JPMorgan Institutional Trust

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.

The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).

Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund’s share price is lower than when you invested.

Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.

This report is intended for distribution only to accredited investors. Distribution of this document to anyone other than the intended user is expressly prohibited. This document may not be copied, faxed or otherwise distributed to the general public.

Dear Shareholder:

While the global economy achieved measured improvement during the past year, intermittent volatility in financial markets drove yield-hungry investors back into developed markets at an accelerated pace through the 12 months ended February 28, 2014. Fixed-income markets generally struggled in the face of a concerted effort by central bankers to stimulate economic growth, while equity markets in developed nations generally performed well. From a macro-economic perspective, the U.S. Federal Reserve (the “Fed”) served as the focal point of investors’ attention after the central bank signaled its intent to “taper” off its $85 billion in monthly asset purchases in response to improvements in key economic indicators. The Fed’s initial statement injected volatility into the market as investors sought further clarity on the impact and timing of any move to reduce Fed purchases of agency asset-backed securities and Treasury bonds, a program known as Quantitative Easing (QE). Volatility spiked again in September, when the Fed confounded expectations and abstained from tapering its asset purchase program. It wasn’t until December that the Fed moved to cut its QE program by $10 billion a month. The Fed’s decision sparked a rally in equity markets and drove Treasury bond prices lower. The Fed followed in February with another $10 billion reduction, bringing the QE program to $65 billion in monthly asset purchases.

“The intermittent volatility that marked the reporting period serves to underline the wisdom of maintaining a long-term view of your investment portfolio and the benefits derived from diversified holdings.”

Fiscal risk also injected uncertainty into financial markets during the reporting period. In the U.S. partisan inflexibility in Congress led to a federal budget sequestration that cut government spending across a range of defense and non-defense programs by an estimated $42 billion in fiscal 2013. Partisan acrimony flared again in October 2013, when a legislative effort to de-fund the Affordable Care Act — the president’s signature domestic policy initiative — led to the partial shutdown of the federal government. The de-funding effort failed, and by December a measure of uncertainty was lifted when Congress adopted a bipartisan budget agreement and tactical threats to block authority to raise the federal debt ceiling were withdrawn.

In the final two months of the reporting period, there were signs of slowing growth in the U.S. economy, with domestic factory activity dropping to an eight-month low, weakness in housing starts and the weakest two months of private sector hiring since August-September 2012. Economists had difficulty determining whether the data indicated further weakness in certain sectors of the economy or reflected the temporary effects of unusually harsh winter weather in large parts of the U.S. Notably, consumer spending in January increased more than expected and consumer confidence improved in February

from January. The broad-based Standard & Poor’s 500 Index closed at a record high on the final day of the reporting period and returned 22.76% for the 12 months. In contrast, fixed-income securities generally remained weak, with the Barclays U.S. Aggregate Index returning 0.15% for the reporting period.

Fed Taper Pressures Emerging Markets

During most of the reporting period, many emerging markets were buoyed by investors’ global search for yield amid the low-interest rate environment engineered by leading central banks. However, background concerns about the health of China’s economy and political unrest in Thailand, Turkey, Egypt, Venezuela — and particularly in Ukraine — put pressure on emerging market assets. The Fed’s decision in December to taper off its QE asset purchases fueled a sell-off in emerging market equities and debt securities, which in turn destabilized currency prices in those markets. However, the outflow of capital appeared to slow at the end of the reporting period. The MSCI Emerging Markets Index (net of foreign witholding taxes) returned 0.94% for the 12-month period, while the Barclays Emerging Markets Debt Index returned -1.30%.

In Europe, central bank efforts to stabilize the economy appeared to succeed and the European Union (EU) returned to positive growth in the first half of the reporting period. By December, Ireland had become the first member nation of the EU to exit its bailout program. While the various sovereign debt crises appeared to have been resolved, unemployment throughout the EU remained exceptionally high and the threat of price deflation grew in select nations. In Japan, Prime Minister Shinzo Abe’s efforts to stimulate economic growth appeared to be working, though the movement of capital from emerging markets to relatively safer investments drove the yen higher. The MSCI Europe, Australasia and Far East Index returned 18.48% for the reporting period.

While economic growth appears to have solidified in the U.S. and Europe, investors and economists expect market volatility may continue through calendar 2014. The recent rally in equities may leave stocks vulnerable to market corrections and, with the exception of Fed policy, many of the political and economic factors that drove volatility over the past 12 months remain in place. The intermittent volatility that marked the reporting period serves to underline the wisdom of maintaining a long-term view of your investment portfolio and the benefits derived from diversified holdings.

On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

LOGO

George C.W. Gatch

CEO, Global Funds Management

J.P. Morgan Asset Management

Fixed income markets were marked by overall weakness and intermittent volatility throughout the reporting period. Uncertainty about future monetary policy from the U.S. Federal Reserve (the “Fed”) and mixed economic data in both the U.S. and Europe weighed on financial markets during the first half of the period. The Fed’s announcement in May 2013 that economic growth had become sufficient enough to consider tapering off its Quantitative Easing program drove down prices for U.S. Treasuries and briefly pushed equity prices lower. Improving economic data in the second half of the period drove equity prices to new highs in the U.S. and Japan and in December, the Fed’s decision to trim its monthly asset purchases by $10 billion sparked a rally in developed market equity prices and a flow of investment capital out of emerging markets. The Fed’s move — and a further $10 billion cut in asset purchases in February — bolstered expectations of rising inflation, which further weakened bond prices, particularly in longer maturities.

While U.S. Treasury securities posted negative returns for the period, the Barclays U.S. Aggregate Index of investment grade fixed income securities returned 0.15% and the Barclays U.S. Corporate High Yield Index returned 8.4%.

INVESTMENT OBJECTIVE**

The JPMorgan Core Bond Trust (the “Fund”) seeks to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

For the 12 months ended February 28, 2014, the Fund outperformed the Barclays U.S. Aggregate Index (the “Benchmark”). The Fund’s shorter duration and better convexity compared with the Benchmark contributed to the Fund’s performance relative to the Benchmark. Duration measures the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease in price as interest rates go down or up, respectively, versus bonds with shorter duration. Convexity measures the relationship between bond prices and bond yields and is used by the Fund’s managers to attempt to manage the market risk exposure of a portfolio. The Fund’s security selection in mortgage-backed securities, especially allocations to out-of-Benchmark agency and non-agency collateralized mortgage obligations, also made a positive contribution to relative performance.

The Fund’s holdings in individual sectors with longer durations, such as U.S. Treasury and agency securities, detracted from relative performance. The Fund’s underweight position in the investment grade corporate bond sector detracted from relative performance as the broad sector had higher absolute returns than the Benchmark and the highest excess returns compared with similar-duration Treasury securities.

HOW WAS THE FUND POSITIONED?

The Fund continued to focus on security selection and relative value, which seeks to exploit pricing discrepancies between individual securities or market sectors. The Fund’s portfolio managers used bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. At the end of the reporting period, the Fund was underweight in U.S. Treasuries and overweight mortgage-backed securities.


PORTFOLIO COMPOSITION***
U.S. Treasury Obligations	26.4	%
Collateralized Mortgage Obligations	25.1
Corporate Bonds	18.6
Mortgage Pass-Through Securities	15.0
Asset-Backed Securities	5.6
Commercial Mortgage-Backed Securities	3.9
U.S. Government Agency Securities	2.3
Foreign Government Securities	1.2
Others (each less than 1.0%)	0.8
Short-Term Investment	1.1

The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

***

Percentages indicated are based on total investments as of February 28, 2014. The Fund’s portfolio composition is subject to change.

Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown.

The Fund commenced operations on February 7, 2005.

The graph illustrates comparative performance for $10,000,000 invested in the JPMorgan Core Bond Trust, the Barclays U.S. Aggregate Index and the Lipper Intermediate U.S. Government Funds Index from February 7, 2005 to February 28, 2014. The performance of the Lipper Intermediate U.S. Government Funds Index reflects an initial investment at the end of the month closest to the Fund’s inception. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Barclays U.S. Aggregate Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Intermediate U.S. Government Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are

not identical to the expenses incurred by the Fund. The Barclays U.S. Aggregate Index is an unmanaged index that represents securities that are SEC-registered, taxable, and dollar denominated. The index covers the U.S. investment grade fixed rate bond market, with index components for government and corporate securities, mortgage pass-through securities, and asset-backed securities. The Lipper Intermediate U.S. Government Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

The Fund’s shares have a $10,000,000 minimum investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

INVESTMENT OBJECTIVE***

The JPMorgan Equity Index Trust (the “Fund”) seeks investment results that correspond to the aggregate price and dividend performance of securities in the Standard & Poor’s 500 Composite Stock Price Index (S&P 500 Index).

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund performed in line with the S&P 500 Index (the “Benchmark”) for the 12 months ended February 28, 2014. This was consistent with its indexing strategy and investment objective, as the Fund looks to generate returns that are comparable to that of the Benchmark.

Continued accommodative monetary policy from the U.S. Federal Reserve (the “Fed”), steady improvement in economic indicators and healthy corporate earnings drove the Benchmark higher during the reporting period. In the first half of the reporting period, the Fed announced its intention to taper off its $85 billion in monthly purchases of Treasuries and mortgage-backed securities. In December, the Fed took its first concrete step and announced it would cut back asset purchases to $75 billion a month. The decision sparked a rally in U.S. equity markets and a selloff in most emerging markets. Meanwhile, partisan skirmishes in the U.S. Congress led to a budget sequestration at the start of the reporting period and a partial shutdown of the federal government midway through the period. A bipartisan budget agreement toward the end of the period and the withdrawal of tactical threats to revisit the so-called fiscal cliff returned a measure of certainty to the political sphere.

All sectors in the Benchmark posted positive returns. On a relative basis, the health care and consumer discretionary sectors were the greatest contributors to benchmark performance, while the telecommunications and consumer staples sectors made the smallest contribution to benchmark performance during the reporting period.

HOW WAS THE FUND POSITIONED?

Regardless of the market outlook, the Fund was managed in strict conformity with a full index replication strategy and aimed to hold the same stocks in nearly the same proportions as those found in the Benchmark.


TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO****
	1.	Apple, Inc.	2.8	%
	2.	Exxon Mobil Corp.	2.5
	3.	Google, Inc., Class A	2.0
	4.	Microsoft Corp.	1.7
	5.	Johnson & Johnson	1.5
	6.	General Electric Co.	1.5
	7.	Wells Fargo & Co.	1.3
	8.	Chevron Corp.	1.3
	9.	Procter & Gamble Co. (The)	1.3
	10.	JPMorgan Chase & Co.	1.3


PORTFOLIO COMPOSITION BY SECTOR****
Information Technology	18.6	%
Financials	15.8
Health Care	13.6
Consumer Discretionary	12.4
Industrials	10.6
Energy	9.9
Consumer Staples	9.4
Materials	3.5
Utilities	3.0
Telecommunication Services	2.5
Exchange Traded Fund	0.1
Short-Term Investments	0.6

“S&P 500 Index” is a registered service mark of Standard & Poor’s Corporation, which does not sponsor, and is in no way affiliated with the Fund.

***

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

****

Percentages indicated are based on total investments as of February 28, 2014. The Fund’s portfolio composition is subject to change.

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown.

The Fund commenced operations on February 7, 2005.

The graph illustrates comparative performance for $10,000,000 invested in the JPMorgan Equity Index Trust, the S&P 500 Index and the Lipper S&P 500 Funds Index from February 7, 2005 to February 28, 2014. The performance of the Lipper S&P 500 Funds Index reflects an initial investment at the end of the month closest to the Fund’s inception. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper S&P 500 Funds Index includes expenses associated with a mutual fund,

such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. Stock Market. Index levels are based on total return in U.S. dollars. The Lipper S&P 500 Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

The Fund’s shares have a $10,000,000 minimum investment.

INVESTMENT OBJECTIVE**

The JPMorgan Intermediate Bond Trust (the “Fund”) seeks current income consistent with the preservation of capital by investing in high- and medium-grade fixed income securities with intermediate maturities.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

During the 12 months ended February 28, 2014, the Fund outperformed the Barclays Intermediate U.S. Government/Credit Index (the “Benchmark”). The Fund’s shorter duration and better convexity compared with the Benchmark contributed to the Fund’s performance relative to the Benchmark. Duration measures the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease in price as interest rates go down or up, respectively, versus bonds with shorter duration. Convexity measures the relationship between bond prices and bond yields and is used by the Fund’s managers to attempt to manage the market risk exposure of a portfolio.

The Fund’s security selection in mortgage-backed securities, especially allocations to out-of-Benchmark agency and non-agency collateralized mortgage obligations, also made a positive contribution to relative performance.

The Fund’s holdings in individual sectors with longer durations, such as U.S. Treasury and agency securities detracted from relative performance. The Fund’s underweight position in the investment grade corporate bond sector detracted from relative performance as the broad sector had higher absolute returns than the Benchmark and the highest excess returns compared with similar-duration Treasury securities.

HOW WAS THE FUND POSITIONED?

The Fund continued to focus on security selection and relative value, which seeks to exploit pricing discrepancies between individual securities or market sectors. The Fund’s portfolio managers used bottom-up fundamental research to construct, in their view, a portfolio of undervalued fixed income securities. As of the end of the reporting period, the Fund was underweight U.S. Treasuries and the credit sector. The Fund was overweight the intermediate part (5-10 years) of the yield curve. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds.


PORTFOLIO COMPOSITION***
U.S. Treasury Obligations	34.6	%
Collateralized Mortgage Obligations	21.7
Corporate Bonds	19.5
Mortgage Pass-Through Securities	11.5
Asset-Backed Securities	4.8
U.S. Government Agency Securities	3.0
Commercial Mortgage-Backed Securities	2.1
Foreign Government Security	1.0
Others (each less than 1.0%)	0.0	(a)
Short-Term Investment	1.8

The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

***

Percentages indicated are based on total investments as of February 28, 2014. The Fund’s portfolio composition is subject to change.

(a)

Amount rounds to less than 0.1%.

The Fund commenced operations on February 7, 2005.

The graph illustrates comparative performance for $5,000,000 invested in the JPMorgan Intermediate Bond Trust, the Barclays Intermediate U.S. Government/Credit Index and the Lipper Short-Intermediate U.S. Government Funds Index from February 7, 2005 to February 28, 2014. The performance of the Lipper Short-Intermediate U.S. Government Funds Index reflects an initial investment at the end of the month closest to the Fund’s inception. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Barclays Intermediate U.S. Government/Credit Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Short-Intermediate U.S. Government Funds Index includes expenses associated

with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Barclays Intermediate U.S. Government/Credit Index is an unmanaged index comprised of intermediate maturity U.S. Treasury and agency securities and investment grade corporate securities. The Lipper Short-Intermediate U.S. Government Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

The Fund’s shares have a $5,000,000 minimum investment.


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — 5.6%
		Academic Loan Funding Trust,
	1,450	Series 2012-1A, Class A1, VAR, 0.956%, 12/27/22 (e)		1,463
	2,908	Series 2013-1A, Class A, VAR, 0.956%, 12/26/44 (e)		2,886
		Ally Auto Receivables Trust,
	224	Series 2010-3, Class A4, 1.550%, 08/17/15		225
	758	Series 2012-1, Class A3, 0.930%, 02/16/16		760
	622	Series 2012-2, Class A3, 0.740%, 04/15/16		623
	991	Series 2012-3, Class A3, 0.850%, 08/15/16		993
	215	Series 2012-4, Class A2, 0.480%, 05/15/15		215
	533	Series 2012-5, Class A2, 0.450%, 07/15/15		534
	1,722	Series 2013-2, Class A3, 0.790%, 01/15/18		1,724
	300	Series 2013-2, Class A4, 1.240%, 11/15/18		300
		American Credit Acceptance Receivables Trust,
	41	Series 2012-1, Class A2, 3.040%, 10/15/15 (e)		41
	544	Series 2012-3, Class A, 1.640%, 11/15/16 (e)		544
	1,205	Series 2013-1, Class A, 1.450%, 04/16/18 (e)		1,203
	841	Series 2013-2, Class A, 1.320%, 02/15/17 (e)		841
		AmeriCredit Automobile Receivables Trust,
	504	Series 2011-4, Class A3, 1.170%, 05/09/16		505
	709	Series 2011-5, Class A3, 1.550%, 07/08/16		710
	193	Series 2012-1, Class A3, 1.230%, 09/08/16		194
	123	Series 2012-2, Class A3, 1.050%, 10/11/16		123
	69	Series 2012-3, Class A2, 0.710%, 12/08/15		70
	361	Series 2012-3, Class A3, 0.960%, 01/09/17		362
	116	Series 2012-4, Class A2, 0.490%, 04/08/16		116
	361	Series 2012-5, Class A2, 0.510%, 01/08/16		361
	290	Series 2012-5, Class A3, 0.620%, 06/08/17		290
	1,527	Series 2013-4, Class A2, 0.740%, 11/08/16		1,529
	590	Series 2013-5, Class A3, 0.900%, 09/10/18		592
	322	Ascentium Equipment Receivables LLC, Series 2012-1A, Class A, 1.830%, 09/15/19 (e)		322
	2,727	Axis Equipment Finance Receivables II LLC, Series 2013-1A, Class A, 1.750%, 03/20/17 (e)		2,728
	379	Bank of America Auto Trust, Series 2012-1, Class A3, 0.780%, 06/15/16		380
	2,776	Bayview Opportunity Master Fund IIa Trust, Series 2013-8NPL, Class A, VAR, 3.228%, 03/28/33 (e)		2,795
	500	Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.525%, 04/25/36		480


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	276	BMW Vehicle Lease Trust, Series 2012-1, Class A3, 0.750%, 02/20/15		276
	678	BMW Vehicle Owner Trust, Series 2013-A, Class A3, 0.670%, 11/27/17		679
	1,090	BXG Receivables Note Trust, Series 2012-A, Class A, 2.660%, 12/02/27 (e)		1,078
	700	Cabela’s Master Credit Card Trust, Series 2012-1A, Class A1, 1.630%, 02/18/20 (e)		710
	1,053	California Republic Auto Receivables Trust, Series 2012-1, Class A, 1.180%, 08/15/17 (e)		1,052
	1,500	Capital Auto Receivables Asset Trust, Series 2013-3, Class A1B, VAR, 0.584%, 11/20/15		1,501
		Carfinance Capital Auto Trust,
	481	Series 2013-1A, Class A, 1.650%, 07/17/17 (e)		481
	484	Series 2013-2A, Class A, 1.750%, 11/15/17 (e)		484
		CarMax Auto Owner Trust,
	41	Series 2011-1, Class A3, 1.290%, 09/15/15		41
	885	Series 2011-1, Class A4, 2.160%, 09/15/16		895
	739	Series 2011-3, Class A3, 1.070%, 06/15/16		741
	79	Series 2012-3, Class A2, 0.430%, 09/15/15		79
	676	Series 2013-4, Class A3, 0.800%, 07/16/18		678
	440	Series 2013-4, Class A4, 1.280%, 05/15/19		441
	1,094	CarNow Auto Receivables Trust, Series 2013-1A, Class A, 1.160%, 10/16/17 (e)		1,094
	410	Centex Home Equity Loan Trust, Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32		424
	1,412	Chase Funding Trust, Series 2003-6, Class 1A7, SUB, 4.277%, 11/25/34		1,427
	800	Citibank Credit Card Issuance Trust, Series 2007-A3, Class A3, 6.150%, 06/15/39		940
	946	Citigroup Mortgage Loan Trust, Series 2011-5, Class 1A1, VAR, 0.345%, 02/25/46 (e)		893
	356	Citigroup Mortgage Loan Trust, Inc., Series 2003-HE3, Class A, VAR, 0.536%, 12/25/33		339
		CNH Equipment Trust,
	31	Series 2011-A, Class A3, 1.200%, 05/16/16		31
	747	Series 2011-A, Class A4, 2.040%, 10/17/16		754
	389	Series 2012-A, Class A3, 0.940%, 05/15/17		391
	130	Series 2012-C, Class A2, 0.440%, 02/16/16		130
		Concord Funding Co. LLC,
	2,800	Series 2012-2, Class A, 3.145%, 01/15/17 (e)		2,800
	1,650	Series 2013-1, Class A, 2.420%, 02/15/15 (e)		1,627


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — Continued
	1,163	Conix Mortgage Asset Trust, Series 2013-1, Class A, VAR, 4.704%, 12/25/47 (e) (i)		1,153
	832	Countrywide Asset-Backed Certificates, Series 2004-6, Class M1, VAR, 0.756%, 10/25/34		778
		CPS Auto Receivables Trust,
	746	Series 2011-C, Class A, 4.210%, 03/15/19 (e)		764
	387	Series 2012-A, Class A, 2.780%, 06/17/19 (e)		390
	2,259	Series 2012-B, Class A, 2.520%, 09/16/19 (e)		2,273
	3,212	Series 2013-C, Class A, 1.640%, 04/16/18 (e)		3,226
	4,182	Series 2013-D, Class A, 1.540%, 07/16/18 (e)		4,194
		CPS Auto Trust,
	1,308	Series 2012-C, Class A, 1.820%, 12/16/19 (e)		1,314
	207	Series 2012-D, Class A, 1.480%, 03/16/20 (e)		205
		Credit Acceptance Auto Loan Trust,
	570	Series 2011-1, Class A, 2.610%, 03/15/19 (e)		573
	565	Series 2012-1A, Class A, 2.200%, 09/16/19 (e)		568
	1,512	Series 2012-2A, Class A, 1.520%, 03/16/20 (e)		1,517
	813	Discover Card Execution Note Trust, Series 2012-A1, Class A1, 0.810%, 08/15/17		816
		Exeter Automobile Receivables Trust,
	585	Series 2012-2A, Class A, 1.300%, 06/15/17 (e)		586
	919	Series 2013-1A, Class A, 1.290%, 10/16/17 (e)		921
	2,341	Series 2013-2A, Class A, 1.490%, 11/15/17 (e)		2,350
	1,465	Series 2014-1A, Class A, 1.290%, 05/15/18 (e)		1,465
	349	Fifth Third Auto Trust, Series 2013-1, Class A3, 0.880%, 10/16/17		351
	12	First Franklin Mortgage Loan Trust, Series 2006-FF17, Class A4, VAR, 0.255%, 12/25/36		12
	502	First Investors Auto Owner Trust, Series 2012-2A, Class A2, 1.470%, 05/15/18 (e)		505


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Flagship Credit Auto Trust,
	1,237	Series 2013-1, Class A, 1.320%, 04/16/18 (e)		1,236
	1,773	Series 2013-2, Class A, 1.940%, 01/15/19 (e)		1,775
	503	Ford Credit Auto Lease Trust, Series 2013-B, Class A3, 0.760%, 09/15/16		505
		Ford Credit Auto Owner Trust,
	930	Series 2012-A, Class A3, 0.840%, 08/15/16		932
	445	Series 2012-B, Class A3, 0.720%, 12/15/16		446
	191	Series 2012-D, Class A2, 0.400%, 09/15/15		191
	659	Series 2012-D, Class A3, 0.510%, 04/15/17		659
	669	Ford Credit Floorplan Master Owner Trust, Series 2013-1, Class A2, VAR, 0.534%, 01/15/18		670
		Fortress Opportunities Residential Transaction,
	1,412	Series 2013-1A, Class A1N, SUB, 3.960%, 10/25/33 (e) (i)		1,426
	672	Series 2013-1A, Class AR, SUB, 4.210%, 10/25/18 (e) (i)		671
	725	Freedom Trust, Series 2011-2, Class A11, VAR, 3.839%, 08/01/46 (e)		744
	293	GE Capital Mortgage Services, Inc. Trust, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29		289
		GE Equipment Midticket LLC,
	800	Series 2012-1, Class A3, 0.600%, 05/23/16		800
	360	Series 2012-1, Class A4, 0.780%, 09/22/20		360
	111	GE Equipment Transportation LLC, Series 2012-2, Class A2, 0.470%, 04/24/15		111
		GMAT Trust,
	1,879	Series 2013-1A, Class A, SUB, 3.967%, 11/25/43 (e)		1,876
	1,364	Series 2014-1A, Class A, SUB, 3.721%, 02/25/44 (e)		1,364
		HLSS Servicer Advance Receivables Backed Notes,
	1,162	Series 2013-T2, Class A2, 1.147%, 05/16/44 (e)		1,158
	2,140	Series 2013-T7, Class A7, 1.981%, 11/15/46 (e)		2,143
		HLSS Servicer Advance Receivables Trust,
	1,560	Series 2012-T2, Class A2, 1.990%, 10/15/45 (e)		1,571
	1,197	Series 2013-T1, Class A2, 1.495%, 01/16/46 (e)		1,195
	497	Series 2013-T1, Class B2, 1.744%, 01/16/46 (e)		495
	718	Series 2014-T1, Class AT1, 1.244%, 01/17/45 (e)		716


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — Continued
	997	Series 2014-T2, Class AT2, 2.217%, 01/15/47 (e)		1,003
	187	Home Equity Mortgage Loan Asset-Backed Trust, Series 2006-A, Class A3, VAR, 0.356%, 03/25/36		140
		Honda Auto Receivables Owner Trust,
	374	Series 2011-1, Class A4, 1.800%, 04/17/17		376
	388	Series 2012-1, Class A4, 0.970%, 04/16/18		390
	363	Series 2012-2, Class A3, 0.700%, 02/16/16		364
	148	Series 2013-1, Class A2, 0.350%, 06/22/15		148
	1,527	Series 2013-4, Class A3, 0.690%, 09/18/17		1,531
		HSBC Home Equity Loan Trust USA,
	813	Series 2006-1, Class A1, VAR, 0.314%, 01/20/36		796
	1,518	Series 2007-3, Class APT, VAR, 1.354%, 11/20/36		1,507
		Huntington Auto Trust,
	330	Series 2011-1A, Class A3, 1.010%, 01/15/16 (e)		331
	1,000	Series 2011-1A, Class A4, 1.310%, 11/15/16 (e)		1,009
	487	Series 2012-1, Class A3, 0.810%, 09/15/16		488
		Hyundai Auto Receivables Trust,
	602	Series 2010-B, Class A4, 1.630%, 03/15/17		607
	405	Series 2011-A, Class A4, 1.780%, 12/15/15		407
	71	Series 2011-B, Class A3, 1.040%, 09/15/15		71
	824	Series 2011-B, Class A4, 1.650%, 02/15/17		830
	548	Series 2013-A, Class A2, 0.400%, 12/15/15		548
		John Deere Owner Trust,
	13	Series 2011-A, Class A3, 1.290%, 01/15/16		13
	355	Series 2011-A, Class A4, 1.960%, 04/16/18		357
	88	Series 2012-B, Class A2, 0.430%, 02/17/15		88
	581	Series 2012-B, Class A4, 0.690%, 01/15/19		581
		KGS-Alpha Capital Markets LP,
	21,284	IO, VAR, 08/25/38		848
	12,967	Series 2013-2, IO, VAR, 03/25/39		752
	1,595	Kondaur Mortgage Asset Trust, Series 2013-1, Class A, VAR, 4.458%, 08/25/52 (e)		1,599
	483	Lake Country Mortgage Loan Trust, Series 2006-HE1, Class A3, VAR, 0.506%, 07/25/34 (e)		480
	486	Long Beach Mortgage Loan Trust, Series 2006-WL2, Class 2A3, VAR, 0.356%, 01/25/36		452
		LV Tower 52 Issuer LLC,
	3,058	Series 2013-1, Class A, 5.500%, 06/15/18 (e) (i)		3,062


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	1,914	Series 2013-1, Class M, 7.500%, 06/15/18 (e) (i)		1,914
	1,205	Macquarie Equipment Funding Trust, Series 2012-A, Class A2, 0.610%, 04/20/15 (e)		1,202
	904	Madison Avenue Manufactured Housing Contract, Series 2002-A, Class M2, VAR, 2.405%, 03/25/32		903
	36	Mercedes-Benz Auto Receivables Trust, Series 2012-1, Class A2, 0.370%, 03/16/15		36
	1,104	Mid-State Capital Corp. Trust, Series 2006-1, Class M1, 6.083%, 10/15/40 (e)		1,139
	3,100	MMCA Auto Owner Trust, Series 2012-A, Class A4, 1.570%, 08/15/17 (e)		3,117
		Nationstar Agency Advance Funding Trust,
	1,078	Series 2013-T1A, Class AT1, 0.997%, 02/15/45 (e)		1,075
	439	Series 2013-T2A, Class AT2, 1.892%, 02/18/48 (e)		429
	216	Series 2013-T2A, Class BT2, 2.487%, 02/18/48 (e)		215
	2,300	Nationstar Mortgage Advance Receivable Trust, Series 2013-T2A, Class A2, 1.679%, 06/20/46 (e)		2,275
	1,289	Navitas Equipment Receivables LLC, Series 2013-1, Class A, 1.950%, 11/15/16 (e)		1,290
	804	NCUA Guaranteed Notes Trust, Series 2010-A1, Class A, VAR, 0.507%, 12/07/20		805
	1,000	New Century Home Equity Loan Trust, Series 2003-5, Class AI6, SUB, 5.272%, 11/25/33		1,033
	226	Newcastle Investment Trust, Series 2011-MH1, Class A, 2.450%, 12/10/33 (e)		228
		Nissan Auto Lease Trust,
	429	Series 2012-B, Class A2A, 0.450%, 06/15/15		429
	611	Series 2013-B, Class A3, 0.750%, 06/15/16		612
		Nissan Auto Receivables Owner Trust,
	146	Series 2010-A, Class A4, 1.310%, 09/15/16		146
	333	Series 2012-A, Class A4, 1.000%, 07/16/18		336
	5,977	Normandy Mortgage Loan Co. LLC, Series 2013-NPL3, Class A, SUB, 4.949%, 09/16/43 (e)		5,947
		NYMT Residential LLC,
	1,500	Series 2012-RP1A, VAR, 4.250%, 12/25/17 (e) (i)		1,500
	2,298	Series 2013-RP3A, SUB, 4.850%, 09/25/18 (e) (i)		2,298


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — Continued
	1,329	Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-MCW1, Class M1, VAR, 1.093%, 10/25/34		1,319
	306	PennyMac Loan Trust, Series 2012-NPL1, Class A, VAR, 3.422%, 05/28/52 (e) (i)		305
	1,000	Progreso Receivables Funding I LLC, Series 2013-A, Class A, 4.000%, 07/09/18 (e)		1,002
	2,599	RAMP Trust, Series 2006-RZ1, Class A3, VAR, 0.456%, 03/25/36		2,460
	2,999	RBSHD Trust, Series 2013-1A, Class A, SUB, 4.685%, 10/25/47 (e) (i)		3,021
	297	Renaissance Home Equity Loan Trust, Series 2007-2, Class AF2, SUB, 5.675%, 06/25/37		162
	1,397	Residential Credit Solutions Trust, Series 2011-1, Class A1, 6.000%, 03/25/41 (e) (i)		1,430
	716	RMAT, Series 2012-1A, Class A1, VAR, 2.734%, 08/26/52 (e) (i)		720
		Santander Drive Auto Receivables Trust,
	694	Series 2010-A, Class A4, 2.390%, 06/15/17 (e)		698
	174	Series 2011-1, Class B, 2.350%, 11/16/15		175
	127	Series 2011-S2A, Class B, 2.060%, 06/15/17 (e)		127
	156	Series 2012-1, Class A3, 1.490%, 10/15/15		156
	272	Series 2012-2, Class A3, 1.220%, 12/15/15		272
	172	Series 2012-3, Class A3, 1.080%, 04/15/16		172
	61	Series 2012-6, Class A2, 0.470%, 09/15/15		61
	333	Series 2012-6, Class A3, 0.620%, 07/15/16		333
	482	Saxon Asset Securities Trust, Series 2003-1, Class AF6, SUB, 4.795%, 06/25/33		488
	310	Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2, SUB, 3.563%, 01/25/36		196
		SNAAC Auto Receivables Trust,
	37	Series 2012-1A, Class A, 1.780%, 06/15/16 (e)		37
	254	Series 2013-1A, Class A, 1.140%, 07/16/18 (e)		254
	4,297	SpringCastle America Funding LLC, Series 2013-1A, Class A, 4.000%, 04/03/21 (e)		4,338
		Springleaf Funding Trust,
	9,200	Series 2013-AA, Class A, 2.580%, 09/15/21 (e)		9,243
	3,000	Series 2013-BA, Class A, 3.920%, 01/16/23 (e)		3,045


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	2,000	Series 2013-BA, Class B, 4.820%, 01/16/23 (e)		2,024
		Stanwich Mortgage Loan Co. LLC,
	1,359	Series 2012-NPL4, Class A, 2.981%, 09/15/42 (e)		1,363
	1,307	Series 2012-NPL5, Class A, 2.981%, 10/18/42 (e)		1,307
	1,809	Series 2013-NPL2, Class A, 3.228%, 04/16/59 (e)		1,782
	2,734	Stanwich Mortgage Loan Trust, Series 2013-NPL1, Class A, 2.981%, 02/16/43 (e)		2,759
	3,500	Station Place Securitization Trust, Series 2013-1, VAR, 1.336%, 02/25/15		3,500
	3	Structured Asset Investment Loan Trust, Series 2005-5, Class A9, VAR, 0.560%, 06/25/35		3
	220	Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2002-23XS, Class A7, SUB, 6.580%, 11/25/32		232
	1,068	Toyota Auto Receivables Owner Trust, Series 2011-A, Class A4, 1.560%, 05/15/15		1,071
	3,844	Trafigura Securitisation Finance plc, (Ireland), Series 2012-1A, Class A, VAR, 2.554%, 10/15/15 (e)		3,893
	86	United Auto Credit Securitization Trust, Series 2012-1, Class A2, 1.100%, 03/16/15 (e)		86
	8	USAA Auto Owner Trust, Series 2012-1, Class A2, 0.380%, 06/15/15		8
		Vericrest Opportunity Loan Transferee LLC,
	4,989	Series 2013-NPL6, Class A1, SUB, 3.625%, 03/25/54 (e)		5,005
	1,299	Series 2013-NPL6, Class A2, SUB, 5.250%, 03/25/54 (e)		1,257
	4,189	Series 2013-NPL7, Class A1, SUB, 3.625%, 11/25/53 (e)		4,202
	2,071	Series 2013-RLF1, SUB, 4.213%, 04/25/52 (e)		2,078
	3,224	Series 2014-NPL1, Class A1, SUB, 3.625%, 10/27/53 (e)		3,222
	3,224	Series 2014-NPL2, Class A1, SUB, 3.625%, 11/25/53 (e)		3,222
	856	Volkswagen Auto Lease Trust, Series 2012-A, Class A3, 0.870%, 07/20/15		857
	1,466	Volkswagen Auto Loan Enhanced Trust, Series 2012-1, Class A3, 0.850%, 08/22/16		1,470
	2,144	Volt NPL IX LLC, Series 2013-NPL3, Class A1, SUB, 4.250%, 04/25/53 (e)		2,142


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — Continued
	975		Volt NPL X LLC, Series 2013-NPL4, Class A1, SUB, 3.960%, 11/25/53 (e)		982
	3,397		Volt XIX LLC, Series 2013-NPL5, Class A1, SUB, 3.625%, 04/25/55 (e)		3,410
			Westgate Resorts LLC,
	1,034		Series 2012-1, Class A, 4.500%, 09/20/25 (e)		1,043
	1,265		Series 2012-2A, Class A, 3.000%, 01/20/25 (e)		1,272
	655		Series 2012-3A, Class A, 2.500%, 03/20/25 (e)		656
	1,306		Series 2013-1A, Class A, 2.250%, 08/20/25 (e)		1,306
			World Omni Auto Receivables Trust,
	434		Series 2012-B, Class A2, 0.430%, 11/16/15		434
	1,164		Series 2013-B, Class A3, 0.830%, 08/15/18		1,166
	413		Series 2013-B, Class A4, 1.320%, 01/15/20		413

			Total Asset-Backed Securities (Cost $215,517)		217,075

	Collateralized Mortgage Obligations — 25.1%
			Agency CMO — 17.1%
	724		Federal Home Loan Bank, Series TQ-2015, Class A, 5.065%, 10/20/15		765
	218		Federal Home Loan Mortgage Corp.—Government National Mortgage Association, Series 8, Class ZA, PAC, 7.000%, 03/25/23		245
			Federal Home Loan Mortgage Corp. REMIC,
	13		Series 11, Class D, 9.500%, 07/15/19		13
	10		Series 22, Class C, 9.500%, 04/15/20		11
	15		Series 23, Class F, 9.600%, 04/15/20		17
	—	(h)	Series 41, Class I, HB, 84.000%, 05/15/20		—	(h)
	1		Series 47, Class F, 10.000%, 06/15/20		1
	4		Series 99, Class Z, 9.500%, 01/15/21		5
	—	(h)	Series 204, Class E, HB, IF, 1,857.715%, 05/15/23		—	(h)
	—	(h)	Series 1045, Class G, HB, 1,066.209%, 02/15/21		—	(h)
	6		Series 1065, Class J, 9.000%, 04/15/21		7
	1		Series 1079, Class S, HB, IF, 33.475%, 05/15/21		2
	5		Series 1084, Class F, VAR, 1.104%, 05/15/21		5
	4		Series 1084, Class S, HB, IF, 44.530%, 05/15/21		7
	11		Series 1116, Class I, 5.500%, 08/15/21		12
	14		Series 1144, Class KB, 8.500%, 09/15/21		16
	—	(h)	Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21		—	(h)


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

			Agency CMO — Continued
	—	(h)	Series 1196, Class B, HB, IF, 1,180.839%, 01/15/22		6
	12		Series 1250, Class J, 7.000%, 05/15/22		14
	20		Series 1343, Class LA, 8.000%, 08/15/22		24
	25		Series 1343, Class LB, 7.500%, 08/15/22		30
	43		Series 1370, Class JA, VAR, 1.305%, 09/15/22		43
	44		Series 1455, Class WB, IF, 4.598%, 12/15/22		46
	198		Series 1466, Class PZ, 7.500%, 02/15/23		225
	3		Series 1470, Class F, VAR, 1.784%, 02/15/23		3
	220		Series 1498, Class I, VAR, 1.305%, 04/15/23		226
	319		Series 1502, Class PX, 7.000%, 04/15/23		357
	39		Series 1505, Class Q, 7.000%, 05/15/23		43
	91		Series 1518, Class G, IF, 8.804%, 05/15/23		103
	29		Series 1541, Class M, HB, IF, 24.394%, 07/15/23		49
	80		Series 1541, Class O, VAR, 1.980%, 07/15/23		84
	8		Series 1570, Class F, VAR, 2.284%, 08/15/23		9
	302		Series 1573, Class PZ, 7.000%, 09/15/23		342
	192		Series 1591, Class PV, 6.250%, 10/15/23		212
	27		Series 1602, Class SA, HB, IF, 22.248%, 10/15/23		46
	789		Series 1608, Class L, 6.500%, 09/15/23		871
	77		Series 1609, Class LG, IF, 16.999%, 11/15/23		85
	443		Series 1638, Class H, 6.500%, 12/15/23		495
	375		Series 1642, Class PJ, 6.000%, 11/15/23		422
	14		Series 1671, Class QC, IF, 10.000%, 02/15/24		18
	17		Series 1686, Class SH, IF, 18.890%, 02/15/24		25
	128		Series 1695, Class EB, 7.000%, 03/15/24		147
	25		Series 1699, Class FC, VAR, 0.755%, 03/15/24		26
	141		Series 1700, Class GA, PO, 02/15/24		127
	353		Series 1706, Class K, 7.000%, 03/15/24		401
	12		Series 1709, Class FA, VAR, 1.970%, 03/15/24		13
	36		Series 1745, Class D, 7.500%, 08/15/24		42
	758		Series 1760, Class ZD, VAR, 2.320%, 02/15/24		805
	285		Series 1798, Class F, 5.000%, 05/15/23		308


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
			Agency CMO — Continued
	6		Series 1807, Class G, 9.000%, 10/15/20		6
	75		Series 1829, Class ZB, 6.500%, 03/15/26		84
	76		Series 1863, Class Z, 6.500%, 07/15/26		85
	39		Series 1865, Class D, PO, 02/15/24		30
	58		Series 1890, Class H, 7.500%, 09/15/26		67
	162		Series 1899, Class ZE, 8.000%, 09/15/26		188
	9		Series 1935, Class FL, VAR, 0.854%, 02/15/27		9
	120		Series 1963, Class Z, 7.500%, 01/15/27		140
	18		Series 1970, Class PG, 7.250%, 07/15/27		21
	181		Series 1981, Class Z, 6.000%, 05/15/27		203
	82		Series 1987, Class PE, 7.500%, 09/15/27		92
	203		Series 2019, Class Z, 6.500%, 12/15/27		231
	61		Series 2033, Class SN, HB, IF, 27.910%, 03/15/24		35
	167		Series 2038, Class PN, IO, 7.000%, 03/15/28		40
	334		Series 2040, Class PE, 7.500%, 03/15/28		386
	54		Series 2043, Class CJ, 6.500%, 04/15/28		62
	269		Series 2054, Class PV, 7.500%, 05/15/28		311
	476		Series 2075, Class PH, 6.500%, 08/15/28		538
	535		Series 2075, Class PM, 6.250%, 08/15/28		604
	151		Series 2086, Class GB, 6.000%, 09/15/28		164
	223		Series 2089, Class PJ, IO, 7.000%, 10/15/28		44
	659		Series 2095, Class PE, 6.000%, 11/15/28		735
	213		Series 2125, Class JZ, 6.000%, 02/15/29		236
	48		Series 2132, Class SB, HB, IF, 29.863%, 03/15/29		86
	28		Series 2134, Class PI, IO, 6.500%, 03/15/19		3
	—	(h)	Series 2135, Class UK, IO, 6.500%, 03/15/14		—	(h)
	282		Series 2136, Class PG, 6.000%, 03/15/29		317
	85		Series 2141, Class IO, IO, 7.000%, 04/15/29		20
	72		Series 2163, Class PC, IO, 7.500%, 06/15/29		14
	804		Series 2169, Class TB, 7.000%, 06/15/29		929
	388		Series 2172, Class QC, 7.000%, 07/15/29		441
	352		Series 2176, Class OJ, 7.000%, 08/15/29		404
	199		Series 2201, Class C, 8.000%, 11/15/29		234
	180		Series 2209, Class TC, 8.000%, 01/15/30		218
	302		Series 2210, Class Z, 8.000%, 01/15/30		352
	84		Series 2224, Class CB, 8.000%, 03/15/30		102
	188		Series 2230, Class Z, 8.000%, 04/15/30		222


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — Continued
	136	Series 2234, Class PZ, 7.500%, 05/15/30		159
	114	Series 2247, Class Z, 7.500%, 08/15/30		133
	174	Series 2256, Class MC, 7.250%, 09/15/30		201
	325	Series 2259, Class ZM, 7.000%, 10/15/30		376
	9	Series 2261, Class ZY, 7.500%, 10/15/30		11
	39	Series 2262, Class Z, 7.500%, 10/15/30		46
	375	Series 2271, Class PC, 7.250%, 12/15/30		435
	493	Series 2283, Class K, 6.500%, 12/15/23		546
	168	Series 2296, Class PD, 7.000%, 03/15/31		195
	54	Series 2306, Class K, PO, 05/15/24		52
	129	Series 2306, Class SE, IF, IO, 7.780%, 05/15/24		22
	234	Series 2313, Class LA, 6.500%, 05/15/31		265
	298	Series 2325, Class PM, 7.000%, 06/15/31		321
	318	Series 2344, Class QG, 6.000%, 08/15/16		332
	1,799	Series 2344, Class ZD, 6.500%, 08/15/31		1,949
	152	Series 2344, Class ZJ, 6.500%, 08/15/31		171
	160	Series 2345, Class NE, 6.500%, 08/15/31		181
	98	Series 2345, Class PQ, 6.500%, 08/15/16		103
	178	Series 2351, Class PZ, 6.500%, 08/15/31		201
	1,431	Series 2353, Class AZ, 6.000%, 09/15/31		1,581
	131	Series 2353, Class TD, 6.000%, 09/15/16		138
	111	Series 2355, Class BP, 6.000%, 09/15/16		116
	73	Series 2359, Class PM, 6.000%, 09/15/16		76
	615	Series 2359, Class ZB, 8.500%, 06/15/31		741
	190	Series 2360, Class PG, 6.000%, 09/15/16		200
	44	Series 2363, Class PF, 6.000%, 09/15/16		46
	83	Series 2366, Class MD, 6.000%, 10/15/16		86
	301	Series 2367, Class ME, 6.500%, 10/15/31		321
	282	Series 2391, Class QR, 5.500%, 12/15/16		294
	126	Series 2394, Class MC, 6.000%, 12/15/16		132
	582	Series 2396, Class FM, VAR, 0.605%, 12/15/31		587
	336	Series 2399, Class OH, 6.500%, 01/15/32		364
	584	Series 2399, Class TH, 6.500%, 01/15/32		632
	525	Series 2410, Class NG, 6.500%, 02/15/32		571
	199	Series 2410, Class OE, 6.375%, 02/15/32		216
	364	Series 2410, Class QS, IF, 19.098%, 02/15/32		555
	190	Series 2410, Class QX, IF, IO, 8.496%, 02/15/32		51
	395	Series 2412, Class SP, IF, 15.791%, 02/15/32		518
	625	Series 2420, Class XK, 6.500%, 02/15/32		674
	480	Series 2423, Class MC, 7.000%, 03/15/32		556


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	451	Series 2423, Class MT, 7.000%, 03/15/32		520
	134	Series 2425, Class OB, 6.000%, 03/15/17		141
	967	Series 2430, Class WF, 6.500%, 03/15/32		1,097
	528	Series 2434, Class TC, 7.000%, 04/15/32		594
	565	Series 2435, Class CJ, 6.500%, 04/15/32		620
	445	Series 2436, Class MC, 7.000%, 04/15/32		506
	352	Series 2444, Class ES, IF, IO, 7.796%, 03/15/32		70
	242	Series 2450, Class GZ, 7.000%, 05/15/32		279
	281	Series 2450, Class SW, IF, IO, 7.846%, 03/15/32		67
	1,307	Series 2455, Class GK, 6.500%, 05/15/32		1,482
	70	Series 2458, Class QE, 5.500%, 06/15/17		73
	430	Series 2462, Class JG, 6.500%, 06/15/32		489
	949	Series 2464, Class SI, IF, IO, 7.846%, 02/15/32		218
	932	Series 2466, Class PH, 6.500%, 06/15/32		1,017
	407	Series 2474, Class NR, 6.500%, 07/15/32		462
	561	Series 2484, Class LZ, 6.500%, 07/15/32		630
	778	Series 2500, Class MC, 6.000%, 09/15/32		861
	52	Series 2503, Class BH, 5.500%, 09/15/17		55
	239	Series 2508, Class AQ, 5.500%, 10/15/17		255
	561	Series 2512, Class PG, 5.500%, 10/15/22		620
	316	Series 2535, Class BK, 5.500%, 12/15/22		350
	499	Series 2537, Class TE, 5.500%, 12/15/17		532
	1,029	Series 2543, Class YX, 6.000%, 12/15/32		1,151
	1,048	Series 2544, Class HC, 6.000%, 12/15/32		1,172
	1,150	Series 2552, Class ME, 6.000%, 01/15/33		1,286
	1,095	Series 2567, Class QD, 6.000%, 02/15/33		1,211
	783	Series 2568, Class KG, 5.500%, 02/15/23		857
	125	Series 2571, Class SK, HB, IF, 33.834%, 09/15/23		228
	2,821	Series 2575, Class ME, 6.000%, 02/15/33		3,153
	347	Series 2586, Class WI, IO, 6.500%, 03/15/33		79
	1,002	Series 2587, Class WX, 5.000%, 03/15/18		1,064
	773	Series 2596, Class QG, 6.000%, 03/15/33		857
	334	Series 2611, Class UH, 4.500%, 05/15/18		352
	598	Series 2617, Class GR, 4.500%, 05/15/18		631
	505	Series 2626, Class NS, IF, IO, 6.396%, 06/15/23		44
	691	Series 2631, Class LC, 4.500%, 06/15/18		728
	338	Series 2636, Class Z, 4.500%, 06/15/18		357
	435	Series 2637, Class SA, IF, IO, 5.946%, 06/15/18		34


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — Continued
	24	Series 2638, Class DS, IF, 8.446%, 07/15/23		27
	285	Series 2645, Class BI, IO, 4.500%, 02/15/18		2
	330	Series 2650, Class PO, PO, 12/15/32		325
	1,293	Series 2650, Class SO, PO, 12/15/32		1,252
	496	Series 2651, Class VZ, 4.500%, 07/15/18		524
	401	Series 2672, Class ME, 5.000%, 11/15/22		407
	2,219	Series 2675, Class CK, 4.000%, 09/15/18		2,333
	3,752	Series 2684, Class PO, PO, 01/15/33		3,671
	335	Series 2691, Class ME, 4.500%, 04/15/32		342
	138	Series 2692, Class SC, IF, 12.978%, 07/15/33		162
	682	Series 2695, Class DG, 4.000%, 10/15/18		716
	35	Series 2696, Class CO, PO, 10/15/18		34
	1,766	Series 2710, Class HB, 5.500%, 11/15/23		1,953
	449	Series 2715, Class OG, 5.000%, 01/15/23		458
	1,128	Series 2716, Class UN, 4.500%, 12/15/23		1,213
	565	Series 2720, Class PC, 5.000%, 12/15/23		612
	570	Series 2744, Class PE, 5.500%, 02/15/34		609
	927	Series 2744, Class TU, 5.500%, 05/15/32		977
	39	Series 2755, Class SA, IF, 13.891%, 05/15/30		39
	113	Series 2764, Class TE, 5.000%, 10/15/32		115
	237	Series 2777, Class OM, PO, 12/15/32		236
	46	Series 2780, Class JG, 4.500%, 04/15/19		48
	1,200	Series 2783, Class AT, 4.000%, 04/15/19		1,263
	3,007	Series 2809, Class UC, 4.000%, 06/15/19		3,164
	157	Series 2827, Class XO, PO, 01/15/23		157
	87	Series 2835, Class QO, PO, 12/15/32		78
	162	Series 2840, Class JO, PO, 06/15/23		160
	376	Series 2922, Class JN, 4.500%, 02/15/20		398
	790	Series 2934, Class EC, PO, 02/15/20		768
	14	Series 2934, Class EN, PO, 02/15/18		14
	658	Series 2934, Class HI, IO, 5.000%, 02/15/20		65
	599	Series 2934, Class KI, IO, 5.000%, 02/15/20		58
	542	Series 2958, Class QD, 4.500%, 04/15/20		573
	1,327	Series 2962, Class BE, 4.500%, 04/15/20		1,420
	2,754	Series 2965, Class GD, 4.500%, 04/15/20		2,932
	125	Series 2971, Class GC, 5.000%, 07/15/18		126
	76	Series 2989, Class PO, PO, 06/15/23		75
	4,330	Series 2990, Class U2, 5.750%, 06/15/35		4,708
	1,483	Series 3004, Class EK, 5.500%, 07/15/35		1,565


