32 | 2,000 | 2,159,080 | |||||||||||
5,846,541 | ||||||||||||||||
CD 2006 CD2 |
||||||||||||||||
Series 2006-CD2, Class J* |
5.47 | 01/11/46 | 1,000 | 942,847 | ||||||||||||
Credit Suisse Mortgage Capital Certificates |
||||||||||||||||
Series 2006-C1, Class K* |
5.74 | | 02/15/39 | 2,358 | 2,236,995 | |||||||||||
GE Capital Commercial Mortgage Corp. |
||||||||||||||||
Series 2002-2A, Class G* |
6.04 | 08/11/36 | 3,000 | 3,085,410 | ||||||||||||
Series 2000-1, Class G* |
6.13 | 01/15/33 | 1,000 | 587,100 | ||||||||||||
Series 2002-2A, Class H* |
6.31 | 08/11/36 | 2,000 | 2,081,618 | ||||||||||||
5,754,128 | ||||||||||||||||
GMAC Comericial Mortgage Securities, Inc. |
||||||||||||||||
Series 2006-C1, Class G* |
5.61 | 01/24/45 | 2,500 | 2,426,717 | ||||||||||||
JP Morgan Chase Commercial Mortgage Securities |
||||||||||||||||
Series 2003-LN1, Class G* |
5.61 | | 10/15/37 | 1,600 | 1,568,125 | |||||||||||
Series 2006-CIBC14, Class H* |
5.72 | | 12/12/44 | 1,211 | 1,150,171 | |||||||||||
2,718,296 | ||||||||||||||||
Morgan Stanley Capital I |
||||||||||||||||
Series 2004-HQ4, Class G* |
5.53 | 04/14/40 | 1,000 | 970,276 | ||||||||||||
Series 1999-FNV1, Class E |
7.69 | | 03/15/31 | 2,000 | 2,100,632 | |||||||||||
3,070,908 | ||||||||||||||||
Nationslink Funding Corp. |
||||||||||||||||
Series 1998-2, Class E |
7.11 | 08/20/30 | 4,000 | 4,172,284 | ||||||||||||
UBS 400 Atlantic Street Mortgage Trust |
||||||||||||||||
Series 2002-C1A, Class B3* |
7.19 | 01/11/22 | 2,000 | 2,097,800 | ||||||||||||
Wachovia Bank Commercial Mortgage Trust |
||||||||||||||||
Series 2005-C16, Class H* |
5.48 | | 10/15/41 | 2,000 | 1,904,118 | |||||||||||
Series 2004-WL4A, Class H* |
6.18 | | 10/15/15 | 700 | 700,005 | |||||||||||
2,604,123 | ||||||||||||||||
Total Commercial Mortgage Backed Securities
(Cost $32,741,120) |
32,828,249 | |||||||||||||||
2
Principal | ||||||||||||||||
Interest | Amount | Value | ||||||||||||||
Rate | Maturity | (000s) | (Note 2) | |||||||||||||
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES - 28.8% |
||||||||||||||||
Subordinated Collateralized Mortgage Obligations - 28.8% |
||||||||||||||||
Banc of America Funding Corp. |
||||||||||||||||
Series 2005-2, Class B4 |
5.66 | % | 04/25/35 | $ | 865 | $ | 711,671 | |||||||||
Series 2005-2, Class B5 |
5.66 | | 04/25/35 | 693 | 438,529 | |||||||||||
Series 2005-2, Class B6 |
5.66 | | 04/25/35 | 520 | 170,441 | |||||||||||
1,320,641 | ||||||||||||||||
Bank of America Alternative Loan Trust |
||||||||||||||||
Series 2004-3, Class 30B4* |
5.50 | 04/25/34 | 986 | 801,576 | ||||||||||||
Series 2004-3, Class 30B5 |
5.50 | 04/25/34 | 690 | 431,183 | ||||||||||||
1,232,759 | ||||||||||||||||
Bank of America Mortgage Securities, Inc. |
||||||||||||||||
Series 2004-A, Class B4 |
3.91 | | 02/25/34 | 2,013 | 1,902,909 | |||||||||||
Series 2003-10, Class 1B4 |
5.50 | 01/25/34 | 552 | 491,238 | ||||||||||||
Series 2002-10, Class 1B3 |
