Evergreen - Prudential
Evergreen - Prudential
Evergreen - Prudential
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SCHEDULE OF INVESTMENTS continued<br />
December 31, 2006<br />
Principal<br />
Amount<br />
Value<br />
AGENCY MORTGAGE-BACKED PASS THROUGH SECURITIES continued<br />
FLOATING-RATE 2.1%<br />
FHLMC:<br />
5.34%, 12/01/2035........................................................................................ $ 248,926 $ 247,708<br />
5.82%, 10/01/2036........................................................................................ 399,322 402,703<br />
FNMA:<br />
5.32%, 09/01/2035........................................................................................ 251,038 247,988<br />
5.49%, 01/01/2036........................................................................................ 254,509 255,778<br />
5.51%, 03/01/2036........................................................................................ 188,214 189,208<br />
5.78%, 09/01/2036........................................................................................ 189,294 190,558<br />
GNMA, 5.50%, 08/20/2029 - 09/20/2029............................................................. 116,189 116,422<br />
1,650,365<br />
Total Agency Mortgage-Backed Pass Through Securities<br />
(cost $4,717,776)......................................................................................................... 4,696,869<br />
AGENCY REPERFORMING MORTGAGE-BACKED COLLATERALIZED<br />
MORTGAGE OBLIGATIONS 0.7%<br />
FNMA:<br />
Ser. 2003-W2, Class 2A9, 5.90%, 07/25/2042 ................................................ 210,424 211,398<br />
Ser. 2003-W12, Class 1A8, 4.55%, 06/25/2043 .............................................. 350,000 335,809<br />
Total Agency Reperforming Mortgage-Backed Collateralized Mortgage<br />
Obligations (cost $554,381)........................................................................................ 547,207<br />
ASSET-BACKED SECURITIES 1.0%<br />
JPMorgan Alternative Loan Trust, Ser. 2006-S2, Class A6, 6.05%, 05/25/2036........ 150,000 150,702<br />
MASTR Asset Backed Securities Trust, Ser. 2005-AB1, Class A3B, 5.23%,<br />
10/25/2032 .................................................................................................... 370,000 366,786<br />
Nomura Asset Acceptance Corp., Ser. 2006-AF2, Class 1A4, 6.43%, 07/25/2036.... 275,000 278,501<br />
Total Asset-Backed Securities (cost $798,018)................................................................. 795,989<br />
COMMERCIAL MORTGAGE-BACKED SECURITIES 3.5%<br />
FIXED-RATE 2.2%<br />
Commercial Mtge. Pass-Through Cert., Ser. 2004-LB2A, Class A1, 2.96%,<br />
03/10/2039 .................................................................................................... 192,198 187,538<br />
Credit Suisse First Boston Mtge. Securities Corp., Ser. 2006-C4, Class A3, 5.47%,<br />
09/15/2039 .................................................................................................... 335,000 338,501<br />
LB-UBS Comml. Mtge. Trust:<br />
Ser. 2003-C1, Class A4, 4.39%, 03/17/2032.................................................... 390,000 372,868<br />
Ser. 2003-C8, Class A4, 5.12%, 11/15/2032.................................................... 430,000 426,760<br />
Morgan Stanley Dean Witter Capital I, Ser. 2003-HQ2, Class A2, 4.92%,<br />
03/12/2035 .................................................................................................... 440,000 431,644<br />
1,757,311<br />
FLOATING-RATE 1.3%<br />
Goldman Sachs Mtge. Securities Corp. II, Ser. 2003-C1, Class A1, 2.90%,<br />
01/10/2040 .................................................................................................... 241,056 237,297<br />
JPMorgan Chase & Co. Comml. Mtge. Securities Corp., Ser. 2004-PNC1, Class A4,<br />
5.37%, 06/12/2041........................................................................................ 400,000 403,573<br />
See Notes to Financial Statements<br />
12