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	32	Series 3007, Class AI, IO, 5.500%, 07/15/24		1
	74	Series 3014, Class OD, PO, 08/15/35		57
	295	Series 3047, Class OB, 5.500%, 12/15/33		298
	944	Series 3047, Class OD, 5.500%, 10/15/35		1,059
	573	Series 3049, Class XF, VAR, 0.505%, 05/15/33		573
	3,095	Series 3064, Class MC, 5.500%, 11/15/35		3,498
	121	Series 3068, Class AO, PO, 01/15/35		120
	424	Series 3068, Class QB, 4.500%, 06/15/20		442
	2,141	Series 3074, Class BH, 5.000%, 11/15/35		2,358
	602	Series 3085, Class WF, VAR, 0.954%, 08/15/35		612
	1,080	Series 3102, Class FB, VAR, 0.455%, 01/15/36		1,082
	257	Series 3102, Class HS, HB, IF, 24.000%, 01/15/36		394
	1,104	Series 3117, Class EO, PO, 02/15/36		1,008
	636	Series 3117, Class OK, PO, 02/15/36		578
	17	Series 3122, Class ZB, 6.000%, 03/15/36		17
	2,308	Series 3131, Class BK, 5.500%, 03/15/26		2,565
	206	Series 3134, Class PO, PO, 03/15/36		189
	968	Series 3138, Class PO, PO, 04/15/36		912
	31	Series 3149, Class SO, PO, 05/15/36		24
	913	Series 3151, Class UC, 5.500%, 08/15/35		963
	721	Series 3152, Class MO, PO, 03/15/36		676
	206	Series 3171, Class MO, PO, 06/15/36		194
	822	Series 3179, Class OA, PO, 07/15/36		770
	197	Series 3194, Class SA, IF, IO, 6.946%, 07/15/36		39
	747	Series 3211, Class SO, PO, 09/15/36		664
	358	Series 3218, Class AO, PO, 09/15/36		336
	829	Series 3219, Class DI, IO, 6.000%, 04/15/36		148
	1,500	Series 3229, Class HE, 5.000%, 10/15/26		1,662
	763	Series 3232, Class ST, IF, IO, 6.545%, 10/15/36		125
	334	Series 3233, Class OP, PO, 05/15/36		303
	297	Series 3242, Class NE, 5.750%, 02/15/34		300
	501	Series 3256, Class PO, PO, 12/15/36		444
	952	Series 3260, Class CS, IF, IO, 5.986%, 01/15/37		146
	519	Series 3261, Class OA, PO, 01/15/37		443
	323	Series 3274, Class JO, PO, 02/15/37		297
	240	Series 3275, Class FL, VAR, 0.595%, 02/15/37		240


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — Continued
	1,222	Series 3290, Class SB, IF, IO, 6.296%, 03/15/37		180
	2,532	Series 3315, Class HZ, 6.000%, 05/15/37		2,816
	100	Series 3318, Class AO, PO, 05/15/37		92
	184	Series 3326, Class JO, PO, 06/15/37		174
	615	Series 3331, Class PO, PO, 06/15/37		535
	638	Series 3385, Class SN, IF, IO, 5.846%, 11/15/37		98
	868	Series 3387, Class SA, IF, IO, 6.266%, 11/15/37		122
	1,355	Series 3404, Class SC, IF, IO, 5.846%, 01/15/38		187
	5,163	Series 3422, Class AI, IO, SUB, 0.250%, 01/15/38		59
	816	Series 3424, Class PI, IF, IO, 6.645%, 04/15/38		107
	1,559	Series 3481, Class SJ, IF, IO, 5.695%, 08/15/38		192
	1,191	Series 3505, Class SA, IF, IO, 5.846%, 01/15/39		177
	1,358	Series 3511, Class SA, IF, IO, 5.846%, 02/15/39		204
	484	Series 3549, Class FA, VAR, 1.355%, 07/15/39		493
	495	Series 3607, Class BO, PO, 04/15/36		454
	1,163	Series 3607, Class OP, PO, 07/15/37		1,074
	699	Series 3607, Class PO, PO, 05/15/37		617
	214	Series 3611, Class PO, PO, 07/15/34		185
	589	Series 3621, Class BO, PO, 01/15/40		546
	669	Series 3720, Class A, 4.500%, 09/15/25		725
	2,125	Series 3739, Class LI, IO, 4.000%, 03/15/34		128
	5,543	Series 3747, Class HI, IO, 4.500%, 07/15/37		688
	1,000	Series 3747, Class PY, 4.000%, 10/15/40		1,007
	2,685	Series 3759, Class HI, IO, 4.000%, 08/15/37		279
	2,600	Series 3760, Class GI, IO, 4.000%, 10/15/37		299
	9,334	Series 3774, Class EW, 3.500%, 12/15/25		9,610
	5,000	Series 3793, Class AB, 3.500%, 01/15/26		5,111
	188	Series 3798, Class BF, VAR, 0.455%, 06/15/24		188
	996	Series 3804, Class FN, VAR, 0.605%, 03/15/39		993
	4,262	Series 3819, Class ZQ, 6.000%, 04/15/36		4,763
	806	Series 3852, Class QN, IF, 5.500%, 05/15/41		856


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	2,235	Series 3852, Class TP, IF, 5.500%, 05/15/41		2,420
	2,980	Series 3920, Class LP, 5.000%, 01/15/34		3,245
	1,565	Series 3925, Class FL, VAR, 0.605%, 01/15/41		1,571
	1,333	Series 3957, Class B, 4.000%, 11/15/41		1,386
	1,578	Series 3966, Class NA, 4.000%, 12/15/41		1,642
	1,166	Series 3997, Class PF, VAR, 0.605%, 11/15/39		1,169
	3,642	Series 4048, Class FJ, VAR, 0.565%, 07/15/37		3,618
	2,000	Series 4217, Class KY, 3.000%, 06/15/43		1,761
	8,103	Series 4219, Class JA, 3.500%, 08/15/39		8,427
	2,501	Series 4240, Class B, 3.000%, 08/15/33		2,218
	1,300	Series 4244, Class GL, 3.000%, 08/15/33		1,163
	3,684	Series 4251, Class KW, 2.500%, 04/15/28		3,365
		Federal Home Loan Mortgage Corp. STRIPS,
	2	Series 134, Class B, IO, 9.000%, 04/01/22		1
	1,598	Series 233, Class 11, IO, 5.000%, 09/15/35		296
	2,266	Series 233, Class 13, IO, 5.000%, 09/15/35		407
	453	Series 243, Class 16, IO, 4.500%, 11/15/20		35
	1,016	Series 243, Class 17, IO, 4.500%, 12/15/20		81
	8,810	Series 262, Class 35, 3.500%, 07/15/42		8,900
	2,474	Series 264, Class F1, VAR, 0.705%, 07/15/42		2,479
	2,294	Series 267, Class F5, VAR, 0.655%, 08/15/42		2,294
	2,793	Series 281, Class F1, VAR, 0.655%, 10/15/42		2,786
	9,395	Series 299, Class 300, 3.000%, 01/15/43		9,383
	2,501	Series 310, Class PO, PO, 09/15/43		1,845
		Federal Home Loan Mortgage Corp. Structured Pass-Through Securities,
	570	Series T-41, Class 3A, VAR, 6.562%, 07/25/32		667
	337	Series T-51, Class 2A, VAR, 7.500%, 08/25/42		406
	1,959	Series T-54, Class 2A, 6.500%, 02/25/43		2,320
	584	Series T-54, Class 3A, 7.000%, 02/25/43		680
	240	Series T-58, Class APO, PO, 09/25/43		196
	526	Series T-59, Class 1AP, PO, 10/25/43		452
	2,059	Series T-76, Class 2A, VAR, 3.115%, 10/25/37		2,026
		Federal National Mortgage Association — ACES,
	3,300	Series 2010-M3, Class A3, VAR, 4.332%, 03/25/20		3,637
	1,416	Series 2011-M2, Class A2, 3.645%, 04/25/21		1,507


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

			Agency CMO — Continued
	8,500		Series 2011-M2, Class A3, 3.764%, 04/25/21		9,010
	763		Series 2012-M11, Class FA, VAR, 0.688%, 08/25/19		764
	4,100		Series 2012-M9, Class A2, 2.482%, 04/25/22		3,952
	4,200		Series 2013-M13, Class A2, VAR, 2.624%, 04/25/23		4,019
	1,878		Series 2013-M7, Class A2, 2.280%, 12/27/22		1,760
	8,000		Series 2013-M9, Class A2, VAR, 2.389%, 01/25/23		7,555
	2,664		Series 2014-M2, Class A2, VAR, 3.513%, 12/25/23		2,715
			Federal National Mortgage Association Grantor Trust,
	952		Series 2002-T19, Class A2, 7.000%, 07/25/42		1,056
	722		Series 2004-T3, Class 1A3, 7.000%, 02/25/44		823
			Federal National Mortgage Association REMIC,
	5		Series 1988-7, Class Z, 9.250%, 04/25/18		6
	12		Series 1989-70, Class G, 8.000%, 10/25/19		13
	5		Series 1989-78, Class H, 9.400%, 11/25/19		5
	9		Series 1989-83, Class H, 8.500%, 11/25/19		10
	7		Series 1989-89, Class H, 9.000%, 11/25/19		8
	7		Series 1990-1, Class D, 8.800%, 01/25/20		8
	1		Series 1990-60, Class K, 5.500%, 06/25/20		1
	3		Series 1990-63, Class H, 9.500%, 06/25/20		4
	2		Series 1990-93, Class G, 5.500%, 08/25/20		2
	—	(h)	Series 1990-94, Class H, HB, 505.000%, 08/25/20		1
	—	(h)	Series 1990-95, Class J, HB, 1,118.040%, 08/25/20		1
	16		Series 1990-102, Class J, 6.500%, 08/25/20		18
	19		Series 1990-120, Class H, 9.000%, 10/25/20		22
	2		Series 1990-134, Class SC, HB, IF, 21.367%, 11/25/20		3
	—	(h)	Series 1990-140, Class K, HB, 652.145%, 12/25/20		2
	—	(h)	Series 1991-7, Class K, HB, 908.500%, 02/25/21		—	(h)
	8		Series 1991-24, Class Z, 5.000%, 03/25/21		8
	1		Series 1992-101, Class J, 7.500%, 06/25/22		1


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	44	Series 1992-136, Class PK, 6.000%, 08/25/22		48
	30	Series 1992-143, Class MA, 5.500%, 09/25/22		33
	103	Series 1992-163, Class M, 7.750%, 09/25/22		117
	168	Series 1992-188, Class PZ, 7.500%, 10/25/22		190
	67	Series 1993-21, Class KA, 7.700%, 03/25/23		76
	107	Series 1993-25, Class J, 7.500%, 03/25/23		122
	26	Series 1993-27, Class SA, IF, 15.500%, 02/25/23		38
	39	Series 1993-62, Class SA, IF, 18.704%, 04/25/23		56
	20	Series 1993-165, Class SD, IF, 13.194%, 09/25/23		25
	43	Series 1993-165, Class SK, IF, 12.500%, 09/25/23		50
	29	Series 1993-179, Class SB, HB, IF, 26.320%, 10/25/23		47
	19	Series 1993-179, Class SC, IF, 10.500%, 10/25/23		24
	50	Series 1993-199, Class FA, VAR, 0.705%, 10/25/23		50
	56	Series 1993-205, Class H, PO, 09/25/23		49
	88	Series 1993-225, Class UB, 6.500%, 12/25/23		99
	30	Series 1993-230, Class FA, VAR, 0.755%, 12/25/23		30
	81	Series 1993-247, Class FE, VAR, 1.156%, 12/25/23		83
	38	Series 1993-247, Class SU, IF, 12.166%, 12/25/23		49
	76	Series 1993-250, Class Z, 7.000%, 12/25/23		78
	317	Series 1994-37, Class L, 6.500%, 03/25/24		352
	1,568	Series 1994-40, Class Z, 6.500%, 03/25/24		1,736
	72	Series 1995-2, Class Z, 8.500%, 01/25/25		85
	269	Series 1995-19, Class Z, 6.500%, 11/25/23		310
	329	Series 1996-14, Class SE, IF, IO, 7.930%, 08/25/23		62
	9	Series 1996-27, Class FC, VAR, 0.655%, 03/25/17		9
	30	Series 1996-59, Class J, 6.500%, 08/25/22		33
	343	Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27		14
	23	Series 1997-27, Class J, 7.500%, 04/18/27		26


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — Continued
	52	Series 1997-29, Class J, 7.500%, 04/20/27		61
	326	Series 1997-39, Class PD, 7.500%, 05/20/27		384
	31	Series 1997-42, Class ZC, 6.500%, 07/18/27		35
	605	Series 1997-61, Class ZC, 7.000%, 02/25/23		683
	100	Series 1997-81, Class PI, IO, 7.000%, 12/18/27		22
	12	Series 1998-4, Class C, PO, 04/25/23		11
	215	Series 1998-36, Class ZB, 6.000%, 07/18/28		236
	113	Series 1998-43, Class SA, IF, IO, 17.003%, 04/25/23		36
	212	Series 1998-66, Class SB, IF, IO, 7.994%, 12/25/28		43
	111	Series 1999-17, Class C, 6.350%, 04/25/29		125
	612	Series 1999-18, Class Z, 5.500%, 04/18/29		670
	142	Series 1999-38, Class SK, IF, IO, 7.895%, 08/25/23		17
	54	Series 1999-52, Class NS, HB, IF, 22.945%, 10/25/23		85
	155	Series 1999-62, Class PB, 7.500%, 12/18/29		179
	486	Series 2000-2, Class ZE, 7.500%, 02/25/30		562
	287	Series 2000-20, Class SA, IF, IO, 8.944%, 07/25/30		72
	36	Series 2000-52, Class IO, IO, 8.500%, 01/25/31		8
	169	Series 2001-4, Class PC, 7.000%, 03/25/21		187
	100	Series 2001-7, Class PF, 7.000%, 03/25/31		116
	13	Series 2001-7, Class PR, 6.000%, 03/25/16		13
	8	Series 2001-10, Class PR, 6.000%, 04/25/16		8
	335	Series 2001-30, Class PM, 7.000%, 07/25/31		385
	356	Series 2001-33, Class ID, IO, 6.000%, 07/25/31		83
	319	Series 2001-36, Class DE, 7.000%, 08/25/31		369
	744	Series 2001-44, Class MY, 7.000%, 09/25/31		860
	120	Series 2001-44, Class PD, 7.000%, 09/25/31		137
	120	Series 2001-44, Class PU, 7.000%, 09/25/31		139
	1,229	Series 2001-48, Class Z, 6.500%, 09/25/21		1,372
	99	Series 2001-49, Class Z, 6.500%, 09/25/31		111


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	88	Series 2001-52, Class KB, 6.500%, 10/25/31		100
	97	Series 2001-52, Class XN, 6.500%, 11/25/15		101
	1,100	Series 2001-61, Class Z, 7.000%, 11/25/31		1,254
	81	Series 2001-71, Class MB, 6.000%, 12/25/16		85
	170	Series 2001-71, Class QE, 6.000%, 12/25/16		178
	47	Series 2001-72, Class SX, IF, 17.104%, 12/25/31		64
	282	Series 2001-74, Class MB, 6.000%, 12/25/16		296
	98	Series 2002-1, Class HC, 6.500%, 02/25/22		108
	121	Series 2002-1, Class SA, HB, IF, 24.682%, 02/25/32		205
	81	Series 2002-1, Class UD, HB, IF, 23.956%, 12/25/23		131
	235	Series 2002-2, Class UC, 6.000%, 02/25/17		247
	563	Series 2002-3, Class OG, 6.000%, 02/25/17		589
	125	Series 2002-7, Class OG, 6.000%, 03/25/17		131
	359	Series 2002-7, Class TG, 6.000%, 03/25/17		375
	134	Series 2002-10, Class SB, IF, 18.827%, 03/25/17		159
	1,146	Series 2002-13, Class SJ, IF, IO, 1.600%, 03/25/32		60
	17	Series 2002-13, Class ST, IF, 10.000%, 03/25/32		21
	1	Series 2002-18, Class PC, 5.500%, 04/25/17		1
	126	Series 2002-19, Class PE, 6.000%, 04/25/17		132
	34	Series 2002-21, Class LO, PO, 04/25/32		31
	335	Series 2002-21, Class PE, 6.500%, 04/25/32		366
	300	Series 2002-24, Class AJ, 6.000%, 04/25/17		317
	103	Series 2002-25, Class SG, IF, 18.947%, 05/25/17		125
	864	Series 2002-28, Class PK, 6.500%, 05/25/32		979
	200	Series 2002-37, Class Z, 6.500%, 06/25/32		225
	224	Series 2002-42, Class C, 6.000%, 07/25/17		237
	1,160	Series 2002-48, Class GH, 6.500%, 08/25/32		1,315
	486	Series 2002-62, Class ZE, 5.500%, 11/25/17		516


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — Continued
	131	Series 2002-63, Class KC, 5.000%, 10/25/17		138
	198	Series 2002-77, Class S, IF, 14.198%, 12/25/32		258
	644	Series 2002-83, Class CS, 6.881%, 08/25/23		727
	1,010	Series 2002-94, Class BK, 5.500%, 01/25/18		1,065
	496	Series 2003-3, Class HJ, 5.000%, 02/25/18		526
	2,524	Series 2003-22, Class UD, 4.000%, 04/25/33		2,664
	1,229	Series 2003-33, Class IA, IO, 6.500%, 05/25/33		273
	805	Series 2003-34, Class AX, 6.000%, 05/25/33		899
	1,516	Series 2003-34, Class ED, 6.000%, 05/25/33		1,724
	50	Series 2003-35, Class UC, 3.750%, 05/25/33		52
	147	Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33		31
	1,319	Series 2003-39, Class LW, 5.500%, 05/25/23		1,457
	1,153	Series 2003-41, Class PE, 5.500%, 05/25/23		1,262
	309	Series 2003-42, Class GB, 4.000%, 05/25/33		330
	46	Series 2003-45, Class AI, IO, 5.500%, 05/25/33		1
	552	Series 2003-47, Class PE, 5.750%, 06/25/33		607
	207	Series 2003-52, Class SX, HB, IF, 22.484%, 10/25/31		346
	148	Series 2003-64, Class SX, IF, 13.354%, 07/25/33		165
	571	Series 2003-71, Class DS, IF, 7.255%, 08/25/33		577
	354	Series 2003-71, Class IM, IO, 5.500%, 12/25/31		12
	1,250	Series 2003-72, Class IE, IO, 5.500%, 08/25/33		242
	95	Series 2003-74, Class SH, IF, 9.890%, 08/25/33		102
	405	Series 2003-76, Class GQ, 4.500%, 08/25/18		429
	996	Series 2003-80, Class SY, IF, IO, 7.495%, 06/25/23		93
	729	Series 2003-81, Class LC, 4.500%, 09/25/18		771


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	1,577	Series 2003-83, Class PG, 5.000%, 06/25/23		1,675
	300	Series 2003-91, Class SD, IF, 12.241%, 09/25/33		368
	1,693	Series 2003-116, Class SB, IF, IO, 7.445%, 11/25/33		334
	394	Series 2003-122, Class TE, 5.000%, 12/25/22		399
	438	Series 2003-128, Class NG, 4.000%, 01/25/19		460
	125	Series 2003-130, Class SX, IF, 11.287%, 01/25/34		149
	155	Series 2003-132, Class OA, PO, 08/25/33		149
	1,561	Series 2004-4, Class QI, IF, IO, 6.945%, 06/25/33		215
	148	Series 2004-4, Class QM, IF, 13.889%, 06/25/33		177
	743	Series 2004-10, Class SC, HB, IF, 27.978%, 02/25/34		1,072
	742	Series 2004-25, Class PC, 5.500%, 01/25/34		795
	1,220	Series 2004-25, Class SA, IF, 19.097%, 04/25/34		1,690
	2,469	Series 2004-27, Class HB, 4.000%, 05/25/19		2,628
	508	Series 2004-36, Class PC, 5.500%, 02/25/34		545
	1,511	Series 2004-36, Class SA, IF, 19.097%, 05/25/34		2,070
	520	Series 2004-36, Class SN, IF, 13.889%, 07/25/33		616
	1,586	Series 2004-37, Class AG, 4.500%, 11/25/32		1,637
	599	Series 2004-46, Class QB, HB, IF, 23.378%, 05/25/34		891
	1,973	Series 2004-46, Class SK, IF, 16.072%, 05/25/34		2,498
	323	Series 2004-51, Class SY, IF, 13.929%, 07/25/34		401
	352	Series 2004-53, Class NC, 5.500%, 07/25/24		390
	449	Series 2004-59, Class BG, PO, 12/25/32		404
	955	Series 2004-61, Class FH, VAR, 0.956%, 11/25/32		975
	126	Series 2004-61, Class SK, IF, 8.500%, 11/25/32		143
	307	Series 2004-76, Class CL, 4.000%, 10/25/19		323


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — Continued
	578	Series 2004-79, Class SP, IF, 19.372%, 11/25/34		777
	136	Series 2004-81, Class AC, 4.000%, 11/25/19		143
	7	Series 2004-92, Class JO, PO, 12/25/34		7
	154	Series 2005-52, Class PA, 6.500%, 06/25/35		165
	1,670	Series 2005-56, Class S, IF, IO, 6.554%, 07/25/35		312
	381	Series 2005-66, Class SG, IF, 16.986%, 07/25/35		489
	761	Series 2005-68, Class BC, 5.250%, 06/25/35		828
	1,708	Series 2005-68, Class PG, 5.500%, 08/25/35		1,897
	1,030	Series 2005-68, Class UC, 5.000%, 06/25/35		1,112
	766	Series 2005-74, Class CS, IF, 19.592%, 05/25/35		1,062
	6,689	Series 2005-84, Class XM, 5.750%, 10/25/35		7,330
	2,949	Series 2005-109, Class PC, 6.000%, 12/25/35		3,273
	10,611	Series 2005-110, Class GK, 5.500%, 08/25/34		11,214
	4,326	Series 2005-110, Class GL, 5.500%, 12/25/35		4,829
	2,625	Series 2005-110, Class MN, 5.500%, 06/25/35		2,822
	667	Series 2005-116, Class PB, 6.000%, 04/25/34		702
	215	Series 2006-15, Class OT, PO, 01/25/36		209
	576	Series 2006-16, Class OA, PO, 03/25/36		509
	763	Series 2006-22, Class AO, PO, 04/25/36		687
	252	Series 2006-23, Class KO, PO, 04/25/36		239
	2,419	Series 2006-39, Class WC, 5.500%, 01/25/36		2,666
	128	Series 2006-42, Class CF, VAR, 0.605%, 06/25/36		128
	1,279	Series 2006-44, Class GO, PO, 06/25/36		1,169
	2,827	Series 2006-44, Class P, PO, 12/25/33		2,577
	1,792	Series 2006-46, Class UC, 5.500%, 12/25/35		1,978
	1,878	Series 2006-53, Class US, IF, IO, 6.424%, 06/25/36		313
	1,689	Series 2006-56, Class FC, VAR, 0.445%, 07/25/36		1,689


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
			Agency CMO — Continued
	1,680		Series 2006-56, Class PF, VAR, 0.505%, 07/25/36		1,683
	941		Series 2006-56, Class PO, PO, 07/25/36		794
	1,299		Series 2006-58, Class AP, PO, 07/25/36		1,211
	140		Series 2006-58, Class FL, VAR, 0.616%, 07/25/36		141
	562		Series 2006-58, Class PO, PO, 07/25/36		512
	849		Series 2006-59, Class QO, PO, 01/25/33		847
	3,288		Series 2006-60, Class DZ, 6.500%, 07/25/36		4,028
	870		Series 2006-65, Class QO, PO, 07/25/36		795
	220		Series 2006-72, Class TO, PO, 08/25/36		206
	3,539		Series 2006-77, Class PC, 6.500%, 08/25/36		4,035
	725		Series 2006-79, Class DO, PO, 08/25/36		662
	593		Series 2006-90, Class AO, PO, 09/25/36		566
	239		Series 2006-109, Class PO, PO, 11/25/36		220
	1,830		Series 2006-110, Class PO, PO, 11/25/36		1,681
	156		Series 2006-111, Class EO, PO, 11/25/36		147
	975		Series 2006-118, Class A2, VAR, 0.216%, 12/25/36		951
	252		Series 2006-119, Class PO, PO, 12/25/36		230
	3,742		Series 2006-124, Class HB, VAR, 5.963%, 11/25/36		3,843
	1,000		Series 2006-128, Class BP, 5.500%, 01/25/37		1,109
	1,038		Series 2006-130, Class GI, IO, 6.500%, 07/25/32		197
	785		Series 2007-7, Class SG, IF, IO, 6.345%, 08/25/36		151
	2,898		Series 2007-14, Class ES, IF, IO, 6.284%, 03/25/37		418
	268		Series 2007-15, Class NO, PO, 03/25/22		257
	1,044		Series 2007-16, Class FC, VAR, 0.906%, 03/25/37		1,045
	345		Series 2007-42, Class AO, PO, 05/25/37		329
	—	(h)	Series 2007-46, Class VK, 5.500%, 03/25/22		—	(h)
	392		Series 2007-48, Class PO, PO, 05/25/37		351
	1,211		Series 2007-54, Class FA, VAR, 0.555%, 06/25/37		1,212
	6,376		Series 2007-60, Class AX, IF, IO, 6.995%, 07/25/37		1,025
	299		Series 2007-77, Class FG, VAR, 0.655%, 03/25/37		301
	1,400		Series 2007-81, Class GE, 6.000%, 08/25/37		1,569


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — Continued
	2,151	Series 2007-84, Class PG, 6.000%, 12/25/36		2,273
	4,074	Series 2007-88, Class VI, IF, IO, 6.384%, 09/25/37		593
	2,778	Series 2007-91, Class ES, IF, IO, 6.305%, 10/25/37		431
	1,887	Series 2007-97, Class KI, IO, 7.000%, 05/25/33		461
	3,240	Series 2007-101, Class A2, VAR, 0.406%, 06/27/36		3,189
	768	Series 2007-106, Class A7, VAR, 6.033%, 10/25/37		856
	3,000	Series 2007-114, Class A6, VAR, 0.356%, 10/27/37		2,992
	2,192	Series 2007-116, Class HI, IO, VAR, 1.577%, 01/25/38		176
	52	Series 2007-118, Class IO, IO, 6.000%, 06/25/36		3
	1,546	Series 2008-1, Class BI, IF, IO, 5.754%, 02/25/38		174
	1,141	Series 2008-10, Class XI, IF, IO, 6.075%, 03/25/38		167
	669	Series 2008-16, Class IS, IF, IO, 6.045%, 03/25/38		103
	851	Series 2008-19, Class IC, IO, 5.000%, 03/25/23		62
	947	Series 2008-24, Class DY, 5.000%, 04/25/23		1,008
	715	Series 2008-27, Class SN, IF, IO, 6.744%, 04/25/38		114
	422	Series 2008-39, Class CI, IO, 4.500%, 05/25/18		28
	511	Series 2008-42, Class AO, PO, 09/25/36		493
	56	Series 2008-44, Class PO, PO, 05/25/38		53
	824	Series 2008-47, Class SI, IF, IO, 6.345%, 06/25/23		101
	971	Series 2008-53, Class CI, IF, IO, 7.045%, 07/25/38		167
	452	Series 2008-76, Class GF, VAR, 0.806%, 09/25/23		454
	2,256	Series 2008-80, Class SA, IF, IO, 5.695%, 09/25/38		253
	1,402	Series 2008-81, Class SB, IF, IO, 5.695%, 09/25/38		157
	1,949	Series 2009-6, Class GS, IF, IO, 6.395%, 02/25/39		321
	902	Series 2009-9, Class IO, IO, 5.000%, 02/25/24		90


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	848	Series 2009-18, Class IO, IO, 5.000%, 03/25/24		74
	2,500	Series 2009-19, Class IP, IO, 5.500%, 10/25/36		537
	1,450	Series 2009-60, Class HT, 6.000%, 08/25/39		1,637
	1,005	Series 2009-62, Class HJ, 6.000%, 05/25/39		1,104
	1,464	Series 2009-70, Class CO, PO, 01/25/37		1,384
	1,207	Series 2009-86, Class UI, IO, 4.000%, 10/25/14		23
	1,001	Series 2009-99, Class SC, IF, IO, 6.024%, 12/25/39		121
	1,084	Series 2009-103, Class MB, VAR, 2.516%, 12/25/39		1,114
	1,497	Series 2010-45, Class BD, 4.500%, 11/25/38		1,569
	1,649	Series 2010-49, Class SC, IF, 12.349%, 03/25/40		1,906
	1,065	Series 2010-64, Class DM, 5.000%, 06/25/40		1,167
	1,211	Series 2010-71, Class HJ, 5.500%, 07/25/40		1,340
	2,702	Series 2010-133, Class A, 5.500%, 05/25/38		2,954
	3,306	Series 2010-147, Class SA, IF, IO, 6.374%, 01/25/41		702
	1,509	Series 2010-148, Class MA, 4.000%, 02/25/39		1,551
	1,415	Series 2011-2, Class WA, VAR, 5.829%, 02/25/51		1,519
	1,920	Series 2011-22, Class MA, 6.500%, 04/25/38		2,181
	3,713	Series 2011-30, Class LS, IO, VAR, 2.575%, 04/25/41		265
	2,500	Series 2011-31, Class DB, 3.500%, 04/25/31		2,536
	7,500	Series 2011-44, Class EB, 3.000%, 05/25/26		7,445
	946	Series 2011-75, Class FA, VAR, 0.705%, 08/25/41		955
	1,837	Series 2011-118, Class MT, 7.000%, 11/25/41		2,125
	2,514	Series 2011-130, Class CA, 6.000%, 12/25/41		2,770
	1,556	Series 2012-14, Class FB, VAR, 0.605%, 08/25/37		1,561
	8,732	Series 2012-47, Class HF, VAR, 0.555%, 05/25/27		8,752


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

			Agency CMO — Continued
	3,000		Series 2012-66, Class CB, 3.000%, 06/25/32		2,702
	5,934		Series 2012-99, Class AE, 2.500%, 05/25/39		5,783
	3,692		Series 2012-108, Class F, VAR, 0.655%, 10/25/42		3,681
	4,650		Series 2012-137, Class CF, VAR, 0.455%, 08/25/41		4,606
	2,000		Series 2013-81, Class TA, 3.000%, 02/25/43		1,937
	1,694		Series 2013-90, Class PM, 3.500%, 09/25/43		1,528
	2,435		Series 2013-92, Class PO, PO, 09/25/43		1,800
	3,349		Series 2013-101, Class AE, 3.000%, 10/25/33		3,122
	3,697		Series 2013-101, Class DO, PO, 10/25/43		2,741
	3,000		Series 2013-101, Class E, 3.000%, 10/25/33		2,743
	3,500		Series 2013-103, Class VG, 3.000%, 03/25/30		3,316
	4,000		Series 2013-108, Class GU, 3.000%, 10/25/33		3,708
	4,940		Series 2013-128, Class PO, PO, 12/25/43		3,622
	—	(h)	Series G-17, Class S, HB, VAR, 1,064.873%, 06/25/21		7
	22		Series G-28, Class S, IF, 14.945%, 09/25/21		27
	28		Series G-35, Class M, 8.750%, 10/25/21		31
	10		Series G-51, Class SA, HB, IF, 23.842%, 12/25/21		14
	—	(h)	Series G92-27, Class SQ, HB, IF, 1,857.460%, 05/25/22		1
	142		Series G92-35, Class E, 7.500%, 07/25/22		158
	—	(h)	Series G92-35, Class G, HB, 1,184.775%, 07/25/22		3
	17		Series G92-42, Class Z, 7.000%, 07/25/22		19
	388		Series G92-44, Class ZQ, 8.000%, 07/25/22		423
	23		Series G92-52, Class FD, VAR, 0.176%, 09/25/22		23
	167		Series G92-54, Class ZQ, 7.500%, 09/25/22		186
	22		Series G92-59, Class F, VAR, 1.484%, 10/25/22		22
	43		Series G92-61, Class Z, 7.000%, 10/25/22		50
	28		Series G92-62, Class B, PO, 10/25/22		27
	151		Series G93-1, Class KA, 7.900%, 01/25/23		172
	33		Series G93-5, Class Z, 6.500%, 02/25/23		38
	42		Series G93-14, Class J, 6.500%, 03/25/23		48
	103		Series G93-17, Class SI, IF, 6.000%, 04/25/23		114


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
			Agency CMO — Continued
	92		Series G93-27, Class FD, VAR, 1.036%, 08/25/23		94
	23		Series G93-37, Class H, PO, 09/25/23		20
	44		Series G95-1, Class C, 8.800%, 01/25/25		51
			Federal National Mortgage Association REMIC Trust,
	964		Series 2003-W1, Class 1A1, VAR, 5.946%, 12/25/42		1,123
	369		Series 2003-W1, Class 2A, VAR, 6.683%, 12/25/42		435
	145		Series 2003-W4, Class 2A, VAR, 6.404%, 10/25/42		163
	74		Series 2007-W7, Class 1A4, HB, IF, 38.247%, 07/25/37		133
	2,418		Series 2009-W1, Class A, 6.000%, 12/25/49		2,747
			Federal National Mortgage Association STRIPS,
	2		Series 23, Class 2, IO, 10.000%, 09/01/17		—	(h)
	—	(h)	Series 50, Class 2, IO, 10.500%, 03/01/19		—	(h)
	13		Series 218, Class 2, IO, 7.500%, 04/01/23		3
	14		Series 265, Class 2, 9.000%, 03/01/24		17
	171		Series 329, Class 1, PO, 01/01/33		155
	506		Series 339, Class 18, IO, 4.500%, 07/01/18		33
	721		Series 339, Class 21, IO, 4.500%, 08/25/18		48
	367		Series 339, Class 28, IO, 5.500%, 07/01/18		28
	220		Series 345, Class 6, IO, VAR, 5.000%, 12/01/33		39
	791		Series 351, Class 7, IO, VAR, 5.000%, 04/01/34		119
	665		Series 355, Class 11, IO, 6.000%, 07/01/34		115
	295		Series 355, Class 31, IO, VAR, 4.500%, 12/01/18		21
	1,180		Series 365, Class 8, IO, 5.500%, 05/01/36		213
	156		Series 368, Class 3, IO, 4.500%, 11/01/20		12
	600		Series 374, Class 5, IO, 5.500%, 08/01/36		109
	329		Series 383, Class 32, IO, 6.000%, 01/01/38		60
	864		Series 383, Class 33, IO, 6.000%, 01/01/38		159
	202		Series 393, Class 6, IO, 5.500%, 04/25/37		35
			Federal National Mortgage Association Trust,
	254		Series 2004-W1, Class 2A2, 7.000%, 12/25/33		295
	1,140		Series 2004-W15, Class 2AF, VAR, 0.406%, 08/25/44		1,129
	783		Series 2004-W2, Class 2A2, 7.000%, 02/25/44		913
	2,815		Series 2005-W3, Class 2AF, VAR, 0.376%, 03/25/45		2,809


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — Continued
	991	Series 2006-W2, Class 1AF1, VAR, 0.376%, 02/25/36		979
		Government National Mortgage Association,
	1,523	Series 1994-7, Class PQ, 6.500%, 10/16/24		1,761
	1,038	Series 1999-4, Class ZB, 6.000%, 02/20/29		1,165
	1,042	Series 1999-10, Class ZC, 6.500%, 04/20/29		1,181
	99	Series 1999-30, Class S, IF, IO, 8.445%, 08/16/29		21
	15	Series 1999-33, Class SM, IF, 9.200%, 09/16/29		18
	213	Series 1999-40, Class ZW, 7.500%, 11/20/29		249
	288	Series 1999-41, Class Z, 8.000%, 11/16/29		343
	109	Series 1999-44, Class PC, 7.500%, 12/20/29		127
	2,165	Series 1999-44, Class ZC, 8.500%, 12/16/29		2,565
	371	Series 1999-44, Class ZG, 8.000%, 12/20/29		442
	144	Series 2000-9, Class Z, 8.000%, 06/20/30		173
	1,405	Series 2000-9, Class ZJ, 8.500%, 02/16/30		1,692
	242	Series 2000-12, Class ST, HB, IF, 38.707%, 02/16/30		454
	74	Series 2000-16, Class ZN, 7.500%, 02/16/30		77
	1,938	Series 2000-21, Class Z, 9.000%, 03/16/30		2,342
	14	Series 2000-30, Class ST, IF, 11.050%, 12/16/22		16
	284	Series 2000-31, Class Z, 9.000%, 10/20/30		330
	164	Series 2000-35, Class ZA, 9.000%, 11/20/30		177
	26	Series 2000-36, Class IK, IO, 9.000%, 11/16/30		6
	124	Series 2001-6, Class SD, IF, IO, 8.395%, 03/16/31		29
	227	Series 2001-7, Class PK, 6.500%, 03/20/31		258
	193	Series 2001-35, Class SA, IF, IO, 8.096%, 08/16/31		54
	166	Series 2001-36, Class S, IF, IO, 7.895%, 08/16/31		45
	843	Series 2001-64, Class MQ, 6.500%, 12/20/31		978
	219	Series 2002-3, Class SP, IF, IO, 7.236%, 01/16/32		55
	279	Series 2002-7, Class PG, 6.500%, 01/20/32		318
	864	Series 2002-24, Class AG, IF, IO, 7.796%, 04/16/32		207


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	76	Series 2002-24, Class SB, IF, 11.693%, 04/16/32		99
	1,906	Series 2002-31, Class SE, IF, IO, 7.346%, 04/16/30		380
	543	Series 2002-40, Class UK, 6.500%, 06/20/32		623
	30	Series 2002-41, Class SV, IF, 9.000%, 06/16/32		35
	2,060	Series 2002-45, Class QE, 6.500%, 06/20/32		2,365
	685	Series 2002-47, Class PG, 6.500%, 07/16/32		790
	1,309	Series 2002-47, Class ZA, 6.500%, 07/20/32		1,504
	39	Series 2002-51, Class SG, HB, IF, 31.833%, 04/20/31		78
	1,124	Series 2002-52, Class GH, PAC, 6.500%, 07/20/32		1,264
	551	Series 2002-70, Class PS, IF, IO, 7.546%, 08/20/32		59
	949	Series 2002-75, Class PB, PAC, 6.000%, 11/20/32		1,111
	928	Series 2003-11, Class SK, IF, IO, 7.545%, 02/16/33		196
	381	Series 2003-12, Class SP, IF, IO, 7.546%, 02/20/33		91
	83	Series 2003-24, Class PO, PO, 03/16/33		72
	1,319	Series 2003-40, Class TJ, 6.500%, 03/20/33		1,541
	753	Series 2003-46, Class MG, 6.500%, 05/20/33		885
	1,047	Series 2003-46, Class TC, 6.500%, 03/20/33		1,195
	338	Series 2003-52, Class AP, PO, 06/16/33		308
	1,903	Series 2003-58, Class BE, 6.500%, 01/20/33		2,177
	34	Series 2003-76, Class LS, IF, IO, 7.046%, 09/20/31		—	(h)
	103	Series 2003-90, Class PO, PO, 10/20/33		87
	1,207	Series 2003-112, Class SA, IF, IO, 6.396%, 12/16/33		258
	1,175	Series 2003-112, Class TS, IF, IO, 6.796%, 10/20/32		96
	3,556	Series 2004-11, Class SW, IF, IO, 5.346%, 02/20/34		435
	135	Series 2004-15, Class SA, IF, 19.239%, 12/20/32		151
	455	Series 2004-28, Class S, IF, 19.238%, 04/16/34		655


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — Continued
	80	Series 2004-68, Class PO, PO, 05/20/31		80
	174	Series 2004-73, Class AE, IF, 14.536%, 08/17/34		213
	2,010	Series 2004-90, Class SI, IF, IO, 5.946%, 10/20/34		284
	1,376	Series 2005-3, Class SB, IF, IO, 5.946%, 01/20/35		200
	3,456	Series 2005-17, Class SL, IF, IO, 6.546%, 07/20/34		631
	350	Series 2005-35, Class FL, VAR, 0.504%, 03/20/32		350
	90	Series 2005-39, Class KI, IO, 5.500%, 03/20/34		5
	3,195	Series 2005-58, Class NI, IO, 5.500%, 08/20/35		704
	365	Series 2005-68, Class DP, IF, 16.061%, 06/17/35		456
	4,933	Series 2005-68, Class KI, IF, IO, 6.146%, 09/20/35		793
	655	Series 2005-69, Class SY, IF, IO, 6.596%, 11/20/33		105
	642	Series 2005-91, Class PI, IO, 6.000%, 12/20/35		118
	340	Series 2006-16, Class OP, PO, 03/20/36		312
	33	Series 2006-28, Class GO, PO, 03/20/35		33
	988	Series 2006-38, Class SW, IF, IO, 6.346%, 06/20/36		134
	1,162	Series 2006-59, Class SD, IF, IO, 6.546%, 10/20/36		213
	1,904	Series 2006-65, Class SA, IF, IO, 6.646%, 11/20/36		330
	1,183	Series 2007-9, Class DI, IF, IO, 6.356%, 03/20/37		203
	2,630	Series 2007-17, Class JI, IF, IO, 6.656%, 04/16/37		458
	282	Series 2007-17, Class JO, PO, 04/16/37		259
	1,669	Series 2007-19, Class SD, IF, IO, 6.046%, 04/20/37		261
	1,679	Series 2007-26, Class SC, IF, IO, 6.046%, 05/20/37		263
	1,258	Series 2007-27, Class SA, IF, IO, 6.046%, 05/20/37		199
	396	Series 2007-28, Class BO, PO, 05/20/37		353
	1,070	Series 2007-36, Class SE, IF, IO, 6.316%, 06/16/37		187
	2,975	Series 2007-40, Class SB, IF, IO, 6.596%, 07/20/37		508
	1,775	Series 2007-42, Class SB, IF, IO, 6.596%, 07/20/37		306


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	2,500	Series 2007-47, Class PH, PAC, 6.000%, 07/16/37		2,949
	1,286	Series 2007-50, Class AI, IF, IO, 6.621%, 08/20/37		224
	184	Series 2007-53, Class SW, IF, 19.743%, 09/20/37		259
	802	Series 2007-57, Class PO, PO, 03/20/37		739
	1,019	Series 2007-57, Class QA, IF, IO, 6.346%, 10/20/37		172
	1,159	Series 2007-71, Class SB, IF, IO, 6.546%, 07/20/36		124
	962	Series 2007-72, Class US, IF, IO, 6.396%, 11/20/37		163
	978	Series 2007-73, Class MI, IF, IO, 5.846%, 11/20/37		137
	1,908	Series 2007-76, Class SA, IF, IO, 6.376%, 11/20/37		330
	987	Series 2007-79, Class SY, IF, IO, 6.396%, 12/20/37		167
	612	Series 2007-81, Class SP, IF, IO, 6.496%, 12/20/37		105
	1,099	Series 2007-82, Class SA, IF, IO, 6.376%, 12/20/37		190
	516	Series 2008-2, Class MS, IF, IO, 7.005%, 01/16/38		90
	1,720	Series 2008-2, Class NS, IF, IO, 6.386%, 01/16/38		302
	1,048	Series 2008-10, Class S, IF, IO, 5.676%, 02/20/38		162
	174	Series 2008-23, Class IO, IO, 6.000%, 02/20/37		8
	761	Series 2008-25, Class SB, IF, IO, 6.746%, 03/20/38		127
	736	Series 2008-32, Class PI, IO, 5.500%, 10/16/37		116
	1,468	Series 2008-36, Class SH, IF, IO, 6.146%, 04/20/38		210
	6,951	Series 2008-40, Class SA, IF, IO, 6.246%, 05/16/38		1,547
	1,434	Series 2008-41, Class SA, IF, IO, 6.186%, 05/20/38		222
	932	Series 2008-55, Class SA, IF, IO, 6.046%, 06/20/38		146
	332	Series 2008-60, Class PO, PO, 01/20/38		322
	1,299	Series 2008-65, Class ME, PAC, 5.750%, 09/20/37		1,340
	497	Series 2008-71, Class SC, IF, IO, 5.846%, 08/20/38		69


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — Continued
	1,047	Series 2008-93, Class AS, IF, IO, 5.546%, 12/20/38		155
	1,647	Series 2009-6, Class SA, IF, IO, 5.946%, 02/16/39		256
	1,056	Series 2009-10, Class SL, IF, IO, 6.346%, 03/16/34		107
	2,972	Series 2009-12, Class IE, IO, 5.500%, 03/20/39		525
	1,079	Series 2009-14, Class KI, IO, 6.500%, 03/20/39		228
	974	Series 2009-14, Class NI, IO, 6.500%, 03/20/39		209
	2,799	Series 2009-22, Class SA, IF, IO, 6.116%, 04/20/39		386
	793	Series 2009-25, Class SE, IF, IO, 7.446%, 09/20/38		146
	676	Series 2009-33, Class CI, IO, 5.500%, 05/20/39		128
	664	Series 2009-33, Class TI, IO, 6.000%, 05/20/39		133
	96	Series 2009-38, Class IO, IO, 5.000%, 09/16/31		1
	1,164	Series 2009-43, Class SA, IF, IO, 5.796%, 06/20/39		162
	1,002	Series 2009-65, Class IQ, IO, 6.000%, 12/20/38		167
	2,427	Series 2009-72, Class SM, IF, IO, 6.095%, 08/16/39		375
	509	Series 2009-79, Class OK, PO, 11/16/37		465
	700	Series 2010-14, Class CO, PO, 08/20/35		598
	575	Series 2010-130, Class CP, 7.000%, 10/16/40		675
	3,974	Series 2010-157, Class OP, PO, 12/20/40		3,270
	3,603	Series 2010-H17, Class XQ, VAR, 5.245%, 07/20/60		4,057
	1,302	Series 2011-22, Class WA, VAR, 5.958%, 02/20/37		1,431
	2,900	Series 2011-75, Class SM, IF, IO, 6.446%, 05/20/41		561
	3,219	Series 2012-61, Class FM, VAR, 0.555%, 05/16/42		3,214
	955	Series 2012-141, Class WC, VAR, 3.758%, 01/20/42		993
	4,584	Series 2012-H10, Class FA, VAR, 0.704%, 12/20/61		4,574
	2,683	Series 2012-H15, Class FA, VAR, 0.618%, 05/20/62		2,688
	3,417	Series 2012-H21, Class CF, VAR, 0.868%, 05/20/61		3,427


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	2,951	Series 2012-H21, Class DF, VAR, 0.818%, 05/20/61		2,955
	4,864	Series 2012-H22, Class FD, VAR, 0.638%, 01/20/61		4,846
	1,689	Series 2012-H24, Class FA, VAR, 0.618%, 03/20/60		1,692
	3,594	Series 2012-H24, Class FG, VAR, 0.598%, 04/20/60		3,600
	1,946	Series 2012-H26, Class MA, VAR, 0.718%, 07/20/62		1,943
	2,833	Series 2012-H28, Class FA, VAR, 0.748%, 09/20/62		2,832
	4,130	Series 2012-H30, Class PA, VAR, 0.618%, 11/20/59		4,137
	2,259	Series 2012-H31, Class FD, VAR, 0.508%, 12/20/62		2,234
	4,447	Series 2013-54, Class WA, VAR, 4.708%, 11/20/42		4,872
	3,479	Series 2013-75, Class WA, VAR, 5.240%, 06/20/40		3,885
	1,798	Series 2013-91, Class WA, VAR, 4.503%, 04/20/43		1,943
	1,300	Series 2013-116, Class JY, PAC, 4.000%, 08/16/43		1,308
	3,077	Series 2013-H01, Class FA, 1.650%, 01/20/63		3,021
	1,699	Series 2013-H03, Class FA, VAR, 0.468%, 08/20/60		1,698
	1,504	Series 2013-H04, Class BA, 1.650%, 02/20/63		1,476
	4,887	Series 2013-H05, Class FB, VAR, 0.568%, 02/20/62		4,858
	1,919	Series 2013-H07, Class HA, VAR, 0.578%, 03/20/63		1,901
	9,951	Series 2013-H07, Class JA, 1.750%, 03/20/63		9,790
	1,865	Series 2013-H08, Class FC, VAR, 0.618%, 02/20/63		1,852
	1,989	Series 2013-H09, Class HA, 1.650%, 04/20/63		1,949
	4,465	Series 2013-H18, Class JA, VAR, 0.768%, 08/20/63		4,465
	1,989	Series 2014-H01, Class FD, VAR, 0.804%, 01/20/64		1,989
		Vendee Mortgage Trust,
	500	Series 1994-1, Class 1, VAR, 5.615%, 02/15/24		553
	823	Series 1994-1, Class 2ZB, 6.500%, 02/15/24		910


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — Continued
	736	Series 1996-1, Class 1Z, 6.750%, 02/15/26		849
	537	Series 1996-2, Class 1Z, 6.750%, 06/15/26		624
	1,038	Series 1997-1, Class 2Z, 7.500%, 02/15/27		1,233
	1,258	Series 1998-1, Class 2E, 7.000%, 03/15/28		1,472
	2,348	Series 1999-1, Class 2Z, 6.500%, 01/15/29		2,687
	5,839	Series 2003-2, Class Z, 5.000%, 05/15/33		6,553

				661,066

		Non-Agency CMO — 8.0%
	256	AAM ACE Resecuritization Trust, Series 2011-1, Class A20, VAR, 0.408%, 02/02/37 (e)		248
		AJAX Mortgage Loan Trust,
	2,639	Series 2013-A, Class A, VAR, 3.500%, 02/25/51 (e) (i)		2,611
	2,905	Series 2013-C, Class A, SUB, 4.500%, 03/25/35 (e) (i)		2,901
		Alternative Loan Trust,
	241	Series 2002-8, Class A4, 6.500%, 07/25/32		247
	13,286	Series 2004-2CB, Class 1A9, 5.750%, 03/25/34		13,444
	488	Series 2004-18CB, Class 2A4, 5.700%, 09/25/34		498
	2,022	Series 2005-1CB, Class 1A6, IF, IO, 6.945%, 03/25/35		415
	5,004	Series 2005-20CB, Class 3A8, IF, IO, 4.595%, 07/25/35		600
	8,563	Series 2005-22T1, Class A2, IF, IO, 4.915%, 06/25/35		1,051
	5,194	Series 2005-28CB, Class 1A4, 5.500%, 08/25/35		4,910
	177	Series 2005-28CB, Class 3A5, 6.000%, 08/25/35		144
	6,959	Series 2005-37T1, Class A2, IF, IO, 4.894%, 09/25/35		994
	4,554	Series 2005-54CB, Class 1A11, 5.500%, 11/25/35		4,194
	11,451	Series 2005-54CB, Class 1A2, IF, IO, 4.695%, 11/25/35		1,349
	2,847	Series 2005-57CB, Class 3A2, IF, IO, 4.944%, 12/25/35		400
	1,711	Series 2005-64CB, Class 1A9, 5.500%, 12/25/35		1,568
	6,372	Series 2005-J1, Class 1A4, IF, IO, 4.944%, 02/25/35		651
	2,519	Series 2006-26CB, Class A9, 6.500%, 09/25/36		2,080
	78	Alternative Loan Trust Resecuritization, Series 2005-5R, Class A1, 5.250%, 12/25/18		78