6.00 | 11/25/32 | 1,425 | 1,419,403 | ||||||||||||
3,813,550 | ||||||||||||||||
Cendant Mortgage Corp. |
||||||||||||||||
Series 2002-4, Class B1 |
6.50 | 07/25/32 | 2,554 | 2,542,580 | ||||||||||||
Series 2002-4, Class B2 |
6.50 | 07/25/32 | 1,022 | 1,017,032 | ||||||||||||
Series 2002-4, Class B3 |
6.50 | 07/25/32 | 596 | 602,764 | ||||||||||||
Series 2002-4, Class B4 |
6.50 | 07/25/32 | 341 | 340,472 | ||||||||||||
Series 2002-4, Class B5 |
6.50 | 07/25/32 | 255 | 235,854 | ||||||||||||
Series 2002-4, Class B6* |
6.50 | 07/25/32 | 341 | 272,425 | ||||||||||||
5,011,127 | ||||||||||||||||
First Horizon Alternative Mortgage Securities |
||||||||||||||||
Series 2005-AA6, Class B4 |
5.46 | | 08/25/35 | 848 | 706,474 | |||||||||||
Series 2005-AA6, Class B5 |
5.46 | | 08/25/35 | 798 | 538,969 | |||||||||||
Series 2005-AA6, Class B6 |
5.46 | | 08/25/35 | 499 | 124,728 | |||||||||||
1,370,171 | ||||||||||||||||
First Horizon Mortgage Pass-Through Trust |
||||||||||||||||
Series 2005-4, Class B4* |
5.45 | | 07/25/35 | 421 | 350,238 | |||||||||||
Series 2005-5, Class B4* |
5.46 | | 10/25/35 | 720 | 597,261 | |||||||||||
Series 2005-5, Class B5* |
5.46 | | 10/25/35 | 540 | 345,428 | |||||||||||
Series 2005-5, Class B6* |
5.46 | | 10/25/35 | 541 | 159,705 | |||||||||||
Series 2005-3, Class B4 |
5.50 | 06/25/35 | 452 | 376,197 | ||||||||||||
1,828,829 | ||||||||||||||||
G3 Mortgage Reinsurance Ltd. |
||||||||||||||||
Series 1, Class E* |
25.39 | | 05/25/08 | 4,134 | 4,443,074 | |||||||||||
Harborview Mortgage Loan Trust |
||||||||||||||||
Series 2005-14, Class B4* |
5.55 | | 12/19/35 | 394 | 333,536 | |||||||||||
Series 2005-2, Class B4* (a) |
6.11 | | 05/19/35 | 1,488 | 1,345,261 | |||||||||||
Series 2005-1, Class B4* (a) |
7.08 | | 03/19/35 | 629 | 568,153 | |||||||||||
Series 2005-1, Class B5* (a) |
7.08 | | 03/19/35 | 914 | 722,021 | |||||||||||
Series 2005-1, Class B6* (a) |
7.08 | | 03/19/35 | 1,144 | 285,922 | |||||||||||
3,254,893 | ||||||||||||||||
JP Morgan Mortgage Trust |
||||||||||||||||
Series 2003-A1, Class B4 |
4.48 | | 10/25/33 | 534 | 472,955 | |||||||||||
Residential Finance Limited Partnership |
||||||||||||||||
Series 2002-A, Class B7 |
11.07 | | 10/10/34 | 1,888 | 1,897,862 | |||||||||||
Residential Funding Mortgage Securities I, Inc. |
||||||||||||||||
Series 2004-S1, Class B2 |
5.25 | 02/25/34 | 446 | 298,320 | ||||||||||||
Series 2003-S7, Class B2 |
5.50 | 05/25/33 | 520 | 208,181 | ||||||||||||
Series 2003-S7, Class B3 |
5.50 | 05/25/33 | 316 | 213,762 | ||||||||||||
Series 2006-SA1, Class B2* |
5.67 | 02/25/36 | 824 | 627,601 | ||||||||||||
Series 2006-SA1, Class B3* |
5.67 | 02/25/36 | 687 | 250,630 | ||||||||||||
1,598,494 | ||||||||||||||||
3
Principal | ||||||||||||||||
Interest | Amount | Value | ||||||||||||||
Rate | Maturity | (000s) | (Note 2) | |||||||||||||
NON-AGENCY RESIDENTIAL MORTGAGE BACKED SECURITIES (continued) |
||||||||||||||||