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
		American General Mortgage Loan Trust,
	3,285	Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e)		3,330
	234	Series 2010-1A, Class A1, VAR, 5.150%, 03/25/58 (e)		236
	718	Series 2010-1A, Class A2, VAR, 5.650%, 03/25/58 (e)		732
	1,140	Series 2010-1A, Class A3, VAR, 5.650%, 03/25/58 (e)		1,176
	473	Series 2010-1A, Class A4, VAR, 5.650%, 03/25/58 (e)		487
		ASG Resecuritization Trust,
	790	Series 2009-1, Class A60, VAR, 2.189%, 06/26/37 (e)		777
	573	Series 2009-2, Class A55, VAR, 4.868%, 05/24/36 (e)		580
	1,000	Series 2009-2, Class G60, VAR, 4.868%, 05/24/36 (e)		1,039
	3,434	Series 2009-3, Class A65, VAR, 2.250%, 03/26/37 (e)		3,427
	2,557	Series 2009-4, Class A60, 6.000%, 06/28/37 (e)		2,672
	852	Series 2010-2, Class A60, VAR, 1.864%, 01/28/37 (e)		836
	86	Series 2010-3, Class 2A22, VAR, 0.342%, 10/28/36 (e)		85
	857	Series 2011-1, Class 3A50, VAR, 4.785%, 11/28/35 (e)		840
		Banc of America Alternative Loan Trust,
	188	Series 2003-2, Class PO, PO, 04/25/33		160
	236	Series 2003-9, Class 1CB2, 5.500%, 11/25/33		243
	313	Series 2003-11, Class PO, PO, 01/25/34		263
	163	Series 2004-6, Class 15PO, PO, 07/25/19		158
	1,485	Series 2005-5, Class 1CB1, 5.500%, 06/25/35		1,420
	4,248	Series 2005-6, Class CBIO, IO, 5.500%, 07/25/35		878
	1,295	Series 2006-4, Class 1A4, 6.000%, 05/25/46		876
	2,455	Banc of America Funding Corp., Series 2012-R6, Class 1A1, 3.000%, 10/26/39 (e) (i)		2,441
		Banc of America Funding Trust,
	369	Series 2004-1, Class PO, PO, 03/25/34		339
	531	Series 2004-2, Class 30PO, PO, 09/20/34		488
	346	Series 2004-C, Class 1A1, VAR, 5.082%, 12/20/34		346


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — Continued
	910	Series 2005-6, Class 2A7, 5.500%, 10/25/35		914
	592	Series 2005-7, Class 30PO, PO, 11/25/35		460
	387	Series 2005-8, Class 30PO, PO, 01/25/36		296
	1,526	Series 2005-E, Class 4A1, VAR, 2.663%, 03/20/35		1,536
	602	Series 2006-A, Class 3A2, VAR, 2.669%, 02/20/36		478
	670	Series 2010-R5, Class 1A1, 5.500%, 10/26/37 (e)		695
		Banc of America Mortgage Trust,
	128	Series 2003-3, Class 2A1, VAR, 0.705%, 05/25/18		124
	126	Series 2003-6, Class 2A1, VAR, 0.605%, 08/25/18		125
	53	Series 2003-7, Class A2, 4.750%, 09/25/18		55
	163	Series 2003-8, Class APO, PO, 11/25/33		139
	1,055	Series 2004-3, Class 15IO, IO, VAR, 0.069%, 04/25/19		4
	66	Series 2004-4, Class APO, PO, 05/25/34		57
	1,479	Series 2004-5, Class 2A2, 5.500%, 06/25/34		1,570
	586	Series 2004-6, Class 2A5, PO, 07/25/34		495
	299	Series 2004-6, Class APO, PO, 07/25/34		249
	32	Series 2004-8, Class 5PO, PO, 05/25/32		27
	40	Series 2004-8, Class XPO, PO, 10/25/34		34
	288	Series 2004-A, Class 2A2, VAR, 2.681%, 02/25/34		288
	1,104	Series 2004-J, Class 3A1, VAR, 2.905%, 11/25/34		1,105
	1,320	Series 2005-10, Class 1A6, 5.500%, 11/25/35		1,341
		BCAP LLC Trust,
	466	Series 2009-RR13, Class 17A2, VAR, 5.500%, 04/26/37 (e)		486
	593	Series 2009-RR5, Class 8A1, 5.500%, 11/26/34 (e)		609
	727	Series 2010-RR12, Class 2A5, VAR, 4.500%, 01/26/36 (e)		738
	336	Series 2010-RR4, Class 12A1, VAR, 4.000%, 07/26/36 (e)		337
	767	Series 2010-RR6, Class 22A3, VAR, 4.543%, 06/26/36 (e)		794
	60	Series 2010-RR7, Class 15A1, VAR, 0.954%, 01/26/36 (e)		60
	619	Series 2010-RR7, Class 16A1, VAR, 0.831%, 02/26/47 (e)		605


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	286	Series 2010-RR7, Class 1A5, VAR, 4.987%, 04/26/35 (e)		281
	2,245	Series 2010-RR7, Class 2A1, VAR, 2.257%, 07/26/45 (e)		2,177
	352	Series 2010-RR8, Class 3A3, VAR, 5.043%, 05/26/35 (e)		359
	1,500	Series 2010-RR8, Class 3A4, VAR, 5.043%, 05/26/35 (e)		1,426
	1,210	Series 2011-R11, Class 25A5, VAR, 4.000%, 08/26/21 (e)		1,233
	2,334	Series 2011-RR10, Class 2A1, VAR, 0.943%, 09/26/37 (e)		2,129
	1,902	Series 2011-RR4, Class 6A3, VAR, 5.000%, 08/26/37 (e)		1,963
	2,056	Series 2011-RR5, Class 11A3, VAR, 0.306%, 05/28/36 (e)		1,921
	805	Series 2011-RR5, Class 14A3, VAR, 2.646%, 07/26/36 (e)		802
	1,399	Series 2012-RR10, Class 3A1, VAR, 0.345%, 05/26/36 (e)		1,318
	1,659	Series 2012-RR2, Class 1A1, VAR, 0.326%, 08/26/36 (e)		1,610
	1,264	Series 2012-RR3, Class 2A5, VAR, 2.188%, 05/26/37 (e)		1,267
		Bear Stearns ARM Trust,
	175	Series 2003-7, Class 3A, VAR, 2.467%, 10/25/33		175
	793	Series 2004-1, Class 12A1, VAR, 2.722%, 04/25/34		795
	187	Series 2004-2, Class 14A, VAR, 4.290%, 05/25/34		187
	1,761	Series 2005-5, Class A1, VAR, 2.210%, 08/25/35		1,789
	4,157	Series 2006-1, Class A1, VAR, 2.380%, 02/25/36		4,109
		CAM Mortgage Trust,
	508	Series 2013-1, Class A, VAR, 3.967%, 11/25/57 (e) (i)		509
	809	Series 2014-1, Class A, 3.351%, 12/15/53 (e)		809
		CHL Mortgage Pass-Through Trust,
	929	Series 2003-26, Class 1A6, 3.500%, 08/25/33		941
	73	Series 2003-44, Class A9, PO, 10/25/33		72
	266	Series 2003-J7, Class 4A3, IF, 9.571%, 08/25/18		278
	570	Series 2004-7, Class 2A1, VAR, 2.682%, 06/25/34		557


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — Continued
	410	Series 2004-8, Class 2A1, 4.500%, 06/25/19		422
	227	Series 2004-HYB1, Class 2A, VAR, 2.597%, 05/20/34		217
	833	Series 2004-HYB3, Class 2A, VAR, 2.500%, 06/20/34		792
	692	Series 2004-HYB6, Class A3, VAR, 2.537%, 11/20/34		654
	312	Series 2004-J8, Class 1A2, 4.750%, 11/25/19		320
	1,555	Series 2005-16, Class A23, 5.500%, 09/25/35		1,509
	3,460	Series 2005-22, Class 2A1, VAR, 2.587%, 11/25/35		2,878
		Citicorp Mortgage Securities REMIC Pass-Through Certificates Trust,
	190	Series 2005-5, Class APO, PO, 08/25/35		155
	186	Series 2005-8, Class APO, PO, 11/25/35		149
		Citigroup Mortgage Loan Trust,
	1,440	Series 2008-AR4, Class 1A1A, VAR, 2.704%, 11/25/38 (e)		1,452
	611	Series 2009-10, Class 2A1A, 7.000%, 12/25/35 (e)		639
	5,221	Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e)		5,386
	5,835	Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e)		6,048
	427	Series 2011-10, Class 4A1, VAR, 0.348%, 02/25/46 (e)		413
		Citigroup Mortgage Loan Trust, Inc.,
	314	Series 2003-1, Class 2A5, 5.250%, 10/25/33		325
	162	Series 2003-1, Class 2A6, PO, 10/25/33		150
	108	Series 2003-1, Class PO2, PO, 10/25/33		100
	118	Series 2003-1, Class PO3, PO, 09/25/33		99
	116	Series 2003-UP3, Class A3, 7.000%, 09/25/33		120
	247	Series 2003-UST1, Class A1, 5.500%, 12/25/18		256
	55	Series 2003-UST1, Class PO1, PO, 12/25/18		52
	42	Series 2003-UST1, Class PO3, PO, 12/25/18		40
	167	Series 2004-UST1, Class A6, VAR, 3.444%, 08/25/34		162
	450	Series 2005-1, Class 2A1A, VAR, 2.676%, 04/25/35		360
	588	Series 2005-2, Class 2A11, 5.500%, 05/25/35		607


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	544	Series 2005-5, Class 1A2, VAR, 2.803%, 08/25/35		402
	506	Series 2012-A, Class A, 2.500%, 06/25/51 (e) (i)		493
		Credit Suisse First Boston Mortgage Securities Corp.,
	696	Series 2003-1, Class DB1, 6.687%, 02/25/33		705
	130	Series 2003-17, Class 2A1, 5.000%, 07/25/18		133
	409	Series 2003-21, Class 1A4, 5.250%, 09/25/33		428
	537	Series 2003-25, Class 1P, PO, 10/25/33		439
	44	Series 2004-5, Class 5P, PO, 08/25/19		43
	2,083	Series 2005-4, Class 3A18, 5.500%, 06/25/35		2,112
	344	Series 2005-4, Class 3A22, PAC, 5.500%, 06/25/35		349
	2,318	Series 2005-4, Class 3A23, 5.500%, 06/25/35		2,303
		CSMC,
	8,977	Series 2010-11R, Class A6, VAR, 1.159%, 06/28/47 (e)		8,576
	268	Series 2010-12R, Class 14A1, VAR, 2.524%, 09/26/46 (e)		268
	1,240	Series 2011-1R, Class A1, VAR, 1.154%, 02/27/47 (e)		1,238
	948	Series 2011-6R, Class 3A1, VAR, 2.702%, 07/28/36 (e)		953
	755	Series 2011-7R, Class A1, VAR, 1.405%, 08/28/47 (e)		754
	1,183	Series 2011-9R, Class A1, VAR, 2.154%, 03/27/46 (e)		1,190
	1,859	Series 2011-16R, Class 7A3, VAR, 3.500%, 12/27/36 (e)		1,880
	927	Series 2012-3R, Class 1A1, VAR, 3.250%, 07/27/37 (e)		923
	627	CSMC Trust, Series 2010-16, Class A3, VAR, 3.634%, 06/25/50 (e)		622
	193	Deutsche Mortgage Securities, Inc. Mortgage Loan Resecuritization Trust, Series 2009-RS2, Class 4A1, VAR, 0.615%, 04/26/37 (e)		191
	787	FDIC Trust, Series 2013-N1, Class A, 4.500%, 10/25/18 (e)		798
	6	First Boston Mortgage Securities Corp. 1987 STRIPS, Series C, Class PO, PO, 04/25/17		6


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — Continued
		First Horizon Alternative Mortgage Securities Trust,
	1,193	Series 2004-AA4, Class A1, VAR, 2.230%, 10/25/34		1,183
	1,815	Series 2005-FA8, Class 1A19, 5.500%, 11/25/35		1,621
	2,965	Series 2007-FA4, Class 1A2, IF, IO, 5.495%, 08/25/37		586
		First Horizon Mortgage Pass-Through Trust,
	2,325	Series 2003-9, Class 1A6, 5.500%, 11/25/33		2,445
	821	Series 2004-AR2, Class 2A1, VAR, 2.627%, 05/25/34		822
	1,588	Series 2005-AR1, Class 2A2, VAR, 2.593%, 04/25/35		1,619
	447	Freedom Trust, Series 2011-4, Class A18, VAR, 5.000%, 03/25/37 (e)		450
		GMACM Mortgage Loan Trust,
	711	Series 2003-AR1, Class A4, VAR, 2.986%, 10/19/33		704
	333	Series 2004-J5, Class A7, 6.500%, 01/25/35		350
	137	Series 2004-J6, Class 1A1, 5.000%, 01/25/20		141
	5,010	Series 2005-AR3, Class 3A4, VAR, 2.963%, 06/19/35		4,857
		GSMPS Mortgage Loan Trust,
	991	Series 2001-2, Class A, VAR, 7.500%, 06/19/32 (e)		1,041
	1,434	Series 2005-RP3, Class 1AF, VAR, 0.505%, 09/25/35 (e)		1,225
	1,083	Series 2005-RP3, Class 1AS, IO, VAR, 4.875%, 09/25/35 (e)		154
	4,776	Series 2006-RP2, Class 1AS2, IF, IO, 4.898%, 04/25/36 (e)		650
		GSR Mortgage Loan Trust,
	705	Series 2004-6F, Class 3A4, 6.500%, 05/25/34		758
	752	Series 2004-8F, Class 2A3, 6.000%, 09/25/34		784
	635	Series 2004-13F, Class 3A3, 6.000%, 11/25/34		628
	323	Series 2005-4F, Class AP, PO, 05/25/35		289
	2,973	Series 2005-7F, Class 3A9, 6.000%, 09/25/35		3,102
	3,594	Series 2006-1F, Class 2A4, 6.000%, 02/25/36		3,340


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	3,314	Series 2007-1F, Class 2A4, 5.500%, 01/25/37		3,311
	4,182	Homeowner Assistance Program Reverse Mortgage Loan Trust, Series 2013-RM1, Class A, 4.000%, 05/26/53 (e) (i)		4,090
	376	Impac CMB Trust, Series 2005-4, Class 2A1, VAR, 0.458%, 05/25/35		379
		Impac Secured Assets Trust,
	746	Series 2006-1, Class 2A1, VAR, 0.506%, 05/25/36		728
	929	Series 2006-2, Class 2A1, VAR, 0.506%, 08/25/36		909
	15,628	IndyMac INDX Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 0.000%, 08/25/35		5
		JP Morgan Mortgage Trust,
	1,571	Series 2006-A2, Class 4A1, VAR, 2.733%, 08/25/34		1,572
	2,132	Series 2006-A2, Class 5A3, VAR, 2.546%, 11/25/33		2,134
	415	Series 2006-A3, Class 6A1, VAR, 2.757%, 08/25/34		421
	490	JP Morgan Resecuritization Trust, Series 2009-6, Class 4A1, VAR, 2.703%, 09/26/36 (e)		494
		Lehman Mortgage Trust,
	765	Series 2006-2, Class 1A1, VAR, 6.264%, 04/25/36		720
	1,388	Series 2008-2, Class 1A6, 6.000%, 03/25/38		1,289
	1,000	LVII Resecuritization Trust, Series 2009-3, Class M3, VAR, 5.220%, 11/27/37 (e)		1,019
		MASTR Adjustable Rate Mortgages Trust,
	89	Series 2004-4, Class 2A1, VAR, 1.963%, 05/25/34		79
	904	Series 2004-13, Class 2A1, VAR, 2.648%, 04/21/34		937
	2,182	Series 2004-13, Class 3A7, VAR, 2.629%, 11/21/34		2,230
	399	Series 2004-15, Class 3A1, VAR, 2.888%, 12/25/34		396
		MASTR Alternative Loan Trust,
	215	Series 2003-3, Class 1A1, 6.500%, 05/25/33		228
	601	Series 2003-9, Class 8A1, 6.000%, 01/25/34		626
	680	Series 2004-3, Class 2A1, 6.250%, 04/25/34		720
	1,032	Series 2004-4, Class 10A1, 5.000%, 05/25/24		1,095


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — Continued
	484	Series 2004-6, Class 30PO, PO, 07/25/34		441
	708	Series 2004-6, Class 7A1, 6.000%, 07/25/34		744
	350	Series 2004-7, Class 30PO, PO, 08/25/34		278
	1,408	Series 2004-8, Class 6A1, 5.500%, 09/25/19		1,465
	199	Series 2004-10, Class 1A1, 4.500%, 09/25/19		203
		MASTR Asset Securitization Trust,
	68	Series 2003-2, Class 2A1, 4.500%, 03/25/18		68
	20	Series 2003-3, Class 4A1, 5.000%, 04/25/18		21
	106	Series 2003-4, Class 3A2, 5.000%, 05/25/18		108
	123	Series 2003-12, Class 30PO, PO, 12/25/33		113
	98	Series 2004-1, Class 30PO, PO, 02/25/34		81
	31	Series 2004-4, Class 3A1, 4.500%, 04/25/19		31
	62	Series 2004-6, Class 15PO, PO, 07/25/19		60
	82	Series 2004-8, Class 1A1, 4.750%, 08/25/19		84
	37	Series 2004-8, Class PO, PO, 08/25/19		34
	2,830	MASTR Reperforming Loan Trust, Series 2005-2, Class 1A1F, VAR, 0.505%, 05/25/35 (e)		2,407
	1,272	MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e)		1,017
		Merrill Lynch Mortgage Investors Trust,
	375	Series 2003-E, Class A1, VAR, 0.776%, 10/25/28		369
	910	Series 2004-1, Class 2A1, VAR, 2.146%, 12/25/34		919
	725	Series 2004-A, Class A1, VAR, 0.616%, 04/25/29		691
	36	ML Trust XLVII, Series 47, Class Z, 8.985%, 10/20/20		39
	691	MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.476%, 02/25/35		670
	519	NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e)		530
		Nomura Asset Acceptance Corp. Alternative Loan Trust,
	266	Series 2003-A1, Class A1, 5.500%, 05/25/33		275
	118	Series 2003-A1, Class A2, 6.000%, 05/25/33		122


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	61	Series 2003-A1, Class A5, 7.000%, 04/25/33		63
	7	Series 2003-A1, Class A7, 5.000%, 04/25/18		7
		PaineWebber CMO Trust,
	1	Series H, Class 4, 8.750%, 04/01/18		1
	8	Series P, Class 4, 8.500%, 08/01/19		10
	387	Provident Funding Mortgage Loan Trust, Series 2005-1, Class 2A1, VAR, 2.575%, 05/25/35		396
		RALI Trust,
	109	Series 2002-QS16, Class A3, IF, 16.298%, 10/25/17		115
	357	Series 2002-QS8, Class A5, 6.250%, 06/25/17		364
	4,775	Series 2003-QR19, Class CB4, 5.750%, 10/25/33		4,992
	707	Series 2003-QS12, Class A2A, IF, IO, 7.445%, 06/25/18		72
	215	Series 2003-QS12, Class A5, IO, 5.000%, 06/25/18		15
	1,524	Series 2003-QS14, Class A1, 5.000%, 07/25/18		1,552
	492	Series 2003-QS18, Class A1, 5.000%, 09/25/18		504
	1,625	Series 2003-QS19, Class A1, 5.750%, 10/25/33		1,762
	298	Series 2003-QS3, Class A2, IF, 16.158%, 02/25/18		324
	157	Series 2003-QS3, Class A8, IF, IO, 7.445%, 02/25/18		7
	736	Series 2003-QS9, Class A3, IF, IO, 7.395%, 05/25/18		81
	2,298	Series 2004-QA6, Class NB2, VAR, 2.977%, 12/26/34		2,038
		RBSSP Resecuritization Trust,
	494	Series 2009-2, Class 1A1, 7.000%, 08/26/37 (e)		528
	172	Series 2009-6, Class 15A1, 5.500%, 01/26/21 (e)		173
	679	Series 2009-9, Class 7A4, VAR, 6.000%, 07/26/37 (e)		700
	994	Series 2009-12, Class 1A1, VAR, 5.984%, 11/25/33 (e)		1,063
	904	Series 2010-9, Class 7A5, VAR, 4.000%, 05/26/37 (e)		925
	289	Series 2010-12, Class 8A1, 4.000%, 06/27/21 (e)		292


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — Continued
		Residential Asset Securitization Trust,
	386	Series 2003-A13, Class A3, 5.500%, 01/25/34		396
	31	Series 2003-A14, Class A1, 4.750%, 02/25/19		31
	3,122	Series 2005-A2, Class A4, IF, IO, 4.894%, 03/25/35		429
	843	Series 2006-A4, Class 2A5, 6.000%, 05/25/36		773
		RFMSI Trust,
	787	Series 2003-S13, Class A3, 5.500%, 06/25/33		793
	122	Series 2003-S14, Class A4, PO, 07/25/18		116
	252	Series 2004-S3, Class A1, 4.750%, 03/25/19		257
	556	Series 2004-S6, Class 2A6, PO, 06/25/34		494
	116	Series 2004-S9, Class 2A1, 4.750%, 12/25/19		118
	843	Series 2005-SA4, Class 1A1, VAR, 2.849%, 09/25/35		710
	20	RFSC Trust, Series 2003-RM2, Class AP-3, PO, 05/25/33		17
		Salomon Brothers Mortgage Securities VII, Inc.,
	345	Series 2003-HYB1, Class A, VAR, 2.618%, 09/25/33		353
	43	Series 2003-UP2, Class PO1, PO, 12/25/18		38
		Springleaf Mortgage Loan Trust,
	1,599	Series 2011-1A, Class A1, VAR, 4.050%, 01/25/58 (e)		1,659
	2,100	Series 2011-1A, Class A2, VAR, 5.450%, 01/25/58 (e)		2,272
	621	Series 2012-1A, Class A, VAR, 2.667%, 09/25/57 (e)		634
	1,600	Series 2012-1A, Class M3, VAR, 6.000%, 09/25/57 (e)		1,676
	2,683	Series 2012-2A, Class A, VAR, 2.220%, 10/25/57 (e)		2,732
	2,000	Series 2012-2A, Class M4, VAR, 6.000%, 10/25/57 (e)		2,097
	3,258	Series 2012-3A, Class A, VAR, 1.570%, 12/25/59 (e)		3,252
	1,130	Series 2012-3A, Class M1, VAR, 2.660%, 12/25/59 (e)		1,119
	589	Series 2012-3A, Class M2, VAR, 3.560%, 12/25/59 (e)		577
	455	Series 2012-3A, Class M3, VAR, 4.440%, 12/25/59 (e)		455


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	267	Series 2012-3A, Class M4, VAR, 5.300%, 12/25/59 (e)		270
	2,502	Series 2013-1A, Class A, VAR, 1.270%, 06/25/58 (e)		2,492
	1,116	Series 2013-1A, Class M1, VAR, 2.310%, 06/25/58 (e)		1,082
	900	Series 2013-1A, Class M2, VAR, 3.140%, 06/25/58 (e)		877
	634	Series 2013-1A, Class M3, VAR, 3.790%, 06/25/58 (e)		609
	3,815	Series 2013-2A, Class A, VAR, 1.780%, 12/25/65 (e)		3,805
	1,058	Series 2013-2A, Class M1, VAR, 3.520%, 12/25/65 (e)		1,041
	913	Series 2013-3A, Class A, VAR, 1.870%, 09/25/57 (e)		913
	2,131	Series 2013-3A, Class M1, VAR, 3.790%, 09/25/57 (e)		2,131
	1,506	Structured Adjustable Rate Mortgage Loan Trust, Series 2004-6, Class 5A4, VAR, 4.782%, 06/25/34		1,493
	850	Structured Asset Mortgage Investments II Trust, Series 2004-AR5, Class 1A1, VAR, 0.814%, 10/19/34		809
		Structured Asset Securities Corp. Mortgage Pass-Through Certificates,
	986	Series 2003-33H, Class 1A1, 5.500%, 10/25/33		1,010
	1,748	Series 2004-5H, Class A4, 5.540%, 12/25/33		1,798
		Structured Asset Securities Corp. Trust,
	207	Series 2005-6, Class 4A1, 5.000%, 05/25/35		211
	291	Series 2005-10, Class 5A9, 5.250%, 12/25/34		291
		Thornburg Mortgage Securities Trust,
	550	Series 2003-4, Class A1, VAR, 0.796%, 09/25/43		524
	518	Series 2004-4, Class 3A, VAR, 2.017%, 12/25/44		522
	2,397	WaMu Mortgage Pass-Through Certificates, Series 2004-RS2, Class A4, 5.000%, 11/25/33		2,457
		WaMu Mortgage Pass-Through Certificates Trust,
	197	Series 2003-AR8, Class A, VAR, 2.418%, 08/25/33		200
	2,949	Series 2003-AR9, Class 1A6, VAR, 2.420%, 09/25/33		3,019


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — Continued
	449	Series 2003-AR9, Class 2A, VAR, 2.443%, 09/25/33		456
	289	Series 2003-S8, Class A6, 4.500%, 09/25/18		296
	1,568	Series 2003-S9, Class A8, 5.250%, 10/25/33		1,613
	160	Series 2003-S9, Class P, PO, 10/25/33		133
	253	Series 2004-AR3, Class A1, VAR, 2.443%, 06/25/34		258
	212	Series 2004-AR3, Class A2, VAR, 2.443%, 06/25/34		216
	320	Series 2006-AR10, Class 2P, VAR, 2.384%, 09/25/36		193
	251	Series 2006-AR12, Class 2P, VAR, 1.955%, 10/25/36		173
		Washington Mutual Mortgage Pass-Through Certificates WMALT Trust,
	10,200	Series 2005-2, Class 1A4, IF, IO, 4.894%, 04/25/35		1,480
	2,058	Series 2005-2, Class 2A3, IF, IO, 4.844%, 04/25/35		265
	2,639	Series 2005-3, Class CX, IO, 5.500%, 05/25/35		706
	3,234	Series 2005-4, Class CB7, 5.500%, 06/25/35		3,175
	2,674	Series 2005-4, Class CX, IO, 5.500%, 06/25/35		565
	770	Series 2005-6, Class 2A4, 5.500%, 08/25/35		709
	4,926	Series 2005-6, Class 2A9, 5.500%, 08/25/35		4,535
	5,605	Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR3, Class 1A1, VAR, 2.621%, 03/25/35		5,710
	2,383	Wells Fargo Mortgage Loan Trust, Series 2012-RR1, Class A1, VAR, 2.847%, 08/27/37 (e)		2,399
		Wells Fargo Mortgage-Backed Securities Trust,
	260	Series 2003-K, Class 1A1, VAR, 2.501%, 11/25/33		268
	493	Series 2003-K, Class 1A2, VAR, 2.501%, 11/25/33		510
	612	Series 2004-EE, Class 2A1, VAR, 2.612%, 12/25/34		625
	671	Series 2004-EE, Class 3A1, VAR, 2.695%, 12/25/34		683
	3,232	Series 2004-P, Class 2A1, VAR, 2.613%, 09/25/34		3,309
	666	Series 2004-V, Class 1A1, VAR, 2.621%, 10/25/34		692


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	340	Series 2005-16, Class APO, PO, 01/25/36		271
	444	Series 2005-AR16, Class 2A1, VAR, 2.616%, 02/25/34		454
	616	Series 2005-AR8, Class 2A1, VAR, 2.642%, 06/25/35		622
	670	Series 2006-2, Class APO, PO, 03/25/36		426
	318	Series 2006-4, Class 1APO, PO, 04/25/36		245
	1,640	Series 2007-7, Class A7, 6.000%, 06/25/37		1,602
	454	Series 2007-11, Class A14, 6.000%, 08/25/37		442

				307,119

		Total Collateralized Mortgage Obligations (Cost $912,904)		968,185

	Commercial Mortgage-Backed Securities — 3.9%
		A10 Securitization LLC,
	1,565	Series 2012-1, Class A, 3.492%, 04/15/24 (e)		1,573
	1,414	Series 2013-1, Class A, 2.400%, 11/15/25 (e)		1,413
		A10 Term Asset Financing LLC,
	3,577	Series 2013-2, Class A, 2.620%, 11/15/27 (e)		3,582
	696	Series 2013-2, Class B, 4.380%, 11/15/27 (e)		698
	560	BAMLL Commercial Mortgage Securities Trust, Series 2012-PARK, Class A, 2.959%, 12/10/30 (e)		543
		Banc of America Commercial Mortgage Trust,
	365	Series 2006-1, Class A4, VAR, 5.372%, 09/10/45		390
	2,270	Series 2006-4, Class A4, 5.634%, 07/10/46		2,466
	915	Series 2006-5, Class A4, 5.414%, 09/10/47		991
	1,500	Series 2007-5, Class A4, 5.492%, 02/10/51		1,645
		Banc of America Merrill Lynch Commercial Mortgage, Inc.,
	400	Series 2005-3, Class A4, 4.668%, 07/10/43		417
	1,610	Series 2005-3, Class AM, 4.727%, 07/10/43		1,670
	405	Series 2005-6, Class ASB, VAR, 5.183%, 09/10/47		405
		BB-UBS Trust,
	4,400	Series 2012-SHOW, Class A, 3.430%, 11/05/36 (e)		4,197
	2,500	Series 2012-TFT, Class A, 2.892%, 06/05/30 (e)		2,400


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

			Bear Stearns Commercial Mortgage Securities Trust,
	39,655		Series 2005-PWR8, Class X1, IO, VAR, 0.753%, 06/11/41 (e)		304
	458		Series 2005-PWR9, Class AAB, 4.804%, 09/11/42		464
	3,148		Series 2006-PW11, Class A4, VAR, 5.439%, 03/11/39		3,378
	93,806		CD Commercial Mortgage Trust, Series 2007-CD4, Class XC, IO, VAR, 0.165%, 12/11/49 (e)		888
	1,250		Citigroup Commercial Mortgage Trust, Series 2005-C3, Class AM, VAR, 4.830%, 05/15/43		1,298
			COBALT CMBS Commercial Mortgage Trust,
	605		Series 2006-C1, Class A4, 5.223%, 08/15/48		654
	19,376		Series 2006-C1, Class IO, IO, VAR, 0.812%, 08/15/48		360
			COMM Mortgage Trust,
	1,100		Series 2005-LP5, Class A4, VAR, 4.982%, 05/10/43		1,142
	3,011		Series 2012-CR2, Class XA, IO, VAR, 1.936%, 08/15/45		330
	3,500		Series 2013-300P, Class A1, 4.353%, 08/10/30 (e)		3,663
	1,060		Series 2013-SFS, Class A2, VAR, 2.987%, 04/12/35 (e)		1,012
			Commercial Mortgage Pass-Through Certificates,
	315		Series 2012-MVP, Class A, VAR, 2.106%, 11/17/26 (e)		316
	1,000		Series 2014-TWC, Class A, VAR, 1.004%, 02/13/32 (e)		1,000
			Commercial Mortgage Trust,
	500		Series 2005-GG3, Class AJ, VAR, 4.859%, 08/10/42		514
	300		Series 2006-GG7, Class AM, VAR, 5.820%, 07/10/38		329
	700		Credit Suisse Commercial Mortgage Trust, Series 2006-C2, Class A3, VAR, 5.681%, 03/15/39		751
			DBRR Trust,
	248		Series 2012-EZ1, Class A, 0.946%, 09/25/45 (e)		247
	1,880		Series 2013-EZ2, Class A, VAR, 0.853%, 02/25/45 (e)		1,875
	—	(h)	FDIC Guaranteed Notes Trust, Series 2010-C1, Class A, 2.980%, 12/06/20 (e) (h)		—	(h)


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Commercial Mortgage-Backed Securities — Continued
	2,557	Federal Home Loan Mortgage Corp., Multifamily Structured Pass-Through Certificates, Series K029, Class A2, VAR, 3.320%, 02/25/23		2,604
	2,500	FHLMC Multifamily Structured Pass-Through Certificates, Series KSMC, Class A2, 2.615%, 01/25/23		2,404
	1,866	GE Capital Commercial Mortgage Corp., Series 2005-C1, Class AJ, VAR, 4.826%, 06/10/48		1,926
	4,265	GMAC Commercial Mortgage Securities, Inc. Trust, Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45		4,465
		GS Mortgage Securities Corp. II,
	902	Series 2004-GG2, Class A6, VAR, 5.396%, 08/10/38		906
	1,422	Series 2013-KING, Class A, 2.706%, 12/10/27 (e)		1,426
	488	GS Mortgage Securities Corp. Trust, Series 2013-NYC5, Class A, 2.318%, 01/10/30 (e)		493
	850	GS Mortgage Securities Trust, Series 2006-GG6, Class A4, VAR, 5.553%, 04/10/38		911
	1,000	GSMS Trust, Series 2009-RR1, Class JPB, 5.374%, 05/17/45 (e)		1,103
		JP Morgan Chase Commercial Mortgage Securities Trust,
	1,000	Series 2005-CB11, Class AJ, VAR, 5.389%, 08/12/37		1,047
	400	Series 2006-LDP9, Class AMS, 5.337%, 05/15/47		405
	1,000	Series 2007-C1, Class A4, 5.716%, 02/15/51		1,113
	998	Ladder Capital Commercial Mortgage Trust, Series 2013-GCP, Class A2, 3.985%, 02/15/36 (e)		946
		LB-UBS Commercial Mortgage Trust,
	1,000	Series 2006-C1, Class A4, 5.156%, 02/15/31		1,061
	40,024	Series 2006-C7, Class XW, IO, VAR, 0.660%, 11/15/38 (e)		641
	300	Series 2007-C1, Class AM, 5.455%, 02/15/40		333
	826	Series 2007-C2, Class A3, 5.430%, 02/15/40		914
		Merrill Lynch Mortgage Trust,
	2,900	Series 2005-LC1, Class A4, VAR, 5.291%, 01/12/44		3,084
	315	Series 2005-MCP1, Class ASB, VAR, 4.674%, 06/12/43		315
		ML-CFC Commercial Mortgage Trust,
	3,165	Series 2006-1, Class A4, VAR, 5.468%, 02/12/39		3,388


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	29,267	Series 2006-4, Class XC, IO, VAR, 0.208%, 12/12/49 (e)		331
	2,000	Morgan Stanley Bank of America Merrill Lynch Trust, Series 2014-C14, Class A3, 3.669%, 02/15/47		2,073
		Morgan Stanley Capital I Trust,
	35,402	Series 2006-IQ12, Class X1, IO, VAR, 0.507%, 12/15/43 (e)		436
	67,765	Series 2007-HQ11, Class X, IO, VAR, 0.221%, 02/12/44 (e)		368
	764	Series 2011-C3, Class A3, 4.054%, 07/15/49		818
		Morgan Stanley Re-REMIC Trust,
	1,726	Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e)		1,733
	1,055	Series 2011-IO, Class A, 2.500%, 03/23/51 (e)		1,071
	1,310	Series 2012-IO, Class AXA, 1.000%, 03/27/51 (e)		1,315
	5,087	Series 2012-XA, Class A, 2.000%, 07/27/49 (e)		5,100
	1,800	Series 2012-XA, Class B, 0.250%, 07/27/49 (e)		1,485
		NCUA Guaranteed Notes Trust,
	20,500	Series 2010-C1, Class A2, 2.900%, 10/29/20		21,393
	10,545	Series 2010-C1, Class APT, 2.650%, 10/29/20		10,877
		NorthStar, (Cayman Islands),
	2,449	Series 2013-1A, Class A, VAR, 2.005%, 08/25/29 (e)		2,452
	1,392	Series 2013-1A, Class B, VAR, 5.155%, 08/25/29 (e)		1,383
	1,815	NorthStar Mortgage Trust, Series 2012-1, Class A, VAR, 1.356%, 08/25/29 (e)		1,816
	2,631	ORES NPL LLC, Series 2013-LV2, Class A, 3.081%, 09/25/25 (e)		2,632
	664	RBS Commercial Funding, Inc. Trust, Series 2013-SMV, Class A, 3.260%, 03/11/31 (e)		629
	1,815	RCMC LLC, Series 2012-CRE1, Class A, 5.623%, 11/15/44 (e)		1,865
	2,425	TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.549%, 08/15/39		2,483
	2,236	UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.663%, 06/10/30 (e)		2,214
		UBS-Barclays Commercial Mortgage Trust,
	1,053	Series 2012-C2, Class A4, 3.525%, 05/10/63		1,065


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Commercial Mortgage-Backed Securities — Continued
	10,379	Series 2012-C2, Class XA, IO, VAR, 1.789%, 05/10/63 (e)		912
	857	Series 2013-C6, Class A4, 3.244%, 04/10/46		840
	2,100	VFC LLC, (Cayman Islands), Series 2013-1, Class A, 3.130%, 03/20/26 (e)		2,121
		VNDO Mortgage Trust,
	1,398	Series 2012-6AVE, Class A, 2.996%, 11/15/30 (e)		1,346
	4,000	Series 2013-PENN, Class A, 3.808%, 12/13/29 (e)		4,198
	2,500	Wells Fargo Commercial Mortgage Trust, Series 2013-120B, Class A, VAR, 2.710%, 03/18/28 (e)		2,458
	1,909	Wells Fargo Resecuritization Trust, Series 2012-IO, Class A, 1.750%, 08/20/21 (e)		1,900
		WFRBS Commercial Mortgage Trust,
	1,700	Series 2011-C3, Class A4, 4.375%, 03/15/44 (e)		1,829
	800	Series 2012-C6, Class A4, 3.440%, 04/15/45		815

		Total Commercial Mortgage-Backed Securities (Cost $147,027)		150,358

	Corporate Bonds — 18.6%
		Consumer Discretionary — 1.3%
		Auto Components — 0.1%
		Johnson Controls, Inc.,
	591	3.750%, 12/01/21		609
	675	4.250%, 03/01/21		718
	1,000	5.250%, 12/01/41		1,064

				2,391

		Automobiles — 0.1%
		Daimler Finance North America LLC,
	421	1.650%, 04/10/15 (e)		425
	532	1.875%, 01/11/18 (e)		535
	981	2.375%, 08/01/18 (e)		997
	739	2.625%, 09/15/16 (e)		768
	1,425	2.950%, 01/11/17 (e)		1,495

				4,220

		Household Durables — 0.0% (g)
	505	Newell Rubbermaid, Inc., 4.700%, 08/15/20		543

		Media — 0.9%
		21st Century Fox America, Inc.,
	100	6.200%, 12/15/34		116
	400	6.650%, 11/15/37		485


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Media — Continued
	250	6.900%, 08/15/39		312
	1,075	7.300%, 04/30/28		1,340
	500	8.000%, 10/17/16		588
	415	8.875%, 04/26/23		545
		CBS Corp.,
	140	5.500%, 05/15/33		146
	252	5.750%, 04/15/20		286
	150	7.875%, 09/01/23		182
	1,000	7.875%, 07/30/30		1,303
	190	8.875%, 05/15/19		245
	250	Comcast Cable Communications Holdings, Inc., 9.455%, 11/15/22		356
		Comcast Corp.,
	1,082	4.250%, 01/15/33		1,067
	2,885	5.900%, 03/15/16		3,178
	400	6.450%, 03/15/37		492
	1,355	6.500%, 11/15/35		1,677
		Cox Communications, Inc.,
	446	3.250%, 12/15/22(e)		419
	162	5.450%, 12/15/14		168
	125	8.375%, 03/01/39(e)		160
	450	Cox Enterprises, Inc., 7.375%, 07/15/27 (e)		540
		DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.,
	400	3.800%, 03/15/22		395
	1,000	4.600%, 02/15/21		1,054
	772	5.000%, 03/01/21		833
	2,000	6.000%, 08/15/40		2,077
		Discovery Communications LLC,
	1,016	4.375%, 06/15/21		1,082
	319	4.950%, 05/15/42		312
	1,177	Historic TW, Inc., 9.150%, 02/01/23		1,605
		NBCUniversal Media LLC,
	300	4.375%, 04/01/21		326
	800	5.950%, 04/01/41		942
	515	6.400%, 04/30/40		629
		Thomson Reuters Corp., (Canada),
	1,278	3.950%, 09/30/21		1,307
	441	4.500%, 05/23/43		397
	325	4.700%, 10/15/19		357
		Time Warner Cable, Inc.,
	359	5.500%, 09/01/41		372
	1,218	5.850%, 05/01/17		1,378
	400	6.550%, 05/01/37		464
	800	8.250%, 04/01/19		1,007


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Media — Continued
		Time Warner Entertainment Co. LP,
	120	8.375%, 03/15/23		158
	1,250	8.375%, 07/15/33		1,705
		Time Warner, Inc.,
	525	4.750%, 03/29/21		577
	313	5.375%, 10/15/41		329
	150	6.200%, 03/15/40		172
	172	6.250%, 03/29/41		201
	265	6.500%, 11/15/36		311
	250	7.625%, 04/15/31		329
	171	7.700%, 05/01/32		228
		Viacom, Inc.,
	208	1.250%, 02/27/15		209
	500	3.125%, 06/15/22		479
	67	3.250%, 03/15/23		64
	808	3.875%, 12/15/21		828
	464	4.375%, 03/15/43		411
	100	4.500%, 03/01/21		107
	250	4.500%, 02/27/42		226
	333	Walt Disney Co. (The), 0.450%, 12/01/15		334

				34,810

		Multiline Retail — 0.1%
	275	Kohl’s Corp., 6.250%, 12/15/17		319
		Macy’s Retail Holdings, Inc.,
	516	2.875%, 02/15/23		482
	462	4.375%, 09/01/23		480
	157	5.125%, 01/15/42		162
	200	7.450%, 07/15/17		234
	455	Nordstrom, Inc., 4.000%, 10/15/21		480
		Target Corp.,
	200	6.000%, 01/15/18		233
	268	7.000%, 01/15/38		352

				2,742

		Specialty Retail — 0.1%
	533	Gap, Inc. (The), 5.950%, 04/12/21		599
	1,765	Home Depot, Inc. (The), 5.400%, 03/01/16		1,933
		Lowe’s Cos., Inc.,
	739	4.650%, 04/15/42		743
	326	5.125%, 11/15/41		350
	750	Series B, 7.110%, 05/15/37		970

				4,595

		Total Consumer Discretionary		49,301


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Consumer Staples — 0.9%
		Beverages — 0.3%
		Anheuser-Busch Cos. LLC,
	600	5.500%, 01/15/18		684
	905	5.750%, 04/01/36		1,057
	900	Anheuser-Busch InBev Finance, Inc., 3.700%, 02/01/24		916
		Anheuser-Busch InBev Worldwide, Inc.,
	114	1.500%, 07/14/14		114
	515	7.750%, 01/15/19		646
	410	Coca-Cola Co. (The), 4.875%, 03/15/19		464
		Diageo Capital plc, (United Kingdom),
	264	1.500%, 05/11/17		266
	510	4.828%, 07/15/20		575
	800	Diageo Finance B.V., (Netherlands), 5.300%, 10/28/15		862
	255	Diageo Investment Corp., 8.000%, 09/15/22		339
	890	FBG Finance Pty Ltd., (Australia), 5.125%, 06/15/15 (e)		939
	355	Heineken N.V., (Netherlands), 1.400%, 10/01/17 (e)		354
		PepsiCo, Inc.,
	150	0.800%, 08/25/14		150
	287	1.250%, 08/13/17		288
	368	3.000%, 08/25/21		372
	54	7.900%, 11/01/18		68
	500	VAR, 0.444%, 02/26/16		501
		SABMiller Holdings, Inc.,
	574	1.850%, 01/15/15 (e)		581
	698	3.750%, 01/15/22 (e)		716
	250	SABMiller plc, (United Kingdom), 6.500%, 07/01/16 (e)		281

				10,173

		Food & Staples Retailing — 0.3%
		CVS Caremark Corp.,
	536	4.000%, 12/05/23		550
	322	5.300%, 12/05/43		354
	979	5.750%, 05/15/41		1,131
	250	6.125%, 09/15/39		299
	1,056	CVS Pass-Through Trust, 5.926%, 01/10/34 (e)		1,172
		Kroger Co. (The),
	900	4.000%, 02/01/24		916
	1,100	5.000%, 04/15/42		1,102
	2,460	7.500%, 04/01/31		3,116
	1,031	Walgreen Co., 3.100%, 09/15/22		995


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Food & Staples Retailing — Continued
		Wal-Mart Stores, Inc.,
	752	5.250%, 09/01/35		847
	215	6.200%, 04/15/38		269
	350	7.550%, 02/15/30		491

				11,242

		Food Products — 0.3%
	200	Archer-Daniels-Midland Co., 5.935%, 10/01/32		234
	1,305	Bunge Ltd. Finance Corp., 8.500%, 06/15/19		1,624
	191	Bunge N.A. Finance LP, 5.900%, 04/01/17		214
		Cargill, Inc.,
	600	3.300%, 03/01/22 (e)		593
	535	4.307%, 05/14/21 (e)		572
	850	7.350%, 03/06/19 (e)		1,039
		ConAgra Foods, Inc.,
	223	1.300%, 01/25/16		225
	286	2.100%, 03/15/18		287
		Kellogg Co.,
	365	1.750%, 05/17/17		369
	608	3.125%, 05/17/22		593
		Kraft Foods Group, Inc.,
	814	3.500%, 06/06/22		819
	694	5.000%, 06/04/42		723
	1,187	6.125%, 08/23/18		1,393
	1,793	6.875%, 01/26/39		2,309
	1,500	Mondelez International, Inc., 4.000%, 02/01/24		1,523

				12,517

		Household Products — 0.0% (g)
		Kimberly-Clark Corp.,
	220	2.400%, 03/01/22		210
	66	7.500%, 11/01/18		83
	768	Procter & Gamble—ESOP, Series A, 9.360%, 01/01/21		987
	110	Procter & Gamble Co. (The), 5.500%, 02/01/34		129

				1,409

		Total Consumer Staples		35,341

		Energy — 1.6%
		Energy Equipment & Services — 0.2%
		Cameron International Corp.,
	225	1.600%, 04/30/15		228
	199	4.000%, 12/15/23		200


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Energy Equipment & Services — Continued
		Halliburton Co.,
	714	3.500%, 08/01/23		715
	1,605	7.450%, 09/15/39		2,252
	188	National Oilwell Varco, Inc., 1.350%, 12/01/17		186
		Noble Holding International Ltd., (Cayman Islands),
	113	3.950%, 03/15/22		112
	83	5.250%, 03/15/42		82
	441	Schlumberger Investment S.A., (Luxembourg), 3.300%, 09/14/21 (e)		451
		Transocean, Inc., (Cayman Islands),
	361	3.800%, 10/15/22		342
	256	6.375%, 12/15/21		287
	905	6.500%, 11/15/20		1,024
	198	7.350%, 12/15/41		239
	100	7.500%, 04/15/31		117
		Weatherford International Ltd., (Bermuda),
	311	4.500%, 04/15/22		324
	113	5.950%, 04/15/42		120
	110	6.500%, 08/01/36		123
	350	9.875%, 03/01/39		522

				7,324

		Oil, Gas & Consumable Fuels — 1.4%
	160	Alberta Energy Co., Ltd., (Canada), 7.375%, 11/01/31		195
		Anadarko Petroleum Corp.,
	125	5.750%, 06/15/14		127
	2,000	7.625%, 03/15/14		2,004
	265	8.700%, 03/15/19		338
		Apache Corp.,
	138	3.250%, 04/15/22		140
	556	4.750%, 04/15/43		559
	500	6.900%, 09/15/18		605
	235	BG Energy Capital plc, (United Kingdom), 5.125%, 10/15/41 (e)		247
		BP Capital Markets plc, (United Kingdom),
	92	1.375%, 11/06/17		92
	929	1.846%, 05/05/17		948
	1,283	2.237%, 05/10/19		1,290
	882	2.750%, 05/10/23		826
	437	3.814%, 02/10/24		442
	900	4.742%, 03/11/21		1,003
	200	Burlington Resources Finance Co., (Canada), 7.400%, 12/01/31		274


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Oil, Gas & Consumable Fuels — Continued
		Canadian Natural Resources Ltd., (Canada),
	350	6.250%, 03/15/38		413
	1,000	6.750%, 02/01/39		1,230
		Cenovus Energy, Inc., (Canada),
	208	3.000%, 08/15/22		198
	490	4.450%, 09/15/42		462
	450	6.750%, 11/15/39		562
		Chevron Corp.,
	559	2.427%, 06/24/20		562
	1,000	4.950%, 03/03/19		1,147
	205	Conoco Funding Co., (Canada), 7.250%, 10/15/31		275
		ConocoPhillips,
	325	5.200%, 05/15/18		369
	450	5.750%, 02/01/19		530
	150	6.000%, 01/15/20		179
	200	6.500%, 02/01/39		262
	1,045	ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16		1,173
		Devon Energy Corp.,
	750	3.250%, 05/15/22		739
	522	4.750%, 05/15/42		517
	360	6.300%, 01/15/19		428
		Encana Corp., (Canada),
	545	6.500%, 05/15/19		646
	150	6.500%, 08/15/34		173
	925	Eni S.p.A., (Italy), Series EX2, 5.700%, 10/01/40 (e)		952
		Enterprise Products Operating LLC,
	468	3.900%, 02/15/24		471
	318	5.100%, 02/15/45		325
		EOG Resources, Inc.,
	379	2.625%, 03/15/23		358
	600	4.100%, 02/01/21		643
	180	Hess Corp., 7.875%, 10/01/29		238
		Kerr-McGee Corp.,
	200	6.950%, 07/01/24		243
	1,000	7.875%, 09/15/31		1,306
		Magellan Midstream Partners LP,
	1,127	5.150%, 10/15/43		1,177
	250	6.550%, 07/15/19		298
		Marathon Oil Corp.,
	888	5.900%, 03/15/18		1,020
	1,620	6.000%, 10/01/17		1,864
	402	Occidental Petroleum Corp., 1.750%, 02/15/17		409


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Oil, Gas & Consumable Fuels — Continued
	841	Petrobras Global Finance B.V., (Netherlands), 4.375%, 05/20/23		763
		Petrobras International Finance Co., (Cayman Islands),
	1,020	5.375%, 01/27/21		1,023
	110	6.750%, 01/27/41		106
	175	7.875%, 03/15/19		200
		Petro-Canada, (Canada),
	324	6.050%, 05/15/18		377
	1,045	6.800%, 05/15/38		1,323
		Petroleos Mexicanos, (Mexico),
	393	4.875%, 01/18/24 (e)		404
	846	6.375%, 01/23/45 (e)		898
		Phillips 66,
	314	2.950%, 05/01/17		330
	182	4.300%, 04/01/22		192
	831	Sinopec Group Overseas Development Ltd., (United Kingdom), 4.375%, 10/17/23 (e)		829
		Spectra Energy Capital LLC,
	1,615	5.500%, 03/01/14		1,615
	1,500	5.650%, 03/01/20		1,666
	500	6.200%, 04/15/18		571
	400	8.000%, 10/01/19		486
		Spectra Energy Partners LP,
	524	2.950%, 09/25/18		540
	452	5.950%, 09/25/43		515
		Statoil ASA, (Norway),
	906	1.150%, 05/15/18		891
	353	1.200%, 01/17/18		349
	406	2.450%, 01/17/23		384
	1,071	2.650%, 01/15/24		1,001
	313	2.900%, 11/08/20		317
	467	3.125%, 08/17/17		497
	300	3.150%, 01/23/22		302
	253	4.250%, 11/23/41		245
		Suncor Energy, Inc., (Canada),
	180	5.950%, 12/01/34		204
	250	6.850%, 06/01/39		319
		Talisman Energy, Inc., (Canada),
	1,125	5.500%, 05/15/42		1,130
	185	5.850%, 02/01/37		188
	190	6.250%, 02/01/38		203
	850	7.750%, 06/01/19		1,036
	554	Texas Eastern Transmission LP, 2.800%, 10/15/22 (e)		511


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Oil, Gas & Consumable Fuels — Continued
		Tosco Corp.,
	300	7.800%, 01/01/27		414
	400	8.125%, 02/15/30		576
	124	Total Capital Canada Ltd., (Canada), VAR, 0.619%, 01/15/16		125
		Total Capital International S.A., (France),
	135	0.750%, 01/25/16		136
	262	1.500%, 02/17/17		266
	508	1.550%, 06/28/17		515
	233	2.875%, 02/17/22		230
		Total Capital S.A., (France),
	1,400	2.300%, 03/15/16		1,450
	370	4.125%, 01/28/21		399
		TransCanada PipeLines Ltd., (Canada),
	550	6.200%, 10/15/37		664
	340	6.500%, 08/15/18		405
	1,100	7.250%, 08/15/38		1,463

				54,317

		Total Energy		61,641

		Financials — 8.8%
		Capital Markets — 1.8%
	1,500	Ameriprise Financial, Inc., 4.000%, 10/15/23		1,547
		Bank of New York Mellon Corp. (The),
	357	1.200%, 02/20/15		360
	1,789	2.400%, 01/17/17		1,859
	900	2.950%, 06/18/15		929
	413	3.550%, 09/23/21		429
	950	3.650%, 02/04/24		966
	750	4.600%, 01/15/20		832
		BlackRock, Inc.,
	1,200	3.375%, 06/01/22		1,223
	540	3.500%, 12/10/14		553
	652	5.000%, 12/10/19		745
	385	6.250%, 09/15/17		449
	1,940	Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e)		2,227
	260	Charles Schwab Corp. (The), 3.225%, 09/01/22		256
	942	Credit Suisse, (Switzerland), 5.500%, 05/01/14		950
	755	Credit Suisse USA, Inc., 5.125%, 08/15/15		804
		Deutsche Bank AG, (Germany),
	650	3.250%, 01/11/16		679
	970	3.875%, 08/18/14		986
	355	6.000%, 09/01/17		407


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Capital Markets — Continued
	500	FMR LLC, 6.450%, 11/15/39 (e)		602
		Goldman Sachs Group, Inc. (The),
	545	2.625%, 01/31/19		548
	764	2.900%, 07/19/18		785
	400	3.300%, 05/03/15		412
	3,060	3.625%, 02/07/16		3,213
	492	3.700%, 08/01/15		511
	800	4.000%, 03/03/24		801
	848	5.250%, 07/27/21		944
	1,366	5.375%, 03/15/20		1,539
	750	5.500%, 11/15/14		776
	800	5.750%, 01/24/22		914
	4,100	5.950%, 01/18/18		4,683
	949	Series D, 6.000%, 06/15/20		1,102
	240	6.150%, 04/01/18		277
	340	6.250%, 09/01/17		391
	685	6.750%, 10/01/37		791
	2,570	7.500%, 02/15/19		3,148
		ING Bank N.V., (Netherlands),
	500	1.375%, 03/07/16(e)		502
	216	2.000%, 09/25/15(e)		220
	1,445	3.750%, 03/07/17(e)		1,544
	657	Invesco Finance plc, (United Kingdom), 4.000%, 01/30/24		673
		Jefferies Group LLC,
	450	3.875%, 11/09/15		470
	1,015	5.125%, 04/13/18		1,104
	1,000	6.450%, 06/08/27		1,072
	780	8.500%, 07/15/19		963
		Macquarie Bank Ltd., (Australia),
	373	2.000%, 08/15/16(e)		379
	2,847	5.000%, 02/22/17(e)		3,100
		Macquarie Group Ltd., (Australia),
	1,200	6.000%, 01/14/20(e)		1,341
	1,400	6.250%, 01/14/21(e)		1,572
	750	7.300%, 08/01/14(e)		770
	250	7.625%, 08/13/19(e)		303
		Morgan Stanley,
	179	1.750%, 02/25/16		182
	625	4.000%, 07/24/15		652
	893	4.200%, 11/20/14		916
	871	5.000%, 11/24/25		905
	1,000	5.450%, 01/09/17		1,112
	1,021	5.500%, 07/24/20		1,162
	380	5.500%, 07/28/21		433


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Capital Markets — Continued
	1,265	5.625%, 09/23/19		1,453
	360	5.750%, 01/25/21		414
	1,200	6.000%, 05/13/14		1,213
	400	6.625%, 04/01/18		471
	970	7.300%, 05/13/19		1,189
		Nomura Holdings, Inc., (Japan),
	1,050	4.125%, 01/19/16		1,107
	150	5.000%, 03/04/15		156
	547	6.700%, 03/04/20		645
		State Street Corp.,
	359	3.100%, 05/15/23		343
	1,154	3.700%, 11/20/23		1,181
		UBS AG, (Switzerland),
	1,337	3.875%, 01/15/15		1,377
	365	4.875%, 08/04/20		409
	244	5.750%, 04/25/18		282
	247	5.875%, 12/20/17		285

				67,538

		Commercial Banks — 2.7%
	669	ABN AMRO Bank N.V., (Netherlands), 2.500%, 10/30/18 (e)		674
	550	ANZ New Zealand International Ltd., (New Zealand), 3.125%, 08/10/15 (e)		569
		Australia & New Zealand Banking Group Ltd., (Australia),
	1,268	2.400%, 11/23/16(e)		1,316
	900	3.250%, 03/01/16(e)		944
	228	4.875%, 01/12/21(e)		253
		Bank of Montreal, (Canada),
	741	1.300%, 10/31/14(e)		746
	1,666	1.400%, 09/11/17		1,664
	1,106	2.550%, 11/06/22		1,043
		Bank of Nova Scotia, (Canada),
	1,034	1.650%, 10/29/15(e)		1,054
	2,000	2.550%, 01/12/17		2,090
	737	3.400%, 01/22/15		757
		Bank of Tokyo-Mitsubishi UFJ Ltd. (The), (Japan),
	1,275	2.350%, 02/23/17 (e)		1,314
	679	3.850%, 01/22/15 (e)		698
	1,600	Banque Federative du Credit Mutuel S.A., (France), 1.700%, 01/20/17 (e)		1,605
		Barclays Bank plc, (United Kingdom),
	276	2.250%, 05/10/17 (e)		286
	800	2.500%, 09/21/15 (e)		824


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Commercial Banks — Continued
	1,735	2.750%, 02/23/15		1,772
	310	5.000%, 09/22/16		341
	700	5.200%, 07/10/14		712
	1,000	6.050%, 12/04/17 (e)		1,131
		BB&T Corp.,
	750	3.950%, 04/29/16		800
	740	4.900%, 06/30/17		817
	1,885	5.700%, 04/30/14		1,900
	370	6.850%, 04/30/19		453
	632	BNZ International Funding Ltd., (New Zealand), 2.350%, 03/04/19 (e)		632
	695	Branch Banking & Trust Co., 5.625%, 09/15/16		775
		Canadian Imperial Bank of Commerce, (Canada),
	226	0.900%, 10/01/15		227
	4,000	2.600%, 07/02/15 (e)		4,117
	1,650	Capital One Bank USA N.A., 3.375%, 02/15/23		1,601
	1,281	Capital One Financial Corp., 3.500%, 06/15/23		1,250
	260	Comerica, Inc., 3.000%, 09/16/15		270
	1,080	Commonwealth Bank of Australia, (Australia), 2.250%, 03/16/17 (e)		1,115
		Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A., (Netherlands),
	143	2.125%, 10/13/15		147
	2,400	3.200%, 03/11/15 (e)		2,468
	455	3.375%, 01/19/17		485
	789	3.875%, 02/08/22		815
	500	5.800%, 09/30/10 (e) (†)		527
	601	Discover Bank, 4.200%, 08/08/23		620
	2,011	DNB Boligkreditt A.S., (Norway), 2.100%, 10/14/15 (e)		2,061
		Fifth Third Bancorp,
	70	2.300%, 03/01/19		70
	760	5.450%, 01/15/17		844
		HSBC Bank plc, (United Kingdom),
	1,438	1.500%, 05/15/18 (e)		1,416
	1,745	1.625%, 07/07/14 (e)		1,755
	666	4.125%, 08/12/20 (e)		716
	575	4.750%, 01/19/21 (e)		636
		HSBC Holdings plc, (United Kingdom),
	500	4.000%, 03/30/22		518
	530	4.875%, 01/14/22		583
	556	5.100%, 04/05/21		624
	600	6.100%, 01/14/42		730
	2,100	Manufacturers & Traders Trust Co., 6.625%, 12/04/17		2,447


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Commercial Banks — Continued
		National Australia Bank Ltd., (Australia),
	1,500	2.000%, 06/20/17 (e)		1,534
	750	2.750%, 09/28/15 (e)		776
	1,000	3.000%, 07/27/16 (e)		1,052
	795	3.750%, 03/02/15 (e)		821
	250	National City Bank, 5.800%, 06/07/17		283
		Nordea Bank AB, (Sweden),
	1,000	1.625%, 05/15/18 (e)		988
	1,800	3.125%, 03/20/17 (e)		1,892
	945	4.875%, 05/13/21 (e)		1,002
	837	Oversea-Chinese Banking Corp., Ltd., (Singapore), 1.625%, 03/13/15 (e)		845
	400	PNC Bank N.A., 6.875%, 04/01/18		471
		PNC Funding Corp.,
	659	3.300%, 03/08/22		664
	567	4.375%, 08/11/20		624
	940	5.250%, 11/15/15		1,008
	950	5.625%, 02/01/17		1,057
	595	6.700%, 06/10/19		722
		Royal Bank of Canada, (Canada),
	985	1.200%, 09/19/17		983
	1,789	2.000%, 10/01/18		1,808
	1,000	2.200%, 07/27/18		1,016
	402	Skandinaviska Enskilda Banken AB, (Sweden), 1.750%, 03/19/18 (e)		399
	927	SpareBank 1 Boligkreditt A.S., (Norway), 1.750%, 11/15/19 (e)		896
	1,148	Stadshypotek AB, (Sweden), 1.875%, 10/02/19 (e)		1,124
	1,300	Standard Chartered plc, (United Kingdom), 5.200%, 01/26/24 (e)		1,335
	820	SunTrust Banks, Inc., 6.000%, 09/11/17		939
	1,411	Svenska Handelsbanken AB, (Sweden), 3.125%, 07/12/16		1,484
		Toronto-Dominion Bank (The), (Canada),
	2,350	1.500%, 03/13/17 (e)		2,386
	1,140	2.200%, 07/29/15 (e)		1,168
		U.S. Bancorp,
	550	1.650%, 05/15/17		560
	675	2.450%, 07/27/15		694
	540	3.000%, 03/15/22		536
	566	4.125%, 05/24/21		611
	1,107	7.500%, 06/01/26		1,433
		Wachovia Bank N.A.,
	1,000	5.600%, 03/15/16		1,093
	250	6.000%, 11/15/17		290


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Commercial Banks — Continued
	4,780	Wachovia Corp., 5.750%, 02/01/18		5,524
		Wells Fargo & Co.,
	1,826	2.625%, 12/15/16		1,914
	850	3.500%, 03/08/22		870
	702	4.480%, 01/16/24		734
	500	4.600%, 04/01/21		557
	1,280	5.606%, 01/15/44		1,413
	2,350	5.625%, 12/11/17		2,702
	1,025	SUB, 3.676%, 06/15/16		1,093
		Wells Fargo Bank N.A.,
	1,515	4.750%, 02/09/15		1,576
	250	5.750%, 05/16/16		276
		Westpac Banking Corp., (Australia),
	900	4.200%, 02/27/15		934
	2,141	4.875%, 11/19/19		2,405

				103,704

		Consumer Finance — 0.8%
	700	American Express Co., 7.000%, 03/19/18		843
		American Express Credit Corp.,
	361	2.375%, 03/24/17		374
	1,028	2.800%, 09/19/16		1,075
	1,150	5.125%, 08/25/14		1,176
		American Honda Finance Corp.,
	667	1.450%, 02/27/15(e)		674
	363	1.500%, 09/11/17(e)		365
	533	1.600%, 02/16/18(e)		532
	565	2.125%, 02/28/17(e)		581
	417	2.125%, 10/10/18		423
	1,599	2.600%, 09/20/16(e)		1,668
	150	7.625%, 10/01/18(e)		186
		Capital One Financial Corp.,
	273	1.000%, 11/06/15		274
	2,140	7.375%, 05/23/14		2,172
		Caterpillar Financial Services Corp.,
	402	2.850%, 06/01/22		394
	560	5.500%, 03/15/16		610
	305	7.050%, 10/01/18		373
	545	7.150%, 02/15/19		673
		Ford Motor Credit Co. LLC,
	513	2.875%, 10/01/18		526
	1,253	3.000%, 06/12/17		1,305
	1,917	3.984%, 06/15/16		2,037
	561	4.207%, 04/15/16		597
	200	4.250%, 09/20/22		207


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Consumer Finance — Continued
	803	VAR, 1.487%, 05/09/16		817
		HSBC Finance Corp.,
	3,538	5.000%, 06/30/15		3,728
	207	7.350%, 11/27/32		248
		HSBC USA, Inc.,
	800	1.625%, 01/16/18		798
	1,500	2.375%, 02/13/15		1,528
		John Deere Capital Corp.,
	759	1.200%, 10/10/17		761
	335	1.700%, 01/15/20		324
	400	2.250%, 04/17/19		405
	233	3.150%, 10/15/21		236
	874	Nissan Motor Acceptance Corp., 1.800%, 03/15/18 (e)		868
	663	PACCAR Financial Corp., 1.600%, 03/15/17		672
		Toyota Motor Credit Corp.,
	1,120	1.000%, 02/17/15		1,128
	2,480	2.000%, 09/15/16		2,556
	558	2.000%, 10/24/18		563
	962	3.200%, 06/17/15		997

				32,694

		Diversified Financial Services — 2.0%
	1,221	Associates Corp. of North America, 6.950%, 11/01/18		1,465
		Bank of America Corp.,
	600	2.000%, 01/11/18		603
	520	3.625%, 03/17/16		548
	547	4.100%, 07/24/23		562
	2,065	5.000%, 05/13/21		2,295
	2,215	5.450%, 07/15/14		2,249
	2,720	5.625%, 10/14/16		3,020
	740	5.625%, 07/01/20		852
	645	Series L, 5.650%, 05/01/18		737
	420	5.750%, 12/01/17		479
	400	5.875%, 01/05/21		468
	2,996	6.400%, 08/28/17		3,466
	1,564	6.875%, 04/25/18		1,863
	150	7.375%, 05/15/14		152
	600	7.625%, 06/01/19		747
	1,510	7.800%, 09/15/16		1,737
	1,455	Bank of America N.A., 5.300%, 03/15/17		1,612
	725	Caisse Centrale Desjardins, (Canada), 2.550%, 03/24/16 (e)		754
		Citigroup, Inc.,
	450	2.250%, 08/07/15		459


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Diversified Financial Services — Continued
	423	3.375%, 03/01/23		412
	500	4.450%, 01/10/17		543
	433	4.500%, 01/14/22		461
	842	4.587%, 12/15/15		896
	856	4.700%, 05/29/15		897
	483	4.750%, 05/19/15		506
	3,127	5.000%, 09/15/14		3,200
	1,270	5.125%, 05/05/14		1,280
	1,225	5.375%, 08/09/20		1,389
	865	5.500%, 09/13/25		933
	321	5.875%, 01/30/42		372
	2,154	6.000%, 08/15/17		2,464
	526	6.010%, 01/15/15		550
	350	6.125%, 11/21/17		405
	282	6.375%, 08/12/14		289
	250	6.625%, 01/15/28		298
	400	8.125%, 07/15/39		582
	1,409	8.500%, 05/22/19		1,815
		CME Group, Inc.,
	1,155	3.000%, 09/15/22		1,140
	259	5.300%, 09/15/43		288
	400	Countrywide Financial Corp., 6.250%, 05/15/16		441
		General Electric Capital Corp.,
	167	1.000%, 12/11/15		169
	1,100	1.625%, 07/02/15		1,118
	750	2.300%, 04/27/17		777
	2,000	3.150%, 09/07/22		1,976
	650	4.625%, 01/07/21		721
	2,100	4.650%, 10/17/21		2,319
	191	5.300%, 02/11/21		216
	2,500	5.400%, 02/15/17		2,809
	1,785	5.500%, 01/08/20		2,073
	4,380	5.625%, 05/01/18		5,057
	1,000	5.650%, 06/09/14		1,014
	310	5.875%, 01/14/38		367
	2,622	6.750%, 03/15/32		3,354
	539	Hutchison Whampoa International 12 II Ltd., (Cayman Islands), 3.250%, 11/08/22 (e)		509
		IntercontinentalExchange Group, Inc.,
	417	2.500%, 10/15/18		427
	884	4.000%, 10/15/23		921
	300	Murray Street Investment Trust I, SUB, 4.647%, 03/09/17		325


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Diversified Financial Services — Continued
		National Rural Utilities Cooperative Finance Corp.,
	498	4.750%, 03/01/14		498
	200	10.375%, 11/01/18		272
	550	Principal Life Global Funding I, 5.050%, 03/15/15 (e)		576
	5,000	Private Export Funding Corp., Series EE, 2.800%, 05/15/22		4,988
		Shell International Finance B.V., (Netherlands),
	212	1.125%, 08/21/17		212
	275	4.000%, 03/21/14		276
	1,020	4.300%, 09/22/19		1,135
	1,005	4.375%, 03/25/20		1,118
	1,280	6.375%, 12/15/38		1,641
	300	Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e)		337

				78,434

		Insurance — 1.1%
		ACE INA Holdings, Inc.,
	455	2.600%, 11/23/15		470
	410	5.600%, 05/15/15		435
	520	AIG SunAmerica Global Financing X, 6.900%, 03/15/32 (e)		663
	651	Allstate Corp. (The), 3.150%, 06/15/23		639
		American International Group, Inc.,
	469	4.125%, 02/15/24		481
	2,985	5.450%, 05/18/17		3,358
		Aon Corp.,
	402	3.125%, 05/27/16		420
	336	3.500%, 09/30/15		350
	306	6.250%, 09/30/40		373
		Berkshire Hathaway Finance Corp.,
	404	1.300%, 05/15/18		400
	233	2.450%, 12/15/15		241
	1,111	2.900%, 10/15/20		1,138
	233	3.000%, 05/15/22		231
	748	4.300%, 05/15/43		713
	1,574	4.400%, 05/15/42		1,523
	1,670	5.400%, 05/15/18		1,926
		Berkshire Hathaway, Inc.,
	1,387	3.400%, 01/31/22		1,426
	840	3.750%, 08/15/21		888
	120	Chubb Corp. (The), 5.750%, 05/15/18		139
		CNA Financial Corp.,
	750	5.850%, 12/15/14		780
	785	5.875%, 08/15/20		915


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Insurance — Continued
	408	Liberty Mutual Group, Inc., 5.000%, 06/01/21 (e)		436
		Lincoln National Corp.,
	345	4.200%, 03/15/22		363
	253	4.850%, 06/24/21		278
	280	Massachusetts Mutual Life Insurance Co., 5.375%, 12/01/41 (e)		305
		MassMutual Global Funding II,
	1,500	2.000%, 04/05/17 (e)		1,534
	626	2.500%, 10/17/22 (e)		579
	338	2.875%, 04/21/14 (e)		339
	540	3.125%, 04/14/16 (e)		565
	920	MetLife Institutional Funding II, VAR, 1.143%, 04/04/14 (e)		921
	1,120	Metlife of Connecticut Global Funding I, 5.125%, 08/15/14 (e)		1,143
		MetLife, Inc.,
	600	4.875%, 11/13/43		623
	535	Series A, 6.817%, 08/15/18		646
		Metropolitan Life Global Funding I,
	604	1.700%, 06/29/15 (e)		613
	300	1.875%, 06/22/18 (e)		299
	820	2.500%, 09/29/15 (e)		845
	400	3.125%, 01/11/16 (e)		418
	1,900	3.650%, 06/14/18 (e)		2,029
	1,277	3.875%, 04/11/22 (e)		1,323
	100	5.125%, 06/10/14 (e)		101
	1,750	Nationwide Mutual Insurance Co., 9.375%, 08/15/39 (e)		2,597
		New York Life Global Funding,
	740	0.750%, 07/24/15 (e)		742
	350	1.300%, 01/12/15 (e)		353
	650	Pacific Life Global Funding, 5.000%, 05/15/17 (e)		686
	570	Pacific Life Insurance Co., 9.250%, 06/15/39 (e)		830
		Pricoa Global Funding I,
	384	1.600%, 05/29/18 (e)		378
	2,100	5.450%, 06/11/14 (e)		2,127
	166	Principal Financial Group, Inc., 1.850%, 11/15/17		167
		Principal Life Global Funding II,
	304	1.000%, 12/11/15 (e)		305
	953	2.250%, 10/15/18 (e)		955
	1,750	Prudential Insurance Co. of America (The), 8.300%, 07/01/25 (e)		2,278


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Insurance — Continued
	275	Travelers Cos., Inc. (The), 5.800%, 05/15/18		318

				42,605

		Real Estate Investment Trusts (REITs) — 0.4%
		American Tower Corp.,
	450	3.500%, 01/31/23		426
	567	5.000%, 02/15/24		593
	471	American Tower Trust I, 1.551%, 03/15/18 (e)		463
		CommonWealth REIT,
	600	5.875%, 09/15/20		645
	1,340	6.650%, 01/15/18		1,475
	608	ERP Operating LP, 4.625%, 12/15/21		659
		HCP, Inc.,
	331	2.625%, 02/01/20		324
	161	3.750%, 02/01/19		170
	230	4.200%, 03/01/24		233
	577	4.250%, 11/15/23		590
	895	5.375%, 02/01/21		1,003
	732	Health Care REIT, Inc., 4.500%, 01/15/24		754
	534	ProLogis LP, 4.250%, 08/15/23		546
		Simon Property Group LP,
	917	2.150%, 09/15/17		941
	579	4.125%, 12/01/21		618
	32	4.200%, 02/01/15		33
	200	4.375%, 03/01/21		216
	705	5.625%, 08/15/14		721
	675	6.100%, 05/01/16		742
	345	6.125%, 05/30/18		405
		WEA Finance LLC/WT Finance Aust Pty Ltd.,
	579	3.375%, 10/03/22(e)		578
	1,848	6.750%, 09/02/19(e)		2,229

				14,364

		Total Financials		339,339

		Health Care — 0.6%
		Biotechnology — 0.2%
		Amgen, Inc.,
	1,000	3.875%, 11/15/21		1,050
	237	4.500%, 03/15/20		259
	500	4.950%, 10/01/41		506
	2,000	5.150%, 11/15/41		2,094
	265	5.650%, 06/15/42		296
	570	5.700%, 02/01/19		666
	720	5.750%, 03/15/40		811
	1,336	Celgene Corp., 3.250%, 08/15/22		1,307

				6,989


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Health Care Equipment & Supplies — 0.0% (g)
		Baxter International, Inc.,
	286	1.850%, 06/15/18		287
	380	4.000%, 03/01/14		380
	245	4.625%, 03/15/15		255
	100	Becton Dickinson and Co., 5.000%, 05/15/19		114

				1,036

		Health Care Providers & Services — 0.2%
		Aetna, Inc.,
	265	4.500%, 05/15/42		263
	440	6.750%, 12/15/37		565
	164	McKesson Corp., 0.950%, 12/04/15		164
	370	Medco Health Solutions, Inc., 2.750%, 09/15/15		381
		UnitedHealth Group, Inc.,
	173	2.750%, 02/15/23		163
	400	2.875%, 03/15/23		381
	975	3.375%, 11/15/21		986
	620	6.625%, 11/15/37		795
		WellPoint, Inc.,
	467	2.300%, 07/15/18		472
	615	3.125%, 05/15/22		592
	280	3.300%, 01/15/23		270
	500	4.625%, 05/15/42		483
	535	4.650%, 01/15/43		521

				6,036

		Life Sciences Tools & Services — 0.0% (g)
		Thermo Fisher Scientific, Inc.,
	176	1.300%, 02/01/17		176
	687	4.150%, 02/01/24		706

				882

		Pharmaceuticals — 0.2%
		AbbVie, Inc.,
	952	1.750%, 11/06/17		959
	609	2.900%, 11/06/22		588
	275	Actavis, Inc., 3.250%, 10/01/22		264
	645	AstraZeneca plc, (United Kingdom), 5.400%, 06/01/14		653
		GlaxoSmithKline Capital, Inc.,
	485	4.375%, 04/15/14		487
	750	5.650%, 05/15/18		871
	530	6.375%, 05/15/38		680
		Merck & Co., Inc.,
	650	1.300%, 05/18/18		642
	474	2.400%, 09/15/22		446


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Pharmaceuticals — Continued
	562	2.800%, 05/18/23		537
	560	Novartis Capital Corp., 3.400%, 05/06/24		561
	650	Pfizer, Inc., 3.000%, 06/15/23		631
		Zoetis, Inc.,
	193	1.875%, 02/01/18		193
	123	4.700%, 02/01/43		122

				7,634

		Total Health Care		22,577

		Industrials — 1.1%
		Aerospace & Defense — 0.2%
	400	BAE Systems Holdings, Inc., 6.375%, 06/01/19 (e)		468
	676	BAE Systems plc, (United Kingdom), 5.800%, 10/11/41 (e)		745
	200	Boeing Co. (The), 7.950%, 08/15/24		274
	557	EADS Finance B.V., (Netherlands), 2.700%, 04/17/23 (e)		527
	390	Honeywell International, Inc., 5.300%, 03/01/18		448
		Lockheed Martin Corp.,
	387	2.125%, 09/15/16		399
	1,281	4.070%, 12/15/42		1,193
	292	4.850%, 09/15/41		305
	300	Northrop Grumman Systems Corp., 7.750%, 02/15/31		394
	215	Precision Castparts Corp., 0.700%, 12/20/15		216
		United Technologies Corp.,
	214	1.800%, 06/01/17		219
	681	3.100%, 06/01/22		683
	914	4.500%, 06/01/42		932
	1,261	6.125%, 02/01/19		1,503

				8,306

		Air Freight & Logistics — 0.0% (g)
		United Parcel Service of America, Inc.,
	355	8.375%, 04/01/20		469
	160	SUB, 8.375%, 04/01/30		227
	214	United Parcel Service, Inc., 2.450%, 10/01/22		203

				899

		Airlines — 0.1%
	441	Air Canada 2013-1 Class A Pass-Through Trust, (Canada), 4.125%, 05/15/25 (e)		442
	216	American Airlines 2011-1 Class A Pass-Through Trust, 5.250%, 01/31/21		235
	668	American Airlines 2013-2 Class A Pass-Through Trust, 4.950%, 01/15/23 (e)		714


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Airlines — Continued
	240	Continental Airlines 1999-2 Class A-1 Pass-Through Trust, 7.256%, 03/15/20		267
	430	Continental Airlines 2007-1 Class A Pass-Through Trust, 5.983%, 04/19/22		487
	212	Continental Airlines, 2012-2 Class A Pass-Through Trust, 4.000%, 10/29/24		214
	511	Delta Air Lines 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19		557
	188	Delta Air Lines 2011-1 Class A Pass-Through Trust, 5.300%, 04/15/19		207
	448	Delta Air Lines 2012-1 Class A Pass-Through Trust, 4.750%, 05/07/20		482

				3,605

		Commercial Services & Supplies — 0.1%
		ADT Corp. (The),
	820	3.500%, 07/15/22		748
	264	4.125%, 06/15/23		248
	328	4.875%, 07/15/42		264
	200	Pitney Bowes, Inc., 5.600%, 03/15/18		221
	614	Republic Services, Inc., 3.550%, 06/01/22		614
		Waste Management, Inc.,
	214	4.750%, 06/30/20		235
	455	7.375%, 03/11/19		557

				2,887

		Construction & Engineering — 0.0% (g)
		ABB Finance USA, Inc.,
	226	1.625%, 05/08/17		226
	292	2.875%, 05/08/22		285
	145	4.375%, 05/08/42		142
	789	Fluor Corp., 3.375%, 09/15/21		795

				1,448

		Electrical Equipment — 0.0% (g)
		Eaton Corp.,
	182	1.500%, 11/02/17		182
	170	4.000%, 11/02/32		164
	500	5.600%, 05/15/18		569
	300	7.625%, 04/01/24		379

				1,294

		Industrial Conglomerates — 0.1%
	592	Danaher Corp., 3.900%, 06/23/21		628
	212	General Electric Co., 2.700%, 10/09/22		205
	412	Ingersoll-Rand Global Holding Co., Ltd., (Bermuda), 4.250%, 06/15/23 (e)		423


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Industrial Conglomerates — Continued
		Koninklijke Philips N.V., (Netherlands),
	970	3.750%, 03/15/22		1,001
	409	5.750%, 03/11/18		473
	130	7.200%, 06/01/26		158

				2,888

		Machinery — 0.1%
	164	Caterpillar, Inc., 2.600%, 06/26/22		157
		Deere & Co.,
	819	2.600%, 06/08/22		788
	346	3.900%, 06/09/42		320
		Illinois Tool Works, Inc.,
	400	3.500%, 03/01/24		400
	1,920	3.900%, 09/01/42		1,740
	290	Ingersoll-Rand Co., 6.391%, 11/15/27		340
	205	Parker Hannifin Corp., 5.500%, 05/15/18		235

				3,980

		Road & Rail — 0.5%
		Burlington Northern Santa Fe LLC,
	200	3.000%, 03/15/23		190
	522	3.050%, 03/15/22		510
	300	3.450%, 09/15/21		306
	136	3.600%, 09/01/20		143
	375	4.375%, 09/01/42		354
	769	5.150%, 09/01/43		819
	1,000	5.400%, 06/01/41		1,094
	540	5.650%, 05/01/17		612
	250	5.750%, 03/15/18		288
	425	5.750%, 05/01/40		489
	250	6.700%, 08/01/28		305
	250	Canadian Pacific Railway Co., (Canada), 7.125%, 10/15/31		315
		CSX Corp.,
	191	4.100%, 03/15/44		173
	300	4.250%, 06/01/21		321
	575	5.500%, 04/15/41		639
	145	6.250%, 04/01/15		154
	205	7.375%, 02/01/19		253
	500	7.900%, 05/01/17		593
		ERAC USA Finance LLC,
	355	2.750%, 03/15/17 (e)		366
	559	4.500%, 08/16/21 (e)		596
	436	5.625%, 03/15/42 (e)		472
	350	6.375%, 10/15/17 (e)		405
	746	6.700%, 06/01/34 (e)		892


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Road & Rail — Continued
		Norfolk Southern Corp.,
	746	3.250%, 12/01/21		754
	595	3.950%, 10/01/42		530
	100	6.000%, 03/15/05		113
	1,776	6.000%, 05/23/11 (††)		2,014
	355	7.700%, 05/15/17		422
	479	Penske Truck Leasing Co. LP/PTL Finance Corp., 2.875%, 07/17/18 (e)		492
		Ryder System, Inc.,
	484	2.500%, 03/01/17		497
	434	3.600%, 03/01/16		456
		Union Pacific Corp.,
	182	2.950%, 01/15/23		175
	838	3.646%, 02/15/24		842
	710	4.163%, 07/15/22		753
	200	4.300%, 06/15/42		192
	235	4.875%, 01/15/15		244

				17,773

		Total Industrials		43,080

		Information Technology — 1.0%
		Communications Equipment — 0.1%
		Cisco Systems, Inc.,
	197	2.900%, 03/04/21		199
	500	3.625%, 03/04/24		504
	878	5.500%, 02/22/16		963
	350	5.500%, 01/15/40		396
	755	5.900%, 02/15/39		889

				2,951

		Computers & Peripherals — 0.2%
		Apple, Inc.,
	2,556	2.400%, 05/03/23		2,364
	2,069	VAR, 0.488%, 05/03/18		2,069
	300	Dell, Inc., 7.100%, 04/15/28		282
		EMC Corp.,
	850	1.875%, 06/01/18		852
	1,000	3.375%, 06/01/23		989
		Hewlett-Packard Co.,
	282	4.300%, 06/01/21		295
	472	4.375%, 09/15/21		492
	201	4.650%, 12/09/21		213
	670	4.750%, 06/02/14		677
	849	6.000%, 09/15/41		911

				9,144


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Electronic Equipment, Instruments & Components — 0.1%
		Arrow Electronics, Inc.,
	219	3.000%, 03/01/18		223
	575	3.375%, 11/01/15		595
	190	4.500%, 03/01/23		191
	165	6.000%, 04/01/20		184
	485	6.875%, 06/01/18		556
	1,088	7.500%, 01/15/27		1,291

				3,040

		Internet Software & Services — 0.0% (g)
		eBay, Inc.,
	300	2.600%, 07/15/22		282
	271	4.000%, 07/15/42		237

				519

		IT Services — 0.2%
		International Business Machines Corp.,
	409	1.250%, 02/06/17		413
	3,267	1.625%, 05/15/20		3,120
	2,600	5.700%, 09/14/17		2,993
	690	6.220%, 08/01/27		846
	1,075	7.625%, 10/15/18		1,345

				8,717

		Office Electronics — 0.1%
		Xerox Corp.,
	196	2.950%, 03/15/17		205
	270	4.500%, 05/15/21		285
	610	5.625%, 12/15/19		697
	550	6.750%, 02/01/17		631
	100	8.250%, 05/15/14		102

				1,920

		Semiconductors & Semiconductor Equipment — 0.1%
		Intel Corp.,
	697	3.300%, 10/01/21		715
	685	4.000%, 12/15/32		667
	1,360	National Semiconductor Corp., 6.600%, 06/15/17		1,588
		Texas Instruments, Inc.,
	750	1.375%, 05/15/14		751
	365	1.650%, 08/03/19		358

				4,079

		Software — 0.2%
	360	Intuit, Inc., 5.750%, 03/15/17		406
		Microsoft Corp.,
	262	0.875%, 11/15/17		259


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Software — Continued
	720	1.625%, 09/25/15		734
	384	2.125%, 11/15/22		355
	810	2.375%, 05/01/23		759
	1,155	3.625%, 12/15/23		1,186
	117	4.500%, 10/01/40		118
		Oracle Corp.,
	1,000	3.625%, 07/15/23		1,014
	500	5.000%, 07/08/19		571
	1,412	5.250%, 01/15/16		1,534
	728	5.750%, 04/15/18		845
	465	6.500%, 04/15/38		590

				8,371

		Total Information Technology		38,741

		Materials — 0.5%
		Chemicals — 0.3%
		Dow Chemical Co. (The),
	542	3.000%, 11/15/22		517
	385	4.125%, 11/15/21		405
	203	4.250%, 11/15/20		217
	200	5.250%, 11/15/41		208
	370	7.375%, 11/01/29		479
	158	8.550%, 05/15/19		204
		E.I. du Pont de Nemours & Co.,
	635	1.950%, 01/15/16		649
	350	4.900%, 01/15/41		366
	1,630	6.000%, 07/15/18		1,904
		Ecolab, Inc.,
	447	1.450%, 12/08/17		444
	150	5.500%, 12/08/41		169
		Mosaic Co. (The),
	280	3.750%, 11/15/21		283
	1,416	4.250%, 11/15/23		1,436
	79	4.875%, 11/15/41		75
	861	5.450%, 11/15/33		916
	347	5.625%, 11/15/43		368
	85	Potash Corp. of Saskatchewan, Inc., (Canada), 3.250%, 12/01/17		90
		PPG Industries, Inc.,
	114	5.500%, 11/15/40		128
	700	6.650%, 03/15/18		819
	355	9.000%, 05/01/21		461
	662	Praxair, Inc., 4.625%, 03/30/15		692
		Union Carbide Corp.,
	1,000	7.500%, 06/01/25		1,210


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Chemicals — Continued
	850	7.750%, 10/01/96		977

				13,017

		Metals & Mining — 0.2%
		BHP Billiton Finance USA Ltd., (Australia),
	815	3.850%, 09/30/23		835
	410	5.400%, 03/29/17		462
	425	5.500%, 04/01/14		427
	560	6.500%, 04/01/19		677
		Freeport-McMoRan Copper & Gold, Inc.,
	1,329	2.150%, 03/01/17		1,349
	688	3.100%, 03/15/20		680
	400	3.875%, 03/15/23		387
	299	5.450%, 03/15/43		295
	283	Nucor Corp., 4.000%, 08/01/23		285
	295	Placer Dome, Inc., (Canada), 6.450%, 10/15/35		297
		Rio Tinto Finance USA Ltd., (Australia),
	117	3.500%, 11/02/20		121
	550	3.750%, 09/20/21		567
	650	9.000%, 05/01/19		853
	393	Rio Tinto Finance USA plc, (United Kingdom), 1.625%, 08/21/17		396

				7,631

		Total Materials		20,648

		Telecommunication Services — 1.2%
		Diversified Telecommunication Services — 1.0%
		AT&T, Inc.,
	386	0.800%, 12/01/15		387
	345	0.900%, 02/12/16		346
	879	4.300%, 12/15/42		781
	462	4.350%, 06/15/45		409
	850	4.450%, 05/15/21		916
	375	5.350%, 09/01/40		385
	250	5.500%, 02/01/18		284
	2,700	6.300%, 01/15/38		3,080
	1,373	BellSouth Corp., 5.200%, 09/15/14		1,408
	469	BellSouth Telecommunications LLC, 6.300%, 12/15/15		488
		British Telecommunications plc, (United Kingdom),
	200	2.000%, 06/22/15		203
	531	2.350%, 02/14/19		533
	150	9.625%, 12/15/30		231
	1,583	Cellco Partnership/Verizon Wireless Capital LLC, 8.500%, 11/15/18		2,021


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Diversified Telecommunication Services — Continued
	600	Centel Capital Corp., 9.000%, 10/15/19		724
		CenturyLink, Inc.,
	1,380	Series S, 6.450%, 06/15/21		1,480
	770	Series P, 7.600%, 09/15/39		726
		Deutsche Telekom International Finance B.V., (Netherlands),
	336	2.250%, 03/06/17 (e)		345
	1,150	4.875%, 07/08/14		1,167
	232	4.875%, 03/06/42 (e)		231
	400	6.000%, 07/08/19		472
	325	8.654%, 06/15/30		469
	2,600	GTE Corp., 6.840%, 04/15/18		3,056
	1,742	GTP Acquisition Partners I LLC, 4.347%, 06/15/16 (e)		1,832
	267	Nippon Telegraph & Telephone Corp., (Japan), 1.400%, 07/18/17		266
		Orange S.A., (France),
	560	2.750%, 09/14/16		582
	1,305	8.750%, 03/01/31		1,868
	741	Qwest Corp., 6.750%, 12/01/21		838
		Telefonica Emisiones S.A.U., (Spain),
	252	3.192%, 04/27/18		260
	316	5.462%, 02/16/21		347
	515	5.877%, 07/15/19		584
	300	6.421%, 06/20/16		334
		Verizon Communications, Inc.,
	418	2.500%, 09/15/16		434
	1,762	4.500%, 09/15/20		1,909
	650	5.500%, 04/01/17		729
	443	5.550%, 02/15/16		483
	100	5.850%, 09/15/35		112
	1,795	6.400%, 09/15/33		2,134
	175	6.400%, 02/15/38		205
	1,250	7.350%, 04/01/39		1,621
	1,475	7.750%, 12/01/30		1,944
	500	Verizon New England, Inc., 7.875%, 11/15/29		603
		Verizon Pennsylvania LLC,
	750	6.000%, 12/01/28		791
	1,444	8.350%, 12/15/30		1,815
	500	8.750%, 08/15/31		648

				40,481

		Wireless Telecommunication Services — 0.2%
		America Movil S.A.B. de C.V., (Mexico),
	640	2.375%, 09/08/16		661
	592	3.125%, 07/16/22		559


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Wireless Telecommunication Services — Continued
	485	Crown Castle Towers LLC, 3.214%, 08/15/15 (e)		494
		Rogers Communications, Inc., (Canada),
	1,547	4.100%, 10/01/23		1,587
	400	8.750%, 05/01/32		543
		Vodafone Group plc, (United Kingdom),
	350	1.500%, 02/19/18		347
	1,200	1.625%, 03/20/17		1,214
	1,145	5.000%, 09/15/15		1,225

				6,630

		Total Telecommunication Services		47,111

		Utilities — 1.6%
		Electric Utilities — 1.1%
	229	Alabama Power Co., 6.125%, 05/15/38		283
	286	American Electric Power Co., Inc., 1.650%, 12/15/17		286
		Arizona Public Service Co.,
	296	4.500%, 04/01/42		298
	467	5.050%, 09/01/41		508
	380	Baltimore Gas & Electric Co., 2.800%, 08/15/22		365
	1,005	Cleveland Electric Illuminating Co. (The), Series D, 7.880%, 11/01/17		1,209
	831	Comision Federal de Electricidad, (Mexico), 4.875%, 05/26/21 (e)		865
	185	Connecticut Light & Power Co. (The), 5.650%, 05/01/18		212
	224	DTE Electric Co., 2.650%, 06/15/22		217
		Duke Energy Carolinas LLC,
	129	4.250%, 12/15/41		128
	660	5.100%, 04/15/18		747
	100	6.000%, 01/15/38		123
		Duke Energy Florida, Inc.,
	290	5.650%, 06/15/18		336
	240	6.400%, 06/15/38		312
	1,310	Duke Energy Indiana, Inc., 6.350%, 08/15/38		1,686
		Duke Energy Progress, Inc.,
	525	2.800%, 05/15/22		516
	273	4.100%, 05/15/42		264
	125	4.100%, 03/15/43		121
	310	5.300%, 01/15/19		357
		Electricite de France, (France),
	770	2.150%, 01/22/19 (e)		771
	1,300	6.000%, 01/22/14 (e) (†††)		1,349


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Electric Utilities — Continued
	950	Enel Finance International N.V., (Netherlands), 5.125%, 10/07/19 (e)		1,041
		Florida Power & Light Co.,
	420	5.950%, 10/01/33		513
	335	5.950%, 02/01/38		415
	210	Georgia Power Co., 5.950%, 02/01/39		251
	229	Great Plains Energy, Inc., 4.850%, 06/01/21		246
		Hydro-Quebec, (Canada),
	350	8.050%, 07/07/24		481
	1,000	8.400%, 01/15/22		1,324
	100	Indiana Michigan Power Co., 7.000%, 03/15/19		121
	100	Jersey Central Power & Light Co., 7.350%, 02/01/19		121
	763	John Sevier Combined Cycle Generation LLC, 4.626%, 01/15/42		781
		Kansas City Power & Light Co.,
	403	3.150%, 03/15/23		386
	1,400	5.300%, 10/01/41		1,505
	105	MidAmerican Energy Co., 5.300%, 03/15/18		119
		Nevada Power Co.,
	55	5.375%, 09/15/40		63
	305	5.450%, 05/15/41		354
	720	6.500%, 08/01/18		858
	100	Series N, 6.650%, 04/01/36		129
		NextEra Energy Capital Holdings, Inc.,
	196	1.200%, 06/01/15		197
	725	6.000%, 03/01/19		832
	280	7.875%, 12/15/15		314
	300	Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e)		336
	510	Northern States Power Co., 6.250%, 06/01/36		648
	310	Ohio Power Co., 6.050%, 05/01/18		357
		Oncor Electric Delivery Co. LLC,
	840	6.800%, 09/01/18		1,000
	110	7.000%, 09/01/22		137
		Pacific Gas & Electric Co.,
	544	2.450%, 08/15/22		510
	71	3.250%, 09/15/21		71
	250	3.250%, 06/15/23		244
	217	4.450%, 04/15/42		212
	390	4.500%, 12/15/41		382
	780	5.625%, 11/30/17		895
	100	6.050%, 03/01/34		119
	160	8.250%, 10/15/18		202


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Electric Utilities — Continued
		PacifiCorp,
	180	5.500%, 01/15/19		208
	150	5.650%, 07/15/18		174
		Peco Energy Co.,
	350	2.375%, 09/15/22		331
	175	5.350%, 03/01/18		199
	1,070	Potomac Electric Power Co., 6.500%, 11/15/37		1,395
		Progress Energy, Inc.,
	673	3.150%, 04/01/22		661
	300	6.050%, 03/15/14		301
		Public Service Co. of Colorado,
	250	2.250%, 09/15/22		234
	90	3.200%, 11/15/20		94
	125	5.800%, 08/01/18		146
	2,490	Public Service Co. of Oklahoma, Series G, 6.625%, 11/15/37		3,073
		Public Service Electric & Gas Co.,
	205	5.300%, 05/01/18		235
	277	5.375%, 11/01/39		318
		Southern California Edison Co.,
	318	Series C, 3.500%, 10/01/23		321
	175	4.150%, 09/15/14		178
	765	5.500%, 08/15/18		886
	200	5.950%, 02/01/38		246
	1,185	6.050%, 03/15/39		1,483
		Southern Co. (The),
	363	1.950%, 09/01/16		372
	270	4.150%, 05/15/14		272
	570	Southwestern Public Service Co., Series G, 8.750%, 12/01/18		738
	312	State Grid Overseas Investment Ltd., (United Kingdom), 1.750%, 05/22/18 (e)		305
		Virginia Electric and Power Co.,
	64	3.450%, 02/15/24		64
	1,395	5.400%, 04/30/18		1,596
	625	5.950%, 09/15/17		723
		Wisconsin Electric Power Co.,
	21	2.950%, 09/15/21		21
	450	6.000%, 04/01/14		452
	265	6.250%, 12/01/15		291
		Xcel Energy, Inc.,
	162	0.750%, 05/09/16		161
	92	4.800%, 09/15/41		96
	200	6.500%, 07/01/36		253

				41,944


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Gas Utilities — 0.0% (g)
		Atmos Energy Corp.,
	828	4.150%, 01/15/43		791
	285	8.500%, 03/15/19		366
	308	Boston Gas Co., 4.487%, 02/15/42 (e)		308
	335	CenterPoint Energy Resources Corp., 6.125%, 11/01/17		385

				1,850

		Independent Power Producers & Energy Traders — 0.1%
		Exelon Generation Co. LLC,
	1,020	4.000%, 10/01/20		1,043
	235	5.750%, 10/01/41		242
	165	PPL Energy Supply LLC, 4.600%, 12/15/21		165
		PSEG Power LLC,
	442	4.300%, 11/15/23		452
	772	5.125%, 04/15/20		855
	202	Southern Power Co., 5.150%, 09/15/41		212

				2,969

		Multi-Utilities — 0.4%
		AGL Capital Corp.,
	563	3.500%, 09/15/21		576
	208	4.400%, 06/01/43		202
	1,445	5.875%, 03/15/41		1,722
	1,243	6.375%, 07/15/16		1,392
	596	Consolidated Edison Co. of New York, Inc., 5.700%, 06/15/40		709
		Consumers Energy Co.,
	216	2.850%, 05/15/22		212
	130	5.650%, 04/15/20		152
	235	Delmarva Power & Light Co., 4.000%, 06/01/42		221
		Dominion Resources, Inc.,
	920	Series F, 5.250%, 08/01/33		1,005
	300	7.000%, 06/15/38		382
	600	8.875%, 01/15/19		768
	289	DTE Energy Co., 3.850%, 12/01/23		295
		NiSource Finance Corp.,
	370	3.850%, 02/15/23		369
	360	4.450%, 12/01/21		381
	1,256	5.800%, 02/01/42		1,362
		San Diego Gas & Electric Co.,
	379	3.950%, 11/15/41		362
	275	6.000%, 06/01/26		338
		Sempra Energy,
	350	2.875%, 10/01/22		333


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Multi-Utilities — Continued
	958	4.050%, 12/01/23		980
	1,145	6.150%, 06/15/18		1,337
	180	6.500%, 06/01/16		202
	435	9.800%, 02/15/19		581

				13,881

		Total Utilities		60,644

		Total Corporate Bonds (Cost $676,960)		718,423

	Foreign Government Securities — 1.2%
	825	Brazilian Government International Bond, (Brazil), 4.250%, 01/07/25		793
		Israel Government AID Bond, (Israel),
	20,000	Zero Coupon, 03/15/18		18,805
	1,776	Zero Coupon, 02/15/22		1,412
	1,500	Zero Coupon, 11/01/23		1,094
	1,500	Zero Coupon, 11/01/24		1,041
	1,000	5.500%, 09/18/33		1,210
		Province of Ontario, (Canada),
	1,387	1.650%, 09/27/19		1,354
	700	2.700%, 06/16/15		721
	2,220	2.950%, 02/05/15		2,275
	377	Province of Quebec, (Canada), Series A, SUB, 7.365%, 03/06/26		500
	1,133	Republic of Poland, (Poland), 4.000%, 01/22/24		1,130
	640	Republic of South Africa, (South Africa), 5.875%, 09/16/25		685
		Republic of Turkey, (Turkey),
	1,529	5.750%, 03/22/24		1,564
	682	6.625%, 02/17/45		693
	5,000	Tunisia Government AID Bond, (Tunisia), 1.686%, 07/16/19		4,902
		United Mexican States, (Mexico),
	2,030	3.500%, 01/21/21		2,055
	1,732	4.000%, 10/02/23		1,754
	120	4.750%, 03/08/44		112
	4,913	5.550%, 01/21/45		5,109

		Total Foreign Government Securities (Cost $46,780)		47,209

	Mortgage Pass-Through Securities — 15.0%
		Federal Home Loan Mortgage Corp.,
	33	ARM, 2.087%, 07/01/19		35
	438	ARM, 2.119%, 10/01/36		464
	121	ARM, 2.220%, 10/01/36		129