Resix Finance Limited Credit-Linked Note |
||||||||||||||||
Series 2005-C, Class B7* |
8.47 | % | 09/10/37 | $ | 1,975 | $ | 1,967,648 | |||||||||
Series 2004-C, Class B7* |
8.87 | | 09/10/36 | 973 | 981,184 | |||||||||||
Series 2004-B, Class B8* |
10.12 | | 02/10/36 | 788 | 798,305 | |||||||||||
Series 2003-CB1, Class B8* |
12.12 | | 06/10/35 | 947 | 964,999 | |||||||||||
Series 2004-B, Class B9* |
13.62 | | 02/10/36 | 1,207 | 1,240,696 | |||||||||||
Series 2004-A, Class B10* |
16.87 | | 02/10/36 | 482 | 494,504 | |||||||||||
6,447,336 | ||||||||||||||||
Structured Asset Mortgage Investments, Inc. |
||||||||||||||||
Series 2002-AR1, Class B4 |
6.45 | | 03/25/32 | 391 | 385,646 | |||||||||||
Structured Asset Securities Corporation |
||||||||||||||||
Series 2005-6, Class B6 |
5.34 | | 05/25/35 | 492 | 308,341 | |||||||||||
Series 2005-6, Class B5 |
5.34 | | 05/25/35 | 492 | 391,880 | |||||||||||
Series 2005-6, Class B7 |
5.34 | | 05/25/35 | 344 | 103,223 | |||||||||||
803,444 | ||||||||||||||||
Washington Mutual Mortgage Securities Corp. |
||||||||||||||||
Series 2002-AR12, Class B4 |
4.66 | | 10/25/32 | 781 | 768,982 | |||||||||||
Series 2002-AR12, Class B5 |
4.66 | | 10/25/32 | 586 | 578,337 | |||||||||||
Series 2002-AR12, Class B6 |
4.66 | | 10/25/32 | 977 | 762,417 | |||||||||||
Series 2002-AR10, Class B4* |
4.94 | | 10/25/32 | 750 | 734,797 | |||||||||||
Series 2002-AR10, Class B5* |
4.94 | | 10/25/32 | 562 | 540,405 | |||||||||||
Series 2002-AR10, Class B6* |
4.94 | | 10/25/32 | 938 | 797,229 | |||||||||||
Series 2002-AR11, Class B5 |
5.11 | | 10/25/32 | 464 | 455,616 | |||||||||||
Series 2002-AR11, Class B6 |
5.11 | | 10/25/32 | 623 | 532,765 | |||||||||||
Series 2005-AR2, Class B10(a) |
6.31 | | 01/25/45 | 1,789 | 1,587,349 | |||||||||||
6,757,897 | ||||||||||||||||
Wells Fargo Mortgage Backed Securities Trust |
||||||||||||||||
Series 2002, Class B5 |
6.00 | 06/25/32 | 355 | 348,586 | ||||||||||||
Total Subordinated Collateralized Mortgage Obligations (Cost $40,105,458) |
40,987,264 | |||||||||||||||
Total Non-Agency Residential Mortgage Backed Securities (Cost $40,105,458) |
40,987,264 | |||||||||||||||
SHORT TERM INVESTMENTS - 0.7% |
||||||||||||||||
Federal Farm Credit Discount Note |
0.00 | 09/05/06 | 1,000 | 999,434 | ||||||||||||
United States Treasury Bill |
0.00 | 09/14/06 | 50 | # | 49,911 | |||||||||||
Total Short Term Investments
(Cost $1,049,349) |
1,049,345 | |||||||||||||||
Total Investments - 139.7%
(Cost $199,041,696) |
198,687,645 | |||||||||||||||
Liabilities in Excess of Other Assets (39.7)% |
(56,513,968 | ) | ||||||||||||||
NET ASSETS - 100.0% |
$ | 142,173,677 | ||||||||||||||
@
|
| Portion or entire principal amount delivered as collateral for reverse repurchase agreements. | ||
|
| Variable Rate Security: Interest rate is in effect as of August 31, 2006. | ||
*
|
| Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may only be resold in transactions exempt from registration, normally to qualified institutional buyers. | ||
(a)
|
| Security is a step up bond where coupon increases or steps up at a predetermined date. At that date these coupons increase to LIBOR plus a predetermined margin. | ||
(b)
|
| Security is a step up bond where coupon increases or steps up at a predetermined date. Rates shown are current coupon and next coupon rate when security steps up. | ||
#
|
| Portion or entire principal amount is held as collateral for open futures contracts. | ||
TBA
|
| Settlement is on a delayed delivery or when-issued basis with a final maturity To Be Announced. | ||
/\
|
| At August 31, 2006, the aggregate cost of investments for income tax purposes was $199,041,696. Net unrealized depreciation aggregated $354,051 of which $2,841,613 related to appreciated investment securities and $3,195,664 related to depreciated investment securities. |
4
Maturity | ||||||
Face Value | Description | Amount | ||||
$ 2,031,000
|
CS First Boston 5.30%, dated 08/29/06, maturity date 09/19/06 | $ | 2,037,279 | |||
7,333,000
|
Goldman Sachs 5.30%, dated 08/22/06, maturity date 09/18/06 | 7,362,149 | ||||
25,219,125
|
Lehman Brothers 5.10%, dated 08/24/06, maturity date 09/07/06 | 25,269,143 | ||||
7,291,000
|
Lehman Brothers 5.30%, dated 08/28/06, maturity date 09/13/06 | 7,308,174 | ||||
6,500,000
|
Morgan Stanley 5.31%, dated 08/14/06, maturity date 09/21/06 | 6,536,433 | ||||
$48,374,125 |
||||||
Maturity Amount, Including Interest Payable | $ | 48,513,178 | ||||
Market Value of Assets Sold Under Agreements | $ | 50,096,987 | ||||
Weighted Average Interest Rate | 5.20 | % | ||||
Net | ||||||||
Unrealized | ||||||||
Notional Amount | Expiration Date | Description | Appreciation | |||||
$20,000,000
|
10/11/10 | Agreement with
Morgan Stanley
Capital Services,
Inc., dated
10/07/05 to pay
semi-annually the
notional amount
multiplied by
4.716% and to
receive quarterly
the notional amount
multiplied by 3
month USD-LIBOR-BBA. |
$ | 117,724 | ||||
11,000,000
|
12/15/14 | Agreement with
Morgan Stanley
Capital Services,
Inc., dated
12/13/04 to pay
semi-annually the
notional amount
multiplied by
4.555% and to
receive quarterly
the notional amount
multiplied by 3
month USD-LIBOR-BBA. |
524,982 | |||||
$ | 642,706 | |||||||
Notional | Cost at | Value at | Unrealized | |||||||||||||
Amount | Type | Expiration Date | Trade Date | August 31, 2006 | Appreciation | |||||||||||
$8,200,000
|
5 Yr. U.S. Treasury Note | December 2006 | $ | 8,591,396 | $ | 8,618,969 | $ | 27,573 |
By:
|
/s/ Clifford E. Lai | |||
Clifford E. Lai | ||||
Principal Executive Officer | ||||
Date: October 18, 2006 |
By:
|
/s/ Clifford E. Lai | |||
Clifford E. Lai | ||||
Principal Executive Officer | ||||
Date: October 18, 2006 | ||||
By:
|
/s/ Thomas F. Doodian | |||
Thomas F. Doodian | ||||
Treasurer and Principal Financial Officer | ||||
Date: October 18, 2006 |