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

	430		ARM, 2.290%, 11/01/36		457
	37		ARM, 2.314%, 04/01/30		39
	1,005		ARM, 2.317%, 03/01/37		1,085
	361		ARM, 2.352%, 12/01/36		389
	554		ARM, 2.355%, 12/01/33		588
	658		ARM, 2.375%, 05/01/36 — 11/01/36		701
	277		ARM, 2.419%, 02/01/36		294
	953		ARM, 2.535%, 04/01/34		1,015
	188		ARM, 2.541%, 02/01/37		200
	424		ARM, 2.693%, 12/01/34		453
	636		ARM, 2.789%, 10/01/36		679
	569		ARM, 3.982%, 02/01/36		613
	1,963		ARM, 4.002%, 07/01/40		2,088
	390		ARM, 4.716%, 07/01/36		420
	550		ARM, 5.049%, 01/01/35		586
			Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,
	—	(h)	4.000%, 05/01/19		—	(h)
	122		4.500%, 08/01/18		130
	331		5.000%, 12/01/18		354
	2,857		5.500%, 06/01/17 — 01/01/24		3,108
	49		6.000%, 04/01/18		52
	410		6.500%, 08/01/16 — 02/01/19		431
	10		7.000%, 04/01/17		10
	—	(h)	7.500%, 10/01/14		—	(h)
	1		8.500%, 11/01/15		1
			Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family,
	2,837		3.500%, 01/01/32 — 03/01/32		2,940
	108		6.000%, 12/01/22		120
	320		6.500%, 11/01/22		359
			Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,
	4,481		3.500%, 04/01/43		4,538
	1,268		4.000%, 09/01/35		1,331
	5,929		4.500%, 05/01/41		6,363
	5,297		5.000%, 09/01/34 — 08/01/40		5,801
	2,103		5.500%, 10/01/33 — 07/01/35		2,333
	371		6.000%, 12/01/33 — 01/01/34		420
	2,026		6.500%, 11/01/34 — 11/01/36		2,270
	580		7.000%, 07/01/32 — 10/01/36		654
	732		Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, 10.000%, 10/01/30		841
			Federal Home Loan Mortgage Corp. Gold Pools, Other,
	2,984		3.000%, 03/01/33		2,977


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — Continued
	24,744	3.500%, 10/01/32 — 06/01/43		25,160
	10,080	4.000%, 01/01/32 — 01/01/43		10,505
	481	5.500%, 10/01/33 — 01/01/34		521
	729	6.000%, 02/01/33		797
	90	7.000%, 07/01/29		101
		Federal Home Loan Mortgage Corp., 30 Year, Single Family,
	2	12.000%, 08/01/15 - 07/01/19		2
		Federal National Mortgage Association,
	125	ARM, 1.688%, 09/01/34		129
	1,013	ARM, 1.784%, 01/01/33		1,071
	730	ARM, 1.788%, 07/01/33		791
	10	ARM, 1.875%, 03/01/19		11
	1,790	ARM, 1.899%, 01/01/35		1,880
	488	ARM, 1.909%, 11/01/34		520
	1,401	ARM, 1.910%, 09/01/35		1,471
	610	ARM, 1.940%, 07/01/36		650
	633	ARM, 2.120%, 01/01/35		672
	686	ARM, 2.121%, 05/01/35		731
	316	ARM, 2.137%, 01/01/36		335
	1,017	ARM, 2.160%, 11/01/34		1,073
	197	ARM, 2.170%, 07/01/34		209
	802	ARM, 2.192%, 10/01/34		848
	260	ARM, 2.200%, 02/01/35		273
	323	ARM, 2.202%, 04/01/34		340
	542	ARM, 2.204%, 10/01/34		574
	1,053	ARM, 2.209%, 06/01/35		1,114
	191	ARM, 2.217%, 09/01/35		203
	6	ARM, 2.250%, 01/01/19		6
	20	ARM, 2.262%, 04/01/34		22
	354	ARM, 2.266%, 08/01/34		381
	310	ARM, 2.274%, 09/01/34		328
	986	ARM, 2.277%, 07/01/33 — 08/01/34		1,042
	225	ARM, 2.299%, 01/01/34		238
	779	ARM, 2.324%, 07/01/33		828
	603	ARM, 2.335%, 05/01/34		641
	1,844	ARM, 2.342%, 04/01/35		1,958
	438	ARM, 2.355%, 04/01/35		467
	187	ARM, 2.405%, 05/01/35		198
	244	ARM, 2.440%, 01/01/38		255
	234	ARM, 2.498%, 06/01/36		251
	330	ARM, 2.505%, 10/01/34		352
	487	ARM, 2.560%, 09/01/33		517
	74	ARM, 2.699%, 09/01/27		79
	644	ARM, 2.700%, 10/01/36		688
	73	ARM, 2.875%, 01/01/36		77


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	194	ARM, 3.000%, 02/01/34		207
	58	ARM, 3.723%, 03/01/29		61
	5,986	3.050%, 04/01/22		6,081
	1,915	3.500%, 01/01/43		1,920
	2,000	3.760%, 11/01/23		2,097
		Federal National Mortgage Association, 15 Year, Single Family,
	838	3.500%, 09/01/18 — 07/01/19		886
	650	4.000%, 08/01/18 — 10/01/18		694
	2,389	4.500%, 06/01/18 — 12/01/19		2,555
	852	5.000%, 06/01/18 — 08/01/24		920
	855	5.500%, 03/01/20 — 07/01/20		918
	4,984	6.000%, 06/01/16 — 01/01/24		5,477
	208	6.500%, 03/01/17 — 08/01/20		221
	200	7.000%, 03/01/17 — 09/01/17		211
	4	7.500%, 03/01/17		4
	2	8.000%, 11/01/15		2
		Federal National Mortgage Association, 20 Year, Single Family,
	1,642	3.500%, 08/01/32		1,706
	125	4.500%, 04/01/24		134
	1,167	6.500%, 05/01/22 — 04/01/25		1,307
		Federal National Mortgage Association, 30 Year, FHA/VA,
	94	6.000%, 09/01/33		102
	1,290	6.500%, 03/01/29 — 08/01/39		1,426
	24	7.000%, 02/01/33		27
	50	8.000%, 06/01/28		58
	17	9.000%, 05/01/18 — 12/01/25		18
		Federal National Mortgage Association, 30 Year, Single Family,
	404	4.500%, 11/01/33 — 02/01/35		436
	1,475	5.000%, 07/01/33 — 09/01/35		1,630
	2,012	5.500%, 09/01/31 — 03/01/34		2,233
	2,655	6.000%, 12/01/28 — 09/01/37		2,987
	1,221	6.500%, 11/01/29 — 08/01/31		1,377
	1,065	7.000%, 01/01/24 — 01/01/39		1,184
	494	7.500%, 08/01/36 — 11/01/37		557
	622	8.000%, 03/01/27 — 11/01/28		738
	1	9.000%, 04/01/26		1
	13	9.500%, 07/01/28		15
	1	12.500%, 01/01/16		1
		Federal National Mortgage Association, Other,
	1,468	VAR, 0.528%, 01/01/23		1,469
	5,933	VAR, 0.558%, 10/01/22 — 01/01/23		5,935
	4,977	VAR, 0.628%, 11/01/23		4,983


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — Continued
	4,000	VAR, 0.638%, 12/01/23		4,000
	3,000	VAR, 0.658%, 11/01/23		3,015
	962	VAR, 0.968%, 03/01/22		969
	2,423	VAR, 6.070%, 11/01/18		2,632
	2,000	1.690%, 12/01/19		1,943
	3,450	1.792%, 05/01/20		3,359
	3,954	1.808%, 06/01/20		3,844
	2,000	1.940%, 07/01/19		2,020
	1,500	2.066%, 12/01/20		1,444
	12,000	2.077%, 06/01/20		11,915
	4,569	2.097%, 08/01/19		4,565
	5,436	2.190%, 09/01/21 — 12/01/22		5,168
	2,000	2.211%, 04/01/19		2,028
	1,475	2.221%, 04/01/19		1,487
	4,010	2.283%, 12/01/22		3,817
	5,360	2.390%, 12/01/22		5,170
	5,435	2.418%, 12/01/22		5,217
	1,972	2.428%, 05/01/23		1,886
	3,375	2.449%, 11/01/22		3,255
	3,000	2.459%, 12/01/22		2,892
	3,500	2.480%, 12/01/22		3,378
	5,670	2.490%, 10/01/17		5,901
	2,966	2.500%, 06/01/23		2,845
	4,000	2.531%, 11/01/22		3,840
	2,936	2.542%, 02/01/23		2,845
	1,482	2.593%, 06/01/23		1,432
	6,983	2.604%, 10/01/22 — 05/01/23		6,720
	3,000	2.670%, 07/01/22		2,933
	6,840	2.690%, 10/01/17		7,150
	3,392	2.703%, 04/01/23		3,328
	4,988	2.809%, 07/01/23		4,930
	3,244	2.841%, 03/01/22		3,205
	1,565	2.862%, 05/01/22		1,562
	3,778	2.970%, 11/01/18		3,952
	7,364	3.000%, 02/01/22 — 01/01/43		7,318
	1,457	3.038%, 05/01/22		1,468
	7,052	3.070%, 01/01/22		7,183
	4,500	3.079%, 07/01/22		4,541
	2,000	3.120%, 01/01/22		2,043
	2,756	3.160%, 02/01/22		2,820
	1,848	3.224%, 05/01/22		1,882
	9,799	3.230%, 11/01/20		10,206
	1,476	3.255%, 12/01/21		1,516
	2,223	3.260%, 01/01/22		2,290
	1,990	3.290%, 10/01/20		2,081
	3,925	3.306%, 02/01/22		4,016


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	952	3.375%, 11/01/20		1,000
	1,978	3.461%, 11/01/20		2,074
	47,445	3.500%, 12/01/32 — 08/01/43		47,883
	2,000	3.503%, 08/01/17		2,127
	1,941	3.520%, 01/01/18		2,079
	1,454	3.544%, 09/01/20		1,534
	2,500	3.590%, 08/01/23		2,575
	2,860	3.600%, 09/01/20		3,041
	7,465	3.621%, 09/01/20		7,911
	4,898	3.658%, 10/01/20		5,161
	1,500	3.690%, 11/01/23		1,565
	4,582	3.729%, 07/01/22		4,854
	1,896	3.740%, 07/01/20		2,030
	3,000	3.760%, 10/01/23		3,146
	978	3.761%, 01/01/25		1,003
	5,000	3.792%, 07/01/23		5,183
	2,938	3.802%, 09/01/20		3,136
	3,000	3.895%, 09/01/21		3,155
	2,893	3.906%, 09/01/21		3,073
	6,738	3.916%, 09/01/21		7,162
	1,957	3.930%, 07/01/20		2,113
	4,711	3.947%, 06/01/17		5,057
	4,750	3.980%, 11/01/16		4,843
	1,540	3.999%, 01/01/21		1,654
	9,831	4.000%, 10/01/32 — 07/01/42		10,259
	5,000	4.019%, 09/01/21		5,345
	1,998	4.061%, 01/01/21		2,152
	7,956	4.081%, 07/01/20 — 07/01/21		8,557
	1,423	4.130%, 07/01/20		1,548
	2,380	4.250%, 04/01/21		2,592
	1,667	4.257%, 04/01/20		1,814
	4,449	4.267%, 11/01/19 — 08/01/21		4,832
	2,096	4.290%, 06/01/20		2,299
	1,442	4.302%, 01/01/21		1,591
	1,450	4.317%, 07/01/21		1,623
	1,467	4.350%, 04/01/20		1,615
	952	4.368%, 04/01/20		1,049
	1,952	4.369%, 02/01/20		2,150
	1,440	4.380%, 01/01/21		1,585
	1,882	4.381%, 11/01/19		2,089
	1,994	4.390%, 05/01/21		2,193
	2,000	4.391%, 04/01/21		2,178
	2,000	4.402%, 07/01/21		2,183
	2,415	4.443%, 08/01/20 — 04/01/21		2,665
	2,122	4.474%, 04/01/21		2,326
	5,000	4.484%, 06/01/21		5,473


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — Continued
	928	4.500%, 03/01/20		1,019
	6,669	4.530%, 12/01/19		7,384
	4,260	4.540%, 01/01/20		4,725
	2,000	4.546%, 02/01/20		2,203
	2,892	4.629%, 02/01/21		3,195
	3,865	4.794%, 01/01/21		4,302
	1,893	5.414%, 07/01/19		2,085
	466	5.500%, 03/01/17 — 09/01/33		504
	1,337	6.000%, 09/01/37 — 06/01/39		1,468
	385	6.500%, 01/01/36 — 07/01/36		421
	84	7.000%, 10/01/46		91
	65	10.587%, 04/15/19		71
		Government National Mortgage Association II, 30 Year, Single Family,
	335	4.500%, 08/20/33		368
	3,794	6.000%, 09/20/38		4,301
	66	7.500%, 02/20/28 — 09/20/28		78
	107	8.000%, 12/20/25 — 09/20/28		127
	32	8.500%, 05/20/25		37
		Government National Mortgage Association II, Other,
	10,206	4.375%, 06/20/63		10,996
	10,494	4.433%, 05/20/63		11,439
	3,053	4.462%, 05/20/63		3,320
	2,063	4.479%, 04/20/63		2,230
		Government National Mortgage Association, 15 Year, Single Family,
	58	6.500%, 06/15/17		61
	38	8.000%, 01/15/16		39
		Government National Mortgage Association, 30 Year, Single Family,
	331	6.500%, 03/15/28 — 04/15/33		374
	214	7.000%, 02/15/33 — 06/15/33		253
	72	7.500%, 11/15/22 — 11/15/31		78
	17	8.000%, 09/15/22 — 08/15/28		18
	3	9.000%, 12/15/16		3
	691	9.500%, 10/15/24		782

		Total Mortgage Pass-Through Securities (Cost $573,984)		579,615

	Municipal Bonds — 0.2% (t)
		California — 0.0% (g)
	440	Los Angeles City Department of Airports, International Airport, Series C, Rev., 6.582%, 05/15/39		536
	350	State of California, Various Purpose, GO, 7.300%, 10/01/39		471

				1,007


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Illinois — 0.0% (g)
	160	State of Illinois, Taxable Pension, GO, 5.100%, 06/01/33		158

		New York — 0.1%
	360	New York State Dormitory Authority, State Personal Income Tax, Series D, Rev., 5.600%, 03/15/40		418
	1,825	Port Authority of New York & New Jersey, Consolidated 164, Rev., 5.647%, 11/01/40		2,095
	2,500	Port Authority of New York & New Jersey, Consolidated 174, Rev., 4.458%, 10/01/62		2,322

				4,835

		Ohio — 0.1%
	1,315	American Municipal Power, Inc., Meldahl Hydroelectric Project, Series B, Rev., 7.499%, 02/15/50		1,715
	1,563	Ohio State University, General Receipts, Series A, Rev., 4.800%, 06/01/11		1,495

				3,210

		Total Municipal Bonds (Cost $8,736)		9,210

	Supranational — 0.1%
	3,000	African Development Bank, 8.800%, 09/01/19		3,902
	641	Corp. Andina de Fomento, 3.750%, 01/15/16		670

		Total Supranational (Cost $4,508)		4,572

	U.S. Government Agency Securities — 2.3%
	646	Federal Farm Credit Bank, 5.125%, 11/15/18		745
	1,525	Federal Home Loan Bank, 5.500%, 07/15/36		1,855
	6,000	Federal National Mortgage Association, Zero Coupon, 06/01/17		5,772
		Financing Corp. Fico,
	4,500	Zero Coupon, 05/11/18		4,203
	2,000	Zero Coupon, 04/05/19		1,812
	1,240	Zero Coupon, 09/26/19		1,095
		Government Trust Certificate,
	4,000	Zero Coupon, 10/01/15		3,929
	5,000	Zero Coupon, 04/01/16		4,869
	13,319	Zero Coupon, 10/01/19		11,463
		Residual Funding Corp. STRIPS,
	7,300	Zero Coupon, 10/15/19		6,537
	30,450	Zero Coupon, 07/15/20		26,399
	12,930	Zero Coupon, 10/15/20		11,093
		Tennessee Valley Authority,
	304	4.625%, 09/15/60		293
	3,500	5.250%, 09/15/39		3,951
	1,115	5.880%, 04/01/36		1,362


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	U.S. Government Agency Securities — Continued
		Tennessee Valley Authority STRIPS,
	2,000	Zero Coupon, 05/01/19		1,773
	5,000	Zero Coupon, 11/01/25		3,197
	800	Zero Coupon, 06/15/35		304

		Total U.S. Government Agency Securities (Cost $91,348)		90,652

	U.S. Treasury Obligations — 26.4%
		U.S. Treasury Bonds,
	3,100	4.375%, 02/15/38		3,564
	7,575	4.500%, 02/15/36		8,875
	1,200	4.500%, 05/15/38		1,405
	300	4.500%, 08/15/39		352
	1,500	4.750%, 02/15/37		1,819
	15,115	5.000%, 05/15/37 (m)		18,946
	850	5.250%, 02/15/29		1,065
	1,250	5.375%, 02/15/31		1,601
	750	6.125%, 11/15/27		1,013
	300	6.125%, 08/15/29		410
	2,296	6.250%, 08/15/23		3,020
	900	6.250%, 05/15/30		1,252
	400	6.625%, 02/15/27		559
	4,690	7.500%, 11/15/16		5,557
	1,881	7.875%, 02/15/21		2,594
	864	8.125%, 05/15/21		1,213
	1,825	8.500%, 02/15/20		2,522
	1,500	8.750%, 05/15/20		2,110
	6,675	8.750%, 08/15/20		9,460
	22,765	8.875%, 08/15/17		28,928
		U.S. Treasury Coupon STRIPS,
	19,751	1.527%, 08/15/16 (n)		19,491
	17,000	1.835%, 05/15/21 (n)		14,424
	8,400	1.867%, 05/15/18 (n)		7,955
	2,000	2.034%, 02/15/18 (n)		1,907
	2,435	2.062%, 02/15/20 (n)		2,174
	20,115	2.264%, 02/15/21 (n)		17,239
	13,428	2.534%, 02/15/22 (n)		11,023
	15,025	2.713%, 11/15/21 (m) (n)		12,477
	2,500	2.890%, 05/15/23 (n)		1,945
	37,935	2.975%, 08/15/20 (m) (n)		33,198
	1,592	3.052%, 08/15/26 (n)		1,069
	17,577	3.057%, 05/15/19 (n)		16,112
	800	3.063%, 05/15/35 (n)		366
	1,550	3.149%, 02/15/32 (n)		813
	1,000	3.192%, 02/15/25 (n)		720
	6,100	3.207%, 08/15/21 (n)		5,119


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	28,150	3.279%, 11/15/26 (m) (n)		18,680
	5,600	3.279%, 05/15/28 (n)		3,472
	1,650	3.367%, 08/15/34 (n)		779
	48,814	3.390%, 05/15/20 (m) (n)		43,160
	3,000	3.471%, 05/15/31 (n)		1,625
	8,300	3.476%, 11/15/27 (n)		5,262
	28,300	3.572%, 02/15/27 (n)		18,557
	1,600	3.672%, 08/15/29 (n)		936
	5,650	3.677%, 11/15/31 (n)		2,995
	21,411	3.719%, 08/15/17 (n)		20,702
	6,950	3.749%, 05/15/32 (n)		3,606
	3,925	3.790%, 02/15/29 (n)		2,348
	22,360	3.803%, 08/15/19 (n)		20,322
	18,741	3.835%, 08/15/18 (n)		17,595
	6,100	3.853%, 02/15/31 (n)		3,337
	4,500	3.953%, 08/15/31 (n)		2,411
	14,487	3.968%, 02/15/23 (n)		11,388
	6,140	3.988%, 11/15/32 (n)		3,118
	2,500	4.010%, 02/15/33 (n)		1,256
	6,400	4.032%, 05/15/30 (n)		3,628
	20,629	4.214%, 02/15/17 (n)		20,172
	600	4.225%, 08/15/24 (n)		442
	1,000	4.264%, 02/15/26 (n)		687
	11,150	4.265%, 05/15/33 (n)		5,544
	2,800	4.304%, 05/15/34 (n)		1,334
	350	4.307%, 08/15/32 (n)		179
	4,750	4.426%, 11/15/33 (n)		2,313
	1,650	4.471%, 11/15/29 (n)		955
	100	4.627%, 08/15/35 (n)		45
	6,675	4.649%, 08/15/27 (n)		4,280
	8,860	4.649%, 02/15/28 (n)		5,554
	1,200	4.809%, 02/15/35 (n)		554
	5,000	4.810%, 02/15/34 (n)		2,409
	3,050	4.974%, 08/15/33 (n)		1,499
	22,564	5.006%, 11/15/17 (n)		21,677
	22,100	5.047%, 02/15/30 (n)		12,653
	15,857	5.049%, 11/15/16 (n)		15,596
	7,425	5.056%, 11/15/30 (n)		4,111
	8,200	5.244%, 08/15/30 (n)		4,591
	1,500	5.427%, 05/15/26 (n)		1,019
	3,550	5.453%, 05/15/27 (n)		2,303
	2,500	5.459%, 11/15/28 (n)		1,515
	200	5.555%, 05/15/24 (n)		149
	1,400	5.649%, 11/15/24 (n)		1,020
	3,000	5.667%, 08/15/28 (n)		1,839
	17,230	5.742%, 02/15/15 (m) (n)		17,204


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	U.S. Treasury Obligations — Continued
	28,397	6.128%, 11/15/15 (n)		28,271
	5,665	6.205%, 08/15/14 (m) (n)		5,662
	51,751	6.227%, 02/15/16 (n)		51,415
	3,595	6.291%, 05/15/15 (n)		3,586
	2,049	6.327%, 08/15/15 (n)		2,043
	19,538	6.749%, 11/15/14 (m) (n)		19,521
		U.S. Treasury Inflation Indexed Bonds,
	300	2.500%, 01/15/29		399
	799	3.625%, 04/15/28 (m)		1,579
		U.S. Treasury Inflation Indexed Notes,
	1,000	0.500%, 04/15/15		1,102
	1,000	1.125%, 01/15/21		1,147
	1,000	1.250%, 04/15/14		1,106
	630	1.375%, 07/15/18		748
		U.S. Treasury Notes,
	8,000	0.750%, 12/31/17		7,900
	3,560	0.875%, 01/31/18		3,528
	4,510	1.000%, 11/30/19		4,314
	11,635	1.375%, 11/30/18		11,606
	7,400	1.500%, 08/31/18		7,449
	31,000	1.750%, 10/31/18 (m)		31,489
	2,000	1.875%, 04/30/14		2,006
	10,000	2.000%, 02/15/22		9,750
	12,245	2.125%, 12/31/15		12,654
	7,000	2.125%, 08/31/20		7,053
	36,000	2.125%, 08/15/21		35,741
	10,000	2.250%, 07/31/18		10,407
	21,972	2.625%, 12/31/14		22,425
	1,000	2.625%, 02/29/16		1,045
	4,575	2.625%, 04/30/16		4,794
	9,300	2.625%, 01/31/18		9,839
	700	2.625%, 08/15/20		727
	2,300	2.625%, 11/15/20		2,384
	16,985	2.750%, 05/31/17		18,027
	6,000	2.750%, 12/31/17		6,377
	8,000	3.125%, 10/31/16		8,537
	6,015	3.125%, 04/30/17		6,453
	11,638	3.125%, 05/15/19		12,535
	8,900	3.125%, 05/15/21		9,474
	15,700	3.250%, 12/31/16		16,848
	12,300	3.250%, 03/31/17		13,237
	2,600	3.500%, 02/15/18		2,838
	450	3.500%, 05/15/20		493
	9,500	3.625%, 02/15/21		10,446
	5,000	3.750%, 11/15/18		5,532
	10,000	4.000%, 02/15/15		10,368


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	3,725	4.500%, 11/15/15		3,993
	10,375	4.750%, 08/15/17		11,725
		U.S. Treasury Principal STRIPS,
	16,180	Zero Coupon, 02/15/15		16,156
	5,445	Zero Coupon, 11/15/15		5,421
	1,000	Zero Coupon, 05/15/16		991
	250	Zero Coupon, 05/15/20		221

		Total U.S. Treasury Obligations (Cost $977,022)		1,018,480

	Loan Assignments — 0.4%
		Financials — 0.4%
		Real Estate Management & Development — 0.4%
	1,594	FiveTen Group Holdings Ltd., Revolving Loan, (United Kingdom), VAR, 4.250%, 04/14/14 (i) ^		1,588
		Invitation Homes, Revolving Loan,
	5,862	VAR, 3.750%, 03/15/15 (i)		5,832
		Progress Residential LP, Revolving Loan,
	3,682	VAR, 4.000%, 09/04/15 (i)		3,664
	2,661	Tricon Capital Group Inc., Revolving Loan, (Canada), VAR, 4.100%, 06/13/15 (i)		2,648

		Total Loan Assignments (Cost $13,799)		13,732


SHARES
	Short-Term Investment — 1.1%
		Investment Company — 1.1%
	44,100	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.020% (b) (l) (Cost $44,100)		44,100

		Total Investments — 99.9% (Cost $3,712,685)		3,861,611

		Other Assets in Excess of Liabilities — 0.1%		3,523

		NET ASSETS — 100.0%	$	3,865,134

Percentages indicated are based on net assets.


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — 99.1%
		Consumer Discretionary — 12.4%
		Auto Components — 0.4%
	5	BorgWarner, Inc.		306
	6	Delphi Automotive plc, (United Kingdom)		407
	5	Goodyear Tire & Rubber Co. (The)		145
	15	Johnson Controls, Inc.		739

				1,597

		Automobiles — 0.7%
	86	Ford Motor Co.		1,327
	28	General Motors Co. (a)		1,031
	5	Harley-Davidson, Inc.		319

				2,677

		Distributors — 0.1%
	3	Genuine Parts Co.		297

		Diversified Consumer Services — 0.1%
	6	H&R Block, Inc.		189

		Hotels, Restaurants & Leisure — 1.7%
	10	Carnival Corp.		380
	1	Chipotle Mexican Grill, Inc. (a)		382
	3	Darden Restaurants, Inc.		146
	5	International Game Technology		82
	5	Marriott International, Inc., Class A		266
	22	McDonald’s Corp.		2,069
	16	Starbucks Corp.		1,168
	4	Starwood Hotels & Resorts Worldwide, Inc.		345
	3	Wyndham Worldwide Corp.		207
	2	Wynn Resorts Ltd.		428
	10	Yum! Brands, Inc.		721

				6,194

		Household Durables — 0.4%
	6	D.R. Horton, Inc.		152
	3	Garmin Ltd., (Switzerland)		144
	1	Harman International Industries, Inc.		155
	3	Leggett & Platt, Inc.		99
	4	Lennar Corp., Class A		160
	1	Mohawk Industries, Inc. (a)		189
	6	Newell Rubbermaid, Inc.		202
	8	PulteGroup, Inc.		158
	2	Whirlpool Corp.		248

				1,507

		Internet & Catalog Retail — 1.5%
	8	Amazon.com, Inc. (a)		2,934
	2	Expedia, Inc.		177
	1	Netflix, Inc. (a)		577


SHARES			SECURITY DESCRIPTION	VALUE($)


			Internet & Catalog Retail — Continued
	1		priceline.com, Inc. (a)		1,516
	2		TripAdvisor, Inc. (a)		242

					5,446

			Leisure Equipment & Products — 0.1%
	3		Hasbro, Inc.		139
	7		Mattel, Inc.		276

					415

			Media — 3.7%
	5		Cablevision Systems Corp., Class A		82
	12		CBS Corp. (Non-Voting), Class B		818
	57		Comcast Corp., Class A		2,944
	11		DIRECTV (a)		829
	5		Discovery Communications, Inc., Class A (a)		411
	5		Gannett Co., Inc.		148
	—	(h)	Graham Holdings Co., Class B		68
	9		Interpublic Group of Cos., Inc. (The)		161
	11		News Corp., Class A (a)		199
	6		Omnicom Group, Inc.		426
	2		Scripps Networks Interactive, Inc., Class A		194
	6		Time Warner Cable, Inc.		865
	20		Time Warner, Inc.		1,327
	43		Twenty-First Century Fox, Inc., Class A		1,438
	9		Viacom, Inc., Class B		778
	36		Walt Disney Co. (The)		2,886

					13,574

			Multiline Retail — 0.7%
	6		Dollar General Corp. (a)		386
	5		Dollar Tree, Inc. (a)		249
	2		Family Dollar Stores, Inc.		138
	4		Kohl’s Corp.		247
	8		Macy’s, Inc.		466
	3		Nordstrom, Inc.		192
	14		Target Corp.		864

					2,542

			Specialty Retail — 2.2%
	1		AutoNation, Inc. (a)		74
	1		AutoZone, Inc. (a)		401
	5		Bed Bath & Beyond, Inc. (a)		318
	6		Best Buy Co., Inc.		159
	5		CarMax, Inc. (a)		237
	3		GameStop Corp., Class A		95
	6		Gap, Inc. (The)		253
	31		Home Depot, Inc. (The)		2,524
	5		L Brands, Inc.		300


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — Continued
		Specialty Retail — Continued
	23	Lowe’s Cos., Inc.		1,144
	2	O’Reilly Automotive, Inc. (a)		354
	2	PetSmart, Inc.		152
	5	Ross Stores, Inc.		345
	14	Staples, Inc.		196
	2	Tiffany & Co.		225
	16	TJX Cos., Inc. (The)		955
	3	Tractor Supply Co.		215
	2	Urban Outfitters, Inc. (a)		89

				8,036

		Textiles, Apparel & Luxury Goods — 0.8%
	6	Coach, Inc.		299
	1	Fossil Group, Inc. (a)		123
	4	Michael Kors Holdings Ltd., (Hong Kong) (a)		384
	16	NIKE, Inc., Class B		1,279
	2	PVH Corp.		226
	1	Ralph Lauren Corp.		210
	8	V.F. Corp.		451

				2,972

		Total Consumer Discretionary		45,446

		Consumer Staples — 9.4%
		Beverages — 2.1%
	4	Beam, Inc.		296
	4	Brown-Forman Corp., Class B		297
	83	Coca-Cola Co. (The)		3,170
	5	Coca-Cola Enterprises, Inc.		248
	4	Constellation Brands, Inc., Class A (a)		295
	4	Dr. Pepper Snapple Group, Inc.		229
	3	Molson Coors Brewing Co., Class B		196
	3	Monster Beverage Corp. (a)		220
	34	PepsiCo, Inc.		2,683

				7,634

		Food & Staples Retailing — 2.3%
	10	Costco Wholesale Corp.		1,115
	26	CVS Caremark Corp.		1,902
	11	Kroger Co. (The)		477
	5	Safeway, Inc.		202
	13	Sysco Corp.		458
	19	Walgreen Co.		1,293
	35	Wal-Mart Stores, Inc.		2,641
	8	Whole Foods Market, Inc.		440

				8,528


SHARES		SECURITY DESCRIPTION	VALUE($)


		Food Products — 1.5%
	14	Archer-Daniels-Midland Co.		584
	4	Campbell Soup Co.		170
	9	ConAgra Foods, Inc.		262
	14	General Mills, Inc.		693
	3	Hershey Co. (The)		346
	3	Hormel Foods Corp.		139
	2	JM Smucker Co. (The)		230
	6	Kellogg Co.		341
	13	Kraft Foods Group, Inc.		720
	3	McCormick & Co., Inc. (Non-Voting)		192
	4	Mead Johnson Nutrition Co.		360
	38	Mondelez International, Inc., Class A		1,304
	6	Tyson Foods, Inc., Class A		234

				5,575

		Household Products — 1.9%
	3	Clorox Co. (The)		246
	19	Colgate-Palmolive Co.		1,207
	8	Kimberly-Clark Corp.		920
	59	Procter & Gamble Co. (The)		4,672

				7,045

		Personal Products — 0.2%
	9	Avon Products, Inc.		147
	6	Estee Lauder Cos., Inc. (The), Class A		385

				532

		Tobacco — 1.4%
	44	Altria Group, Inc.		1,585
	8	Lorillard, Inc.		395
	35	Philip Morris International, Inc.		2,832
	7	Reynolds American, Inc.		348

				5,160

		Total Consumer Staples		34,474

		Energy — 9.9%
		Energy Equipment & Services — 1.9%
	10	Baker Hughes, Inc.		613
	5	Cameron International Corp. (a)		333
	2	Diamond Offshore Drilling, Inc.		72
	5	Ensco plc, (United Kingdom), Class A		269
	5	FMC Technologies, Inc. (a)		260
	19	Halliburton Co.		1,056
	2	Helmerich & Payne, Inc.		231
	6	Nabors Industries Ltd., (Bermuda)		131
	9	National Oilwell Varco, Inc.		721
	6	Noble Corp. plc, (United Kingdom)		172


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — Continued
		Energy Equipment & Services — Continued
	3	Rowan Cos. plc, Class A (a)		90
	29	Schlumberger Ltd.		2,676
	7	Transocean Ltd., (Switzerland)		314

				6,938

		Oil, Gas & Consumable Fuels — 8.0%
	11	Anadarko Petroleum Corp.		925
	9	Apache Corp.		692
	9	Cabot Oil & Gas Corp.		322
	11	Chesapeake Energy Corp.		286
	42	Chevron Corp.		4,847
	27	ConocoPhillips		1,780
	5	CONSOL Energy, Inc.		201
	8	Denbury Resources, Inc.		131
	8	Devon Energy Corp.		537
	6	EOG Resources, Inc.		1,130
	3	EQT Corp.		337
	95	Exxon Mobil Corp.		9,190
	6	Hess Corp.		497
	15	Kinder Morgan, Inc.		469
	15	Marathon Oil Corp.		510
	7	Marathon Petroleum Corp.		553
	4	Murphy Oil Corp.		228
	3	Newfield Exploration Co. (a)		84
	8	Noble Energy, Inc.		540
	18	Occidental Petroleum Corp.		1,700
	6	Peabody Energy Corp.		103
	13	Phillips 66		981
	3	Pioneer Natural Resources Co.		627
	4	QEP Resources, Inc.		113
	4	Range Resources Corp.		307
	8	Southwestern Energy Co. (a)		317
	15	Spectra Energy Corp.		546
	3	Tesoro Corp.		148
	12	Valero Energy Corp.		566
	15	Williams Cos., Inc. (The)		617
	4	WPX Energy, Inc. (a)		77

				29,361

		Total Energy		36,299

		Financials — 15.7%
		Capital Markets — 2.1%
	4	Ameriprise Financial, Inc.		463
	25	Bank of New York Mellon Corp. (The)		803
	3	BlackRock, Inc.		846
	25	Charles Schwab Corp. (The)		672


SHARES		SECURITY DESCRIPTION	VALUE($)


		Capital Markets — Continued
	6	E*TRADE Financial Corp. (a)		141
	9	Franklin Resources, Inc.		470
	9	Goldman Sachs Group, Inc. (The)		1,533
	10	Invesco Ltd.		332
	2	Legg Mason, Inc.		107
	30	Morgan Stanley		933
	5	Northern Trust Corp.		304
	10	State Street Corp.		630
	6	T. Rowe Price Group, Inc.		463

				7,697

		Commercial Banks — 2.8%
	15	BB&T Corp.		582
	4	Comerica, Inc.		193
	19	Fifth Third Bancorp		418
	18	Huntington Bancshares, Inc.		173
	20	KeyCorp		258
	3	M&T Bank Corp.		332
	12	PNC Financial Services Group, Inc. (The)		951
	30	Regions Financial Corp.		320
	12	SunTrust Banks, Inc.		441
	40	U.S. Bancorp		1,642
	105	Wells Fargo & Co.		4,862
	4	Zions Bancorp		126

				10,298

		Consumer Finance — 1.0%
	20	American Express Co.		1,838
	13	Capital One Financial Corp.		925
	10	Discover Financial Services		601
	10	SLM Corp.		228

				3,592

		Diversified Financial Services — 3.8%
	233	Bank of America Corp.		3,853
	66	Citigroup, Inc.		3,223
	7	CME Group, Inc.		509
	3	IntercontinentalExchange Group, Inc.		525
	82	JPMorgan Chase & Co. (b) (q)		4,667
	7	Leucadia National Corp.		191
	6	McGraw Hill Financial, Inc.		471
	4	Moody’s Corp.		327
	3	NASDAQ OMX Group, Inc. (The)		97

				13,863

		Insurance — 4.1%
	7	ACE Ltd., (Switzerland)		727
	10	Aflac, Inc.		653


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — Continued
		Insurance — Continued
	10	Allstate Corp. (The)		539
	32	American International Group, Inc.		1,601
	7	Aon plc, (United Kingdom)		563
	2	Assurant, Inc.		104
	39	Berkshire Hathaway, Inc., Class B (a)		4,554
	6	Chubb Corp. (The)		481
	3	Cincinnati Financial Corp.		151
	11	Genworth Financial, Inc., Class A (a)		168
	10	Hartford Financial Services Group, Inc. (The)		344
	6	Lincoln National Corp.		287
	7	Loews Corp.		291
	12	Marsh & McLennan Cos., Inc.		578
	24	MetLife, Inc.		1,241
	6	Principal Financial Group, Inc.		271
	12	Progressive Corp. (The)		296
	10	Prudential Financial, Inc.		856
	2	Torchmark Corp.		153
	8	Travelers Cos., Inc. (The)		667
	6	Unum Group		199
	6	XL Group plc, (Ireland)		188

				14,912

		Real Estate Investment Trusts (REITs) — 1.9%
	9	American Tower Corp.		703
	3	Apartment Investment & Management Co., Class A		95
	3	AvalonBay Communities, Inc.		343
	3	Boston Properties, Inc.		376
	7	Equity Residential		428
	12	General Growth Properties, Inc.		259
	10	HCP, Inc.		386
	6	Health Care REIT, Inc.		370
	17	Host Hotels & Resorts, Inc.		325
	9	Kimco Realty Corp.		199
	3	Macerich Co. (The)		185
	4	Plum Creek Timber Co., Inc.		167
	11	Prologis, Inc.		449
	3	Public Storage		534
	7	Simon Property Group, Inc.		1,094
	6	Ventas, Inc.		401
	4	Vornado Realty Trust		366
	13	Weyerhaeuser Co.		376

				7,056

		Real Estate Management & Development — 0.0% (g)
	6	CBRE Group, Inc., Class A (a)		170


SHARES		SECURITY DESCRIPTION	VALUE($)


		Thrifts & Mortgage Finance — 0.0% (g)
	10	Hudson City Bancorp, Inc.		99
	7	People’s United Financial, Inc.		98

				197

		Total Financials		57,785

		Health Care — 13.5%
		Biotechnology — 2.6%
	4	Alexion Pharmaceuticals, Inc. (a)		758
	16	Amgen, Inc.		2,044
	5	Biogen Idec, Inc. (a)		1,759
	9	Celgene Corp. (a)		1,447
	34	Gilead Sciences, Inc. (a)		2,774
	2	Regeneron Pharmaceuticals, Inc. (a)		570
	5	Vertex Pharmaceuticals, Inc. (a)		416

				9,768

		Health Care Equipment & Supplies — 2.1%
	34	Abbott Laboratories		1,344
	12	Baxter International, Inc.		824
	4	Becton, Dickinson & Co.		489
	29	Boston Scientific Corp. (a)		382
	2	C.R. Bard, Inc.		245
	5	CareFusion Corp. (a)		187
	10	Covidien plc, (Ireland)		723
	3	DENTSPLY International, Inc.		141
	2	Edwards Lifesciences Corp. (a)		167
	1	Intuitive Surgical, Inc. (a)		370
	22	Medtronic, Inc.		1,293
	6	St. Jude Medical, Inc.		429
	6	Stryker Corp.		518
	2	Varian Medical Systems, Inc. (a)		194
	4	Zimmer Holdings, Inc.		351

				7,657

		Health Care Providers & Services — 2.1%
	8	Aetna, Inc.		584
	5	AmerisourceBergen Corp.		341
	7	Cardinal Health, Inc.		534
	6	Cigna Corp.		481
	4	DaVita HealthCare Partners, Inc. (a)		265
	18	Express Scripts Holding Co. (a)		1,326
	3	Humana, Inc.		383
	2	Laboratory Corp. of America Holdings (a)		179
	5	McKesson Corp.		889
	2	Patterson Cos., Inc.		75
	3	Quest Diagnostics, Inc.		168
	2	Tenet Healthcare Corp. (a)		95


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — Continued
		Health Care Providers & Services — Continued
	22	UnitedHealth Group, Inc.		1,700
	6	WellPoint, Inc.		585

				7,605

		Health Care Technology — 0.1%
	6	Cerner Corp. (a)		396

		Life Sciences Tools & Services — 0.5%
	7	Agilent Technologies, Inc.		412
	2	PerkinElmer, Inc.		111
	9	Thermo Fisher Scientific, Inc.		1,079
	2	Waters Corp. (a)		207

				1,809

		Pharmaceuticals — 6.1%
	35	AbbVie, Inc.		1,770
	4	Actavis plc (a)		840
	6	Allergan, Inc.		825
	36	Bristol-Myers Squibb Co.		1,935
	22	Eli Lilly & Co.		1,291
	5	Forest Laboratories, Inc. (a)		505
	4	Hospira, Inc. (a)		157
	62	Johnson & Johnson		5,680
	64	Merck & Co., Inc.		3,668
	8	Mylan, Inc. (a)		465
	3	Perrigo Co. plc, (Ireland)		478
	142	Pfizer, Inc.		4,547
	11	Zoetis, Inc.		339

				22,500

		Total Health Care		49,735

		Industrials — 10.6%
		Aerospace & Defense — 2.8%
	15	Boeing Co. (The)		1,948
	7	General Dynamics Corp.		801
	17	Honeywell International, Inc.		1,619
	2	L-3 Communications Holdings, Inc.		224
	6	Lockheed Martin Corp.		954
	5	Northrop Grumman Corp.		587
	3	Precision Castparts Corp.		818
	7	Raytheon Co.		683
	3	Rockwell Collins, Inc.		244
	6	Textron, Inc.		244
	18	United Technologies Corp.		2,159

				10,281

		Air Freight & Logistics — 0.7%
	3	C.H. Robinson Worldwide, Inc.		172


SHARES		SECURITY DESCRIPTION	VALUE($)


		Air Freight & Logistics — Continued
	4	Expeditors International of Washington, Inc.		177
	7	FedEx Corp.		867
	16	United Parcel Service, Inc., Class B		1,496

				2,712

		Airlines — 0.2%
	19	Delta Air Lines, Inc.		621
	15	Southwest Airlines Co.		342

				963

		Building Products — 0.1%
	2	Allegion plc, (Ireland) (a)		106
	8	Masco Corp.		182

				288

		Commercial Services & Supplies — 0.5%
	4	ADT Corp. (The)		134
	2	Cintas Corp.		134
	4	Iron Mountain, Inc.		101
	4	Pitney Bowes, Inc.		112
	6	Republic Services, Inc.		201
	2	Stericycle, Inc. (a)		214
	10	Tyco International Ltd., (Switzerland)		429
	10	Waste Management, Inc.		396

				1,721

		Construction & Engineering — 0.2%
	4	Fluor Corp.		277
	3	Jacobs Engineering Group, Inc. (a)		175
	5	Quanta Services, Inc. (a)		166

				618

		Electrical Equipment — 0.7%
	5	AMETEK, Inc.		285
	10	Eaton Corp. plc, (Ireland)		775
	15	Emerson Electric Co.		1,004
	3	Rockwell Automation, Inc.		372
	2	Roper Industries, Inc.		294

				2,730

		Industrial Conglomerates — 2.3%
	14	3M Co.		1,883
	13	Danaher Corp.		1,002
	221	General Electric Co.		5,631

				8,516

		Machinery — 1.8%
	14	Caterpillar, Inc.		1,348
	4	Cummins, Inc.		556


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — Continued
		Machinery — Continued
	8	Deere & Co.		719
	4	Dover Corp.		351
	3	Flowserve Corp.		247
	9	Illinois Tool Works, Inc.		736
	6	Ingersoll-Rand plc, (Ireland)		358
	2	Joy Global, Inc.		128
	8	PACCAR, Inc.		509
	2	Pall Corp.		208
	3	Parker Hannifin Corp.		393
	4	Pentair Ltd., (Switzerland)		352
	1	Snap-on, Inc.		143
	3	Stanley Black & Decker, Inc.		282
	4	Xylem, Inc.		159

				6,489

		Professional Services — 0.2%
	1	Dun & Bradstreet Corp. (The)		83
	3	Equifax, Inc.		186
	6	Nielsen Holdings N.V.		262
	3	Robert Half International, Inc.		124

				655

		Road & Rail — 0.9%
	22	CSX Corp.		614
	2	Kansas City Southern		226
	7	Norfolk Southern Corp.		620
	1	Ryder System, Inc.		87
	10	Union Pacific Corp.		1,815

				3,362

		Trading Companies & Distributors — 0.2%
	6	Fastenal Co.		282
	1	W.W. Grainger, Inc.		344

				626

		Total Industrials		38,961

		Information Technology — 18.6%
		Communications Equipment — 1.7%
	117	Cisco Systems, Inc.		2,547
	2	F5 Networks, Inc. (a)		191
	2	Harris Corp.		172
	11	Juniper Networks, Inc. (a)		295
	5	Motorola Solutions, Inc.		333
	37	QUALCOMM, Inc.		2,780

				6,318

		Computers & Peripherals — 3.9%
	20	Apple, Inc.		10,346


SHARES		SECURITY DESCRIPTION	VALUE($)


		Computers & Peripherals — Continued
	45	EMC Corp.		1,186
	42	Hewlett-Packard Co.		1,255
	7	NetApp, Inc.		301
	5	SanDisk Corp.		367
	7	Seagate Technology plc, (Ireland)		372
	5	Western Digital Corp.		400

				14,227

		Electronic Equipment, Instruments & Components — 0.4%
	3	Amphenol Corp., Class A		304
	32	Corning, Inc.		609
	3	FLIR Systems, Inc.		106
	4	Jabil Circuit, Inc.		75
	9	TE Connectivity Ltd., (Switzerland)		525

				1,619

		Internet Software & Services — 3.4%
	4	Akamai Technologies, Inc. (a)		239
	25	eBay, Inc. (a)		1,496
	36	Facebook, Inc., Class A (a)		2,461
	6	Google, Inc., Class A (a)		7,455
	3	VeriSign, Inc. (a)		155
	21	Yahoo!, Inc. (a)		797

				12,603

		IT Services — 3.6%
	14	Accenture plc, (Ireland), Class A		1,158
	1	Alliance Data Systems Corp. (a)		304
	11	Automatic Data Processing, Inc.		818
	7	Cognizant Technology Solutions Corp., Class A (a)		688
	3	Computer Sciences Corp.		203
	6	Fidelity National Information Services, Inc.		354
	6	Fiserv, Inc. (a)		327
	22	International Business Machines Corp.		4,130
	23	MasterCard, Inc., Class A		1,758
	7	Paychex, Inc.		297
	4	Teradata Corp. (a)		164
	4	Total System Services, Inc.		111
	11	Visa, Inc., Class A		2,514
	12	Western Union Co. (The)		202

				13,028

		Office Electronics — 0.1%
	25	Xerox Corp.		278

		Semiconductors & Semiconductor Equipment — 2.0%
	7	Altera Corp.		255
	7	Analog Devices, Inc.		345


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — Continued
		Semiconductors & Semiconductor Equipment — Continued
	26	Applied Materials, Inc.		499
	12	Broadcom Corp., Class A		350
	2	First Solar, Inc. (a)		88
	109	Intel Corp.		2,690
	4	KLA-Tencor Corp.		237
	4	Lam Research Corp. (a)		184
	5	Linear Technology Corp.		240
	12	LSI Corp.		132
	4	Microchip Technology, Inc.		198
	23	Micron Technology, Inc. (a)		556
	13	NVIDIA Corp.		232
	24	Texas Instruments, Inc.		1,075
	6	Xilinx, Inc.		306

				7,387

		Software — 3.5%
	10	Adobe Systems, Inc. (a)		697
	5	Autodesk, Inc. (a)		259
	7	CA, Inc.		238
	4	Citrix Systems, Inc. (a)		245
	7	Electronic Arts, Inc. (a)		193
	6	Intuit, Inc.		486
	166	Microsoft Corp.		6,359
	77	Oracle Corp.		2,999
	4	Red Hat, Inc. (a)		244
	12	Salesforce.com, Inc. (a)		756
	15	Symantec Corp.		327

				12,803

		Total Information Technology		68,263

		Materials — 3.5%
		Chemicals — 2.6%
	5	Air Products & Chemicals, Inc.		560
	1	Airgas, Inc.		156
	1	CF Industries Holdings, Inc.		314
	27	Dow Chemical Co. (The)		1,291
	20	E.I. du Pont de Nemours & Co.		1,348
	3	Eastman Chemical Co.		294
	6	Ecolab, Inc.		639
	3	FMC Corp.		225
	2	International Flavors & Fragrances, Inc.		167
	10	LyondellBasell Industries N.V., Class A		841
	11	Monsanto Co.		1,264
	7	Mosaic Co. (The)		364
	3	PPG Industries, Inc.		614
	6	Praxair, Inc.		839


SHARES		SECURITY DESCRIPTION	VALUE($)


		Chemicals — Continued
	2	Sherwin-Williams Co. (The)		377
	3	Sigma-Aldrich Corp.		247

				9,540

		Construction Materials — 0.1%
	3	Vulcan Materials Co.		193

		Containers & Packaging — 0.2%
	2	Avery Dennison Corp.		105
	3	Ball Corp.		176
	2	Bemis Co., Inc.		88
	4	MeadWestvaco Corp.		146
	4	Owens-Illinois, Inc. (a)		122
	4	Sealed Air Corp.		146

				783

		Metals & Mining — 0.5%
	23	Alcoa, Inc.		274
	2	Allegheny Technologies, Inc.		75
	3	Cliffs Natural Resources, Inc.		67
	23	Freeport-McMoRan Copper & Gold, Inc.		740
	11	Newmont Mining Corp.		253
	7	Nucor Corp.		349
	3	United States Steel Corp.		77

				1,835

		Paper & Forest Products — 0.1%
	10	International Paper Co.		474

		Total Materials		12,825

		Telecommunication Services — 2.5%
		Diversified Telecommunication Services — 2.3%
	115	AT&T, Inc.		3,676
	13	CenturyLink, Inc.		404
	22	Frontier Communications Corp.		107
	91	Verizon Communications, Inc.		4,341
	13	Windstream Holdings, Inc.		104

				8,632

		Wireless Telecommunication Services — 0.2%
	7	Crown Castle International Corp. (a)		554

		Total Telecommunication Services		9,186

		Utilities — 3.0%
		Electric Utilities — 1.7%
	11	American Electric Power Co., Inc.		535
	15	Duke Energy Corp.		1,094
	7	Edison International		373
	4	Entergy Corp.		249


SHARES		SECURITY DESCRIPTION	VALUE($)

	Common Stocks — Continued
		Electric Utilities — Continued
	19	Exelon Corp.		569
	9	FirstEnergy Corp.		281
	9	NextEra Energy, Inc.		860
	7	Northeast Utilities		306
	5	Pepco Holdings, Inc.		111
	2	Pinnacle West Capital Corp.		134
	14	PPL Corp.		445
	19	Southern Co. (The)		816
	11	Xcel Energy, Inc.		329

				6,102

		Gas Utilities — 0.1%
	3	AGL Resources, Inc.		122
	5	ONEOK, Inc.		267

				389

		Independent Power Producers & Energy Traders — 0.1%
	14	AES Corp.		196
	7	NRG Energy, Inc.		205

				401

		Multi-Utilities — 1.1%
	5	Ameren Corp.		214
	9	CenterPoint Energy, Inc.		222
	6	CMS Energy Corp.		165
	6	Consolidated Edison, Inc.		359
	13	Dominion Resources, Inc.		880
	4	DTE Energy Co.		277
	2	Integrys Energy Group, Inc.		100
	7	NiSource, Inc.		238
	10	PG&E Corp.		433
	11	Public Service Enterprise Group, Inc.		405


SHARES		SECURITY DESCRIPTION	VALUE($)


		Multi-Utilities — Continued
	3	SCANA Corp.		152
	5	Sempra Energy		469
	4	TECO Energy, Inc.		75
	5	Wisconsin Energy Corp.		218

				4,207

		Total Utilities		11,099

		Total Common Stocks (Cost $189,544)		364,073

	Exchange Traded Fund — 0.1%
	1	SPDR S&P 500 ETF Trust (Cost $195)		223


PRINCIPAL AMOUNT($)
	Short-Term Investments — 0.6%
		U.S. Treasury Obligation — 0.0% (g)
	255	U.S. Treasury Bill, 0.018%, 04/10/14 (k) (n)		255


SHARES
		Investment Company — 0.6%
	2,082	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.020% (b) (l) (m)		2,082

		Total Short-Term Investments (Cost $2,337)		2,337

		Total Investments — 99.8% (Cost $192,076)		366,633
		Other Assets in Excess of Liabilities — 0.2%		745

		NET ASSETS — 100.0%	$	367,378

Percentages indicated are based on net assets.


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — 4.8%
	116	Academic Loan Funding Trust, Series 2012-1A, Class A1, VAR, 0.956%, 12/27/22 (e)		117
		Ally Auto Receivables Trust,
	66	Series 2012-1, Class A3, 0.930%, 02/16/16		67
	239	Series 2012-2, Class A3, 0.740%, 04/15/16		240
	28	Series 2012-4, Class A2, 0.480%, 05/15/15		28
	57	Series 2012-5, Class A2, 0.450%, 07/15/15		57
	344	Series 2013-2, Class A3, 0.790%, 01/15/18		344
	120	Series 2013-2, Class A4, 1.240%, 11/15/18		120
		American Credit Acceptance Receivables Trust,
	4	Series 2012-1, Class A2, 3.040%, 10/15/15 (e)		4
	71	Series 2012-2, Class A, 1.890%, 07/15/16 (e)		71
	33	Series 2012-3, Class A, 1.640%, 11/15/16 (e)		33
	158	Series 2013-2, Class A, 1.320%, 02/15/17 (e)		158
		AmeriCredit Automobile Receivables Trust,
	130	Series 2011-5, Class A3, 1.550%, 07/08/16		130
	77	Series 2012-1, Class A3, 1.230%, 09/08/16		78
	20	Series 2012-4, Class A2, 0.490%, 04/08/16		20
	100	Series 2013-1, Class A2, 0.490%, 06/08/16		100
	53	Series 2013-1, Class A3, 0.610%, 10/10/17		53
	489	Series 2013-4, Class A2, 0.740%, 11/08/16		490
	157	Series 2013-5, Class A3, 0.900%, 09/10/18		158
	327	AXIS Equipment Finance Receivables II LLC, Series 2013-1A, Class A, 1.750%, 03/20/17 (e)		327
	45	Bear Stearns Asset-Backed Securities Trust, Series 2006-SD1, Class A, VAR, 0.525%, 04/25/36		44
		BMW Vehicle Lease Trust,
	83	Series 2013-1, Class A2, 0.400%, 01/20/15		83
	48	Series 2013-1, Class A3, 0.540%, 09/21/15		48
	170	BMW Vehicle Owner Trust, Series 2013-A, Class A3, 0.670%, 11/27/17		170
	100	Cabela’s Master Credit Card Trust, Series 2012-1A, Class A1, 1.630%, 02/18/20 (e)		101
	79	California Republic Auto Receivables Trust, Series 2012-1, Class A, 1.180%, 08/15/17 (e)		79
		Capital Auto Receivables Asset Trust,
	247	Series 2013-1, Class A2, 0.620%, 07/20/16		247
	250	Series 2013-3, Class A1B, VAR, 0.584%, 11/20/15		250
	61	Carfinance Capital Auto Trust, Series 2013-2A, Class A, 1.750%, 11/15/17 (e)		61


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		CarMax Auto Owner Trust,
	154	Series 2013-4, Class A3, 0.800%, 07/16/18		155
	137	Series 2013-4, Class A4, 1.280%, 05/15/19		137
	137	Centex Home Equity Loan Trust, Series 2004-D, Class AF4, SUB, 4.680%, 06/25/32		141
		CNH Equipment Trust,
	42	Series 2012-A, Class A3, 0.940%, 05/15/17		42
	22	Series 2012-C, Class A2, 0.440%, 02/16/16		22
		Concord Funding Co. LLC,
	300	Series 2012-2, Class A, 3.145%, 01/15/17 (e)		300
	100	Series 2013-1, Class A, 2.420%, 02/15/15 (e)		99
		CPS Auto Receivables Trust,
	40	Series 2011-C, Class A, 4.210%, 03/15/19 (e)		41
	35	Series 2012-A, Class A, 2.780%, 06/17/19 (e)		35
	219	Series 2012-B, Class A, 2.520%, 09/16/19 (e)		221
	204	Discover Card Execution Note Trust, Series 2012-A1, Class A1, 0.810%, 08/15/17		205
		Exeter Automobile Receivables Trust,
	118	Series 2013-2A, Class A, 1.490%, 11/15/17 (e)		118
	220	Series 2014-1A, Class A, 1.290%, 05/15/18 (e)		220
	175	Fifth Third Auto Trust, Series 2013-1, Class A3, 0.880%, 10/16/17		176
		First Investors Auto Owner Trust,
	50	Series 2012-2A, Class A2, 1.470%, 05/15/18 (e)		51
	66	Series 2013-1A, Class A2, 0.900%, 10/15/18 (e)		66
	310	Flagship Credit Auto Trust, Series 2013-2, Class A, 1.940%, 01/15/19 (e)		311
		Ford Credit Auto Lease Trust,
	235	Series 2013-B, Class A3, 0.760%, 09/15/16		236
	100	Series 2013-B, Class A4, 0.960%, 10/15/16		100
		Ford Credit Auto Owner Trust,
	93	Series 2012-A, Class A3, 0.840%, 08/15/16		94
	21	Series 2012-D, Class A2, 0.400%, 09/15/15		21
	100	Series 2012-D, Class A3, 0.510%, 04/15/17		100
	140	Ford Credit Floorplan Master Owner Trust, Series 2013-1, Class A2, VAR, 0.534%, 01/15/18		140
	68	GE Capital Mortgage Services, Inc. Trust, Series 1999-HE1, Class M, VAR, 6.705%, 04/25/29		67
		GE Equipment Midticket LLC,
	200	Series 2012-1, Class A3, 0.600%, 05/23/16		200


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — Continued
	60	Series 2012-1, Class A4, 0.780%, 09/22/20		60
	12	GE Equipment Transportation LLC, Series 2012-2, Class A2, 0.470%, 04/24/15		12
		GMAT Trust,
	306	Series 2013-1A, Class A, SUB, 3.967%, 11/25/43 (e)		305
	152	Series 2014-1A, Class A, SUB, 3.721%, 02/25/44 (e)		152
	357	HLSS Servicer Advance Receivables Backed Notes, Series 2013-T7, Class A7, 1.981%, 11/15/46 (e)		357
		HLSS Servicer Advance Receivables Trust,
	244	Series 2012-T2, Class A2, 1.990%, 10/15/45 (e)		246
	165	Series 2013-T1, Class A2, 1.495%, 01/16/46 (e)		165
	108	Series 2014-T1, Class AT1, 1.244%, 01/17/45 (e)		107
	167	Series 2014-T2, Class AT2, 2.217%, 01/15/47 (e)		168
		Honda Auto Receivables Owner Trust,
	76	Series 2012-1, Class A3, 0.770%, 01/15/16		76
	56	Series 2012-1, Class A4, 0.970%, 04/16/18		56
	59	Series 2013-1, Class A2, 0.350%, 06/22/15		59
	382	Series 2013-4, Class A3, 0.690%, 09/18/17		383
	140	Series 2013-4, Class A4, 1.040%, 02/18/20		141
		HSBC Home Equity Loan Trust USA,
	41	Series 2006-1, Class A1, VAR, 0.314%, 01/20/36		40
	45	Series 2007-3, Class APT, VAR, 1.354%, 11/20/36		45
		Huntington Auto Trust,
	50	Series 2011-1A, Class A3, 1.010%, 01/15/16 (e)		49
	100	Series 2011-1A, Class A4, 1.310%, 11/15/16 (e)		101
	82	Series 2012-1, Class A3, 0.810%, 09/15/16		82
	54	Series 2012-2, Class A2, 0.380%, 09/15/15		54
		Hyundai Auto Receivables Trust,
	45	Series 2012-A, Class A3, 0.720%, 03/15/16		45
	100	Series 2012-B, Class A3, 0.620%, 09/15/16		100
	7	John Deere Owner Trust, Series 2012-B, Class A2, 0.430%, 02/17/15		7
	100	Macquarie Equipment Funding Trust, Series 2012-A, Class A2, 0.610%, 04/20/15 (e)		99
	7	Mercedes-Benz Auto Receivables Trust, Series 2012-1, Class A2, 0.370%, 03/16/15		7
	325	MMCA Auto Owner Trust, Series 2012-A, Class A4, 1.570%, 08/15/17 (e)		327


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	135	Nationstar Agency Advance Funding Trust, Series 2013-T1A, Class AT1, 0.997%, 02/15/45 (e)		135
	200	Nationstar Mortgage Advance Receivable Trust, Series 2013-T2A, Class A2, 1.679%, 06/20/46 (e)		198
	172	Navitas Equipment Receivables LLC, Series 2013-1, Class A, 1.950%, 11/15/16 (e)		172
		Nissan Auto Lease Trust,
	43	Series 2012-B, Class A2A, 0.450%, 06/15/15		43
	122	Series 2013-B, Class A3, 0.750%, 06/15/16		122
		Nissan Auto Receivables Owner Trust,
	24	Series 2010-A, Class A4, 1.310%, 09/15/16		24
	117	Series 2012-A, Class A4, 1.000%, 07/16/18		118
	99	Series 2013-A, Class A2, 0.370%, 09/15/15		99
	498	Normandy Mortgage Loan Co. LLC, Series 2013-NPL3, Class A, SUB, 4.949%, 09/16/43 (e)		496
	328	NYMT Residential LLC, Series 2013-RP3A, SUB, 4.850%, 09/25/18 (e) (i)		328
	197	Park Place Securities, Inc., Asset-Backed Pass-Through Certificates, Series 2004-MCW1, Class M1, VAR, 1.093%, 10/25/34		195
	130	RAMP Trust, Series 2006-RZ1, Class A3, VAR, 0.456%, 03/25/36		123
	119	Residential Credit Solutions Trust, Series 2011-1, Class A1, 6.000%, 03/25/41 (e) (i)		122
		Santander Drive Auto Receivables Trust,
	99	Series 2010-A, Class A4, 2.390%, 06/15/17 (e)		99
	39	Series 2011-1, Class B, 2.350%, 11/16/15		39
	9	Series 2011-S2A, Class B, 2.060%, 06/15/17 (e)		9
	34	Series 2012-2, Class A3, 1.220%, 12/15/15		34
	4	Series 2012-5, Class A2, 0.570%, 12/15/15		4
	60	Series 2012-5, Class A3, 0.830%, 12/15/16		60
	56	Series 2012-6, Class A3, 0.620%, 07/15/16		56
	42	Securitized Asset-Backed Receivables LLC Trust, Series 2006-CB1, Class AF2, SUB, 3.563%, 01/25/36		27
		SNAAC Auto Receivables Trust,
	3	Series 2012-1A, Class A, 1.780%, 06/15/16 (e)		3
	34	Series 2013-1A, Class A, 1.140%, 07/16/18 (e)		34
	950	Springleaf Funding Trust, Series 2013-AA, Class A, 2.580%, 09/15/21 (e)		954
		Stanwich Mortgage Loan Co. LLC,
	63	Series 2012-NPL4, Class A, 2.981%, 09/15/42 (e)		62
	75	Series 2012-NPL5, Class A, 2.981%, 10/18/42 (e)		75


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Asset-Backed Securities — Continued
	273		Stanwich Mortgage Loan Trust, Series 2013-NPL1, Class A, 2.981%, 02/16/43 (e)		276
	321		Trafigura Securitisation Finance plc, (Ireland), Series 2012-1A, Class A, VAR, 2.554%, 10/15/15 (e)		325
			USAA Auto Owner Trust,
	2		Series 2012-1, Class A2, 0.380%, 06/15/15		2
	154		Series 2014-1, Class A2, 0.380%, 10/17/16		154
	147		Volkswagen Auto Loan Enhanced Trust, Series 2012-1, Class A3, 0.850%, 08/22/16		147
	427		VOLT NPL IX LLC, Series 2013-NPL3, Class A1, SUB, 4.250%, 04/25/53 (e)		427
	184		VOLT NPL X LLC, Series 2013-NPL4, Class A1, SUB, 3.960%, 11/25/53 (e)		186
	425		VOLT XIX LLC, Series 2013-NPL5, Class A1, SUB, 3.625%, 04/25/55 (e)		427
	118		Westgate Resorts LLC, Series 2012-1, Class A, 4.500%, 09/20/25 (e)		119
			World Omni Auto Receivables Trust,
	4		Series 2012-A, Class A2, 0.520%, 06/15/15		4
	102		Series 2012-A, Class A3, 0.640%, 02/15/17		102
	43		Series 2012-B, Class A2, 0.430%, 11/16/15		43
	407		Series 2013-B, Class A3, 0.830%, 08/15/18		408
	127		Series 2013-B, Class A4, 1.320%, 01/15/20		127

			Total Asset-Backed Securities (Cost $16,531)		16,597

	Collateralized Mortgage Obligations — 21.7%
			Agency CMO — 17.3%
	52		Federal Home Loan Mortgage Corp. - Government National Mortgage Association, Series 24, Class ZE, 6.250%, 11/25/23		57
			Federal Home Loan Mortgage Corp. REMIC,
	2		Series 11, Class D, 9.500%, 07/15/19		3
	—	(h)	Series 41, Class I, HB, 84.000%, 05/15/20		—	(h)
	2		Series 46, Class B, 7.800%, 09/15/20		2
	1		Series 47, Class F, 10.000%, 06/15/20		1
	—	(h)	Series 85, Class C, 8.600%, 01/15/21		—	(h)
	2		Series 99, Class Z, 9.500%, 01/15/21		2
	11		Series 114, Class H, 6.950%, 01/15/21		12
	1		Series 1079, Class S, HB, IF, 33.475%, 05/15/21		1
	—	(h)	Series 1084, Class F, VAR, 1.104%, 05/15/21		—	(h)
	—	(h)	Series 1084, Class S, HB, IF, 44.530%, 05/15/21		1
	8		Series 1144, Class KB, 8.500%, 09/15/21		10
	—	(h)	Series 1172, Class L, HB, VAR, 1,181.250%, 11/15/21		—	(h)


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

			Agency CMO — Continued
	—	(h)	Series 1196, Class B, HB, IF, 1,180.839%, 01/15/22		1
	7		Series 1206, Class IA, 7.000%, 03/15/22		8
	5		Series 1250, Class J, 7.000%, 05/15/22		5
	16		Series 1343, Class LA, 8.000%, 08/15/22		19
	69		Series 1466, Class PZ, 7.500%, 02/15/23		78
	1		Series 1470, Class F, VAR, 1.784%, 02/15/23		1
	26		Series 1491, Class I, 7.500%, 04/15/23		29
	26		Series 1518, Class G, IF, 8.804%, 05/15/23		30
	23		Series 1541, Class O, VAR, 1.980%, 07/15/23		24
	3		Series 1602, Class SA, HB, IF, 22.248%, 10/15/23		5
	81		Series 1608, Class L, 6.500%, 09/15/23		90
	22		Series 1609, Class LG, IF, 16.999%, 11/15/23		25
	4		Series 1671, Class L, 7.000%, 02/15/24		4
	14		Series 1700, Class GA, PO, 02/15/24		13
	140		Series 1706, Class K, 7.000%, 03/15/24		159
	472		Series 1720, Class PL, 7.500%, 04/15/24		545
	13		Series 1745, Class D, 7.500%, 08/15/24		15
	29		Series 1798, Class F, 5.000%, 05/15/23		31
	2		Series 1807, Class G, 9.000%, 10/15/20		2
	143		Series 1927, Class PH, 7.500%, 01/15/27		166
	59		Series 1981, Class Z, 6.000%, 05/15/27		66
	19		Series 1987, Class PE, 7.500%, 09/15/27		21
	9		Series 2033, Class SN, HB, IF, 27.910%, 03/15/24		5
	24		Series 2038, Class PN, IO, 7.000%, 03/15/28		6
	117		Series 2040, Class PE, 7.500%, 03/15/28		136
	23		Series 2056, Class TD, 6.500%, 05/15/18		24
	132		Series 2063, Class PG, 6.500%, 06/15/28		149
	22		Series 2064, Class TE, 7.000%, 06/15/28		25
	94		Series 2075, Class PH, 6.500%, 08/15/28		106
	91		Series 2075, Class PM, 6.250%, 08/15/28		103
	29		Series 2089, Class PJ, IO, 7.000%, 10/15/28		6
	57		Series 2125, Class JZ, 6.000%, 02/15/29		63
	13		Series 2163, Class PC, IO, 7.500%, 06/15/29		2
	270		Series 2169, Class TB, 7.000%, 06/15/29		312
	83		Series 2172, Class QC, 7.000%, 07/15/29		95
	1		Series 2196, Class TL, 7.500%, 11/15/29		1
	43		Series 2201, Class C, 8.000%, 11/15/29		50
	101		Series 2210, Class Z, 8.000%, 01/15/30		118
	42		Series 2224, Class CB, 8.000%, 03/15/30		51
	53		Series 2256, Class MC, 7.250%, 09/15/30		61


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	70	Series 2259, Class ZM, 7.000%, 10/15/30		81
	63	Series 2271, Class PC, 7.250%, 12/15/30		72
	64	Series 2283, Class K, 6.500%, 12/15/23		71
	27	Series 2296, Class PD, 7.000%, 03/15/31		32
	15	Series 2306, Class K, PO, 05/15/24		14
	36	Series 2306, Class SE, IF, IO, 7.780%, 05/15/24		6
	30	Series 2333, Class HC, 6.000%, 07/15/31		30
	15	Series 2344, Class QG, 6.000%, 08/15/16		15
	547	Series 2344, Class ZD, 6.500%, 08/15/31		592
	67	Series 2344, Class ZJ, 6.500%, 08/15/31		76
	52	Series 2345, Class NE, 6.500%, 08/15/31		59
	27	Series 2345, Class PQ, 6.500%, 08/15/16		29
	36	Series 2347, Class VP, 6.500%, 03/15/20		35
	68	Series 2351, Class PZ, 6.500%, 08/15/31		77
	20	Series 2355, Class BP, 6.000%, 09/15/16		21
	20	Series 2360, Class PG, 6.000%, 09/15/16		21
	18	Series 2366, Class MD, 6.000%, 10/15/16		19
	28	Series 2391, Class QR, 5.500%, 12/15/16		29
	48	Series 2410, Class NG, 6.500%, 02/15/32		52
	74	Series 2410, Class OE, 6.375%, 02/15/32		80
	30	Series 2410, Class QX, IF, IO, 8.495%, 02/15/32		8
	117	Series 2412, Class SP, IF, 15.791%, 02/15/32		154
	34	Series 2423, Class MC, 7.000%, 03/15/32		39
	73	Series 2423, Class MT, 7.000%, 03/15/32		84
	243	Series 2435, Class CJ, 6.500%, 04/15/32		267
	82	Series 2441, Class GF, 6.500%, 04/15/32		93
	78	Series 2444, Class ES, IF, IO, 7.796%, 03/15/32		15
	96	Series 2450, Class GZ, 7.000%, 05/15/32		111
	31	Series 2450, Class SW, IF, IO, 7.846%, 03/15/32		7
	134	Series 2455, Class GK, 6.500%, 05/15/32		152
	178	Series 2466, Class DH, 6.500%, 06/15/32		201
	87	Series 2474, Class NR, 6.500%, 07/15/32		99
	167	Series 2484, Class LZ, 6.500%, 07/15/32		188
	209	Series 2500, Class MC, 6.000%, 09/15/32		231
	301	Series 2512, Class PG, 5.500%, 10/15/22		333
	57	Series 2535, Class BK, 5.500%, 12/15/22		63
	94	Series 2537, Class TE, 5.500%, 12/15/17		100
	343	Series 2543, Class YX, 6.000%, 12/15/32		384
	463	Series 2568, Class KG, 5.500%, 02/15/23		507
	606	Series 2575, Class ME, 6.000%, 02/15/33		678
	49	Series 2586, Class WI, IO, 6.500%, 03/15/33		11


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — Continued
	135	Series 2617, Class GR, 4.500%, 05/15/18		143
	95	Series 2622, Class PE, 4.500%, 05/15/18		100
	59	Series 2631, Class LC, 4.500%, 06/15/18		62
	92	Series 2651, Class VZ, 4.500%, 07/15/18		97
	43	Series 2672, Class ME, 5.000%, 11/15/22		44
	195	Series 2675, Class CK, 4.000%, 09/15/18		205
	226	Series 2684, Class PO, PO, 01/15/33		221
	113	Series 2744, Class TU, 5.500%, 05/15/32		119
	2	Series 2755, Class SA, IF, 13.891%, 05/15/30		2
	70	Series 2777, Class KO, PO, 02/15/33		70
	618	Series 2907, Class VC, 4.500%, 05/15/34		633
	132	Series 2934, Class EC, PO, 02/15/20		128
	144	Series 2990, Class SL, HB, IF, 23.927%, 06/15/34		213
	1,249	Series 2990, Class UZ, 5.750%, 06/15/35		1,358
	363	Series 2999, Class ND, 4.500%, 07/15/20		387
	66	Series 3068, Class AO, PO, 01/15/35		65
	177	Series 3117, Class EO, PO, 02/15/36		161
	19	Series 3117, Class OK, PO, 02/15/36		17
	288	Series 3122, Class OH, PO, 03/15/36		275
	266	Series 3137, Class XP, 6.000%, 04/15/36		296
	6	Series 3149, Class SO, PO, 05/15/36		5
	360	Series 3152, Class MO, PO, 03/15/36		338
	158	Series 3171, Class MO, PO, 06/15/36		149
	75	Series 3179, Class OA, PO, 07/15/36		70
	558	Series 3202, Class HI, IF, IO, 6.496%, 08/15/36		100
	95	Series 3232, Class ST, IF, IO, 6.545%, 10/15/36		16
	113	Series 3253, Class PO, PO, 12/15/21		111
	64	Series 3316, Class JO, PO, 05/15/37		61
	312	Series 3481, Class SJ, IF, IO, 5.695%, 08/15/38		38
	143	Series 3607, Class AO, PO, 04/15/36		131
	56	Series 3607, Class EO, PO, 02/15/33		55
	86	Series 3611, Class PO, PO, 07/15/34		74
	429	Series 3666, Class VA, 5.500%, 12/15/22		437
	682	Series 3680, Class MA, 4.500%, 07/15/39		742
	356	Series 3804, Class FN, VAR, 0.605%, 03/15/39		354
	852	Series 3819, Class ZQ, 6.000%, 04/15/36		953
	350	Series 3997, Class PF, VAR, 0.605%, 11/15/39		351
	965	Series 4219, Class JA, 3.500%, 08/15/39		1,003
		Federal Home Loan Mortgage Corp. STRIPS,
	53	Series 243, Class 16, IO, 4.500%, 11/15/20		4


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
			Agency CMO — Continued
	924		Series 262, Class 35, 3.500%, 07/15/42		933
	917		Series 267, Class F5, VAR, 0.655%, 08/15/42		918
	932		Series 274, Class F1, VAR, 0.655%, 08/15/42		931
	918		Series 279, Class F6, VAR, 0.605%, 09/15/42		909
			Federal Home Loan Mortgage Corp. Structured Pass-Through Securities,
	44		Series T-41, Class 3A, VAR, 6.562%, 07/25/32		52
	36		Series T-51, Class 2A, VAR, 7.500%, 08/25/42		44
	364		Series T-54, Class 2A, 6.500%, 02/25/43		431
	126		Series T-54, Class 3A, 7.000%, 02/25/43		146
	945		Series T-56, Class A5, 5.231%, 05/25/43		1,026
	32		Series T-58, Class APO, PO, 09/25/43		26
	257		Series T-76, Class 2A, VAR, 3.115%, 10/25/37		253
			Federal National Mortgage Association - ACES,
	500		Series 2010-M3, Class A3, VAR, 4.332%, 03/25/20		551
	654		Series 2012-M11, Class FA, VAR, 0.688%, 08/25/19		655
	1,000		Series 2012-M9, Class A2, 2.482%, 04/25/22		964
	444		Series 2014-M2, Class A2, VAR, 3.513%, 12/25/23		452
	107		Federal National Mortgage Association Grantor Trust, Series 2001-T10, Class A2, 7.500%, 12/25/41		125
			Federal National Mortgage Association REMIC,
	1		Series 1988-7, Class Z, 9.250%, 04/25/18		2
	6		Series 1989-70, Class G, 8.000%, 10/25/19		7
	3		Series 1989-78, Class H, 9.400%, 11/25/19		3
	2		Series 1989-83, Class H, 8.500%, 11/25/19		3
	2		Series 1989-89, Class H, 9.000%, 11/25/19		2
	1		Series 1990-1, Class D, 8.800%, 01/25/20		1
	1		Series 1990-7, Class B, 8.500%, 01/25/20		1
	1		Series 1990-60, Class K, 5.500%, 06/25/20		1
	1		Series 1990-63, Class H, 9.500%, 06/25/20		2
	1		Series 1990-93, Class G, 5.500%, 08/25/20		1
	—	(h)	Series 1990-94, Class H, HB, 505.000%, 08/25/20		—	(h)
	—	(h)	Series 1990-95, Class J, HB, 1,118.040%, 08/25/20		—	(h)
	8		Series 1990-102, Class J, 6.500%, 08/25/20		9


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

			Agency CMO — Continued
	3		Series 1990-120, Class H, 9.000%, 10/25/20		3
	1		Series 1990-134, Class SC, HB, IF, 21.367%, 11/25/20		1
	—	(h)	Series 1990-140, Class K, HB, 652.145%, 12/25/20		1
	—	(h)	Series 1991-7, Class K, HB, 908.500%, 02/25/21		—	(h)
	3		Series 1991-42, Class S, IF, 17.403%, 05/25/21		3
	46		Series 1992-107, Class SB, HB, IF, 29.607%, 06/25/22		78
	3		Series 1992-143, Class MA, 5.500%, 09/25/22		4
	24		Series 1993-25, Class J, 7.500%, 03/25/23		28
	148		Series 1993-37, Class PX, 7.000%, 03/25/23		168
	54		Series 1993-54, Class Z, 7.000%, 04/25/23		61
	11		Series 1993-62, Class SA, IF, 18.704%, 04/25/23		16
	14		Series 1993-122, Class M, 6.500%, 07/25/23		16
	5		Series 1993-165, Class SD, IF, 13.194%, 09/25/23		7
	23		Series 1993-178, Class PK, 6.500%, 09/25/23		26
	393		Series 1993-183, Class KA, 6.500%, 10/25/23		436
	168		Series 1993-189, Class PL, 6.500%, 10/25/23		191
	37		Series 1993-247, Class SA, HB, IF, 27.539%, 12/25/23		61
	41		Series 1993-250, Class Z, 7.000%, 12/25/23		42
	2		Series 1994-9, Class E, PO, 11/25/23		2
	97		Series 1996-14, Class SE, IF, IO, 7.930%, 08/25/23		18
	4		Series 1996-27, Class FC, VAR, 0.655%, 03/25/17		4
	11		Series 1996-59, Class J, 6.500%, 08/25/22		12
	54		Series 1997-20, Class IB, IO, VAR, 1.840%, 03/25/27		2
	51		Series 1997-20, Class IO, IO, VAR, 1.840%, 03/25/27		2
	25		Series 1997-27, Class J, 7.500%, 04/18/27		28
	30		Series 1997-29, Class J, 7.500%, 04/20/27		36
	63		Series 1997-39, Class PD, 7.500%, 05/20/27		74
	20		Series 1997-81, Class PI, IO, 7.000%, 12/18/27		4
	2		Series 1998-4, Class C, PO, 04/25/23		2


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	22	Series 1998-36, Class ZB, 6.000%, 07/18/28		24
	226	Series 1998-43, Class EA, PO, 04/25/23		213
	130	Series 2000-2, Class ZE, 7.500%, 02/25/30		151
	47	Series 2001-4, Class PC, 7.000%, 03/25/21		52
	89	Series 2001-33, Class ID, IO, 6.000%, 07/25/31		21
	105	Series 2001-36, Class DE, 7.000%, 08/25/31		122
	25	Series 2001-44, Class PD, 7.000%, 09/25/31		28
	175	Series 2001-48, Class Z, 6.500%, 09/25/21		195
	23	Series 2001-49, Class Z, 6.500%, 09/25/31		25
	44	Series 2001-71, Class MB, 6.000%, 12/25/16		46
	51	Series 2001-71, Class QE, 6.000%, 12/25/16		53
	318	Series 2001-74, Class MB, 6.000%, 12/25/16		334
	18	Series 2001-81, Class LO, PO, 01/25/32		16
	53	Series 2002-1, Class HC, 6.500%, 02/25/22		58
	25	Series 2002-1, Class SA, HB, IF, 24.682%, 02/25/32		42
	26	Series 2002-2, Class UC, 6.000%, 02/25/17		27
	49	Series 2002-3, Class OG, 6.000%, 02/25/17		51
	64	Series 2002-21, Class PE, 6.500%, 04/25/32		70
	94	Series 2002-24, Class AJ, 6.000%, 04/25/17		99
	66	Series 2002-28, Class PK, 6.500%, 05/25/32		75
	72	Series 2002-37, Class Z, 6.500%, 06/25/32		80
	132	Series 2002-94, Class BK, 5.500%, 01/25/18		139
	202	Series 2003-22, Class UD, 4.000%, 04/25/33		213
	162	Series 2003-34, Class GB, 6.000%, 03/25/33		182
	304	Series 2003-34, Class GE, 6.000%, 05/25/33		348
	15	Series 2003-39, Class IO, IO, VAR, 6.000%, 05/25/33		3
	270	Series 2003-47, Class PE, 5.750%, 06/25/33		297
	33	Series 2003-52, Class SX, HB, IF, 22.484%, 10/25/31		55
	32	Series 2003-64, Class SX, IF, 13.354%, 07/25/33		35
	128	Series 2003-71, Class DS, IF, 7.255%, 08/25/33		129
	127	Series 2003-80, Class SY, IF, IO, 7.495%, 06/25/23		12
	121	Series 2003-83, Class PG, 5.000%, 06/25/23		129
	27	Series 2003-91, Class SD, IF, 12.241%, 09/25/33		33
	227	Series 2003-116, Class SB, IF, IO, 7.445%, 11/25/33		45
	256	Series 2003-128, Class NG, 4.000%, 01/25/19		269
	29	Series 2003-130, Class SX, IF, 11.287%, 01/25/34		35


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — Continued
	624	Series 2004-21, Class AE, 4.000%, 04/25/19		655
	266	Series 2004-25, Class PC, 5.500%, 01/25/34		285
	163	Series 2004-25, Class SA, IF, 19.097%, 04/25/34		225
	178	Series 2004-36, Class PC, 5.500%, 02/25/34		190
	148	Series 2004-36, Class SA, IF, 19.097%, 05/25/34		203
	99	Series 2004-46, Class SK, IF, 16.072%, 05/25/34		125
	850	Series 2004-50, Class VZ, 5.500%, 07/25/34		931
	80	Series 2004-61, Class SH, HB, IF, 23.366%, 11/25/32		121
	75	Series 2004-74, Class SW, IF, 15.191%, 11/25/31		100
	111	Series 2004-76, Class CL, 4.000%, 10/25/19		117
	143	Series 2005-45, Class DC, HB, IF, 23.740%, 06/25/35		224
	40	Series 2005-52, Class PA, 6.500%, 06/25/35		43
	111	Series 2005-56, Class S, IF, IO, 6.554%, 07/25/35		21
	220	Series 2005-56, Class TP, IF, 17.683%, 08/25/33		298
	707	Series 2005-68, Class PG, 5.500%, 08/25/35		786
	278	Series 2005-73, Class PS, IF, 16.311%, 08/25/35		362
	128	Series 2005-74, Class CS, IF, 19.592%, 05/25/35		177
	247	Series 2005-106, Class US, HB, IF, 23.996%, 11/25/35		387
	839	Series 2005-121, Class DX, 5.500%, 01/25/26		931
	280	Series 2006-27, Class OH, PO, 04/25/36		263
	81	Series 2006-44, Class P, PO, 12/25/33		74
	507	Series 2006-56, Class FC, VAR, 0.445%, 07/25/36		507
	142	Series 2006-59, Class QO, PO, 01/25/33		141
	85	Series 2006-65, Class QO, PO, 07/25/36		78
	127	Series 2006-72, Class GO, PO, 08/25/36		114
	274	Series 2006-77, Class PC, 6.500%, 08/25/36		312
	103	Series 2006-79, Class DO, PO, 08/25/36		94
	181	Series 2006-110, Class PO, PO, 11/25/36		166
	374	Series 2006-124, Class HB, VAR, 5.963%, 11/25/36		384
	145	Series 2007-14, Class ES, IF, IO, 6.284%, 03/25/37		21
	104	Series 2007-79, Class SB, HB, IF, 23.446%, 08/25/37		156
	500	Series 2007-81, Class GE, 6.000%, 08/25/37		560
	272	Series 2007-88, Class VI, IF, IO, 6.384%, 09/25/37		40


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
			Agency CMO — Continued
	694		Series 2007-91, Class ES, IF, IO, 6.305%, 10/25/37		108
	154		Series 2007-106, Class A7, VAR, 6.033%, 10/25/37		171
	159		Series 2007-116, Class HI, IO, VAR, 1.577%, 01/25/38		13
	82		Series 2008-10, Class XI, IF, IO, 6.074%, 03/25/38		12
	67		Series 2008-16, Class IS, IF, IO, 6.045%, 03/25/38		10
	113		Series 2008-28, Class QS, HB, IF, 20.234%, 04/25/38		157
	139		Series 2008-46, Class HI, IO, VAR, 1.784%, 06/25/38		14
	149		Series 2009-69, Class PO, PO, 09/25/39		139
	758		Series 2009-71, Class BC, 4.500%, 09/25/24		824
	271		Series 2009-103, Class MB, VAR, 2.516%, 12/25/39		278
	484		Series 2010-71, Class HJ, 5.500%, 07/25/40		536
	905		Series 2010-133, Class A, 5.500%, 05/25/38		989
	1,000		Series 2011-44, Class EB, 3.000%, 05/25/26		993
	613		Series 2011-118, Class MT, 7.000%, 11/25/41		709
	594		Series 2011-118, Class NT, 7.000%, 11/25/41		693
	364		Series 2012-47, Class HF, VAR, 0.555%, 05/25/27		365
	—	(h)	Series 2012-108, Class F, VAR, 0.655%, 10/25/42		—	(h)
	938		Series 2012-112, Class FD, VAR, 0.655%, 10/25/42		937
	491		Series 2013-101, Class DO, PO, 10/25/43		364
	494		Series 2013-128, Class PO, PO, 12/25/43		362
	3		Series G-14, Class L, 8.500%, 06/25/21		3
	12		Series G-18, Class Z, 8.750%, 06/25/21		14
	2		Series G-22, Class G, 6.000%, 12/25/16		2
	10		Series G-35, Class M, 8.750%, 10/25/21		11
	40		Series G92-35, Class E, 7.500%, 07/25/22		45
	2		Series G92-42, Class Z, 7.000%, 07/25/22		3
	30		Series G92-44, Class ZQ, 8.000%, 07/25/22		32
	38		Series G92-54, Class ZQ, 7.500%, 09/25/22		43
	9		Series G93-5, Class Z, 6.500%, 02/25/23		10
	13		Series G95-1, Class C, 8.800%, 01/25/25		15
			Federal National Mortgage Association REMIC Trust,
	164		Series 2003-W1, Class 1A1, VAR, 5.946%, 12/25/42		191


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)

			Agency CMO — Continued
	41		Series 2003-W4, Class 2A, VAR, 6.404%, 10/25/42		46
	44		Series 2007-W7, Class 1A4, HB, IF, 38.247%, 07/25/37		80
			Federal National Mortgage Association STRIPS,
	—	(h)	Series 50, Class 2, IO, 10.500%, 03/01/19		—	(h)
	3		Series 218, Class 2, IO, 7.500%, 04/01/23		1
	100		Series 300, Class 1, PO, 09/01/24		96
	17		Series 329, Class 1, PO, 01/01/33		16
			Federal National Mortgage Association Trust,
	94		Series 2004-W2, Class 2A2, 7.000%, 02/25/44		109
	291		Series 2005-W3, Class 2AF, VAR, 0.376%, 03/25/45		290
			Government National Mortgage Association,
	205		Series 1994-7, Class PQ, 6.500%, 10/16/24		236
	299		Series 1999-10, Class ZC, 6.500%, 04/20/29		339
	21		Series 1999-30, Class S, IF, IO, 8.445%, 08/16/29		5
	31		Series 1999-41, Class Z, 8.000%, 11/16/29		37
	29		Series 1999-44, Class PC, 7.500%, 12/20/29		34
	13		Series 2000-9, Class Z, 8.000%, 06/20/30		16
	277		Series 2000-9, Class ZJ, 8.500%, 02/16/30		333
	27		Series 2000-16, Class ZN, 7.500%, 02/16/30		27
	78		Series 2001-7, Class PK, 6.500%, 03/20/31		88
	181		Series 2001-64, Class MQ, 6.500%, 12/20/31		210
	30		Series 2002-7, Class PG, 6.500%, 01/20/32		34
	41		Series 2002-31, Class S, IF, IO, 8.546%, 01/16/31		10
	112		Series 2002-40, Class UK, 6.500%, 06/20/32		129
	104		Series 2002-47, Class PG, 6.500%, 07/16/32		120
	137		Series 2002-47, Class PY, 6.000%, 07/20/32		156
	133		Series 2002-47, Class ZA, 6.500%, 07/20/32		152
	11		Series 2002-51, Class SG, HB, IF, 31.833%, 04/20/31		22
	22		Series 2003-24, Class PO, PO, 03/16/33		19
	304		Series 2003-40, Class TJ, 6.500%, 03/20/33		355
	112		Series 2003-52, Class AP, PO, 06/16/33		102
	27		Series 2004-28, Class S, IF, 19.238%, 04/16/34		39
	10		Series 2004-68, Class PO, PO, 05/20/31		10
	73		Series 2004-71, Class SB, HB, IF, 28.708%, 09/20/34		120
	47		Series 2004-73, Class AE, IF, 14.536%, 08/17/34		57
	391		Series 2004-90, Class SI, IF, IO, 5.946%, 10/20/34		55


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Agency CMO — Continued
	122	Series 2005-68, Class DP, IF, 16.061%, 06/17/35		152
	771	Series 2005-68, Class KI, IF, IO, 6.146%, 09/20/35		124
	91	Series 2006-59, Class SD, IF, IO, 6.546%, 10/20/36		17
	303	Series 2007-17, Class JI, IF, IO, 6.656%, 04/16/37		53
	377	Series 2007-27, Class SA, IF, IO, 6.046%, 05/20/37		60
	595	Series 2007-40, Class SB, IF, IO, 6.596%, 07/20/37		102
	356	Series 2007-45, Class QA, IF, IO, 6.486%, 07/20/37		62
	367	Series 2007-50, Class AI, IF, IO, 6.621%, 08/20/37		64
	85	Series 2007-53, Class ES, IF, IO, 6.396%, 09/20/37		15
	92	Series 2007-53, Class SW, IF, 19.743%, 09/20/37		130
	204	Series 2007-57, Class QA, IF, IO, 6.346%, 10/20/37		34
	116	Series 2007-71, Class SB, IF, IO, 6.546%, 07/20/36		12
	192	Series 2007-72, Class US, IF, IO, 6.396%, 11/20/37		33
	191	Series 2007-76, Class SA, IF, IO, 6.376%, 11/20/37		33
	54	Series 2008-25, Class SB, IF, IO, 6.746%, 03/20/38		9
	105	Series 2008-33, Class XS, IF, IO, 7.545%, 04/16/38		20
	290	Series 2008-40, Class SA, IF, IO, 6.245%, 05/16/38		65
	495	Series 2008-50, Class KB, 6.000%, 06/20/38		555
	266	Series 2008-55, Class SA, IF, IO, 6.046%, 06/20/38		42
	262	Series 2008-93, Class AS, IF, IO, 5.546%, 12/20/38		39
	110	Series 2009-6, Class SA, IF, IO, 5.946%, 02/16/39		17
	117	Series 2009-14, Class NI, IO, 6.500%, 03/20/39		25
	415	Series 2009-22, Class SA, IF, IO, 6.116%, 04/20/39		57
	380	Series 2009-31, Class ST, IF, IO, 6.196%, 03/20/39		54
	380	Series 2009-31, Class TS, IF, IO, 6.146%, 03/20/39		52
	288	Series 2009-79, Class OK, PO, 11/16/37		263
	584	Series 2009-106, Class ST, IF, IO, 5.846%, 02/20/38		84


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Agency CMO — Continued
	165	Series 2010-14, Class AO, PO, 12/20/32		161
	192	Series 2010-130, Class CP, 7.000%, 10/16/40		225
	653	Series 2011-137, Class WA, VAR, 5.522%, 07/20/40		715
	492	Series 2012-H21, Class DF, VAR, 0.818%, 05/20/61		492
	447	Series 2012-H24, Class FA, VAR, 0.618%, 03/20/60		448
	486	Series 2012-H26, Class MA, VAR, 0.718%, 07/20/62		486
	899	Series 2013-91, Class WA, VAR, 4.503%, 04/20/43		972
	425	Series 2013-H03, Class FA, VAR, 0.468%, 08/20/60		424
	497	Series 2013-H07, Class JA, 1.750%, 03/20/63		489
	127	NCUA Guaranteed Notes Trust, Series 2010-R3, Class 3A, 2.400%, 12/08/20		130
		Vendee Mortgage Trust,
	599	Series 1993-1, Class ZB, 7.250%, 02/15/23		697
	258	Series 1994-1, Class 1, VAR, 5.615%, 02/15/24		285
	367	Series 1996-1, Class 1Z, 6.750%, 02/15/26		424
	125	Series 1996-2, Class 1Z, 6.750%, 06/15/26		146
	496	Series 1997-1, Class 2Z, 7.500%, 02/15/27		589
	123	Series 1998-1, Class 2E, 7.000%, 03/15/28		144

				60,420

		Non-Agency CMO — 4.4%
		Alternative Loan Trust,
	129	Series 2002-8, Class A4, 6.500%, 07/25/32		133
	1,784	Series 2004-2CB, Class 1A9, 5.750%, 03/25/34		1,805
	49	Series 2004-18CB, Class 2A4, 5.700%, 09/25/34		50
	374	Series 2005-54CB, Class 1A11, 5.500%, 11/25/35		344
	292	American General Mortgage Loan Trust, Series 2009-1, Class A7, VAR, 5.750%, 09/25/48 (e)		296
		ASG Resecuritization Trust,
	129	Series 2009-1, Class A60, VAR, 2.189%, 06/26/37 (e)		128
	60	Series 2009-2, Class A55, VAR, 4.868%, 05/24/36 (e)		61
	324	Series 2009-3, Class A65, VAR, 2.250%, 03/26/37 (e)		323
		Banc of America Alternative Loan Trust,
	94	Series 2003-7, Class 2A4, 5.000%, 09/25/18		95
	47	Series 2003-9, Class 1CB2, 5.500%, 11/25/33		49


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
		Non-Agency CMO — Continued
	39	Series 2003-11, Class PO, PO, 01/25/34		32
	36	Banc of America Funding Trust, Series 2004-1, Class PO, PO, 03/25/34		33
		Banc of America Mortgage Trust,
	19	Series 2003-8, Class APO, PO, 11/25/33		16
	24	Series 2004-1, Class APO, PO, 02/25/34		21
	77	Series 2004-3, Class 1A26, 5.500%, 04/25/34		80
	27	Series 2004-6, Class APO, PO, 07/25/34		22
		BCAP LLC Trust,
	378	Series 2010-RR7, Class 2A1, VAR, 2.257%, 07/26/45 (e)		367
	357	Series 2011-RR10, Class 2A1, VAR, 0.943%, 09/26/37 (e)		325
	50	Series 2011-RR5, Class 14A3, VAR, 2.646%, 07/26/36 (e)		50
	235	Series 2012-RR2, Class 1A1, VAR, 0.326%, 08/26/36 (e)		229
	117	Bear Stearns ARM Trust, Series 2005-5, Class A1, VAR, 2.210%, 08/25/35		119
		CHL Mortgage Pass-Through Trust,
	147	Series 2003-26, Class 1A6, 3.500%, 08/25/33		148
	16	Series 2003-J13, Class PO, PO, 01/25/34		14
	29	Series 2003-J7, Class 4A3, IF, 9.571%, 08/25/18		30
	90	Series 2004-5, Class 1A4, 5.500%, 06/25/34		96
	34	Series 2004-HYB3, Class 2A, VAR, 2.500%, 06/20/34		33
	337	Series 2005-22, Class 2A1, VAR, 2.587%, 11/25/35		280
		Citigroup Mortgage Loan Trust,
	167	Series 2008-AR4, Class 1A1A, VAR, 2.704%, 11/25/38 (e)		169
	522	Series 2010-8, Class 5A6, 4.000%, 11/25/36 (e)		539
	292	Series 2010-8, Class 6A6, 4.500%, 12/25/36 (e)		302
		Citigroup Mortgage Loan Trust, Inc.,
	31	Series 2003-UP3, Class A3, 7.000%, 09/25/33		32
	33	Series 2003-UST1, Class A1, 5.500%, 12/25/18		34
	4	Series 2003-UST1, Class PO1, PO, 12/25/18		4
	5	Series 2003-UST1, Class PO3, PO, 12/25/18		5
	55	Credit Suisse First Boston Mortgage Securities Corp., Series 2003-23, Class 2A5, 5.000%, 10/25/18		55
		CSMC,
	781	Series 2010-11R, Class A6, VAR, 1.159%, 06/28/47 (e)		745


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — Continued
	142	Series 2011-7R, Class A1, VAR, 1.405%, 08/28/47 (e)		142
	174	Series 2011-9R, Class A1, VAR, 2.154%, 03/27/46 (e)		175
	112	Series 2011-16R, Class 7A3, VAR, 3.500%, 12/27/36 (e)		113
	173	Deutsche Alt-A Securities, Inc., Mortgage Loan Trust, Series 2005-3, Class 1A1, VAR, 5.345%, 06/25/20		176
	20	Deutsche Mortgage Securities, Inc., Mortgage Loan Trust, Series 2004-1, Class 2APO, PO, 10/25/18		19
	113	FDIC Trust, Series 2013-N1, Class A, 4.500%, 10/25/18 (e)		115
		First Horizon Mortgage Pass-Through Trust,
	153	Series 2004-AR7, Class 2A2, VAR, 2.556%, 02/25/35		152
	177	Series 2005-AR1, Class 2A2, VAR, 2.593%, 04/25/35		180
	344	GSR Mortgage Loan Trust, Series 2006-1F, Class 1A3, 5.500%, 02/25/36		316
	53	Impac Secured Assets CMN Owner Trust, Series 2002-2, Class APO, PO, 04/25/33		32
	269	IndyMac INDX Mortgage Loan Trust, Series 2005-AR11, Class A7, IO, VAR, 0.000%, 08/25/35		—	(h)
		JP Morgan Mortgage Trust,
	79	Series 2006-A2, Class 4A1, VAR, 2.733%, 08/25/34		79
	273	Series 2006-A2, Class 5A3, VAR, 2.546%, 11/25/33		273
		MASTR Adjustable Rate Mortgages Trust,
	48	Series 2004-3, Class 4A2, VAR, 2.364%, 04/25/34		47
	228	Series 2004-13, Class 2A1, VAR, 2.648%, 04/21/34		237
		MASTR Alternative Loan Trust,
	171	Series 2003-9, Class 8A1, 6.000%, 01/25/34		178
	438	Series 2004-4, Class 10A1, 5.000%, 05/25/24		465
	30	Series 2004-7, Class 30PO, PO, 08/25/34		23
	32	Series 2004-10, Class 1A1, 4.500%, 09/25/19		33
	152	Series 2005-6, Class 3A1, 5.500%, 11/25/20		149
		MASTR Asset Securitization Trust,
	73	Series 2003-2, Class 1A1, 5.000%, 03/25/18		74
	9	Series 2004-8, Class PO, PO, 08/25/19		8
	88	MASTR Resecuritization Trust, Series 2005-PO, Class 3PO, PO, 05/28/35 (e)		71


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Collateralized Mortgage Obligations — Continued
			Non-Agency CMO — Continued
			Merrill Lynch Mortgage Investors Trust,
	94		Series 2003-E, Class A1, VAR, 0.776%, 10/25/28		92
	145		Series 2004-A, Class A1, VAR, 0.616%, 04/25/29		138
	55		MortgageIT Trust, Series 2005-1, Class 1A1, VAR, 0.476%, 02/25/35		53
	70		NACC Reperforming Loan REMIC Trust, Series 2004-R2, Class A1, VAR, 6.500%, 10/25/34 (e)		71
			Nomura Asset Acceptance Corp. Alternative Loan Trust,
	49		Series 2003-A1, Class A1, 5.500%, 05/25/33		50
	24		Series 2003-A1, Class A2, 6.000%, 05/25/33		24
	12		Series 2003-A1, Class A5, 7.000%, 04/25/33		13
	—	(h)	PaineWebber CMO Trust, Series H, Class 4, 8.750%, 04/01/18		—	(h)
			RALI Trust,
	31		Series 2002-QS16, Class A3, IF, 16.298%, 10/25/17		33
	162		Series 2002-QS8, Class A5, 6.250%, 06/25/17		165
	48		Series 2003-QS3, Class A2, IF, 16.158%, 02/25/18		52
	181		Series 2003-QS9, Class A3, IF, IO, 7.395%, 05/25/18		20
	194		Series 2004-QS3, Class CB, 5.000%, 03/25/19		199
	130		Reperforming Loan REMIC Trust, Series 2005-R1, Class 2APO, PO, 03/25/35 (e)		117
	15		Residential Asset Securitization Trust, Series 2003-A14, Class A1, 4.750%, 02/25/19		16
			Salomon Brothers Mortgage Securities VII, Inc.,
	83		Series 2003-HYB1, Class A, VAR, 2.618%, 09/25/33		85
	7		Series 2003-UP2, Class PO1, PO, 12/25/18		6
			Springleaf Mortgage Loan Trust,
	160		Series 2011-1A, Class A1, VAR, 4.050%, 01/25/58 (e)		166
	308		Series 2012-2A, Class A, VAR, 2.220%, 10/25/57 (e)		314
	233		Series 2012-3A, Class A, VAR, 1.570%, 12/25/59 (e)		232
	103		Series 2012-3A, Class M1, VAR, 2.660%, 12/25/59 (e)		102
	151		Series 2013-1A, Class A, VAR, 1.270%, 06/25/58 (e)		150
	305		Series 2013-2A, Class A, VAR, 1.780%, 12/25/65 (e)		305


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Non-Agency CMO — Continued
	125	Series 2013-2A, Class M1, VAR, 3.520%, 12/25/65 (e)		123
	229	Series 2013-3A, Class A, VAR, 1.870%, 09/25/57 (e)		229
	306	Series 2013-3A, Class M1, VAR, 3.790%, 09/25/57 (e)		306
	120	Structured Asset Securities Corp. Mortgage Pass-Through Certificates, Series 2003-33H, Class 1A1, 5.500%, 10/25/33		122
	77	Structured Asset Securities Corp. Trust, Series 2005-6, Class 4A1, 5.000%, 05/25/35		79
		WaMu Mortgage Pass-Through Certificates Trust,
	38	Series 2002-S8, Class 2A7, 5.250%, 01/25/18		39
	165	Series 2003-AR5, Class A7, VAR, 2.450%, 06/25/33		168
	84	Series 2004-AR3, Class A2, VAR, 2.443%, 06/25/34		86
	302	Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2005-4, Class CB7, 5.500%, 06/25/35		297
	37	Washington Mutual MSC Mortgage Pass-Through Certificates, Series 2003-MS2, Class 1A1, 5.750%, 02/25/33		39
	9	Washington Mutual MSC Mortgage Pass-Through Certificates Trust, Series 2003-MS7, Class P, PO, 03/25/33		7
	261	Wells Fargo Mortgage Loan Trust, Series 2012-RR1, Class A1, VAR, 2.847%, 08/27/37 (e)		263
		Wells Fargo Mortgage-Backed Securities Trust,
	64	Series 2003-K, Class 1A1, VAR, 2.501%, 11/25/33		66
	104	Series 2004-EE, Class 3A1, VAR, 2.695%, 12/25/34		106
	338	Series 2004-P, Class 2A1, VAR, 2.613%, 09/25/34		346
	560	Series 2005-AR3, Class 1A1, VAR, 2.621%, 03/25/35		571

				15,371

		Total Collateralized Mortgage Obligations (Cost $71,936)		75,791

	Commercial Mortgage-Backed Securities — 2.1%
	430	A10 Term Asset Financing LLC, Series 2013-2, Class A, 2.620%, 11/15/27 (e)		431
		Banc of America Commercial Mortgage Trust,
	50	Series 2006-1, Class A4, VAR, 5.372%, 09/10/45		53
	300	Series 2006-4, Class A4, 5.634%, 07/10/46		326


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Commercial Mortgage-Backed Securities — Continued
	300	Series 2007-5, Class A4, 5.492%, 02/10/51		329
		Banc of America Merrill Lynch Commercial Mortgage, Inc.,
	150	Series 2005-3, Class AM, 4.727%, 07/10/43		156
	45	Series 2005-6, Class ASB, VAR, 5.183%, 09/10/47		45
	200	BB-UBS Trust, Series 2012-TFT, Class A, 2.892%, 06/05/30 (e)		192
		Bear Stearns Commercial Mortgage Securities Trust,
	63	Series 2005-PWR9, Class AAB, 4.804%, 09/11/42		64
	360	Series 2006-PW11, Class A4, VAR, 5.439%, 03/11/39		386
	15,130	CD Commercial Mortgage Trust, Series 2007-CD4, Class XC, IO, VAR, 0.165%, 12/11/49 (e)		143
	500	COMM Mortgage Trust, Series 2012-9W57, Class A, 2.365%, 02/10/29 (e)		514
	94	Commercial Mortgage Pass-Through Certificates, Series 2012-MVP, Class A, VAR, 2.106%, 11/17/26 (e)		95
	213	DBRR Trust, Series 2013-EZ2, Class A, VAR, 0.853%, 02/25/45 (e)		212
	300	GMAC Commercial Mortgage Securities, Inc. Trust, Series 2006-C1, Class A4, VAR, 5.238%, 11/10/45		314
	50	LB-UBS Commercial Mortgage Trust, Series 2006-C1, Class A4, 5.156%, 02/15/31		53
	47	Merrill Lynch Mortgage Trust, Series 2005-MCP1, Class ASB, VAR, 4.674%, 06/12/43		47
		Morgan Stanley Re-REMIC Trust,
	223	Series 2010-HQ4B, Class A7A, 4.970%, 04/16/40 (e)		223
	37	Series 2011-IO, Class A, 2.500%, 03/23/51 (e)		38
	419	Series 2012-XA, Class A, 2.000%, 07/27/49 (e)		420
	686	NCUA Guaranteed Notes Trust, Series 2010-C1, Class APT, 2.650%, 10/29/20		707
		NorthStar, (Cayman Islands),
	343	Series 2013-1A, Class A, VAR, 2.005%, 08/25/29 (e)		343
	250	Series 2013-1A, Class B, VAR, 5.155%, 08/25/29 (e)		249
	99	NorthStar Mortgage Trust, Series 2012-1, Class A, VAR, 1.356%, 08/25/29 (e)		99
	316	ORES NPL LLC, Series 2013-LV2, Class A, 3.081%, 09/25/25 (e)		316


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	434	TIAA Seasoned Commercial Mortgage Trust, Series 2007-C4, Class A3, VAR, 5.549%, 08/15/39		445
	116	UBS-BAMLL Trust, Series 2012-WRM, Class A, 3.663%, 06/10/30 (e)		115
	104	UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Class A4, 3.525%, 05/10/63		105
	150	VFC LLC, (Cayman Islands), Series 2013-1, Class A, 3.130%, 03/20/26 (e)		152
	500	VNDO Mortgage Trust, Series 2013-PENN, Class A, 3.808%, 12/13/29 (e)		525
	267	Wells Fargo Resecuritization Trust, Series 2012-IO, Class A, 1.750%, 08/20/21 (e)		266

		Total Commercial Mortgage-Backed Securities (Cost $7,168)		7,363

	Corporate Bonds — 19.4%
		Consumer Discretionary — 1.0%
		Auto Components — 0.0% (g)
	99	Johnson Controls, Inc., 3.750%, 12/01/21		102

		Automobiles — 0.1%
		Daimler Finance North America LLC,
	150	1.650%, 04/10/15 (e)		151
	150	1.875%, 01/11/18 (e)		151
	150	2.625%, 09/15/16 (e)		156

				458

		Household Durables — 0.0% (g)
	50	Newell Rubbermaid, Inc., 4.700%, 08/15/20		54

		Media — 0.6%
		21st Century Fox America, Inc.,
	100	7.250%, 05/18/18		122
	100	7.700%, 10/30/25		127
		CBS Corp.,
	25	4.300%, 02/15/21		26
	25	5.750%, 04/15/20		29
	135	8.875%, 05/15/19		174
	100	Comcast Corp., 5.900%, 03/15/16		110
	16	Cox Communications, Inc., 5.450%, 12/15/14		17
		DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.,
	150	4.600%, 02/15/21		158
	353	5.000%, 03/01/21		381
	78	Discovery Communications LLC, 4.375%, 06/15/21		83
		Thomson Reuters Corp., (Canada),
	105	3.950%, 09/30/21		107
	60	4.700%, 10/15/19		66


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Media — Continued
		Time Warner Cable, Inc.,
	57	5.850%, 05/01/17		64
	50	6.750%, 07/01/18		59
	150	8.250%, 04/01/19		189
	35	8.750%, 02/14/19		45
		Viacom, Inc.,
	33	1.250%, 02/27/15		33
	50	3.125%, 06/15/22		48
	11	3.250%, 03/15/23		10
	43	3.875%, 12/15/21		44
	50	4.500%, 03/01/21		54
	42	Walt Disney Co. (The), 0.450%, 12/01/15		42

				1,988

		Multiline Retail — 0.2%
	40	Kohl’s Corp., 6.250%, 12/15/17		46
		Macy’s Retail Holdings, Inc.,
	37	2.875%, 02/15/23		35
	49	4.375%, 09/01/23		51
	25	7.450%, 07/15/17		29
	35	Nordstrom, Inc., 4.000%, 10/15/21		37
	400	Target Corp., 6.000%, 01/15/18		465

				663

		Specialty Retail — 0.1%
	59	Gap, Inc. (The), 5.950%, 04/12/21		66
	130	Home Depot, Inc. (The), 5.400%, 03/01/16		143

				209

		Total Consumer Discretionary		3,474

		Consumer Staples — 0.8%
		Beverages — 0.3%
	75	Anheuser-Busch Cos. LLC, 5.500%, 01/15/18		85
	150	Anheuser-Busch InBev Finance, Inc., 3.700%, 02/01/24		153
	200	Anheuser-Busch InBev Worldwide, Inc., 7.750%, 01/15/19		251
	50	Coca-Cola Co. (The), 4.875%, 03/15/19		56
	70	Diageo Capital plc, (United Kingdom), 4.828%, 07/15/20		79
	30	Diageo Finance B.V., (Netherlands), 5.300%, 10/28/15		32
	85	FBG Finance Pty Ltd., (Australia), 5.125%, 06/15/15 (e)		90
	30	Heineken N.V., (Netherlands), 1.400%, 10/01/17 (e)		30


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Beverages — Continued
		PepsiCo, Inc.,
	33	0.800%, 08/25/14		33
	180	1.250%, 08/13/17		180
	31	3.000%, 08/25/21		31
	6	7.900%, 11/01/18		8
	30	SABMiller plc, (United Kingdom), 6.500%, 07/01/16 (e)		34

				1,062

		Food & Staples Retailing — 0.2%
	179	CVS Caremark Corp., 4.000%, 12/05/23		184
	53	CVS Pass-Through Trust, 5.926%, 01/10/34 (e)		59
		Kroger Co. (The),
	50	2.200%, 01/15/17		51
	90	4.000%, 02/01/24		92
	30	6.150%, 01/15/20		35
	75	6.400%, 08/15/17		87
	94	Walgreen Co., 3.100%, 09/15/22		91

				599

		Food Products — 0.3%
	135	Bunge Ltd. Finance Corp., 8.500%, 06/15/19		168
	14	Bunge N.A. Finance LP, 5.900%, 04/01/17		16
		Cargill, Inc.,
	100	3.300%, 03/01/22 (e)		99
	106	4.307%, 05/14/21 (e)		113
	30	ConAgra Foods, Inc., 2.100%, 03/15/18		30
		Kraft Foods Group, Inc.,
	52	5.375%, 02/10/20		59
	332	6.125%, 08/23/18		390
	150	Mondelez International, Inc., 4.000%, 02/01/24		152

				1,027

		Household Products — 0.0% (g)
	20	Kimberly-Clark Corp., 2.400%, 03/01/22		19
	64	Procter & Gamble - ESOP, Series A, 9.360%, 01/01/21		82

				101

		Total Consumer Staples		2,789

		Energy — 1.4%
		Energy Equipment & Services — 0.1%
	14	Cameron International Corp., 4.000%, 12/15/23		14
	107	Halliburton Co., 3.500%, 08/01/23		107
	15	National Oilwell Varco, Inc., 1.350%, 12/01/17		15
	12	Noble Holding International Ltd., (Cayman Islands), 3.950%, 03/15/22		12


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Energy Equipment & Services — Continued
	47	Schlumberger Investment S.A., (Luxembourg), 3.300%, 09/14/21 (e)		48
		Transocean, Inc., (Cayman Islands),
	39	3.800%, 10/15/22		37
	35	6.375%, 12/15/21		39
	100	6.500%, 11/15/20		113
	33	Weatherford International Ltd., (Bermuda), 4.500%, 04/15/22		35

				420

		Oil, Gas & Consumable Fuels — 1.3%
		Apache Corp.,
	42	3.250%, 04/15/22		43
	25	6.900%, 09/15/18		30
		BP Capital Markets plc, (United Kingdom),
	20	1.375%, 11/06/17		20
	233	2.237%, 05/10/19		234
	106	2.750%, 05/10/23		99
	66	3.814%, 02/10/24		67
	100	4.742%, 03/11/21		112
	150	Canadian Natural Resources Ltd., (Canada), 5.900%, 02/01/18		172
	21	Cenovus Energy, Inc., (Canada), 3.000%, 08/15/22		20
	39	Chevron Corp., 2.427%, 06/24/20		39
	150	ConocoPhillips, 5.750%, 02/01/19		177
	190	ConocoPhillips Canada Funding Co. I, (Canada), 5.625%, 10/15/16		213
	150	Devon Energy Corp., 1.875%, 05/15/17		152
	80	Encana Corp., (Canada), 6.500%, 05/15/19		95
	200	Eni S.p.A., (Italy), 4.150%, 10/01/20 (e)		209
	49	Enterprise Products Operating LLC, 3.900%, 02/15/24		49
		EOG Resources, Inc.,
	23	2.625%, 03/15/23		22
	100	4.100%, 02/01/21		107
	50	Magellan Midstream Partners LP, 6.550%, 07/15/19		60
		Marathon Oil Corp.,
	228	5.900%, 03/15/18		262
	175	6.000%, 10/01/17		201
	35	Occidental Petroleum Corp., 1.750%, 02/15/17		36
	40	PC Financial Partnership, 5.000%, 11/15/14		41
	84	Petrobras Global Finance B.V., (Netherlands), 4.375%, 05/20/23		76


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Oil, Gas & Consumable Fuels — Continued
		Petrobras International Finance Co., (Cayman Islands),
	90	5.375%, 01/27/21		90
	50	7.875%, 03/15/19		57
	97	Petro-Canada, (Canada), 6.050%, 05/15/18		113
	69	Petroleos Mexicanos, (Mexico), 4.875%, 01/18/24 (e)		71
	43	Phillips 66, 2.950%, 05/01/17		45
	200	Sinopec Group Overseas Development Ltd., (United Kingdom), 4.375%, 10/17/23 (e)		200
		Spectra Energy Capital LLC,
	100	5.500%, 03/01/14		100
	150	5.650%, 03/01/20		166
	30	5.668%, 08/15/14		31
	140	6.200%, 04/15/18		160
	50	8.000%, 10/01/19		61
	79	Spectra Energy Partners LP, 2.950%, 09/25/18		81
		Statoil ASA, (Norway),
	143	2.650%, 01/15/24		134
	42	2.900%, 11/08/20		42
	67	3.125%, 08/17/17		71
	83	3.150%, 01/23/22		84
	50	Talisman Energy, Inc., (Canada), 7.750%, 06/01/19		61
		Total Capital International S.A., (France),
	27	0.750%, 01/25/16		27
	44	1.500%, 02/17/17		45
	75	1.550%, 06/28/17		76
	175	Total Capital S.A., (France), 2.300%, 03/15/16		181
		TransCanada PipeLines Ltd., (Canada),
	100	6.500%, 08/15/18		119
	30	7.125%, 01/15/19		37

				4,588

		Total Energy		5,008

		Financials — 11.2%
		Capital Markets — 2.5%
	120	Ameriprise Financial, Inc., 4.000%, 10/15/23		124
		Bank of New York Mellon Corp. (The),
	250	2.950%, 06/18/15		258
	75	3.100%, 01/15/15		77
	100	3.650%, 02/04/24		102
	75	4.600%, 01/15/20		83
		BlackRock, Inc.,
	325	3.500%, 12/10/14		333
	326	5.000%, 12/10/19		372


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Capital Markets — Continued
	150	Blackstone Holdings Finance Co. LLC, 5.875%, 03/15/21 (e)		172
	40	Charles Schwab Corp. (The), 3.225%, 09/01/22		39
		Goldman Sachs Group, Inc. (The),
	100	1.600%, 11/23/15		101
	68	2.625%, 01/31/19		68
	100	3.300%, 05/03/15		103
	255	3.625%, 02/07/16		268
	66	3.700%, 08/01/15		69
	120	4.000%, 03/03/24		120
	68	5.375%, 03/15/20		77
	300	5.500%, 11/15/14		310
	80	5.750%, 01/24/22		91
	1,100	5.950%, 01/18/18		1,257
	250	7.500%, 02/15/19		306
	200	ING Bank N.V., (Netherlands), 3.750%, 03/07/17 (e)		214
	71	Invesco Finance plc, (United Kingdom), 4.000%, 01/30/24		73
		Jefferies Group LLC,
	111	3.875%, 11/09/15		116
	150	5.125%, 04/13/18		163
	125	8.500%, 07/15/19		154
		Macquarie Bank Ltd., (Australia),
	93	2.000%, 08/15/16 (e)		94
	263	5.000%, 02/22/17 (e)		287
		Macquarie Group Ltd., (Australia),
	150	6.000%, 01/14/20 (e)		168
	100	7.300%, 08/01/14 (e)		103
	40	7.625%, 08/13/19 (e)		48
		Morgan Stanley,
	104	4.000%, 07/24/15		108
	195	4.200%, 11/20/14		200
	93	5.000%, 11/24/25		96
	166	5.500%, 07/24/20		189
	100	5.500%, 07/28/21		114
	450	5.625%, 09/23/19		517
	100	5.750%, 01/25/21		115
	250	6.000%, 05/13/14		253
	100	6.625%, 04/01/18		118
	100	7.300%, 05/13/19		123
		Nomura Holdings, Inc., (Japan),
	85	4.125%, 01/19/16		89
	84	6.700%, 03/04/20		99


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Capital Markets — Continued
		State Street Corp.,
	36	3.100%, 05/15/23		34
	192	3.700%, 11/20/23		197
		UBS AG, (Switzerland),
	500	3.875%, 01/15/15		515
	100	5.750%, 04/25/18		116
	100	5.875%, 12/20/17		115

				8,748

		Commercial Banks — 3.3%
	200	ABN AMRO Bank N.V., (Netherlands), 2.500%, 10/30/18 (e)		201
	100	ANZ New Zealand International Ltd., (New Zealand), 3.125%, 08/10/15 (e)		103
	250	Australia & New Zealand Banking Group Ltd., (Australia), 2.400%, 11/23/16 (e)		259
		Bank of Montreal, (Canada),
	250	1.300%, 10/31/14 (e)		252
	85	2.550%, 11/06/22		80
		Bank of Nova Scotia, (Canada),
	121	1.650%, 10/29/15 (e)		124
	175	2.550%, 01/12/17		183
	123	3.400%, 01/22/15		126
	136	Bank of Tokyo-Mitsubishi UFJ Ltd. (The), (Japan), 3.850%, 01/22/15 (e)		140
	200	Banque Federative du Credit Mutuel S.A., (France), 1.700%, 01/20/17 (e)		201
		Barclays Bank plc, (United Kingdom),
	200	2.500%, 09/21/15 (e)		206
	100	2.750%, 02/23/15		102
	200	5.200%, 07/10/14		203
	250	6.050%, 12/04/17 (e)		283
		BB&T Corp.,
	125	3.950%, 04/29/16		134
	100	4.900%, 06/30/17		110
	150	5.700%, 04/30/14		151
	300	Capital One Bank USA N.A., 3.375%, 02/15/23		291
	55	Comerica, Inc., 3.000%, 09/16/15		57
	250	Commonwealth Bank of Australia, (Australia), 2.250%, 03/16/17 (e)		258
		Cooperatieve Centrale Raiffeisen-Boerenleenbank B.A., (Netherlands),
	250	3.200%, 03/11/15 (e)		257
	34	3.375%, 01/19/17		36
	118	3.875%, 02/08/22		122
	350	Fifth Third Bancorp, 5.450%, 01/15/17		389


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Commercial Banks — Continued
		HSBC Holdings plc, (United Kingdom),
	196	4.000%, 03/30/22		203
	300	4.875%, 01/14/22		330
	300	Manufacturers & Traders Trust Co., 6.625%, 12/04/17		350
		National Australia Bank Ltd., (Australia),
	300	2.750%, 09/28/15 (e)		310
	100	3.750%, 03/02/15 (e)		104
	300	Nordea Bank AB, (Sweden), 3.125%, 03/20/17 (e)		315
		PNC Funding Corp.,
	133	4.375%, 08/11/20		147
	265	5.125%, 02/08/20		303
	110	5.250%, 11/15/15		118
	115	5.625%, 02/01/17		128
		Royal Bank of Canada, (Canada),
	239	2.000%, 10/01/18		242
	125	2.200%, 07/27/18		127
	200	2.300%, 07/20/16		207
	250	Stadshypotek AB, (Sweden), 1.875%, 10/02/19 (e)		245
	200	Standard Chartered plc, (United Kingdom), 5.200%, 01/26/24 (e)		205
		Toronto-Dominion Bank (The), (Canada),
	200	1.500%, 03/13/17 (e)		203
	235	2.200%, 07/29/15 (e)		241
		U.S. Bancorp,
	150	2.450%, 07/27/15		154
	208	2.875%, 11/20/14		212
	250	Wachovia Bank N.A., 6.000%, 11/15/17		290
	850	Wachovia Corp., 5.750%, 02/01/18		982
		Wells Fargo & Co.,
	237	4.480%, 01/16/24		248
	415	5.625%, 12/11/17		477
	500	SUB, 3.676%, 06/15/16		533
	315	Wells Fargo Bank N.A., 4.750%, 02/09/15		328
	285	Westpac Banking Corp., (Australia), 4.875%, 11/19/19		320

				11,590

		Consumer Finance — 1.1%
	139	American Express Credit Corp., 2.800%, 09/19/16		145
		American Honda Finance Corp.,
	333	1.450%, 02/27/15 (e)		336
	200	2.125%, 02/28/17 (e)		206
	83	2.125%, 10/10/18		84


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Consumer Finance — Continued
		Capital One Financial Corp.,
	110	3.500%, 06/15/23		107
	245	7.375%, 05/23/14		249
		Caterpillar Financial Services Corp.,
	250	1.000%, 11/25/16		251
	58	2.850%, 06/01/22		57
	100	5.500%, 03/15/16		109
	65	7.050%, 10/01/18		79
	100	7.150%, 02/15/19		124
		Ford Motor Credit Co. LLC,
	200	2.875%, 10/01/18		205
	200	3.000%, 06/12/17		208
	200	4.250%, 09/20/22		207
	250	HSBC USA, Inc., 2.375%, 02/13/15		255
		John Deere Capital Corp.,
	50	2.250%, 04/17/19		51
	33	3.150%, 10/15/21		33
	73	Nissan Motor Acceptance Corp., 1.800%, 03/15/18 (e)		72
	66	PACCAR Financial Corp., 1.600%, 03/15/17		67
		Toyota Motor Credit Corp.,
	225	1.750%, 05/22/17		230
	200	2.000%, 09/15/16		206
	105	2.000%, 10/24/18		106
	100	2.050%, 01/12/17		103
	154	3.200%, 06/17/15		160

				3,650

		Diversified Financial Services — 2.7%
	161	Associates Corp. of North America, 6.950%, 11/01/18		193
		Bank of America Corp.,
	42	4.100%, 07/24/23		43
	200	Series C, 5.000%, 01/15/15		207
	100	5.000%, 05/13/21		111
	157	5.450%, 07/15/14		159
	130	5.625%, 07/01/20		150
	300	Series L, 5.650%, 05/01/18		343
	170	5.750%, 12/01/17		194
	50	5.875%, 01/05/21		58
	814	6.400%, 08/28/17		942
	100	6.500%, 08/01/16		113
	266	6.875%, 04/25/18		317
	125	7.375%, 05/15/14		127
	425	Bank of America N.A., 5.300%, 03/15/17		471


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Diversified Financial Services — Continued
		Citigroup, Inc.,
	100	1.250%, 01/15/16		100
	135	3.375%, 03/01/23		131
	43	4.587%, 12/15/15		46
	59	4.750%, 05/19/15		62
	506	5.000%, 09/15/14		518
	54	5.375%, 08/09/20		61
	115	5.500%, 09/13/25		124
	13	6.000%, 08/15/17		15
	192	6.010%, 01/15/15		201
	300	6.125%, 11/21/17		347
	25	Countrywide Financial Corp., 6.250%, 05/15/16		27
		General Electric Capital Corp.,
	17	1.000%, 12/11/15		17
	220	4.375%, 09/16/20		242
	800	4.650%, 10/17/21		883
	500	5.400%, 02/15/17		562
	140	5.500%, 01/08/20		163
	335	5.625%, 05/01/18		387
	500	5.650%, 06/09/14		507
		IntercontinentalExchange Group, Inc.,
	47	2.500%, 10/15/18		48
	88	4.000%, 10/15/23		92
		Private Export Funding Corp.,
	500	Series EE, 2.800%, 05/15/22		499
	200	Series KK, 3.550%, 01/15/24		206
		Shell International Finance B.V., (Netherlands),
	42	1.125%, 08/21/17		42
	184	3.100%, 06/28/15		191
	55	4.000%, 03/21/14		55
	195	4.375%, 03/25/20		217
	100	Siemens Financieringsmaatschappij N.V., (Netherlands), 5.750%, 10/17/16 (e)		112

				9,283

		Insurance — 1.2%
		ACE INA Holdings, Inc.,
	45	2.600%, 11/23/15		47
	50	5.600%, 05/15/15		53
	61	Allstate Corp. (The), 3.150%, 06/15/23		60
		American International Group, Inc.,
	59	4.125%, 02/15/24		60
	350	5.450%, 05/18/17		394
	45	Aon Corp., 3.500%, 09/30/15		47


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Insurance — Continued
		Berkshire Hathaway Finance Corp.,
	65	1.300%, 05/15/18		64
	356	2.900%, 10/15/20		365
	150	5.400%, 05/15/18		173
		Berkshire Hathaway, Inc.,
	202	3.400%, 01/31/22		208
	98	3.750%, 08/15/21		103
	90	CNA Financial Corp., 5.875%, 08/15/20		105
	80	Jackson National Life Global Funding, 4.700%, 06/01/18 (e)		86
	41	Liberty Mutual Group, Inc., 5.000%, 06/01/21 (e)		44
	35	Lincoln National Corp., 4.200%, 03/15/22		37
		MassMutual Global Funding II,
	300	2.000%, 04/05/17 (e)		307
	100	3.125%, 04/14/16 (e)		105
	200	Metlife of Connecticut Global Funding I, 5.125%, 08/15/14 (e)		204
		Metropolitan Life Global Funding I,
	100	1.500%, 01/10/18 (e)		98
	107	1.700%, 06/29/15 (e)		108
	200	2.500%, 09/29/15 (e)		206
	175	3.650%, 06/14/18 (e)		187
	100	3.875%, 04/11/22 (e)		104
		New York Life Global Funding,
	170	1.300%, 01/12/15 (e)		171
	125	3.000%, 05/04/15 (e)		129
	150	Pacific Life Global Funding, 5.000%, 05/15/17 (e)		158
	200	Pricoa Global Funding I, 5.450%, 06/11/14 (e)		203
	16	Principal Financial Group, Inc., 1.850%, 11/15/17		16
		Principal Life Global Funding II,
	35	1.000%, 12/11/15 (e)		35
	106	2.250%, 10/15/18 (e)		106
	150	Prudential Insurance Co. of America (The), 8.300%, 07/01/25 (e)		195

				4,178

		Real Estate Investment Trusts (REITs) — 0.4%
		American Tower Corp.,
	80	3.500%, 01/31/23		76
	38	5.000%, 02/15/24		40
	45	American Tower Trust I, 1.551%, 03/15/18 (e)		44
		CommonWealth REIT,
	125	5.875%, 09/15/20		134
	150	6.650%, 01/15/18		165


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Real Estate Investment Trusts (REITs) — Continued
	27	ERP Operating LP, 4.625%, 12/15/21		29
		HCP, Inc.,
	44	2.625%, 02/01/20		43
	8	3.750%, 02/01/19		9
	17	4.200%, 03/01/24		17
	38	4.250%, 11/15/23		39
	92	5.375%, 02/01/21		103
	73	Health Care REIT, Inc., 4.500%, 01/15/24		75
	53	ProLogis LP, 4.250%, 08/15/23		54
		Simon Property Group LP,
	81	4.125%, 12/01/21		86
	17	4.200%, 02/01/15		18
	40	4.375%, 03/01/21		43
	100	5.625%, 08/15/14		102
	50	5.650%, 02/01/20		58
	40	6.100%, 05/01/16		44
	50	6.125%, 05/30/18		59
	159	WEA Finance LLC/WT Finance Aust Pty Ltd., 6.750%, 09/02/19 (e)		192

				1,430

		Total Financials		38,879

		Health Care — 0.5%
		Biotechnology — 0.2%
		Amgen, Inc.,
	400	3.875%, 11/15/21		420
	44	4.500%, 03/15/20		48
	40	5.700%, 02/01/19		47
	98	Celgene Corp., 3.250%, 08/15/22		96

				611

		Health Care Equipment & Supplies — 0.0% (g)
		Baxter International, Inc.,
	50	4.000%, 03/01/14		50
	50	4.625%, 03/15/15		52
	40	Becton Dickinson and Co., 5.000%, 05/15/19		45

				147

		Health Care Providers & Services — 0.1%
	17	McKesson Corp., 0.950%, 12/04/15		17
	50	Medco Health Solutions, Inc., 2.750%, 09/15/15		51
	112	UnitedHealth Group, Inc., 3.375%, 11/15/21		113
		WellPoint, Inc.,
	93	2.300%, 07/15/18		94
	115	3.125%, 05/15/22		111

				386


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Life Sciences Tools & Services — 0.0% (g)
		Thermo Fisher Scientific, Inc.,
	22	1.300%, 02/01/17		22
	69	4.150%, 02/01/24		71

				93

		Pharmaceuticals — 0.2%
		AbbVie, Inc.,
	119	1.750%, 11/06/17		120
	87	2.900%, 11/06/22		84
	100	AstraZeneca plc, (United Kingdom), 5.400%, 06/01/14		101
	150	GlaxoSmithKline Capital, Inc., 5.650%, 05/15/18		174
		Merck & Co., Inc.,
	75	1.300%, 05/18/18		74
	62	2.400%, 09/15/22		59

				612

		Total Health Care		1,849

		Industrials — 1.0%
		Aerospace & Defense — 0.1%
	70	BAE Systems Holdings, Inc., 6.375%, 06/01/19 (e)		82
	43	EADS Finance B.V., (Netherlands), 2.700%, 04/17/23 (e)		41
	100	Honeywell International, Inc., 5.300%, 03/01/18		115
	47	Lockheed Martin Corp., 2.125%, 09/15/16		48
	43	Precision Castparts Corp., 0.700%, 12/20/15		43
	50	United Technologies Corp., 6.125%, 02/01/19		60

				389

		Air Freight & Logistics — 0.2%
	541	Federal Express Corp. 1998 Pass-Through Trust, 6.720%, 01/15/22		633
	115	United Parcel Service of America, Inc., 8.375%, 04/01/20		152

				785

		Airlines — 0.1%
	194	American Airlines 2013-2 Class A Pass-Through Trust, 4.950%, 01/15/23 (e)		208
	33	Continental Airlines 1999-2 Class A-1 Pass-Through Trust, 7.256%, 03/15/20		37
	62	Delta Air Lines 2010-2 Class A Pass-Through Trust, 4.950%, 05/23/19		67

				312


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Commercial Services & Supplies — 0.1%
		ADT Corp. (The),
	70	3.500%, 07/15/22		64
	24	4.125%, 06/15/23		23
	50	Pitney Bowes, Inc., 5.600%, 03/15/18		55
	60	Waste Management, Inc., 7.375%, 03/11/19		73

				215

		Construction & Engineering — 0.0% (g)
		ABB Finance USA, Inc.,
	32	1.625%, 05/08/17		32
	41	2.875%, 05/08/22		40
	70	Fluor Corp., 3.375%, 09/15/21		70

				142

		Electrical Equipment — 0.0% (g)
		Eaton Corp.,
	27	1.500%, 11/02/17		27
	50	5.600%, 05/15/18		57

				84

		Industrial Conglomerates — 0.1%
	34	Ingersoll-Rand Global Holding Co., Ltd., (Bermuda), 4.250%, 06/15/23 (e)		35
	152	Koninklijke Philips N.V., (Netherlands), 3.750%, 03/15/22		157

				192

		Machinery — 0.1%
		Caterpillar, Inc.,
	74	1.500%, 06/26/17		75
	31	2.600%, 06/26/22		29
	89	Deere & Co., 2.600%, 06/08/22		86
	25	Parker Hannifin Corp., 5.500%, 05/15/18		29

				219

		Road & Rail — 0.3%
		Burlington Northern Santa Fe LLC,
	43	3.050%, 03/15/22		42
	32	3.450%, 09/15/21		33
	19	3.600%, 09/01/20		20
	100	5.650%, 05/01/17		113
		CSX Corp.,
	30	6.250%, 04/01/15		32
	30	7.375%, 02/01/19		37
	50	7.900%, 05/01/17		59
		ERAC USA Finance LLC,
	48	2.750%, 03/15/17 (e)		49
	27	4.500%, 08/16/21 (e)		29


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Road & Rail — Continued
		Norfolk Southern Corp.,
	138	3.250%, 12/01/21		140
	50	7.700%, 05/15/17		59
	53	Penske Truck Leasing Co. LP/PTL Finance Corp., 2.875%, 07/17/18 (e)		54
		Ryder System, Inc.,
	48	2.500%, 03/01/17		49
	55	3.600%, 03/01/16		58
		Union Pacific Corp.,
	21	2.950%, 01/15/23		20
	75	3.646%, 02/15/24		76
	233	4.163%, 07/15/22		247
	100	4.875%, 01/15/15		104

				1,221

		Total Industrials		3,559

		Information Technology — 0.9%
		Communications Equipment — 0.0% (g)
	55	Cisco Systems, Inc., 2.900%, 03/04/21		55

		Computers & Peripherals — 0.2%
		Apple, Inc.,
	199	2.400%, 05/03/23		184
	207	VAR, 0.488%, 05/03/18		207
		EMC Corp.,
	100	1.875%, 06/01/18		100
	100	3.375%, 06/01/23		99
		Hewlett-Packard Co.,
	118	4.375%, 09/15/21		123
	45	4.650%, 12/09/21		48

				761

		Electronic Equipment, Instruments & Components — 0.1%
		Arrow Electronics, Inc.,
	32	3.000%, 03/01/18		33
	55	3.375%, 11/01/15		57
	16	4.500%, 03/01/23		16
	100	6.875%, 06/01/18		115
	13	7.500%, 01/15/27		15

				236

		IT Services — 0.3%
		International Business Machines Corp.,
	126	1.250%, 02/06/17		127
	309	1.625%, 05/15/20		295
	150	5.700%, 09/14/17		173
	200	7.625%, 10/15/18		250

				845


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Office Electronics — 0.0% (g)
		Xerox Corp.,
	39	2.950%, 03/15/17		41
	50	5.625%, 12/15/19		57
	40	6.750%, 02/01/17		46

				144

		Semiconductors & Semiconductor Equipment — 0.0% (g)
	30	National Semiconductor Corp., 6.600%, 06/15/17		35
	73	Texas Instruments, Inc., 1.650%, 08/03/19		72

				107

		Software — 0.3%
	25	Intuit, Inc., 5.750%, 03/15/17		28
		Microsoft Corp.,
	23	0.875%, 11/15/17		23
	120	1.625%, 09/25/15		122
	34	2.125%, 11/15/22		31
	68	2.375%, 05/01/23		64
	167	3.625%, 12/15/23		172
		Oracle Corp.,
	200	3.625%, 07/15/23		203
	200	5.250%, 01/15/16		217
	100	5.750%, 04/15/18		116

				976

		Total Information Technology		3,124

		Materials — 0.5%
		Chemicals — 0.3%
		Dow Chemical Co. (The),
	61	4.125%, 11/15/21		64
	38	4.250%, 11/15/20		41
	40	8.550%, 05/15/19		52
		E.I. du Pont de Nemours & Co.,
	101	1.950%, 01/15/16		103
	100	6.000%, 07/15/18		117
		Mosaic Co. (The),
	34	3.750%, 11/15/21		34
	212	4.250%, 11/15/23		215
	25	Potash Corp. of Saskatchewan, Inc., (Canada), 3.250%, 12/01/17		26
	230	Praxair, Inc., 4.625%, 03/30/15		240
	150	Union Carbide Corp., 7.500%, 06/01/25		182

				1,074

		Metals & Mining — 0.2%
		BHP Billiton Finance USA Ltd., (Australia),
	37	1.000%, 02/24/15		37


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Metals & Mining — Continued
	95	3.850%, 09/30/23		97
	100	5.400%, 03/29/17		113
	100	6.500%, 04/01/19		121
		Freeport-McMoRan Copper & Gold, Inc.,
	128	2.150%, 03/01/17		130
	67	3.100%, 03/15/20		66
	40	3.875%, 03/15/23		39
	27	Nucor Corp., 4.000%, 08/01/23		27
		Rio Tinto Finance USA Ltd., (Australia),
	27	3.500%, 11/02/20		28
	50	8.950%, 05/01/14		51
	58	Rio Tinto Finance USA plc, (United Kingdom), 1.625%, 08/21/17		59

				768

		Total Materials		1,842

		Telecommunication Services — 1.0%
		Diversified Telecommunication Services — 0.8%
		AT&T, Inc.,
	135	0.800%, 12/01/15		135
	69	0.900%, 02/12/16		69
	30	1.400%, 12/01/17		30
	100	4.450%, 05/15/21		108
	150	5.500%, 02/01/18		171
	165	BellSouth Corp., 5.200%, 09/15/14		169
	53	BellSouth Telecommunications LLC, 6.300%, 12/15/15		55
	100	British Telecommunications plc, (United Kingdom), 5.950%, 01/15/18		115
	200	Cellco Partnership/Verizon Wireless Capital LLC, 8.500%, 11/15/18		255
	700	GTE Corp., 6.840%, 04/15/18		823
	27	Nippon Telegraph & Telephone Corp., (Japan), 1.400%, 07/18/17		27
	61	Orange S.A., (France), 2.750%, 09/14/16		63
	148	Qwest Corp., 6.750%, 12/01/21		168
	30	Telefonica Emisiones S.A.U., (Spain), 5.877%, 07/15/19		34
		Verizon Communications, Inc.,
	112	2.500%, 09/15/16		116
	353	4.500%, 09/15/20		382
	100	5.500%, 02/15/18		114

				2,834

		Wireless Telecommunication Services — 0.2%
	40	Crown Castle Towers LLC, 3.214%, 08/15/15 (e)		41


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
		Wireless Telecommunication Services — Continued
	160	Rogers Communications, Inc., (Canada), 4.100%, 10/01/23		164
		Vodafone Group plc, (United Kingdom),
	100	1.500%, 02/19/18		99
	100	1.625%, 03/20/17		101
	125	5.000%, 09/15/15		134

				539

		Total Telecommunication Services		3,373

		Utilities — 1.1%
		Electric Utilities — 0.8%
	27	American Electric Power Co., Inc., 1.650%, 12/15/17		27
	43	Baltimore Gas & Electric Co., 2.800%, 08/15/22		41
	50	Cleveland Electric Illuminating Co. (The), Series D, 7.880%, 11/01/17		60
	30	Connecticut Light & Power Co. (The), 5.650%, 05/01/18		34
	20	DTE Electric Co., 2.650%, 06/15/22		19
	60	Duke Energy Indiana, Inc., 3.750%, 07/15/20		64
		Duke Energy Progress, Inc.,
	40	2.800%, 05/15/22		39
	150	5.300%, 01/15/19		173
	60	Electricite de France, (France), 2.150%, 01/22/19 (e)		60
	100	Enel Finance International N.V., (Netherlands), 5.125%, 10/07/19 (e)		110
		Indiana Michigan Power Co.,
	100	Series J, 3.200%, 03/15/23		97
	135	7.000%, 03/15/19		163
	25	Jersey Central Power & Light Co., 7.350%, 02/01/19		30
	47	Kansas City Power & Light Co., 3.150%, 03/15/23		45
	60	Nevada Power Co., 7.125%, 03/15/19		74
		NextEra Energy Capital Holdings, Inc.,
	25	1.200%, 06/01/15		25
	150	7.875%, 12/15/15		168
	40	Niagara Mohawk Power Corp., 4.881%, 08/15/19 (e)		45
	25	Ohio Power Co., 6.050%, 05/01/18		29
	50	Oncor Electric Delivery Co. LLC, 6.800%, 09/01/18		60
		Pacific Gas & Electric Co.,
	68	2.450%, 08/15/22		64
	50	3.250%, 06/15/23		49
	125	5.625%, 11/30/17		143
	100	PacifiCorp,		106
		3.850%, 06/15/21


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Electric Utilities — Continued
	60	5.650%, 07/15/18		70
	75	PECO Energy Co., 5.350%, 03/01/18		86
	51	Public Service Co. of Colorado, 3.200%, 11/15/20		53
	74	Public Service Co. of Oklahoma, 4.400%, 02/01/21		80
	212	Southern California Edison Co., Series C, 3.500%, 10/01/23		214
		Southern Co. (The),
	45	1.950%, 09/01/16		46
	40	4.150%, 05/15/14		40
	30	Southwestern Public Service Co., Series G, 8.750%, 12/01/18		39
		Virginia Electric and Power Co.,
	21	3.450%, 02/15/24		21
	100	5.400%, 04/30/18		115
		Wisconsin Electric Power Co.,
	30	6.000%, 04/01/14		30
	100	6.250%, 12/01/15		110
	27	Xcel Energy, Inc., 0.750%, 05/09/16		27

				2,656

		Gas Utilities — 0.0% (g)
	30	Atmos Energy Corp., 8.500%, 03/15/19		39
	50	CenterPoint Energy Resources Corp., 6.125%, 11/01/17		57

				96

		Independent Power Producers & Energy Traders — 0.0% (g)
	72	Exelon Generation Co. LLC, 4.000%, 10/01/20		73
	16	PPL Energy Supply LLC, 4.600%, 12/15/21		16
	37	PSEG Power LLC, 4.300%, 11/15/23		38

				127

		Multi-Utilities — 0.3%
		AGL Capital Corp.,
	94	3.500%, 09/15/21		96
	100	6.375%, 07/15/16		112
	50	Consumers Energy Co., 5.650%, 04/15/20		59
	150	Dominion Resources, Inc., 8.875%, 01/15/19		192
	180	Nisource Finance Corp., 4.450%, 12/01/21		191
		Sempra Energy,
	48	4.050%, 12/01/23		49
	150	9.800%, 02/15/19		200

				899

		Total Utilities		3,778

		Total Corporate Bonds (Cost $63,584)		67,675


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Corporate Bonds — Continued
	Foreign Government Securities — 1.0%
			Israel Government AID Bond, (Israel),
	1,557		Zero Coupon, 08/15/20		1,332
	500		Zero Coupon, 02/15/22		398
			Province of Ontario, (Canada),
	400		0.950%, 05/26/15		403
	250		2.700%, 06/16/15		258
	300		2.950%, 02/05/15		307
	92		Republic of Poland, (Poland), 4.000%, 01/22/24		92
	200		Republic of Turkey, (Turkey), 5.750%, 03/22/24		204
			United Mexican States, (Mexico),
	244		3.500%, 01/21/21		247
	116		4.000%, 10/02/23		118

			Total Foreign Government Securities (Cost $3,329)		3,359

	Mortgage Pass-Through Securities — 11.5%
			Federal Home Loan Mortgage Corp.,
	133		ARM, 2.040%, 01/01/37		141
	262		ARM, 2.094%, 08/01/36		278
	33		ARM, 2.235%, 01/01/27		35
	14		ARM, 2.250%, 07/01/26		14
	201		ARM, 2.317%, 03/01/37		217
	333		ARM, 2.412%, 12/01/34		353
	72		ARM, 2.419%, 11/01/36		75
	121		ARM, 2.516%, 09/01/36		128
	156		ARM, 2.625%, 09/01/36		167
	294		ARM, 2.700%, 06/01/36		315
	176		ARM, 2.814%, 04/01/38		189
	100		ARM, 3.028%, 02/01/37		107
			Federal Home Loan Mortgage Corp. Gold Pools, 15 Year, Single Family,
	114		4.000%, 06/01/19		122
	32		4.500%, 10/01/18		34
	217		5.500%, 06/01/17 - 01/01/24		236
	31		6.000%, 10/01/17 - 04/01/18		32
	271		6.500%, 01/01/17 - 03/01/22		287
	—	(h)	7.500%, 10/01/14		—	(h)
			Federal Home Loan Mortgage Corp. Gold Pools, 20 Year, Single Family,
	10		6.000%, 12/01/22		11
	51		6.500%, 11/01/22 - 08/01/26		57
			Federal Home Loan Mortgage Corp. Gold Pools, 30 Year, Single Family,
	65		6.000%, 01/01/34		73
	85		7.000%, 04/01/26-02/01/37		95


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	6	7.500%, 08/01/25		7
	7	8.000%, 07/01/20 - 11/01/24		8
	20	8.500%, 07/01/28		24
	357	Federal Home Loan Mortgage Corp. Gold Pools, FHA/VA, 10.000%, 10/01/30		410
		Federal Home Loan Mortgage Corp. Gold Pools, Other,
	2,710	3.500%, 05/01/33 - 05/01/43		2,734
	469	4.000%, 06/01/42		486
	208	6.000%, 02/01/33		228
		Federal Home Loan Mortgage Corp., 30 Year, Single Family,
	1	12.000%, 08/01/15 - 07/01/19		1
		Federal National Mortgage Association,
	58	ARM, 1.805%, 02/01/37		61
	4	ARM, 1.875%, 03/01/19		4
	192	ARM, 1.899%, 01/01/35		202
	175	ARM, 1.910%, 09/01/35		184
	276	ARM, 1.916%, 02/01/35		293
	217	ARM, 2.070%, 01/01/35		226
	83	ARM, 2.102%, 08/01/35		88
	108	ARM, 2.127%, 11/01/33		114
	174	ARM, 2.200%, 02/01/35		182
	114	ARM, 2.209%, 09/01/36		119
	191	ARM, 2.217%, 09/01/35		203
	305	ARM, 2.233%, 09/01/34		324
	165	ARM, 2.277%, 08/01/34		175
	146	ARM, 2.355%, 04/01/35		156
	1	ARM, 2.375%, 08/01/19		—	(h)
	208	ARM, 2.405%, 02/01/37		222
	141	ARM, 2.406%, 04/01/33		150
	76	ARM, 2.408%, 08/01/36		82
	165	ARM, 2.505%, 10/01/34		176
	195	ARM, 2.560%, 09/01/33		207
	130	ARM, 2.601%, 07/01/46		140
	14	ARM, 2.699%, 09/01/27		15
	282	ARM, 2.836%, 02/01/36		300
	11	ARM, 3.723%, 03/01/29		12
		Federal National Mortgage Association, 15 Year, Single Family,
	56	4.000%, 05/01/19		60
	543	4.500%, 05/01/18 - 05/01/19		581
	374	5.000%, 06/01/18 - 04/01/19		401
	236	5.500%, 01/01/20 - 06/01/20		254
	329	6.000%, 03/01/21 - 01/01/24		362
	49	6.500%, 03/01/17 - 08/01/20		52


PRINCIPAL AMOUNT($)			SECURITY DESCRIPTION	VALUE($)
	Mortgage Pass-Through Securities — Continued
			Federal National Mortgage Association, 20 Year, Single Family,
	83		6.000%, 04/01/24		92
	111		6.500%, 05/01/22		124
			Federal National Mortgage Association, 30 Year, FHA/VA,
	16		6.000%, 09/01/33		17
	28		6.500%, 03/01/29		32
	6		8.500%, 02/01/30		6
	9		9.000%, 09/01/19 - 12/01/30		9
	6		9.500%, 12/01/18		6
			Federal National Mortgage Association, 30 Year, Single Family,
	78		4.500%, 08/01/33		84
	1,199		5.000%, 07/01/33 - 08/01/40		1,325
	883		5.500%, 09/01/33 - 01/01/38		980
	589		6.000%, 12/01/32 - 09/01/37		662
	42		6.500%, 08/01/31		47
	7		7.000%, 09/01/27 - 08/01/32		8
	12		7.500%, 11/01/22 - 10/01/24		13
	441		8.000%, 03/01/21 - 11/01/32		529
	7		8.500%, 07/01/24 - 06/01/25		9
	—	(h)	9.000%, 04/01/26		—	(h)
	3		10.000%, 02/01/24		3
	—	(h)	12.500%, 01/01/16		—	(h)
			Federal National Mortgage Association, Other,
	500		VAR, 0.508%, 01/01/23		501
	500		VAR, 0.638%, 12/01/23		500
	1,000		VAR, 0.648%, 08/01/23		1,001
	958		1.940%, 01/01/17		971
	1,000		2.056%, 01/01/17		1,000
	1,000		2.294%, 12/01/22		953
	500		2.314%, 12/01/22		477
	998		2.480%, 06/01/19		1,017
	2,833		2.970%, 11/01/18		2,964
	2,374		3.590%, 12/01/20		2,519
	1,000		3.658%, 10/01/20		1,050
	1,500		3.760%, 10/01/23 - 11/01/23		1,567
	923		4.000%, 07/01/42		959
	435		4.274%, 06/01/21		476
	1,054		4.298%, 03/01/21		1,146
	1,956		4.380%, 01/01/21 - 04/01/21		2,151
	498		4.390%, 05/01/21		548
	792		4.443%, 04/01/21		867
	928		4.500%, 03/01/20		1,019
	137		5.500%, 04/01/38		147
	150		6.000%, 03/01/37		164


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

		Government National Mortgage Association II, 30 Year, Single Family,
	384	6.000%, 03/20/28 - 09/20/38		435
	13	7.500%, 02/20/28 - 09/20/28		15
	34	8.000%, 12/20/25 - 08/20/28		40
	22	8.500%, 03/20/25 - 05/20/25		25
		Government National Mortgage Association, 15 Year, Single Family,
	15	6.000%, 10/15/17		16
	5	8.000%, 01/15/16		6
		Government National Mortgage Association, 30 Year, Single Family,
	345	6.000%, 11/15/28 - 12/15/38		391
	317	6.500%, 01/15/24 - 12/15/35		365
	307	7.000%, 08/15/23 - 06/15/35		355
	26	7.500%, 11/15/22 - 09/15/28		29
	6	8.000%, 07/15/22 - 08/15/28		6
	4	8.500%, 11/15/17		4
	8	9.000%, 08/15/16 - 11/15/24		10
	154	9.500%, 09/15/18 12/15/25		174
	1	12.000%, 11/15/19		1

		Total Mortgage Pass-Through Securities (Cost $38,755)		40,024

	Supranational — 0.0% (g)
	150	African Development Bank, 8.800%, 09/01/19 (Cost $193)		195

	U.S. Government Agency Securities — 3.0%
	323	Federal Farm Credit Bank, 5.125%, 11/15/18		373
		Federal National Mortgage Association,
	1,300	Zero Coupon, 07/05/14		1,299
	1,000	Zero Coupon, 06/01/17		962
	800	5.000%, 05/11/17		903
	500	Federal National Mortgage Association STRIPS, Zero Coupon, 11/15/21		399
		Financing Corp.,
	1,440	Zero Coupon, 05/11/18		1,345
	584	Zero Coupon, 09/26/19		516
	500	Zero Coupon, 04/05/19		453
	1,000	Government Trust Certificate, Zero Coupon, 10/01/15		982
		Residual Funding Corp. STRIPS,
	250	Zero Coupon, 10/15/19		224
	1,750	Zero Coupon, 07/15/20		1,517
	1,000	Tennessee Valley Authority, 5.500%, 07/18/17		1,147
	333	Tennessee Valley Authority STRIPS, Zero Coupon, 05/01/19		295

		Total U.S. Government Agency Securities (Cost $10,166)		10,415


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)
	U.S. Treasury Obligations — 34.5%
		U.S. Treasury Bonds,
	1,225	7.500%, 11/15/16		1,452
	250	8.750%, 08/15/20		354
	1,500	8.875%, 08/15/17		1,906
	835	11.250%, 02/15/15		923
		U.S. Treasury Coupon STRIPS,
	700	0.936%, 05/15/18 (n)		663
	2,200	1.849%, 02/15/18 (n)		2,098
	2,150	1.980%, 05/15/21 (n)		1,824
	3,925	2.270%, 02/15/21 (n)		3,364
	4,446	2.295%, 08/15/17 (n)		4,299
	4,566	2.437%, 05/15/14 (m) (n)		4,565
	1,575	2.442%, 02/15/22 (n)		1,293
	150	2.526%, 05/15/22 (n)		122
	6,700	2.566%, 08/15/21 (m) (n)		5,623
	1,500	2.572%, 08/15/14 (m) (n)		1,499
	3,577	2.597%, 08/15/16 (n)		3,530
	53	2.693%, 02/15/28 (n)		33
	4,350	2.724%, 08/15/19 (n)		3,954
	2,300	2.859%, 11/15/21 (n)		1,910
	1,900	2.913%, 02/15/23 (n)		1,493
	1,224	2.918%, 02/15/17 (n)		1,197
	2,000	3.001%, 02/15/20 (n)		1,786
	47	3.041%, 08/15/26 (n)		32
	10,023	3.101%, 05/15/20 (m) (n)		8,862
	300	3.152%, 11/15/26 (n)		199
	12,550	3.296%, 08/15/20 (n)		10,983
	100	3.323%, 08/15/27 (n)		64
	150	3.344%, 11/15/27 (n)		95
	700	3.714%, 11/15/16 (n)		688
	2,290	3.765%, 11/15/17 (n)		2,200
	495	4.438%, 05/15/19 (n)		454
	3,518	5.295%, 11/15/14 (m) (n)		3,515
	3,325	5.819%, 02/15/15 (n)		3,320
	5,766	6.287%, 02/15/16 (m) (n)		5,728
		U.S. Treasury Inflation Indexed Notes,
	1,700	0.500%, 04/15/15		1,873
	700	1.125%, 01/15/21		803
	500	1.250%, 04/15/14		553
		U.S. Treasury Notes,
	593	0.875%, 01/31/18		588
	800	1.000%, 11/30/19		765
	400	1.375%, 12/31/18		398
	5,500	1.500%, 08/31/18		5,536
	1,500	1.750%, 10/31/18		1,524
	1,100	1.875%, 04/30/14		1,103


PRINCIPAL AMOUNT($)		SECURITY DESCRIPTION	VALUE($)

	6,400	1.875%, 08/31/17		6,606
	400	2.000%, 02/15/22		390
	200	2.125%, 08/15/21		199
	350	2.625%, 08/15/20		364
	400	2.625%, 11/15/20		414
	1,500	2.750%, 11/30/16		1,587
	1,000	2.750%, 12/31/17		1,063
	1,000	3.125%, 04/30/17		1,073
	850	3.125%, 05/15/21		905
	7,900	3.250%, 12/31/16		8,478
	1,050	3.500%, 02/15/18		1,146
	1,550	3.500%, 05/15/20		1,697
	450	3.625%, 02/15/21		495
	700	4.000%, 02/15/15		726
	400	4.250%, 11/15/17		447
	200	4.500%, 02/15/16		216
	1,000	4.750%, 08/15/17		1,130
	150	U.S. Treasury Principal STRIPS, Zero Coupon, 05/15/20		133

		Total U.S. Treasury Obligations (Cost $117,173)		120,240

SHARES
	Short-Term Investment — 1.8%
		Investment Company — 1.8%
	6,291	JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.020% (b) (l) (Cost $6,291)		6,291

		Total Investments — 99.8% (Cost $335,126)		347,950
		Other Assets in Excess of Liabilities — 0.2%		705

		NET ASSETS — 100.0%	$	348,655

Percentages indicated are based on net assets.


ARM		— Adjustable Rate Mortgage. The interest rate shown is the rate in effect as of February 28, 2014.
CDO		— Collateralized Debt Obligation
CMBS		— Commercial Mortgage Backed Security
CMO		— Collateralized Mortgage Obligation
ESOP		— Employee Stock Ownership Program
ETF		— Exchange Traded Fund
FHA		— Federal Housing Administration
FHLMC		— Federal Home Loan Mortgage Corp.
GMAC		— General Motors Acceptance Corp.
GO		— General Obligation
HB		— High Coupon Bonds (a.k.a. “IOettes”) represent the right to receive interest payments on an underlying pool of mortgages with similar features as those associated with IO securities. Unlike IOs, the owner also has a right to receive a very small portion of principal. The high interest rates result from taking interest payments from other classes in the Real Estate Mortgage Investment Conduit trust and allocating them to the small principal of the HB class.
IF		— Inverse Floaters represent securities that pay interest at a rate that increases (decreases) with a decline (incline) in a specified index. The interest rate shown is the rate in effect as of February 28, 2014. The rate may be subject to a cap and floor.
IO		— Interest Only represents the right to receive the monthly interest payments on an underlying pool of mortgage loans. The principal amount shown represents the par value on the underlying pool. The yields on these securities are subject to accelerated principal paydowns as a result of prepayment or refinancing of the underlying pool of mortgage instruments. As a result, interest income may be reduced considerably.
PO		— Principal Only represents the right to receive the principal portion only on an underlying pool of mortgage loans. The market value of these securities is extremely volatile in response to changes in market interest rates. As prepayments on the underlying mortgages of these securities increase, the yield on these securities increases.
REMIC		— Real Estate Mortgage Investment Conduit
Rev.		— Revenue
SPDR		— Standard & Poor’s Depository Receipts
STRIPS		— Separate Trading of Registered Interest and Principal of Securities. The STRIPS Program lets investors hold and trade individual interest and principal components of eligible notes and bonds as separate securities.


SUB		— Step-Up Bond. The interest rate shown is the rate in effect as of February 28, 2014.
VA		— Veterans Administration
VAR		— Variable Rate Security. The interest rate shown is the rate in effect as of February 28, 2014.

(a)		— Non-income producing security.
(b)		— Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(e)		— Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers.
(g)		— Amount rounds to less than 0.1%.
(h)		— Amount rounds to less than one thousand (shares or dollars).
(i)		— Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell.
(k)		— All or a portion of this security is deposited with the broker as collateral for futures or with brokers as initial margin for futures contracts.
(l)		— The rate shown is the current yield as of February 28, 2014.
(m)		— All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, unfunded commitments and/or forward foreign currency exchange contracts.
(n)		— The rate shown is the effective yield at the date of purchase.
(q)		— Investment in affiliate which is a security in the Fund’s index.
(t)		— The date shown represents the earliest of the prerefunded date, next put date or final maturity date.
^		— All or a portion of the security is unsettled as of February 28, 2014. Unless otherwise indicated, the coupon rate is undetermined. The coupon rate may not be accrued for the entire position.
(†)		— Security matures in 2110.
(††)		— Security matures in 2111.
(†††)		— Security matures in 2114.

JPMorgan Institutional Trust (the “Trust”) was organized on September 14, 2004 as a Delaware statutory trust and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. Three separate diversified series of the Trust (collectively, the “Funds”) covered by this report commenced operations on February 7, 2005: Core Bond Trust, Equity Index Trust and Intermediate Bond Trust.

The investment objective of Core Bond Trust is to seek to maximize total return by investing primarily in a diversified portfolio of intermediate- and long-term debt securities.

The investment objective of Equity Index Trust is to seek investment results that correspond to the aggregate price and dividend performance of securities in the Standard and Poor’s 500 Composite Stock Price Index.

The investment objective of Intermediate Bond Trust is to seek current income consistent with the preservation of capital by investing in high- and medium-grade fixed income securities with intermediate maturities.

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America (“GAAP”). The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates.

A. Valuation of Investments — Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on prices received from independent or affiliated pricing services approved by the Board of Trustees or third party broker-dealers. The pricing services or broker-dealers use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services or broker-dealers may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services or broker-dealers also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, various forms of credit enhancements, such as bond insurance, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair values. Equity securities listed on a North American, Central American, South American or Caribbean securities exchange shall generally be valued at the last sale price on the exchange on which the security is principally traded that is reported before the time when the net assets of the Funds are valued. Securities listed on the NASDAQ Stock Market LLC are generally valued at the NASDAQ Official Closing Price. Generally, short-term investments of sufficient credit quality maturing in less than 61 days are valued at amortized cost, which approximates fair value. Investments in open-end investment companies are valued at each underlying investment company’s net asset value per share (“NAV”) as of the report date.

Certain investments of the Funds may, depending upon market conditions, trade in relatively thin markets and/or in markets that experience significant volatility. As a result of these conditions, the prices used by the Funds to value these securities may differ from the value that would be realized if these securities were sold, and the differences could be material. Futures and options are generally valued on the basis of available market quotations. Swaps and other derivatives are valued daily, primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such pricing services or values received are deemed not representative of fair value, values will be obtained from a third party broker-dealer or counterparty.

Securities or other assets for which market quotations are not readily available or for which market quotations are deemed to not represent the fair value of the security or asset at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. The Board of Trustees has established an Audit and Valuation Committee to assist with the oversight of the valuation of the Funds’ securities. JPMorgan Funds Management, Inc. (the “Administrator”, or “JPMFM”), has established a Valuation Committee (“VC”) that is comprised of senior representatives from JPMFM, J.P. Morgan Investment Management Inc. (the “Adviser” or “JPMIM”) and J.P. Morgan Asset Management’s Legal, Compliance and Risk Management groups and the Funds’ Chief Compliance Officer. The VC’s responsibilities include making determinations regarding Level 3 fair value measurements (“Fair Values”) and/or providing recommendations for approval to the Board of Trustees’ Audit and Valuation Committee, in accordance with the Funds’ valuation policies.

The VC or Board of Trustees, as applicable, primarily employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The VC or Board of Trustees may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material. JPMFM and JPMIM are responsible for monitoring developments that may impact Fair Values and for discussing and assessing Fair Values on an ongoing, and at least a quarterly basis with the VC and Board of Trustees, as applicable. The appropriateness of Fair Values is assessed based on results of unchanged price review and consideration of macro or security specific events, back testing, and broker and vendor due diligence.

See the table on “Quantitative Information about Level 3 Fair Value Measurements” for information on the valuation techniques and inputs used to value Level 3 securities held by Core Bond Trust and Intermediate Bond Trust at February 28, 2014.

Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market and/or issuer related events after the report date and prior to issuance of the report, are not reflected herein.

The various inputs that are used in determining the fair value of the Funds’ investments are summarized into the three broad levels listed below:

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.

The following tables represent each valuation input by sector as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):

For each of the Funds, there were no transfers among Levels 1 and 2 during the year ended February 28, 2014.

The following is a summary of investments for which significant unobservable inputs (Level 3) were used in determining fair value (amounts in thousands):

Transfers into, and out of, Level 3 are valued utilizing values as of the beginning of the period.

Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g., frequency of trades), respectively, which resulted in a lack of or increase in available market inputs to determine price.

The changes in net unrealized appreciation (depreciation) attributable to securities owned at February 28, 2014, which were valued using significant unobservable inputs (Level 3) were as follows (amounts in thousands):

These amounts are included in Change in net unrealized appreciation (depreciation) of investments in non-affiliates on the Statements of Operations.

The significant unobservable inputs used in the fair value measurement of the Fund’s investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement. Significant increases (decreases) in the yield and default rate may decrease (increase) the fair value measurement. A significant change in the prepayment rate (Constant Prepayment Rate or PSA Prepayment Model) may decrease or increase the fair value measurement.

B. Restricted and Illiquid Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale and/or are illiquid. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933 (the “Securities Act”). Illiquid securities are securities which cannot be disposed of promptly (within seven days) and in the usual course of business at approximately their fair value and include, but are not limited to, repurchase agreements maturing in excess of seven days, time deposits with a withdrawal penalty, non-negotiable instruments and instruments for which no market exists. Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net assets of the Funds. As of February 28, 2014, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A under the Securities Act.

The following are the value and percentage of net assets of illiquid securities as of February 28, 2014 (amounts in thousands):

C. Loan Assignments — Core Bond Trust invests in loan assignments of all or a portion of the loans. When the Fund purchases a loan assignment the Fund has direct rights against the borrower on a loan provided, however, the Fund’s rights may be more limited than the lender from which it acquired the assignment and the Fund may be able to enforce its rights only through an administrative agent. As a result, the Fund assumes the credit risk of the Borrower (“Intermediate Participants”) and any other persons interpositioned between the Fund and the Borrower. Although certain loan assignments are secured by collateral, the Fund could experience delays or limitations in realizing on such collateral or have their interest subordinated to other indebtedness of the obligor. In addition, loan assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for assignments and certain assignments which were liquid, when purchased, may become illiquid.

D. Unfunded Commitments — Core Bond Trust may enter into commitments to buy and sell investments including commitments to buy loan assignments to settle on future dates as part of their normal investment activities. Unfunded commitments may include revolving loan facilities which may obligate the Fund to provide cash to the borrower on demand. Commitments are generally traded and priced as part of a related loan assignment (Note 2.C.). The value of the unfunded portion of the investment is determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The unrealized appreciation (depreciation) from unfunded commitments is reported in the Statements of Assets and Liabilities. The Fund segregates security positions such that sufficient liquid assets will be available for the commitments on a future date. Credit risk exists on these commitments to the extent of any difference between the sales price and current value of the underlying securities sold. Market risk exists on these commitments to buy to the same extent as if the securities were owned on a settled basis and gains and losses are recorded and reported in the same manner. The Fund may receive an ongoing commitment fee based on the undrawn portion of the underlying of loan facility, which is recorded as a component of interest income on the Statements of Operations.

At February 28, 2014, Core Bond Trust had the following unfunded loan commitments which could be extended at the option of the borrower (amounts in thousands):

E. Futures Contracts — Equity Index Trust uses index futures contracts to gain or reduce exposure to its index, maintain liquidity and minimize transaction costs. The Fund also buys futures contracts to immediately invest incoming cash in the market or sells futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity. The use of futures contracts exposes the Fund to equity price risk.

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as change in net unrealized

appreciation or depreciation in the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported in the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated in the SOI and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.

The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent timely liquidation of positions.

The table below discloses the volume of the Fund’s futures contracts activity during the year ended February 28, 2014 (amounts in thousands):

F. Investment Transactions with Affiliates — An issuer which is under common control with the Funds may be considered an affiliate. For the purposes of the report, the Funds assume the following to be affiliated issuers (amounts in thousands):

G. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend.

H. Allocation of Expenses — Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trust are allocated among the respective funds.

I. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of February 28, 2014, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Fund’s Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.

J. Distributions to Shareholders — Distributions from net investment income are generally declared and paid monthly for Core Bond Trust and Intermediate Bond Trust, and declared and paid quarterly for Equity Index Trust. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal

income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

The following amounts were reclassified within the capital accounts (amounts in thousands):

The reclassifications for the Funds relate primarily to investments in real estate investment trusts and return of capital from underlying investments.

A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, the Adviser, an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), supervises the investments of each Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:

The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.E.

B. Administration Fee — Pursuant to an Administration Agreement, the Administrator, an indirect wholly-owned subsidiary of JPMorgan, provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at a rate of 0.10% of the Funds’ average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

C. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees in the Statements of Operations. Payments to the custodian may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately in the Statements of Operations.

Interest expense, if any, paid to the custodian related to cash overdrafts is included in Interest expense to affiliates in the Statements of Operations.

D. Placement Agent — J.P. Morgan Institutional Investments, Inc. (the “Placement Agent”), a registered broker-dealer affiliated with the Adviser, serves as the Funds’ Placement Agent. The Placement Agent processes subscriptions for shares and provides various sales support activities in connection with the Funds’ private placement of its shares.

E. Waivers and Reimbursements — The Adviser and Administrator have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:

The expense limitation agreements were in effect for the year ended February 28, 2014. The contractual expense limitation percentages in the table above are in place until at least June 30, 2014.

For the year ended February 28, 2014, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and reimbursed expenses in future years.

Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates. The Adviser and Administrator waive fees in an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Funds’ investment in such affiliated money market fund. A portion of the waiver is voluntary.

The amounts of waivers resulting from investments in these money market funds for the year ended February 28, 2014 were as follows (amounts in thousands):

F. Other — Certain officers of the Trust are affiliated with the Adviser and Administrator. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.

The Board of Trustees appointed a Chief Compliance Officer to the Funds in accordance with Federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees in the Statements of Operations.

The Trust adopted a Trustee Deferred Compensation Plan (“the Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.

During the year ended February 28, 2014, the Funds purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Adviser.

The Funds may use related party broker-dealers. For the year ended February 28, 2014, the Funds did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.

The Securities and Exchange Commission has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.

During the year ended February 28, 2014, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):

For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of investment securities held at February 28, 2014 were as follows (amounts in thousands):

For the Funds, the difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to treasury inflated protected securities and wash sale loss deferrals.

The tax character of distributions paid during the year ended February 28, 2014 was as follows (amounts in thousands):

The tax character of distributions paid during the year ended February 28, 2013 was as follows (amounts in thousands):

As of February 28, 2014, the components of net assets (excluding paid-in-capital) on a tax basis were as follows (amounts in thousands):

For the Funds, the cumulative timing differences primarily consist of treasury inflated protected securities, wash sale loss deferrals and distributions payable.

Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after February 28, 2011 are carried forward indefinitely, and retain their character as short-term and/or long-term losses. Prior to the Act, net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

As of February 28, 2014, the Funds did not have any post-enactment net capital loss carryforwards.

As of February 28, 2014, the following Funds had the following pre-enactment net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):

During the year ended February 28, 2014, the Equity Index Trust utilized capital loss carryforwards in the amount of approximately $7,450,000.

During the year ended February 28, 2014, the Funds utilized capital loss carryforwards as follows (amounts in thousands):

Net capital losses incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended February 28, 2014 the Funds deferred to March 1, 2014 post-October capital losses as follows (amounts in thousands):

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

Shares of the Funds are offered only to certain clients of the Funds’ investment adviser or its affiliates who maintain one or more separately managed private accounts. One or more affiliates of the Adviser have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Fund’s assets for each of the Core Bond Trust, Equity Index Trust and Intermediate Bond Trust.

Exchange Traded Funds may use derivative instruments in connection with their individual investment strategies including futures contracts, forward foreign currency exchange contracts, options, swaps and other derivatives, which are also subject to specific risks related to their structure, sector or market and may be riskier than investments in securities.

The Funds are subject to interest rate and credit risk. The value of debt securities may decline as interest rates increase. The Funds could lose money if the issuer of a fixed income security is unable to pay interest or repay principal when it is due. The ability of the issuers of debt to meet their obligations may be affected by the economic and political developments in a specific industry or region.

The Funds are subject to risks associated with securities with contractual cash flows including asset-backed and mortgage-related securities such as collateralized mortgage obligations, mortgage pass-through securities and commercial mortgage-backed securities, including securities backed by sub-prime mortgage loans. The value, liquidity and related income of these securities are sensitive to changes in economic conditions, including real estate value, pre-payments, delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates. A significant portion of the Funds’ investments is comprised of asset-backed or mortgage-related securities, including securities backed by sub-prime mortgages.

The Funds are subject to the risk that should the Funds decide to sell an illiquid investment when a ready buyer is not available at a price the Funds deem representative of its value, the value of the Funds’ net assets could be adversely affected.

During the year ended February 28, 2013, certain shareholders of Core Bond Trust purchased shares and Core Bond Trust received portfolio securities primarily by means of a subscription in-kind in exchange for shares of the Fund. Cash and portfolio securities were transferred as of the close of business on the dates and at the market values listed below (amounts in thousands):

To the Board of Trustees of JPMorgan Institutional Trust and the Shareholders of JPMorgan Core Bond Trust, JPMorgan Equity Index Trust and JPMorgan Intermediate Bond Trust:

In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Core Bond Trust, JPMorgan Equity Index Trust and JPMorgan Intermediate Bond Trust (each a separate fund of JPMorgan Institutional Trust) (hereafter referred to as the “Funds”) at February 28, 2014, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at February 28, 2014 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.

The following table includes additional information about the Funds’ Trustees.

The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.

The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.

As a shareholder of the Funds, you incur ongoing costs, including investment advisory fees, administration fees, and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Funds at the beginning of the reporting period, September 1, 2013, and continued to hold your shares at the end of the reporting period, February 28, 2014.

Actual Expenses

For each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Fund under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of each Fund in the table below provides information about hypothetical account values and hypothetical expenses based on the actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs or the costs associated with the investment advisory accounts through which the Fund is held. Therefore, the second line in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.

Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended February 28, 2014. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2014. The information necessary to complete your income tax returns for the calendar year ending December 31, 2014 will be provided under separate cover.

Dividends Received Deductions (DRD)

The Fund listed below had the following percentage, or maximum allowable percentages, of ordinary income distributions eligible for the 70% dividends received deduction for corporate shareholders for the fiscal year ended February 28, 2014:


	Dividends Received Deduction
Equity Index Trust		100.00	%

This report is open and authorized for distribution only to qualified and accredited investors who have received a copy of the Funds’ Confidential Offering Memorandum. This document may not be copied, faxed or otherwise distributed to the general public.

Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.

Each Fund files a complete schedule of its portfolio holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. Each Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.

A copy of proxy policies and procedures is available without charge upon request by calling 1-800-343-1113 and a description of such policies and procedures is on the Commission’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record is available on the SEC’s website at www.sec.gov. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal.

J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.

Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.

The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 12(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.

If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.

The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the code of ethics or waivers granted with respect to the code of ethics in the period covered by the report.

(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:

(i) Has at least one audit committee financial expert serving on its audit committee; or

(ii) Does not have an audit committee financial expert serving on its audit committee.

The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.

(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:

(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or

(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).

The audit committee financial expert is Mitchell Merin. He is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for purposes of audit committee financial expert determinations.

(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.

(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.

(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

Audit-related fees consists of semi-annual financial statement reviews and security count procedures performed as required under Rule 17f-2 of the Investment Company Act of 1940 during the Registrant’s fiscal year.

(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended February 28, 2014 and 2013, respectively.

For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.

(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services (the “Pre-approval Policy”), the Audit Committee pre-approves all audit and non-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committee pre-approves the auditor’s engagement for non-audit services with the Registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be

pre-approved either 1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit services that have been approved by the Audit Committee, or which were not subject to pre-approval under the transition provisions of Sarbanes-Oxley Act of 2002 (the “Pre-approval List”). The Audit Committee annually reviews and pre-approves the services included on the Pre-approval List that may be provided by the independent public registered accounting firm without obtaining additional specific pre-approval of individual services from the Audit Committee. The Audit Committee adds to, or subtracts from, the list of general pre-approved services from time to time, based on subsequent determinations. All other audit and non-audit services not on the Pre-approval List must be specifically pre-approved by the Audit Committee.

One or more members of the Audit Committee may be appointed as the Committee’s delegate for the purposes of considering whether to approve such services. Any pre-approvals granted by the delegate will be reported, for informational purposes only, to the Audit Committee at its next scheduled meeting. The Audit Committee’s responsibilities to pre-approve services performed by the independent public registered accounting firm are not delegated to management.

(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.

(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.

The aggregate non-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant, and rendered to Service Affiliates, for the last two calendar year ends were:

(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

The Registrant’s Audit Committee has considered whether the provision of the non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the independent public registered accounting firm’s independence. All services provided by the independent public registered accounting firm to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required.

(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.

(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.

File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company’s investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company’s investment adviser, or any other third party, that the company uses, or that are used on the company’s behalf, to determine how to vote proxies relating to portfolio securities.

ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

(a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any “affiliated purchaser,” as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant’s equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).

Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.

(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).

The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.

(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

There were no changes in the Registrant’s internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

(a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.

(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.

Code of Ethics applicable to its Principal Executive and Principal Financial Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 attached hereto.

(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.

(b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940.

Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.



CEO’s Letter			1

Market Overview			2

Fund Commentaries:

JPMorgan Core Bond Trust			3

JPMorgan Equity Index Trust			5

JPMorgan Intermediate Bond Trust			7

Schedules of Portfolio Investments			9

Financial Statements			89

Financial Highlights			94

Notes to Financial Statements			96

Report of Independent Registered Public Accounting Firm			107

Trustees			108

Officers			110

Schedule of Shareholder Expenses			111

Tax Letter			112


REPORTING PERIOD RETURN:
Fund*			0.58%
Barclays U.S. Aggregate Index			0.15%
Net Assets as of 2/28/2014 (In Thousands)			$3,865,134

Duration as of 2/28/2014			4.9 years


AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2014

	INCEPTION DATE OF CLASS		1 YEAR			3 YEAR			5 YEAR			SINCE INCEPTION
		2/07/05		0.58	%		4.46	%		7.06	%		5.69	%


REPORTING PERIOD RETURN:
JPMorgan Equity Index Trust*		25.21%
S&P 500 Index**		25.37%

Net Assets as of 2/28/2014 (In Thousands)	$	367,378


AVERAGE ANNUAL TOTAL RETURNS AS OF FEBRUARY 28, 2014

	INCEPTION DATE OF CLASS		1 YEAR			3 YEAR			5 YEAR			SINCE INCEPTION
		2/07/05		25.21	%		14.21	%		22.85	%		7.03	%


REPORTING PERIOD RETURN:
Fund*		0.53%
Barclays Intermediate U.S. Government/Credit Index		0.31%
Net Assets as of 2/28/2014 (In Thousands)	$	348,655

Duration as of 2/28/2014		3.7 years


	Core Bond Trust		Equity Index Trust			Intermediate Bond Trust
ASSETS:
Investments in non-affiliates, at value	$	3,817,511	$	359,884		$	341,659
Investments in affiliates, at value		44,100		6,749			6,291

Total investment securities, at value		3,861,611		366,633			347,950
Cash		—		—			2
Receivables:
Investment securities sold		172		—			28
Fund shares sold		3,325		—			—
Interest and dividends from non-affiliates		16,413		805			1,312
Dividends from affiliates		2		—	(a)		—	(a)
Tax reclaims		—		1			—
Variation margin on futures contracts		—		5			—

Total Assets		3,881,523		367,444			349,292


LIABILITIES:
Payables:
Due to custodian		70		—			—
Distributions		335		—			45
Investment securities purchased		2,234		—			175
Fund shares redeemed		13,169		—			313
Unrealized depreciation on unfunded commitments		20		—			—
Accrued liabilities:
Investment advisory fees		349		20			16
Custodian and accounting fees		123		15			47
Trustees’ and Chief Compliance Officer’s fees		3		—	(a)		—	(a)
Audit Fees		43		29			41
Other		43		2			—

Total Liabilities		16,389		66			637

Net Assets	$	3,865,134	$	367,378		$	348,655


NET ASSETS:
Paid-in-Capital	$	3,706,997	$	232,518		$	334,693
Accumulated undistributed (distributions in excess of) net investment income		6,546		1,158			295
Accumulated net realized gains (losses)		2,685		(40,932	)		843
Net unrealized appreciation (depreciation)		148,906		174,634			12,824

Total Net Assets	$	3,865,134	$	367,378		$	348,655


Outstanding units of beneficial interest (shares)
($0.0001 par value; unlimited number of shares authorized):		365,832		16,334			33,498

Net asset value, offering and redemption price per share (b)	$	10.57	$	22.49		$	10.41


Cost of investments in non-affiliates	$	3,668,585	$	187,073		$	328,835
Cost of investments in affiliates		44,100		5,003			6,291


	Core Bond Trust						Equity Index Trust
	Year Ended 2/28/2014			Year Ended 2/28/2013			Year Ended 2/28/2014			Year Ended 2/28/2013
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	137,789		$	143,453		$	6,962		$	6,749
Net realized gain (loss)		7,055			(2,198	)		12,219			3,217
Distributions of capital gains received from investment company affiliates		1			—			—	(a)		—
Change in net unrealized appreciation/depreciation		(123,685	)		23,835			58,781			28,893

Change in net assets resulting from operations		21,160			165,090			77,962			38,859


DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income		(133,909	)		(140,546	)		(6,806	)		(6,817	)
From net realized gains		(2,110	)		(2,200	)		—			—

Total distributions to shareholders		(136,019	)		(142,746	)		(6,806	)		(6,817	)


CAPITAL TRANSACTIONS:
Proceeds from shares issued		667,144			595,889			14,789			27,753
Subscriptions in-kind (See Note 7)		—			37,169			—			—
Distributions reinvested		131,927			139,355			6,806			6,805
Cost of shares redeemed		(532,846	)		(539,310	)		(48,708	)		(44,363	)

Change in net assets resulting from capital transactions		266,225			233,103			(27,113	)		(9,805	)


NET ASSETS:
Change in net assets		151,366			255,447			44,043			22,237
Beginning of period		3,713,768			3,458,321			323,335			301,098

End of period	$	3,865,134		$	3,713,768		$	367,378		$	323,335

Accumulated undistributed (distributions in excess of) net investment income	$	6,546		$	2,621		$	1,158		$	1,134


SHARE TRANSACTIONS:
Issued		62,858			54,513			723			1,641
Subscriptions in-kind (See Note 7)		—			3,372			—			—
Reinvested		12,447			12,760			336			401
Redeemed		(50,404	)		(49,289	)		(2,373	)		(2,605	)

Change in Shares		24,901			21,356			(1,314	)		(563	)


	Intermediate Bond Trust
	Year Ended 2/28/2014			Year Ended 2/28/2013
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:
Net investment income (loss)	$	11,308		$	12,548
Net realized gain (loss)		1,299			(237	)
Distributions of capital gains received from investment company affiliates		—	(a)		—
Change in net unrealized appreciation/depreciation		(10,852	)		1,337

Change in net assets resulting from operations		1,755			13,648


DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income		(11,070	)		(12,120	)
From net realized gains		(219	)		—

Total distributions to shareholders		(11,289	)		(12,120	)


CAPITAL TRANSACTIONS:
Proceeds from shares issued		35,383			42,769
Distributions reinvested		10,598			11,611
Cost of shares redeemed		(65,743	)		(39,262	)

Change in net assets resulting from capital transactions		(19,762	)		15,118


NET ASSETS:
Change in net assets		(29,296	)		16,646
Beginning of period		377,951			361,305

End of period	$	348,655		$	377,951

Accumulated undistributed (distributions in excess of) net investment income	$	295		$	369


SHARE TRANSACTIONS:
Issued		3,386			3,984
Reinvested		1,014			1,085
Redeemed		(6,290	)		(3,666	)

Change in Shares		(1,890	)		1,403


	Per share operating performance
			Investment operations							Distributions
	Net asset value, beginning of period		Net investment income (loss)		Net realized and unrealized gains (losses) on investments			Total from investment operations		Net investment income			Net realized gain			Return of capital			Total distributions
Core Bond Trust
Year Ended February 28, 2014	$	10.89	$	0.38	$	(0.32	)	$	0.06	$	(0.37	)	$	(0.01	)	$	—		$	(0.38	)
Year Ended February 28, 2013		10.82		0.43		0.08			0.51		(0.43	)		(0.01	)		—			(0.44	)
Year Ended February 29, 2012		10.50		0.50		0.35			0.85		(0.51	)		(0.02	)		—			(0.53	)
Year Ended February 28, 2011		10.27		0.55		0.23			0.78		(0.55	)		—			—			(0.55	)
Year Ended February 28, 2010		9.53		0.63		0.74			1.37		(0.63	)		—			—			(0.63	)

Equity Index Trust
Year Ended February 28, 2014		18.32		0.42		4.15			4.57		(0.40	)		—			—			(0.40	)
Year Ended February 28, 2013		16.53		0.38		1.79			2.17		(0.38	)		—			—			(0.38	)
Year Ended February 29, 2012		16.10		0.31		0.46			0.77		(0.34	)		—			—			(0.34	)
Year Ended February 28, 2011		13.42		0.28		2.67			2.95		(0.27	)		—			—			(0.27	)
Year Ended February 28, 2010		8.98		0.30		4.44			4.74		(0.30	)		—			—			(0.30	)

Intermediate Bond Trust
Year Ended February 28, 2014		10.68		0.32		(0.26	)		0.06		(0.32	)		(0.01	)		—			(0.33	)
Year Ended February 28, 2013		10.63		0.36		0.04			0.40		(0.35	)		—			—			(0.35	)
Year Ended February 29, 2012		10.38		0.43		0.38			0.81		(0.47	)		(0.06	)		(0.03	)		(0.56	)
Year Ended February 28, 2011		10.28		0.48		0.10			0.58		(0.48	)		—			—			(0.48	)
Year Ended February 28, 2010		9.70		0.53		0.58			1.11		(0.53	)		—			—			(0.53	)


		Ratios/Supplemental data
							Ratios to average net assets
Net asset value, end of period		Total return (a)			Net assets, end of period (000’s)		Net expenses (b)			Net investment income (loss)			Expenses without waivers, reimbursements and earnings credits			Portfolio turnover rate (c)

$	10.57		0.58	%	$	3,865,134		0.14	%		3.60	%		0.42	%		18	%
	10.89		4.70			3,713,768		0.15			3.97			0.42			16
	10.82		8.24			3,458,321		0.15			4.66			0.42			21
	10.50		7.71			3,022,640		0.14			5.23			0.42			20
	10.27		14.70			2,808,694		0.14			6.24			0.42			19


	22.49		25.21			367,378		0.10			2.01			0.38			5
	18.32		13.34			323,335		0.10			2.22			0.38			7
	16.53		4.97			301,098		0.10			2.03			0.38			8
	16.10		22.38			341,196		0.10			1.95			0.40			13
	13.42		53.50			304,822		0.10			2.37			0.42			18


	10.41		0.53			348,655		0.14			3.07			0.46			17
	10.68		3.76			377,951		0.14			3.33			0.47			15
	10.63		7.98			361,305		0.14			4.05			0.48			35
	10.38		5.72			366,920		0.14			4.60			0.46			28
	10.28		11.72			359,197		0.15			5.33			0.47			23


	Level 1 Quoted prices		Level 2 Other significant observable inputs		Level 3 Significant unobservable inputs		Total
Investments in Securities
Debt Securities
Asset-Backed Securities	$	—	$	121,139	$	95,936	$	217,075
Collateralized Mortgage Obligations
Agency CMO		—		655,551		5,515		661,066
Non-Agency CMO		—		258,437		48,682		307,119

Total Collateralized Mortgage Obligations		—		913,988		54,197		968,185

Commercial Mortgage-Backed Securities		—		131,486		18,872		150,358
Corporate Bonds
Consumer Discretionary		—		49,301		—		49,301
Consumer Staples		—		35,341		—		35,341
Energy		—		61,641		—		61,641
Financials		—		339,339		—		339,339
Health Care		—		22,577		—		22,577
Industrials		—		39,475		3,605		43,080
Information Technology		—		38,741		—		38,741
Materials		—		20,648		—		20,648
Telecommunication Services		—		47,111		—		47,111
Utilities		—		60,644		—		60,644

Total Corporate Bonds		—		714,818		3,605		718,423

Foreign Government Securities		—		47,209		—		47,209
Mortgage Pass-Through Securities		—		579,615		—		579,615
Municipal Bonds		—		9,210		—		9,210
Supranational		—		4,572		—		4,572
U.S. Government Agency Securities		—		90,652		—		90,652
U.S. Treasury Obligations		—		1,018,480		—		1,018,480
Loan Assignments
Financials		—		—		13,732		13,732
Short-Term Investment
Investment Company		44,100		—		—		44,100

Total Investments in Securities	$	44,100	$	3,631,169	$	186,342	$	3,861,611


Core Bond Trust	Balance as of 02/28/13		Realized gain (loss)			Change in unrealized appreciation (depreciation)			Net accretion (amortization)			Purchases¹		Sales²			Transfers into Level 3		Transfers out of Level 3			Balance as of 02/28/14
Investments in Securities
Asset Backed Securities	$	60,762	$	—		$	(163	)	$	(18	)	$	63,539	$	(42,767	)	$	14,583	$	—		$	95,936
Collateralized Mortgage Obligations
Agency CMO		27,817		—			163			(1,382	)		—		(202	)		3,322		(24,203	)		5,515
Non Agency CMO		48,208		(13	)		(4,763	)		701			17,048		(19,155	)		26,950		(20,294	)		48,682
Commercial Mortgage Backed Securities		30,371		—			(320	)		(938	)		2,346		(11,247	)		—		(1,340	)		18,872
Corporate Bonds — Industrials		3,316		—			6			(2	)		1,128		(843	)		—		—			3,605
Corporate Bonds — Telecommunication Services		1,884		—			—			—			—		—			—		(1,884	)		—
Loan Assignments — Financials		—		—			(66	)		—			15,045		(1,247	)				—			13,732
Mortgage Pass-Through Securities		11,987		—			(15	)		—			—		(11,972	)							—

	$	184,345	$	(13	)	$	(5,158	)	$	(1,639	)	$	99,106	$	(87,433	)	$	44,855	$	(47,721	)	$	186,342


	Fair Value at 2/28/14		Valuation Technique(s)	Unobservable Input	Range (Weighted Average)
	$	20,255	Discounted Cash Flow	Constant Prepayment Rate		0.00% - 18.14% (3.07%)
				Constant Default Rate		0.00% - 13.00% (5.40%)
				Yield (Discount Rate of Cash Flows)		1.04% - 8.93% (3.90%)

Asset-Backed Securities		20,255

		40,661	Discounted Cash Flow	Constant Prepayment Rate		0.00% - 25.65% (7.48%)
				Constant Default Rate		0.00% - 9.16% (3.03%)
				PSA Prepayment Model		199.00% - 1,085.00% (450.04%)
				Yield (Discount Rate of Cash Flows)		(69.53%) - 20.80% (4.51%)

Collateralized Mortgage Obligations		40,661

		6,370	Discounted Cash Flow	Constant Prepayment Rate		0.00% - 100.00% (71.73%)
				Yield (Discount Rate of Cash Flows)		(1.60%) - 4.37% (2.09%)

Commercial Mortgage-Backed Securities		6,370

Total	$	67,286


	Fair Value at 2/28/14		Valuation Technique(s)	Unobservable Input	Range (Weighted Average)
	$	681	Discounted Cash Flow	Constant Prepayment Rate		0.00% - 8.00% (2.36%)
				Constant Default Rate		3.95% - 11.00% (7.34%)
				Yield (Discount Rate of Cash Flows)		1.71% - 8.93% (3.28%)

Asset-Backed Securities		681

		1,163	Discounted Cash Flow	Constant Prepayment Rate		0.00% - 20.67% (5.24%)
				Constant Default Rate		0.00% - 6.05% (0.79%)
				PSA Prepayment Model		193.00% - 484.00% (437.47%)
				Yield (Discount Rate of Cash Flows)		(12.08%) - 12.67% (3.98%)

Collateralized Mortgage Obligations		1,163

		143	Discounted Cash Flow	Constant Prepayment Rate		100.00% (N/A)
				Yield (Discount Rate of Cash Flows)		2.15% (N/A)

Commercial Mortgage-Backed Securities		143

Total	$	1,987



FEBRUARY 28, 2014	JPMORGAN INSTITUTIONAL TRUST FUNDS	1



2	JPMORGAN INSTITUTIONAL TRUST FUNDS	FEBRUARY 28, 2014



FEBRUARY 28, 2014	JPMORGAN INSTITUTIONAL TRUST FUNDS	3



4	JPMORGAN INSTITUTIONAL TRUST FUNDS	FEBRUARY 28, 2014


	Value		Percentage
Core Bond Trust	$	48,883		1.19	%
Intermediate Bond Trust		450		0.13


	Term	Maturity Date		Commitment Fee Rate			Rate if Funded			Par Value		Commitment
Security Description	Term	Maturity Date		Commitment Fee Rate			Rate if Funded			Par Value		Amount		Value
FiveTen Group Holding, Ltd. (i)	Revolving Loan		04/14/14		0.500	%		4.250	%	$	905	$	905	$	902
Invitation Homes (i)	Revolving Loan		03/15/15		0.500			3.750			295		295		294
Progress Residential LP (i)	Revolving Loan		09/04/15		0.500			4.000			1,318		1,318		1,311
Tricon Capital Group, Inc. (i)	Revolving Loan		06/13/15		0.500			4.100			1,839		1,839		1,830

												$	4,357	$	4,337


	Equity Index Trust
Futures Contracts:
Average Notional Balance Long	$	2,740
Ending Notional Balance Long		2,322


Affiliate	Value at February 28, 2013		Purchase Cost		Sales Proceeds		Realized Gain/Loss		Dividend/ Interest Income		Shares at February 28, 2014		Value at February 28, 2014
Core Bond Trust
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares	$	82,653	$	868,830	$	907,382	$	—	$	43		44,100	$	44,100

Equity Index Trust
JPMorgan Chase & Co. (common stock)*	$	4,377	$	72	$	469	$	116	$	124		82	$	4,667
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares		2,385		37,765		38,068		—		1		2,082		2,082

	$	6,762	$	37,837	$	38,537	$	116	$	125		2,164	$	6,749

Intermediate Bond Trust
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares	$	7,515	$	89,341	$	90,565	$	—	$	4		6,291	$	6,291


	Paid-in-Capital			Accumulated Undistributed (distributions in excess of) Net Investment Income			Accumulated Net Realized Gains (Losses)
Core Bond Trust	$	(49	)	$	45		$	4
Equity index Trust		—	(a)		(132	)		132
Intermediate Bond Trust		312			(312	)		—	(a)


	Contractual Waivers
	Investment Advisory		Administration		Total
Core Bond Trust	$	6,441	$	3,833	$	10,274
Equity Index Trust		626		347		973
Intermediate Bond Trust		785		368		1,153


	Purchases (excluding U.S. Government)		Sales (excluding U.S. Government)		Purchases of U.S. Government		Sales of U.S. Government
Core Bond Trust	$	759,747	$	580,856	$	198,301	$	74,151
Equity Index Trust		17,491		42,677		—		—
Intermediate Bond Trust		45,410		53,481		14,983		23,922


	Aggregate Cost		Gross Unrealized Appreciation		Gross Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)
Core Bond Trust	$	3,712,689	$	179,785	$	30,863	$	148,922
Equity Index Trust		209,480		159,102		1,949		157,153
Intermediate Bond Trust		335,181		14,149		1,380		12,769


	Ordinary Income		Net Long-Term Capital Gains		Total Distributions Paid
Core Bond Trust	$	134,122	$	1,897	$	136,019
Equity Index Trust		6,806		—		6,806
Intermediate Bond Trust		11,074		215		11,289


	Ordinary Income		Net Long-Term Capital Gains		Total Distributions Paid
Core Bond Trust	$	140,549	$	2,197	$	142,746
Equity Index Trust		6,817		—		6,817
Intermediate Bond Trust		12,120		—		12,120


	Current Distributable Ordinary Income		Current Distributable Long-Term Capital-Gain or (Tax Basis Loss Carryover)			Unrealized Appreciation (Depreciation)
Core Bond Trust	$	6,919	$	2,717		$	148,902
Equity Index Trust		1,161		(23,452	)		157,153
Intermediate Bond Trust		399		850			12,769


	2017		2018		2019		Total
Equity Index Trust	$	2,174	$	14,260	$	7,018	$	23,452


	Post-Enactment Capital Loss Carryforwards Utilized
	Short-Term		Long-Term
Core Bond Trust	$	—	$	1,035
Equity Index Trust		—		1,912
Intermediate Bond Trust		—		237


Date	Market Value		Type
November 28, 2012	$	31,680		Subscription-in-kind
November 29, 2012		5,489		Subscription-in-kind


Name (Year of Birth); Positions With the Funds (1)	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee (2)	Other Directorships Held Outside Fund Complex During Past 5 Years
Independent Trustees

John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998.	Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present).	167	Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts.

Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003.	Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999).	167	Trustee, Museum of Jewish Heritage (2011-present).

Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002.	Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001).	167	None

Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985.	Self-employed business consultant (2002-present).	167	None

Mary E. Martinez (1960); Trustee of Trust since 2013.	Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-Present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management; U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005).	167	None

Marilyn McCoy* (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999.	Vice President of Administration and Planning, Northwestern University (1985-present).	167	Trustee, Carleton College (2003-present).

Mitchell M. Merin (1953); Trustee of Trust since 2013.	Retired (2005-Present); President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005).	167	Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010).

William G. Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003.	Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001).	167	Director, Radio Shack Corp. (electronics) (1987-2008); Director, National Organization of Investment Professionals; Trustee of the Stratton Mountain School (2001-present).

Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997.	Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002).	167	Trustee, American University in Cairo (1999-present); Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American Museum of Fly Fishing (2013-present).


Name (Year of Birth); Positions With the Funds (1)	Principal Occupations During Past 5 Years	Number of Portfolios in Fund Complex Overseen by Trustee (2)	Other Directorships Held Outside Fund Complex During Past 5 Years
Independent Trustees (continued)

Marian U. Pardo** (1946); Trustee of Trust since 2013.	Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006).	167	Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present).

Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994.	Consultant (2000-present); Adviser, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999).	167	Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Foundation (1994-present).

James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001.	Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998).	167	None
Interested Trustee Not Affiliated With the Adviser

Frankie D. Hughes*** (1952), Trustee of Trust since 2008.	President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present).	167	Trustee, The Victory Portfolios (2000-2008) (Investment companies).


Name (Year of Birth), Positions Held with the Trust (Since)		Principal Occupations During Past 5 Years

Robert L. Young (1963), President and Principal Executive Officer (2013)**		Chief Operating Officer and Director, J.P. Morgan Investment Management Inc. since 2010; Senior Vice President, J.P. Morgan Funds (2005-2010), Chief Operating Officer, J.P. Morgan Funds (2005-2010); Director and various officer positions for JPMorgan Funds Management, Inc. (formerly One Group Administrative Services) and JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to present. Mr. Young has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1997.

Laura M. Del Prato (1964), Treasurer and Principal Financial Officer (2014)		Managing Director, JPMorgan Funds Management, Inc. (since 2014); Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP.

Frank J. Nasta (1964), Secretary (2008)		Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc.

Stephen M. Ungerman (1953), Chief Compliance Officer (2005)		Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000.

Kathryn A. Jackson (1962), AML Compliance Officer (2012)*		Vice President and AML Compliance Manager for JPMorgan Asset Management Compliance since 2011; Senior On-Boarding Specialist for JPMorgan Distribution Services, Inc. in Global Liquidity from 2008 to 2011; prior to joining JPMorgan, Ms. Jackson was a Financial Services Analyst responsible for on-boarding, compliance and training with Nationwide Securities LLC and 1717 Capital Management Company, both registered broker-dealers, from 2005 until 2008.

Elizabeth A. Davin (1964), Assistant Secretary (2005)**		Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005.

Jessica K. Ditullio (1962), Assistant Secretary (2005)**		Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990.

John T. Fitzgerald (1975), Assistant Secretary (2008)		Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011.

Carmine Lekstutis (1980), Assistant Secretary (2011)		Vice President and Assistant General Counsel, JPMorgan Chase since 2011; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011.

Gregory S. Samuels (1980), Assistant Secretary (2010)		Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008.

Pamela L. Woodley (1971), Assistant Secretary (2012)***		Vice President and Assistant General Counsel, JPMorgan Chase since November 2004.

Michael M. D’Ambrosio (1969), Assistant Treasurer (2012)		Executive Director, JPMorgan Funds Management, Inc. from July 2012; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 2006.

Joseph Parascondola (1963), Assistant Treasurer (2011)		Vice President, JPMorgan Funds Management, Inc. since August 2006.

Matthew J. Plastina (1970), Assistant Treasurer (2011)		Vice President, JPMorgan Funds Management, Inc. since August 2010; prior to August 2010, Vice President and Controller, Legg Mason Global Asset Management.

Julie A. Roach (1971), Assistant Treasurer (2012)**		Vice President, JPMorgan Funds Management, Inc. from August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001.

Gillian I. Sands (1969), Assistant Treasurer (2012)		Vice President, JPMorgan Funds Management, Inc. from September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009).


	Beginning Account Value September 1, 2013		Ending Account Value February 28, 2014		Expenses Paid During the Period*		Annualized Expense Ratio
Core Bond Trust
Actual	$	1,000.00	$	1,027.90	$	0.70		0.14	%
Hypothetical		1,000.00		1,024.10		0.70		0.14

Equity Index Trust
Actual		1,000.00		1,149.90		0.53		0.10
Hypothetical		1,000.00		1,024.30		0.50		0.10

Intermediate Bond Trust
Actual		1,000.00		1,020.60		0.70		0.14
Hypothetical		1,000.00		1,024.10		0.70		0.14


	Long-Term Capital Gain Distribution
Core Bond Trust	$	1,897
Intermediate Bond Trust		215


		^© JPMorgan Chase & Co., 2014. All rights reserved. February 2014		AN-INSTT-214